Table of Contents
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)
William J. Fenrich, 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)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: December 31
Date of reporting period: January 1, 2017 to June 30, 2017
Table of Contents
Item 1. Reports to Shareholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)
Table of Contents
Semi-Annual Report
June 30, 2017 (Unaudited)
AQR Diversified Arbitrage Fund
AQR Equity Market Neutral Fund
AQR Global Macro Fund
AQR Long-Short Equity Fund
AQR Multi-Strategy Alternative Fund
AQR Risk-Balanced Commodities Strategy Fund
AQR Risk Parity Fund
AQR Risk Parity II HV Fund
AQR Risk Parity II MV Fund
AQR Style Premia Alternative Fund
AQR Style Premia Alternative LV Fund
Table of Contents
| Schedule of Investments | ||||
| 2 | ||||
| 29 | ||||
| 57 | ||||
| 66 | ||||
| 96 | ||||
| 162 | ||||
| 167 | ||||
| 177 | ||||
| 184 | ||||
| 190 | ||||
| 217 | ||||
| Financial Statements and Notes | 243 | |||
| Fund Expense Examples | 319 | |||
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
2
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
3
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
4
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
5
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
6
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
7
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
8
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
9
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
10
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $206,207,046. In addition, $4,902,941 of cash collateral was pledged. |
| (b) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/16 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/17 |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Affiliates: | ||||||||||||||||||||||||||||
| Education Management Corp. (Common Stock) | 18,525,063 | — | (8,714,903 | ) | 9,810,160 | $29,431 | $ — | $(331,924 | ) | $354,025 | ||||||||||||||||||
| Forum Merger Corp. (Common Stock) | — | 1,500,000 | (800,000 | ) | 700,000 | 6,797,000 | — | (233,170 | ) | (203,000 | ) | |||||||||||||||||
| KBL Merger Corp. IV (Common Stock) | — | 1,000,000 | — | 1,000,000 | 10,200,000 | — | — | 200,000 | ||||||||||||||||||||
| Matlin and Partners Acquisition Corp., Class A (Common Stock) | — | 2,500,000 | (2,100,000 | ) | 400,000 | 3,864,000 | — | (725,946 | ) | (136,000 | ) | |||||||||||||||||
| Modern Media Acquisition Corp. (Common Stock) | — | 1,700,000 | (250,000 | ) | 1,450,000 | 14,166,500 | — | (65,056 | ) | (333,500 | ) | |||||||||||||||||
| National Energy Services Reunited Corp. (Common Stock) | — | 2,090,000 | (500,000 | ) | 1,590,000 | 15,136,800 | — | (225,110 | ) | (763,200 | ) | |||||||||||||||||
| Origo Acquisition Corp. (Common Stock) | 325,500 | — | — | 325,500 | 3,385,200 | — | — | — | ||||||||||||||||||||
| Stellar Acquisition III, Inc. (Common Stock) | 600,000 | — | (300,000 | ) | 300,000 | 3,006,000 | — | 32,934 | (174,000 | ) | ||||||||||||||||||
| Barington/Hilco Acquisition Corp. (Rights) | 487,260 | — | — | 487,260 | 194,904 | — | — | 73,138 | ||||||||||||||||||||
| Community Health Systems, Inc. (Rights) | 7,762,436 | — | — | 7,762,436 | 151,368 | — | — | 116,437 | ||||||||||||||||||||
| Forum Merger Corp. (Rights) | — | 1,500,000 | — | 1,500,000 | 547,350 | — | — | 547,350 | ||||||||||||||||||||
| Modern Media Acquisition Corp. (Rights) | — | 1,700,000 | — | 1,700,000 | 680,000 | — | — | 680,000 | ||||||||||||||||||||
| Origo Acquisition Corp. (Rights) | 325,500 | — | — | 325,500 | 76,655 | — | — | (37,270 | ) | |||||||||||||||||||
| Ability, Inc. (Warrants) | 1,449,557 | — | — | 1,449,557 | 20,294 | — | — | (26,092 | ) | |||||||||||||||||||
| Axar Acquisition Corp. (Warrants) | 697,500 | — | — | 697,500 | 55,800 | — | — | 3,488 | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
11
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| AFFILIATE | SHARES HELD AT 12/31/16 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/17 |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Affiliates: (continued) | ||||||||||||||||||||||||||||
| Barington/Hilco Acquisition Corp. (Warrants) | 487,260 | — | — | 487,260 | $ 73,576 | $ — | $ — | $ 11,207 | ||||||||||||||||||||
| Delta Technology Holdings Ltd. (Warrants) | 818,832 | — | — | 818,832 | 65,507 | — | — | 20,061 | ||||||||||||||||||||
| Education Management Corp. (Warrants) | 16,528,497 | — | — | 16,528,497 | 17 | — | — | (149 | ) | |||||||||||||||||||
| Forum Merger Corp. (Warrants) | — | 750,000 | — | 750,000 | 255,000 | — | — | 255,000 | ||||||||||||||||||||
| Harmony Merger Corp. (Warrants) | 1,475,100 | — | (100,000 | ) | 1,375,100 | 1,100,080 | — | 69,027 | 546,918 | |||||||||||||||||||
| Jason Industries (Warrants) | 1,933,070 | — | — | 1,933,070 | 174,556 | — | — | 93,174 | ||||||||||||||||||||
| Matlin and Partners Acquisition Corp. (Warrants) | — | 2,500,000 | — | 2,500,000 | 1,250,000 | — | — | 1,250,000 | ||||||||||||||||||||
| Modern Media Acquisition Corp. (Warrants) | — | 850,000 | — | 850,000 | 331,500 | — | — | 331,500 | ||||||||||||||||||||
| National Energy Services Reunited Corp. (Warrants) | — | 2,090,000 | — | 2,090,000 | 1,149,500 | — | — | 1,149,500 | ||||||||||||||||||||
| Origo Acquisition Corp. (Warrants) | 325,500 | — | — | 325,500 | 58,590 | — | — | (29,621 | ) | |||||||||||||||||||
| Rosehill Resources, Inc. (Warrants) | — | 500,000 | (10,400 | ) | 489,600 | 533,664 | — | 17,332 | 533,664 | |||||||||||||||||||
| Stellar Acquisition III, Inc (Warrants) | — | 600,000 | — | 600,000 | 192,000 | — | — | 192,000 | ||||||||||||||||||||
|
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|||||||||||||||||||||
| Total | $63,495,292 | $ — | $(1,461,913) | $4,654,630 | ||||||||||||||||||||||||
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| (c) | Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $11,630,880, which represents approximately 2.35% of net assets of the fund. |
| (d) | Represents less than 0.05% of net assets. |
| (e) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $37,812,715, which represents approximately 7.64% of net assets of the fund. |
| (f) | Perpetual security. The rate reflected was the rate in effect on 6/30/2017. The maturity date reflects the next call date. |
| (g) | Variable or floating rate security. The interest rate shown was the current rate as of 6/30/2017 and changes periodically. |
| (h) | Defaulted security. |
| (i) | Payment in-kind security. |
| (j) | Represents 7-day effective yield as of 6/30/2017. |
| (k) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (l) | The rate shown was the effective yield at the date of purchase. |
(m) Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
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). |
Abbreviations
ADR - American Depositary Receipt
CVR - Contingent Value Rights
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
12
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Credit default swap contracts buy protection as of June 30, 2017:
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE PAID BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||||||
| CITG | Markit CDX North America High Yield Index Series 28.V1 | 5.000% | USD | 3.392% | 17,450,000 | $(1,042,413 | ) | 06/20/2022 | $(185,635 | ) | ||||||||||||||||||
| CITG | Markit CDX North America Investment Grade Index Series 28.V1 | 1.000% | USD | 0.607% | 800,000 | (13,774 | ) | 06/20/2022 | (1,243 | ) | ||||||||||||||||||
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| $(1,056,187 | ) | $(186,878 | ) | |||||||||||||||||||||||||
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Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| Short Contracts: | ||||||||||||||||||||||
| 58 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | $(2,350,760 | ) | $(2,272,855 | ) | $77,905 | ||||||||||||||
| 241 | BARC | S&P 500 E-Mini Futures | 09/2017 | (29,262,874 | ) | (29,171,845 | ) | 91,029 | ||||||||||||||
| 9 | GSCO | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | (1,244,748 | ) | (1,234,238 | ) | 10,510 | ||||||||||||||
| 37 | BARC | U.S. Treasury 10-Year Note Futures | 09/2017 | (4,660,330 | ) | (4,644,656 | ) | 15,674 | ||||||||||||||
| 193 | JPMS | U.S. Treasury 2-Year Note Futures | 09/2017 | (41,746,082 | ) | (41,709,110 | ) | 36,972 | ||||||||||||||
| 75 | JPMS | U.S. Treasury 5-Year Note Futures | 09/2017 | (8,855,156 | ) | (8,837,696 | ) | 17,460 | ||||||||||||||
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| $(88,119,950 | ) | $(87,870,400 | ) | $249,550 | ||||||||||||||||||
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Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 13,044,719 | 9,815,596 | 10,071,712 | 256,116 | ||||||||||||||
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| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (7,177,842 | ) | $(5,337,168 | ) | $(5,541,947 | ) | $(204,779 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (10,766,758 | ) | (8,005,738 | ) | (8,312,919 | ) | (307,181 | ) | ||||||||||
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| (13,342,906 | ) | (13,854,866 | ) | (511,960 | ) | |||||||||||||||
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| $(3,527,310 | ) | $(3,783,154 | ) | $(255,844 | ) | |||||||||||||||
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CAD - Canadian Dollar
USD - United States Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
13
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2017
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. |
3-13 months maturity 07/23/2018 |
$3,501,725 | |||||
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| * | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
14
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate (“EURIBOR”) 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 06/11/2018 |
$95,716 | |||||
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| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 12-13 months maturity ranging from 06/11/2018-07/16/2018 |
$17,237 | |||||
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| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
15
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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 JPY based on the local currencies of the positions within the swap. | 13 months maturity 07/23/2018 |
$(30,671 | ) | ||||
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| ** | 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 short positions and related values within the total return basket swap as of June 30, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
16
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| BANA | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 25 months maturity ranging from 11/26/2018 - 07/25/2019 |
$(199,828 | ) | ||||
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| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
17
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 56-57 months maturity 11/19/2021 | $201,039 | |||||
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| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
18
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 54-57 months maturity 11/22/2021 | $3,205,522 | |||||
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| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
19
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
20
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Dollar Offered Rate or Canadian Overnight Repurchase Rate Average plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 54-57 months maturity 11/22/2021 |
$212,952 | |||||
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| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
21
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 54-57 months maturity 11/19/2021 | $150,300 | |||||
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| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
22
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Australian Bank-Bill Swap Reference Rate or Australian Overnight Indexed Swap Rate (“AOISR”) plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 54-57 months maturity 11/19/2021 | $(23,787 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
23
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives 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. | 54-55 months maturity 11/19/2021 | $66,323 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
24
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 86 months maturity 09/30/2021 |
$518,907 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
25
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 61 months maturity 03/30/2022 |
$312,020 | |||||
|
|
|
|||||||
| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 86 months maturity 09/30/2021 |
$957 | |||||
|
|
|
|||||||
| ** | 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 short positions and related values within the total return basket swap as of June 30, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
26
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 36 months maturity 08/21/2017 |
$3,185 | |||||
|
|
|
|||||||
| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 85 months maturity 11/10/2021 |
$623,644 | |||||
|
|
|
|||||||
| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
27
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 37 months maturity 10/22/2017 |
$(305,645 | ) | ||||
|
|
|
|||||||
| ** | 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 short positions and related values within the total return basket swap as of June 30, 2017.
| Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
|
|
|||||||||||
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(180,000 | ) | $— | $(180,000 | ) | |||||||
| Investment Companies | 940,000 | — | 940,000 | |||||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 1,086,752 | 1,086,752 | |||||||||
|
|
||||||||||||
| CITG | ||||||||||||
| Cash | — | 1,826,807 | 1,826,807 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 50,573 | — | 50,573 | |||||||||
|
|
||||||||||||
| DTBK | ||||||||||||
| Investment Companies | 14,492,650 | — | 14,492,650 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (3,770,000 | ) | — | (3,770,000 | ) | |||||||
| Investment Companies | 16,277,723 | — | 16,277,723 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 430,000 | — | 430,000 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 129,228 | 129,228 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
28
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
29
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
30
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
31
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
32
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
33
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $444,859,065. In addition, $866 of cash collateral was pledged. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $2,696,318, which represents approximately 0.17% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of 6/30/2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/16 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/17 |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund (Short-Term Investment) | — | 486,701,761 | (44,805,946 | ) | 441,895,815 | $441,851,625 | $610,527 | $(2,600 | ) | $(34,986 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (g) | The rate shown was the effective yield at the date of purchase. |
| (h) | Includes appreciation/(depreciation) on forward foreign currency exchange and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA - Limited partnership with share capital
SDR - Swedish Depositary Receipt
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 09/20/17 | CITI | CAD | 442,400 | $328,305 | $341,572 | $13,267 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 | JPMC | CAD | 663,600 | 492,457 | 512,359 | 19,902 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 22,400 | 23,385 | 23,477 | 92 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 33,600 | 35,078 | 35,217 | 139 | ||||||||||||||
| Danish Krone, Expiring 09/20/17 | CITI | DKK | 369,200 | 55,850 | 56,960 | 1,110 | ||||||||||||||
| Danish Krone, Expiring 09/20/17 | JPMC | DKK | 553,800 | 83,774 | 85,439 | 1,665 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
34
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 1,173,200 | $ 1,322,307 | $ 1,345,514 | $ 23,207 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 1,759,800 | 1,983,463 | 2,018,269 | 34,806 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 | CITI | NOK | 3,440,800 | 407,735 | 412,768 | 5,033 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 | JPMC | NOK | 5,161,200 | 611,604 | 619,151 | 7,547 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 | CITI | SEK | 12,245,200 | 1,409,837 | 1,459,977 | 50,140 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 | JPMC | SEK | 18,367,800 | 2,114,752 | 2,189,965 | 75,213 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 | CITI | SGD | 958,000 | 693,035 | 696,697 | 3,662 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 | JPMC | SGD | 1,437,000 | 1,039,553 | 1,045,046 | 5,493 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 10,601,135 | 10,842,411 | 241,276 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 09/20/17 | CITI | CAD | (1,117,718 | ) | $(835,921 | ) | $(862,979 | ) | $(27,058 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 | JPMC | CAD | (1,676,576 | ) | (1,253,879 | ) | (1,294,470 | ) | (40,591 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (5,892,400 | ) | (6,121,007 | ) | (6,175,891 | ) | (54,884 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (8,838,600 | ) | (9,181,497 | ) | (9,263,841 | ) | (82,344 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 | CITI | DKK | (22,061,600 | ) | (3,341,288 | ) | (3,403,649 | ) | (62,361 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 | JPMC | DKK | (33,092,400 | ) | (5,011,925 | ) | (5,105,474 | ) | (93,549 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (19,411,600 | ) | (21,855,774 | ) | (22,262,680 | ) | (406,906 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (29,117,400 | ) | (32,783,620 | ) | (33,394,022 | ) | (610,402 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 | CITI | HKD | (160,000 | ) | (20,585 | ) | (20,537 | ) | 48 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 | JPMC | HKD | (240,000 | ) | (30,877 | ) | (30,807 | ) | 70 | |||||||||||
| Norwegian Krone, Expiring 09/20/17 | CITI | NOK | (1,321,200 | ) | (156,178 | ) | (158,495 | ) | (2,317 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 | JPMC | NOK | (1,981,800 | ) | (234,267 | ) | (237,742 | ) | (3,475 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 | CITI | SEK | (4,891,200 | ) | (568,404 | ) | (583,172 | ) | (14,768 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 | JPMC | SEK | (7,336,800 | ) | (852,605 | ) | (874,755 | ) | (22,150 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 | CITI | SGD | (267,200 | ) | (193,339 | ) | (194,318 | ) | (979 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
35
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Singapore Dollar, Expiring 09/20/17 | JPMC | SGD | (400,800 | ) | $ (290,007 | ) | $ (291,479 | ) | $ (1,472 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (82,731,173 | ) | (84,154,311 | ) | (1,423,138 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(72,130,038 | ) | $(73,311,900 | ) | $(1,181,862 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
HKD - Hong Kong Dollar
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
Total Return Basket Swaps* Outstanding at June 30, 2017
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 3-37 months maturity 10/12/2017 | $(698,632 | ) | ||||
|
|
|
|||||||
| * | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
36
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
37
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives 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. | 3-25 months maturity 10/13/2017 |
$11,020,838 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
38
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
39
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
40
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
41
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
42
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
43
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
44
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
45
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
46
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
47
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives 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. | 16-49 months maturity 10/16/2018 |
$(4,226,345 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
48
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
49
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
50
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
51
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Reserve Bank of Australia Cash rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 17-49 months maturity 10/15/2018 |
$(846,774 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
52
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
53
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 17-49 months maturity 10/16/2018 |
$(199,900 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
54
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EONIA plus or minus a specified spread which is denominated in EUR based on the local currencies of the positions within the swap. | 4-37 months maturity 10/12/2017 |
$1,366,363 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
55
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||
| CITI | ||||||||||
| Investment Companies | $1,450,000 | $— | $1,450,000 | |||||||
|
|
||||||||||
| JPMC | ||||||||||
| Investment Companies | 3,723,826 | — | 3,723,826 | |||||||
|
|
||||||||||
| MSIP | ||||||||||
| Cash | 217,777,551 | — | 217,777,551 | |||||||
|
|
||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
56
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Forward effective interest rate swap contracts outstanding as of June 30, 2017:
| COUNTERPARTY |
PAYMENTS MADE
BY |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||
| CRSU | (1) | 2.000% | AUD | 69,930,000 | $— | 09/12/2019 | $22,921 | |||||||||||||||||
| CRSU | 3.000% | (2) | AUD | 12,060,000 | — | 09/09/2027 | (76,839 | ) | ||||||||||||||||
| CRSU | (3) | 2.000% | CAD | 1,200,000 | 14,035 | 09/13/2027 | (23,915 | ) | ||||||||||||||||
| CRSU | 1.500% | (3) | CAD | 25,910,000 | (54,458 | ) | 09/16/2019 | 46,331 | ||||||||||||||||
| CRSU | (4) | 0.250% | CHF | 1,400,000 | — | 09/15/2027 | (3,848 | ) | ||||||||||||||||
| CRSU | 0.500% | (4) | CHF | 11,480,000 | — | 09/18/2019 | (1,509 | ) | ||||||||||||||||
| CRSU | (5) | 1.000% | EUR | 5,030,000 | 22,749 | 09/15/2027 | 6,242 | |||||||||||||||||
| CRSU | 0.500% | (5) | EUR | 54,820,000 | (74,113 | ) | 09/18/2019 | (651,999 | ) | |||||||||||||||
| CRSU | (4) | 1.500% | GBP | 4,080,000 | 8,974 | 09/15/2027 | 49,628 | |||||||||||||||||
| CRSU | 1.000% | (4) | GBP | 53,830,000 | (17,882 | ) | 09/18/2019 | (329,051 | ) | |||||||||||||||
| CRSU | (4) | 0.250% | JPY | 359,300,000 | (654 | ) | 09/15/2027 | (5,681 | ) | |||||||||||||||
| CRSU | 0.250% | (4) | JPY | 2,357,700,000 | (2,851 | ) | 09/18/2019 | (80,570 | ) | |||||||||||||||
| CRSU | (6) | 2.000% | NOK | 23,610,000 | — | 09/15/2027 | 4,360 | |||||||||||||||||
| CRSU | 1.500% | (6) | NOK | 156,490,000 | — | 09/18/2019 | (124,733 | ) | ||||||||||||||||
| CRSU | (1) | 2.500% | NZD | 1,300,000 | 3,872 | 09/11/2019 | (2,322 | ) | ||||||||||||||||
| CRSU | (1) | 3.000% | NZD | 55,280,000 | — | 09/11/2019 | 457,014 | |||||||||||||||||
| CRSU | 4.000% | (1) | NZD | 8,400,000 | — | 09/15/2027 | (317,087 | ) | ||||||||||||||||
| CRSU | (7) | 1.500% | SEK | 18,440,000 | — | 09/15/2027 | 43,875 | |||||||||||||||||
| CRSU | 0.500% | (7) | SEK | 221,100,000 | (66,299 | ) | 09/18/2019 | (283,464 | ) | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
57
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| COUNTERPARTY |
PAYMENTS MADE
BY |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Exchange Cleared (continued) | ||||||||||||||||||||||||
| CRSU | (8) | 1.750% | USD | 18,030,000 | $ 4,342 | 09/20/2019 | $ 21,372 | |||||||||||||||||
| CRSU | 2.500% | (8 | ) | USD | 2,290,000 | — | 09/20/2027 | (40,760 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $(162,285 | ) | $(1,290,035 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (1) | 3 Month Australian Bank-Bill Reference Rate |
| (2) | 6 Month Australian Bank-Bill Reference Rate |
| (3) | 3 Month Canadian Bankers’ Acceptance Rate |
| (4) | 6 Month London Interbank Offered Rate |
| (5) | 6 Month Euro Interbank Offered Rate |
| (6) | 6 Month Norwegian Interbank Offered Rate |
| (7) | 3 Month Stockholm Interbank Offered Rate |
| (8) | 3 Month London Interbank Offered Rate |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| GSIN | BIST 30 August Futures | 08/2017 | TRY | (37,457 | ) | $(74 | ) | |||||||||
| BANA | Bovespa Index August Futures | 08/2017 | BRL | 628,871 | 2,221 | |||||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | 38,645 | (545 | ) | ||||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | 156,055 | (3,655 | ) | ||||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 16,670,622 | (5,169 | ) | ||||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 2,061,629 | (2,899 | ) | ||||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 4,626,194 | (4,925 | ) | ||||||||||
| BANA | KOSPI Index 200 September Futures | 09/2017 | KRW | 1,389,177,950 | 16,592 | |||||||||||
| GSIN | MSCI South Africa Net Return Index | 09/2017 | ZAR | (258,252 | ) | — | ||||||||||
| GSIN | MSCI Switzerland Net Return Index | 09/2017 | CHF | (488,790 | ) | 11,915 | ||||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 77,766 | (706 | ) | ||||||||||
| GSIN | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | (400,528 | ) | 751 | ||||||||||
| MACQ | Soybean Meal December Futures^ | 11/2017 | USD | (30,883 | ) | (237 | ) | |||||||||
| SOCG | Soybean Meal December Futures^ | 11/2017 | USD | (30,823 | ) | (297 | ) | |||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 46,958 | 779 | |||||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | 47,142 | 596 | |||||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | (3,186,375 | ) | (11,676 | ) | |||||||||
| BANA | Tel Aviv 25 Index July Futures | 07/2017 | ILS | (1,154,823 | ) | 2,258 | ||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | (22,931 | ) | (3,369 | ) | |||||||||
| BANA | WIG20 Index September Futures | 09/2017 | PLN | (315,727 | ) | (1,159 | ) | |||||||||
|
|
|
|||||||||||||||
| $401 | ||||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
58
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 4 | MSCL | Corn Futures^ | 09/2017 | $75,845 | $76,200 | $355 | ||||||||||||||
| 1 | MSCL | Gasoline RBOB Futures^ | 07/2017 | 63,010 | 63,575 | 565 | ||||||||||||||
| 3 | MSCL | Gold 100 OZ Futures^ | 08/2017 | 378,266 | 372,690 | (5,576 | ) | |||||||||||||
| 1 | MSCL | Heating Oil ULSD Futures^ | 07/2017 | 60,914 | 62,290 | 1,376 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 49,222 | 47,837 | (1,385 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 49,359 | 47,786 | (1,573 | ) | |||||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 08/2017 | 329,021 | 334,877 | 5,856 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 47,802 | 47,904 | 102 | ||||||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 09/2017 | 338,863 | 335,913 | (2,950 | ) | |||||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | 141,127 | 148,395 | 7,268 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | 141,102 | 148,506 | 7,404 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | 141,201 | 148,463 | 7,262 | ||||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 09/2017 | 112,886 | 112,650 | (236 | ) | |||||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | 132,124 | 138,000 | 5,876 | ||||||||||||||
| 20 | MSCL | Natural Gas Futures^ | 07/2017 | 606,754 | 607,000 | 246 | ||||||||||||||
| 5 | MSCL | Silver Futures^ | 09/2017 | 411,567 | 415,675 | 4,108 | ||||||||||||||
| 2 | MSCL | Soybean Futures^ | 11/2017 | 93,965 | 95,475 | 1,510 | ||||||||||||||
| 7 | MSCL | WTI Crude Futures^ | 07/2017 | 322,460 | 322,280 | (180 | ) | |||||||||||||
| 5 | BARC | Amsterdam Index Futures | 07/2017 | 599,376 | 578,499 | (20,877 | ) | |||||||||||||
| 11 | BARC | DAX Index Futures | 09/2017 | 4,018,373 | 3,869,604 | (148,769 | ) | |||||||||||||
| 92 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 3,738,722 | 3,605,220 | (133,502 | ) | |||||||||||||
| 21 | BARC | FTSE 100 Index Futures | 09/2017 | 2,041,537 | 1,980,929 | (60,608 | ) | |||||||||||||
| 4 | BARC | H-SHARES Index Futures | 07/2017 | 263,645 | 261,160 | (2,485 | ) | |||||||||||||
| 22 | BARC | MSCI Singapore Index Futures | 07/2017 | 570,965 | 572,791 | 1,826 | ||||||||||||||
| 54 | BARC | OMXS30 Index Futures | 07/2017 | 1,054,594 | 1,027,318 | (27,276 | ) | |||||||||||||
| 5 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 692,465 | 685,688 | (6,777 | ) | |||||||||||||
| 123 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 15,518,881 | 15,440,344 | (78,537 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 31,994,046 | 31,547,069 | (446,977 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 2 | GSCO | Brent Crude Futures^ | 07/2017 | $(94,378 | ) | $(97,540 | ) | $(3,162 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (48,923 | ) | (47,838 | ) | 1,085 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (48,919 | ) | (47,786 | ) | 1,133 | ||||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 08/2017 | (328,883 | ) | (334,876 | ) | (5,993 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,894 | ) | (47,904 | ) | (10 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | (47,872 | ) | (47,987 | ) | (115 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | (141,066 | ) | (148,396 | ) | (7,330 | ) | |||||||||||
| 3 | JPPC | LME Copper Futures^ | 09/2017 | (426,818 | ) | (445,519 | ) | (18,701 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | (141,060 | ) | (148,462 | ) | (7,402 | ) | |||||||||||
| 1 | MSCL | Soybean Meal Futures^ | 12/2017 | (30,684 | ) | (31,120 | ) | (436 | ) | |||||||||||
| 12 | MSCL | Soybean Oil Futures^ | 12/2017 | (232,431 | ) | (240,048 | ) | (7,617 | ) | |||||||||||
| 56 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (7,497,918 | ) | (7,479,778 | ) | 18,140 | ||||||||||||
| 52 | BARC | BIST 30 Futures | 08/2017 | (184,649 | ) | (185,812 | ) | (1,163 | ) | |||||||||||
| 51 | BARC | CAC40 Index Futures | 07/2017 | (3,067,901 | ) | (2,980,343 | ) | 87,558 | ||||||||||||
| 4 | BARC | FTSE Bursa Malaysia KLCI Index Futures | 07/2017 | (83,006 | ) | (82,350 | ) | 656 | ||||||||||||
| 19 | BARC | FTSE/JSE Top 40 Index Futures | 09/2017 | (665,664 | ) | (663,450 | ) | 2,214 | ||||||||||||
| 2 | BARC | FTSE/MIB Index Futures | 09/2017 | (240,162 | ) | (234,129 | ) | 6,033 | ||||||||||||
| 4 | BARC | IBEX 35 Index Futures | 07/2017 | (494,208 | ) | (475,404 | ) | 18,804 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
59
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 11 | JPMS | Mexican Stock Exchange Price and Quotation Index Futures | 09/2017 | $ (299,755 | ) | $ (305,021 | ) | $ (5,266 | ) | |||||||||||
| 8 | BARC | MSCI Taiwan Stock Index Futures | 07/2017 | (311,109 | ) | (308,240 | ) | 2,869 | ||||||||||||
| 29 | BARC | S&P 500 E-Mini Futures | 09/2017 | (3,521,758 | ) | (3,510,305 | ) | 11,453 | ||||||||||||
| 51 | BARC | SET50 Index Futures | 09/2017 | (298,539 | ) | (297,922 | ) | 617 | ||||||||||||
| 9 | BARC | SGX S&P CNX Nifty Index Futures | 07/2017 | (171,837 | ) | (171,333 | ) | 504 | ||||||||||||
| 37 | BARC | SPI 200 Index Futures | 09/2017 | (4,042,136 | ) | (4,016,185 | ) | 25,951 | ||||||||||||
| 5 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (6,681,262 | ) | (6,673,038 | ) | 8,224 | ||||||||||||
| 31 | JPMS | Australia 10-Year Bond Futures | 09/2017 | (3,124,981 | ) | (3,079,820 | ) | 45,161 | ||||||||||||
| 52 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | (5,789,989 | ) | (5,635,873 | ) | 154,116 | ||||||||||||
| 11 | GSCO | Euro-Bund Futures | 09/2017 | (2,071,742 | ) | (2,033,679 | ) | 38,063 | ||||||||||||
| 23 | GSCO | Long Gilt Futures | 09/2017 | (3,818,873 | ) | (3,761,619 | ) | 57,254 | ||||||||||||
| 120 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2017 | (25,967,368 | ) | (25,933,125 | ) | 34,243 | ||||||||||||
| 14 | MSCL | U.S. Treasury Long Bond Futures | 09/2017 | (2,154,714 | ) | (2,151,625 | ) | 3,089 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (72,076,499 | ) | (71,616,527 | ) | 459,972 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(40,082,453 | ) | $(40,069,458 | ) | $12,995 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 1,649,400 | $1,231,682 | $1,266,476 | $34,794 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 1,077,600 | 804,468 | 827,424 | 22,956 | ||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 242,000 | 72,036 | 71,893 | (143 | ) | |||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 2,550,400 | 1,915,456 | 1,969,141 | 53,685 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 3,444,600 | 2,589,036 | 2,659,544 | 70,508 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 14,800 | 15,313 | 15,512 | 199 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 22,200 | 22,970 | 23,268 | 298 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | 248,000,000 | 371,448 | 372,744 | 1,296 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | 217,200 | 31,754 | 31,849 | 95 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | 124,800 | 18,238 | 18,300 | 62 | ||||||||||||||
| Czech Republic Koruna, Expiring 09/20/17 |
CITI | CZK | 7,320,000 | 313,376 | 321,721 | 8,345 | ||||||||||||||
| Czech Republic Koruna, Expiring 09/20/17 |
JPMC | CZK | 8,280,000 | 354,217 | 363,918 | 9,701 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
60
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 3,454,000 | $ 3,883,559 | $ 3,961,307 | $ 77,748 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 4,308,000 | 4,846,985 | 4,940,738 | 93,753 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 2,183,400 | 2,800,138 | 2,850,649 | 50,511 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 2,223,600 | 2,860,676 | 2,903,135 | 42,459 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 4,284,600 | 551,024 | 549,969 | (1,055 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 3,185,400 | 409,724 | 408,877 | (847 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 58,557,000 | 214,301 | 217,263 | 2,962 | ||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 34,443,000 | 125,986 | 127,794 | 1,808 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | 120,000,000 | 8,904 | 8,926 | 22 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
JPMC | IDR | 180,000,000 | 13,356 | 13,390 | 34 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 24,535,000 | 376,484 | 376,340 | (144 | ) | |||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 36,765,000 | 564,150 | 563,932 | (218 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 266,870,400 | 2,407,991 | 2,380,839 | (27,152 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 249,246,600 | 2,241,230 | 2,223,612 | (17,618 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 771,651,000 | 681,016 | 674,568 | (6,448 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 327,600,000 | 292,965 | 286,385 | (6,580 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 17,557,800 | 946,779 | 955,550 | 8,771 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 9,454,200 | 511,232 | 514,529 | 3,297 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 5,570,600 | 661,168 | 668,264 | 7,096 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 1,211,400 | 145,353 | 145,323 | (30 | ) | |||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 985,600 | 708,439 | 721,207 | 12,768 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 1,478,400 | 1,062,641 | 1,081,812 | 19,171 | ||||||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | 200,000 | 3,980 | 3,936 | (44 | ) | |||||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | 300,000 | 5,970 | 5,905 | (65 | ) | |||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 441,800 | 117,707 | 119,181 | 1,474 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 118,200 | 31,718 | 31,886 | 168 | ||||||||||||||
| Russian Ruble, Expiring 09/20/17* |
CITI | RUB | 18,120,000 | 312,849 | 302,249 | (10,600 | ) | |||||||||||||
| Russian Ruble, Expiring 09/20/17* |
JPMC | RUB | 3,480,000 | 60,174 | 58,048 | (2,126 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
61
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 2,831,200 | $ 325,016 | $ 337,559 | $ 12,543 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 4,246,800 | 487,524 | 506,339 | 18,815 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | 423,000 | 306,384 | 307,623 | 1,239 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 1,295,000 | 354,657 | 359,934 | 5,277 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 1,536,000 | 419,213 | 426,920 | 7,707 | ||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | 6,320,000 | 210,648 | 207,899 | (2,749 | ) | |||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | 1,980,000 | 65,971 | 65,133 | (838 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 3,459,000 | 261,571 | 260,932 | (639 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 690,000 | 52,199 | 52,051 | (148 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 37,069,676 | 37,561,794 | 492,118 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | (1,279,600 | ) | $(945,096 | ) | $(982,528 | ) | $(37,432 | ) | ||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | (1,919,400 | ) | (1,417,643 | ) | (1,473,792 | ) | (56,149 | ) | ||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (1,774,000 | ) | (529,516 | ) | (527,013 | ) | 2,503 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (2,256,000 | ) | (674,141 | ) | (670,201 | ) | 3,940 | |||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (395,600 | ) | (293,405 | ) | (305,439 | ) | (12,034 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (593,400 | ) | (440,108 | ) | (458,159 | ) | (18,051 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (1,173,200 | ) | (1,214,410 | ) | (1,229,645 | ) | (15,235 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (1,669,800 | ) | (1,728,644 | ) | (1,750,137 | ) | (21,493 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | (150,400,000 | ) | (224,194 | ) | (226,051 | ) | (1,857 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | (225,600,000 | ) | (336,292 | ) | (339,077 | ) | (2,785 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | (3,525,800 | ) | (513,842 | ) | (517,005 | ) | (3,163 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | (2,491,200 | ) | (364,070 | ) | (365,297 | ) | (1,227 | ) | ||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | (428,000,000 | ) | (145,007 | ) | (139,002 | ) | 6,005 | |||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | (132,000,000 | ) | (44,647 | ) | (42,870 | ) | 1,777 | |||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (1,493,600 | ) | (1,683,472 | ) | (1,712,975 | ) | (29,503 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
62
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (1,490,400 | ) | $ (1,676,945 | ) | $ (1,709,303 | ) | $ (32,358 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (2,179,200 | ) | (2,811,986 | ) | (2,845,165 | ) | (33,179 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (2,338,800 | ) | (3,028,040 | ) | (3,053,539 | ) | (25,499 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (487,200 | ) | (62,656 | ) | (62,537 | ) | 119 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (475,800 | ) | (61,198 | ) | (61,073 | ) | 125 | |||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | (400,000,000 | ) | (29,758 | ) | (29,755 | ) | 3 | |||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | (16,000 | ) | (4,528 | ) | (4,601 | ) | (73 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | (24,000 | ) | (6,792 | ) | (6,901 | ) | (109 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | (39,680,000 | ) | (609,709 | ) | (608,646 | ) | 1,063 | |||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | (32,220,000 | ) | (494,547 | ) | (494,219 | ) | 328 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | (85,935,000 | ) | (777,065 | ) | (766,654 | ) | 10,411 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | (92,985,000 | ) | (838,431 | ) | (829,550 | ) | 8,881 | |||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (797,312,000 | ) | (712,719 | ) | (697,002 | ) | 15,717 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (1,195,968,000 | ) | (1,069,076 | ) | (1,045,502 | ) | 23,574 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | (2,986,000 | ) | (161,591 | ) | (162,508 | ) | (917 | ) | ||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | (4,029,000 | ) | (218,139 | ) | (219,271 | ) | (1,132 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (5,803,200 | ) | (692,272 | ) | (696,168 | ) | (3,896 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (8,704,800 | ) | (1,038,407 | ) | (1,044,252 | ) | (5,845 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | (1,656,000 | ) | (1,163,841 | ) | (1,211,769 | ) | (47,928 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | (2,484,000 | ) | (1,745,759 | ) | (1,817,654 | ) | (71,895 | ) | ||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | (3,920,000 | ) | (77,183 | ) | (77,153 | ) | 30 | |||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | (1,380,000 | ) | (27,212 | ) | (27,161 | ) | 51 | |||||||||||
| Russian Ruble, Expiring 09/20/17* |
CITI | RUB | (11,800,000 | ) | (198,939 | ) | (196,829 | ) | 2,110 | |||||||||||
| Russian Ruble, Expiring 09/20/17* |
JPMC | RUB | (1,500,000 | ) | (24,969 | ) | (25,021 | ) | (52 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (7,078,000 | ) | (820,445 | ) | (843,899 | ) | (23,454 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (249,200 | ) | (180,061 | ) | (181,229 | ) | (1,168 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (373,800 | ) | (270,091 | ) | (271,842 | ) | (1,751 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | (302,000 | ) | (83,147 | ) | (83,937 | ) | (790 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
63
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | (138,000 | ) | $ (37,799 | ) | $ (38,357 | ) | $ (558 | ) | ||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (2,287,600 | ) | (173,563 | ) | (172,566 | ) | 997 | |||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (1,928,400 | ) | (146,313 | ) | (145,470 | ) | 843 | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (29,797,668 | ) | (30,168,724 | ) | (371,056 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $7,272,008 | $7,393,070 | $121,062 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $1,713,300 | $1,713,300 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 131,117 | — | 131,117 | |||||||||
|
|
||||||||||||
| CRSU | ||||||||||||
| Cash | — | 2,433,754 | 2,433,754 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 43,368 | 43,368 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 380,308 | — | 380,308 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 270,818 | — | 270,818 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 65,653 | 65,653 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 134,700 | 134,700 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
64
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $60,232 | $— | $60,232 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 9,497 | 9,497 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 81,858 | 81,858 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 157,354 | 157,354 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
65
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
66
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
67
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
68
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
69
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
70
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,113,112,167. In addition, $1,014 of cash collateral was pledged. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $9,440,427, which represents approximately 0.22% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of 6/30/2017. |
| (d) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (e) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT |
SHARES |
SHARES SOLD |
SHARES HELD AT |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund (Short-Term Investment) |
— | 3,162,114,383 | (1,583,470,786 | ) | 1,578,643,597 | $1,578,485,732 | $881,063 | $— | $— | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Represents less than 0.05% of net assets. |
| (h) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 5).
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| JPMC | MSCI Singapore Index July Futures | 07/2017 | SGD | 608,570 | $571 | |||||||||||
| GSIN | Swiss Market Index September Futures | 09/2017 | CHF | 54,867,846 | 301,215 | |||||||||||
| JPMC | Swiss Market Index September Futures | 09/2017 | CHF | 14,898,407 | 25,055 | |||||||||||
|
|
|
|||||||||||||||
| $326,841 | ||||||||||||||||
|
|
|
|||||||||||||||
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 416 | BARC | Amsterdam Index Futures | 07/2017 | $49,781,919 | $48,131,114 | $(1,650,805 | ) | |||||||||||||
| 1,525 | BARC | CAC40 Index Futures | 07/2017 | 91,894,227 | 89,118,109 | (2,776,118 | ) | |||||||||||||
| 220 | BARC | DAX Index Futures | 09/2017 | 80,304,349 | 77,392,084 | (2,912,265 | ) | |||||||||||||
| 1,491 | BARC | FTSE 100 Index Futures | 09/2017 | 144,739,042 | 140,645,937 | (4,093,105 | ) | |||||||||||||
| 140 | BARC | FTSE/MIB Index Futures | 09/2017 | 16,802,026 | 16,389,052 | (412,974 | ) | |||||||||||||
| 124 | BARC | Hang Seng Index Futures | 07/2017 | 20,377,411 | 20,317,389 | (60,022 | ) | |||||||||||||
| 251 | BARC | IBEX 35 Index Futures | 07/2017 | 30,940,313 | 29,831,598 | (1,108,715 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
71
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 672 | BARC | MSCI Singapore Index Futures | 07/2017 | $ 17,442,050 | $ 17,496,162 | $ 54,112 | ||||||||||||||
| 1,316 | BARC | OMXS30 Index Futures | 07/2017 | 25,680,140 | 25,036,131 | (644,009 | ) | |||||||||||||
| 10,523 | BARC | S&P 500 E-Mini Futures | 09/2017 | 1,277,768,203 | 1,273,756,535 | (4,011,668 | ) | |||||||||||||
| 515 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 71,648,307 | 70,625,848 | (1,022,459 | ) | |||||||||||||
| 532 | BARC | SPI 200 Index Futures | 09/2017 | 57,988,588 | 57,746,221 | (242,367 | ) | |||||||||||||
| 1,291 | BARC | TOPIX Index Futures | 09/2017 | 183,790,834 | 184,969,682 | 1,178,848 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $2,069,157,409 | $2,051,455,862 | $(17,701,547 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 27,133,200 | $20,305,910 | $20,833,955 | $528,045 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 40,699,800 | 30,458,900 | 31,250,932 | 792,032 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 37,545,164 | 27,916,765 | 28,988,287 | 1,071,522 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 52,968,246 | 39,390,193 | 40,896,312 | 1,506,119 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 21,803,832 | 22,645,406 | 22,852,849 | 207,443 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 30,584,750 | 31,760,439 | 32,056,231 | 295,792 | ||||||||||||||
| Danish Krone, Expiring 09/20/17 |
CITI | DKK | 16,997,777 | 2,562,907 | 2,622,406 | 59,499 | ||||||||||||||
| Danish Krone, Expiring 09/20/17 |
JPMC | DKK | 24,614,666 | 3,710,288 | 3,797,535 | 87,247 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 54,149,152 | 61,040,645 | 62,102,316 | 1,061,671 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 81,223,728 | 91,560,507 | 93,153,475 | 1,592,968 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 40,710,401 | 52,843,045 | 53,151,545 | 308,500 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 61,065,600 | 79,262,726 | 79,727,316 | 464,590 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 79,206,800 | 10,190,811 | 10,166,913 | (23,898 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 118,810,200 | 15,286,235 | 15,250,368 | (35,867 | ) | |||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | 8,048,400 | 2,272,054 | 2,314,415 | 42,361 | ||||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | 8,784,600 | 2,476,387 | 2,526,117 | 49,730 | ||||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 7,909,495,401 | 71,776,270 | 70,563,242 | (1,213,028 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 11,217,354,600 | 101,724,132 | 100,073,755 | (1,650,377 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
72
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 24,837,806 | $ 2,948,698 | $ 2,979,613 | $ 30,915 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 37,256,709 | 4,423,051 | 4,469,419 | 46,368 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 1,766,000 | 1,234,792 | 1,292,261 | 57,469 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 2,648,999 | 1,852,189 | 1,938,391 | 86,202 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 100,524,706 | 11,614,518 | 11,985,394 | 370,876 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 137,917,056 | 15,931,663 | 16,443,628 | 511,965 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | 8,154,686 | 5,899,251 | 5,930,421 | 31,170 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | 12,232,029 | 8,848,891 | 8,895,631 | 46,740 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 719,936,673 | 726,262,727 | 6,326,054 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | (293,600 | ) | $(217,909 | ) | $(225,438 | ) | $(7,529 | ) | ||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | (440,400 | ) | (326,863 | ) | (338,157 | ) | (11,294 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (812,800 | ) | (615,602 | ) | (627,556 | ) | (11,954 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (1,219,200 | ) | (923,400 | ) | (941,334 | ) | (17,934 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (8,155,200 | ) | (8,493,244 | ) | (8,547,560 | ) | (54,316 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (12,232,800 | ) | (12,739,748 | ) | (12,821,339 | ) | (81,591 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 |
CITI | DKK | (23,818,000 | ) | (3,629,232 | ) | (3,674,627 | ) | (45,395 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 |
JPMC | DKK | (35,727,000 | ) | (5,443,841 | ) | (5,511,940 | ) | (68,099 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (9,775,200 | ) | (10,979,272 | ) | (11,210,934 | ) | (231,662 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (14,662,800 | ) | (16,468,887 | ) | (16,816,402 | ) | (347,515 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (425,000 | ) | (54,663 | ) | (54,553 | ) | 110 | |||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (4,756,200 | ) | (562,851 | ) | (570,567 | ) | (7,716 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (4,342,800 | ) | (512,970 | ) | (520,974 | ) | (8,004 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | (2,830,000 | ) | (2,004,674 | ) | (2,070,838 | ) | (66,164 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | (99,000 | ) | (71,033 | ) | (72,443 | ) | (1,410 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (10,843,200 | ) | (1,261,790 | ) | (1,292,818 | ) | (31,028 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | (16,264,800 | ) | (1,892,682 | ) | (1,939,225 | ) | (46,543 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
73
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (3,934,400 | ) | $ (2,848,364 | ) | $ (2,861,257 | ) | $ (12,893 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (693,600 | ) | (501,876 | ) | (504,414 | ) | (2,538 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (69,548,901 | ) | (70,602,376 | ) | (1,053,475 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $650,387,772 | $655,660,351 | $5,272,579 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
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
Total Return Basket Swaps* Outstanding at June 30, 2017
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 50 months maturity 08/21/2017 |
$2,675,882 | |||||
|
|
|
|||||||
| * | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
74
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
75
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
76
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives 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. | 99 months maturity 08/20/2021 |
$9,981,461 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
77
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
78
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
79
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
80
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives 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. | 61 months maturity 09/21/2021 | $6,051,570 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
81
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives 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. | 61 months maturity 01/19/2022 | $(71,637 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
82
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR and Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 9-45 months maturity 12/22/2020 |
$35,453,506 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
83
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
84
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
85
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
86
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
87
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
88
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
89
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
90
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
91
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
92
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
93
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 1-45 months maturity 12/21/2020 |
$(180,390 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
94
Table of Contents
| Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||
| BARC | ||||||||
| Cash | $— | $100,107,995 | $100,107,995 | |||||
|
|
||||||||
| CITI | ||||||||
| Cash | (1,730,000) | — | (1,730,000 | ) | ||||
| Investment Companies | 7,703,178 | — | 7,703,178 | |||||
|
|
||||||||
| DTBK | ||||||||
| Cash | 159,462,955 | — | 159,462,955 | |||||
|
|
||||||||
| GSIN | ||||||||
| Cash | (36,090,000) | — | (36,090,000 | ) | ||||
| Investment Companies | 568,923,892 | — | 568,923,892 | |||||
|
|
||||||||
| JPMC | ||||||||
| Investment Companies | 23,566,292 | — | 23,566,292 | |||||
|
|
||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
95
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
96
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
97
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
98
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
99
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $906,515,178. In addition, $45,966,885 of cash collateral was pledged. |
| (c) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $150,125,069, which represents approximately 4.60% of net assets of the fund. |
| (d) | Perpetual security. The rate reflected was the rate in effect on 6/30/2017. The maturity date reflects the next call date. |
| (e) | Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $4,326,000, which represents approximately 0.13% of net assets of the fund. |
| (f) | Defaulted security. |
| (g) | Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. |
| (h) | Variable or floating rate security. The interest rate shown was the current rate as of 6/30/2017 and changes periodically. |
| (i) | Represents 7-day effective yield as of 6/30/2017. |
| (j) | All or a portion of the security represents positions held in the respective Subsidiary (See Note 2). |
| (k) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (l) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows |
| AFFILIATE | SHARES HELD AT 12/31/16 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/17 |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund (Short-Term Investment) | — | 1,192,761,498 | (490,604,969 | ) | 702,156,529 | $702,086,313 | $1,018,129 | $(33,910 | ) | $(32,981 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (m) | The rate shown was the effective yield at the date of purchase. |
| (n) | All or a portion of the security pledged as collateral for futures contracts. |
| (o) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
Abbreviations
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
Credit default swap contracts sell protection as of June 30, 2017:
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE PAID BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||||||
| CITG | iTraxx Europe Crossover Series 27.V1 | 5.000 | % | EUR | 2.475 | % | 210,879,000 | $21,384,367 | 06/20/2022 | $6,639,016 | ||||||||||||||||||
| CITG | Markit CDX North America High Yield Index Series 28.V1 | 5.000 | % | USD | 3.392 | % | 111,154,000 | 7,825,947 | 06/20/2022 | (3,455 | ) | |||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
100
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE PAID BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared (continued) | ||||||||||||||||||||||||||||
| CITG | Markit CDX North America Investment Grade Index Series 28.V1 | 1.000 | % | USD | 0.607 | % | 114,800,000 | $ 1,671,630 | 06/20/2022 | $ 483,215 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $30,881,944 | $7,118,776 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Credit default swap contracts sell protection as of June 30, 2017:
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE PAID BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||||||
| CITG | iTraxx Europe Series 27.V1 | 1.000 | % | EUR | 0.561 | % | 282,312,000 | $(3,665,244 | ) | 06/20/2022 | $(3,397,053 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Open written options contracts outstanding at June 30, 2017:
Exchange Traded
Call options written
| NUMBER OF CONTRACTS |
ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| 351 | Tesla Motors, Inc. (Exercise price $125) |
JPMS | 01/19/2018 | $(1,832,874 | ) | $(8,239,725 | ) | $(6,406,851 | ) | |||||||||||
|
|
|
|||||||||||||||||||
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| MSCS | BIST 30 August Futures | 08/2017 | TRY | 19,734,768 | $29,683 | |||||||||
| MSCS | Bovespa Index August Futures | 08/2017 | BRL | 16,300,730 | 72,776 | |||||||||
| MACQ | Cocoa September Futures^ | 08/2017 | USD | (484,863 | ) | 19,263 | ||||||||
| GSIN | Coffee ‘C’ September Futures^ | 08/2017 | USD | (1,317,187 | ) | (2,663 | ) | |||||||
| CITI | Corn September Futures^ | 08/2017 | USD | (24,187,576 | ) | 603,676 | ||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | 1,434,529 | 32,321 | |||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | (3,171,960 | ) | 85,860 | ||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | 3,210,638 | (124,537 | ) | ||||||||
| MLIN | Corn September Futures^ | 08/2017 | USD | (9,602,788 | ) | 230,187 | ||||||||
| MLIN | Corn September Futures^ | 08/2017 | USD | 615,350 | (24,800 | ) | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | (1,108,680 | ) | 11,240 | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | 1,169,645 | (72,205 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
101
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| MACQ | Cotton No. 2 December Futures^ | 11/2017 | USD | 804,210 | $ (49,720 | ) | ||||||||
| MACQ | Cotton No. 2 December Futures^ | 11/2017 | USD | (746,690 | ) | (7,800 | ) | |||||||
| MLIN | Cotton No. 2 December Futures^ | 11/2017 | USD | (970,805 | ) | 44,840 | ||||||||
| MLIN | Cotton No. 2 December Futures^ | 11/2017 | USD | 987,020 | (61,055 | ) | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | 1,315,100 | (80,480 | ) | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | (1,292,490 | ) | 57,870 | ||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 11,555,792 | (5,449 | ) | ||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 8,980,821 | (3,339 | ) | ||||||||
| JPMC | Hang Seng Index July Futures | 07/2017 | HKD | 67,946,337 | (18,705 | ) | ||||||||
| MSCS | Hang Seng Index July Futures | 07/2017 | HKD | 50,002,755 | (14,340 | ) | ||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 579,395 | 56,006 | |||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (724,690 | ) | (96,035 | ) | |||||||
| MLIN | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 446,975 | 29,575 | |||||||||
| MLIN | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (675,312 | ) | (92,463 | ) | |||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (257,085 | ) | (34,140 | ) | |||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 60,334,315 | (88,865 | ) | ||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 178,367,897 | (190,202 | ) | ||||||||
| JPMC | H-SHARES Index July Futures | 07/2017 | HKD | 228,817,411 | (253,505 | ) | ||||||||
| MSCS | H-SHARES Index July Futures | 07/2017 | HKD | 89,960,287 | (96,602 | ) | ||||||||
| JPMC | KOSPI Index 200 September Futures | 09/2017 | KRW | 21,093,128,825 | 230,245 | |||||||||
| MSCS | KOSPI Index 200 September Futures | 09/2017 | KRW | 79,954,558,325 | 1,094,518 | |||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | 161,612 | 5,888 | |||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | (1,292,800 | ) | (47,200 | ) | |||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | (840,818 | ) | (30,182 | ) | |||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | 546,335 | 23,165 | |||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | 1,517,836 | 185,914 | |||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | (1,449,468 | ) | (254,282 | ) | |||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | (2,410,532 | ) | (416,968 | ) | |||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | 2,530,637 | 296,863 | |||||||||
| MLIN | Lean Hogs July Futures^ | 07/2017 | USD | (708,525 | ) | (125,225 | ) | |||||||
| MLIN | Lean Hogs July Futures^ | 07/2017 | USD | 753,290 | 80,460 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 960,303 | 90,947 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (895,749 | ) | (155,501 | ) | |||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 1,453,192 | (57,592 | ) | ||||||||
| MLIN | Live Cattle August Futures^ | 08/2017 | USD | 5,029,143 | (237,583 | ) | ||||||||
| MLIN | Live Cattle August Futures^ | 08/2017 | USD | (191,760 | ) | 5,680 | ||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 8,535,453 | (347,933 | ) | ||||||||
| MSCS | MSCI Singapore Index July Futures | 07/2017 | SGD | 607,757 | 1,157 | |||||||||
| BANA | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 4,060,951 | (53,831 | ) | ||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 7,806,329 | (61,799 | ) | ||||||||
| JPMC | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 310,444 | (2,204 | ) | ||||||||
| MSCS | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 5,377,808 | (60,668 | ) | ||||||||
| GSIN | NSE Nifty 50 Index July Futures | 07/2017 | INR | (2,994,173,489 | ) | 84,736 | ||||||||
| BANA | OMXS30 Index July Futures | 07/2017 | SEK | 39,241,047 | (128,312 | ) | ||||||||
| BANA | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | (382,401 | ) | 1,662 | ||||||||
| JPMC | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | (993,090 | ) | 3,166 | ||||||||
| MSCS | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | (1,698,701 | ) | 4,408 | ||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | (8,348,650 | ) | (84,870 | ) | |||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | (1,168,811 | ) | (13,749 | ) | |||||||
| MACQ | Soybean Meal December Futures^ | 11/2017 | USD | (4,394,510 | ) | (24,530 | ) | |||||||
| MLIN | Soybean Meal December Futures^ | 11/2017 | USD | (5,571,190 | ) | (30,410 | ) | |||||||
| SOCG | Soybean Meal December Futures^ | 11/2017 | USD | (1,207,127 | ) | (6,553 | ) | |||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | (24,517,839 | ) | (544,349 | ) | |||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (21,814,963 | ) | (335,237 | ) | |||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 1,084,153 | 13,810 | |||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | (11,828,243 | ) | (153,870 | ) | |||||||
| MLIN | Soybean November Futures^ | 10/2017 | USD | (11,625,725 | ) | (165,438 | ) | |||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
102
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | (17,989,104 | ) | $ (246,621 | ) | |||||||||
| GSIN | Soybean Oil December Futures^ | 11/2017 | USD | (524,412 | ) | (15,696 | ) | |||||||||
| GSIN | Soybean Oil December Futures^ | 11/2017 | USD | 547,398 | (7,290 | ) | ||||||||||
| MACQ | Soybean Oil December Futures^ | 11/2017 | USD | (1,047,170 | ) | (33,046 | ) | |||||||||
| MACQ | Soybean Oil December Futures^ | 11/2017 | USD | 138,768 | 1,260 | |||||||||||
| MLIN | Soybean Oil December Futures^ | 11/2017 | USD | 391,782 | 8,298 | |||||||||||
| MLIN | Soybean Oil December Futures^ | 11/2017 | USD | (386,118 | ) | (13,962 | ) | |||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 261,007 | (955 | ) | ||||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | (252,329 | ) | (7,723 | ) | |||||||||
| MSCS | Swiss Market Index September Futures | 09/2017 | CHF | (276,921,521 | ) | (950,860 | ) | |||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 220,271,207 | 173,970 | |||||||||||
| MSCS | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 722,051,994 | 666,177 | |||||||||||
| BANA | Tel Aviv 25 Index July Futures | 07/2017 | ILS | (63,803,960 | ) | 124,779 | ||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | (5,012,656 | ) | (747,044 | ) | |||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | 5,058,590 | 385,510 | |||||||||||
| MACQ | Wheat September Futures^ | 08/2017 | USD | (2,704,400 | ) | (399,000 | ) | |||||||||
| MLIN | Wheat September Futures^ | 08/2017 | USD | (1,893,969 | ) | (288,931 | ) | |||||||||
| MLIN | Wheat September Futures^ | 08/2017 | USD | 1,954,650 | 228,250 | |||||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | 3,191,980 | 332,220 | |||||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | (3,066,978 | ) | (457,222 | ) | |||||||||
| GSIN | WIG20 Index September Futures | 09/2017 | PLN | 28,717,608 | 23,576 | |||||||||||
|
|
|
|||||||||||||||
| $(2,483,585 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 255 | MSCL | Copper Futures^ | 09/2017 | $16,594,511 | $17,282,625 | $688,114 | ||||||||||||||
| 304 | MSCL | Gold 100 OZ Futures^ | 08/2017 | 39,252,764 | 37,765,920 | (1,486,844 | ) | |||||||||||||
| 31 | MSCL | Hard Red Winter Wheat Futures^ | 09/2017 | 765,046 | 820,725 | 55,679 | ||||||||||||||
| 3 | MSCL | Live Cattle Futures^ | 08/2017 | 144,908 | 139,560 | (5,348 | ) | |||||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 07/2017 | 440,796 | 430,538 | (10,258 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 48,995 | 47,832 | (1,163 | ) | |||||||||||||
| 15 | JPPC | LME Aluminum Futures^ | 08/2017 | 717,969 | 717,157 | (812 | ) | |||||||||||||
| 27 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,297,123 | 1,290,992 | (6,131 | ) | |||||||||||||
| 28 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,342,669 | 1,338,925 | (3,744 | ) | |||||||||||||
| 15 | JPPC | LME Aluminum Futures^ | 08/2017 | 708,224 | 717,532 | 9,308 | ||||||||||||||
| 23 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,081,068 | 1,100,309 | 19,241 | ||||||||||||||
| 20 | JPPC | LME Aluminum Futures^ | 08/2017 | 933,417 | 956,875 | 23,458 | ||||||||||||||
| 25 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,178,644 | 1,196,144 | 17,500 | ||||||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 08/2017 | 337,488 | 335,086 | (2,402 | ) | |||||||||||||
| 5 | JPPC | LME Aluminum Futures^ | 08/2017 | 243,361 | 239,370 | (3,991 | ) | |||||||||||||
| 13 | JPPC | LME Aluminum Futures^ | 08/2017 | 635,884 | 622,417 | (13,467 | ) | |||||||||||||
| 19 | JPPC | LME Aluminum Futures^ | 08/2017 | 910,163 | 910,176 | 13 | ||||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 09/2017 | 143,936 | 143,726 | (210 | ) | |||||||||||||
| 18 | JPPC | LME Aluminum Futures^ | 09/2017 | 843,353 | 863,437 | 20,084 | ||||||||||||||
| 170 | JPPC | LME Aluminum Futures^ | 09/2017 | 8,232,982 | 8,157,875 | (75,107 | ) | |||||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 09/2017 | 423,022 | 431,854 | 8,832 | ||||||||||||||
| 28 | JPPC | LME Aluminum Futures^ | 09/2017 | 1,314,869 | 1,343,125 | 28,256 | ||||||||||||||
| 6 | JPPC | LME Aluminum Futures^ | 09/2017 | 280,890 | 287,834 | 6,944 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
103
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 6 | JPPC | LME Aluminum Futures^ | 09/2017 | $ 280,536 | $ 287,839 | $ 7,303 | ||||||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 09/2017 | 330,242 | 335,818 | 5,576 | ||||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | 190,610 | 191,900 | 1,290 | ||||||||||||||
| 46 | JPPC | LME Copper Futures^ | 07/2017 | 6,576,986 | 6,818,925 | 241,939 | ||||||||||||||
| 74 | JPPC | LME Copper Futures^ | 07/2017 | 10,533,981 | 10,968,650 | 434,669 | ||||||||||||||
| 49 | JPPC | LME Copper Futures^ | 07/2017 | 6,924,923 | 7,255,063 | 330,140 | ||||||||||||||
| 61 | JPPC | LME Copper Futures^ | 07/2017 | 8,712,628 | 9,034,390 | 321,762 | ||||||||||||||
| 12 | JPPC | LME Copper Futures^ | 08/2017 | 1,669,979 | 1,778,439 | 108,460 | ||||||||||||||
| 52 | JPPC | LME Copper Futures^ | 08/2017 | 7,165,237 | 7,709,975 | 544,738 | ||||||||||||||
| 5 | JPPC | LME Copper Futures^ | 08/2017 | 695,015 | 741,360 | 46,345 | ||||||||||||||
| 4 | JPPC | LME Copper Futures^ | 08/2017 | 553,475 | 593,042 | 39,567 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | 142,811 | 148,333 | 5,522 | ||||||||||||||
| 4 | JPPC | LME Copper Futures^ | 08/2017 | 564,973 | 593,583 | 28,610 | ||||||||||||||
| 3 | JPPC | LME Copper Futures^ | 09/2017 | 426,017 | 445,219 | 19,202 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | 142,558 | 148,448 | 5,890 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | 141,652 | 148,489 | 6,837 | ||||||||||||||
| 12 | JPPC | LME Copper Futures^ | 09/2017 | 1,714,448 | 1,782,075 | 67,627 | ||||||||||||||
| 2 | JPPC | LME Copper Futures^ | 09/2017 | 297,080 | 296,850 | (230 | ) | |||||||||||||
| 3 | JPPC | LME Nickel Futures^ | 07/2017 | 170,107 | 168,485 | (1,622 | ) | |||||||||||||
| 14 | JPPC | LME Nickel Futures^ | 08/2017 | 753,802 | 786,612 | 32,810 | ||||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | 54,917 | 56,233 | 1,316 | ||||||||||||||
| 4 | JPPC | LME Nickel Futures^ | 08/2017 | 217,930 | 224,999 | 7,069 | ||||||||||||||
| 8 | JPPC | LME Nickel Futures^ | 08/2017 | 426,680 | 450,137 | 23,457 | ||||||||||||||
| 10 | JPPC | LME Nickel Futures^ | 09/2017 | 527,277 | 562,700 | 35,423 | ||||||||||||||
| 17 | JPPC | LME Nickel Futures^ | 09/2017 | 959,275 | 957,525 | (1,750 | ) | |||||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | 163,897 | 169,002 | 5,105 | ||||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 09/2017 | 110,585 | 112,674 | 2,089 | ||||||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | 167,671 | 169,020 | 1,349 | ||||||||||||||
| 10 | JPPC | LME Zinc Futures^ | 07/2017 | 646,275 | 688,813 | 42,538 | ||||||||||||||
| 11 | JPPC | LME Zinc Futures^ | 07/2017 | 711,252 | 758,038 | 46,786 | ||||||||||||||
| 6 | JPPC | LME Zinc Futures^ | 07/2017 | 381,727 | 413,512 | 31,785 | ||||||||||||||
| 8 | JPPC | LME Zinc Futures^ | 07/2017 | 520,800 | 551,358 | 30,558 | ||||||||||||||
| 5 | JPPC | LME Zinc Futures^ | 07/2017 | 327,700 | 344,603 | 16,903 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 07/2017 | 65,265 | 68,923 | 3,658 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 08/2017 | 66,165 | 68,931 | 2,766 | ||||||||||||||
| 27 | JPPC | LME Zinc Futures^ | 09/2017 | 1,807,693 | 1,863,000 | 55,307 | ||||||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | 136,980 | 137,900 | 920 | ||||||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | 136,606 | 137,900 | 1,294 | ||||||||||||||
| 4 | JPPC | LME Zinc Futures^ | 09/2017 | 275,232 | 275,800 | 568 | ||||||||||||||
| 69 | MSCL | NYMEX Palladium Futures^ | 09/2017 | 5,384,366 | 5,772,885 | 388,519 | ||||||||||||||
| 451 | MSCL | Silver Futures^ | 09/2017 | 37,137,017 | 37,493,885 | 356,868 | ||||||||||||||
| 14 | MSCL | Soybean Oil Futures^ | 12/2017 | 276,786 | 280,056 | 3,270 | ||||||||||||||
| 14 | MSCL | Wheat Futures^ | 09/2017 | 344,527 | 368,200 | 23,673 | ||||||||||||||
| 539 | JPMS | BIST 30 Futures | 08/2017 | 1,921,732 | 1,926,013 | 4,281 | ||||||||||||||
| 429 | BARC | DAX Index Futures | 09/2017 | 156,717,945 | 150,914,562 | (5,803,383 | ) | |||||||||||||
| 267 | BARC | E-Mini DJIA CBOT Futures | 09/2017 | 28,331,014 | 28,435,500 | 104,486 | ||||||||||||||
| 88 | JPMS | E-Mini MSCI EAFE Index Futures | 09/2017 | 8,322,939 | 8,314,240 | (8,699 | ) | |||||||||||||
| 388 | BARC | E-Mini MSCI Emerging Markets Index Futures | 09/2017 | 19,547,718 | 19,561,020 | 13,302 | ||||||||||||||
| 5,279 | BARC | E-Mini Russell 2000 Futures | 09/2017 | 375,644,024 | 373,304,485 | (2,339,539 | ) | |||||||||||||
| 5,833 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 236,911,988 | 228,578,740 | (8,333,248 | ) | |||||||||||||
| 1,866 | BARC | FTSE 100 Index Futures | 09/2017 | 181,287,165 | 176,019,664 | (5,267,501 | ) | |||||||||||||
| 130 | GSCO | FTSE Bursa Malaysia KLCI Index Futures | 09/2017 | 20,058,690 | 20,065,520 | 6,830 | ||||||||||||||
| 33 | BARC | Hang Seng Index Futures | 07/2017 | 5,423,314 | 5,407,047 | (16,267 | ) | |||||||||||||
| 220 | BARC | H-SHARES Index Futures | 07/2017 | 14,487,202 | 14,363,845 | (123,357 | ) | |||||||||||||
| 300 | BARC | IBEX 35 Index Futures | 07/2017 | 37,043,113 | 35,655,296 | (1,387,817 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
104
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 86 | BARC | KOSPI Index 200 Futures | 09/2017 | $ 5,791,909 | $ 5,879,779 | $ 87,870 | ||||||||||||||
| 4 | JPMS | KOSPI Index 200 Futures | 09/2017 | 269,869 | 273,479 | 3,610 | ||||||||||||||
| 146 | BARC | MSCI Singapore Index Futures | 07/2017 | 3,830,404 | 3,801,249 | (29,155 | ) | |||||||||||||
| 293 | BARC | MSCI Taiwan Stock Index Futures | 07/2017 | 11,421,573 | 11,289,290 | (132,283 | ) | |||||||||||||
| 286 | BARC | NASDAQ 100 E-Mini Index Futures | 09/2017 | 32,855,744 | 32,333,730 | (522,014 | ) | |||||||||||||
| 107 | JPMS | Nikkei 225 Futures | 09/2017 | 19,133,149 | 19,045,476 | (87,673 | ) | |||||||||||||
| 322 | JPMS | OMXS30 Index Futures | 07/2017 | 6,312,768 | 6,125,862 | (186,906 | ) | |||||||||||||
| 80 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 11,137,190 | 10,971,006 | (166,184 | ) | |||||||||||||
| 37 | BARC | S&PMID 400 E-Mini Futures | 09/2017 | 6,496,035 | 6,460,570 | (35,465 | ) | |||||||||||||
| 505 | BARC | SGX S&P CNX Nifty Index Futures | 07/2017 | 9,640,698 | 9,613,685 | (27,013 | ) | |||||||||||||
| 1,470 | BARC | TOPIX Index Futures | 09/2017 | 209,368,573 | 210,616,137 | 1,247,564 | ||||||||||||||
| 69 | JPMS | 3-Month Euro Euribor Futures | 12/2018 | 19,739,488 | 19,719,819 | (19,669 | ) | |||||||||||||
| 19 | JPMS | 3-Month Euro Euribor Futures | 03/2019 | 5,433,191 | 5,426,569 | (6,622 | ) | |||||||||||||
| 74 | JPMS | 90-Day Sterling Futures | 12/2018 | 11,986,307 | 11,954,896 | (31,411 | ) | |||||||||||||
| 121 | JPMS | 90-Day Sterling Futures | 03/2019 | 19,592,374 | 19,539,989 | (52,385 | ) | |||||||||||||
| 145 | JPMS | 90-Day Sterling Futures | 06/2019 | 23,480,034 | 23,403,888 | (76,146 | ) | |||||||||||||
| 365 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 09/2017 | 279,333,217 | 279,340,497 | 7,280 | ||||||||||||||
| 796 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 12/2017 | 608,989,952 | 609,147,007 | 157,055 | ||||||||||||||
| 825 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 03/2018 | 631,115,844 | 631,231,068 | 115,224 | ||||||||||||||
| 446 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 06/2018 | 341,291,068 | 341,171,974 | (119,094 | ) | |||||||||||||
| 2,268 | GSCO | Euro-Bund Futures | 09/2017 | 426,123,676 | 419,307,429 | (6,816,247 | ) | |||||||||||||
| 249 | GSCO | Euro-OAT Futures | 09/2017 | 42,564,087 | 42,227,021 | (337,066 | ) | |||||||||||||
| 93 | GSCO | Euro-SCHATZ Futures | 09/2017 | 11,912,372 | 11,880,701 | (31,671 | ) | |||||||||||||
| 1,446 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 181,959,067 | 181,518,187 | (440,880 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 4,182,181,198 | 4,154,124,863 | (28,056,335 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 431 | GSCO | Brent Crude Futures^ | 07/2017 | $(20,108,501 | ) | $(21,019,870 | ) | $(911,369 | ) | |||||||||||
| 127 | GSCO | Cocoa Futures^ | 09/2017 | (2,592,470 | ) | (2,522,520 | ) | 69,950 | ||||||||||||
| 39 | MSCL | Cocoa Futures^ | 09/2017 | (737,518 | ) | (756,600 | ) | (19,082 | ) | |||||||||||
| 210 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | (10,229,372 | ) | (9,898,875 | ) | 330,497 | ||||||||||||
| 127 | MSCL | Corn Futures^ | 09/2017 | (2,342,943 | ) | (2,419,350 | ) | (76,407 | ) | |||||||||||
| 52 | MSCL | Cotton No. 2 Futures^ | 12/2017 | (1,745,454 | ) | (1,783,340 | ) | (37,886 | ) | |||||||||||
| 407 | GSCO | Gas Oil Futures^ | 08/2017 | (17,355,057 | ) | (17,745,200 | ) | (390,143 | ) | |||||||||||
| 169 | MSCL | Gasoline RBOB Futures^ | 07/2017 | (10,466,325 | ) | (10,744,243 | ) | (277,918 | ) | |||||||||||
| 241 | MSCL | Heating Oil ULSD Futures^ | 07/2017 | (14,463,685 | ) | (15,011,938 | ) | (548,253 | ) | |||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 07/2017 | (439,003 | ) | (430,538 | ) | 8,465 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (48,913 | ) | (47,833 | ) | 1,080 | ||||||||||||
| 15 | JPPC | LME Aluminum Futures^ | 08/2017 | (717,995 | ) | (717,158 | ) | 837 | ||||||||||||
| 27 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,295,528 | ) | (1,290,992 | ) | 4,536 | ||||||||||||
| 28 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,337,240 | ) | (1,338,925 | ) | (1,685 | ) | |||||||||||
| 15 | JPPC | LME Aluminum Futures^ | 08/2017 | (705,728 | ) | (717,533 | ) | (11,805 | ) | |||||||||||
| 23 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,080,616 | ) | (1,100,308 | ) | (19,692 | ) | |||||||||||
| 20 | JPPC | LME Aluminum Futures^ | 08/2017 | (936,197 | ) | (956,875 | ) | (20,678 | ) | |||||||||||
| 25 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,176,693 | ) | (1,196,144 | ) | (19,451 | ) | |||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 08/2017 | (337,558 | ) | (335,087 | ) | 2,471 | ||||||||||||
| 5 | JPPC | LME Aluminum Futures^ | 08/2017 | (242,863 | ) | (239,370 | ) | 3,493 | ||||||||||||
| 13 | JPPC | LME Aluminum Futures^ | 08/2017 | (637,006 | ) | (622,418 | ) | 14,588 | ||||||||||||
| 19 | JPPC | LME Aluminum Futures^ | 08/2017 | (908,178 | ) | (910,176 | ) | (1,998 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
105
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 09/2017 | $ (143,655 | ) | $ (143,725 | ) | $ (70 | ) | |||||||||||
| 18 | JPPC | LME Aluminum Futures^ | 09/2017 | (842,798 | ) | (863,438 | ) | (20,640 | ) | |||||||||||
| 78 | JPPC | LME Aluminum Futures^ | 09/2017 | (3,663,077 | ) | (3,743,025 | ) | (79,948 | ) | |||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 09/2017 | (422,455 | ) | (431,853 | ) | (9,398 | ) | |||||||||||
| 28 | JPPC | LME Aluminum Futures^ | 09/2017 | (1,311,900 | ) | (1,343,125 | ) | (31,225 | ) | |||||||||||
| 6 | JPPC | LME Aluminum Futures^ | 09/2017 | (279,625 | ) | (287,834 | ) | (8,209 | ) | |||||||||||
| 6 | JPPC | LME Aluminum Futures^ | 09/2017 | (280,974 | ) | (287,839 | ) | (6,865 | ) | |||||||||||
| 7 | JPPC | LME Aluminum Futures^ | 09/2017 | (330,698 | ) | (335,818 | ) | (5,120 | ) | |||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | (190,555 | ) | (191,900 | ) | (1,345 | ) | |||||||||||
| 46 | JPPC | LME Copper Futures^ | 07/2017 | (6,550,261 | ) | (6,818,925 | ) | (268,664 | ) | |||||||||||
| 74 | JPPC | LME Copper Futures^ | 07/2017 | (10,524,722 | ) | (10,968,650 | ) | (443,928 | ) | |||||||||||
| 49 | JPPC | LME Copper Futures^ | 07/2017 | (6,898,167 | ) | (7,255,062 | ) | (356,895 | ) | |||||||||||
| 61 | JPPC | LME Copper Futures^ | 07/2017 | (8,693,389 | ) | (9,034,390 | ) | (341,001 | ) | |||||||||||
| 12 | JPPC | LME Copper Futures^ | 08/2017 | (1,662,247 | ) | (1,778,439 | ) | (116,192 | ) | |||||||||||
| 52 | JPPC | LME Copper Futures^ | 08/2017 | (7,137,523 | ) | (7,709,975 | ) | (572,452 | ) | |||||||||||
| 5 | JPPC | LME Copper Futures^ | 08/2017 | (695,250 | ) | (741,360 | ) | (46,110 | ) | |||||||||||
| 4 | JPPC | LME Copper Futures^ | 08/2017 | (552,703 | ) | (593,042 | ) | (40,339 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | (142,598 | ) | (148,334 | ) | (5,736 | ) | |||||||||||
| 4 | JPPC | LME Copper Futures^ | 08/2017 | (564,090 | ) | (593,583 | ) | (29,493 | ) | |||||||||||
| 3 | JPPC | LME Copper Futures^ | 09/2017 | (425,243 | ) | (445,219 | ) | (19,976 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | (142,123 | ) | (148,448 | ) | (6,325 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | (141,573 | ) | (148,489 | ) | (6,916 | ) | |||||||||||
| 147 | JPPC | LME Copper Futures^ | 09/2017 | (20,854,869 | ) | (21,830,418 | ) | (975,549 | ) | |||||||||||
| 2 | JPPC | LME Copper Futures^ | 09/2017 | (296,845 | ) | (296,850 | ) | (5 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 07/2017 | (171,293 | ) | (168,486 | ) | 2,807 | ||||||||||||
| 14 | JPPC | LME Nickel Futures^ | 08/2017 | (754,791 | ) | (786,612 | ) | (31,821 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | (55,578 | ) | (56,233 | ) | (655 | ) | |||||||||||
| 4 | JPPC | LME Nickel Futures^ | 08/2017 | (217,755 | ) | (224,999 | ) | (7,244 | ) | |||||||||||
| 8 | JPPC | LME Nickel Futures^ | 08/2017 | (425,942 | ) | (450,137 | ) | (24,195 | ) | |||||||||||
| 10 | JPPC | LME Nickel Futures^ | 09/2017 | (529,226 | ) | (562,700 | ) | (33,474 | ) | |||||||||||
| 30 | JPPC | LME Nickel Futures^ | 09/2017 | (1,615,595 | ) | (1,689,751 | ) | (74,156 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | (164,293 | ) | (169,002 | ) | (4,709 | ) | |||||||||||
| 2 | JPPC | LME Nickel Futures^ | 09/2017 | (110,507 | ) | (112,674 | ) | (2,167 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | (167,865 | ) | (169,020 | ) | (1,155 | ) | |||||||||||
| 10 | JPPC | LME Zinc Futures^ | 07/2017 | (649,382 | ) | (688,813 | ) | (39,431 | ) | |||||||||||
| 11 | JPPC | LME Zinc Futures^ | 07/2017 | (706,668 | ) | (758,038 | ) | (51,370 | ) | |||||||||||
| 6 | JPPC | LME Zinc Futures^ | 07/2017 | (383,178 | ) | (413,512 | ) | (30,334 | ) | |||||||||||
| 8 | JPPC | LME Zinc Futures^ | 07/2017 | (523,269 | ) | (551,358 | ) | (28,089 | ) | |||||||||||
| 5 | JPPC | LME Zinc Futures^ | 07/2017 | (325,722 | ) | (344,602 | ) | (18,880 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 07/2017 | (65,207 | ) | (68,923 | ) | (3,716 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 08/2017 | (66,210 | ) | (68,931 | ) | (2,721 | ) | |||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | (136,845 | ) | (137,900 | ) | (1,055 | ) | |||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | (136,758 | ) | (137,900 | ) | (1,142 | ) | |||||||||||
| 4 | JPPC | LME Zinc Futures^ | 09/2017 | (276,508 | ) | (275,800 | ) | 708 | ||||||||||||
| 301 | MSCL | Natural Gas Futures^ | 07/2017 | (9,223,336 | ) | (9,135,350 | ) | 87,986 | ||||||||||||
| 85 | MSCL | Platinum Futures^ | 10/2017 | (3,930,345 | ) | (3,937,200 | ) | (6,855 | ) | |||||||||||
| 808 | MSCL | Soybean Futures^ | 11/2017 | (37,867,457 | ) | (38,571,900 | ) | (704,443 | ) | |||||||||||
| 65 | MSCL | Soybean Meal Futures^ | 12/2017 | (2,004,567 | ) | (2,022,800 | ) | (18,233 | ) | |||||||||||
| 763 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | (12,293,588 | ) | (11,801,473 | ) | 492,115 | ||||||||||||
| 758 | MSCL | WTI Crude Futures^ | 07/2017 | (34,642,482 | ) | (34,898,320 | ) | (255,838 | ) | |||||||||||
| 215 | BARC | Amsterdam Index Futures | 07/2017 | (25,741,040 | ) | (24,875,455 | ) | 865,585 | ||||||||||||
| 415 | BARC | CAC40 Index Futures | 07/2017 | (24,968,513 | ) | (24,251,813 | ) | 716,700 | ||||||||||||
| 714 | BARC | FTSE Bursa Malaysia KLCI Index Futures | 07/2017 | (14,816,138 | ) | (14,699,486 | ) | 116,652 | ||||||||||||
| 75 | JPMS | FTSE China Index Futures | 07/2017 | (853,374 | ) | (852,187 | ) | 1,187 | ||||||||||||
| 832 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2017 | (29,205,615 | ) | (29,052,111 | ) | 153,504 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
106
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 133 | BARC | FTSE/MIB Index Futures | 09/2017 | $ (15,967,852 | ) | $ (15,569,600 | ) | $ 398,252 | ||||||||||||
| 279 | JPMS | Mexican Stock Exchange Price and Quotation Index Futures | 09/2017 | (7,601,304 | ) | (7,736,441 | ) | (135,137 | ) | |||||||||||
| 5,262 | BARC | S&P 500 E-Mini Futures | 09/2017 | (638,953,659 | ) | (636,938,790 | ) | 2,014,869 | ||||||||||||
| 1,746 | BARC | SET50 Index Futures | 09/2017 | (10,218,706 | ) | (10,199,477 | ) | 19,229 | ||||||||||||
| 434 | BARC | SPI 200 Index Futures | 09/2017 | (47,394,688 | ) | (47,108,759 | ) | 285,929 | ||||||||||||
| 726 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (971,509,215 | ) | (968,925,184 | ) | 2,584,031 | ||||||||||||
| 482 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | (138,045,550 | ) | (138,021,316 | ) | 24,234 | ||||||||||||
| 578 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | (165,496,969 | ) | (165,453,275 | ) | 43,694 | ||||||||||||
| 410 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | (117,337,568 | ) | (117,310,369 | ) | 27,199 | ||||||||||||
| 23 | JPMS | 3-Month Euro Euribor Futures | 09/2018 | (6,577,745 | ) | (6,577,542 | ) | 203 | ||||||||||||
| 94 | JPMS | 3-Month Euro Euribor Futures | 06/2019 | (26,832,520 | ) | (26,831,130 | ) | 1,390 | ||||||||||||
| 1,034 | JPMS | 90-Day EURODollar Futures | 12/2017 | (254,686,708 | ) | (254,687,125 | ) | (417 | ) | |||||||||||
| 689 | JPMS | 90-Day EURODollar Futures | 03/2018 | (169,492,753 | ) | (169,562,900 | ) | (70,147 | ) | |||||||||||
| 501 | JPMS | 90-Day EURODollar Futures | 06/2018 | (123,245,821 | ) | (123,202,162 | ) | 43,659 | ||||||||||||
| 152 | JPMS | 90-Day EURODollar Futures | 09/2018 | (37,314,062 | ) | (37,350,200 | ) | (36,138 | ) | |||||||||||
| 232 | JPMS | 90-Day EURODollar Futures | 12/2018 | (56,857,571 | ) | (56,956,000 | ) | (98,429 | ) | |||||||||||
| 292 | JPMS | 90-Day EURODollar Futures | 03/2019 | (71,396,495 | ) | (71,645,850 | ) | (249,355 | ) | |||||||||||
| 155 | JPMS | 90-Day EURODollar Futures | 06/2019 | (38,043,329 | ) | (38,007,938 | ) | 35,391 | ||||||||||||
| 269 | JPMS | 90-Day Sterling Futures | 12/2017 | (43,580,347 | ) | (43,575,909 | ) | 4,438 | ||||||||||||
| 443 | JPMS | 90-Day Sterling Futures | 03/2018 | (71,737,849 | ) | (71,704,859 | ) | 32,990 | ||||||||||||
| 540 | JPMS | 90-Day Sterling Futures | 06/2018 | (87,398,835 | ) | (87,335,130 | ) | 63,705 | ||||||||||||
| 39 | JPMS | 90-Day Sterling Futures | 09/2018 | (6,303,035 | ) | (6,303,728 | ) | (693 | ) | |||||||||||
| 4,522 | JPMS | Australia 10-Year Bond Futures | 09/2017 | (455,736,953 | ) | (449,256,347 | ) | 6,480,606 | ||||||||||||
| 747 | JPMS | Australia 3-Year Bond Futures | 09/2017 | (64,241,273 | ) | (64,104,866 | ) | 136,407 | ||||||||||||
| 859 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | (95,359,902 | ) | (93,100,285 | ) | 2,259,617 | ||||||||||||
| 259 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2017 | (49,338,606 | ) | (49,259,032 | ) | 79,574 | ||||||||||||
| 416 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2018 | (79,234,605 | ) | (79,050,586 | ) | 184,019 | ||||||||||||
| 364 | JPMS | Canadian 3-Month Bank Acceptance Futures | 06/2018 | (69,418,251 | ) | (69,120,142 | ) | 298,109 | ||||||||||||
| 67 | MSCL | CME Ultra Long Term U.S. Treasury Bond Futures | 09/2017 | (10,931,809 | ) | (11,113,625 | ) | (181,816 | ) | |||||||||||
| 10 | JPMS | Euro CHF 3-Month LIFFE Futures | 09/2017 | (2,626,439 | ) | (2,625,926 | ) | 513 | ||||||||||||
| 137 | JPMS | Euro CHF 3-Month LIFFE Futures | 12/2017 | (35,986,979 | ) | (35,964,465 | ) | 22,514 | ||||||||||||
| 98 | JPMS | Euro CHF 3-Month LIFFE Futures | 03/2018 | (25,737,002 | ) | (25,718,740 | ) | 18,262 | ||||||||||||
| 66 | JPMS | Euro CHF 3-Month LIFFE Futures | 06/2018 | (17,328,518 | ) | (17,315,622 | ) | 12,896 | ||||||||||||
| 10 | GSCO | Euro-Bobl Futures | 09/2017 | (1,505,085 | ) | (1,504,211 | ) | 874 | ||||||||||||
| 92 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2017 | (17,389,164 | ) | (17,182,322 | ) | 206,842 | ||||||||||||
| 1,484 | GSCO | Long Gilt Futures | 09/2017 | (246,020,964 | ) | (242,706,183 | ) | 3,314,781 | ||||||||||||
| 1,763 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2017 | (381,230,911 | ) | (381,000,828 | ) | 230,083 | ||||||||||||
| 248 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2017 | (29,255,239 | ) | (29,223,313 | ) | 31,926 | ||||||||||||
| 71 | MSCL | U.S. Treasury Long Bond Futures | 09/2017 | (10,828,930 | ) | (10,911,812 | ) | (82,882 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (5,063,844,441 | ) | (5,050,040,509 | ) | 13,803,932 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(881,663,243 | ) | $(895,915,646 | ) | $(14,252,403 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
107
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 219,392,200 | $164,607,252 | $168,458,095 | $3,850,843 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 316,117,800 | 237,128,320 | 242,727,873 | 5,599,553 | ||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 12,310,000 | 3,663,639 | 3,656,994 | (6,645 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 18,465,000 | 5,495,465 | 5,485,493 | (9,972 | ) | |||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 153,887,200 | 116,451,563 | 118,814,939 | 2,363,376 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 224,368,800 | 169,792,197 | 173,233,152 | 3,440,955 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 6,888,000 | 7,186,983 | 7,219,393 | 32,410 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 10,332,000 | 10,780,589 | 10,829,089 | 48,500 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | 5,485,416,400 | 8,240,269 | 8,244,587 | 4,318 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | 4,000,035,600 | 6,008,514 | 6,012,056 | 3,542 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | 20,944,000 | 3,065,329 | 3,071,130 | 5,801 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | 9,543,000 | 1,395,455 | 1,399,340 | 3,885 | ||||||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | 8,129,759,200 | 2,749,088 | 2,640,303 | (108,785 | ) | |||||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | 12,194,638,800 | 4,123,637 | 3,960,453 | (163,184 | ) | |||||||||||||
| Czech Republic Koruna, Expiring 09/20/17 |
CITI | CZK | 648,000,000 | 27,720,237 | 28,480,395 | 760,158 | ||||||||||||||
| Czech Republic Koruna, Expiring 09/20/17 |
JPMC | CZK | 972,000,000 | 41,579,126 | 42,720,594 | 1,141,468 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 107,532,799 | 121,248,010 | 123,326,697 | 2,078,687 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 161,299,196 | 181,877,741 | 184,990,037 | 3,112,296 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 29,462,000 | 37,858,142 | 38,465,620 | 607,478 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 44,193,000 | 56,790,477 | 57,698,431 | 907,954 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 65,291,000 | 8,400,010 | 8,380,692 | (19,318 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 96,663,000 | 12,436,246 | 12,407,575 | (28,671 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 6,554,547,600 | 24,007,941 | 24,319,247 | 311,306 | ||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 8,928,575,400 | 32,700,522 | 33,127,568 | 427,046 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | 38,487,016,000 | 2,864,220 | 2,862,934 | (1,286 | ) | |||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
JPMC | IDR | 53,909,706,000 | 4,011,764 | 4,010,181 | (1,583 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
108
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | 16,919,000 | $ 4,859,170 | $ 4,865,262 | $ 6,092 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 2,155,061,200 | 33,069,222 | 33,056,214 | (13,008 | ) | |||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 3,197,662,800 | 49,068,332 | 49,048,546 | (19,786 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 11,106,789,401 | 100,928,959 | 99,087,369 | (1,841,590 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 14,488,734,601 | 131,476,673 | 129,258,826 | (2,217,847 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 6,037,054,800 | 5,353,504 | 5,277,527 | (75,977 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 7,963,462,200 | 7,052,718 | 6,961,571 | (91,147 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 1,704,226,800 | 90,945,045 | 92,749,492 | 1,804,447 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 2,542,075,200 | 135,663,425 | 138,347,889 | 2,684,464 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 89,685,800 | 10,710,511 | 10,758,955 | 48,444 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 112,633,200 | 13,447,457 | 13,511,787 | 64,330 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 223,061,600 | 158,531,428 | 163,224,159 | 4,692,731 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 334,592,398 | 237,800,271 | 244,836,233 | 7,035,962 | ||||||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | 195,380,600 | 3,903,064 | 3,845,475 | (57,589 | ) | |||||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | 36,173,400 | 722,697 | 711,963 | (10,734 | ) | |||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 117,420,400 | 31,425,850 | 31,675,841 | 249,991 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 176,130,600 | 47,138,542 | 47,513,760 | 375,218 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 167,764,200 | 19,595,827 | 20,002,254 | 406,427 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 147,775,800 | 17,417,832 | 17,619,069 | 201,237 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | 4,935,000 | 3,569,125 | 3,588,933 | 19,808 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | 5,658,000 | 4,090,138 | 4,114,728 | 24,590 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 182,819,600 | 50,228,360 | 50,813,284 | 584,924 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 222,296,400 | 60,938,300 | 61,785,548 | 847,248 | ||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | 444,406,400 | 14,812,610 | 14,618,953 | (193,657 | ) | |||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | 666,609,600 | 22,218,943 | 21,928,428 | (290,515 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 477,499,200 | 36,123,801 | 36,020,410 | (103,391 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 653,182,798 | 49,487,278 | 49,273,196 | (214,082 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 2,632,761,818 | 2,671,038,540 | 38,276,722 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
109
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | (45,783,800 | ) | $(34,018,171 | ) | $(35,154,632 | ) | $(1,136,461 | ) | ||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | (59,929,200 | ) | (44,535,130 | ) | (46,016,033 | ) | (1,480,903 | ) | ||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (159,253,200 | ) | (47,576,075 | ) | (47,310,163 | ) | 265,912 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (234,379,800 | ) | (70,024,145 | ) | (69,628,407 | ) | 395,738 | |||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (68,000,851 | ) | (50,563,372 | ) | (52,502,853 | ) | (1,939,481 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (100,756,279 | ) | (74,918,410 | ) | (77,793,028 | ) | (2,874,618 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (179,004,000 | ) | (185,813,362 | ) | (187,616,176 | ) | (1,802,814 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (268,506,000 | ) | (278,719,692 | ) | (281,424,258 | ) | (2,704,566 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | (18,350,905,400 | ) | (27,282,553 | ) | (27,581,430 | ) | (298,877 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | (27,486,045,600 | ) | (40,863,879 | ) | (41,311,553 | ) | (447,674 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | (55,536,400 | ) | (8,077,180 | ) | (8,143,595 | ) | (66,415 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | (82,674,600 | ) | (12,024,132 | ) | (12,123,011 | ) | (98,879 | ) | ||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | (8,259,851,600 | ) | (2,698,651 | ) | (2,682,553 | ) | 16,098 | |||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | (160,238,400 | ) | (54,670 | ) | (52,041 | ) | 2,629 | |||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (83,342,000 | ) | (93,857,603 | ) | (95,582,867 | ) | (1,725,264 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (91,422,000 | ) | (103,038,103 | ) | (104,849,620 | ) | (1,811,517 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (92,796,600 | ) | (120,167,341 | ) | (121,155,345 | ) | (988,004 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (137,507,398 | ) | (178,073,851 | ) | (179,529,812 | ) | (1,455,961 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (23,798,600 | ) | (3,059,410 | ) | (3,054,768 | ) | 4,642 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (11,213,400 | ) | (1,441,244 | ) | (1,439,342 | ) | 1,902 | |||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | (6,260,866,000 | ) | (22,935,887 | ) | (23,229,604 | ) | (293,717 | ) | ||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | (8,771,610,000 | ) | (32,152,943 | ) | (32,545,182 | ) | (392,239 | ) | ||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | (4,452,769,000 | ) | (331,177 | ) | (331,228 | ) | (51 | ) | ||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
JPMC | IDR | (4,238,751,000 | ) | (315,425 | ) | (315,307 | ) | 118 | |||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | (55,703,401 | ) | (15,718,093 | ) | (16,018,183 | ) | (300,090 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | (65,151,600 | ) | (18,366,115 | ) | (18,735,124 | ) | (369,009 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | (824,725,200 | ) | (12,666,226 | ) | (12,650,357 | ) | 15,869 | |||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | (1,102,087,800 | ) | (16,922,404 | ) | (16,904,784 | ) | 17,620 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
110
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | (14,684,386,400 | ) | $ (132,063,617 | ) | $ (131,004,301 | ) | $ 1,059,316 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | (22,026,579,600 | ) | (198,095,182 | ) | (196,506,451 | ) | 1,588,731 | |||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (71,225,013,801 | ) | (63,282,821 | ) | (62,264,125 | ) | 1,018,696 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (95,128,981,200 | ) | (84,646,456 | ) | (83,160,707 | ) | 1,485,749 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | (80,948,800 | ) | (4,393,905 | ) | (4,405,494 | ) | (11,589 | ) | ||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | (76,423,200 | ) | (4,134,489 | ) | (4,159,195 | ) | (24,706 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (287,111,201 | ) | (34,123,577 | ) | (34,442,647 | ) | (319,070 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (430,666,800 | ) | (51,185,302 | ) | (51,663,971 | ) | (478,669 | ) | ||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | (250,176,600 | ) | (4,936,864 | ) | (4,923,967 | ) | 12,897 | |||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | (125,138,400 | ) | (2,470,848 | ) | (2,462,969 | ) | 7,879 | |||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | (2,703,000 | ) | (723,012 | ) | (729,173 | ) | (6,161 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (1,166,581,200 | ) | (134,851,506 | ) | (139,089,584 | ) | (4,238,078 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | (1,749,871,798 | ) | (202,275,738 | ) | (208,634,374 | ) | (6,358,636 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (70,203,400 | ) | (50,784,889 | ) | (51,054,780 | ) | (269,891 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (105,069,600 | ) | (76,006,662 | ) | (76,410,903 | ) | (404,241 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | (52,148,600 | ) | (14,290,988 | ) | (14,494,298 | ) | (203,310 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | (60,884,400 | ) | (16,687,355 | ) | (16,922,343 | ) | (234,988 | ) | ||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | (346,553,000 | ) | (11,508,943 | ) | (11,400,020 | ) | 108,923 | |||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | (139,506,000 | ) | (4,631,329 | ) | (4,589,114 | ) | 42,215 | |||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (86,812,800 | ) | (6,535,238 | ) | (6,548,772 | ) | (13,534 | ) | ||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (112,219,200 | ) | (8,420,361 | ) | (8,465,316 | ) | (44,955 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (2,602,264,326 | ) | (2,629,013,760 | ) | (26,749,434 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $30,497,492 | $42,024,780 | $11,527,288 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
111
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2017
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives 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. | 85 months maturity 11/22/2021 |
$1,905,235 | |||||
|
|
|
|||||||
| * | 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 Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
112
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD/USD 1 Week 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. | 61 months maturity 05/23/2022 |
$(364,691 | ) | ||||
|
|
|
|||||||
| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 61 months maturity 12/20/2017 |
$19,124 | |||||
|
|
|
|||||||
| ** | 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 positions and related values within the total return basket swap as of June 30, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
113
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 61 months maturity 12/22/2017 |
$6,337,986 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
114
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
115
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| DTBK | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 37-61 months maturity 12/22/2017 |
$15,146,225 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
116
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
117
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| BANA | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. |
25 months maturity ranging from 11/26/2018 - 07/25/2019 |
$965,281 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
118
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 54 - 57 months maturity ranging from 11/19/2021 - 11/22/2021 |
$(1,902,683 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
119
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
120
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
121
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps. | 54-57 months maturity 11/22/2021 |
$(1,047,826 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
122
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swaps. | 56-57 months maturity 11/19/2021 |
$(112,521 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
123
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Interbank Offered Rate or HONIX plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 54-57 months maturity 11/19/2021 |
$2,886,188 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
124
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
125
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
126
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps. | 57 months maturity ranging from 07/03/2017 – 11/22/2021 |
$(441,095 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
127
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 56-57 months maturity 11/19/2021 |
$1,741,961 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
128
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the AUD Bank-Bill Swap Reference Rate or AOISR plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 54-57 months maturity 11/19/2021 |
$222,536 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
129
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-55 months maturity 01/14/2021 |
$(2,098,822 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
130
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
131
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
132
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
133
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
134
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
135
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
136
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
137
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
138
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
139
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
140
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
141
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 43-46 months maturity 01/14/2021 |
$7,090,523 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
142
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
143
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
144
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-46 months maturity 01/14/2021 |
$3,078,652 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
145
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-46 months maturity 01/14/2021 |
$1,537,377 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
146
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-46 months maturity 01/14/2021 |
$235,127 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
147
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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 JPY based on the local currencies of the positions within the swap. | 43-61 months maturity 01/14/2021 |
$(2,759,463 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
148
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
149
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
150
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
151
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
152
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-46 months maturity 01/14/2021 |
$279,463 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
153
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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 swaps. | 43-52 months maturity 01/14/2021 |
$(1,121,629 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
154
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 43-52 months maturity 01/14/2021 |
$3,295,111 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
155
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-61 months maturity 01/14/2021 |
$ | 11,831,059 | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
156
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
157
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 43-50 months maturity 01/14/2021 |
$(2,341,445 | ) | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| JPMC | The Fund receives 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. | 43-44 months maturity 01/14/2021 |
$ | 1,690,161 | ||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| MSIP | The Fund receives 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. | 24-25 months maturity 05/22/2018 |
$4,907 | |||||
|
|
|
|||||||
| ** | 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 short positions and related values within the total return basket swap as of June 30, 2017.
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(1,590,000 | ) | $— | $(1,590,000 | ) | |||||||
| Investment Companies | 6,730,000 | — | 6,730,000 | |||||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 116,740,597 | 116,740,597 | |||||||||
|
|
||||||||||||
| CITG | ||||||||||||
| Cash | — | (17,003,968 | ) | (17,003,968 | ) | |||||||
| Investment Companies | — | 10,614,335 | 10,614,335 | |||||||||
|
|
||||||||||||
| DTBK | ||||||||||||
| Investment Companies | 35,306,742 | — | 35,306,742 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 19,406,005 | 19,406,005 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (3,810,000 | ) | — | (3,810,000 | ) | |||||||
| Investment Companies | 67,885,185 | — | 67,885,185 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 704,021,515 | — | 704,021,515 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 11,542,017 | 11,542,017 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 1,390,517 | 1,390,517 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Cash | 63,842,224 | — | 63,842,224 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Cash | $(1,250,000 | ) | $— | $(1,250,000 | ) | |||||||
| Investment Companies | 3,862,465 | — | 3,862,465 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 3,572,131 | 3,572,131 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 2,290,000 | — | 2,290,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 3,452,411 | 3,452,411 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 1,580,000 | — | 1,580,000 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 3,446,665 | — | 3,446,665 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (2,163,029 | ) | (2,163,029 | ) | |||||||
| U.S. Treasury Bills | — | 18,570,980 | 18,570,980 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 1,190,000 | — | 1,190,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| CITI | Coffee ‘C’ September Futures^ | 08/2017 | USD | 2,019,591 | $(181,229 | ) | ||||||||
| MACQ | Coffee ‘C’ September Futures^ | 08/2017 | USD | 562,694 | (44,182 | ) | ||||||||
| SOCG | Coffee ‘C’ September Futures^ | 08/2017 | USD | 1,447,019 | (127,169 | ) | ||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | 2,613,863 | (80,213 | ) | ||||||||
| GSIN | Corn September Futures^ | 08/2017 | USD | 805,203 | (5,103 | ) | ||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | 6,337,065 | 63,735 | |||||||||
| CITI | Cotton No. 2 December Futures^ | 11/2017 | USD | 4,223,885 | (279,960 | ) | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | 330,955 | (22,300 | ) | ||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | (67,000 | ) | — | ||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | 315,200 | 19,800 | |||||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | 914,306 | 23,695 | |||||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | (722,795 | ) | (14,205 | ) | |||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 1,214,246 | 235,754 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (1,291,691 | ) | (158,309 | ) | |||||||
| GSIN | Lean Hogs October Futures^ | 10/2017 | USD | 56,576 | (216 | ) | ||||||||
| SOCG | Lean Hogs October Futures^ | 10/2017 | USD | 56,142 | 218 | |||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 5,034,066 | (195,986 | ) | ||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | (973,046 | ) | (3,874 | ) | |||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 4,846,041 | (147,521 | ) | ||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | (926,166 | ) | (4,234 | ) | |||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| MACQ | Live Cattle October Futures^ | 10/2017 | USD | 962,189 | $ 5,491 | |||||||||||
| SOCG | Live Cattle October Futures^ | 10/2017 | USD | 915,890 | 5,710 | |||||||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | (2,637,870 | ) | (7,330 | ) | |||||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | 2,696,546 | (51,346 | ) | ||||||||||
| SOCG | Soybean Meal December Futures^ | 11/2017 | USD | (7,444,695 | ) | (117,465 | ) | |||||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | 5,402,060 | (55,460 | ) | ||||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | (138,293 | ) | (4,919 | ) | |||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | 2,319,565 | (28,165 | ) | ||||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | 965,872 | (11,122 | ) | ||||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 306,187 | 13,877 | |||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | 857,880 | 62,620 | |||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | (5,724,683 | ) | (981,817 | ) | |||||||||
| GSIN | Wheat September Futures^ | 08/2017 | USD | (516,339 | ) | (88,561 | ) | |||||||||
| MACQ | Wheat September Futures^ | 08/2017 | USD | (3,208,640 | ) | (552,260 | ) | |||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | (3,004,256 | ) | (519,944 | ) | |||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | 331,531 | 36,669 | |||||||||||
|
|
|
|||||||||||||||
| $(3,215,321 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 231 | GSCO | Brent Crude Futures^ | 08/2017 | $11,268,401 | $11,328,240 | $59,839 | ||||||||||||||
| 26 | MSCL | Cocoa Futures^ | 09/2017 | 493,004 | 504,400 | 11,396 | ||||||||||||||
| 247 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | 12,392,104 | 11,642,963 | (749,141 | ) | |||||||||||||
| 908 | MSCL | Corn Futures^ | 09/2017 | 17,143,870 | 17,297,400 | 153,530 | ||||||||||||||
| 238 | GSCO | Gas Oil Futures^ | 09/2017 | 10,238,476 | 10,400,600 | 162,124 | ||||||||||||||
| 383 | MSCL | Gold 100 OZ Futures^ | 08/2017 | 48,243,856 | 47,580,090 | (663,766 | ) | |||||||||||||
| 96 | MSCL | Gold 100 OZ Futures^ | 12/2017 | 12,001,861 | 11,996,160 | (5,701 | ) | |||||||||||||
| 73 | MSCL | Heating Oil ULSD Futures^ | 08/2017 | 4,439,742 | 4,570,486 | 130,744 | ||||||||||||||
| 95 | MSCL | Lean Hogs Futures^ | 08/2017 | 3,087,568 | 3,182,500 | 94,932 | ||||||||||||||
| 23 | MSCL | Lean Hogs Futures^ | 10/2017 | 645,166 | 648,140 | 2,974 | ||||||||||||||
| 196 | MSCL | Live Cattle Futures^ | 08/2017 | 9,462,390 | 9,117,920 | (344,470 | ) | |||||||||||||
| 48 | MSCL | Live Cattle Futures^ | 10/2017 | 2,196,836 | 2,211,840 | 15,004 | ||||||||||||||
| 27 | JPPC | LME Aluminum Futures^ | 07/2017 | 1,323,066 | 1,291,477 | (31,589 | ) | |||||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 07/2017 | 478,461 | 478,125 | (336 | ) | |||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 08/2017 | 191,010 | 191,275 | 265 | ||||||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 08/2017 | 427,540 | 430,688 | 3,148 | ||||||||||||||
| 28 | JPPC | LME Aluminum Futures^ | 09/2017 | 1,344,069 | 1,341,438 | (2,631 | ) | |||||||||||||
| 33 | JPPC | LME Aluminum Futures^ | 09/2017 | 1,551,085 | 1,582,969 | 31,884 | ||||||||||||||
| 894 | JPPC | LME Aluminum Futures^ | 09/2017 | 43,485,298 | 42,900,825 | (584,473 | ) | |||||||||||||
| 75 | JPPC | LME Aluminum Futures^ | 09/2017 | 3,525,034 | 3,598,782 | 73,748 | ||||||||||||||
| 73 | JPPC | LME Aluminum Futures^ | 09/2017 | 3,429,304 | 3,501,719 | 72,415 | ||||||||||||||
| 24 | JPPC | LME Aluminum Futures^ | 09/2017 | 1,122,748 | 1,151,358 | 28,610 | ||||||||||||||
| 8 | JPPC | LME Copper Futures^ | 07/2017 | 1,179,020 | 1,185,472 | 6,452 | ||||||||||||||
| 8 | JPPC | LME Copper Futures^ | 07/2017 | 1,141,420 | 1,185,800 | 44,380 | ||||||||||||||
| 15 | JPPC | LME Copper Futures^ | 07/2017 | 2,117,099 | 2,220,937 | 103,838 | ||||||||||||||
| 2 | JPPC | LME Copper Futures^ | 09/2017 | 283,580 | 296,813 | 13,233 | ||||||||||||||
| 16 | JPPC | LME Copper Futures^ | 09/2017 | 2,280,925 | 2,375,160 | 94,235 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
163
Table of Contents
| Consolidated Schedule of Investments |
June 30, 2017 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 15 | JPPC | LME Copper Futures^ | 09/2017 | $ 2,124,776 | $ 2,227,336 | $ 102,560 | ||||||||||||||
| 302 | JPPC | LME Copper Futures^ | 09/2017 | 43,751,792 | 44,848,887 | 1,097,095 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | 145,252 | 148,423 | 3,171 | ||||||||||||||
| 7 | JPPC | LME Lead Futures^ | 07/2017 | 405,146 | 397,887 | (7,259 | ) | |||||||||||||
| 3 | JPPC | LME Lead Futures^ | 07/2017 | 168,009 | 170,813 | 2,804 | ||||||||||||||
| 4 | JPPC | LME Lead Futures^ | 07/2017 | 224,810 | 227,814 | 3,004 | ||||||||||||||
| 8 | JPPC | LME Lead Futures^ | 07/2017 | 432,020 | 456,458 | 24,438 | ||||||||||||||
| 7 | JPPC | LME Lead Futures^ | 08/2017 | 379,822 | 400,150 | 20,328 | ||||||||||||||
| 3 | JPPC | LME Lead Futures^ | 08/2017 | 165,907 | 171,642 | 5,735 | ||||||||||||||
| 8 | JPPC | LME Lead Futures^ | 08/2017 | 415,620 | 458,160 | 42,540 | ||||||||||||||
| 2 | JPPC | LME Lead Futures^ | 09/2017 | 105,105 | 114,580 | 9,475 | ||||||||||||||
| 6 | JPPC | LME Lead Futures^ | 09/2017 | 314,363 | 343,977 | 29,614 | ||||||||||||||
| 117 | JPPC | LME Lead Futures^ | 09/2017 | 6,602,659 | 6,709,219 | 106,560 | ||||||||||||||
| 11 | JPPC | LME Lead Futures^ | 09/2017 | 604,824 | 630,300 | 25,476 | ||||||||||||||
| 3 | JPPC | LME Lead Futures^ | 09/2017 | 170,407 | 171,900 | 1,493 | ||||||||||||||
| 13 | JPPC | LME Lead Futures^ | 09/2017 | 752,607 | 744,900 | (7,707 | ) | |||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 07/2017 | 123,535 | 112,171 | (11,364 | ) | |||||||||||||
| 10 | JPPC | LME Nickel Futures^ | 07/2017 | 584,425 | 561,060 | (23,365 | ) | |||||||||||||
| 5 | JPPC | LME Nickel Futures^ | 07/2017 | 291,612 | 280,547 | (11,065 | ) | |||||||||||||
| 7 | JPPC | LME Nickel Futures^ | 07/2017 | 398,597 | 392,935 | (5,662 | ) | |||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | 55,592 | 56,158 | 566 | ||||||||||||||
| 8 | JPPC | LME Nickel Futures^ | 08/2017 | 434,934 | 449,493 | 14,559 | ||||||||||||||
| 9 | JPPC | LME Nickel Futures^ | 08/2017 | 502,602 | 506,029 | 3,427 | ||||||||||||||
| 8 | JPPC | LME Nickel Futures^ | 08/2017 | 435,196 | 449,866 | 14,670 | ||||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | 53,258 | 56,290 | 3,032 | ||||||||||||||
| 182 | JPPC | LME Nickel Futures^ | 09/2017 | 10,832,989 | 10,251,150 | (581,839 | ) | |||||||||||||
| 17 | JPPC | LME Nickel Futures^ | 09/2017 | 917,154 | 957,423 | 40,269 | ||||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 09/2017 | 109,762 | 112,668 | 2,906 | ||||||||||||||
| 5 | JPPC | LME Nickel Futures^ | 09/2017 | 279,720 | 281,700 | 1,980 | ||||||||||||||
| 9 | JPPC | LME Zinc Futures^ | 07/2017 | 629,572 | 619,537 | (10,035 | ) | |||||||||||||
| 12 | JPPC | LME Zinc Futures^ | 07/2017 | 772,529 | 826,500 | 53,971 | ||||||||||||||
| 3 | JPPC | LME Zinc Futures^ | 07/2017 | 195,307 | 206,643 | 11,336 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 08/2017 | 63,727 | 68,932 | 5,205 | ||||||||||||||
| 7 | JPPC | LME Zinc Futures^ | 08/2017 | 460,122 | 482,547 | 22,425 | ||||||||||||||
| 9 | JPPC | LME Zinc Futures^ | 08/2017 | 579,156 | 620,433 | 41,277 | ||||||||||||||
| 7 | JPPC | LME Zinc Futures^ | 08/2017 | 439,734 | 482,475 | 42,741 | ||||||||||||||
| 6 | JPPC | LME Zinc Futures^ | 08/2017 | 394,075 | 413,682 | 19,607 | ||||||||||||||
| 9 | JPPC | LME Zinc Futures^ | 09/2017 | 577,271 | 620,719 | 43,448 | ||||||||||||||
| 13 | JPPC | LME Zinc Futures^ | 09/2017 | 807,657 | 896,799 | 89,142 | ||||||||||||||
| 6 | JPPC | LME Zinc Futures^ | 09/2017 | 378,090 | 414,000 | 35,910 | ||||||||||||||
| 214 | JPPC | LME Zinc Futures^ | 09/2017 | 14,561,503 | 14,766,000 | 204,497 | ||||||||||||||
| 3 | JPPC | LME Zinc Futures^ | 09/2017 | 205,189 | 206,850 | 1,661 | ||||||||||||||
| 19 | JPPC | LME Zinc Futures^ | 09/2017 | 1,307,565 | 1,310,050 | 2,485 | ||||||||||||||
| 209 | MSCL | Natural Gas Futures^ | 08/2017 | 6,250,865 | 6,334,790 | 83,925 | ||||||||||||||
| 219 | MSCL | Silver Futures^ | 09/2017 | 19,202,906 | 18,206,565 | (996,341 | ) | |||||||||||||
| 349 | MSCL | Soybean Futures^ | 11/2017 | 16,804,492 | 16,660,387 | (144,105 | ) | |||||||||||||
| 348 | MSCL | Soybean Meal Futures^ | 12/2017 | 11,018,243 | 10,829,760 | (188,483 | ) | |||||||||||||
| 485 | MSCL | Soybean Oil Futures^ | 12/2017 | 9,269,029 | 9,701,940 | 432,911 | ||||||||||||||
| 894 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | 15,190,653 | 13,827,677 | (1,362,976 | ) | |||||||||||||
| 429 | MSCL | Wheat Futures^ | 09/2017 | 10,001,898 | 11,282,700 | 1,280,802 | ||||||||||||||
| 575 | MSCL | WTI Crude Futures^ | 08/2017 | 26,442,497 | 26,616,750 | 174,253 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 402,827,508 | 402,299,249 | (528,259 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
164
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 28 | MSCL | Cotton No. 2 Futures^ | 12/2017 | $(958,588 | ) | $(960,260 | ) | $(1,672 | ) | |||||||||||
| 129 | MSCL | Gasoline RBOB Futures^ | 08/2017 | (7,851,943 | ) | (8,140,003 | ) | (288,060 | ) | |||||||||||
| 27 | JPPC | LME Aluminum Futures^ | 07/2017 | (1,322,239 | ) | (1,291,477 | ) | 30,762 | ||||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 07/2017 | (479,976 | ) | (478,125 | ) | 1,851 | ||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 08/2017 | (191,100 | ) | (191,275 | ) | (175 | ) | |||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 08/2017 | (426,803 | ) | (430,688 | ) | (3,885 | ) | |||||||||||
| 28 | JPPC | LME Aluminum Futures^ | 09/2017 | (1,352,668 | ) | (1,341,438 | ) | 11,230 | ||||||||||||
| 33 | JPPC | LME Aluminum Futures^ | 09/2017 | (1,546,431 | ) | (1,582,968 | ) | (36,537 | ) | |||||||||||
| 240 | JPPC | LME Aluminum Futures^ | 09/2017 | (11,369,351 | ) | (11,517,000 | ) | (147,649 | ) | |||||||||||
| 75 | JPPC | LME Aluminum Futures^ | 09/2017 | (3,520,461 | ) | (3,598,781 | ) | (78,320 | ) | |||||||||||
| 73 | JPPC | LME Aluminum Futures^ | 09/2017 | (3,420,664 | ) | (3,501,719 | ) | (81,055 | ) | |||||||||||
| 24 | JPPC | LME Aluminum Futures^ | 09/2017 | (1,121,341 | ) | (1,151,358 | ) | (30,017 | ) | |||||||||||
| 8 | JPPC | LME Copper Futures^ | 07/2017 | (1,177,306 | ) | (1,185,472 | ) | (8,166 | ) | |||||||||||
| 8 | JPPC | LME Copper Futures^ | 07/2017 | (1,137,808 | ) | (1,185,800 | ) | (47,992 | ) | |||||||||||
| 15 | JPPC | LME Copper Futures^ | 07/2017 | (2,111,684 | ) | (2,220,938 | ) | (109,254 | ) | |||||||||||
| 2 | JPPC | LME Copper Futures^ | 09/2017 | (284,287 | ) | (296,813 | ) | (12,526 | ) | |||||||||||
| 16 | JPPC | LME Copper Futures^ | 09/2017 | (2,273,961 | ) | (2,375,160 | ) | (101,199 | ) | |||||||||||
| 15 | JPPC | LME Copper Futures^ | 09/2017 | (2,123,588 | ) | (2,227,335 | ) | (103,747 | ) | |||||||||||
| 34 | JPPC | LME Copper Futures^ | 09/2017 | (4,878,567 | ) | (5,049,213 | ) | (170,646 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 09/2017 | (145,581 | ) | (148,423 | ) | (2,842 | ) | |||||||||||
| 7 | JPPC | LME Lead Futures^ | 07/2017 | (403,991 | ) | (397,887 | ) | 6,104 | ||||||||||||
| 3 | JPPC | LME Lead Futures^ | 07/2017 | (168,249 | ) | (170,813 | ) | (2,564 | ) | |||||||||||
| 4 | JPPC | LME Lead Futures^ | 07/2017 | (224,336 | ) | (227,814 | ) | (3,478 | ) | |||||||||||
| 8 | JPPC | LME Lead Futures^ | 07/2017 | (431,886 | ) | (456,458 | ) | (24,572 | ) | |||||||||||
| 7 | JPPC | LME Lead Futures^ | 08/2017 | (379,383 | ) | (400,150 | ) | (20,767 | ) | |||||||||||
| 3 | JPPC | LME Lead Futures^ | 08/2017 | (163,999 | ) | (171,643 | ) | (7,644 | ) | |||||||||||
| 8 | JPPC | LME Lead Futures^ | 08/2017 | (416,891 | ) | (458,160 | ) | (41,269 | ) | |||||||||||
| 2 | JPPC | LME Lead Futures^ | 09/2017 | (105,412 | ) | (114,580 | ) | (9,168 | ) | |||||||||||
| 6 | JPPC | LME Lead Futures^ | 09/2017 | (313,935 | ) | (343,977 | ) | (30,042 | ) | |||||||||||
| 38 | JPPC | LME Lead Futures^ | 09/2017 | (2,090,982 | ) | (2,179,063 | ) | (88,081 | ) | |||||||||||
| 11 | JPPC | LME Lead Futures^ | 09/2017 | (599,473 | ) | (630,300 | ) | (30,827 | ) | |||||||||||
| 3 | JPPC | LME Lead Futures^ | 09/2017 | (170,122 | ) | (171,900 | ) | (1,778 | ) | |||||||||||
| 13 | JPPC | LME Lead Futures^ | 09/2017 | (752,018 | ) | (744,900 | ) | 7,118 | ||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 07/2017 | (123,835 | ) | (112,171 | ) | 11,664 | ||||||||||||
| 10 | JPPC | LME Nickel Futures^ | 07/2017 | (585,623 | ) | (561,060 | ) | 24,563 | ||||||||||||
| 5 | JPPC | LME Nickel Futures^ | 07/2017 | (291,866 | ) | (280,547 | ) | 11,319 | ||||||||||||
| 7 | JPPC | LME Nickel Futures^ | 07/2017 | (397,101 | ) | (392,935 | ) | 4,166 | ||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | (55,431 | ) | (56,159 | ) | (728 | ) | |||||||||||
| 8 | JPPC | LME Nickel Futures^ | 08/2017 | (435,340 | ) | (449,492 | ) | (14,152 | ) | |||||||||||
| 9 | JPPC | LME Nickel Futures^ | 08/2017 | (501,093 | ) | (506,029 | ) | (4,936 | ) | |||||||||||
| 8 | JPPC | LME Nickel Futures^ | 08/2017 | (436,060 | ) | (449,866 | ) | (13,806 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | (53,393 | ) | (56,290 | ) | (2,897 | ) | |||||||||||
| 24 | JPPC | LME Nickel Futures^ | 09/2017 | (1,389,343 | ) | (1,351,800 | ) | 37,543 | ||||||||||||
| 17 | JPPC | LME Nickel Futures^ | 09/2017 | (910,818 | ) | (957,423 | ) | (46,605 | ) | |||||||||||
| 2 | JPPC | LME Nickel Futures^ | 09/2017 | (109,339 | ) | (112,668 | ) | (3,329 | ) | |||||||||||
| 5 | JPPC | LME Nickel Futures^ | 09/2017 | (279,205 | ) | (281,700 | ) | (2,495 | ) | |||||||||||
| 9 | JPPC | LME Zinc Futures^ | 07/2017 | (627,948 | ) | (619,537 | ) | 8,411 | ||||||||||||
| 12 | JPPC | LME Zinc Futures^ | 07/2017 | (775,075 | ) | (826,500 | ) | (51,425 | ) | |||||||||||
| 3 | JPPC | LME Zinc Futures^ | 07/2017 | (194,815 | ) | (206,644 | ) | (11,829 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 08/2017 | (63,818 | ) | (68,932 | ) | (5,114 | ) | |||||||||||
| 7 | JPPC | LME Zinc Futures^ | 08/2017 | (462,158 | ) | (482,547 | ) | (20,389 | ) | |||||||||||
| 9 | JPPC | LME Zinc Futures^ | 08/2017 | (577,103 | ) | (620,433 | ) | (43,330 | ) | |||||||||||
| 7 | JPPC | LME Zinc Futures^ | 08/2017 | (443,608 | ) | (482,475 | ) | (38,867 | ) | |||||||||||
| 6 | JPPC | LME Zinc Futures^ | 08/2017 | (394,485 | ) | (413,682 | ) | (19,197 | ) | |||||||||||
| 9 | JPPC | LME Zinc Futures^ | 09/2017 | (579,243 | ) | (620,719 | ) | (41,476 | ) | |||||||||||
| 13 | JPPC | LME Zinc Futures^ | 09/2017 | (806,425 | ) | (896,798 | ) | (90,373 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
165
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 6 | JPPC | LME Zinc Futures^ | 09/2017 | $ (376,685 | ) | $ (414,000 | ) | $ (37,315 | ) | |||||||||||
| 56 | JPPC | LME Zinc Futures^ | 09/2017 | (3,633,032 | ) | (3,864,000 | ) | (230,968 | ) | |||||||||||
| 3 | JPPC | LME Zinc Futures^ | 09/2017 | (205,628 | ) | (206,850 | ) | (1,222 | ) | |||||||||||
| 19 | JPPC | LME Zinc Futures^ | 09/2017 | (1,313,328 | ) | (1,310,050 | ) | 3,278 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (69,936,822 | ) | (71,943,198 | ) | (2,006,376 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $332,890,686 | $330,356,051 | $(2,534,635 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies |
$ | 2,843,620 | $ | — | $ | 2,843,620 | ||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 1,639,770 | 1,639,770 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 410,000 | — | 410,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 8,392,643 | 8,392,643 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 2,060,000 | — | 2,060,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 16,498,308 | 16,498,308 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 1,282,281 | — | 1,282,281 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
166
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
167
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
Credit default swap contracts sell protection as of June 30, 2017:
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE PAID BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||||||
| CITG | iTraxx Europe Crossover Series 27.V1 | 5.000 | % | EUR | 2.475 | % | 60,975,000 | $6,001,930 | 06/20/2022 | $2,100,943 | ||||||||||||||||||
| CITG | iTraxx Europe Series 27.V1 | 1.000 | % | EUR | 0.561 | % | 101,500,000 | 1,279,033 | 06/20/2022 | 1,260,083 | ||||||||||||||||||
| CITG | Markit CDX Emerging Market Index Series 27.V1 | 1.000 | % | USD | 2.018 | % | 15,750,000 | (798,297 | ) | 06/20/2022 | 80,510 | |||||||||||||||||
| CITG | Markit CDX North America High Yield Index Series 28.V1 | 5.000 | % | USD | 3.392 | % | 70,550,000 | 4,811,381 | 06/20/2022 | 153,593 | ||||||||||||||||||
| CITG | Markit CDX North America Investment Grade Index Series 28.V1 | 1.000 | % | USD | 0.607 | % | 106,625,000 | 1,564,676 | 06/20/2022 | 436,722 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $12,858,723 | $4,031,851 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Forward effective interest rate swap contracts outstanding as of June 30, 2017:
| COUNTERPARTY | PAYMENTS MADE
BY |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||
| CITG | (1) | 1.000 | % | CZK | 207,700,000 | $— | 09/21/2022 | $(12,803 | ) | |||||||||||||||
| CITG | (2) | 2.500 | % | HKD | 150,000,000 | — | 09/21/2022 | 663,843 | ||||||||||||||||
| CITG | 2.000% | (2) | HKD | 8,800,000 | (11,625 | ) | 09/21/2022 | (131 | ) | |||||||||||||||
| CITG | (3) | 2.000 | % | HUF | 2,790,000,000 | — | 09/21/2022 | 403,236 | ||||||||||||||||
| CITG | 1.500% | (3) | HUF | 359,700,000 | (7,813 | ) | 09/21/2022 | (10,915 | ) | |||||||||||||||
| CITG | (4) | 3.000 | % | PLN | 78,000,000 | — | 09/21/2022 | 573,979 | ||||||||||||||||
| CITG | 2.500% | (4) | PLN | 8,600,000 | (6,714 | ) | 09/21/2022 | (2,239 | ) | |||||||||||||||
| CITG | (5) | 2.500 | % | SGD | 54,200,000 | — | 09/21/2022 | 1,258,890 | ||||||||||||||||
| CITG | 2.000% | (5) | SGD | 3,800,000 | (11,881 | ) | 09/21/2022 | (9,444 | ) | |||||||||||||||
| CITG | (6) | 8.000 | % | ZAR | 300,000,000 | — | 09/21/2022 | 461,274 | ||||||||||||||||
| CITG | 7.500% | (6) | ZAR | 22,600,000 | (11,652 | ) | 09/21/2022 | 12,129 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $(49,685 | ) | $3,337,819 | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
168
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
Forward effective Interest rate swap contracts outstanding as of June 30, 2017:
| 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 | ||||||||||||||||||||||||
| CITI | (7) | 1.745 | % | KRW* | 629,700,000 | $— | 09/21/2022 | $(1,186 | ) | |||||||||||||||
| CITI | (7) | 1.760 | % | KRW* | 3,700,000 | — | 09/21/2022 | (5 | ) | |||||||||||||||
| CITI | (7) | 1.760 | % | KRW* | 1,000,000,000 | — | 09/21/2022 | (1,258 | ) | |||||||||||||||
| CITI | (7) | 1.783 | % | KRW* | 350,700,000 | — | 09/21/2022 | — | ||||||||||||||||
| CITI | (7) | 1.805 | % | KRW* | 1,000,000,000 | — | 09/21/2022 | 618 | ||||||||||||||||
| CITI | (7) | 1.883 | % | KRW* | 30,000,000,000 | — | 09/21/2022 | 115,472 | ||||||||||||||||
| CITI | (7) | 1.920 | % | KRW* | 29,000,000,000 | — | 09/21/2022 | 156,959 | ||||||||||||||||
| CITI | 1.680% | (7) | KRW* | 1,103,100,000 | — | 09/21/2022 | 5,066 | |||||||||||||||||
| CITI | 1.780% | (7) | KRW* | 1,000,000,000 | — | 09/21/2022 | 424 | |||||||||||||||||
| CITI | 1.788% | (7) | KRW* | 1,000,000,000 | — | 09/21/2022 | 111 | |||||||||||||||||
| CITI | 1.810% | (7) | KRW* | 1,569,000,000 | — | 09/21/2022 | (1,297 | ) | ||||||||||||||||
| CITI | 1.885% | (7) | KRW* | 15,000,000,000 | — | 09/21/2022 | (59,299 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $— | $215,605 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| * | Non-deliverable swap (See Note 4). |
| (1) | 6 Month Prague Interbank Offered Rate |
| (2) | 3 Month Hong Kong Interbank Offered Rate |
| (3) | 6 Month Budapest Interbank Offered Rate |
| (4) | 6 Month Warsaw Interbank Offered Rate |
| (5) | 6 Month Singapore Interbank Offered Rate |
| (6) | 3 Month Johannesburg Interbank Agreed Rate |
| (7) | 3 Month Korean Certificate of Deposit |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| MSCS | Bovespa Index August Futures | 08/2017 | BRL | 9,788,508 | $22,049 | |||||||||
| SOCG | Cocoa September Futures^ | 08/2017 | USD | 39,300 | (500 | ) | ||||||||
| CITI | Coffee ‘C’ September Futures^ | 08/2017 | USD | 620,879 | (55,229 | ) | ||||||||
| MACQ | Coffee ‘C’ September Futures^ | 08/2017 | USD | 205,521 | (16,971 | ) | ||||||||
| SOCG | Coffee ‘C’ September Futures^ | 08/2017 | USD | 361,862 | (31,899 | ) | ||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | 434,252 | 3,898 | |||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | 1,339,191 | 13,359 | |||||||||
| CITI | Cotton No. 2 December Futures^ | 11/2017 | USD | 772,091 | (51,896 | ) | ||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 10,268,135 | (4,372 | ) | ||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 1,280,399 | (147 | ) | ||||||||
| JPMC | Hang Seng Index July Futures | 07/2017 | HKD | 6,410,032 | (1,765 | ) | ||||||||
| MSCS | Hang Seng Index July Futures | 07/2017 | HKD | 6,410,114 | (1,775 | ) | ||||||||
| CITI | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 23,075 | 3,400 | |||||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 92,722 | 13,178 | |||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 48,472,463 | (71,234 | ) | ||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 16,446,429 | (17,222 | ) | ||||||||
| JPMC | H-SHARES Index July Futures | 07/2017 | HKD | 23,653,036 | (26,205 | ) | ||||||||
| MSCS | H-SHARES Index July Futures | 07/2017 | HKD | 19,019,274 | (20,309 | ) | ||||||||
| JPMC | KOSPI Index 200 September Futures | 09/2017 | KRW | 1,622,465,375 | 17,785 | |||||||||
| MSCS | KOSPI Index 200 September Futures | 09/2017 | KRW | 5,083,718,000 | 69,683 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
169
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | 225,844 | $ 8,656 | |||||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | 390,792 | 11,208 | |||||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | (66,560 | ) | (440 | ) | |||||||||
| MLIN | Lean Hogs August Futures^ | 08/2017 | USD | (129,200 | ) | (4,800 | ) | |||||||||
| MLIN | Lean Hogs August Futures^ | 08/2017 | USD | 748,755 | 21,745 | |||||||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | (99,862 | ) | (638 | ) | |||||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | 587,699 | 15,301 | |||||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | 272,936 | 53,314 | |||||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | (287,432 | ) | (38,818 | ) | |||||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | (696,388 | ) | (101,112 | ) | |||||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | 667,837 | 129,663 | |||||||||||
| MLIN | Lean Hogs July Futures^ | 07/2017 | USD | 729,280 | 140,720 | |||||||||||
| MLIN | Lean Hogs July Futures^ | 07/2017 | USD | (783,640 | ) | (86,360 | ) | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (590,030 | ) | (62,470 | ) | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 546,847 | 105,653 | |||||||||||
| MACQ | Lean Hogs October Futures^ | 10/2017 | USD | 56,142 | 218 | |||||||||||
| MLIN | Lean Hogs October Futures^ | 10/2017 | USD | 108,420 | 4,300 | |||||||||||
| SOCG | Lean Hogs October Futures^ | 10/2017 | USD | 84,213 | 327 | |||||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 676,434 | (25,154 | ) | ||||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | (92,671 | ) | (369 | ) | |||||||||
| MLIN | Live Cattle August Futures^ | 08/2017 | USD | 2,089,575 | (89,215 | ) | ||||||||||
| MLIN | Live Cattle August Futures^ | 08/2017 | USD | (372,800 | ) | 640 | ||||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 481,989 | (16,789 | ) | ||||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | (46,308 | ) | (212 | ) | |||||||||
| MACQ | Live Cattle October Futures^ | 10/2017 | USD | 91,637 | 523 | |||||||||||
| MLIN | Live Cattle October Futures^ | 10/2017 | USD | 368,720 | (80 | ) | ||||||||||
| SOCG | Live Cattle October Futures^ | 10/2017 | USD | 45,794 | 286 | |||||||||||
| BANA | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 898,099 | (11,909 | ) | ||||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 2,213,716 | (17,506 | ) | ||||||||||
| JPMC | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 620,888 | (4,408 | ) | ||||||||||
| MSCS | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 2,065,258 | (23,168 | ) | ||||||||||
| BANA | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 439,762 | (1,911 | ) | ||||||||||
| JPMC | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 515,952 | (1,953 | ) | ||||||||||
| MSCS | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 1,088,376 | (3,267 | ) | ||||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | (95,417 | ) | 2,057 | ||||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | 285,157 | (5,077 | ) | ||||||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | 63,521 | (1,281 | ) | ||||||||||
| MACQ | Soybean Meal December Futures^ | 11/2017 | USD | (63,628 | ) | 1,388 | ||||||||||
| MACQ | Soybean Meal December Futures^ | 11/2017 | USD | 63,561 | (1,321 | ) | ||||||||||
| MLIN | Soybean Meal December Futures^ | 11/2017 | USD | (30,330 | ) | (790 | ) | |||||||||
| MLIN | Soybean Meal December Futures^ | 11/2017 | USD | 318,020 | (6,820 | ) | ||||||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | 96,344 | (869 | ) | ||||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 964,288 | (9,538 | ) | ||||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (185,764 | ) | (5,186 | ) | |||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | 385,901 | (4,001 | ) | ||||||||||
| MLIN | Soybean November Futures^ | 10/2017 | USD | 1,980,525 | (23,288 | ) | ||||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | 2,657,081 | (31,519 | ) | ||||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 899,566 | 40,622 | |||||||||||
| MSCS | Swiss Market Index September Futures | 09/2017 | CHF | 2,655,900 | 9,116 | |||||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 18,009,747 | 14,644 | |||||||||||
| JPMC | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 1,989,087 | 2,023 | |||||||||||
| MSCS | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 31,913,179 | 29,468 | |||||||||||
| GSIN | Wheat September Futures^ | 08/2017 | USD | 67,213 | 11,687 | |||||||||||
|
|
|
|||||||||||||||
| $(132,882 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
170
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 154 | GSCO | Brent Crude Futures^ | 08/2017 | $7,548,558 | $7,552,160 | $3,602 | ||||||||||||||
| 21 | MSCL | Cocoa Futures^ | 09/2017 | 411,719 | 407,400 | (4,319 | ) | |||||||||||||
| 39 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | 1,970,886 | 1,838,363 | (132,523 | ) | |||||||||||||
| 257 | MSCL | Corn Futures^ | 09/2017 | 4,876,303 | 4,895,851 | 19,548 | ||||||||||||||
| 18 | MSCL | Cotton No. 2 Futures^ | 12/2017 | 651,341 | 617,310 | (34,031 | ) | |||||||||||||
| 8 | MSCL | Feeder Cattle Futures^ | 09/2017 | 608,504 | 592,100 | (16,404 | ) | |||||||||||||
| 89 | GSCO | Gas Oil Futures^ | 09/2017 | 3,818,062 | 3,889,300 | 71,238 | ||||||||||||||
| 29 | MSCL | Gasoline RBOB Futures^ | 08/2017 | 1,805,405 | 1,829,924 | 24,519 | ||||||||||||||
| 91 | MSCL | Gold 100 OZ Futures^ | 08/2017 | 11,495,242 | 11,304,930 | (190,312 | ) | |||||||||||||
| 22 | MSCL | Gold 100 OZ Futures^ | 12/2017 | 2,750,427 | 2,749,120 | (1,307 | ) | |||||||||||||
| 9 | MSCL | Hard Red Winter Wheat Futures^ | 09/2017 | 210,346 | 238,275 | 27,929 | ||||||||||||||
| 25 | MSCL | Heating Oil ULSD Futures^ | 08/2017 | 1,529,489 | 1,565,235 | 35,746 | ||||||||||||||
| 2 | MSCL | Lean Hogs Futures^ | 08/2017 | 64,270 | 67,000 | 2,730 | ||||||||||||||
| 51 | MSCL | Live Cattle Futures^ | 08/2017 | 2,452,658 | 2,372,521 | (80,137 | ) | |||||||||||||
| 11 | MSCL | Live Cattle Futures^ | 10/2017 | 503,442 | 506,880 | 3,438 | ||||||||||||||
| 5 | JPPC | LME Aluminum Futures^ | 07/2017 | 239,231 | 239,063 | (168 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 47,744 | 47,803 | 59 | ||||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 07/2017 | 96,949 | 95,475 | (1,474 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 48,590 | 47,767 | (823 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 49,228 | 47,786 | (1,442 | ) | |||||||||||||
| 8 | JPPC | LME Aluminum Futures^ | 08/2017 | 383,223 | 382,550 | (673 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 46,952 | 47,839 | 887 | ||||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 08/2017 | 140,032 | 143,531 | 3,499 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 46,952 | 47,845 | 893 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 47,524 | 47,854 | 330 | ||||||||||||||
| 5 | JPPC | LME Aluminum Futures^ | 08/2017 | 238,811 | 239,240 | 429 | ||||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | 96,677 | 95,817 | (860 | ) | |||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 09/2017 | 143,246 | 143,816 | 570 | ||||||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 09/2017 | 470,026 | 479,688 | 9,662 | ||||||||||||||
| 228 | JPPC | LME Aluminum Futures^ | 09/2017 | 11,093,704 | 10,941,150 | (152,554 | ) | |||||||||||||
| 18 | JPPC | LME Aluminum Futures^ | 09/2017 | 857,744 | 863,550 | 5,806 | ||||||||||||||
| 10 | JPPC | LME Copper Futures^ | 07/2017 | 1,424,137 | 1,482,375 | 58,238 | ||||||||||||||
| 2 | JPPC | LME Copper Futures^ | 08/2017 | 275,586 | 296,537 | 20,951 | ||||||||||||||
| 64 | JPPC | LME Copper Futures^ | 09/2017 | 9,279,562 | 9,504,400 | 224,838 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 07/2017 | 57,793 | 56,841 | (952 | ) | |||||||||||||
| 2 | JPPC | LME Lead Futures^ | 07/2017 | 112,173 | 113,875 | 1,702 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | 54,527 | 57,164 | 2,637 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | 54,040 | 57,207 | 3,167 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | 51,952 | 57,270 | 5,318 | ||||||||||||||
| 2 | JPPC | LME Lead Futures^ | 09/2017 | 104,788 | 114,659 | 9,871 | ||||||||||||||
| 25 | JPPC | LME Lead Futures^ | 09/2017 | 1,415,156 | 1,433,594 | 18,438 | ||||||||||||||
| 2 | JPPC | LME Lead Futures^ | 09/2017 | 115,786 | 114,600 | (1,186 | ) | |||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 07/2017 | 123,535 | 112,171 | (11,364 | ) | |||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 07/2017 | 117,122 | 112,212 | (4,910 | ) | |||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | 55,592 | 56,158 | 566 | ||||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | 54,452 | 56,186 | 1,734 | ||||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | 55,052 | 56,207 | 1,155 | ||||||||||||||
| 33 | JPPC | LME Nickel Futures^ | 09/2017 | 2,013,899 | 1,858,725 | (155,174 | ) | |||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | 55,944 | 56,340 | 396 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 07/2017 | 65,102 | 68,881 | 3,779 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 08/2017 | 64,388 | 68,937 | 4,549 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 09/2017 | 62,631 | 69,000 | 6,369 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
171
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 42 | JPPC | LME Zinc Futures^ | 09/2017 | $ 2,865,985 | $ 2,898,000 | $ 32,015 | ||||||||||||||
| 1 | JPPC | LME Zinc Futures^ | 09/2017 | 68,819 | 68,950 | 131 | ||||||||||||||
| 85 | MSCL | Natural Gas Futures^ | 08/2017 | 2,584,599 | 2,576,350 | (8,249 | ) | |||||||||||||
| 44 | MSCL | Silver Futures^ | 09/2017 | 3,862,160 | 3,657,940 | (204,220 | ) | |||||||||||||
| 1 | MSCL | Soybean Futures^ | 11/2017 | 48,388 | 47,738 | (650 | ) | |||||||||||||
| 45 | MSCL | Soybean Oil Futures^ | 12/2017 | 868,822 | 900,180 | 31,358 | ||||||||||||||
| 188 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | 3,311,145 | 2,907,833 | (403,312 | ) | |||||||||||||
| 70 | MSCL | Wheat Futures^ | 09/2017 | 1,594,275 | 1,841,000 | 246,725 | ||||||||||||||
| 294 | MSCL | WTI Crude Futures^ | 08/2017 | 13,585,452 | 13,609,260 | 23,808 | ||||||||||||||
| 25 | BARC | Amsterdam Index Futures | 07/2017 | 2,993,722 | 2,892,494 | (101,228 | ) | |||||||||||||
| 53 | BARC | CAC40 Index Futures | 07/2017 | 3,196,072 | 3,097,219 | (98,853 | ) | |||||||||||||
| 26 | BARC | DAX Index Futures | 09/2017 | 9,498,465 | 9,146,338 | (352,127 | ) | |||||||||||||
| 90 | BARC | E-Mini Russell 2000 Futures | 09/2017 | 6,407,317 | 6,364,350 | (42,967 | ) | |||||||||||||
| 358 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 14,537,552 | 14,029,005 | (508,547 | ) | |||||||||||||
| 134 | BARC | FTSE 100 Index Futures | 09/2017 | 13,018,942 | 12,640,212 | (378,730 | ) | |||||||||||||
| 41 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2017 | 1,438,959 | 1,431,654 | (7,305 | ) | |||||||||||||
| 14 | BARC | FTSE/MIB Index Futures | 09/2017 | 1,680,456 | 1,638,906 | (41,550 | ) | |||||||||||||
| 19 | BARC | Hang Seng Index Futures | 07/2017 | 3,122,314 | 3,113,148 | (9,166 | ) | |||||||||||||
| 3 | BARC | H-SHARES Index Futures | 07/2017 | 197,454 | 195,870 | (1,584 | ) | |||||||||||||
| 8 | BARC | IBEX 35 Index Futures | 07/2017 | 987,814 | 950,808 | (37,006 | ) | |||||||||||||
| 7 | BARC | KOSPI Index 200 Futures | 09/2017 | 471,544 | 478,586 | 7,042 | ||||||||||||||
| 1 | BARC | MSCI Taiwan Stock Index Futures | 07/2017 | 38,791 | 38,530 | (261 | ) | |||||||||||||
| 744 | BARC | S&P 500 E-Mini Futures | 09/2017 | 90,333,200 | 90,057,480 | (275,720 | ) | |||||||||||||
| 38 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 5,287,065 | 5,211,227 | (75,838 | ) | |||||||||||||
| 44 | BARC | S&PMID 400 E-Mini Futures | 09/2017 | 7,725,106 | 7,682,840 | (42,266 | ) | |||||||||||||
| 134 | BARC | SGX S&P CNX Nifty Index Futures | 07/2017 | 2,557,911 | 2,550,958 | (6,953 | ) | |||||||||||||
| 12 | BARC | SPI 200 Index Futures | 09/2017 | 1,314,155 | 1,302,546 | (11,609 | ) | |||||||||||||
| 118 | BARC | TOPIX Index Futures | 09/2017 | 16,794,264 | 16,906,602 | 112,338 | ||||||||||||||
| 18 | JPMS | Australia 10-Year Bond Futures | 09/2017 | 1,817,144 | 1,788,283 | (28,861 | ) | |||||||||||||
| 66 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | 7,351,918 | 7,153,223 | (198,695 | ) | |||||||||||||
| 374 | GSCO | Euro-Bund Futures | 09/2017 | 70,149,393 | 69,145,052 | (1,004,341 | ) | |||||||||||||
| 1,434 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 180,337,225 | 180,011,812 | (325,413 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 540,402,930 | 536,474,876 | (3,928,054 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 5 | JPPC | LME Aluminum Futures^ | 07/2017 | $(239,988 | ) | $(239,063 | ) | $925 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (47,710 | ) | (47,802 | ) | (92 | ) | |||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 07/2017 | (96,545 | ) | (95,475 | ) | 1,070 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (48,447 | ) | (47,767 | ) | 680 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (48,919 | ) | (47,786 | ) | 1,133 | ||||||||||||
| 8 | JPPC | LME Aluminum Futures^ | 08/2017 | (382,027 | ) | (382,550 | ) | (523 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (46,983 | ) | (47,839 | ) | (856 | ) | |||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 08/2017 | (140,429 | ) | (143,531 | ) | (3,102 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,015 | ) | (47,845 | ) | (830 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,423 | ) | (47,855 | ) | (432 | ) | |||||||||||
| 5 | JPPC | LME Aluminum Futures^ | 08/2017 | (238,988 | ) | (239,240 | ) | (252 | ) | |||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | (96,008 | ) | (95,817 | ) | 191 | ||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 09/2017 | (143,616 | ) | (143,815 | ) | (199 | ) | |||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 09/2017 | (468,616 | ) | (479,688 | ) | (11,072 | ) | |||||||||||
| 42 | JPPC | LME Aluminum Futures^ | 09/2017 | (1,996,168 | ) | (2,015,475 | ) | (19,307 | ) | |||||||||||
| 18 | JPPC | LME Aluminum Futures^ | 09/2017 | (857,550 | ) | (863,550 | ) | (6,000 | ) | |||||||||||
| 10 | JPPC | LME Copper Futures^ | 07/2017 | (1,423,970 | ) | (1,482,375 | ) | (58,405 | ) | |||||||||||
| 2 | JPPC | LME Copper Futures^ | 08/2017 | (274,995 | ) | (296,537 | ) | (21,542 | ) | |||||||||||
| 10 | JPPC | LME Copper Futures^ | 09/2017 | (1,428,484 | ) | (1,485,062 | ) | (56,578 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 07/2017 | (57,873 | ) | (56,841 | ) | 1,032 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
172
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 2 | JPPC | LME Lead Futures^ | 07/2017 | $ (112,095 | ) | $ (113,875 | ) | $ (1,780 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | (54,342 | ) | (57,164 | ) | (2,822 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | (54,180 | ) | (57,207 | ) | (3,027 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | (52,111 | ) | (57,270 | ) | (5,159 | ) | |||||||||||
| 2 | JPPC | LME Lead Futures^ | 09/2017 | (104,645 | ) | (114,659 | ) | (10,014 | ) | |||||||||||
| 3 | JPPC | LME Lead Futures^ | 09/2017 | (160,824 | ) | (172,031 | ) | (11,207 | ) | |||||||||||
| 2 | JPPC | LME Lead Futures^ | 09/2017 | (115,695 | ) | (114,600 | ) | 1,095 | ||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 07/2017 | (123,835 | ) | (112,171 | ) | 11,664 | ||||||||||||
| 2 | JPPC | LME Nickel Futures^ | 07/2017 | (116,875 | ) | (112,212 | ) | 4,663 | ||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | (55,430 | ) | (56,158 | ) | (728 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | (54,295 | ) | (56,187 | ) | (1,892 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | (55,168 | ) | (56,208 | ) | (1,040 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | (165,635 | ) | (168,975 | ) | (3,340 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | (55,841 | ) | (56,340 | ) | (499 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 07/2017 | (64,938 | ) | (68,881 | ) | (3,943 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 08/2017 | (64,123 | ) | (68,937 | ) | (4,814 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 09/2017 | (63,054 | ) | (69,000 | ) | (5,946 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 09/2017 | (65,235 | ) | (69,000 | ) | (3,765 | ) | |||||||||||
| 1 | JPPC | LME Zinc Futures^ | 09/2017 | (69,123 | ) | (68,950 | ) | 173 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (9,739,198 | ) | (9,955,738 | ) | (216,540 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $530,663,732 | $526,519,138 | $(4,144,594 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 16,964,000 | $5,077,845 | $5,039,582 | $(38,263 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 25,446,000 | 7,616,777 | 7,559,374 | (57,403 | ) | |||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 45,600 | 47,125 | 47,794 | 669 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 68,400 | 70,688 | 71,691 | 1,003 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | 14,165,200 | 2,062,671 | 2,077,117 | 14,446 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | 15,577,800 | 2,265,890 | 2,284,255 | 18,365 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 3,025,873 | 3,415,554 | 3,470,298 | 54,744 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 4,538,810 | 5,123,346 | 5,205,447 | 82,101 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 1,328,069 | 1,710,815 | 1,733,929 | 23,114 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 1,992,104 | 2,566,227 | 2,600,894 | 34,667 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 2,608,000 | 335,395 | 334,759 | (636 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
173
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 3,912,000 | $ 503,097 | $ 502,144 | $ (953 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 1,605,882,000 | 5,885,837 | 5,958,282 | 72,445 | ||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 2,408,823,000 | 8,829,293 | 8,937,421 | 108,128 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 382,285,200 | 5,867,962 | 5,863,823 | (4,139 | ) | |||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 490,408,800 | 7,525,203 | 7,522,320 | (2,883 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 5,790,326,000 | 5,171,274 | 5,061,839 | (109,435 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 8,685,488,999 | 7,756,922 | 7,592,760 | (164,162 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 174,008,800 | 9,293,596 | 9,470,118 | 176,522 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 261,013,200 | 13,940,432 | 14,205,177 | 264,745 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 29,332,400 | 7,853,764 | 7,912,836 | 59,072 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 43,998,600 | 11,780,665 | 11,869,255 | 88,590 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 35,521,000 | 9,725,452 | 9,872,784 | 147,332 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 49,488,000 | 13,540,337 | 13,754,802 | 214,465 | ||||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 75,489,201 | 5,727,232 | 5,694,569 | (32,663 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 110,299,801 | 8,365,801 | 8,320,525 | (45,276 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 152,059,200 | 152,963,795 | 904,595 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (1,658,400 | ) | $(493,351 | ) | $(492,670 | ) | $681 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (2,487,600 | ) | (740,026 | ) | (739,004 | ) | 1,022 | |||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (86,800 | ) | (90,076 | ) | (90,976 | ) | (900 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (130,200 | ) | (135,115 | ) | (136,462 | ) | (1,347 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | (440,000 | ) | (63,689 | ) | (64,519 | ) | (830 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (40,089,831 | ) | (45,198,211 | ) | (45,978,030 | ) | (779,819 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (60,083,745 | ) | (67,740,158 | ) | (68,908,553 | ) | (1,168,395 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (7,683,007 | ) | (9,978,335 | ) | (10,030,943 | ) | (52,608 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (11,524,512 | ) | (14,967,485 | ) | (15,046,416 | ) | (78,931 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (2,866,400 | ) | (368,766 | ) | (367,928 | ) | 838 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
174
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (4,299,600 | ) | $ (553,149 | ) | $ (551,893 | ) | $ 1,256 | |||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | (124,212,800 | ) | (452,634 | ) | (460,865 | ) | (8,231 | ) | ||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | (186,319,200 | ) | (678,450 | ) | (691,298 | ) | (12,848 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | (74,482,600 | ) | (1,138,193 | ) | (1,142,479 | ) | (4,286 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | (89,621,400 | ) | (1,370,463 | ) | (1,374,692 | ) | (4,229 | ) | ||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (408,635,600 | ) | (359,628 | ) | (357,224 | ) | 2,404 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (432,353,400 | ) | (380,813 | ) | (377,958 | ) | 2,855 | |||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | (4,975,400 | ) | (1,356,100 | ) | (1,382,874 | ) | (26,774 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | (4,737,600 | ) | (1,286,920 | ) | (1,316,778 | ) | (29,858 | ) | ||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (11,711,600 | ) | (876,327 | ) | (883,472 | ) | (7,145 | ) | ||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (17,567,400 | ) | (1,314,516 | ) | (1,325,206 | ) | (10,690 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (149,542,405 | ) | (151,720,240 | ) | (2,177,835 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $2,516,795 | $1,243,555 | $(1,273,240 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
175
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(170,000 | ) | $— | $(170,000 | ) | |||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 9,395,841 | 9,395,841 | |||||||||
|
|
||||||||||||
| CITG | ||||||||||||
| Cash | — | (6,044,961 | ) | (6,044,961 | ) | |||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 1,975,521 | — | 1,975,521 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 1,029,611 | 1,029,611 | |||||||||
| U.S. Treasury Inflation Linked Notes | — | 1,353,188 | 1,353,188 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (170,000 | ) | — | (170,000 | ) | |||||||
| Investment Companies | 371,190 | — | 371,190 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 15,950,000 | — | 15,950,000 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 175,580 | 175,580 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (83,862 | ) | (83,862 | ) | |||||||
| U.S. Treasury Inflation Linked Notes | — | 2,199,550 | 2,199,550 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Investment Companies | 2,559,197 | — | 2,559,197 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $430,782 | $— | $430,782 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 947,622 | 947,622 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 290,000 | — | 290,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 1,981,201 | 1,981,201 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 270,000 | — | 270,000 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 970,000 | — | 970,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 4,259,723 | 4,259,723 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 651,000 | — | 651,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
176
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
177
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
Reverse repurchase agreements at June 30, 2017:
Over the Counter
| COUNTERPARTY | TRADE DATE | RATE | DUE DATE |
PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT |
||||||||
| BNP Paribas | 6/6/2017 | 1.21% | 7/13/2017 | $5,428,800 | ||||||||
| Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6/6/2017 | 1.22% | 7/13/2017 | 6,123,900 | ||||||||
|
|
|
|||||||||||
| $11,552,700 | ||||||||||||
|
|
|
|||||||||||
The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2017 was $11,388,556 at a net weighted average interest rate of 0.889%
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| GSIN | Bovespa Index August Futures | 08/2017 | BRL | 2,222,801 | $1,211 | |||||||||
| SOCG | Cocoa September Futures^ | 08/2017 | USD | 19,650 | (250 | ) | ||||||||
| CITI | Coffee ‘C’ September Futures^ | 08/2017 | USD | 205,839 | (17,289 | ) | ||||||||
| MACQ | Coffee ‘C’ September Futures^ | 08/2017 | USD | 51,179 | (4,041 | ) | ||||||||
| SOCG | Coffee ‘C’ September Futures^ | 08/2017 | USD | 154,463 | (13,051 | ) | ||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | 434,252 | 3,898 | |||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | 188,708 | 1,792 | |||||||||
| CITI | Cotton No. 2 December Futures^ | 11/2017 | USD | 147,468 | (10,288 | ) | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | 36,433 | (2,138 | ) | ||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 2,569,794 | (1,447 | ) | ||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 1,280,399 | (147 | ) | ||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 23,154 | 3,321 | |||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 11,859,549 | (17,336 | ) | ||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 10,794,454 | (11,492 | ) | ||||||||
| BANA | KOSPI Index 200 September Futures | 09/2017 | KRW | 617,318,200 | 7,458 | |||||||||
| GSIN | KOSPI Index 200 September Futures | 09/2017 | KRW | 153,982,875 | 2,173 | |||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | 32,480 | 1,020 | |||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | 163,187 | 4,313 | |||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | (33,280 | ) | (220 | ) | |||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | (33,287 | ) | (213 | ) | |||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | 293,399 | 8,101 | |||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | 30,660 | 5,590 | |||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | (32,552 | ) | (3,698 | ) | |||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | 272,615 | 53,635 | |||||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | (287,559 | ) | (38,691 | ) | |||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 272,682 | 53,568 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (294,384 | ) | (31,865 | ) | |||||||
| MACQ | Lean Hogs October Futures^ | 10/2017 | USD | 28,071 | 109 | |||||||||
| SOCG | Lean Hogs October Futures^ | 10/2017 | USD | 28,071 | 109 | |||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 580,572 | (22,332 | ) | ||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | (92,671 | ) | (369 | ) | |||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 192,324 | (6,244 | ) | ||||||||
| MACQ | Live Cattle October Futures^ | 10/2017 | USD | 91,637 | 523 | |||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 971,048 | (7,798 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
178
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| GSIN | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 782,038 | $ (1,521 | ) | ||||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | (31,806 | ) | 686 | ||||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | 95,151 | (1,791 | ) | ||||||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | 95,194 | (1,834 | ) | ||||||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | 241,007 | (2,319 | ) | ||||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 96,425 | (949 | ) | ||||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | 869,781 | (10,506 | ) | ||||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | 144,825 | (1,613 | ) | ||||||||||
| MACQ | Soybean Oil December Futures^ | 11/2017 | USD | 38,248 | 1,760 | |||||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 287,252 | 12,808 | |||||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | 88,410 | 427 | |||||||||||
| GSIN | Swiss Market Index September Futures | 09/2017 | CHF | 530,124 | 2,910 | |||||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 2,006,327 | 1,454 | |||||||||||
| GSIN | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 14,081,717 | 8,948 | |||||||||||
| GSIN | Wheat September Futures^ | 08/2017 | USD | 22,433 | 3,867 | |||||||||||
|
|
|
|||||||||||||||
| $(29,761 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 42 | GSCO | Brent Crude Futures^ | 08/2017 | $2,058,746 | $2,059,681 | $935 | ||||||||||||||
| 5 | MSCL | Cocoa Futures^ | 09/2017 | 98,289 | 97,000 | (1,289 | ) | |||||||||||||
| 8 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | 404,218 | 377,100 | (27,118 | ) | |||||||||||||
| 59 | MSCL | Corn Futures^ | 09/2017 | 1,119,072 | 1,123,950 | 4,878 | ||||||||||||||
| 5 | MSCL | Cotton No. 2 Futures^ | 12/2017 | 182,588 | 171,475 | (11,113 | ) | |||||||||||||
| 2 | MSCL | Feeder Cattle Futures^ | 09/2017 | 150,807 | 148,025 | (2,782 | ) | |||||||||||||
| 23 | GSCO | Gas Oil Futures^ | 09/2017 | 987,567 | 1,005,100 | 17,533 | ||||||||||||||
| 8 | MSCL | Gasoline RBOB Futures^ | 08/2017 | 497,616 | 504,807 | 7,191 | ||||||||||||||
| 25 | MSCL | Gold 100 OZ Futures^ | 08/2017 | 3,158,349 | 3,105,750 | (52,599 | ) | |||||||||||||
| 5 | MSCL | Gold 100 OZ Futures^ | 12/2017 | 625,097 | 624,800 | (297 | ) | |||||||||||||
| 3 | MSCL | Hard Red Winter Wheat Futures^ | 09/2017 | 70,413 | 79,425 | 9,012 | ||||||||||||||
| 7 | MSCL | Heating Oil ULSD Futures^ | 08/2017 | 428,376 | 438,266 | 9,890 | ||||||||||||||
| 2 | MSCL | Lean Hogs Futures^ | 08/2017 | 65,002 | 67,000 | 1,998 | ||||||||||||||
| 14 | MSCL | Live Cattle Futures^ | 08/2017 | 673,459 | 651,280 | (22,179 | ) | |||||||||||||
| 3 | MSCL | Live Cattle Futures^ | 10/2017 | 137,302 | 138,240 | 938 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 47,846 | 47,812 | (34 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 49,228 | 47,786 | (1,442 | ) | |||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 08/2017 | 95,705 | 95,637 | (68 | ) | |||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 08/2017 | 93,905 | 95,679 | 1,774 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 47,762 | 47,848 | 86 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | 48,339 | 47,909 | (430 | ) | |||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | 94,005 | 95,937 | 1,932 | ||||||||||||||
| 57 | JPPC | LME Aluminum Futures^ | 09/2017 | 2,774,896 | 2,735,287 | (39,609 | ) | |||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | 190,610 | 191,900 | 1,290 | ||||||||||||||
| 4 | JPPC | LME Copper Futures^ | 07/2017 | 569,897 | 592,950 | 23,053 | ||||||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | 138,052 | 148,258 | 10,206 | ||||||||||||||
| 18 | JPPC | LME Copper Futures^ | 09/2017 | 2,606,518 | 2,673,112 | 66,594 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 07/2017 | 56,086 | 56,937 | 851 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
179
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | $ 54,503 | $ 57,200 | $ 2,697 | ||||||||||||||
| 7 | JPPC | LME Lead Futures^ | 09/2017 | 398,502 | 401,406 | 2,904 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 09/2017 | 57,893 | 57,300 | (593 | ) | |||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | 58,561 | 56,106 | (2,455 | ) | |||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | 54,452 | 56,186 | 1,734 | ||||||||||||||
| 9 | JPPC | LME Nickel Futures^ | 09/2017 | 549,372 | 506,925 | (42,447 | ) | |||||||||||||
| 10 | JPPC | LME Zinc Futures^ | 09/2017 | 684,890 | 690,001 | 5,111 | ||||||||||||||
| 23 | MSCL | Natural Gas Futures^ | 08/2017 | 698,400 | 697,130 | (1,270 | ) | |||||||||||||
| 12 | MSCL | Silver Futures^ | 09/2017 | 1,056,414 | 997,620 | (58,794 | ) | |||||||||||||
| 5 | MSCL | Soybean Futures^ | 11/2017 | 241,940 | 238,688 | (3,252 | ) | |||||||||||||
| 2 | MSCL | Soybean Meal Futures^ | 12/2017 | 63,814 | 62,240 | (1,574 | ) | |||||||||||||
| 8 | MSCL | Soybean Oil Futures^ | 12/2017 | 154,261 | 160,032 | 5,771 | ||||||||||||||
| 53 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | 932,769 | 819,762 | (113,007 | ) | |||||||||||||
| 20 | MSCL | Wheat Futures^ | 09/2017 | 458,108 | 526,000 | 67,892 | ||||||||||||||
| 75 | MSCL | WTI Crude Futures^ | 08/2017 | 3,470,789 | 3,471,750 | 961 | ||||||||||||||
| 5 | BARC | Amsterdam Index Futures | 07/2017 | 598,851 | 578,499 | (20,352 | ) | |||||||||||||
| 11 | BARC | CAC40 Index Futures | 07/2017 | 663,794 | 642,819 | (20,975 | ) | |||||||||||||
| 5 | BARC | DAX Index Futures | 09/2017 | 1,826,318 | 1,758,911 | (67,407 | ) | |||||||||||||
| 23 | BARC | E-Mini Russell 2000 Futures | 09/2017 | 1,637,291 | 1,626,445 | (10,846 | ) | |||||||||||||
| 68 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 2,761,478 | 2,664,727 | (96,751 | ) | |||||||||||||
| 26 | BARC | FTSE 100 Index Futures | 09/2017 | 2,526,198 | 2,452,578 | (73,620 | ) | |||||||||||||
| 11 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2017 | 386,064 | 384,103 | (1,961 | ) | |||||||||||||
| 2 | BARC | FTSE/MIB Index Futures | 09/2017 | 240,109 | 234,130 | (5,979 | ) | |||||||||||||
| 4 | BARC | Hang Seng Index Futures | 07/2017 | 657,474 | 655,400 | (2,074 | ) | |||||||||||||
| 1 | BARC | H-SHARES Index Futures | 07/2017 | 65,485 | 65,290 | (195 | ) | |||||||||||||
| 1 | BARC | IBEX 35 Index Futures | 07/2017 | 123,520 | 118,851 | (4,669 | ) | |||||||||||||
| 9 | BARC | KOSPI Index 200 Futures | 09/2017 | 606,045 | 615,325 | 9,280 | ||||||||||||||
| 152 | BARC | S&P 500 E-Mini Futures | 09/2017 | 18,455,141 | 18,398,840 | (56,301 | ) | |||||||||||||
| 11 | BARC | S&P MID 400 E-Mini Futures | 09/2017 | 1,933,684 | 1,920,710 | (12,974 | ) | |||||||||||||
| 7 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 974,019 | 959,963 | (14,056 | ) | |||||||||||||
| 6 | BARC | SGX S&P CNX Nifty Index Futures | 07/2017 | 114,542 | 114,222 | (320 | ) | |||||||||||||
| 3 | BARC | SPI 200 Index Futures | 09/2017 | 327,670 | 325,637 | (2,033 | ) | |||||||||||||
| 24 | BARC | TOPIX Index Futures | 09/2017 | 3,415,830 | 3,438,631 | 22,801 | ||||||||||||||
| 16 | JPMS | Australia 10-Year Bond Futures | 09/2017 | 1,614,939 | 1,589,584 | (25,355 | ) | |||||||||||||
| 25 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | 2,784,744 | 2,709,554 | (75,190 | ) | |||||||||||||
| 107 | GSCO | Euro-Bund Futures | 09/2017 | 20,062,486 | 19,782,141 | (280,345 | ) | |||||||||||||
| 3 | GSCO | Long Gilt Futures | 09/2017 | 498,148 | 490,646 | (7,502 | ) | |||||||||||||
| 387 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 48,665,603 | 48,580,593 | (85,010 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 137,343,851 | 136,374,896 | (968,955 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | $(47,997 | ) | $(47,812 | ) | $185 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (48,919 | ) | (47,786 | ) | 1,133 | ||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 08/2017 | (95,521 | ) | (95,637 | ) | (116 | ) | |||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 08/2017 | (93,967 | ) | (95,679 | ) | (1,712 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,798 | ) | (47,848 | ) | (50 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | (47,998 | ) | (47,909 | ) | 89 | ||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | (93,723 | ) | (95,937 | ) | (2,214 | ) | |||||||||||
| 11 | JPPC | LME Aluminum Futures^ | 09/2017 | (524,171 | ) | (527,862 | ) | (3,691 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
180
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | $ (190,567 | ) | $ (191,900 | ) | $ (1,333 | ) | |||||||||||
| 4 | JPPC | LME Copper Futures^ | 07/2017 | (569,588 | ) | (592,950 | ) | (23,362 | ) | |||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | (137,747 | ) | (148,258 | ) | (10,511 | ) | |||||||||||
| 4 | JPPC | LME Copper Futures^ | 09/2017 | (571,641 | ) | (594,025 | ) | (22,384 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 07/2017 | (56,048 | ) | (56,938 | ) | (890 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | (54,518 | ) | (57,200 | ) | (2,682 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 09/2017 | (54,597 | ) | (57,344 | ) | (2,747 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 09/2017 | (57,848 | ) | (57,300 | ) | 548 | ||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | (58,438 | ) | (56,106 | ) | 2,332 | ||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 08/2017 | (54,295 | ) | (56,187 | ) | (1,892 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | (54,628 | ) | (56,325 | ) | (1,697 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (2,860,009 | ) | (2,931,003 | ) | (70,994 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $134,483,842 | $133,443,893 | $(1,039,949 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 4,000 | $1,197 | $1,188 | $(9 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 6,000 | 1,796 | 1,782 | (14 | ) | |||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 10,800 | 11,190 | 11,320 | 130 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 16,200 | 16,785 | 16,980 | 195 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 327,579 | 368,965 | 375,692 | 6,727 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 491,369 | 553,448 | 563,539 | 10,091 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 203,497 | 261,781 | 265,686 | 3,905 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 305,247 | 392,674 | 398,531 | 5,857 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 551,600 | 70,940 | 70,802 | (138 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 827,400 | 106,410 | 106,204 | (206 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 1,785,186 | 1,811,724 | 26,538 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (3,374,552 | ) | $(3,804,183 | ) | $(3,870,188 | ) | $(66,005 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (5,061,828 | ) | (5,706,268 | ) | (5,805,285 | ) | (99,017 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
181
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (1,626,634 | ) | $ (2,112,597 | ) | $ (2,123,736 | ) | $ (11,139 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (2,439,950 | ) | (3,168,891 | ) | (3,185,602 | ) | (16,711 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (588,400 | ) | (75,698 | ) | (75,526 | ) | 172 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (882,600 | ) | (113,548 | ) | (113,290 | ) | 258 | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (14,981,185 | ) | (15,173,627 | ) | (192,442 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(13,195,999 | ) | $(13,361,903 | ) | $(165,904 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(20,000 | ) | $— | $(20,000 | ) | |||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 1,914,447 | 1,914,447 | |||||||||
|
|
||||||||||||
| BNPP | ||||||||||||
| U.S. Treasury Inflation Linked Notes | 5,458,956 | — | 5,458,956 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 130,000 | — | 130,000 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 709,701 | 709,701 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (120,000 | ) | — | (120,000 | ) | |||||||
| Investment Companies | 521,511 | — | 521,511 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 570,000 | — | 570,000 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 78,576 | 78,576 | |||||||||
|
|
||||||||||||
| MPFS | ||||||||||||
| U.S. Treasury Inflation Linked Notes | 6,139,686 | — | 6,139,686 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 545,936 | 545,936 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
182
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $100,342 | $— | $100,342 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 256,386 | 256,386 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 513,064 | 513,064 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 220,000 | — | 220,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 1,149,814 | 1,149,814 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 110,000 | — | 110,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
183
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
184
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| GSIN | Bovespa Index August Futures | 08/2017 | BRL | 1,905,258 | $1,038 | |||||||||
| MACQ | Brent Crude August Futures^ | 08/2017 | USD | 50,175 | (1,135 | ) | ||||||||
| MACQ | Brent Crude July Futures^ | 07/2017 | USD | (49,885 | ) | 1,115 | ||||||||
| MACQ | Brent Crude July Futures^ | 07/2017 | USD | 49,485 | (715 | ) | ||||||||
| CITI | Cocoa September Futures^ | 08/2017 | USD | 18,835 | 565 | |||||||||
| SOCG | Cocoa September Futures^ | 08/2017 | USD | 39,300 | (500 | ) | ||||||||
| SOCG | Cocoa September Futures^ | 08/2017 | USD | (38,647 | ) | (153 | ) | |||||||
| CITI | Coffee ‘C’ September Futures^ | 08/2017 | USD | 258,064 | (22,376 | ) | ||||||||
| MACQ | Coffee ‘C’ September Futures^ | 08/2017 | USD | 51,178 | (4,041 | ) | ||||||||
| SOCG | Coffee ‘C’ September Futures^ | 08/2017 | USD | 51,227 | (4,089 | ) | ||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | 509,722 | 4,628 | |||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | 151,205 | 1,195 | |||||||||
| CITI | Cotton No. 2 December Futures^ | 11/2017 | USD | 220,350 | (14,580 | ) | ||||||||
| MACQ | Gold 100 OZ August Futures^ | 07/2017 | USD | 127,210 | (2,980 | ) | ||||||||
| SOCG | Gold 100 OZ August Futures^ | 07/2017 | USD | 127,140 | (2,910 | ) | ||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 1,282,137 | (370 | ) | ||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 1,285,710 | (827 | ) | ||||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 23,180 | 3,294 | |||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 11,859,548 | (17,335 | ) | ||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 10,282,835 | (11,253 | ) | ||||||||
| BANA | KOSPI Index 200 September Futures | 09/2017 | KRW | 1,465,944,594 | 17,878 | |||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | (33,280 | ) | (220 | ) | |||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | 293,080 | 8,420 | |||||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | 195,711 | 5,289 | |||||||||
| SOCG | Lean Hogs August Futures^ | 08/2017 | USD | (33,287 | ) | (213 | ) | |||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | 30,960 | 5,290 | |||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | (30,708 | ) | (5,542 | ) | |||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | (386,606 | ) | (48,394 | ) | |||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | 364,595 | 70,405 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (196,418 | ) | (21,082 | ) | |||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 182,427 | 35,073 | |||||||||
| MACQ | Lean Hogs October Futures^ | 10/2017 | USD | 28,071 | 109 | |||||||||
| SOCG | Lean Hogs October Futures^ | 10/2017 | USD | 28,071 | 109 | |||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | (92,671 | ) | (369 | ) | |||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 582,508 | (24,268 | ) | ||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 95,734 | (2,695 | ) | ||||||||
| MACQ | Live Cattle October Futures^ | 10/2017 | USD | 91,637 | 523 | |||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 932,026 | (7,306 | ) | ||||||||
| BANA | NSE Nifty 50 Index July Futures | 07/2017 | INR | 19,373,206 | (1,556 | ) | ||||||||
| BANA | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 152,961 | (665 | ) | ||||||||
| GSIN | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 38,150 | (76 | ) | ||||||||
| MACQ | Silver September Futures^ | 08/2017 | USD | 87,372 | (4,237 | ) | ||||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | (31,790 | ) | 670 | ||||||||
| GSIN | Soybean Meal December Futures^ | 11/2017 | USD | 63,472 | (1,232 | ) | ||||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | 192,784 | (1,834 | ) | ||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (46,441 | ) | (1,296 | ) | |||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 144,632 | (1,420 | ) | ||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | 676,348 | (8,023 | ) | ||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | 338,252 | (4,089 | ) | ||||||||
| CITI | Soybean Oil December Futures^ | 11/2017 | USD | 19,216 | 788 | |||||||||
| MACQ | Soybean Oil December Futures^ | 11/2017 | USD | 57,489 | 2,523 | |||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 210,612 | 9,432 | |||||||||
| CITI | Sugar #11 (World Markets) September Futures^ | 09/2017 | USD | 17,562 | (2,094 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
185
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | 88,410 | $ 427 | |||||||||||
| GSIN | Swiss Market Index September Futures | 09/2017 | CHF | 441,770 | 2,425 | |||||||||||
| GSIN | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 14,060,270 | 9,655 | |||||||||||
|
|
|
|||||||||||||||
| $(39,024 | ) | |||||||||||||||
|
|
|
|||||||||||||||
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 38 | GSCO | Brent Crude Futures^ | 08/2017 | $1,862,678 | $1,863,520 | $842 | ||||||||||||||
| 5 | MSCL | Cocoa Futures^ | 09/2017 | 97,689 | 97,000 | (689 | ) | |||||||||||||
| 9 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | 451,952 | 424,237 | (27,715 | ) | |||||||||||||
| 52 | MSCL | Corn Futures^ | 09/2017 | 987,534 | 990,600 | 3,066 | ||||||||||||||
| 4 | MSCL | Cotton No. 2 Futures^ | 12/2017 | 146,554 | 137,180 | (9,374 | ) | |||||||||||||
| 2 | MSCL | Feeder Cattle Futures^ | 09/2017 | 150,807 | 148,025 | (2,782 | ) | |||||||||||||
| 22 | GSCO | Gas Oil Futures^ | 09/2017 | 944,740 | 961,400 | 16,660 | ||||||||||||||
| 8 | MSCL | Gasoline RBOB Futures^ | 08/2017 | 497,616 | 504,807 | 7,191 | ||||||||||||||
| 22 | MSCL | Gold 100 OZ Futures^ | 08/2017 | 2,780,701 | 2,733,060 | (47,641 | ) | |||||||||||||
| 4 | MSCL | Gold 100 OZ Futures^ | 12/2017 | 500,078 | 499,840 | (238 | ) | |||||||||||||
| 3 | MSCL | Hard Red Winter Wheat Futures^ | 09/2017 | 68,423 | 79,425 | 11,002 | ||||||||||||||
| 7 | MSCL | Heating Oil ULSD Futures^ | 08/2017 | 428,376 | 438,266 | 9,890 | ||||||||||||||
| 1 | MSCL | Lean Hogs Futures^ | 08/2017 | 32,538 | 33,500 | 962 | ||||||||||||||
| 13 | MSCL | Live Cattle Futures^ | 08/2017 | 626,712 | 604,760 | (21,952 | ) | |||||||||||||
| 3 | MSCL | Live Cattle Futures^ | 10/2017 | 137,302 | 138,240 | 938 | ||||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 07/2017 | 95,692 | 95,625 | (67 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | 48,973 | 47,785 | (1,188 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 47,953 | 47,819 | (134 | ) | |||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 46,952 | 47,845 | 893 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | 47,762 | 47,848 | 86 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | 48,339 | 47,909 | (430 | ) | |||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | 94,005 | 95,937 | 1,932 | ||||||||||||||
| 52 | JPPC | LME Aluminum Futures^ | 09/2017 | 2,531,677 | 2,495,350 | (36,327 | ) | |||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | 187,187 | 191,893 | 4,706 | ||||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | 95,305 | 95,950 | 645 | ||||||||||||||
| 3 | JPPC | LME Copper Futures^ | 07/2017 | 427,120 | 444,713 | 17,593 | ||||||||||||||
| 16 | JPPC | LME Copper Futures^ | 09/2017 | 2,324,694 | 2,376,100 | 51,406 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 07/2017 | 56,086 | 56,937 | 851 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | 54,527 | 57,164 | 2,637 | ||||||||||||||
| 7 | JPPC | LME Lead Futures^ | 09/2017 | 398,502 | 401,406 | 2,904 | ||||||||||||||
| 1 | JPPC | LME Lead Futures^ | 09/2017 | 57,893 | 57,300 | (593 | ) | |||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | 58,561 | 56,106 | (2,455 | ) | |||||||||||||
| 8 | JPPC | LME Nickel Futures^ | 09/2017 | 488,106 | 450,600 | (37,506 | ) | |||||||||||||
| 9 | JPPC | LME Zinc Futures^ | 09/2017 | 617,133 | 621,000 | 3,867 | ||||||||||||||
| 22 | MSCL | Natural Gas Futures^ | 08/2017 | 667,504 | 666,820 | (684 | ) | |||||||||||||
| 10 | MSCL | Silver Futures^ | 09/2017 | 878,073 | 831,350 | (46,723 | ) | |||||||||||||
| 2 | MSCL | Soybean Futures^ | 11/2017 | 96,776 | 95,475 | (1,301 | ) | |||||||||||||
| 5 | MSCL | Soybean Meal Futures^ | 12/2017 | 159,522 | 155,600 | (3,922 | ) | |||||||||||||
| 10 | MSCL | Soybean Oil Futures^ | 12/2017 | 192,979 | 200,040 | 7,061 | ||||||||||||||
| 50 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | 878,882 | 773,361 | (105,521 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
186
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 18 | MSCL | Wheat Futures^ | 09/2017 | $ 407,800 | $ 473,400 | $ 65,600 | ||||||||||||||
| 75 | MSCL | WTI Crude Futures^ | 08/2017 | 3,460,191 | 3,471,750 | 11,559 | ||||||||||||||
| 6 | BARC | Amsterdam Index Futures | 07/2017 | 718,302 | 694,199 | (24,103 | ) | |||||||||||||
| 10 | BARC | CAC40 Index Futures | 07/2017 | 603,279 | 584,381 | (18,898 | ) | |||||||||||||
| 4 | BARC | DAX Index Futures | 09/2017 | 1,462,129 | 1,407,128 | (55,001 | ) | |||||||||||||
| 22 | BARC | E-Mini Russell 2000 Futures | 09/2017 | 1,565,223 | 1,555,730 | (9,493 | ) | |||||||||||||
| 66 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 2,680,216 | 2,586,353 | (93,863 | ) | |||||||||||||
| 25 | BARC | FTSE 100 Index Futures | 09/2017 | 2,428,939 | 2,358,248 | (70,691 | ) | |||||||||||||
| 12 | JPMS | FTSE/JSE Top 40 Index Futures | 09/2017 | 421,162 | 419,021 | (2,141 | ) | |||||||||||||
| 2 | BARC | FTSE/MIB Index Futures | 09/2017 | 240,109 | 234,130 | (5,979 | ) | |||||||||||||
| 4 | BARC | Hang Seng Index Futures | 07/2017 | 657,474 | 655,400 | (2,074 | ) | |||||||||||||
| 1 | BARC | IBEX 35 Index Futures | 07/2017 | 123,520 | 118,851 | (4,669 | ) | |||||||||||||
| 145 | BARC | S&P 500 E-Mini Futures | 09/2017 | 17,605,122 | 17,551,525 | (53,597 | ) | |||||||||||||
| 10 | BARC | S&P MID 400 E-Mini Futures | 09/2017 | 1,756,571 | 1,746,100 | (10,471 | ) | |||||||||||||
| 6 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 834,884 | 822,825 | (12,059 | ) | |||||||||||||
| 18 | BARC | SGX S&P CNX Nifty Index Futures | 07/2017 | 343,627 | 342,666 | (961 | ) | |||||||||||||
| 4 | BARC | SPI 200 Index Futures | 09/2017 | 438,824 | 434,182 | (4,642 | ) | |||||||||||||
| 24 | BARC | TOPIX Index Futures | 09/2017 | 3,415,928 | 3,438,631 | 22,703 | ||||||||||||||
| 17 | JPMS | Australia 10-Year Bond Futures | 09/2017 | 1,715,778 | 1,688,934 | (26,844 | ) | |||||||||||||
| 24 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | 2,673,443 | 2,601,172 | (72,271 | ) | |||||||||||||
| 102 | GSCO | Euro-Bund Futures | 09/2017 | 19,126,008 | 18,857,741 | (268,267 | ) | |||||||||||||
| 3 | GSCO | Long Gilt Futures | 09/2017 | 499,945 | 490,646 | (9,299 | ) | |||||||||||||
| 369 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 46,403,012 | 46,321,032 | (81,980 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 129,895,389 | 128,965,838 | (929,551 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 07/2017 | $(95,995 | ) | $(95,625 | ) | $370 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 07/2017 | (49,248 | ) | (47,786 | ) | 1,462 | ||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,746 | ) | (47,819 | ) | (73 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,015 | ) | (47,845 | ) | (830 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 08/2017 | (47,798 | ) | (47,848 | ) | (50 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | (47,998 | ) | (47,909 | ) | 89 | ||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | (93,723 | ) | (95,937 | ) | (2,214 | ) | |||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 09/2017 | (471,629 | ) | (479,875 | ) | (8,246 | ) | |||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | (187,381 | ) | (191,893 | ) | (4,512 | ) | |||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 09/2017 | (95,283 | ) | (95,950 | ) | (667 | ) | |||||||||||
| 3 | JPPC | LME Copper Futures^ | 07/2017 | (427,191 | ) | (444,713 | ) | (17,522 | ) | |||||||||||
| 3 | JPPC | LME Copper Futures^ | 09/2017 | (428,421 | ) | (445,518 | ) | (17,097 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 07/2017 | (56,048 | ) | (56,938 | ) | (890 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 08/2017 | (54,342 | ) | (57,164 | ) | (2,822 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 09/2017 | (54,673 | ) | (57,344 | ) | (2,671 | ) | |||||||||||
| 1 | JPPC | LME Lead Futures^ | 09/2017 | (57,848 | ) | (57,300 | ) | 548 | ||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 07/2017 | (58,438 | ) | (56,106 | ) | 2,332 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (2,320,777 | ) | (2,373,570 | ) | (52,793 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $127,574,612 | $126,592,268 | $(982,344 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | 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 2017 | ||||||||||||||
187
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 13,600 | $14,100 | $14,255 | $155 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 20,400 | 21,154 | 21,382 | 228 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 425,666 | 479,534 | 488,185 | 8,651 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 638,501 | 719,304 | 732,281 | 12,977 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 255,969 | 328,895 | 334,193 | 5,298 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 383,952 | 493,340 | 501,288 | 7,948 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 538,400 | 69,241 | 69,109 | (132 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 807,600 | 103,863 | 103,662 | (201 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 2,229,431 | 2,264,355 | 34,924 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (20,000 | ) | $(5,987 | ) | $(5,941 | ) | $46 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (30,000 | ) | (8,980 | ) | (8,912 | ) | 68 | |||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (3,107,416 | ) | (3,503,030 | ) | (3,563,819 | ) | (60,789 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (4,661,124 | ) | (5,254,538 | ) | (5,345,729 | ) | (91,191 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (1,585,933 | ) | (2,059,736 | ) | (2,070,595 | ) | (10,859 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (2,378,899 | ) | (3,089,601 | ) | (3,105,894 | ) | (16,293 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (573,200 | ) | (73,742 | ) | (73,575 | ) | 167 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (859,800 | ) | (110,613 | ) | (110,363 | ) | 250 | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (14,106,227 | ) | (14,284,828 | ) | (178,601 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(11,876,796 | ) | $(12,020,473 | ) | $(143,677 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
188
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(10,000 | ) | $— | $(10,000 | ) | |||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 1,773,059 | 1,773,059 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 120,626 | — | 120,626 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 297,487 | 297,487 | |||||||||
| U.S. Treasury Inflation Linked Notes | — | 382,770 | 382,770 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 431,275 | — | 431,275 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 520,000 | — | 520,000 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 80,673 | 80,673 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (22,319 | ) | (22,319 | ) | |||||||
| U.S. Treasury Inflation Linked Notes | — | 557,983 | 557,983 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $160,321 | $— | $160,321 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 235,196 | 235,196 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 486,145 | 486,145 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 1,059,234 | 1,059,234 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 260,000 | — | 260,000 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 120,000 | — | 120,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
189
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
190
Table of Contents
| Consolidated Schedule of Investments |
June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
191
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
192
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
193
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
194
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
195
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,191,116,447. In addition, $23,535,177 of cash collateral was pledged. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at 6/30/2017 amounted to $15,082,076, which represents approximately 0.38% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Security fair valued as of 6/30/2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at 6/30/2017 amounted to $(3), which represents approximately 0.00% of net assets of the fund. |
| (e) | Represents 7-day effective yield as of 6/30/2017. |
| (f) | All or a portion of the security represents positions held in the respective Subsidiary (See Note 2). |
| (g) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (h) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/16 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/17 |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund (Short-Term Investment) | — | 902,862,276 | (262,853,895 | ) | 640,008,381 | $639,944,381 | $979,238 | $(20,671 | ) | $(40,190 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (i) | The rate shown was the effective yield at the date of purchase. |
| (j) | All or a portion of the security pledged as collateral for futures contracts. |
| (k) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(3) Level 3 security (See Note 5).
Abbreviations
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA - Limited partnership with share capital
SDR - Swedish Depositary Receipt
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
196
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
|
| |||||||||||||||
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| GSIN | BIST 30 August Futures | 08/2017 | TRY | 61,379,701 | $121,028 | |||||||||||
| BANA | Bovespa Index August Futures | 08/2017 | BRL | (352,871,335 | ) | (1,222,296 | ) | |||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | (207,238,228 | ) | 5,174,878 | ||||||||||
| GSIN | Corn September Futures^ | 08/2017 | USD | (25,299,348 | ) | 629,598 | ||||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | (49,579,766 | ) | 1,345,166 | ||||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 1,344,053,329 | (599,248 | ) | ||||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 1,787,828,783 | (583,155 | ) | ||||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 7,733,987 | (11,242 | ) | ||||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 20,041,447 | (20,650 | ) | ||||||||||
| BANA | KOSPI Index 200 September Futures | 09/2017 | KRW | 115,046,054,525 | 1,395,996 | |||||||||||
| GSIN | KOSPI Index 200 September Futures | 09/2017 | KRW | 10,011,709,500 | 138,749 | |||||||||||
| BANA | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 10,464,672 | (138,631 | ) | ||||||||||
| BANA | NSE Nifty 50 Index July Futures | 07/2017 | INR | 350,152,753 | (28,121 | ) | ||||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (41,685,857 | ) | (609,568 | ) | |||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | (19,706,761 | ) | (199,777 | ) | |||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | (314,207,243 | ) | (1,156,321 | ) | |||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 1,153,331,753 | 913,885 | |||||||||||
| BANA | Tel Aviv 25 Index July Futures | 07/2017 | ILS | (16,023,166 | ) | 31,336 | ||||||||||
| GSIN | WIG20 Index September Futures | 09/2017 | PLN | 20,244,854 | (94,060 | ) | ||||||||||
|
|
|
|||||||||||||||
| $5,087,567 | ||||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| Long Contracts: | ||||||||||||||||||
| 1,514 | GSCO | Brent Crude Futures^ | 07/2017 | $72,075,413 | $73,837,780 | $1,762,367 | ||||||||||||
| 125 | JPPC | LME Copper Futures^ | 07/2017 | 17,802,344 | 18,529,688 | 727,344 | ||||||||||||
| 31 | JPPC | LME Copper Futures^ | 08/2017 | 4,319,901 | 4,596,432 | 276,531 | ||||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | 139,879 | 148,284 | 8,405 | ||||||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | 142,811 | 148,333 | 5,522 | ||||||||||||
| 1,177 | JPPC | LME Copper Futures^ | 09/2017 | 166,824,997 | 174,791,856 | 7,966,859 | ||||||||||||
| 2,172 | MSCL | Silver Futures^ | 09/2017 | 179,224,557 | 180,569,220 | 1,344,663 | ||||||||||||
| 1,035 | MSCL | WTI Crude Futures^ | 07/2017 | 48,006,982 | 47,651,400 | (355,582 | ) | |||||||||||
| 5,223 | JPMS | BIST 30 Futures | 08/2017 | 18,621,897 | 18,663,379 | 41,482 | ||||||||||||
| 1,607 | BARC | CAC40 Index Futures | 07/2017 | 96,883,347 | 93,910,034 | (2,973,313 | ) | |||||||||||
| 1,615 | BARC | DAX Index Futures | 09/2017 | 589,900,595 | 568,128,248 | (21,772,347 | ) | |||||||||||
| 137 | BARC | FTSE 100 Index Futures | 09/2017 | 13,324,475 | 12,923,201 | (401,274 | ) | |||||||||||
| 125 | BARC | FTSE Bursa Malaysia KLCI Index Futures |
07/2017 | 2,590,101 | 2,573,440 | (16,661 | ) | |||||||||||
| 450 | BARC | Hang Seng Index Futures | 07/2017 | 73,950,964 | 73,732,460 | (218,504 | ) | |||||||||||
| 46 | BARC | H-SHARES Index Futures | 07/2017 | 3,029,068 | 3,003,349 | (25,719 | ) | |||||||||||
| 109 | BARC | IBEX 35 Index Futures | 07/2017 | 13,459,010 | 12,954,758 | (504,252 | ) | |||||||||||
| 369 | BARC | KOSPI Index 200 Futures | 09/2017 | 24,843,652 | 25,228,357 | 384,705 | ||||||||||||
| 6 | JPMS | Mexican Stock Exchange Price and Quotation Index Futures | 09/2017 | 163,409 | 166,375 | 2,966 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
197
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||
| 375 | BARC | MSCI Singapore Index Futures |
07/2017 | $ 9,733,302 | $ 9,763,483 | $ 30,181 | ||||||||||||
| 183 | BARC | MSCI Taiwan Stock Index Futures |
07/2017 | 7,133,409 | 7,050,991 | (82,418 | ) | |||||||||||
| 307 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 42,747,484 | 42,101,234 | (646,250 | ) | |||||||||||
| 3,449 | BARC | TOPIX Index Futures | 09/2017 | 491,121,898 | 494,159,902 | 3,038,004 | ||||||||||||
| 247 | JPMS | 3-Month Euro Euribor Futures |
12/2017 | 70,717,995 | 70,728,766 | 10,771 | ||||||||||||
| 247 | JPMS | 3-Month Euro Euribor Futures |
03/2018 | 70,690,285 | 70,704,082 | 13,797 | ||||||||||||
| 247 | JPMS | 3-Month Euro Euribor Futures |
06/2018 | 70,684,532 | 70,672,343 | (12,189 | ) | |||||||||||
| 2,476 | JPMS | 90-Day Sterling Futures | 12/2017 | 401,392,168 | 401,092,759 | (299,409 | ) | |||||||||||
| 2,476 | JPMS | 90-Day Sterling Futures | 03/2018 | 401,218,407 | 400,770,272 | (448,135 | ) | |||||||||||
| 2,476 | JPMS | 90-Day Sterling Futures | 06/2018 | 401,181,228 | 400,447,746 | (733,482 | ) | |||||||||||
| 1,330 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 06/2018 | 1,017,774,960 | 1,017,396,246 | (378,714 | ) | |||||||||||
| 844 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 09/2017 | 645,818,896 | 645,927,066 | 108,170 | ||||||||||||
| 2,174 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 12/2017 | 1,663,222,954 | 1,663,675,371 | 452,417 | ||||||||||||
| 2,174 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 03/2018 | 1,663,144,009 | 1,663,389,506 | 245,497 | ||||||||||||
| 6,975 | JPMS | Australia 3-Year Bond Futures | 09/2017 | 602,000,724 | 598,569,536 | (3,431,188 | ) | |||||||||||
| 313 | JPMS | Canadian 3-Month Bank Acceptance Futures | 06/2018 | 59,526,823 | 59,435,727 | (91,096 | ) | |||||||||||
| 13 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | 1,456,403 | 1,408,968 | (47,435 | ) | |||||||||||
| 313 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2017 | 59,652,681 | 59,529,255 | (123,426 | ) | |||||||||||
| 313 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2018 | 59,629,187 | 59,477,965 | (151,222 | ) | |||||||||||
| 1,178 | GSCO | Euro-Bobl Futures | 09/2017 | 178,876,258 | 177,196,119 | (1,680,139 | ) | |||||||||||
| 1,465 | GSCO | Euro-SCHATZ Futures | 09/2017 | 187,170,310 | 187,152,983 | (17,327 | ) | |||||||||||
| 3,963 | GSCO | Long Gilt Futures | 09/2017 | 655,937,688 | 648,143,262 | (7,794,426 | ) | |||||||||||
| 5,219 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 657,060,384 | 655,147,594 | (1,912,790 | ) | |||||||||||
| 27 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2017 | 3,186,721 | 3,181,570 | (5,151 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||
| 10,746,382,108 | 10,718,679,340 | (27,702,768 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||
| Short Contracts: | ||||||||||||||||||
| 1,072 | MSCL | Corn Futures^ | 09/2017 | $(20,942,662 | ) | $(20,421,600 | ) | $521,062 | ||||||||||
| 1,143 | MSCL | Gold 100 OZ Futures^ | 08/2017 | (142,629,892 | ) | (141,994,890 | ) | 635,002 | ||||||||||
| 125 | JPPC | LME Copper Futures^ | 07/2017 | (17,823,187 | ) | (18,529,687 | ) | (706,500 | ) | |||||||||
| 31 | JPPC | LME Copper Futures^ | 08/2017 | (4,345,195 | ) | (4,596,432 | ) | (251,237 | ) | |||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | (139,998 | ) | (148,285 | ) | (8,287 | ) | |||||||||
| 1 | JPPC | LME Copper Futures^ | 08/2017 | (142,598 | ) | (148,334 | ) | (5,736 | ) | |||||||||
| 3,666 | MSCL | Natural Gas Futures^ | 07/2017 | (111,124,987 | ) | (111,263,100 | ) | (138,113 | ) | |||||||||
| 985 | MSCL | Soybean Futures^ | 11/2017 | (46,234,591 | ) | (47,021,437 | ) | (786,846 | ) | |||||||||
| 1,686 | BARC | Amsterdam Index Futures | 07/2017 | (201,430,758 | ) | (195,069,853 | ) | 6,360,905 | ||||||||||
| 1,184 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | (47,949,429 | ) | (46,397,605 | ) | 1,551,824 | ||||||||||
| 1,591 | BARC | FTSE/JSE Top 40 Index Futures | 09/2017 | (55,779,391 | ) | (55,555,178 | ) | 224,213 | ||||||||||
| 1,499 | BARC | FTSE/MIB Index Futures | 09/2017 | (179,967,134 | ) | (175,479,930 | ) | 4,487,204 | ||||||||||
| 12,213 | BARC | OMXS30 Index Futures | 07/2017 | (238,799,005 | ) | (232,345,196 | ) | 6,453,809 | ||||||||||
| 4,287 | BARC | S&P 500 E-Mini Futures | 09/2017 | (520,446,844 | ) | (518,919,915 | ) | 1,526,929 | ||||||||||
| 2,651 | BARC | SET50 Index Futures | 09/2017 | (15,520,614 | ) | (15,486,148 | ) | 34,466 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
198
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||
| 2,159 | BARC | SPI 200 Index Futures | 09/2017 | $ (236,131,660 | ) | $ (234,349,795 | ) | $ 1,781,865 | ||||||||||
| 999 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (1,336,752,507 | ) | (1,333,273,083 | ) | 3,479,424 | ||||||||||
| 3,666 | JPMS | 90-Day EURODollar Futures | 12/2017 | (902,727,868 | ) | (902,981,625 | ) | (253,757 | ) | |||||||||
| 3,666 | JPMS | 90-Day EURODollar Futures | 03/2018 | (901,240,306 | ) | (902,202,599 | ) | (962,293 | ) | |||||||||
| 3,666 | JPMS | 90-Day EURODollar Futures | 06/2018 | (902,129,409 | ) | (901,515,225 | ) | 614,184 | ||||||||||
| 4,852 | JPMS | Australia 10-Year Bond Futures | 09/2017 | (489,089,085 | ) | (482,041,529 | ) | 7,047,556 | ||||||||||
| 1,516 | GSCO | Euro-Bund Futures | 09/2017 | (283,677,598 | ) | (280,277,805 | ) | 3,399,793 | ||||||||||
| 1,057 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2017 | (201,118,215 | ) | (197,409,935 | ) | 3,708,280 | ||||||||||
| 1,160 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2017 | (251,009,737 | ) | (250,686,874 | ) | 322,863 | ||||||||||
| 2,170 | MSCL | U.S. Treasury Long Bond Futures | 09/2017 | (330,519,652 | ) | (333,501,875 | ) | (2,982,223 | ) | |||||||||
|
|
|
|
|
|
|
|||||||||||||
| (7,437,672,322 | ) | (7,401,617,935 | ) | 36,054,387 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||
| $3,308,709,786 | $3,317,061,405 | $8,351,619 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 403,217,196 | $301,566,457 | $309,606,269 | $8,039,812 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 604,825,793 | 452,350,252 | 464,409,405 | 12,059,153 | ||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 121,028,228 | 36,227,455 | 35,954,476 | (272,979 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 181,542,342 | 54,341,251 | 53,931,713 | (409,538 | ) | |||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 248,468,540 | 184,948,076 | 191,840,350 | 6,892,274 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 372,702,810 | 277,422,459 | 287,760,523 | 10,338,064 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 32,580,000 | 33,776,935 | 34,147,476 | 370,541 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 48,870,000 | 50,665,509 | 51,221,215 | 555,706 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | 50,708,600 | 7,410,637 | 7,435,669 | 25,032 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | 57,134,400 | 8,360,743 | 8,377,918 | 17,175 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 173,281,051 | 195,558,572 | 198,731,730 | 3,173,158 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 259,921,577 | 293,338,224 | 298,097,596 | 4,759,372 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 56,091,200 | 71,242,102 | 73,232,733 | 1,990,631 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 84,136,800 | 106,863,286 | 109,849,100 | 2,985,814 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
199
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 148,986,200 | $ 19,169,689 | $ 19,123,732 | $ (45,957 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 222,037,800 | 28,569,267 | 28,500,570 | (68,697 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 720,000,000 | 2,661,419 | 2,671,406 | 9,987 | ||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 1,080,000,000 | 3,992,102 | 4,007,109 | 15,007 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 952,099,476 | 14,609,715 | 14,604,134 | (5,581 | ) | |||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 1,428,149,214 | 21,914,599 | 21,906,202 | (8,397 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 16,139,272,142 | 146,529,222 | 143,983,820 | (2,545,402 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 24,208,908,214 | 219,794,108 | 215,975,732 | (3,818,376 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 40,000,000 | 35,791 | 34,968 | (823 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 60,000,000 | 53,687 | 52,451 | (1,236 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 1,592,453,737 | 85,286,308 | 86,666,443 | 1,380,135 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 2,388,680,604 | 127,929,645 | 129,999,665 | 2,070,020 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 82,309,600 | 9,870,914 | 9,874,086 | 3,172 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 123,464,400 | 14,806,390 | 14,811,128 | 4,738 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 49,426,400 | 35,342,425 | 36,167,510 | 825,085 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 74,139,600 | 53,014,098 | 54,251,265 | 1,237,167 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 74,000,000 | 19,811,402 | 19,962,564 | 151,162 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 111,000,000 | 29,717,096 | 29,943,845 | 226,749 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 1,682,000 | 195,922 | 200,543 | 4,621 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 2,523,000 | 293,883 | 300,813 | 6,930 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 210,405,180 | 57,639,460 | 58,480,476 | 841,016 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 315,607,770 | 86,458,925 | 87,720,715 | 1,261,790 | ||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | 144,000,000 | 4,811,244 | 4,736,946 | (74,298 | ) | |||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | 216,000,000 | 7,216,875 | 7,105,419 | (111,456 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 548,800,000 | 41,624,874 | 41,399,024 | (225,850 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 823,200,000 | 62,437,278 | 62,098,536 | (338,742 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 3,167,858,296 | 3,219,175,275 | 51,316,979 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
200
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (68,400,000 | ) | $(20,345,212 | ) | $(20,319,939 | ) | $25,273 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (102,600,000 | ) | (30,517,780 | ) | (30,479,908 | ) | 37,872 | |||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (30,452,000 | ) | (22,665,664 | ) | (23,511,718 | ) | (846,054 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (45,678,000 | ) | (33,998,453 | ) | (35,267,577 | ) | (1,269,124 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (443,784,091 | ) | (460,810,724 | ) | (465,135,259 | ) | (4,324,535 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (665,676,131 | ) | (691,215,216 | ) | (697,702,885 | ) | (6,487,669 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | (62,115,000 | ) | (8,971,199 | ) | (9,108,250 | ) | (137,051 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | (91,182,000 | ) | (13,166,831 | ) | (13,370,495 | ) | (203,664 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 |
CITI | DKK | (60,238,570 | ) | (9,085,943 | ) | (9,293,569 | ) | (207,626 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 |
JPMC | DKK | (90,357,853 | ) | (13,628,899 | ) | (13,940,352 | ) | (311,453 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (35,737,800 | ) | (40,125,720 | ) | (40,986,794 | ) | (861,074 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (26,473,200 | ) | (29,823,858 | ) | (30,361,455 | ) | (537,597 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (111,176,701 | ) | (144,413,311 | ) | (145,152,425 | ) | (739,114 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (166,765,050 | ) | (216,619,694 | ) | (217,728,636 | ) | (1,108,942 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (133,586,600 | ) | (17,181,700 | ) | (17,147,054 | ) | 34,646 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (178,346,400 | ) | (22,941,460 | ) | (22,892,381 | ) | 49,079 | |||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | (495,600,000 | ) | (1,816,659 | ) | (1,838,817 | ) | (22,158 | ) | ||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | (743,400,000 | ) | (2,724,984 | ) | (2,758,227 | ) | (33,243 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | (151,903,637 | ) | (42,821,408 | ) | (43,681,713 | ) | (860,305 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | (227,855,454 | ) | (64,232,030 | ) | (65,522,569 | ) | (1,290,539 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | (32,000,000 | ) | (489,654 | ) | (490,844 | ) | (1,190 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | (48,000,000 | ) | (734,480 | ) | (736,266 | ) | (1,786 | ) | ||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | (16,245,068,000 | ) | (146,388,502 | ) | (144,927,662 | ) | 1,460,840 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | (24,367,602,000 | ) | (219,582,550 | ) | (217,391,492 | ) | 2,191,058 | |||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (127,563,775,584 | ) | (113,826,732 | ) | (111,514,851 | ) | 2,311,881 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (191,345,663,376 | ) | (170,739,886 | ) | (167,272,275 | ) | 3,467,611 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | (16,000,000 | ) | (844,480 | ) | (870,771 | ) | (26,291 | ) | ||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | (24,000,000 | ) | (1,266,718 | ) | (1,306,157 | ) | (39,439 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
201
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (627,643,359 | ) | $ (74,508,231 | ) | $ (75,293,821 | ) | $ (785,590 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (941,465,039 | ) | (111,760,834 | ) | (112,940,731 | ) | (1,179,897 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | (12,876,458 | ) | (9,003,186 | ) | (9,422,281 | ) | (419,095 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | (19,314,685 | ) | (13,504,760 | ) | (14,133,419 | ) | (628,659 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (1,086,043,708 | ) | (125,539,008 | ) | (129,487,229 | ) | (3,948,221 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | (1,629,065,560 | ) | (188,307,100 | ) | (194,230,844 | ) | (5,923,744 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (132,217,800 | ) | (95,641,580 | ) | (96,154,187 | ) | (512,607 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (198,326,699 | ) | (143,462,197 | ) | (144,231,279 | ) | (769,082 | ) | ||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | (427,705,474 | ) | (14,254,394 | ) | (14,069,567 | ) | 184,827 | |||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | (641,558,210 | ) | (21,381,559 | ) | (21,104,351 | ) | 277,208 | |||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (82,000,000 | ) | (6,303,787 | ) | (6,185,714 | ) | 118,073 | |||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (78,000,000 | ) | (5,940,752 | ) | (5,883,972 | ) | 56,780 | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (3,350,587,135 | ) | (3,373,847,736 | ) | (23,260,601 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(182,728,839 | ) | $(154,672,461 | ) | $28,056,378 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
202
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2017
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 1-57 months maturity ranging from 07/05/2017 – 11/19/2021 | $8,132,262 | |||||
|
|
|
|||||||
| * | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
203
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
204
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 54-57 months maturity 11/22/2021 |
$8,939,730 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
205
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
206
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
207
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
208
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
209
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
210
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
211
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
212
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
213
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 1-57 months maturity 11/19/2021 | $2,396,019 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
214
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
215
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||
| BANA | ||||||||
| Cash | $(2,150,000) | $— | $(2,150,000 | ) | ||||
| Investment Companies | 2,140,255 | — | 2,140,255 | |||||
|
|
||||||||
| BARC | ||||||||
| Cash | — | 149,640,432 | 149,640,432 | |||||
|
|
||||||||
| CITI | ||||||||
| Cash | (12,170,000) | — | (12,170,000 | ) | ||||
| Investment Companies | 23,470,000 | — | 23,470,000 | |||||
|
|
||||||||
| GSCO | ||||||||
| Cash | — | 3,018,890 | 3,018,890 | |||||
| U.S. Treasury Bills | — | 26,999,827 | 26,999,827 | |||||
|
|
||||||||
| GSIN | ||||||||
| Cash | (33,900,000) | — | (33,900,000 | ) | ||||
| Investment Companies | 591,539,239 | — | 591,539,239 | |||||
|
|
||||||||
| JPMC | ||||||||
| Investment Companies | 53,510,000 | — | 53,510,000 | |||||
|
|
||||||||
| JPMS | ||||||||
| Cash | — | 17,674,763 | 17,674,763 | |||||
|
|
||||||||
| MSCL | ||||||||
| Cash | — | 7,416,085 | 7,416,085 | |||||
|
|
||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||
| CITI | ||||||||
| Investment Companies | $10,405,758 | $— | $10,405,758 | |||||
|
|
||||||||
| GSCO | ||||||||
| Cash | — | 3,986,988 | 3,986,988 | |||||
|
|
||||||||
| GSIN | ||||||||
| Cash | 7,870,000 | — | 7,870,000 | |||||
|
|
||||||||
| JPPC | ||||||||
| Cash | — | 6,938,398 | 6,938,398 | |||||
|
|
||||||||
| MACQ | ||||||||
| Cash | 1,180,000 | — | 1,180,000 | |||||
|
|
||||||||
| MSCL | ||||||||
| Cash | — | 20,299,919 | 20,299,919 | |||||
|
|
||||||||
| SOCG | ||||||||
| Cash | 500,000 | — | 500,000 | |||||
|
|
||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
216
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
217
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
218
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
219
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
220
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
221
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
222
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| GSIN | BIST 30 August Futures | 08/2017 | TRY | 2,796,797 | $5,515 | |||||||||||
| BANA | Bovespa Index August Futures | 08/2017 | BRL | (14,792,136 | ) | (48,071 | ) | |||||||||
| MSCS | Bovespa Index August Futures | 08/2017 | BRL | (4,073,401 | ) | (18,648 | ) | |||||||||
| CITI | Corn September Futures^ | 08/2017 | USD | (9,788,271 | ) | 244,221 | ||||||||||
| GSIN | Corn September Futures^ | 08/2017 | USD | (1,132,627 | ) | 27,727 | ||||||||||
| MACQ | Corn September Futures^ | 08/2017 | USD | (3,289,207 | ) | 88,807 | ||||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 79,591,848 | (35,652 | ) | ||||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 53,865,781 | (17,578 | ) | ||||||||||
| MSCS | Hang Seng Index July Futures | 07/2017 | HKD | 52,569,539 | (15,401 | ) | ||||||||||
| MSCS | KOSPI Index 200 September Futures | 09/2017 | KRW | 7,394,376,225 | 101,471 | |||||||||||
| BANA | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 702,831 | (9,291 | ) | ||||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 194,321 | (1,671 | ) | ||||||||||
| GSIN | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 38,150 | (76 | ) | ||||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (1,834,930 | ) | (26,832 | ) | |||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | (992,342 | ) | (10,146 | ) | |||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | (15,577,721 | ) | (57,202 | ) | |||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 42,094,365 | 31,810 | |||||||||||
| MSCS | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 2,002,735 | 1,572 | |||||||||||
| BANA | Tel Aviv 25 Index July Futures | 07/2017 | ILS | (288,706 | ) | 565 | ||||||||||
| GSIN | WIG20 Index September Futures | 09/2017 | PLN | 1,343,738 | (4,700 | ) | ||||||||||
|
|
|
|||||||||||||||
| $256,420 | ||||||||||||||||
|
|
|
|||||||||||||||
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 72 | GSCO | Brent Crude Futures^ | 07/2017 | $3,430,888 | $3,511,440 | $80,552 | ||||||||||||||
| 6 | JPPC | LME Copper Futures^ | 07/2017 | 854,512 | 889,424 | 34,912 | ||||||||||||||
| 40 | JPPC | LME Copper Futures^ | 08/2017 | 5,522,083 | 5,930,310 | 408,227 | ||||||||||||||
| 94 | JPPC | LME Copper Futures^ | 09/2017 | 13,323,563 | 13,959,588 | 636,025 | ||||||||||||||
| 106 | MSCL | Silver Futures^ | 09/2017 | 8,746,620 | 8,812,310 | 65,690 | ||||||||||||||
| 53 | MSCL | WTI Crude Futures^ | 07/2017 | 2,457,868 | 2,440,120 | (17,748 | ) | |||||||||||||
| 311 | JPMS | BIST 30 Futures | 08/2017 | 1,108,828 | 1,111,298 | 2,470 | ||||||||||||||
| 84 | BARC | CAC40 Index Futures | 07/2017 | 5,063,621 | 4,908,801 | (154,820 | ) | |||||||||||||
| 82 | BARC | DAX Index Futures | 09/2017 | 29,952,147 | 28,846,140 | (1,106,007 | ) | |||||||||||||
| 17 | BARC | FTSE 100 Index Futures | 09/2017 | 1,651,742 | 1,603,609 | (48,133 | ) | |||||||||||||
| 20 | JPMS | FTSE Bursa Malaysia KLCI Index Futures | 07/2017 | 415,921 | 411,750 | (4,171 | ) | |||||||||||||
| 3 | BARC | Hang Seng Index Futures | 07/2017 | 492,736 | 491,550 | (1,186 | ) | |||||||||||||
| 4 | BARC | H-SHARES Index Futures | 07/2017 | 263,541 | 261,161 | (2,380 | ) | |||||||||||||
| 5 | BARC | IBEX 35 Index Futures | 07/2017 | 617,427 | 594,255 | (23,172 | ) | |||||||||||||
| 7 | BARC | KOSPI Index 200 Futures | 09/2017 | 470,900 | 478,587 | 7,687 | ||||||||||||||
| 19 | JPMS | MSCI Singapore Index Futures | 07/2017 | 493,951 | 494,683 | 732 | ||||||||||||||
| 9 | BARC | MSCI Taiwan Stock Index Futures | 07/2017 | 350,888 | 346,770 | (4,118 | ) | |||||||||||||
| 17 | JPMS | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 2,366,569 | 2,331,338 | (35,231 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
223
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 180 | BARC | TOPIX Index Futures | 09/2017 | $ 25,627,436 | $ 25,789,731 | $ 162,295 | ||||||||||||||
| 15 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | 4,293,979 | 4,295,270 | 1,291 | ||||||||||||||
| 15 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | 4,292,191 | 4,293,770 | 1,579 | ||||||||||||||
| 15 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | 4,292,832 | 4,291,843 | (989 | ) | |||||||||||||
| 134 | JPMS | 90-Day Sterling Futures | 12/2017 | 21,718,621 | 21,706,959 | (11,662 | ) | |||||||||||||
| 134 | JPMS | 90-Day Sterling Futures | 03/2018 | 21,712,185 | 21,689,506 | (22,679 | ) | |||||||||||||
| 134 | JPMS | 90-Day Sterling Futures | 06/2018 | 21,712,805 | 21,672,050 | (40,755 | ) | |||||||||||||
| 72 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 06/2018 | 55,097,350 | 55,077,090 | (20,260 | ) | |||||||||||||
| 42 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 09/2017 | 32,138,517 | 32,143,290 | 4,773 | ||||||||||||||
| 113 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 12/2017 | 86,451,457 | 86,474,387 | 22,930 | ||||||||||||||
| 113 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 03/2018 | 86,443,939 | 86,459,528 | 15,589 | ||||||||||||||
| 419 | JPMS | Australia 3-Year Bond Futures | 09/2017 | 36,163,514 | 35,957,081 | (206,433 | ) | |||||||||||||
| 15 | JPMS | Canadian 3-Month Bank Acceptance Futures | 06/2018 | 2,852,786 | 2,848,358 | (4,428 | ) | |||||||||||||
| 15 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2017 | 2,859,256 | 2,852,840 | (6,416 | ) | |||||||||||||
| 15 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2018 | 2,857,638 | 2,850,382 | (7,256 | ) | |||||||||||||
| 66 | GSCO | Euro-Bobl Futures | 09/2017 | 10,022,419 | 9,927,796 | (94,623 | ) | |||||||||||||
| 61 | GSCO | Euro-SCHATZ Futures | 09/2017 | 7,793,477 | 7,792,718 | (759 | ) | |||||||||||||
| 204 | GSCO | Long Gilt Futures | 09/2017 | 33,772,127 | 33,363,922 | (408,205 | ) | |||||||||||||
| 266 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | 33,489,610 | 33,391,312 | (98,298 | ) | |||||||||||||
| 27 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2017 | 3,186,529 | 3,181,571 | (4,958 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 574,362,473 | 573,482,538 | (879,935 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 64 | MSCL | Corn Futures^ | 09/2017 | $(1,250,266 | ) | $(1,219,200 | ) | $31,066 | ||||||||||||
| 49 | MSCL | Gold 100 OZ Futures^ | 08/2017 | (6,112,306 | ) | (6,087,270 | ) | 25,036 | ||||||||||||
| 6 | JPPC | LME Copper Futures^ | 07/2017 | (855,323 | ) | (889,425 | ) | (34,102 | ) | |||||||||||
| 40 | JPPC | LME Copper Futures^ | 08/2017 | (5,510,382 | ) | (5,930,310 | ) | (419,928 | ) | |||||||||||
| 185 | MSCL | Natural Gas Futures^ | 07/2017 | (5,604,421 | ) | (5,614,750 | ) | (10,329 | ) | |||||||||||
| 92 | MSCL | Soybean Futures^ | 11/2017 | (4,318,716 | ) | (4,391,850 | ) | (73,134 | ) | |||||||||||
| 91 | BARC | Amsterdam Index Futures | 07/2017 | (10,870,486 | ) | (10,528,682 | ) | 341,804 | ||||||||||||
| 65 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | (2,632,336 | ) | (2,547,166 | ) | 85,170 | ||||||||||||
| 72 | BARC | FTSE/JSE Top 40 Index Futures | 09/2017 | (2,524,178 | ) | (2,514,125 | ) | 10,053 | ||||||||||||
| 77 | BARC | FTSE/MIB Index Futures | 09/2017 | (9,244,517 | ) | (9,013,979 | ) | 230,538 | ||||||||||||
| 603 | BARC | OMXS30 Index Futures | 07/2017 | (11,790,379 | ) | (11,471,724 | ) | 318,655 | ||||||||||||
| 244 | JPMS | S&P 500 E-Mini Futures | 09/2017 | (29,617,512 | ) | (29,534,980 | ) | 82,532 | ||||||||||||
| 71 | JPMS | SET50 Index Futures | 09/2017 | (415,937 | ) | (414,755 | ) | 1,182 | ||||||||||||
| 114 | JPMS | SPI 200 Index Futures | 09/2017 | (12,533,362 | ) | (12,374,190 | ) | 159,172 | ||||||||||||
| 56 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (74,934,146 | ) | (74,738,030 | ) | 196,116 | ||||||||||||
| 195 | JPMS | 90-Day EURODollar Futures | 12/2017 | (47,998,023 | ) | (48,030,938 | ) | (32,915 | ) | |||||||||||
| 195 | JPMS | 90-Day EURODollar Futures | 03/2018 | (47,922,874 | ) | (47,989,500 | ) | (66,626 | ) | |||||||||||
| 195 | JPMS | 90-Day EURODollar Futures | 06/2018 | (47,986,123 | ) | (47,952,937 | ) | 33,186 | ||||||||||||
| 271 | JPMS | Australia 10-Year Bond Futures | 09/2017 | (27,317,216 | ) | (26,923,589 | ) | 393,627 | ||||||||||||
| 76 | GSCO | Euro-Bund Futures | 09/2017 | (14,227,413 | ) | (14,050,866 | ) | 176,547 | ||||||||||||
| 57 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2017 | (10,847,274 | ) | (10,645,569 | ) | 201,705 | ||||||||||||
| 43 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2017 | (9,306,127 | ) | (9,292,704 | ) | 13,423 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
224
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| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 115 | MSCL | U.S. Treasury Long Bond Futures | 09/2017 | $ (17,521,425 | ) | $ (17,674,062 | ) | $ (152,637 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (401,340,742 | ) | (399,830,601 | ) | 1,510,141 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $173,021,731 | $173,651,937 | $630,206 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 21,163,600 | $15,829,437 | $16,250,259 | $420,822 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 31,745,400 | 23,744,185 | 24,375,385 | 631,200 | ||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 6,360,000 | 1,903,743 | 1,889,398 | (14,345 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 9,540,000 | 2,855,618 | 2,834,097 | (21,521 | ) | |||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 12,637,600 | 9,408,210 | 9,757,379 | 349,169 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 18,956,400 | 14,112,333 | 14,636,068 | 523,735 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 862,800 | 893,929 | 904,310 | 10,381 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 1,294,200 | 1,340,898 | 1,356,466 | 15,568 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | 2,684,600 | 391,753 | 393,657 | 1,904 | ||||||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | 3,821,400 | 557,514 | 560,353 | 2,839 | ||||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 8,746,400 | 9,871,245 | 10,031,029 | 159,784 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 13,119,600 | 14,806,885 | 15,046,542 | 239,657 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 2,953,600 | 3,751,403 | 3,856,223 | 104,820 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 4,430,400 | 5,627,111 | 5,784,335 | 157,224 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 8,820,200 | 1,134,969 | 1,132,154 | (2,815 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 12,733,800 | 1,638,647 | 1,634,500 | (4,147 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 56,000,000 | 206,404 | 207,775 | 1,371 | ||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 84,000,000 | 309,602 | 311,665 | 2,063 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 47,720,000 | 732,251 | 731,970 | (281 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
225
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 71,580,000 | $ 1,098,376 | $ 1,097,955 | $ (421 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 805,336,800 | 7,311,376 | 7,184,678 | (126,698 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 1,208,005,200 | 10,967,077 | 10,777,017 | (190,060 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 181,616,000 | 160,198 | 158,767 | (1,431 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 272,424,000 | 240,298 | 238,150 | (2,148 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 83,844,000 | 4,493,064 | 4,563,058 | 69,994 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 125,766,000 | 6,739,611 | 6,844,591 | 104,980 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 4,864,800 | 583,489 | 583,595 | 106 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 7,297,200 | 875,234 | 875,392 | 158 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 2,620,400 | 1,878,298 | 1,917,464 | 39,166 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 3,930,600 | 2,817,450 | 2,876,196 | 58,746 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 3,840,000 | 1,027,949 | 1,035,894 | 7,945 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 5,760,000 | 1,541,919 | 1,553,843 | 11,924 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 1,600 | 186 | 191 | 5 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 2,400 | 279 | 286 | 7 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 11,272,000 | 3,088,311 | 3,132,965 | 44,654 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 16,608,000 | 4,549,502 | 4,616,065 | 66,563 | ||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | 4,800,000 | 160,375 | 157,898 | (2,477 | ) | |||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | 7,200,000 | 240,563 | 236,847 | (3,716 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 28,800,000 | 2,183,728 | 2,172,544 | (11,184 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 43,200,000 | 3,275,588 | 3,258,816 | (16,772 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 162,349,008 | 164,975,777 | 2,626,769 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (3,520,000 | ) | $(1,047,072 | ) | $(1,045,704 | ) | $1,368 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (5,280,000 | ) | (1,570,607 | ) | (1,568,558 | ) | 2,049 | |||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (1,226,000 | ) | (912,521 | ) | (946,584 | ) | (34,063 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (1,839,000 | ) | (1,368,780 | ) | (1,419,876 | ) | (51,096 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
226
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (22,725,600 | ) | $ (23,598,278 | ) | $ (23,818,965 | ) | $ (220,687 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (34,088,400 | ) | (35,397,371 | ) | (35,728,448 | ) | (331,077 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
CITI | CNY | (3,503,800 | ) | (505,500 | ) | (513,781 | ) | (8,281 | ) | ||||||||||
| Chinese Renminbi, Expiring 09/20/17* |
JPMC | CNY | (4,819,200 | ) | (694,440 | ) | (706,665 | ) | (12,225 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 |
CITI | DKK | (3,321,200 | ) | (500,572 | ) | (512,393 | ) | (11,821 | ) | ||||||||||
| Danish Krone, Expiring 09/20/17 |
JPMC | DKK | (4,981,800 | ) | (750,855 | ) | (768,589 | ) | (17,734 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (1,762,400 | ) | (1,977,426 | ) | (2,021,253 | ) | (43,827 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (1,215,600 | ) | (1,368,084 | ) | (1,394,141 | ) | (26,057 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (5,909,200 | ) | (7,675,908 | ) | (7,715,058 | ) | (39,150 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (8,863,800 | ) | (11,513,846 | ) | (11,572,587 | ) | (58,741 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (8,065,000 | ) | (1,037,450 | ) | (1,035,217 | ) | 2,233 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (11,853,000 | ) | (1,524,788 | ) | (1,521,440 | ) | 3,348 | |||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | (44,000,000 | ) | (161,286 | ) | (163,252 | ) | (1,966 | ) | ||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | (66,000,000 | ) | (241,928 | ) | (244,879 | ) | (2,951 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | (7,636,000 | ) | (2,152,577 | ) | (2,195,824 | ) | (43,247 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | (11,454,000 | ) | (3,228,861 | ) | (3,293,736 | ) | (64,875 | ) | ||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | (824,671,600 | ) | (7,430,884 | ) | (7,357,171 | ) | 73,713 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | (1,237,007,400 | ) | (11,146,316 | ) | (11,035,755 | ) | 110,561 | |||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (6,796,424,000 | ) | (6,063,413 | ) | (5,941,360 | ) | 122,053 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (10,194,636,000 | ) | (9,095,108 | ) | (8,912,037 | ) | 183,071 | |||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (33,477,600 | ) | (3,975,284 | ) | (4,016,066 | ) | (40,782 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (50,216,400 | ) | (5,962,920 | ) | (6,024,098 | ) | (61,178 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | (582,000 | ) | (406,933 | ) | (425,875 | ) | (18,942 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | (873,000 | ) | (610,399 | ) | (638,813 | ) | (28,414 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (53,794,000 | ) | (6,218,224 | ) | (6,413,772 | ) | (195,548 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | (80,691,000 | ) | (9,327,267 | ) | (9,620,654 | ) | (293,387 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (7,068,400 | ) | (5,112,512 | ) | (5,140,429 | ) | (27,917 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (10,602,600 | ) | (7,668,760 | ) | (7,710,644 | ) | (41,884 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
227
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | (21,600,000 | ) | $ (719,875 | ) | $ (710,543 | ) | $ 9,332 | |||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | (32,400,000 | ) | (1,079,812 | ) | (1,065,811 | ) | 14,001 | |||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (3,800,000 | ) | (290,966 | ) | (286,654 | ) | 4,312 | |||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (4,200,000 | ) | (319,232 | ) | (316,830 | ) | 2,402 | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (172,656,055 | ) | (173,803,462 | ) | (1,147,407 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(10,307,047) | $(8,827,685) | $1,479,362 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
228
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Total Return Basket Swaps* Outstanding at June 30, 2017
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or SONIA plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swaps. | 1-57 months maturity 07/05/2017 | $427,734 | |||||
|
|
|
|||||||
| * | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
229
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
230
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the LIBOR or Federal Funds floating Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 54-57 months maturity 11/22/2021 | $534,125 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
231
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
232
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
233
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
234
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
235
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
236
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
237
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
238
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
239
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 5) |
|||||
| GSIN | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swaps. | 1 - 57 months maturity 11/19/2021 | $288,813 | |||||
|
|
|
|||||||
| ** | 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, 2017.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Investment Companies | $130,926 | $— | $130,926 | |||||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 5,547,041 | 5,547,041 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Cash | (630,000 | ) | — | (630,000 | ) | |||||||
| Investment Companies | 1,182,111 | — | 1,182,111 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 1,540,453 | 1,540,453 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (1,580,000 | ) | — | (1,580,000 | ) | |||||||
| Investment Companies | 31,752,997 | — | 31,752,997 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 2,800,000 | — | 2,800,000 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 2,736,192 | 2,736,192 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 375,004 | 375,004 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Cash | 1,973,038 | — | 1,973,038 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
241
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Cash | $(260,000 | ) | $— | $(260,000 | ) | |||||||
| Investment Companies | 730,000 | — | 730,000 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 184,807 | 184,807 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 360,000 | — | 360,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 569,775 | 569,775 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 70,000 | — | 70,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 1,096,150 | 1,096,150 | |||||||||
|
|
||||||||||||
The following abbreviations are used for counterparty descriptions:
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Statements of Assets and Liabilities | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL MACRO FUND** |
AQR LONG-SHORT FUND |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 597,841,482 | $ | 1,222,890,148 | $ | 24,861,980 | $ | 3,295,386,552 | ||||||||
| Investments in securities of affiliated issuers, at cost | 59,579,208 | — | — | — | ||||||||||||
| Investments in securities of controlled affiliated issuers, at cost | — | 441,886,611 | — | $ | 1,578,485,732 | |||||||||||
| Investments in securities of unaffiliated issuers, at value | $ | 563,305,483 | $ | 1,294,442,768 | $ | 24,861,235 | $ | 3,432,634,915 | ||||||||
| Investments in securities of affiliated issuers, at value | 63,495,292 | — | — | — | ||||||||||||
| Investments in securities of controlled affiliated issuers, at value | — | 441,851,625 | — | 1,578,485,732 | ||||||||||||
| Cash | 202,431 | 9,264,420 | 24,943 | 41,615,624 | ||||||||||||
| Cash denominated in foreign currencies‡ | 1,373,622 | 1,433,631 | 14,392 | 4,978,714 | ||||||||||||
| Due from brokers | 4,902,941 | 217,778,417 | 10,580 | 159,487,983 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 256,116 | 241,394 | 648,039 | 9,249,334 | ||||||||||||
| Unrealized appreciation on OTC swaps | 8,909,527 | 12,387,201 | 35,112 | 54,489,260 | ||||||||||||
| Deposits with brokers for exchange-traded and centrally cleared derivatives | 1,952,383 | 83 | 2,962,809 | 85,834,784 | ||||||||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 129,660 | — | 239,019 | — | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
18,879,466 | 31,548,763 | 105,648 | 78,057,851 | ||||||||||||
| Foreign tax reclaims |
51,364 | 810,766 | — | 1,801,791 | ||||||||||||
| Dividends and interest |
1,612,662 | 870,764 | 8,482 | 1,752,799 | ||||||||||||
| Capital shares sold |
661,881 | 9,953,693 | 9,117 | 38,528,513 | ||||||||||||
| Prepaid expenses | 37,814 | 89,062 | 30,997 | 168,362 | ||||||||||||
| Total Assets | 665,770,642 | 2,020,672,587 | 28,950,373 | 5,487,085,662 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Securities sold short, at value (proceeds $136,451,703, $383,766,007, $— and $973,790,507, respectively) | 154,394,561 | 410,767,638 | — | 1,032,287,142 | ||||||||||||
| Due to brokers | 3,895,477 | — | 7,385 | 37,824,996 | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 511,960 | 1,423,256 | 526,977 | 3,976,755 | ||||||||||||
| Unrealized depreciation on OTC swaps | 559,931 | 5,971,651 | 34,711 | 252,027 | ||||||||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 32,771 | — | 1,669 | 3,428,336 | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
9,859,445 | 38,254,606 | 105,627 | 93,114,050 | ||||||||||||
| Accrued investment advisory fees |
380,913 | 1,414,280 | 9,819 | 3,673,604 | ||||||||||||
| Accrued distribution fees—Class N |
21,129 | 34,127 | 531 | 69,406 | ||||||||||||
| Accrued Trustee fees |
100 | — | — | — | ||||||||||||
| Capital shares redeemed |
393,603 | 3,798,141 | — | 6,096,114 | ||||||||||||
| Dividends and interest payable on securities sold short |
198,705 | 349,909 | — | 890,365 | ||||||||||||
| Other accrued expenses and liabilities | 437,540 | 496,607 | 99,551 | 997,301 | ||||||||||||
| Total Liabilities | 170,686,135 | 462,510,215 | 786,270 | 1,182,610,096 | ||||||||||||
| Net Assets | $ | 495,084,507 | $ | 1,558,162,372 | $ | 28,164,103 | $ | 4,304,475,566 | ||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 802,397,418 | $ | 1,510,287,972 | $ | 30,105,971 | $ | 4,020,716,755 | ||||||||
| Undistributed accumulated net investment income (loss) | (10,765,874 | ) | (51,966,812 | ) | 75,922 | (70,292,045 | ) | |||||||||
| Undistributed accumulated net realized gain (loss) | (255,957,985 | ) | 49,917,186 | (931,208 | ) | 233,399,258 | ||||||||||
| Net unrealized appreciation (depreciation) | (40,589,052 | ) | 49,924,026 | (1,086,582 | ) | 120,651,598 | ||||||||||
| Net Assets | $ | 495,084,507 | $ | 1,558,162,372 | $ | 28,164,103 | $ | 4,304,475,566 | ||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $ | 384,115,631 | $ | 1,195,283,460 | $ | 21,191,773 | $ | 3,297,034,355 | ||||||||
| Class N | 103,545,211 | 165,606,620 | 2,785,703 | 343,667,826 | ||||||||||||
| Class R6 | 7,423,665 | 197,272,292 | 4,186,627 | 663,773,385 | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 39,782,505 | 98,814,063 | 2,445,628 | 239,226,430 | ||||||||||||
| Class N | 10,738,452 | 13,725,234 | 324,417 | 25,103,237 | ||||||||||||
| Class R6 | 770,026 | 16,294,011 | 482,768 | 48,065,908 | ||||||||||||
| NET ASSET VALUE: | ||||||||||||||||
| Class I | $ | 9.66 | $ | 12.10 | $ | 8.67 | $ | 13.78 | ||||||||
| Class N | $ | 9.64 | $ | 12.07 | $ | 8.59 | $ | 13.69 | ||||||||
| Class R6 | $ | 9.64 | $ | 12.11 | $ | 8.67 | $ | 13.81 | ||||||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 1,505,195 | $ | 1,408,436 | $ | 14,339 | $ | 4,922,697 | ||||||||
| ** | 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 2017 | ||||||||||||||
243
Table of Contents
| Statements of Assets and Liabilities | June 30, 2017 (Unaudited) |
| AQR MULTI- STRATEGY |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** |
AQR RISK PARITY II |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 2,942,921,337 | $ | 179,459,772 | $ | 406,628,783 | $ | 63,248,904 | ||||||||
| Investments in securities of controlled affiliated issuers, at cost | 702,119,294 | — | — | — | ||||||||||||
| Investments in securities of unaffiliated issuers, at value | $ | 2,954,385,805 | $ | 179,449,053 | $ | 406,972,329 | $ | 63,394,036 | ||||||||
| Investments in securities of controlled affiliated issuers, at value | 702,086,313 | — | — | — | ||||||||||||
| Cash | 11,667,783 | 378 | 1,343,637 | 210,170 | ||||||||||||
| Cash denominated in foreign currencies‡ | 19,516,327 | — | 1,017,000 | 21,350 | ||||||||||||
| Due from brokers | 118,547,104 | 3,753,437 | 2,398,924 | 358,197 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 49,790,423 | — | 1,369,464 | 27,335 | ||||||||||||
| Unrealized appreciation on OTC swaps | 63,606,872 | 467,569 | 1,025,561 | 179,681 | ||||||||||||
| Deposits with brokers for exchange-traded and centrally cleared derivatives | 149,558,589 | 20,694,052 | 27,648,080 | 3,994,067 | ||||||||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 8,114,925 | 3,302,034 | 952,501 | 252,481 | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
364,336,570 | — | 803,913 | 246,524 | ||||||||||||
| Foreign tax reclaims |
395,397 | — | — | — | ||||||||||||
| Dividends and interest |
6,294,805 | 58,333 | 347,099 | 63,827 | ||||||||||||
| Capital shares sold |
2,801,009 | 826,029 | 60,919 | 140,017 | ||||||||||||
| Prepaid expenses | 123,057 | 39,279 | 28,872 | 24,189 | ||||||||||||
| Total Assets | 4,451,224,979 | 208,590,164 | 443,968,299 | 68,911,874 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Securities sold short, at value (proceeds $707,308,611, $—, $— and $—, respectively) | 741,854,227 | — | — | — | ||||||||||||
| Options written, at value (proceeds $1,832,874, $—, $— and $—, respectively) | 8,239,725 | — | — | — | ||||||||||||
| Reverse repurchase agreements, at value | — | — | — | 11,552,700 | ||||||||||||
| Due to brokers | 6,776,549 | — | 401,029 | 143,177 | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 38,263,135 | — | 2,642,704 | 193,239 | ||||||||||||
| Unrealized depreciation on OTC swaps | 20,013,716 | 3,682,890 | 942,838 | 209,442 | ||||||||||||
| Deposits from brokers for exchange-traded and centrally cleared derivatives | — | — | 464,952 | — | ||||||||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 4,050,813 | — | 440,760 | 118,573 | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
355,699,622 | — | 403,243 | 123,321 | ||||||||||||
| Accrued investment advisory fees |
4,926,265 | 117,399 | 265,046 | 28,761 | ||||||||||||
| Accrued distribution fees—Class N |
91,859 | 1,414 | 3,554 | 1,437 | ||||||||||||
| Capital shares redeemed |
3,118,941 | 91,225 | 551,227 | 166,249 | ||||||||||||
| Dividends and interest payable on securities sold short |
342,407 | — | — | — | ||||||||||||
| Interest payable for reverse repurchase agreements |
— | — | — | 8,970 | ||||||||||||
| Other accrued expenses and liabilities | 1,493,550 | 131,241 | 317,735 | 112,227 | ||||||||||||
| Total Liabilities | 1,184,870,809 | 4,024,169 | 6,433,088 | 12,658,096 | ||||||||||||
| Net Assets | $ | 3,266,354,170 | $ | 204,565,995 | $ | 437,535,211 | $ | 56,253,778 | ||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 3,394,439,644 | $ | 213,291,598 | $ | 418,456,008 | $ | 54,876,853 | ||||||||
| Undistributed accumulated net investment income (loss) | (268,107,478 | ) | 1,392,208 | 5,998,657 | 491,434 | |||||||||||
| Undistributed accumulated net realized gain (loss) | 125,206,845 | (4,357,136 | ) | 11,001,088 | 1,976,249 | |||||||||||
| Net unrealized appreciation (depreciation) | 14,815,159 | (5,760,675 | ) | 2,079,458 | (1,090,758 | ) | ||||||||||
| Net Assets | $ | 3,266,354,170 | $ | 204,565,995 | $ | 437,535,211 | $ | 56,253,778 | ||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $ | 2,205,107,712 | $ | 85,146,345 | $ | 382,107,463 | $ | 46,539,000 | ||||||||
| Class N | 441,965,017 | 6,469,891 | 18,680,406 | 6,751,223 | ||||||||||||
| Class R6 | 619,281,441 | 112,949,759 | 36,747,342 | 2,963,555 | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 232,732,850 | 14,201,028 | 38,705,000 | 5,359,936 | ||||||||||||
| Class N | 46,935,772 | 1,092,099 | 1,898,070 | 777,712 | ||||||||||||
| Class R6 | 65,264,727 | 18,791,214 | 3,719,486 | 341,374 | ||||||||||||
| NET ASSET VALUE: | ||||||||||||||||
| Class I | $ | 9.47 | $ | 6.00 | $ | 9.87 | $ | 8.68 | ||||||||
| Class N | $ | 9.42 | $ | 5.92 | $ | 9.84 | $ | 8.68 | ||||||||
| Class R6 | $ | 9.49 | $ | 6.01 | $ | 9.88 | $ | 8.68 | ||||||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 19,442,659 | $ | — | $ | 1,067,823 | $ | 21,661 | ||||||||
| ** | 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 2017 | ||||||||||||||
244
Table of Contents
| Statements of Assets and Liabilities | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II |
AQR STYLE PREMIA ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE LV FUND** |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 77,278,540 | $ | 3,864,653,926 | $ | 453,661,776 | ||||||
| Investments in securities of controlled affiliated issuers, at cost | — | 639,984,571 | — | |||||||||
| Investments in securities of unaffiliated issuers, at value | $ | 77,321,092 | $ | 4,111,322,327 | $ | 467,631,854 | ||||||
| Investments in securities of controlled affiliated issuers, at value | — | 639,944,381 | — | |||||||||
| Cash | 56,359 | 8,078,017 | 197,752 | |||||||||
| Cash denominated in foreign currencies‡ | 102,758 | 7,278,439 | 769,441 | |||||||||
| Due from brokers | 389,539 | 34,482,760 | 2,580,728 | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 35,788 | 69,459,459 | 3,553,228 | |||||||||
| Unrealized appreciation on OTC swaps | 180,851 | 29,218,647 | 1,752,360 | |||||||||
| Deposits with brokers for exchange-traded and centrally cleared derivatives | 2,916,488 | 208,945,930 | 12,346,240 | |||||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 238,728 | 11,370,732 | 785,111 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
473,463 | 21,339,961 | 1,154,715 | |||||||||
| Foreign tax reclaims |
— | 3,229,521 | 132,782 | |||||||||
| Dividends and interest |
65,104 | 2,026,667 | 220,711 | |||||||||
| Capital shares sold |
— | 13,398,246 | 430,884 | |||||||||
| Prepaid expenses | 28,260 | 140,565 | 45,537 | |||||||||
| Total Assets | 81,808,430 | 5,160,235,652 | 491,601,343 | |||||||||
| LIABILITIES: | ||||||||||||
| Securities sold short, at value (proceeds $—, $991,567,006 and $56,333,041, respectively) | — | 1,097,268,963 | 62,107,026 | |||||||||
| Due to brokers | 12,915 | 48,007,659 | 2,470,065 | |||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 179,465 | 41,403,081 | 2,073,866 | |||||||||
| Unrealized depreciation on OTC swaps | 219,875 | 4,663,069 | 245,268 | |||||||||
| Deposits from brokers for exchange-traded and centrally cleared derivatives | 110,822 | 1,035,658 | — | |||||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 117,263 | 1,953,910 | 451,723 | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
157,930 | 21,303,577 | 1,154,647 | |||||||||
| Accrued investment advisory fees |
35,171 | 4,342,020 | 221,140 | |||||||||
| Accrued distribution fees—Class N |
846 | 36,645 | 7,127 | |||||||||
| Capital shares redeemed |
180 | 2,748,289 | 207,645 | |||||||||
| Dividends and interest payable on securities sold short |
— | 1,006,314 | 55,120 | |||||||||
| Other accrued expenses and liabilities | 117,238 | 1,313,146 | 241,185 | |||||||||
| Total Liabilities | 951,705 | 1,225,082,331 | 69,234,812 | |||||||||
| Net Assets | $ | 80,856,725 | $ | 3,935,153,321 | $ | 422,366,531 | ||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 79,246,315 | $ | 3,926,260,481 | $ | 419,085,907 | ||||||
| Undistributed accumulated net investment income (loss) | 447,614 | (156,907,387 | ) | (5,891,041 | ) | |||||||
| Undistributed accumulated net realized gain (loss) | 2,285,221 | (36,345,373 | ) | (2,672,738 | ) | |||||||
| Net unrealized appreciation (depreciation) | (1,122,425 | ) | 202,145,600 | 11,844,403 | ||||||||
| Net Assets | $ | 80,856,725 | $ | 3,935,153,321 | $ | 422,366,531 | ||||||
| NET ASSETS: | ||||||||||||
| Class I | $ | 76,326,977 | $ | 2,435,458,715 | $ | 289,447,120 | ||||||
| Class N | 3,912,016 | 174,206,693 | 34,181,944 | |||||||||
| Class R6 | 617,732 | 1,325,487,913 | 98,737,467 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 8,317,212 | 242,244,403 | 27,536,231 | |||||||||
| Class N | 428,244 | 17,405,122 | 3,266,908 | |||||||||
| Class R6 | 67,336 | 131,535,100 | 9,374,443 | |||||||||
| NET ASSET VALUE: | ||||||||||||
| Class I | $ | 9.18 | $ | 10.05 | $ | 10.51 | ||||||
| Class N | $ | 9.14 | $ | 10.01 | $ | 10.46 | ||||||
| Class R6 | $ | 9.17 | $ | 10.08 | $ | 10.53 | ||||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 102,688 | $ | 7,195,058 | $ | 761,118 | ||||||
| ** | 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 2017 | ||||||||||||||
245
Table of Contents
| Statements of Operations | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL MACRO FUND** |
AQR LONG-SHORT EQUITY FUND |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income: | ||||||||||||||||
| Unaffiliated issuers † |
$ | 2,032,437 | $ | 9,759,585 | $ | 33,587 | $ | 23,221,286 | ||||||||
| Controlled affiliated issuers |
— | 610,527 | — | 881,063 | ||||||||||||
| Interest income |
3,259,444 | 1,051,563 | 44,392 | 4,325,150 | ||||||||||||
| Other income |
— | — | 19,000 | — | ||||||||||||
| Total Income | 5,291,881 | 11,421,675 | 96,979 | 28,427,499 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees |
2,398,190 | 7,213,919 | 168,236 | 18,368,866 | ||||||||||||
| Custody fees |
32,129 | 12,433 | 13,415 | 43,643 | ||||||||||||
| Administration & accounting fees |
48,055 | 188,933 | 4,320 | 460,433 | ||||||||||||
| Legal fees |
17,990 | 10,048 | 1,218 | 16,750 | ||||||||||||
| Audit & tax fees |
99,389 | 41,554 | 38,877 | 40,213 | ||||||||||||
| Shareholder reporting fees |
29,908 | 68,988 | 1,718 | 164,797 | ||||||||||||
| Transfer agent fees |
237,477 | 535,990 | 16,446 | 1,402,308 | ||||||||||||
| Trustee fees |
9,728 | 19,312 | 3,359 | 41,761 | ||||||||||||
| Distribution fees—Class N |
126,399 | 201,823 | 3,507 | 395,353 | ||||||||||||
| Dividends and interest on securities sold short (Note 4) |
2,111,321 | 8,322,130 | — | 19,532,365 | ||||||||||||
| Recoupment of waiver |
— | 156,725 | — | 233,276 | ||||||||||||
| Registration fees |
41,252 | 100,620 | 34,314 | 172,278 | ||||||||||||
| Pricing fee |
121,213 | 11,159 | 28,228 | 11,212 | ||||||||||||
| Other expenses |
8,636 | 20,234 | 1,474 | 45,282 | ||||||||||||
| Total Expenses | 5,281,687 | 16,903,868 | 315,112 | 40,928,537 | ||||||||||||
| Less fee waivers and/or reimbursements |
(173,144 | ) | — | (121,283 | ) | — | ||||||||||
| Net Expenses | 5,108,543 | 16,903,868 | 193,829 | 40,928,537 | ||||||||||||
| Net Investment Income (Loss) | 183,338 | (5,482,193 | ) | (96,850 | ) | (12,501,038 | ) | |||||||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
25,573,452 | 14,939,698 | 23,352 | 23,404,219 | ||||||||||||
| Transactions in investment securities of affiliated issuers |
(1,461,913 | ) | — | — | — | |||||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | (2,600 | ) | — | — | |||||||||||
| Foreign currency and foreign currency transactions |
258,861 | (427,826 | ) | 41,575 | (329,392 | ) | ||||||||||
| Forward foreign currency exchange contracts |
203,958 | (1,642,508 | ) | (262,683 | ) | 17,367,994 | ||||||||||
| Futures contracts |
(2,945,798 | ) | 313,840 | (1,100,836 | ) | 127,881,513 | ||||||||||
| Securities sold short |
(10,628,399 | ) | (24,095,288 | ) | — | (50,349,543 | ) | |||||||||
| Swap contracts |
4,705,720 | 71,753,064 | 1,013,379 | 69,558,060 | ||||||||||||
| Written options |
51,447 | — | — | — | ||||||||||||
| Net realized gain (loss) | 15,757,328 | 60,838,380 | (285,213 | ) | 187,532,851 | |||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
12,311,624 | 46,363,409 | (2,110 | ) | 107,200,235 | |||||||||||
| Transactions in investment securities of affiliated issuers |
4,654,630 | — | — | — | ||||||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | (34,986 | ) | — | — | |||||||||||
| Foreign currency and foreign currency translations |
56,382 | 1,733,348 | 7,738 | 2,335,166 | ||||||||||||
| Forward foreign currency exchange contracts |
(452,246 | ) | (1,860,419 | ) | 150,078 | 11,167,947 | ||||||||||
| Futures contracts |
(96,116 | ) | — | (3,201 | ) | (20,675,059 | ) | |||||||||
| Securities sold short |
(13,595,856 | ) | (23,014,992 | ) | — | (58,849,419 | ) | |||||||||
| Swap contracts |
2,962,426 | (65,099,691 | ) | (970,260 | ) | (47,033,555 | ) | |||||||||
| Net change in unrealized appreciation (depreciation) | 5,840,844 | (41,913,331 | ) | (817,755 | ) | (5,854,685 | ) | |||||||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 21,598,172 | 18,925,049 | (1,102,968 | ) | 181,678,166 | |||||||||||
| Net increase (decrease) in net assets resulting from operations | $ | 21,781,510 | $ | 13,442,856 | $ | (1,199,818 | ) | $ | 169,177,128 | |||||||
|
† Net of foreign taxes withheld of |
$ | 3,050 | $ | 1,208,097 | $ | — | $ | 2,822,373 | ||||||||
| ** | 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 2017 | ||||||||||||||
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| Statements of Operations | June 30, 2017 (Unaudited) |
| AQR MULTI- STRATEGY |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** |
AQR RISK PARITY II HV FUND** |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income: | ||||||||||||||||
| Unaffiliated issuers † |
$ | 16,855,877 | $ | 276,946 | $ | 482,050 | $ | 64,545 | ||||||||
| Controlled affiliated issuers |
1,018,129 | — | — | — | ||||||||||||
| Interest income |
7,083,116 | 285,042 | 2,055,808 | 407,610 | ||||||||||||
| Other income |
14,000 | 19,800 | — | — | ||||||||||||
| Total Income | 24,971,122 | 581,788 | 2,537,858 | 472,155 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees |
30,365,235 | 834,576 | 1,595,309 | 276,495 | ||||||||||||
| Custody fees |
71,516 | 10,445 | 29,828 | 8,403 | ||||||||||||
| Administration & accounting fees |
532,204 | 32,235 | 65,031 | 8,996 | ||||||||||||
| Legal fees |
46,812 | 3,803 | 17,049 | 2,600 | ||||||||||||
| Audit & tax fees |
116,602 | 60,058 | 70,349 | 62,745 | ||||||||||||
| Shareholder reporting fees |
191,546 | 11,192 | 16,712 | 3,175 | ||||||||||||
| Transfer agent fees |
1,353,771 | 58,024 | 177,678 | 28,733 | ||||||||||||
| Trustee fees |
49,649 | 5,829 | 8,767 | 3,764 | ||||||||||||
| Distribution fees—Class N |
572,481 | 9,532 | 19,024 | 8,707 | ||||||||||||
| Dividends and interest on securities sold short and reverse repurchase agreements (Note 4) | 5,157,746 | — | — | 51,305 | ||||||||||||
| Recoupment of waiver |
118,664 | — | — | — | ||||||||||||
| Registration fees |
114,865 | 36,650 | 34,569 | 33,626 | ||||||||||||
| Pricing fee |
13,334 | 57 | 8,733 | 11 | ||||||||||||
| Other expenses |
65,470 | 4,396 | 8,943 | 1,904 | ||||||||||||
| Total Expenses | 38,769,895 | 1,066,797 | 2,051,992 | 490,464 | ||||||||||||
| Less fee waivers and/or reimbursements |
— | (66,713 | ) | (50,775 | ) | (103,546 | ) | |||||||||
| Net Expenses | 38,769,895 | 1,000,084 | 2,001,217 | 386,918 | ||||||||||||
| Net Investment Income (Loss) | (13,798,773 | ) | (418,296 | ) | 536,641 | 85,237 | ||||||||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
121,579,726 | (3,755 | ) | (77,036 | ) | (52,235 | ) | |||||||||
| Transactions in investment securities of controlled affiliated issuers |
(33,910 | ) | — | — | — | |||||||||||
| Foreign currency and foreign currency transactions |
(632,816 | ) | — | (137,257 | ) | 3,739 | ||||||||||
| Forward foreign currency exchange contracts |
(41,477,208 | ) | — | 3,041,475 | (564,285 | ) | ||||||||||
| Futures contracts |
(48,886,295 | ) | (4,871,142 | ) | 9,170,889 | 2,317,715 | ||||||||||
| Securities sold short |
(60,063,303 | ) | — | — | — | |||||||||||
| Swap contracts |
244,800,489 | 530,391 | 8,554,420 | 989,763 | ||||||||||||
| Written options |
313,312 | — | — | — | ||||||||||||
| Net realized gain (loss) | 215,599,995 | (4,344,506 | ) | 20,552,491 | 2,694,697 | |||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
(26,581,002 | ) | (13,199 | ) | 3,111,628 | 706,469 | ||||||||||
| Transactions in investment securities of controlled affiliated issuers |
(32,981 | ) | — | — | — | |||||||||||
| Foreign currency and foreign currency translations |
5,280,709 | — | (589,872 | ) | 5,363 | |||||||||||
| Forward foreign currency exchange contracts |
18,022,459 | — | (2,994,645 | ) | (364,681 | ) | ||||||||||
| Futures contracts |
(26,882,185 | ) | (450,892 | ) | (4,673,158 | ) | (1,255,566 | ) | ||||||||
| Securities sold short |
(27,727,410 | ) | — | — | — | |||||||||||
| Swap contracts |
(147,550,471 | ) | (3,205,659 | ) | 7,419,776 | (174,171 | ) | |||||||||
| Written options |
(4,773,892 | ) | — | — | — | |||||||||||
| Net change in unrealized appreciation (depreciation) | (210,244,773 | ) | (3,669,750 | ) | 2,273,729 | (1,082,586 | ) | |||||||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 5,355,222 | (8,014,256 | ) | 22,826,220 | 1,612,111 | |||||||||||
| Net increase (decrease) in net assets resulting from operations | $ | (8,443,551 | ) | $ | (8,432,552 | ) | $ | 23,362,861 | $ | 1,697,348 | ||||||
|
† Net of foreign taxes withheld of |
$ | 464,987 | $ | — | $ | 20,134 | $ | 61 | ||||||||
| ** | 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 2017 | ||||||||||||||
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Table of Contents
| Statements of Operations | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND** |
AQR STYLE PREMIA ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE LV FUND** |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income: | ||||||||||||
| Unaffiliated issuers† |
$ | 98,984 | $ | 28,930,905 | $ | 1,967,973 | ||||||
| Controlled affiliated issuers |
— | 979,238 | — | |||||||||
| Interest income |
403,903 | 3,064,366 | 382,136 | |||||||||
| Other income |
— | 18,000 | — | |||||||||
| Total Income | 502,887 | 32,992,509 | 2,350,109 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees |
310,303 | 26,593,006 | 1,294,437 | |||||||||
| Custody fees |
9,247 | 46,231 | 9,361 | |||||||||
| Administration & accounting fees |
13,121 | 598,084 | 60,650 | |||||||||
| Legal fees |
3,910 | 41,448 | 1,317 | |||||||||
| Audit & tax fees |
62,745 | 56,738 | 56,313 | |||||||||
| Shareholder reporting fees |
4,509 | 213,027 | 21,509 | |||||||||
| Transfer agent fees |
46,635 | 1,180,429 | 155,942 | |||||||||
| Trustee fees |
4,133 | 55,134 | 8,229 | |||||||||
| Distribution fees—Class N |
5,815 | 230,225 | 49,054 | |||||||||
| Dividends and interest on securities sold short (Note 4) |
— | 20,089,441 | 1,110,542 | |||||||||
| Registration fees |
37,471 | 269,245 | 58,642 | |||||||||
| Pricing fee |
11 | 11,044 | 11,040 | |||||||||
| Other expenses |
2,375 | 69,054 | 7,638 | |||||||||
| Total Expenses | 500,275 | 49,453,106 | 2,844,674 | |||||||||
| Less fee waivers and/or reimbursements |
(103,270 | ) | (344,476 | ) | (40,972 | ) | ||||||
| Net Expenses | 397,005 | 49,108,630 | 2,803,702 | |||||||||
| Net Investment Income (Loss) | 105,882 | (16,116,121 | ) | (453,593 | ) | |||||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Transactions in investment securities of unaffiliated issuers |
(49,594 | ) | 22,397,876 | 967,802 | ||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | (20,671 | ) | — | ||||||||
| Foreign currency and foreign currency transactions |
9,662 | 1,499,647 | 65,283 | |||||||||
| Forward foreign currency exchange contracts |
(519,847 | ) | (51,272,039 | ) | (2,594,175 | ) | ||||||
| Futures contracts |
2,401,789 | (56,708,032 | ) | (3,641,387 | ) | |||||||
| Securities sold short |
— | (50,364,101 | ) | (3,081,210 | ) | |||||||
| Swap contracts |
1,022,749 | 236,411,428 | 13,668,331 | |||||||||
| Net realized gain (loss) | 2,864,759 | 101,944,108 | 5,384,644 | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Transactions in investment securities of unaffiliated issuers |
647,640 | 164,508,105 | 9,495,365 | |||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | (40,190 | ) | — | ||||||||
| Foreign currency and foreign currency translations |
3,940 | (252,505 | ) | 48,095 | ||||||||
| Forward foreign currency exchange contracts |
(333,184 | ) | 27,922,906 | 1,470,664 | ||||||||
| Futures contracts |
(1,161,036 | ) | 16,535,667 | 1,156,327 | ||||||||
| Securities sold short |
— | (108,989,715 | ) | (5,876,429 | ) | |||||||
| Swap contracts |
(187,506 | ) | (134,418,832 | ) | (7,386,557 | ) | ||||||
| Net change in unrealized appreciation (depreciation) | (1,030,146 | ) | (34,734,564 | ) | (1,092,535 | ) | ||||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 1,834,613 | 67,209,544 | 4,292,109 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $ | 1,940,495 | $ | 51,093,423 | $ | 3,838,516 | ||||||
|
† Net of foreign taxes withheld of |
$ | 90 | $ | 3,658,975 | $ | 171,653 | ||||||
| ** | 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 2017 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | 183,338 | $ | 4,324,396 | $ | (5,482,193 | ) | $ | (9,725,321 | ) | ||||||
| Net realized gain (loss) |
15,757,328 | (54,241,603 | ) | 60,838,380 | (28,609,234 | ) | ||||||||||
| Net change in unrealized appreciation (depreciation) |
5,840,844 | 79,131,274 | (41,913,331 | ) | 83,730,375 | |||||||||||
| Net increase (decrease) in net assets resulting from operations |
21,781,510 | 29,214,067 | 13,442,856 | 45,395,820 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (26,188,748 | ) | — | (11,191,080 | ) | ||||||||||
| Class N |
— | (6,707,013 | ) | — | (1,759,993 | ) | ||||||||||
| Class R6 |
— | (340,939 | ) | — | (2,728,650 | ) | ||||||||||
| Total |
— | (33,236,700 | ) | — | (15,679,723 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | — | — | (59,855 | ) | |||||||||||
| Class N |
— | — | — | (12,009 | ) | |||||||||||
| Class R6 |
— | — | — | (14,027 | ) | |||||||||||
| Total |
— | — | — | (85,891 | ) | |||||||||||
| Total distributions |
— | (33,236,700 | ) | — | (15,765,614 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
68,274,044 | 154,211,452 | 568,395,497 | 830,628,301 | ||||||||||||
| Reinvestment of distributions |
— | 16,337,336 | — | 8,810,805 | ||||||||||||
| Cost of shares redeemed |
(61,137,266 | ) | (578,275,502 | ) | (173,473,715 | ) | (250,648,937 | ) | ||||||||
| Net increase (decrease) from capital transactions |
7,136,778 | (407,726,714 | ) | 394,921,782 | 588,790,169 | |||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
12,372,622 | 22,349,404 | 56,151,278 | 261,246,001 | ||||||||||||
| Reinvestment of distributions |
— | 6,680,121 | — | 1,715,084 | ||||||||||||
| Cost of shares redeemed |
(14,195,779 | ) | (111,843,544 | ) | (46,166,493 | ) | (201,987,284 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(1,823,157 | ) | (82,814,019 | ) | 9,984,785 | 60,973,801 | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
2,198,372 | 5,261,147 | 57,882,235 | 193,413,965 | ||||||||||||
| Reinvestment of distributions |
— | 340,939 | — | 1,292,551 | ||||||||||||
| Cost of shares redeemed |
(226,247 | ) | (1,310,714 | ) | (40,120,287 | ) | (21,264,966 | ) | ||||||||
| Net increase (decrease) from capital transactions |
1,972,125 | 4,291,372 | 17,761,948 | 173,441,550 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 7,285,746 | (486,249,361 | ) | 422,668,515 | 823,205,520 | |||||||||||
| Total increase (decrease) in net assets |
29,067,256 | (490,271,994 | ) | 436,111,371 | 852,835,726 | |||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
466,017,251 | 956,289,245 | 1,122,051,001 | 269,215,275 | ||||||||||||
| End of period |
$ | 495,084,507 | $ | 466,017,251 | $ | 1,558,162,372 | $ | 1,122,051,001 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | (10,765,874 | ) | $ | (10,949,212 | ) | $ | (51,966,812 | ) | $ | (46,484,619 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 250) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR DIVERSIFIED ARBITRAGE FUND | AQR EQUITY MARKET NEUTRAL FUND | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
39,012,519 | 83,828,615 | 66,027,774 | 15,613,151 | ||||||||||||
| Shares sold |
7,255,251 | 16,606,801 | 47,215,638 | 71,219,176 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 1,793,341 | — | 740,404 | ||||||||||||
| Shares redeemed |
(6,485,265 | ) | (63,216,238 | ) | (14,429,349 | ) | (21,544,957 | ) | ||||||||
| Shares outstanding, end of period |
39,782,505 | 39,012,519 | 98,814,063 | 66,027,774 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
10,932,154 | 19,881,331 | 12,899,700 | 7,826,988 | ||||||||||||
| Shares sold |
1,316,136 | 2,425,460 | 4,668,465 | 22,415,067 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 733,273 | — | 144,246 | ||||||||||||
| Shares redeemed |
(1,509,838 | ) | (12,107,910 | ) | (3,842,931 | ) | (17,486,601 | ) | ||||||||
| Shares outstanding, end of period |
10,738,452 | 10,932,154 | 13,725,234 | 12,899,700 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
560,186 | 94,204 | 14,839,955 | 12,859 | ||||||||||||
| Shares sold |
233,908 | 569,248 | 4,805,059 | 16,548,221 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 37,507 | — | 108,526 | ||||||||||||
| Shares redeemed |
(24,068 | ) | (140,773 | ) | (3,351,003 | ) | (1,829,651 | ) | ||||||||
| Shares outstanding, end of period |
770,026 | 560,186 | 16,294,011 | 14,839,955 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
250
Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR GLOBAL MACRO FUND ** | AQR LONG-SHORT EQUITY FUND | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | (96,850 | ) | $ | (445,659 | ) | $ | (12,501,038 | ) | $ | (15,756,874 | ) | ||||
| Net realized gain (loss) |
(285,213 | ) | 1,091,247 | 187,532,851 | 75,392,875 | |||||||||||
| Net change in unrealized appreciation (depreciation) |
(817,755 | ) | (1,140,871 | ) | (5,854,685 | ) | 114,669,664 | |||||||||
| Net increase (decrease) in net assets resulting from operations |
(1,199,818 | ) | (495,283 | ) | 169,177,128 | 174,305,665 | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | — | — | (30,176,354 | ) | |||||||||||
| Class N |
— | — | — | (4,706,896 | ) | |||||||||||
| Class R6 |
— | — | — | (7,848,604 | ) | |||||||||||
| Total |
— | — | — | (42,731,854 | ) | |||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (1,147,757 | ) | — | (18,662,428 | ) | ||||||||||
| Class N |
— | (197,405 | ) | — | (3,169,455 | ) | ||||||||||
| Class R6 |
— | (249,638 | ) | — | (4,720,734 | ) | ||||||||||
| Total |
— | (1,594,800 | ) | — | (26,552,617 | ) | ||||||||||
| Total distributions |
— | (1,594,800 | ) | — | (69,284,471 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
6,185,991 | 12,508,088 | 1,630,647,086 | 1,714,249,271 | ||||||||||||
| Reinvestment of distributions |
— | 1,101,710 | — | 37,971,044 | ||||||||||||
| Cost of shares redeemed |
(3,080,024 | ) | (24,519,868 | ) | (257,719,921 | ) | (485,335,729 | ) | ||||||||
| Net increase (decrease) from capital transactions |
3,105,967 | (10,910,070 | ) | 1,372,927,165 | 1,266,884,586 | |||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
486,189 | 6,267,519 | 147,906,130 | 289,678,694 | ||||||||||||
| Reinvestment of distributions |
— | 197,405 | — | 7,839,548 | ||||||||||||
| Cost of shares redeemed |
(794,194 | ) | (23,859,907 | ) | (108,061,281 | ) | (111,888,155 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(308,005 | ) | (17,394,983 | ) | 39,844,849 | 185,630,087 | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
4,390 | 5,440,435 | 215,020,141 | 456,865,260 | ||||||||||||
| Reinvestment of distributions |
— | 249,600 | — | 6,782,137 | ||||||||||||
| Cost of shares redeemed |
(1,867 | ) | (1,126,806 | ) | (32,301,363 | ) | (40,383,757 | ) | ||||||||
| Net increase (decrease) from capital transactions |
2,523 | 4,563,229 | 182,718,778 | 423,263,640 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 2,800,485 | (23,741,824 | ) | 1,595,490,792 | 1,875,778,313 | |||||||||||
| Total increase (decrease) in net assets |
1,600,667 | (25,831,907 | ) | 1,764,667,920 | 1,980,799,507 | |||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
26,563,436 | 52,395,343 | 2,539,807,646 | 559,008,139 | ||||||||||||
| End of period |
$ | 28,164,103 | $ | 26,563,436 | $ | 4,304,475,566 | $ | 2,539,807,646 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | 75,922 | $ | 172,772 | $ | (70,292,045 | ) | $ | (57,791,007 | ) | ||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 252 |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR GLOBAL MACRO FUND ** | AQR LONG-SHORT EQUITY FUND | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
2,093,720 | 3,276,016 | 137,770,452 | 37,352,680 | ||||||||||||
| Shares sold |
700,500 | 1,295,462 | 120,563,806 | 136,071,032 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 120,274 | — | 2,911,890 | ||||||||||||
| Shares redeemed |
(348,592 | ) | (2,598,032 | ) | (19,107,828 | ) | (38,565,150 | ) | ||||||||
| Shares outstanding, end of period |
2,445,628 | 2,093,720 | 239,226,430 | 137,770,452 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
357,773 | 2,181,378 | 22,112,585 | 7,468,130 | ||||||||||||
| Shares sold |
55,987 | 653,532 | 11,031,323 | 23,006,638 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 21,717 | — | 604,437 | ||||||||||||
| Shares redeemed |
(89,343 | ) | (2,498,854 | ) | (8,040,671 | ) | (8,966,620 | ) | ||||||||
| Shares outstanding, end of period |
324,417 | 357,773 | 25,103,237 | 22,112,585 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
482,492 | 10,855 | 34,579,765 | 1,335,480 | ||||||||||||
| Shares sold |
490 | 562,070 | 15,870,098 | 35,852,243 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 27,249 | — | 519,306 | ||||||||||||
| Shares redeemed |
(214 | ) | (117,682 | ) | (2,383,955 | ) | (3,127,264 | ) | ||||||||
| Shares outstanding, end of period |
482,768 | 482,492 | 48,065,908 | 34,579,765 | ||||||||||||
| ** | 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 2017 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2017 |
| AQR MULTI-STRATEGY ALTERNATIVE FUND** |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | (13,798,773 | ) | $ | (37,816,221 | ) | $ | (418,296 | ) | $ | (1,064,934 | ) | ||||
| Net realized gain (loss) |
215,599,995 | (9,526,359 | ) | (4,344,506 | ) | 21,095,231 | ||||||||||
| Net change in unrealized appreciation (depreciation) |
(210,244,773 | ) | 48,509,415 | (3,669,750 | ) | 1,495,116 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
(8,443,551 | ) | 1,166,835 | (8,432,552 | ) | 21,525,413 | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (20,956,045 | ) | — | (4,217,596 | ) | ||||||||||
| Class N |
— | (4,106,578 | ) | — | (266,235 | ) | ||||||||||
| Class R6 |
— | (5,347,752 | ) | — | (4,773,617 | ) | ||||||||||
| Total |
— | (30,410,375 | ) | — | (9,257,448 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (39,203,993 | ) | — | — | |||||||||||
| Class N |
— | (7,682,473 | ) | — | — | |||||||||||
| Class R6 |
— | (10,004,428 | ) | — | — | |||||||||||
| Total |
— | (56,890,894 | ) | — | — | |||||||||||
| Total distributions |
— | (87,301,269 | ) | — | (9,257,448 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
314,052,177 | 1,640,556,468 | 19,963,017 | 93,980,312 | ||||||||||||
| Reinvestment of distributions |
— | 41,668,005 | — | 3,133,938 | ||||||||||||
| Cost of shares redeemed |
(509,042,601 | ) | (1,489,688,316 | ) | (25,120,222 | ) | (77,036,497 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(194,990,424 | ) | 192,536,157 | (5,157,205 | ) | 20,077,753 | ||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
39,130,614 | 472,919,773 | 2,282,685 | 6,991,689 | ||||||||||||
| Reinvestment of distributions |
— | 11,784,766 | — | 266,235 | ||||||||||||
| Cost of shares redeemed |
(64,885,321 | ) | (107,164,483 | ) | (2,641,912 | ) | (2,231,532 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(25,754,707 | ) | 377,540,056 | (359,227 | ) | 5,026,392 | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
80,409,821 | 693,614,602 | 17,215,023 | 65,280,626 | ||||||||||||
| Reinvestment of distributions |
— | 14,120,098 | — | 3,340,958 | ||||||||||||
| Cost of shares redeemed |
(82,718,444 | ) | (182,572,738 | ) | (1,918,595 | ) | (5,301,531 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(2,308,623 | ) | 525,161,962 | 15,296,428 | 63,320,053 | |||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | (223,053,754 | ) | 1,095,238,175 | 9,779,996 | 88,424,198 | |||||||||||
| Total increase (decrease) in net assets |
(231,497,305 | ) | 1,009,103,741 | 1,347,444 | 100,692,163 | |||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
3,497,851,475 | 2,488,747,734 | 203,218,551 | 102,526,388 | ||||||||||||
| End of period |
$ | 3,266,354,170 | $ | 3,497,851,475 | $ | 204,565,995 | $ | 203,218,551 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | (268,107,478 | ) | $ | (254,308,705 | ) | $ | 1,392,208 | $ | 1,810,504 | ||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 254 |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
253
Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR MULTI-STRATEGY ALTERNATIVE FUND** |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
253,175,292 | 234,044,091 | 15,023,251 | 12,690,552 | ||||||||||||
| Shares sold |
32,849,749 | 170,130,941 | 3,101,147 | 15,068,409 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 4,363,142 | — | 502,234 | ||||||||||||
| Shares redeemed |
(53,292,191 | ) | (155,362,882 | ) | (3,923,370 | ) | (13,237,944 | ) | ||||||||
| Shares outstanding, end of period |
232,732,850 | 253,175,292 | 14,201,028 | 15,023,251 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
49,655,549 | 10,628,943 | 1,167,206 | 374,027 | ||||||||||||
| Shares sold |
4,122,718 | 49,000,755 | 360,351 | 1,101,418 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 1,240,502 | — | 43,150 | ||||||||||||
| Shares redeemed |
(6,842,495 | ) | (11,214,651 | ) | (435,458 | ) | (351,389 | ) | ||||||||
| Shares outstanding, end of period |
46,935,772 | 49,655,549 | 1,092,099 | 1,167,206 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
65,492,180 | 10,345,164 | 16,318,860 | 5,175,399 | ||||||||||||
| Shares sold |
8,367,945 | 72,614,796 | 2,770,148 | 11,426,208 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 1,476,997 | — | 534,553 | ||||||||||||
| Shares redeemed |
(8,595,398 | ) | (18,944,777 | ) | (297,794 | ) | (817,300 | ) | ||||||||
| Shares outstanding, end of period |
65,264,727 | 65,492,180 | 18,791,214 | 16,318,860 | ||||||||||||
| ** | 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 2017 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | 536,641 | $ | (1,058,063 | ) | $ | 85,237 | $ | (151,494 | ) | ||||||
| Net realized gain (loss) |
20,552,491 | 35,336,470 | 2,694,697 | 4,585,967 | ||||||||||||
| Net change in unrealized appreciation (depreciation) |
2,273,729 | 11,516,218 | (1,082,586 | ) | 1,220,264 | |||||||||||
| Net increase (decrease) in net assets resulting from operations |
23,362,861 | 45,794,625 | 1,697,348 | 5,654,737 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (8,365,046 | ) | — | (627,027 | ) | ||||||||||
| Class N |
— | (365,427 | ) | — | (70,031 | ) | ||||||||||
| Class R6 |
— | (825,764 | ) | — | (36,784 | ) | ||||||||||
| Total |
— | (9,556,237 | ) | — | (733,842 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (15,160,890 | ) | — | (1,299,453 | ) | ||||||||||
| Class N |
— | (757,131 | ) | — | (179,001 | ) | ||||||||||
| Class R6 |
— | (1,446,368 | ) | — | (73,147 | ) | ||||||||||
| Total |
— | (17,364,389 | ) | — | (1,551,601 | ) | ||||||||||
| Total distributions |
— | (26,920,626 | ) | — | (2,285,443 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
48,710,869 | 86,230,896 | 9,741,947 | 26,776,206 | ||||||||||||
| Reinvestment of distributions |
— | 23,045,872 | — | 1,709,991 | ||||||||||||
| Cost of shares redeemed |
(36,499,647 | ) | (274,300,216 | ) | (10,759,574 | ) | (26,035,541 | ) | ||||||||
| Net increase (decrease) from capital transactions |
12,211,222 | (165,023,448 | ) | (1,017,627 | ) | 2,450,656 | ||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
5,781,211 | 5,286,651 | 3,486,059 | 2,390,229 | ||||||||||||
| Reinvestment of distributions |
— | 1,106,497 | — | 248,801 | ||||||||||||
| Cost of shares redeemed |
(4,879,889 | ) | (12,139,315 | ) | (3,496,230 | ) | (1,987,408 | ) | ||||||||
| Net increase (decrease) from capital transactions |
901,322 | (5,746,167 | ) | (10,171 | ) | 651,622 | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
2,811,145 | 34,999,379 | 38,229 | 2,498,129 | ||||||||||||
| Reinvestment of distributions |
— | 2,272,132 | — | 106,924 | ||||||||||||
| Cost of shares redeemed |
(2,100,000 | ) | (2,805,200 | ) | — | (2,326,557 | ) | |||||||||
| Net increase (decrease) from capital transactions |
711,145 | 34,466,311 | 38,229 | 278,496 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 13,823,689 | (136,303,304 | ) | (989,569 | ) | 3,380,774 | ||||||||||
| Total increase (decrease) in net assets |
37,186,550 | (117,429,305 | ) | 707,779 | 6,750,068 | |||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
400,348,661 | 517,777,966 | 55,545,999 | 48,795,931 | ||||||||||||
| End of period |
$ | 437,535,211 | $ | 400,348,661 | $ | 56,253,778 | $ | 55,545,999 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | 5,998,657 | $ | 5,462,016 | $ | 491,434 | $ | 406,197 | ||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 256 |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR RISK PARITY FUND** | AQR RISK PARITY II HV FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
37,411,773 | 54,203,404 | 5,479,411 | 5,250,810 | ||||||||||||
| Shares sold |
5,020,465 | 8,965,775 | 1,112,400 | 3,133,414 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 2,491,445 | — | 206,023 | ||||||||||||
| Shares redeemed |
(3,727,238 | ) | (28,248,851 | ) | (1,231,875 | ) | (3,110,836 | ) | ||||||||
| Shares outstanding, end of period |
38,705,000 | 37,411,773 | 5,359,936 | 5,479,411 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
1,827,019 | 2,424,293 | 780,920 | 704,394 | ||||||||||||
| Shares sold |
580,438 | 551,916 | 397,858 | 281,645 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 119,751 | — | 29,940 | ||||||||||||
| Shares redeemed |
(509,387 | ) | (1,268,941 | ) | (401,066 | ) | (235,059 | ) | ||||||||
| Shares outstanding, end of period |
1,898,070 | 1,827,019 | 777,712 | 780,920 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
3,638,709 | 307,370 | 337,040 | 310,087 | ||||||||||||
| Shares sold |
295,721 | 3,396,345 | 4,334 | 314,776 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 245,371 | — | 12,898 | ||||||||||||
| Shares redeemed |
(214,944 | ) | (310,377 | ) | — | (300,721 | ) | |||||||||
| Shares outstanding, end of period |
3,719,486 | 3,638,709 | 341,374 | 337,040 | ||||||||||||
| ** | 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 2017 | ||||||||||||||
256
Table of Contents
| Statements of Changes in Net Assets | June 30, 2017 |
| AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | 105,882 | $ | (222,445 | ) | $ | (16,116,121 | ) | $ | (38,653,409 | ) | |||||
| Net realized gain (loss) |
2,864,759 | 6,306,756 | 101,944,108 | (224,319,004 | ) | |||||||||||
| Net change in unrealized appreciation (depreciation) |
(1,030,146 | ) | 1,833,527 | (34,734,564 | ) | 236,995,010 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
1,940,495 | 7,917,838 | 51,093,423 | (25,977,403 | ) | |||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | — | — | — | — | ||||||||||||
| Class I |
— | (727,667 | ) | — | (38,510,727 | ) | ||||||||||
| Class N |
— | (38,536 | ) | — | (3,276,100 | ) | ||||||||||
| Class R6 |
— | (6,409 | ) | — | (22,466,055 | ) | ||||||||||
| Total |
— | (772,612 | ) | — | (64,252,882 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (2,123,563 | ) | — | — | |||||||||||
| Class N |
— | (160,468 | ) | — | — | |||||||||||
| Class R6 |
— | (17,038 | ) | — | — | |||||||||||
| Total |
— | (2,301,069 | ) | — | — | |||||||||||
| Total distributions |
— | (3,073,681 | ) | — | (64,252,882 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
3,810,138 | 29,159,017 | 602,300,032 | 1,885,360,726 | ||||||||||||
| Reinvestment of distributions |
— | 2,671,414 | — | 33,715,714 | ||||||||||||
| Cost of shares redeemed |
(8,163,769 | ) | (43,280,962 | ) | (458,649,220 | ) | (942,395,923 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(4,353,631 | ) | (11,450,531 | ) | 143,650,812 | 976,680,517 | ||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
135,938 | 5,931,482 | 29,352,725 | 235,255,329 | ||||||||||||
| Reinvestment of distributions |
— | 198,845 | — | 3,233,851 | ||||||||||||
| Cost of shares redeemed |
(2,001,816 | ) | (5,128,783 | ) | (46,060,842 | ) | (136,383,628 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(1,865,878 | ) | 1,001,544 | (16,708,117 | ) | 102,105,552 | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
— | 467,405 | 239,960,311 | 1,144,901,288 | ||||||||||||
| Reinvestment of distributions |
— | 23,447 | — | 19,653,750 | ||||||||||||
| Cost of shares redeemed |
(4,000 | ) | (5,000 | ) | (284,457,202 | ) | (180,244,147 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(4,000 | ) | 485,852 | (44,496,891 | ) | 984,310,891 | ||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | (6,223,509 | ) | (9,963,135 | ) | 82,445,804 | 2,063,096,960 | ||||||||||
| Total increase (decrease) in net assets |
(4,283,014 | ) | (5,118,978 | ) | 133,539,227 | 1,972,866,675 | ||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
85,139,739 | 90,258,717 | 3,801,614,094 | 1,828,747,419 | ||||||||||||
| End of period |
$ | 80,856,725 | $ | 85,139,739 | $ | 3,935,153,321 | $ | 3,801,614,094 | ||||||||
| Undistributed accumulated net investment income (loss) | $ | 447,614 | $ | 341,732 | $ | (156,907,387 | ) | $ | (140,791,266 | ) | ||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 258 |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2017 |
| AQR RISK PARITY II MV FUND** | AQR STYLE PREMIA ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED 2016 |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
8,787,446 | 10,090,660 | 228,188,253 | 132,222,963 | ||||||||||||
| Shares sold |
412,705 | 3,215,809 | 59,890,846 | 186,181,598 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 300,497 | — | 3,391,923 | ||||||||||||
| Shares redeemed |
(882,939 | ) | (4,819,520 | ) | (45,834,696 | ) | (93,608,231 | ) | ||||||||
| Shares outstanding, end of period |
8,317,212 | 8,787,446 | 242,244,403 | 228,188,253 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
632,594 | 499,865 | 19,081,538 | 9,168,045 | ||||||||||||
| Shares sold |
14,867 | 668,526 | 2,936,792 | 23,236,438 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 22,443 | — | 326,322 | ||||||||||||
| Shares redeemed |
(219,217 | ) | (558,240 | ) | (4,613,208 | ) | (13,649,267 | ) | ||||||||
| Shares outstanding, end of period |
428,244 | 632,594 | 17,405,122 | 19,081,538 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
67,769 | 11,671 | 135,855,853 | 38,861,071 | ||||||||||||
| Shares sold |
— | 54,018 | 23,931,213 | 112,887,115 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 2,640 | — | 1,975,251 | ||||||||||||
| Shares redeemed |
(433 | ) | (560 | ) | (28,251,966 | ) | (17,867,584 | ) | ||||||||
| Shares outstanding, end of period |
67,336 | 67,769 | 131,535,100 | 135,855,853 | ||||||||||||
| ** | 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 2017 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2017 |
| AQR STYLE PREMIA ALTERNATIVE LV FUND** |
||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||
| OPERATIONS: | ||||||||
| Net investment income (loss) |
$ | (453,593 | ) | $ | (1,995,602 | ) | ||
| Net realized gain (loss) |
5,384,644 | (7,790,440 | ) | |||||
| Net change in unrealized appreciation (depreciation) |
(1,092,535 | ) | 10,768,951 | |||||
| Net increase (decrease) in net assets resulting from operations |
3,838,516 | 982,909 | ||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
| Net investment income: | — | — | ||||||
| Class I |
— | (795,349 | ) | |||||
| Class N |
— | (118,822 | ) | |||||
| Class R6 |
— | (249,839 | ) | |||||
| Total |
— | (1,164,010 | ) | |||||
| Net realized gain: | ||||||||
| Class I |
— | (508,606 | ) | |||||
| Class N |
— | (75,984 | ) | |||||
| Class R6 |
— | (159,765 | ) | |||||
| Total |
— | (744,355 | ) | |||||
| Total distributions |
— | (1,908,365 | ) | |||||
| CAPITAL TRANSACTIONS: | ||||||||
| CLASS I | ||||||||
| Proceeds from shares sold |
96,781,223 | 311,386,784 | ||||||
| Reinvestment of distributions |
— | 1,291,847 | ||||||
| Cost of shares redeemed |
(61,386,832 | ) | (212,924,851 | ) | ||||
| Net increase (decrease) from capital transactions |
35,394,391 | 99,753,780 | ||||||
| CLASS N | ||||||||
| Proceeds from shares sold |
5,579,362 | 46,356,991 | ||||||
| Reinvestment of distributions |
— | 194,718 | ||||||
| Cost of shares redeemed |
(14,206,341 | ) | (17,229,454 | ) | ||||
| Net increase (decrease) from capital transactions |
(8,626,979 | ) | 29,322,255 | |||||
| CLASS R6 | ||||||||
| Proceeds from shares sold |
8,242,861 | 75,648,609 | ||||||
| Reinvestment of distributions |
— | 409,604 | ||||||
| Cost of shares redeemed |
(1,062,929 | ) | (7,420,574 | ) | ||||
| Net increase (decrease) from capital transactions |
7,179,932 | 68,637,639 | ||||||
| Net increase (decrease) in net assets resulting from capital transactions |
33,947,344 | 197,713,674 | ||||||
| Total increase (decrease) in net assets |
37,785,860 | 196,788,218 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period |
384,580,671 | 187,792,453 | ||||||
| End of period |
$ | 422,366,531 | $ | 384,580,671 | ||||
| Undistributed accumulated net investment income (loss) |
$ | (5,891,041 | ) | $ | (5,437,448 | ) | ||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 260 |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2017 |
| AQR STYLE PREMIA ALTERNATIVE LV FUND** |
||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2016 |
|||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||
| CLASS I | ||||||||
| Shares outstanding, beginning of period |
24,164,696 | 14,645,410 | ||||||
| Shares sold |
9,240,313 | 29,820,289 | ||||||
| Shares issued on reinvestment of distributions |
— | 123,977 | ||||||
| Shares redeemed |
(5,868,778 | ) | (20,424,980 | ) | ||||
| Shares outstanding, end of period |
27,536,231 | 24,164,696 | ||||||
| CLASS N | ||||||||
| Shares outstanding, beginning of period |
4,098,530 | 1,294,548 | ||||||
| Shares sold |
534,704 | 4,443,549 | ||||||
| Shares issued on reinvestment of distributions |
— | |
18,759 |
| ||||
| Shares redeemed |
(1,366,326 | ) | (1,658,326 | ) | ||||
| Shares outstanding, end of period |
3,266,908 | 4,098,530 | ||||||
| CLASS R6 | ||||||||
| Shares outstanding, beginning of period |
8,688,585 | 2,132,230 | ||||||
| Shares sold |
786,743 | 7,229,751 | ||||||
| Shares issued on reinvestment of distributions |
— | 39,272 | ||||||
| Shares redeemed |
(100,885 | ) | (712,668 | ) | ||||
| Shares outstanding, end of period |
9,374,443 | 8,688,585 | ||||||
| ** | 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. |
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| Statements of Cash Flows | June 30, 2017 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR EQUITY |
AQR LONG-SHORT FUND |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
$ | 21,781,510 | $ | 13,442,856 | $ | 169,177,128 | ||||||
| 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 |
(390,287,720 | ) | (231,278,637 | ) | (680,653,424 | ) | ||||||
| Payments to cover short securities |
(115,215,489 | ) | (202,088,320 | ) | (458,038,857 | ) | ||||||
| Proceeds from securities sold short |
61,365,289 | 257,999,630 | 727,900,166 | |||||||||
| Proceeds from sale of securities |
491,438,327 | 156,064,901 | 331,925,595 | |||||||||
| Proceeds from written options |
51,447 | — | — | |||||||||
| (Purchases) sales of short-term investments, net |
(69,076,078 | ) | (259,099,316 | ) | (1,528,968,857 | ) | ||||||
| Realized (gain) loss on investments in securities |
(24,111,539 | ) | (14,937,098 | ) | (23,404,219 | ) | ||||||
| Realized (gain) loss on securities sold short |
10,628,399 | 24,095,288 | 50,349,543 | |||||||||
| Realized (gain) loss on written options |
(51,447 | ) | — | — | ||||||||
| Change in unrealized (appreciation) depreciation on investments in securities |
(16,966,254 | ) | (46,328,423 | ) | (107,200,235 | ) | ||||||
| Change in unrealized (appreciation) depreciation on securities sold short |
13,595,856 | 23,014,992 | 58,849,419 | |||||||||
| Amortization (accretion) of bond premium (discount) |
(365,944 | ) | (1,051,563 | ) | (4,325,150 | ) | ||||||
| (Increases) decreases in operating assets: | ||||||||||||
| Due from brokers |
17,810,062 | (216,147,551 | ) | (142,065,922 | ) | |||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
(55,621 | ) | 479,475 | (9,037,877 | ) | |||||||
| Unrealized appreciation on OTC swaps |
(2,598,141 | ) | 60,137,493 | 49,932,317 | ||||||||
| Deposits with brokers for exchange-traded and centrally cleared derivatives |
658,876 | (83 | ) | (30,296,517 | ) | |||||||
| Variation margin on exchange-traded and centrally cleared derivatives |
(12,843 | ) | — | — | ||||||||
| Receivable for securities sold |
(17,379,980 | ) | 11,154,619 | 84,356,339 | ||||||||
| Foreign tax reclaim |
10,325 | (604,834 | ) | (1,476,944 | ) | |||||||
| Dividends and interest |
117,654 | (495,939 | ) | (1,126,018 | ) | |||||||
| Prepaid expenses |
5,843 | 730 | (32,319 | ) | ||||||||
| Increases (decreases) in operating liabilities | ||||||||||||
| Due to broker |
3,895,477 | (1,630,000 | ) | 37,824,996 | ||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
507,867 | 1,380,944 | (2,130,070 | ) | ||||||||
| Unrealized depreciation on OTC swaps |
54,477 | 4,962,198 | (2,898,762 | ) | ||||||||
| Variation margin on exchange-traded and centrally cleared derivatives |
29,473 | — | 640,826 | |||||||||
| Payable for securities purchased |
6,993,381 | 2,507,786 | (53,272,763 | ) | ||||||||
| Accrued investment advisory fees |
(23,119 | ) | 435,743 | 1,520,946 | ||||||||
| Accrued distribution fees—Class N |
(753 | ) | 2,861 | 13,762 | ||||||||
| Accrued Trustees fees |
85 | (14 | ) | — | ||||||||
| Dividends and Interest payable on securities sold short and reverse repurchase agreements |
(31,778 | ) | 151,866 | 578,641 | ||||||||
| Other accrued expenses and liabilities |
59,045 | 135,589 | 358,871 | |||||||||
| Net cash provided by (used in) operating activities |
$ | (7,173,313 | ) | $ | (417,694,807 | ) | $ | (1,531,499,385 | ) | |||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
| Proceeds from shares sold |
83,318,573 | 682,378,604 | 1,974,618,363 | |||||||||
| Payments on shares redeemed |
(76,271,434 | ) | (259,781,345 | ) | (399,206,865 | ) | ||||||
| Net cash provided by (used in) financing activities |
$ | 7,047,139 | $ | 422,597,259 | $ | 1,575,411,498 | ||||||
| Net change in cash and cash denominated in foreign currencies | (126,174 | ) | 4,902,452 | 43,912,113 | ||||||||
| Cash, beginning of period |
1,702,227 | 5,795,599 | 2,682,225 | |||||||||
| Cash, end of period |
$ | 1,576,053 | $ | 10,698,051 | $ | 46,594,338 | ||||||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $801,500, $1,467,360 and $3,162,186, respectively.
| The accompanying notes are an integral part of these financial statements. |
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| Statements of Cash Flows | June 30, 2017 (Unaudited) |
| AQR MULTI- STRATEGY |
AQR RISK PARITY II HV FUND** |
AQR STYLE PREMIA |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
$ | (8,443,551 | ) | $ | 1,697,348 | $ | 51,093,423 | |||||
| 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 |
(1,236,127,125 | ) | (6,562,187 | ) | (249,543,047 | ) | ||||||
| Payments to cover short securities |
(1,149,598,160 | ) | — | (350,448,743 | ) | |||||||
| Proceeds from securities sold short |
919,585,210 | — | 265,367,554 | |||||||||
| Proceeds from sale of securities |
1,645,249,946 | 8,289,322 | 365,083,270 | |||||||||
| (Purchases) sales of short-term investments, net |
(852,309,390 | ) | (3,288,293 | ) | (366,684,865 | ) | ||||||
| Realized (gain) loss on investments in securities |
(121,545,816 | ) | 52,235 | (22,377,205 | ) | |||||||
| Realized (gain) loss on securities sold short |
60,063,303 | — | 50,364,101 | |||||||||
| Realized (gain) loss on written options |
(313,312 | ) | — | — | ||||||||
| Change in unrealized (appreciation) depreciation on investments in securities |
26,613,983 | (706,469 | ) | (164,467,915 | ) | |||||||
| Change in unrealized (appreciation) depreciation on securities sold short |
27,727,410 | — | 108,989,715 | |||||||||
| Change in unrealized (appreciation) depreciation on written options |
4,773,892 | — | — | |||||||||
| Amortization (accretion) of bond premium (discount) |
(670,332 | ) | (174,126 | ) | (3,080,564 | ) | ||||||
| (Increases) decreases in operating assets: | ||||||||||||
| Due from brokers |
779,277,092 | 13,267 | 69,994,434 | |||||||||
| Repurchase Agreements |
— | 3,279,000 | — | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
(15,762,176 | ) | 172,101 | (35,695,441 | ) | |||||||
| Unrealized appreciation on OTC swaps |
150,216,658 | 101,586 | 159,529,374 | |||||||||
| Deposits with brokers for exchange-traded and centrally cleared derivatives |
(22,113,319 | ) | 326,617 | 14,098,708 | ||||||||
| Variation margin on exchange-traded and centrally cleared derivatives |
2,002,457 | (75,278 | ) | (4,518,625 | ) | |||||||
| Receivable for securities sold |
(174,589,375 | ) | (226,513 | ) | 82,003,278 | |||||||
| Foreign tax reclaim |
276,796 | — | (1,269,620 | ) | ||||||||
| Dividends and interest |
(874,686 | ) | 2,341 | (513,598 | ) | |||||||
| Prepaid expenses |
9,769 | 13,259 | 165,956 | |||||||||
| Increases (decreases) in operating liabilities | ||||||||||||
| Due to broker |
(2,248,718 | ) | 57,964 | 42,681,236 | ||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
(2,260,283 | ) | 192,580 | 7,772,535 | ||||||||
| Unrealized depreciation on OTC swaps |
(2,943,447 | ) | 72,585 | (25,110,542 | ) | |||||||
| Deposits from brokers for exchange-traded and centrally cleared derivatives |
(393,510 | ) | — | 662,922 | ||||||||
| Variation margin on exchange-traded and centrally cleared derivatives |
2,612,999 | (94,195 | ) | (2,459,756 | ) | |||||||
| Payable for securities purchased |
161,953,306 | 103,307 | (102,895,032 | ) | ||||||||
| Accrued investment advisory fees |
(437,754 | ) | 11,263 | 219,734 | ||||||||
| Accrued distribution fees—Class N |
(8,275 | ) | 148 | (3,691 | ) | |||||||
| Accrued Trustees fees |
(76 | ) | (2 | ) | (66 | ) | ||||||
| Dividends and Interest payable on securities sold short and reverse repurchase agreements |
(581,373 | ) | — | 67,122 | ||||||||
| Interest payable for reverse repurchase agreements |
— | (548 | ) | — | ||||||||
| Other accrued expenses and liabilities |
192,568 | 36,964 | 78,387 | |||||||||
| Net cash provided by (used in) operating activities |
$ | 189,334,711 | $ | 3,294,276 | $ | (110,896,961 | ) | |||||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
| Proceeds from shares sold |
434,603,302 | 13,126,947 | 871,255,142 | |||||||||
| Net change in reverse repurchase agreements |
— | (2,107,887 | ) | — | ||||||||
| Payments on shares redeemed |
(662,210,567 | ) | (14,099,885 | ) | (793,619,967 | ) | ||||||
| Net cash provided by (used in) financing activities |
$ | (227,607,265 | ) | $ | (3,080,825 | ) | $ | 77,635,175 | ||||
| Net change in cash and cash denominated in foreign currencies | (38,272,554 | ) | 213,451 | (33,261,786 | ) | |||||||
| Cash, beginning of period |
69,456,664 | 18,069 | 48,618,242 | |||||||||
| Cash, end of period |
$ | 31,184,110 | $ | 231,520 | $ | 15,356,456 | ||||||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $504,250, $51,305 and $4,701,142, 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. |
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| Statements of Cash Flows | June 30, 2017 (Unaudited) |
| AQR STYLE |
||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
| Net increase(decrease) in net assets resulting from operations |
$ | 3,838,516 | ||
| 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 |
(12,171,035 | ) | ||
| Payments to cover short securities |
(21,172,529 | ) | ||
| Proceeds from securities sold short |
15,954,759 | |||
| Proceeds from sale of securities |
18,384,499 | |||
| (Purchases) sales of short-term investments, net |
(47,801,042 | ) | ||
| Realized (gain) loss on investments in securities |
(967,802 | ) | ||
| Realized (gain) loss on securities sold short |
3,081,210 | |||
| Change in unrealized (appreciation) depreciation on investments in securities |
(9,495,365 | ) | ||
| Change in unrealized (appreciation) depreciation on securities sold short |
5,876,429 | |||
| Amortization (accretion) of bond premium (discount) |
(382,511 | ) | ||
| (Increases) decreases in operating assets: | ||||
| Due from brokers |
2,155,599 | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
(1,599,388 | ) | ||
| Unrealized appreciation on OTC swaps |
8,533,628 | |||
| Deposits with brokers for exchange-traded and centrally cleared derivatives |
461,559 | |||
| Variation margin on exchange-traded and centrally cleared derivatives |
(352,270 | ) | ||
| Receivable for securities sold |
4,790,524 | |||
| Foreign tax reclaim |
(61,194 | ) | ||
| Dividends and interest |
(86,630 | ) | ||
| Prepaid expenses |
18,917 | |||
| Increases (decreases) in operating liabilities | ||||
| Due to broker |
2,005,083 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
128,724 | |||
| Unrealized depreciation on OTC swaps |
(1,147,071 | ) | ||
| Variation margin on exchange-traded and centrally cleared derivatives |
201,893 | |||
| Payable for securities purchased |
(5,054,427 | ) | ||
| Accrued investment advisory fees |
13,010 | |||
| Accrued distribution fees—Class N |
(1,783 | ) | ||
| Accrued Trustees fees |
(5 | ) | ||
| Dividends and Interest payable on securities sold short and reverse repurchase agreements |
201 | |||
| Other accrued expenses and liabilities |
52,213 | |||
| Net cash provided by (used in) operating activities |
$ | (34,796,288 | ) | |
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||
| Proceeds from shares sold |
110,981,906 | |||
| Payments on shares redeemed |
(76,565,990 | ) | ||
| Net cash provided by (used in) financing activities |
$ | 34,415,916 | ||
| Net change in cash and cash denominated in foreign currencies | (380,372 | ) | ||
| Cash, beginning of period |
1,347,565 | |||
| Cash, end of period |
$ | 967,193 | ||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $267,844.
| ** | 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. |
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| Financial Highlights | June 30, 2017 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations1 |
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, 2017 (Unaudited) | $9.23 | 0.01 | 0.42 | 0.43 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.21 | 0.07 | 0.61 | 0.68 | (0.66 | ) | — | — | (0.66 | ) | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | 0.07 | (0.55 | ) | (0.48 | ) | (0.45 | ) | — | — | (0.45 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.91 | 0.23 | (0.80 | ) | (0.57 | ) | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.05 | 0.17 | 0.02 | 0.19 | (0.18 | ) | (0.06 | ) | (0.09 | ) | (0.33 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.89 | 0.10 | 6 | 0.24 | 0.34 | (0.13 | ) | (0.05 | ) | — | (0.18 | ) | ||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.23 | (0.01 | ) | 0.42 | 0.41 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.21 | 0.05 | 0.60 | 0.65 | (0.63 | ) | — | — | (0.63 | ) | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.10 | 0.03 | (0.51 | ) | (0.48 | ) | (0.41 | ) | — | — | (0.41 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.87 | 0.21 | (0.81 | ) | (0.60 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.01 | 0.13 | 0.04 | 0.17 | (0.16 | ) | (0.06 | ) | (0.09 | ) | (0.31 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.85 | 0.06 | 6 | 0.24 | 0.30 | (0.09 | ) | (0.05 | ) | — | (0.14 | ) | ||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.21 | 0.01 | 0.42 | 0.43 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.20 | 0.12 | 0.56 | 0.68 | (0.67 | ) | — | — | (0.67 | ) | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.13 | 0.09 | (0.55 | ) | (0.46 | ) | (0.47 | ) | — | — | (0.47 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $11.00 | 0.16 | (0.82 | ) | (0.66 | ) | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||
| AQR EQUITY MARKET NEUTRAL FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $11.97 | (0.05 | ) | 0.18 | 0.13 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $11.48 | (0.13 | ) | 0.80 | 0.67 | (0.18 | ) | (0.00 | )8 | — | (0.18 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.01 | (0.15 | ) | 1.91 | 1.76 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | ||||||||||||||||||||
| FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )8 | (0.59 | ) | ||||||||||||||||||||
| AQR EQUITY MARKET NEUTRAL FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $11.95 | (0.07 | ) | 0.19 | 0.12 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $11.47 | (0.15 | ) | 0.77 | 0.62 | (0.14 | ) | (0.00 | )8 | — | (0.14 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.01 | (0.19 | ) | 1.94 | 1.75 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | ||||||||||||||||||||
| FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.03 | ) | 0.62 | 0.59 | (0.58 | ) | — | (0.00 | )8 | (0.58 | ) | ||||||||||||||||||||
| AQR EQUITY MARKET NEUTRAL FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $11.97 | (0.05 | ) | 0.19 | 0.14 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $11.49 | (0.14 | ) | 0.81 | 0.67 | (0.19 | ) | (0.00 | )8 | — | (0.19 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.01 | (0.13 | ) | 1.90 | 1.77 | (0.28 | ) | (0.01 | ) | — | (0.29 | ) | ||||||||||||||||||||
| FOR THE PERIOD 10/07/1410—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )8 | (0.59 | ) | ||||||||||||||||||||
| AQR GLOBAL MACRO FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.06 | (0.03 | ) | (0.36 | ) | (0.39 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.60 | (0.11 | ) | 0.12 | 11 | 0.01 | — | (0.55 | ) | — | (0.55 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.94 | (0.15 | ) | 0.32 | 0.17 | — | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
| FOR THE PERIOD 4/08/1410—12/31/14 | $10.00 | (0.10 | ) | 0.06 | (0.04 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
| AQR GLOBAL MACRO FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $8.99 | (0.05 | ) | (0.35 | ) | (0.40 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.55 | (0.13 | ) | 0.12 | 11 | (0.01 | ) | — | (0.55 | ) | — | (0.55 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.92 | (0.16 | ) | 0.30 | 0.14 | — | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
| FOR THE PERIOD 4/08/1410—12/31/14 | $10.00 | (0.12 | ) | 0.06 | (0.06 | ) | — | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||
| AQR GLOBAL MACRO FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.07 | (0.03 | ) | (0.37 | ) | (0.40 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.60 | (0.10 | ) | 0.12 | 11 | 0.02 | — | (0.55 | ) | — | (0.55 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.94 | (0.14 | ) | 0.31 | 0.17 | — | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $9.72 | (0.04 | ) | 0.28 | 0.24 | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
264
Table of Contents
| Financial Highlights | June 30, 2017 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* |
||||||||||||||||||||||||||||||||||
| Net Asset Value, End of Period |
Total Return2,3 |
Net Assets, End of Period (000’s) |
Expenses, Before Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 |
Net Investment Income (Loss) |
Portfolio Turnover Rate5 |
|||||||||||||||||||||||||||
| $9.66 | 4.55 | % | $384,116 | 2.15 | % | 2.08 | % | 1.20 | % | 0.13 | % | 114 | % | |||||||||||||||||||||
| $9.23 | 7.51 | % | $359,989 | 2.36 | % | 2.27 | % | 1.20 | % | 0.78 | % | 277 | % | |||||||||||||||||||||
| $9.21 | (4.67 | )% | $772,394 | 2.44 | % | 2.42 | % | 1.19 | % | 0.71 | % | 249 | % | |||||||||||||||||||||
| $10.14 | (5.25 | )% | $1,546,685 | 1.88 | % | 1.88 | % | 1.20 | % | 2.07 | % | 380 | % | |||||||||||||||||||||
| $10.91 | 1.75 | % | $1,876,481 | 1.64 | % | 1.64 | % | 1.20 | % | 1.52 | % | 349 | % | |||||||||||||||||||||
| $11.05 | 3.13 | % | $1,752,724 | 2.32 | % | 2.30 | % | 1.21 | % | 0.88 | %6 | 312 | % | |||||||||||||||||||||
| $9.64 | 4.44 | % | $103,545 | 2.40 | % | 2.33 | % | 1.45 | % | (0.13 | )% | 114 | % | |||||||||||||||||||||
| $9.23 | 7.15 | % | $100,869 | 2.61 | % | 2.52 | % | 1.44 | % | 0.53 | % | 277 | % | |||||||||||||||||||||
| $9.21 | (4.75 | )% | $183,029 | 2.69 | % | 2.67 | % | 1.45 | % | 0.32 | % | 249 | % | |||||||||||||||||||||
| $10.10 | (5.51 | )% | $678,528 | 2.12 | % | 2.12 | % | 1.44 | % | 1.99 | % | 380 | % | |||||||||||||||||||||
| $10.87 | 1.51 | % | $836,355 | 1.88 | % | 1.88 | % | 1.44 | % | 1.21 | % | 349 | % | |||||||||||||||||||||
| $11.01 | 2.83 | % | $761,371 | 2.62 | % | 2.62 | % | 1.52 | % | 0.57 | %6 | 312 | % | |||||||||||||||||||||
| $9.64 | 4.67 | % | $7,424 | 2.05 | % | 1.98 | % | 1.10 | % | 0.26 | % | 114 | % | |||||||||||||||||||||
| $9.21 | 7.52 | % | $5,159 | 2.27 | % | 2.18 | % | 1.10 | % | 1.26 | % | 277 | % | |||||||||||||||||||||
| $9.20 | (4.55 | )% | $866 | 2.36 | % | 2.33 | % | 1.10 | % | 0.92 | % | 249 | % | |||||||||||||||||||||
| $10.13 | (5.99 | )% | $94 | 1.94 | % | 1.94 | % | 1.10 | % | 4.69 | % | 380 | % | |||||||||||||||||||||
| $12.10 | 1.09 | % | $1,195,283 | 2.56 | % | 2.56 | % | 1.29 | % | (0.79 | )% | 103 | % | |||||||||||||||||||||
| $11.97 | 5.85 | % | $790,179 | 2.13 | % | 2.13 | % | 1.28 | % | (1.15 | )% | 227 | % | |||||||||||||||||||||
| $11.48 | 17.60 | % | $179,312 | 2.17 | %9 | 1.90 | % | 1.25 | % | (1.36 | )% | 383 | % | |||||||||||||||||||||
| $10.01 | 5.93 | % | $1,445 | 4.57 | %9 | 1.63 | % | 1.30 | % | (1.04 | )% | 152 | % | |||||||||||||||||||||
| $12.07 | 1.00 | % | $165,607 | 2.82 | % | 2.82 | % | 1.55 | % | (1.15 | )% | 103 | % | |||||||||||||||||||||
| $11.95 | 5.43 | % | $154,189 | 2.40 | % | 2.40 | % | 1.55 | % | (1.27 | )% | 227 | % | |||||||||||||||||||||
| $11.47 | 17.43 | % | $89,755 | 2.41 | %9 | 2.16 | % | 1.51 | % | (1.69 | )% | 383 | % | |||||||||||||||||||||
| $10.01 | 5.88 | % | $1,233 | 4.83 | %9 | 1.88 | % | 1.55 | % | (1.29 | )% | 152 | % | |||||||||||||||||||||
| $12.11 | 1.17 | % | $197,272 | 2.47 | % | 2.47 | % | 1.20 | % | (0.82 | )% | 103 | % | |||||||||||||||||||||
| $11.97 | 5.82 | % | $177,683 | 2.05 | % | 2.05 | % | 1.20 | % | (1.22 | )% | 227 | % | |||||||||||||||||||||
| $11.49 | 17.72 | % | $148 | 3.05 | %9 | 1.85 | % | 1.20 | % | (1.26 | )% | 383 | % | |||||||||||||||||||||
| $10.01 | 5.95 | % | $3,210 | 4.49 | %9 | 1.53 | % | 1.20 | % | (0.95 | )% | 152 | % | |||||||||||||||||||||
| $8.67 | (4.30 | )% | $21,192 | 2.32 | % | 1.42 | % | 1.42 | % | (0.68 | )% | 0 | % | |||||||||||||||||||||
| $9.06 | 0.02 | % | $18,972 | 1.98 | % | 1.41 | % | 1.41 | % | (1.12 | )% | 0 | % | |||||||||||||||||||||
| $9.60 | 1.71 | % | $31,453 | 1.78 | %9 | 1.38 | % | 1.38 | % | (1.45 | )% | 0 | % | |||||||||||||||||||||
| $9.94 | (0.42 | )% | $35,466 | 2.24 | %9 | 1.45 | % | 1.45 | % | (1.44 | )% | 0 | % | |||||||||||||||||||||
| $8.59 | (4.45 | )% | $2,786 | 2.60 | % | 1.70 | % | 1.70 | % | (1.07 | )% | 0 | % | |||||||||||||||||||||
| $8.99 | (0.19 | )% | $3,217 | 2.17 | % | 1.65 | % | 1.65 | % | (1.35 | )% | 0 | % | |||||||||||||||||||||
| $9.55 | 1.41 | % | $20,838 | 1.88 | %9 | 1.70 | % | 1.70 | % | (1.56 | )% | 0 | % | |||||||||||||||||||||
| $9.92 | (0.62 | )% | $1,050 | 2.49 | %9 | 1.70 | % | 1.70 | % | (1.69 | )% | 0 | % | |||||||||||||||||||||
| $8.67 | (4.41 | )% | $4,186 | 2.25 | % | 1.35 | % | 1.35 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||
| $9.07 | 0.14 | % | $4,374 | 1.95 | % | 1.35 | % | 1.35 | % | (1.09 | )% | 0 | % | |||||||||||||||||||||
| $9.60 | 1.71 | % | $104 | 1.72 | %9 | 1.35 | % | 1.35 | % | (1.41 | )% | 0 | % | |||||||||||||||||||||
| $9.94 | 2.45 | % | $102 | 2.02 | %9 | 1.35 | % | 1.35 | % | (1.37 | )% | 0 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
265
Table of Contents
| Financial Highlights | June 30, 2017 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations1 |
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 LONG-SHORT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $13.07 | (0.05 | ) | 0.76 | 0.71 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $12.12 | (0.14 | ) | 1.48 | 1.34 | (0.24 | ) | (0.15 | ) | — | (0.39 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.87 | (0.15 | ) | 2.00 | 1.85 | (0.58 | ) | (0.02 | ) | — | (0.60 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.21 | (0.14 | ) | 1.67 | 1.53 | (0.74 | ) | (0.10 | ) | (0.03 | ) | (0.87 | ) | |||||||||||||||||||
| FOR THE PERIOD 7/16/1310—12/31/13 | $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, 2017 (Unaudited) | $13.00 | (0.08 | ) | 0.77 | 0.69 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $12.07 | (0.17 | ) | 1.47 | 1.30 | (0.22 | ) | (0.15 | ) | — | (0.37 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.84 | (0.19 | ) | 2.01 | 1.82 | (0.57 | ) | (0.02 | ) | — | (0.59 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.21 | (0.20 | ) | 1.70 | 1.50 | (0.74 | ) | (0.10 | ) | (0.03 | ) | (0.87 | ) | |||||||||||||||||||
| FOR THE PERIOD 7/16/1310—12/31/13 | $10.00 | (0.07 | ) | 1.17 | 1.10 | (0.66 | ) | (0.23 | ) | — | (0.89 | ) | ||||||||||||||||||||
| AQR LONG-SHORT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $13.08 | (0.05 | ) | 0.78 | 0.73 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $12.13 | (0.14 | ) | 1.49 | 1.35 | (0.25 | ) | (0.15 | ) | — | (0.40 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.87 | (0.15 | ) | 2.02 | 1.87 | (0.59 | ) | (0.02 | ) | — | (0.61 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $11.05 | (0.08 | ) | 0.78 | 0.70 | (0.75 | ) | (0.10 | ) | (0.03 | ) | (0.88 | ) | |||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.50 | (0.04 | ) | 0.01 | (0.03 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.76 | (0.11 | ) | 0.09 | (0.02 | ) | (0.08 | ) | (0.16 | ) | — | (0.24 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.76 | (0.15 | ) | 1.05 | 0.90 | (0.74 | ) | (0.16 | ) | — | (0.90 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.78 | (0.14 | ) | 0.85 | 0.71 | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.90 | (0.17 | ) | 0.61 | 0.44 | (0.44 | ) | (0.12 | ) | — | (0.56 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.70 | (0.17 | ) | 0.40 | 0.23 | (0.01 | ) | (0.02 | ) | — | (0.03 | ) | ||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.45 | (0.05 | ) | 0.02 | (0.03 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.74 | (0.13 | ) | 0.08 | (0.05 | ) | (0.08 | ) | (0.16 | ) | — | (0.24 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.74 | (0.17 | ) | 1.05 | 0.88 | (0.72 | ) | (0.16 | ) | — | (0.88 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.76 | (0.17 | ) | 0.85 | 0.68 | (0.70 | ) | — | — | (0.70 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.89 | (0.20 | ) | 0.61 | 0.41 | (0.42 | ) | (0.12 | ) | — | (0.54 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.69 | (0.23 | ) | 0.45 | 0.22 | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.51 | (0.03 | ) | 0.01 | (0.02 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.76 | (0.09 | ) | 0.08 | (0.01 | ) | (0.08 | ) | (0.16 | ) | — | (0.24 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.75 | (0.13 | ) | 1.05 | 0.92 | (0.75 | ) | (0.16 | ) | — | (0.91 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $9.88 | (0.11 | ) | 0.71 | 0.60 | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Financial Highlights | June 30, 2017 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* |
||||||||||||||||||||||||||||||||||
| Net Asset Value, End of Period |
Total Return2,3 |
Net Assets, End of Period (000’s) |
Expenses, Before Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 |
Net Investment Income (Loss) |
Portfolio Turnover Rate5 |
|||||||||||||||||||||||||||
| $13.78 | 5.43 | % | $3,297,034 | 2.44 | % | 2.44 | % | 1.27 | % | (0.72 | )% | 116 | % | |||||||||||||||||||||
| $13.07 | 11.09 | % | $1,799,994 | 1.99 | % | 1.99 | % | 1.28 | % | (1.12 | )% | 247 | % | |||||||||||||||||||||
| $12.12 | 17.04 | % | $452,667 | 1.86 | % | 1.81 | % | 1.27 | % | (1.28 | )% | 303 | % | |||||||||||||||||||||
| $10.87 | 14.91 | % | $43,667 | 2.34 | % | 1.30 | % | 1.30 | % | (1.26 | )% | 0 | % | |||||||||||||||||||||
| $10.21 | 11.17 | % | $5,246 | 3.56 | %9 | 1.30 | % | 1.30 | % | (1.29 | )% | 0 | % | |||||||||||||||||||||
| $13.69 | 5.31 | % | $343,668 | 2.71 | % | 2.71 | % | 1.54 | % | (1.13 | )% | 116 | % | |||||||||||||||||||||
| $13.00 | 10.80 | % | $287,362 | 2.25 | % | 2.25 | % | 1.54 | % | (1.39 | )% | 247 | % | |||||||||||||||||||||
| $12.07 | 16.79 | % | $90,141 | 2.12 | % | 2.07 | % | 1.53 | % | (1.58 | )% | 303 | % | |||||||||||||||||||||
| $10.84 | 14.55 | % | $10,688 | 2.46 | % | 1.55 | % | 1.55 | % | (1.81 | )% | 0 | % | |||||||||||||||||||||
| $10.21 | 11.04 | % | $910 | 5.49 | %9 | 1.55 | % | 1.55 | % | (1.54 | )% | 0 | % | |||||||||||||||||||||
| $13.81 | 5.58 | % | $663,774 | 2.33 | % | 2.33 | % | 1.16 | % | (0.67 | )% | 116 | % | |||||||||||||||||||||
| $13.08 | 11.13 | % | $452,452 | 1.90 | % | 1.90 | % | 1.19 | % | (1.07 | )% | 247 | % | |||||||||||||||||||||
| $12.13 | 17.16 | % | $16,200 | 1.77 | % | 1.74 | % | 1.20 | % | (1.21 | )% | 303 | % | |||||||||||||||||||||
| $10.87 | 6.19 | % | $427 | 1.99 | % | 1.20 | % | 1.20 | % | (2.21 | )% | 0 | % | |||||||||||||||||||||
| $9.47 | (0.21 | )% | $2,205,108 | 2.28 | % | 2.28 | % | 1.98 | % | (0.80 | )% | 202 | % | |||||||||||||||||||||
| $9.50 | (0.20 | )% | $2,405,511 | 2.47 | % | 2.47 | % | 1.97 | % | (1.10 | )% | 261 | % | |||||||||||||||||||||
| $9.76 | 9.25 | % | $2,284,285 | 2.41 | % | 2.41 | % | 1.97 | % | (1.44 | )% | 208 | % | |||||||||||||||||||||
| $9.76 | 7.31 | % | $1,443,799 | 3.67 | % | 3.65 | % | 1.98 | % | (1.46 | )% | 204 | % | |||||||||||||||||||||
| $9.78 | 4.46 | % | $1,453,977 | 3.37 | % | 3.34 | % | 1.98 | % | (1.67 | )% | 137 | % | |||||||||||||||||||||
| $9.90 | 2.36 | % | $808,262 | 3.60 | % | 3.52 | % | 1.98 | % | (1.73 | )% | 208 | % | |||||||||||||||||||||
| $9.42 | (0.32 | )% | $441,965 | 2.54 | % | 2.54 | % | 2.23 | % | (1.07 | )% | 202 | % | |||||||||||||||||||||
| $9.45 | (0.51 | )% | $469,478 | 2.73 | % | 2.73 | % | 2.23 | % | (1.31 | )% | 261 | % | |||||||||||||||||||||
| $9.74 | 9.02 | % | $103,504 | 2.68 | % | 2.67 | % | 2.23 | % | (1.66 | )% | 208 | % | |||||||||||||||||||||
| $9.74 | 7.03 | % | $84,480 | 3.96 | % | 3.91 | % | 2.23 | % | (1.75 | )% | 204 | % | |||||||||||||||||||||
| $9.76 | 4.16 | % | $74,641 | 3.66 | % | 3.59 | % | 2.23 | % | (1.95 | )% | 137 | % | |||||||||||||||||||||
| $9.89 | 2.22 | % | $43,104 | 3.93 | % | 3.76 | % | 2.23 | % | (2.32 | )% | 208 | % | |||||||||||||||||||||
| $9.49 | (0.21 | )% | $619,281 | 2.18 | % | 2.18 | % | 1.87 | % | (0.71 | )% | 202 | % | |||||||||||||||||||||
| $9.51 | (0.10 | )% | $622,862 | 2.38 | % | 2.38 | % | 1.88 | % | (0.94 | )% | 261 | % | |||||||||||||||||||||
| $9.76 | 9.44 | % | $100,959 | 2.33 | % | 2.32 | % | 1.88 | % | (1.29 | )% | 208 | % | |||||||||||||||||||||
| $9.75 | 6.19 | % | $35,228 | 3.21 | % | 3.14 | % | 1.88 | % | (3.41 | )% | 204 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
267
Table of Contents
| Financial Highlights | June 30, 2017 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations1 |
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-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $6.25 | (0.01 | ) | (0.24 | ) | (0.25 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $5.62 | (0.04 | ) | 0.97 | 0.93 | (0.30 | ) | — | — | (0.30 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $6.98 | (0.05 | ) | (1.31 | ) | (1.36 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $8.29 | (0.08 | ) | (1.23 | ) | (1.31 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.87 | (0.09 | ) | (1.49 | ) | (1.58 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD 7/09/1210—12/31/12 | $10.00 | (0.05 | ) | (0.08 | ) | (0.13 | ) | — | — | — | — | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $6.18 | (0.02 | ) | (0.24 | ) | (0.26 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $5.57 | (0.06 | ) | 0.96 | 0.90 | (0.29 | ) | — | — | (0.29 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $6.94 | (0.08 | ) | (1.29 | ) | (1.37 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $8.27 | (0.11 | ) | (1.22 | ) | (1.33 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.86 | (0.11 | ) | (1.48 | ) | (1.59 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD 7/09/1210—12/31/12 | $10.00 | (0.06 | ) | (0.08 | ) | (0.14 | ) | — | — | — | — | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $6.26 | (0.01 | ) | (0.24 | ) | (0.25 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $5.63 | (0.04 | ) | 0.97 | 0.93 | (0.30 | ) | — | — | (0.30 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $6.99 | (0.05 | ) | (1.31 | ) | (1.36 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $8.60 | (0.02 | ) | (1.59 | ) | (1.61 | ) | — | — | — | — | |||||||||||||||||||||
| AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.34 | 0.01 | 0.52 | 0.53 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.09 | (0.02 | ) | 0.94 | 0.92 | (0.24 | ) | (0.43 | ) | — | (0.67 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | (0.07 | ) | (0.75 | ) | (0.82 | ) | — | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.77 | (0.04 | ) | 0.81 | 0.77 | (0.30 | ) | (1.10 | ) | — | (1.40 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.49 | (0.07 | ) | 0.08 | 11 | 0.01 | (0.27 | ) | (0.46 | ) | — | (0.73 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.62 | — | 1.49 | 1.49 | (0.14 | ) | (0.48 | ) | — | (0.62 | ) | |||||||||||||||||||||
| AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.32 | (0.00 | )8 | 0.52 | 0.52 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.08 | (0.04 | ) | 0.92 | 0.88 | (0.21 | ) | (0.43 | ) | — | (0.64 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | (0.10 | ) | (0.73 | ) | (0.83 | ) | — | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.76 | (0.07 | ) | 0.80 | 0.73 | (0.25 | ) | (1.10 | ) | — | (1.35 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $11.47 | (0.11 | ) | 0.08 | 11 | (0.03 | ) | (0.22 | ) | (0.46 | ) | — | (0.68 | ) | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $10.59 | (0.03 | ) | 1.50 | 1.47 | (0.11 | ) | (0.48 | ) | — | (0.59 | ) | ||||||||||||||||||||
| AQR RISK PARITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.34 | 0.02 | 0.52 | 0.54 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.10 | (0.04 | ) | 0.95 | 0.91 | (0.24 | ) | (0.43 | ) | — | (0.67 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.14 | (0.04 | ) | (0.77 | ) | (0.81 | ) | — | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $12.01 | (0.04 | ) | (0.43 | )11 | (0.47 | ) | (0.30 | ) | (1.10 | ) | — | (1.40 | ) | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
268
Table of Contents
| Financial Highlights | June 30, 2017 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
| Net Asset Value, End of Period |
Total Return2,3 |
Net Assets, End of Period (000’s) |
Expenses, Before Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 |
Net Investment Income (Loss) |
Portfolio Turnover Rate5 |
|||||||||||||||||||||||||||
| $6.00 | (4.00 | )% | $85,146 | 1.07 | % | 1.00 | % | 1.00 | % | (0.42 | )% | 0 | % | |||||||||||||||||||||
| $6.25 | 16.58 | % | $93,849 | 1.04 | % | 0.96 | % | 0.96 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||
| $5.62 | (19.48 | )% | $71,321 | 1.14 | % | 0.94 | % | 0.94 | % | (0.88 | )% | 0 | % | |||||||||||||||||||||
| $6.98 | (15.80 | )% | $46,443 | 1.34 | % | 1.01 | % | 1.01 | % | (1.00 | )% | 0 | % | |||||||||||||||||||||
| $8.29 | (16.01 | )% | $28,375 | 1.32 | % | 1.05 | % | 1.05 | % | (1.05 | )% | 0 | % | |||||||||||||||||||||
| $9.87 | (1.30 | )% | $63,331 | 1.72 | % | 1.05 | % | 1.05 | % | (1.04 | )% | 0 | % | |||||||||||||||||||||
| $5.92 | (4.21 | )% | $6,470 | 1.32 | % | 1.25 | % | 1.25 | % | (0.72 | )% | 0 | % | |||||||||||||||||||||
| $6.18 | 16.16 | % | $7,214 | 1.33 | % | 1.25 | % | 1.25 | % | (0.97 | )% | 0 | % | |||||||||||||||||||||
| $5.57 | (19.74 | )% | $2,083 | 1.48 | % | 1.25 | % | 1.25 | % | (1.21 | )% | 0 | % | |||||||||||||||||||||
| $6.94 | (16.08 | )% | $4,764 | 1.59 | % | 1.26 | % | 1.26 | % | (1.25 | )% | 0 | % | |||||||||||||||||||||
| $8.27 | (16.13 | )% | $3,861 | 1.70 | % | 1.30 | % | 1.30 | % | (1.28 | )% | 0 | % | |||||||||||||||||||||
| $9.86 | (1.40 | )% | $2,206 | 4.00 | % | 1.30 | % | 1.30 | % | (1.30 | )% | 0 | % | |||||||||||||||||||||
| $6.01 | (3.99 | )% | $112,950 | 0.97 | % | 0.90 | % | 0.90 | % | (0.36 | )% | 0 | % | |||||||||||||||||||||
| $6.26 | 16.61 | % | $102,156 | 0.98 | % | 0.90 | % | 0.90 | % | (0.63 | )% | 0 | % | |||||||||||||||||||||
| $5.63 | (19.46 | )% | $29,122 | 1.11 | % | 0.90 | % | 0.90 | % | (0.85 | )% | 0 | % | |||||||||||||||||||||
| $6.99 | (18.72 | )% | $15,482 | 1.31 | % | 0.90 | % | 0.90 | % | (0.89 | )% | 0 | % | |||||||||||||||||||||
| $9.87 | 5.67 | % | $382,108 | 0.96 | % | 0.94 | % | 0.94 | % | 0.26 | % | 22 | % | |||||||||||||||||||||
| $9.34 | 10.10 | % | $349,335 | 0.94 | % | 0.92 | % | 0.92 | % | (0.22 | )% | 72 | % | |||||||||||||||||||||
| $9.09 | (8.10 | )% | $492,977 | 0.94 | % | 0.93 | % | 0.93 | % | (0.71 | )% | 157 | % | |||||||||||||||||||||
| $10.14 | 7.04 | % | $583,927 | 0.90 | % | 0.90 | % | 0.90 | % | (0.34 | )% | 94 | % | |||||||||||||||||||||
| $10.77 | 0.12 | % | $855,024 | 0.89 | % | 0.89 | % | 0.88 | % | (0.64 | )% | 167 | % | |||||||||||||||||||||
| $11.49 | 14.05 | % | $868,661 | 0.95 | % | 0.95 | % | 0.95 | % | (0.03 | )% | 72 | % | |||||||||||||||||||||
| $9.84 | 5.58 | % | $18,680 | 1.22 | % | 1.20 | % | 1.20 | % | (0.04 | )% | 22 | % | |||||||||||||||||||||
| $9.32 | 9.66 | % | $17,027 | 1.21 | % | 1.19 | % | 1.19 | % | (0.46 | )% | 72 | % | |||||||||||||||||||||
| $9.08 | (8.20 | )% | $22,005 | 1.19 | % | 1.18 | % | 1.18 | % | (0.96 | )% | 157 | % | |||||||||||||||||||||
| $10.14 | 6.69 | % | $36,232 | 1.20 | % | 1.20 | % | 1.20 | % | (0.65 | )% | 94 | % | |||||||||||||||||||||
| $10.76 | (0.23 | )% | $79,026 | 1.20 | % | 1.20 | % | 1.20 | % | (0.92 | )% | 167 | % | |||||||||||||||||||||
| $11.47 | 13.89 | % | $170,953 | 1.23 | % | 1.20 | % | 1.20 | % | (0.26 | )% | 72 | % | |||||||||||||||||||||
| $9.88 | 5.78 | % | $36,747 | 0.88 | % | 0.85 | % | 0.85 | % | 0.33 | % | 22 | % | |||||||||||||||||||||
| $9.34 | 10.06 | % | $33,987 | 0.88 | % | 0.85 | % | 0.85 | % | (0.42 | )% | 72 | % | |||||||||||||||||||||
| $9.10 | (8.00 | )% | $2,796 | 0.86 | % | 0.85 | % | 0.85 | % | (0.37 | )% | 157 | % | |||||||||||||||||||||
| $10.14 | (3.96 | )% | $96 | 0.86 | % | 0.85 | % | 0.85 | % | (0.99 | )% | 94 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
269
Table of Contents
| Financial Highlights | June 30, 2017 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations1 |
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 II HV FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $8.42 | 0.01 | 0.25 | 0.26 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $7.79 | (0.02 | ) | 1.01 | 0.99 | (0.12 | ) | (0.24 | ) | — | (0.36 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.55 | (0.08 | ) | (1.19 | ) | (1.27 | ) | (0.03 | ) | (0.46 | ) | — | (0.49 | ) | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.87 | (0.03 | ) | 0.95 | 0.92 | (0.06 | ) | (1.18 | ) | — | (1.24 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.21 | (0.06 | ) | (0.23 | ) | (0.29 | ) | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||
| FOR THE PERIOD 11/05/1210—12/31/12 | $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, 2017 (Unaudited) | $8.43 | 0.00 | 8 | 0.25 | 0.25 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $7.80 | (0.04 | ) | 1.00 | 0.96 | (0.09 | ) | (0.24 | ) | — | (0.33 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.56 | (0.10 | ) | (1.20 | ) | (1.30 | ) | — | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.86 | (0.04 | ) | 0.93 | 0.89 | (0.01 | ) | (1.18 | ) | — | (1.19 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.23 | (0.09 | ) | (0.23 | ) | (0.32 | ) | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||
| FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | (0.01 | ) | 0.25 | 0.24 | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||||
| AQR RISK PARITY II HV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $8.41 | 0.02 | 0.25 | 0.27 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $7.78 | (0.00 | )8 | 0.99 | 0.99 | (0.12 | ) | (0.24 | ) | — | (0.36 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.55 | (0.03 | ) | (1.25 | ) | (1.28 | ) | (0.03 | ) | (0.46 | ) | — | (0.49 | ) | ||||||||||||||||||
| FOR THE PERIOD 9/02/147—12/31/14 | $11.37 | (0.05 | ) | (0.53 | )11 | (0.58 | ) | (0.06 | ) | (1.18 | ) | — | (1.24 | ) | ||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $8.98 | 0.01 | 0.19 | 0.20 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $8.51 | (0.02 | ) | 0.84 | 0.82 | (0.09 | ) | (0.26 | ) | — | (0.35 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.90 | (0.08 | ) | (0.79 | ) | (0.87 | ) | (0.02 | ) | (0.50 | ) | — | (0.52 | ) | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.02 | (0.04 | ) | 0.65 | 0.61 | (0.02 | ) | (0.71 | ) | — | (0.73 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.17 | (0.06 | ) | (0.08 | ) | (0.14 | ) | (0.01 | ) | (0.00 | )8 | — | (0.01 | ) | ||||||||||||||||||
| FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | — | 0.19 | 0.19 | (0.02 | ) | — | — | (0.02 | ) | ||||||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $8.95 | (0.00 | )8 | 0.19 | 0.19 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $8.49 | (0.04 | ) | 0.82 | 0.78 | (0.06 | ) | (0.26 | ) | — | (0.32 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.87 | (0.10 | ) | (0.78 | ) | (0.88 | ) | — | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $9.99 | (0.06 | ) | 0.65 | 0.59 | — | (0.71 | ) | — | (0.71 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $10.18 | (0.07 | ) | (0.11 | ) | (0.18 | ) | (0.01 | ) | (0.00 | )8 | — | (0.01 | ) | ||||||||||||||||||
| FOR THE PERIOD 11/05/1210—12/31/12 | $10.00 | — | 0.18 | 0.18 | — | — | — | — | ||||||||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $8.97 | 0.02 | 0.18 | 0.20 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $8.51 | (0.01 | ) | 0.83 | 0.82 | (0.10 | ) | (0.26 | ) | — | (0.36 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.89 | (0.07 | ) | (0.78 | ) | (0.85 | ) | (0.03 | ) | (0.50 | ) | — | (0.53 | ) | ||||||||||||||||||
| FOR THE PERIOD 9/02/147-12/31/14 | $11.00 | (0.04 | ) | (0.33 | )11 | (0.37 | ) | (0.03 | ) | (0.71 | ) | — | (0.74 | ) | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
| Net Asset Value, End of Period |
Total Return2,3 |
Net Assets, End of Period (000’s) |
Expenses, Before Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 |
Net Investment Income (Loss) |
Portfolio Turnover Rate5 |
|||||||||||||||||||||||||||
| $8.68 | 3.09 | % | $46,539 | 1.66 | % | 1.30 | % | 1.12 | % | 0.33 | % | 19 | % | |||||||||||||||||||||
| $8.42 | 12.77 | % | $46,127 | 1.61 | % | 1.23 | % | 1.11 | % | (0.26 | )% | 68 | % | |||||||||||||||||||||
| $7.79 | (13.33 | )% | $40,890 | 1.43 | % | 1.13 | % | 1.08 | % | (0.83 | )% | 184 | % | |||||||||||||||||||||
| $9.55 | 9.23 | % | $42,279 | 1.54 | % | 1.20 | % | 1.15 | % | (0.28 | )% | 108 | % | |||||||||||||||||||||
| $9.87 | (2.83 | )% | $17,577 | 1.85 | % | 1.23 | % | 1.15 | % | (0.62 | )% | 257 | % | |||||||||||||||||||||
| $10.21 | 2.44 | % | $16,254 | 2.26 | % | 1.28 | % | 1.15 | % | 0.53 | % | 0 | % | |||||||||||||||||||||
| $8.68 | 2.97 | % | $6,751 | 1.94 | % | 1.58 | % | 1.40 | % | 0.02 | % | 19 | % | |||||||||||||||||||||
| $8.43 | 12.47 | % | $6,583 | 1.89 | % | 1.52 | % | 1.39 | % | (0.51 | )% | 68 | % | |||||||||||||||||||||
| $7.80 | (13.64 | )% | $5,493 | 1.77 | % | 1.45 | % | 1.40 | % | (1.04 | )% | 184 | % | |||||||||||||||||||||
| $9.56 | 9.02 | % | $7,834 | 1.86 | % | 1.45 | % | 1.40 | % | (0.37 | )% | 108 | % | |||||||||||||||||||||
| $9.86 | (3.12 | )% | $8,652 | 2.22 | % | 1.48 | % | 1.40 | % | (0.84 | )% | 257 | % | |||||||||||||||||||||
| $10.23 | 2.38 | % | $5,805 | 3.44 | % | 1.53 | % | 1.40 | % | (0.62 | )% | 0 | % | |||||||||||||||||||||
| $8.68 | 3.21 | % | $2,964 | 1.59 | % | 1.23 | % | 1.05 | % | 0.40 | % | 19 | % | |||||||||||||||||||||
| $8.41 | 12.85 | % | $2,836 | 1.55 | % | 1.17 | % | 1.05 | % | (0.06 | )% | 68 | % | |||||||||||||||||||||
| $7.78 | (13.42 | )% | $2,413 | 1.43 | % | 1.11 | % | 1.05 | % | (0.36 | )% | 184 | % | |||||||||||||||||||||
| $9.55 | (5.10 | )% | $95 | 1.47 | % | 1.10 | % | 1.05 | % | (1.49 | )% | 108 | % | |||||||||||||||||||||
| $9.18 | 2.23 | % | $76,327 | 1.20 | % | 0.95 | % | 0.94 | % | 0.27 | % | 16 | % | |||||||||||||||||||||
| $8.98 | 9.66 | % | $78,873 | 1.15 | % | 0.94 | % | 0.94 | % | (0.24 | )% | 58 | % | |||||||||||||||||||||
| $8.51 | (8.77 | )% | $85,918 | 1.10 | % | 0.93 | % | 0.93 | % | (0.80 | )% | 159 | % | |||||||||||||||||||||
| $9.90 | 6.04 | % | $106,473 | 1.12 | % | 0.95 | % | 0.95 | % | (0.34 | )% | 128 | % | |||||||||||||||||||||
| $10.02 | (1.32 | )% | $37,848 | 1.18 | % | 0.95 | % | 0.95 | % | (0.61 | )% | 234 | % | |||||||||||||||||||||
| $10.17 | 1.87 | % | $29,993 | 2.07 | % | 0.95 | % | 0.95 | % | 0.18 | % | 0 | % | |||||||||||||||||||||
| $9.14 | 2.12 | % | $3,912 | 1.45 | % | 1.20 | % | 1.20 | % | (0.05 | )% | 16 | % | |||||||||||||||||||||
| $8.95 | 9.25 | % | $5,659 | 1.41 | % | 1.20 | % | 1.20 | % | (0.41 | )% | 58 | % | |||||||||||||||||||||
| $8.49 | (8.94 | )% | $4,242 | 1.38 | % | 1.20 | % | 1.20 | % | (0.99 | )% | 159 | % | |||||||||||||||||||||
| $9.87 | 5.87 | % | $7,795 | 1.44 | % | 1.20 | % | 1.20 | % | (0.54 | )% | 128 | % | |||||||||||||||||||||
| $9.99 | (1.71 | )% | $9,397 | 1.59 | % | 1.20 | % | 1.20 | % | (0.71 | )% | 234 | % | |||||||||||||||||||||
| $10.18 | 1.80 | % | $2,259 | 2.81 | % | 1.20 | % | 1.20 | % | (0.29 | )% | 0 | % | |||||||||||||||||||||
| $9.17 | 2.23 | % | $618 | 1.10 | % | 0.85 | % | 0.85 | % | 0.37 | % | 16 | % | |||||||||||||||||||||
| $8.97 | 9.64 | % | $608 | 1.07 | % | 0.85 | % | 0.85 | % | (0.06 | )% | 58 | % | |||||||||||||||||||||
| $8.51 | (8.59 | )% | $99 | 1.03 | % | 0.85 | % | 0.85 | % | (0.68 | )% | 159 | % | |||||||||||||||||||||
| $9.89 | (3.44 | )% | $97 | 1.03 | % | 0.85 | % | 0.85 | % | (1.13 | )% | 128 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations1 |
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 STYLE PREMIA ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.92 | (0.04 | ) | 0.17 | 0.13 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.14 | (0.12 | ) | 0.07 | (0.05 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.86 | (0.14 | ) | 1.01 | 0.87 | (0.56 | ) | (0.03 | ) | — | (0.59 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.18 | (0.10 | ) | 1.24 | 1.14 | (1.16 | ) | (0.30 | ) | — | (1.46 | ) | ||||||||||||||||||||
| FOR THE PERIOD 10/30/1310—12/31/13 | $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, 2017 (Unaudited) | $9.89 | (0.06 | ) | 0.18 | 0.12 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.14 | (0.15 | ) | 0.07 | (0.08 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.87 | (0.17 | ) | 1.02 | 0.85 | (0.55 | ) | (0.03 | ) | — | (0.58 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.18 | (0.16 | ) | 1.28 | 1.12 | (1.13 | ) | (0.30 | ) | — | (1.43 | ) | ||||||||||||||||||||
| FOR THE PERIOD 10/30/1310—12/31/13 | $10.00 | (0.04 | ) | 0.45 | 0.41 | (0.20 | ) | (0.03 | ) | — | (0.23 | ) | ||||||||||||||||||||
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.94 | (0.04 | ) | 0.18 | 0.14 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.15 | (0.11 | ) | 0.07 | (0.04 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $9.87 | (0.14 | ) | 1.02 | 0.88 | (0.57 | ) | (0.03 | ) | — | (0.60 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/02/147-12/31/14 | $10.35 | (0.07 | ) | 0.86 | 0.79 | (1.16 | ) | (0.11 | ) | — | (1.27 | ) | ||||||||||||||||||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $10.41 | (0.01 | ) | 0.11 | 0.10 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.39 | (0.06 | ) | 0.13 | 0.07 | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.18 | (0.08 | ) | 0.49 | 0.41 | (0.17 | ) | (0.03 | ) | — | (0.20 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.02 | ) | 0.32 | 0.30 | (0.09 | ) | (0.03 | ) | — | (0.12 | ) | ||||||||||||||||||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $10.37 | (0.03 | ) | 0.12 | 0.09 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.39 | (0.08 | ) | 0.11 | 0.03 | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.17 | (0.09 | ) | 0.48 | 0.39 | (0.14 | ) | (0.03 | ) | — | (0.17 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.03 | ) | 0.32 | 0.29 | (0.09 | ) | (0.03 | ) | — | (0.12 | ) | ||||||||||||||||||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $10.42 | (0.01 | ) | 0.12 | 0.11 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.40 | (0.05 | ) | 0.12 | 0.07 | (0.03 | ) | (0.02 | ) | — | (0.05 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.17 | (0.05 | ) | 0.48 | 0.43 | (0.17 | ) | (0.03 | ) | — | (0.20 | ) | ||||||||||||||||||||
| FOR THE PERIOD 9/17/1410—12/31/14 | $10.00 | (0.01 | ) | 0.31 | 0.30 | (0.10 | ) | (0.03 | ) | — | (0.13 | ) | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
| Net Asset Value, End of Period |
Total Return2,3 |
Net Assets, End of Period (000’s) |
Expenses, Before Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 |
Net Investment Income (Loss) |
Portfolio Turnover Rate5 |
|||||||||||||||||||||||||||
| $10.05 | 1.31 | % | $2,435,459 | 2.53 | % | 2.51 | % | 1.49 | % | (0.83 | )% | 42 | % | |||||||||||||||||||||
| $9.92 | (0.47 | )% | $2,263,101 | 2.26 | % | 2.24 | % | 1.49 | % | (1.20 | )% | 114 | % | |||||||||||||||||||||
| $10.14 | 8.76 | % | $1,341,232 | 2.29 | % | 2.25 | % | 1.48 | % | (1.39 | )% | 138 | % | |||||||||||||||||||||
| $9.86 | 11.30 | % | $387,666 | 2.56 | % | 2.56 | % | 1.50 | % | (0.95 | )% | 145 | % | |||||||||||||||||||||
| $10.18 | 4.08 | % | $403,243 | 2.11 | %9 | 2.07 | % | 1.50 | % | (1.77 | )% | 133 | % | |||||||||||||||||||||
| $10.01 | 1.21 | % | $174,206 | 2.79 | % | 2.77 | % | 1.75 | % | (1.14 | )% | 42 | % | |||||||||||||||||||||
| $9.89 | (0.76 | )% | $188,647 | 2.53 | % | 2.50 | % | 1.75 | % | (1.46 | )% | 114 | % | |||||||||||||||||||||
| $10.14 | 8.50 | % | $92,947 | 2.56 | % | 2.52 | % | 1.75 | % | (1.65 | )% | 138 | % | |||||||||||||||||||||
| $9.87 | 11.08 | % | $26,594 | 2.92 | % | 2.81 | % | 1.75 | % | (1.50 | )% | 145 | % | |||||||||||||||||||||
| $10.18 | 4.05 | % | $15,972 | 2.70 | %9 | 2.44 | % | 1.75 | % | (2.05 | )% | 133 | % | |||||||||||||||||||||
| $10.08 | 1.41 | % | $1,325,488 | 2.44 | % | 2.42 | % | 1.40 | % | (0.75 | )% | 42 | % | |||||||||||||||||||||
| $9.94 | (0.37 | )% | $1,349,866 | 2.18 | % | 2.15 | % | 1.40 | % | (1.08 | )% | 114 | % | |||||||||||||||||||||
| $10.15 | 8.80 | % | $394,568 | 2.21 | % | 2.17 | % | 1.40 | % | (1.37 | )% | 138 | % | |||||||||||||||||||||
| $9.87 | 7.67 | % | $74,872 | 2.57 | % | 2.46 | % | 1.40 | % | (1.94 | )% | 145 | % | |||||||||||||||||||||
| $10.51 | 0.96 | % | $289,447 | 1.43 | % | 1.41 | % | 0.85 | % | (0.21 | )% | 43 | % | |||||||||||||||||||||
| $10.41 | 0.65 | % | $251,496 | 1.22 | % | 1.19 | % | 0.83 | % | (0.54 | )% | 106 | % | |||||||||||||||||||||
| $10.39 | 4.02 | % | $152,172 | 1.46 | % | 1.11 | % | 0.79 | % | (0.80 | )% | 213 | % | |||||||||||||||||||||
| $10.18 | 3.07 | % | $28,094 | 1.49 | %9 | 1.01 | % | 0.85 | % | (0.68 | )% | 191 | % | |||||||||||||||||||||
| $10.46 | 0.87 | % | $34,182 | 1.68 | % | 1.66 | % | 1.10 | % | (0.54 | )% | 43 | % | |||||||||||||||||||||
| $10.37 | 0.26 | % | $42,514 | 1.48 | % | 1.45 | % | 1.10 | % | (0.78 | )% | 106 | % | |||||||||||||||||||||
| $10.39 | 3.85 | % | $13,444 | 1.90 | % | 1.41 | % | 1.09 | % | (0.91 | )% | 213 | % | |||||||||||||||||||||
| $10.17 | 2.94 | % | $8,577 | 1.92 | %9 | 1.32 | % | 1.10 | % | (0.91 | )% | 191 | % | |||||||||||||||||||||
| $10.53 | 1.06 | % | $98,738 | 1.33 | % | 1.31 | % | 0.75 | % | (0.14 | )% | 43 | % | |||||||||||||||||||||
| $10.42 | 0.65 | % | $90,570 | 1.14 | % | 1.11 | % | 0.75 | % | (0.45 | )% | 106 | % | |||||||||||||||||||||
| $10.40 | 4.23 | % | $22,176 | 1.57 | % | 1.08 | % | 0.75 | % | (0.50 | )% | 213 | % | |||||||||||||||||||||
| $10.17 | 2.98 | % | $23,695 | 1.75 | %9 | 1.00 | % | 0.75 | % | (0.32 | )% | 191 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
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| * | Annualized for periods less than one year. |
| 1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 2 | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 | 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. |
| 4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 5 | Portfolio turnover is not annualized. |
| 6 | For the period 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 Fund — Class I |
$0.08 | 0.73 | % | |||||
| AQR Diversified Arbitrage Fund — Class N |
0.04 | 0.42 | ||||||
| 7 | Commencement of offering of shares. |
| 8 | Amount is less than $.005 per share. |
| 9 | Certain expenses incurred by the Fund were not annualized for the period. |
| 10 | Commencement of operations. |
| 11 | 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. |
| The accompanying notes are an integral part of these financial statements. |
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1. Organization
AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2017, the Trust consists of thirty-seven active series, eleven of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.
The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV 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 HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.
The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and Financial Highlights of the AQR Global Macro Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.
Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The 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 Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
| INCEPTION DATE OF SUBSIDIARY |
SUBSIDIARY NET ASSETS AT JUNE 30, 2017 |
% OF TOTAL NET ASSETS AT JUNE 30, 2017 |
NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY |
|||||||||||||
| AQR Global Macro Offshore Fund Ltd |
April 8, 2014 | $ | 6,329,296 | 22.5 | % | $ | (292,391 | ) | ||||||||
| AQR Multi-Strategy Alternative Offshore Fund Ltd |
July 18, 2011 | 524,814,334 | 16.1 | % | (39,810,796 | ) | ||||||||||
| AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd |
July 9, 2012 | 49,168,329 | 24.0 | % | (4,382,890 | ) | ||||||||||
| AQR Risk Parity Offshore Fund Ltd |
September 29, 2010 | 90,444,813 | 20.7 | % | (7,291,244 | ) | ||||||||||
| AQR Risk Parity II HV Offshore Fund Ltd |
November 5, 2012 | 13,286,377 | 23.6 | % | (1,842,346 | ) | ||||||||||
| AQR Risk Parity II MV Offshore Fund Ltd |
November 5, 2012 | 12,817,071 | 15.9 | % | (1,670,238 | ) | ||||||||||
| AQR Style Premia Alternative Offshore Fund Ltd |
October 30, 2013 | 900,576,805 | 22.9 | % | (70,557,126 | ) | ||||||||||
| AQR Style Premia Alternative LV Offshore Fund Ltd |
September 17, 2014 | 98,573,368 | 23.3 | % | (3,284,005 | ) | ||||||||||
3. Significant Accounting Policies
The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and
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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 reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) 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 Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, 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.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations 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.
Investment Transactions and Related 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) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.
Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. 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. 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.
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, 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 taxable net investment income and capital gains, if applicable, to shareholders. Accordingly no provision for Federal income tax is necessary.
The Adviser 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
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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 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 not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2017, the Funds had no examinations in progress.
For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. 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. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.
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. Securities and Other Investments
Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments.
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.
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.
Inflation-Indexed Bonds: Certain Funds may invest in Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.
Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling
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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 one of the Funds 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 such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds 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 unfunded loan commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. 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.
As of June 30, 2017, AQR Diversified Arbitrage Fund’s unfunded commitment was as follows:
| BORROWER | COMMITMENT AMOUNT | |
| DEMC, Ltd., Class A-2 | $379,552 |
The fund has no unrealized gain or loss on the unfunded commitment.
Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.
Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security, a short sale. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker 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 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, which could be unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
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The net amount of fees or income incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
| FUND | FEES/(INCOME) | |||
| AQR Diversified Arbitrage Fund |
$ | 402,884 | ||
| AQR Equity Market Neutral Fund |
1,179,737 | |||
| AQR Long-Short Equity Fund |
2,594,209 | |||
| AQR Multi-Strategy Alternative Fund |
(487,526 | ) | ||
| AQR Style Premia Alternative Fund |
1,946,192 | |||
| AQR Style Premia Alternative LV Fund |
206,788 | |||
Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents 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 is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where 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 Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, 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 and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject 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 subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s 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. The Funds have 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,
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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 realized gains (losses) on positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds 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 Funds 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 Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) on swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. 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 on swap contracts in the Statements of Operations.
Implied credit spreads are used to determine the value of credit default 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 indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. 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.
Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific 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 Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their 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 be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
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 Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. 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. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.
Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an
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agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A 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. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.
The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $11,598,642 for AQR Risk Parity II HV Fund.
Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a 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 a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the period for the AQR Multi-Strategy Alternative Fund were as follows:
| CALL OPTIONS | ||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND | NUMBER OF CONTRACTS SUBJECT TO CALL |
PREMIUM | ||||||
| Options outstanding, December 31, 2016 |
(411 | ) | $ | (2,146,186 | ) | |||
| Options written |
— | — | ||||||
| Options terminated |
— | — | ||||||
| Options expired |
— | — | ||||||
| Options exercised |
60 | 313,312 | ||||||
| Options outstanding, June 30, 2017 | (351 | ) | $ | (1,832,874 | ) | |||
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. 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. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.
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 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 options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms 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 payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and
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cash deposited is recorded as Deposits with brokers for exchange-traded and centrally cleared derivatives on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. 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. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC 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 be material to the financial statements and impact a Fund’s future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place 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, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s 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 Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had an active market for the investments existed. These differences could be material.
Fair Value Hierarchy: Various inputs are utilized in determining the value of each Fund’s investments. GAAP establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad levels as follows:
Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
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Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. 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, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.
Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and 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 using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the of the fair value hierarchy.
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 may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for 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, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.
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 or, if no sales occurred on such date, at the bid price on such exchange at the close of business
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on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price 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 U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types. 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 typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. 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. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.
| AQR DIVERSIFIED ARBITRAGE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks |
$ | 117,700,951 | $ | 19,583,099 | $ | 6,669,496 | $ | 143,953,546 | ||||||||
| Convertible Preferred Stocks |
25,309,513 | 12,323,277 | — | 37,632,790 | ||||||||||||
| Corporate Bonds |
— | 11,643,031 | 2,552,982 | 14,196,013 | ||||||||||||
| Convertible Bonds |
— | 166,919,446 | 12,001 | 166,931,447 | ||||||||||||
| Closed End Funds |
1,920,221 | — | — | 1,920,221 | ||||||||||||
| Loan Participations |
— | 715,714 | — | 715,714 | ||||||||||||
| Preferred Stocks |
1,371,174 | — | 686,663 | 2,057,837 | ||||||||||||
| Rights |
1,365,052 | — | 1,279,661 | 2,644,713 | ||||||||||||
| Securities in Litigation |
— | — | 411,233 | 411,233 | ||||||||||||
| Warrants |
16,382,839 | 5,688,553 | 18,844 | 22,090,236 | ||||||||||||
| Short-Term Investments |
— | 234,247,025 | — | 234,247,025 | ||||||||||||
| Futures Contracts* |
249,550 | — | — | 249,550 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 256,116 | — | 256,116 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 8,909,527 | — | 8,909,527 | ||||||||||||
| Total Assets |
$ | 164,299,300 | $ | 460,285,788 | $ | 11,630,880 | $ | 636,215,968 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short) |
$ | (148,216,373 | ) | $ | — | $ | — | (a) | $ | (148,216,373 | ) | |||||
| Convertible Bonds(Sold Short) |
— | (6,178,188 | ) | — | (6,178,188 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (511,960 | ) | — | (511,960 | ) | ||||||||||
| Credit Default Swap Contracts* |
— | (1,243,065 | ) | — | (1,243,065 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (559,931 | ) | — | (559,931 | ) | ||||||||||
| Total Liabilities |
$ | (148,216,373 | ) | $ | (8,493,144 | ) | $ | — | (a) | $ | (156,709,517 | ) | ||||
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| AQR EQUITY MARKET NEUTRAL FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 54,294,955 | $ | 432,685,291 | $ | — | $ | 486,980,246 | ||||||||
| Rights |
— | 41,189 | — | 41,189 | ||||||||||||
| Short-Term Investments |
— | 1,249,272,958 | — | 1,249,272,958 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 241,394 | — | 241,394 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 12,387,201 | — | 12,387,201 | ||||||||||||
| Total Assets |
$ | 54,294,955 | $ | 1,694,628,033 | $ | — | $ | 1,748,922,988 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (54,423,718 | ) | $ | (356,343,920 | ) | $ | — | $ | (410,767,638 | ) | |||||
| Forward Foreign Currency Exchange Contracts* |
— | (1,423,256 | ) | — | (1,423,256 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (5,971,651 | ) | — | (5,971,651 | ) | ||||||||||
| Total Liabilities |
$ | (54,423,718 | ) | $ | (363,738,827 | ) | $ | — | $ | (418,162,545 | ) | |||||
| AQR GLOBAL MACRO FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Short-Term Investments |
$ | — | $ | 24,861,235 | $ | — | $ | 24,861,235 | ||||||||
| Futures Contracts* |
315,692 | — | — | 315,692 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 648,039 | — | 648,039 | ||||||||||||
| Total Return Swap Contracts* |
— | 35,112 | — | 35,112 | ||||||||||||
| Total Assets |
$ | 315,692 | $ | 25,544,386 | $ | — | $ | 25,860,078 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (302,697 | ) | $ | — | $ | — | $ | (302,697 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (526,977 | ) | — | (526,977 | ) | ||||||||||
| Interest Rate Swap Contracts* |
— | (1,452,320 | ) | — | (1,452,320 | ) | ||||||||||
| Total Return Swap Contracts* |
— | (34,711 | ) | — | (34,711 | ) | ||||||||||
| Total Liabilities |
$ | (302,697 | ) | $ | (2,014,008 | ) | $ | — | $ | (2,316,705 | ) | |||||
| AQR LONG-SHORT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 127,723,459 | $ | 1,072,208,684 | $ | — | $ | 1,199,932,143 | ||||||||
| Short-Term Investments |
— | 3,811,188,504 | — | 3,811,188,504 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 9,249,334 | — | 9,249,334 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 54,162,419 | — | 54,162,419 | ||||||||||||
| Total Return Swap Contracts* |
— | 326,841 | — | 326,841 | ||||||||||||
| Total Assets |
$ | 127,723,459 | $ | 4,947,135,782 | $ | — | $ | 5,074,859,241 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (128,438,604 | ) | $ | (903,848,538 | ) | $ | — | $ | (1,032,287,142 | ) | |||||
| Futures Contracts* |
(17,701,547 | ) | — | — | (17,701,547 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (3,976,755 | ) | — | (3,976,755 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (252,027 | ) | — | (252,027 | ) | ||||||||||
| Total Liabilities |
$ | (146,140,151 | ) | $ | (908,077,320 | ) | $ | — | $ | (1,054,217,471 | ) | |||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ |
96,280,132 |
|
$ |
— |
|
$ |
— |
|
$ |
96,280,132 |
| ||||
| Convertible Preferred Stocks† |
|
285,958,798 |
|
|
82,302,016 |
|
|
— |
|
|
368,260,814 |
| ||||
| Corporate Bond† |
|
— |
|
|
— |
|
|
— |
(a) |
|
— |
(a) | ||||
| Convertible Bonds† |
|
— |
|
|
583,068,197 |
|
|
4,326,000 |
|
|
587,394,197 |
| ||||
| Short-Term Investments |
|
— |
|
|
2,604,536,975 |
|
|
— |
|
|
2,604,536,975 |
| ||||
| Futures Contracts* |
7,961,014 | |
— |
|
|
— |
|
|
7,961,014 |
| ||||||
| Forward Foreign Currency Exchange Contracts* |
|
— |
|
|
49,790,423 |
|
|
— |
|
|
49,790,423 |
| ||||
| Credit Default Swap Contracts* |
|
— |
|
|
30,938,423 |
|
|
— |
|
|
30,938,423 |
| ||||
| Total Return Basket Swaps Contracts* |
— | 58,266,916 | — | |
58,266,916 |
| ||||||||||
| Total Return Swaps Contracts* |
— | 5,339,956 | — | 5,339,956 | ||||||||||||
| Total Assets |
$ | 390,199,944 | $ | 3,414,242,906 | $ | 4,326,000 | $ | 3,808,768,850 | ||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| LIABILITIES |
| |||||||||||||||
| Common Stocks (Sold Short)† |
$ | (723,294,852 | ) | $ | — | $ | — | $ | (723,294,852 | ) | ||||||
| Convertible Bonds(Sold Short)† |
— | (18,559,375 | ) | — | (18,559,375 | ) | ||||||||||
| Written Options (Sold Short) |
(8,239,725 | ) | — | — | (8,239,725 | ) | ||||||||||
| Futures Contracts* |
(22,213,417 | ) | — | — | (22,213,417 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (38,263,135 | ) | — | (38,263,135 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (12,190,175 | ) | — | (12,190,175 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (7,823,541 | ) | — | (7,823,541 | ) | ||||||||||
| Total Liabilities |
$ | (753,747,994 | ) | $ | (76,836,226 | ) | $ | — | $ | (830,584,220 | ) | |||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Short-Term Investments |
$ | — | $ | 179,449,053 | $ | — | $ | 179,449,053 | ||||||||
| Futures Contracts* |
221,963 | — | — | 221,963 | ||||||||||||
| Total Return Swap Contracts* |
— | 467,569 | — | 467,569 | ||||||||||||
| Total Assets |
$ | 221,963 | $ | 179,916,622 | $ | — | $ | 180,138,585 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (2,756,598 | ) | $ | — | $ | — | $ | (2,756,598 | ) | ||||||
| Total Return Swap Contracts* |
— | (3,682,890 | ) | — | (3,682,890 | ) | ||||||||||
| Total Liabilities |
$ | (2,756,598 | ) | $ | (3,682,890 | ) | $ | — | $ | (6,439,488 | ) | |||||
| AQR RISK PARITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Foreign Government Securities |
$ | — | $ | 60,887,069 | $ | — | $ | 60,887,069 | ||||||||
| U.S. Treasury Obligations |
— | 83,219,278 | — | 83,219,278 | ||||||||||||
| Short-Term Investments |
— | 262,865,982 | — | 262,865,982 | ||||||||||||
| Futures Contracts* |
74,840 | — | — | 74,840 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 1,369,464 | — | 1,369,464 | ||||||||||||
| Interest Rate Swap Contracts* |
— | 3,566,784 | — | 3,566,784 | ||||||||||||
| Credit Default Swap Contracts* |
— | 16,890,574 | — | 16,890,574 | ||||||||||||
| Total Return Swap Contracts* |
— | 746,911 | — | 746,911 | ||||||||||||
| Total Assets |
$ | 74,840 | $ | 429,546,062 | $ | — | $ | 429,620,902 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (4,219,434 | ) | $ | — | $ | — | $ | (4,219,434 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (2,642,704 | ) | — | (2,642,704 | ) | ||||||||||
| Interest Rate Swap Contracts* |
— | (63,045 | ) | — | (63,045 | ) | ||||||||||
| Total Return Swap Contracts* |
— | (879,793 | ) | — | (879,793 | ) | ||||||||||
| Total Liabilities |
$ | (4,219,434 | ) | $ | (3,585,542 | ) | $ | — | $ | (7,804,976 | ) | |||||
| AQR RISK PARITY II HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Foreign Government Securities |
$ | — | $ | 13,172,114 | $ | — | $ | 13,172,114 | ||||||||
| U.S. Treasury Obligations |
— | 17,320,052 | — | 17,320,052 | ||||||||||||
| Short-Term Investments |
— | 32,901,870 | — | 32,901,870 | ||||||||||||
| Futures Contracts* |
18,468 | — | — | 18,468 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 27,335 | — | 27,335 | ||||||||||||
| Total Return Swap Contracts* |
— | 179,681 | — | 179,681 | ||||||||||||
| Total Assets |
$ | 18,468 | $ | 63,601,052 | $ | — | $ | 63,619,520 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Reverse Repurchase Agreements (Sold Short) |
$ | — | $ | (11,552,700 | ) | $ | — | $ | (11,552,700 | ) | ||||||
| Futures Contracts* |
(1,058,417 | ) | — | — | (1,058,417 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (193,239 | ) | — | (193,239 | ) | ||||||||||
| Total Return Swap Contracts* |
— | (209,442 | ) | — | (209,442 | ) | ||||||||||
| Total Liabilities |
$ | (1,058,417 | ) | $ | (11,955,381 | ) | $ | — | $ | (13,013,798 | ) | |||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II MV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Foreign Government Securities |
$ | — | $ | 11,908,095 | $ | — | $ | 11,908,095 | ||||||||
| U.S. Treasury Obligations |
— | 16,402,710 | — | 16,402,710 | ||||||||||||
| Short-Term Investments |
— | 49,010,287 | — | 49,010,287 | ||||||||||||
| Futures Contracts* |
17,502 | — | — | 17,502 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 35,788 | — | 35,788 | ||||||||||||
| Total Return Swap Contracts* |
— | 180,851 | — | 180,851 | ||||||||||||
| Total Assets |
$ | 17,502 | $ | 77,537,731 | $ | — | $ | 77,555,233 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (999,846 | ) | $ | — | $ | — | $ | (999,846 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (179,465 | ) | — | (179,465 | ) | ||||||||||
| Total Return Swap Contracts* |
— | (219,875 | ) | — | (219,875 | ) | ||||||||||
| Total Liabilities |
$ | (999,846 | ) | $ | (399,340 | ) | $ | — | $ | (1,399,186 | ) | |||||
| AQR STYLE PREMIA ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | — | $ | 1,363,930,339 | $ | — | $ | 1,363,930,339 | ||||||||
| Short-Term Investments |
— | 3,387,336,369 | — | 3,387,336,369 | ||||||||||||
| Futures Contracts* |
13,695,553 | — | — | 13,695,553 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 69,459,459 | — | 69,459,459 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 19,468,011 | — | 19,468,011 | ||||||||||||
| Total Return Swaps Contracts* |
— | 9,750,636 | — | 9,750,636 | ||||||||||||
| Total Assets |
$ | 13,695,553 | $ | 4,849,944,814 | $ | — | $ | 4,863,640,367 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Common Stocks (Sold Short)† |
$ | — | (1,097,268,960 | ) | $ | (3 | ) | $ | (1,097,268,963 | ) | ||||||
| Futures Contracts* |
(5,343,934 | ) | — | — | (5,343,934 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (41,403,081 | ) | — | (41,403,081 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (4,663,069 | ) | — | (4,663,069 | ) | ||||||||||
| Total Liabilities |
$ | (5,343,934 | ) | $ | (1,143,335,110 | ) | $ | (3 | ) | $ | (1,148,679,047 | ) | ||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | — | $ | 77,078,280 | $ | 17,805 | $ | 77,096,085 | ||||||||
| Short-Term Investments |
— | 390,535,769 | — | 390,535,769 | ||||||||||||
| Futures Contracts* |
1,056,290 | — | — | 1,056,290 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 3,553,228 | — | 3,553,228 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 1,250,672 | — | 1,250,672 | ||||||||||||
| Total Return Swaps Contracts* |
— | 501,688 | — | 501,688 | ||||||||||||
| Total Assets |
$ | 1,056,290 | $ | 472,919,637 | $ | 17,805 | $ | 473,993,732 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Common Stocks (Sold Short)† |
$ | — | $ | (62,107,026 | ) | $ | — | $ | (62,107,026 | ) | ||||||
| Futures Contracts* |
(426,084 | ) | — | — | (426,084 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (2,073,866 | ) | — | (2,073,866 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (245,268 | ) | — | (245,268 | ) | ||||||||||
| Total Liabilities |
$ | (426,084 | ) | $ | (64,426,160 | ) | $ | — | $ | (64,852,244 | ) | |||||
| * | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
| † | Please refer to the Schedule of Investments to view securities segregated by country. |
| (a) | Security has zero value. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. 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. During the period ended June 30, 2017, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $1,934,217 and $5,483,997 and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $3,122,894 and $9,956,860 respectively. There were no transfers of investments between levels for any of the remaining Funds.
There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.
The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:
| AQR DIVERSIFIED ARBITRAGE FUND | COMMON STOCK |
LOAN PARTICIPATIONS/ CORPORATE |
CONVERTIBLE BOND |
PREFERRED STOCK |
RIGHTS | WARRANT | SECURITIES IN LITIGATION |
SHORT COMMON STOCKS |
TOTAL RETURN BASKET |
|||||||||||||||||||||||||||
| Balance as of December 31, 2016 |
$ | 6,494,137 | $ | 3,219,344 | $ | 782,139 | $ | 692,778 | $ | 567,662 | $ | 17,778 | $ | 452,769 | $ | (402 | ) | $ | 432,995 | |||||||||||||||||
| Accrued discounts/(premiums) |
— | 50,515 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
| Realized gain/(loss) |
(52,482 | ) | (60,025 | ) | (2,275,000 | ) | — | 54,513 | (1 | ) | — | — | — | |||||||||||||||||||||||
| Change in unrealized |
264,033 | 788,504 | 2,232,977 | (6,115 | ) | 711,999 | (88,682 | ) | (105,712 | ) | 402 | — | ||||||||||||||||||||||||
| Purchases1 |
9,263 | 439,156 | — | — | — | — | 64,176 | — | — | |||||||||||||||||||||||||||
| Sales2 |
(45,455 | ) | (1,884,574 | ) | — | — | (54,513 | ) | — | — | — | — | ||||||||||||||||||||||||
| Transfers in to Level 3 |
— | 62 | 52,000 | — | — | 94,375 | — | — | — | |||||||||||||||||||||||||||
| Transfers out of Level 3 |
— | — | (780,115 | ) | — | — | (4,626 | ) | — | — | (432,995 | ) | ||||||||||||||||||||||||
| Balance as of June 30, 2017 |
$ | 6,669,496 | $ | 2,552,982 | $ | 12,001 | $ | 686,663 | $ | 1,279,661 | $ | 18,844 | $ | 411,233 | $ | — | (a) | $ | — | |||||||||||||||||
| Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2017 |
$ | 195,741 | $ | (254,838 | ) | $ | (42,000 | ) | $ | (6,115 | ) | $ | 712,001 | $ | (87,223 | ) | $ | (105,712 | ) | $ | 402 | $ | — | |||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND | CORPORATE BOND |
CONVERTIBLE BOND |
TOTAL RETURN BASKET SWAP |
|||||||||
| Balance as of December 31, 2016 |
$ | — | (a) | $ | 8,192,575 | $ | (71,858 | ) | ||||
| Accrued discounts/(premiums) |
— | (100 | ) | — | ||||||||
| Realized gain/(loss) |
— | (224,269 | ) | — | ||||||||
| Change in unrealized |
— | 235,024 | 71,858 | |||||||||
| Purchases1 |
— | 4,500,500 | — | |||||||||
| Sales2 |
— | (11,289,589 | ) | — | (a) | |||||||
| Transfers in to Level 3 |
— | 4,465,047 | — | |||||||||
| Transfers out of Level 3 |
— | (1,553,188 | ) | — | ||||||||
| Balance as of June 30, 2017 |
$ | — | (a) | $ | 4,326,000 | $ | — | |||||
| Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2017 |
$ | — | $ | (139,047 | ) | $ | — | |||||
| 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| 2 | Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action. |
| (a) | Security has zero value. |
The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility.
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
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 discounts, theoretical values, 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.
At June 30, 2017, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the period ended June 30, 2017 for the AQR Diversified Arbitrage Fund:
Quantitative Information about Level 3 Fair Value Measurements*
| INVESTMENT TYPE | TOTAL FAIR VALUE |
VALUATION METHODOLOGY |
UNOBSERVABLE INPUT(S) |
INPUT VALUE/RANGE |
WEIGHTED AVERAGE | |||||||
| Common Stocks | $1,769,523 | Enterprise Value Waterfall Analysis | Discount for Lack of Marketability** | 21.6%—49.5% | 29% | |||||||
| Revenue Multiple | 0.45x to 1.2x | N/A | ||||||||||
| Selected Point in Range | Midpoint | N/A | ||||||||||
| Term | 2 years | N/A | ||||||||||
| Volatility | 53.9%—98.8% | 57% | ||||||||||
| $1,473,891 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 2.0% — 25.2% | 25% | ||||||||
| Equity Cost of Capital | 6.5% — 40.0% | 40% | ||||||||||
| Legal Fees (% of Net Settlement) | 9.0% | N/A | ||||||||||
| Scenario Probability | 33.3% | N/A | ||||||||||
| Term | 0.3 to 1.5 years | N/A | ||||||||||
| Volatility | 10.5%—55.0% | 55% | ||||||||||
| $40,874 | Public Price Adjusted for Lack of Marketability | Discount for Lack of Marketability** | 28.5% | N/A | ||||||||
| Term | 2 years | N/A | ||||||||||
| Volatility | 55.0% | N/A | ||||||||||
| Rights | $296,940 | Options Pricing Model | Discount for Lack of Marketability** | 21.0% | N/A | |||||||
| Term | 0.5 years | N/A | ||||||||||
| Volatility | 116.8% | N/A | ||||||||||
| $432,536 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 13.7%—38.9% | 25% | ||||||||
| Equity Cost of Capital | 20.0% | 20% | ||||||||||
| Scenario Probability | 15.0%—90.0% | N/A | ||||||||||
| Term | 0.5 to 3.2 years | N/A | ||||||||||
| Volatility | 32.1%—94.2% | 55% | ||||||||||
| Weighted Average Cost of Capital | 42.0% | N/A | ||||||||||
| Preferred Stocks | $686,662 | Enterprise Value Waterfall Analysis | Equity Cost of Capital | 16.2% | N/A | |||||||
| Securities in Litigation | $410,719 | Liquidation Analysis | Discount for Lack of Marketability** | 30.0% | N/A | |||||||
| Discount Rate | 6.0% | N/A | ||||||||||
| Recovery Probability | 50.0% | N/A | ||||||||||
| Term | 3.3 years | N/A | ||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| * | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2017, the value of these securities was $6,519,735. 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. |
6. Federal Income Tax Matters
At June 30, 2017, 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 |
$ | 657,435,651 | $ | 54,478,452 | $ | (85,113,328 | ) | $ | (30,634,876 | ) | ||||||
| AQR Equity Market Neutral Fund |
1,665,415,183 | 72,722,012 | (1,842,802 | ) | 70,879,210 | |||||||||||
| AQR Global Macro Fund |
24,987,210 | — | (125,975 | ) | (125,975 | ) | ||||||||||
| AQR Long-Short Equity Fund |
4,875,352,164 | 141,044,460 | (5,275,977 | ) | 135,768,483 | |||||||||||
| AQR Multi-Strategy Alternative Fund |
3,709,929,114 | — | (53,456,996 | ) | (53,456,996 | ) | ||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
179,459,772 | 801 | (11,520 | ) | (10,719 | ) | ||||||||||
| AQR Risk Parity Fund |
407,309,289 | 1,132,003 | (1,468,963 | ) | (336,960 | ) | ||||||||||
| AQR Risk Parity II HV Fund |
63,359,241 | 223,633 | (188,838 | ) | 34,795 | |||||||||||
| AQR Risk Parity II MV Fund |
77,403,515 | 240,910 | (323,333 | ) | (82,423 | ) | ||||||||||
| AQR Style Premia Alternative Fund |
4,504,677,424 | 252,669,754 | (6,080,470 | ) | 246,589,284 | |||||||||||
| AQR Style Premia Alternative LV Fund |
453,664,907 | 14,431,700 | (464,753 | ) | 13,966,947 | |||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
As of December 31, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:
| FUND | SHORT-TERM | LONG-TERM | ||||||
| AQR Diversified Arbitrage Fund |
$ | 66,145,385 | $ | 185,492,148 | ||||
| AQR Equity Market Neutral Fund |
6,350,924 | — | ||||||
| AQR Risk-Balanced Commodities Strategy Fund |
12,630 | — | ||||||
| AQR Style Premia Alternative Fund |
284,749 | — | ||||||
7. Investment Transactions
During the period ended June 30, 2017, 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 |
$ | 386,558,973 | $ | 485,779,050 | $ | 61,365,289 | $ | 115,218,440 | ||||||||
| AQR Equity Market Neutral Fund |
230,859,511 | 155,505,209 | 257,891,246 | 200,278,366 | ||||||||||||
| AQR Long-Short Equity Fund |
679,536,346 | 329,921,716 | 727,615,866 | 453,361,185 | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
1,183,630,085 | 1,640,865,485 | 919,585,210 | 1,149,598,164 | ||||||||||||
| AQR Risk Parity Fund |
33,622,847 | 40,913,583 | — | — | ||||||||||||
| AQR Risk Parity II HV Fund |
6,288,495 | 8,198,244 | — | — | ||||||||||||
| AQR Risk Parity II MV Fund |
4,868,547 | 7,607,581 | — | — | ||||||||||||
| AQR Style Premia Alternative Fund |
248,671,005 | 363,728,928 | 265,311,525 | 346,861,014 | ||||||||||||
| AQR Style Premia Alternative LV Fund |
12,135,389 | 18,313,744 | 15,950,272 | 20,997,789 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
During the period ended June 30, 2017, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
| FUND | PURCHASES | SALES | SECURITIES SOLD SHORT |
COVERS ON SECURITIES SOLD SHORT |
||||||||||||
| AQR Diversified Arbitrage Fund |
$ | — | $ | — | $ | 1,961,286 | $ | 1,952,552 | ||||||||
| AQR Risk Parity Fund |
12,067,580 | 14,007,462 | — | — | ||||||||||||
| AQR Risk Parity II HV Fund |
2,053,974 | 3,043,129 | — | — | ||||||||||||
| AQR Risk Parity II MV Fund |
1,338,740 | 2,637,340 | — | — | ||||||||||||
8. Derivative Instruments and Activities
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at June 30, 2017.
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* |
SWAPS AT VALUE* |
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* |
SWAPS AT VALUE* |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS AT MARKET VALUE |
|||||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
$ | 179,444 | $ | 8,285,883 | $ | — | $ | — | $ | 882,664 | $ | — | $ | — | ||||||||||||||
| AQR Equity Market Neutral Fund |
— | 12,387,201 | — | — | 5,971,651 | — | — | |||||||||||||||||||||
| AQR Global Macro Fund |
158,485 | 33,737 | — | 406,723 | 26,608 | — | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
1,232,960 | 54,489,260 | — | 18,934,507 | 252,027 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
6,039,850 | 62,336,769 | — | 24,601,641 | 14,118,856 | — | 8,239,725 | |||||||||||||||||||||
| AQR Risk Parity Fund |
119,380 | 164,768 | — | 1,991,710 | 207,151 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
32,081 | 24,581 | — | 390,513 | 39,741 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
22,703 | 31,423 | — | 368,642 | 39,388 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
25,918,553 | 22,069,005 | — | 26,640,738 | 3,853,724 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
1,402,290 | 1,391,605 | — | 1,379,218 | 208,290 | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 256,116 | — | — | 511,960 | — | |||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | — | 241,394 | — | — | 1,423,256 | — | |||||||||||||||||||||
| AQR Global Macro Fund |
— | — | 648,039 | — | — | 526,977 | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
— | — | 9,249,334 | — | — | 3,976,755 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | 49,790,423 | — | — | 38,263,135 | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | 1,369,464 | — | — | 2,642,704 | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | 27,335 | — | — | 193,239 | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | 35,788 | — | — | 179,465 | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
— | — | 69,459,459 | — | — | 41,403,081 | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
— | — | 3,553,228 | — | — | 2,073,866 | — | |||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
70,106 | 946,377 | — | — | — | — | — | |||||||||||||||||||||
| AQR Global Macro Fund |
358,290 | 643,027 | — | 78,537 | 2,095,347 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
16,417,516 | — | — | 8,651,068 | 1,559,000 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | 3,640,349 | — | 1,557,310 | 136,610 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | — | 473,402 | — | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | — | 458,661 | — | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
19,402,752 | — | — | 21,324,402 | — | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
1,060,766 | — | — | 1,179,899 | — | — | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* |
SWAPS AT VALUE* |
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* |
SWAPS AT VALUE* |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS AT MARKET VALUE |
|||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
$ | — | $ | — | $ | — | $ | — | $ | 1,243,065 | $ | — | $ | — | ||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 38,000,720 | — | — | 7,062,297 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | 17,608,361 | — | — | 717,787 | — | — | |||||||||||||||||||||
| Commodity Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Global Macro Fund |
44,146 | 1,375 | — | 62,666 | 8,103 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
5,226,470 | 2,829,103 | — | 8,683,530 | 5,894,860 | — | — | |||||||||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
5,362,058 | 467,569 | — | 7,896,693 | 3,682,890 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
931,256 | 582,143 | — | 1,646,210 | 672,642 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
249,518 | 155,100 | — | 457,633 | 169,701 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
227,092 | 149,428 | — | 404,836 | 180,487 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
13,247,755 | 7,149,642 | — | 2,252,301 | 809,345 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
1,281,508 | 360,755 | — | 555,241 | 36,978 | — | — | |||||||||||||||||||||
| Netting: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | (2,125,729 | ) | (256,116 | ) | — | (2,125,729 | ) | (256,116 | ) | — | |||||||||||||||||
| AQR Equity Market Neutral Fund |
— | (5,971,651 | ) | (241,394 | ) | — | (5,971,651 | ) | (241,394 | ) | — | |||||||||||||||||
| AQR Global Macro Fund |
(547,926 | ) | (678,139 | ) | (526,977 | ) | (547,926 | ) | (678,139 | ) | (526,977 | ) | — | |||||||||||||||
| AQR Long-Short Equity Fund |
(1,232,960 | ) | (252,027 | ) | (3,976,755 | ) | (1,232,960 | ) | (252,027 | ) | (3,976,755 | ) | — | |||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(27,683,836 | ) | (28,635,013 | ) | (38,263,135 | ) | (27,683,836 | ) | (28,635,013 | ) | (38,263,135 | ) | — | |||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
(5,362,058 | ) | (467,569 | ) | — | (5,362,058 | ) | (467,569 | ) | — | — | |||||||||||||||||
| AQR Risk Parity Fund |
(1,050,636 | ) | (1,734,190 | ) | (1,369,464 | ) | (1,050,636 | ) | (1,734,190 | ) | (1,369,464 | ) | — | |||||||||||||||
| AQR Risk Parity II HV Fund |
(281,599 | ) | (179,681 | ) | (27,335 | ) | (281,599 | ) | (179,681 | ) | (27,335 | ) | — | |||||||||||||||
| AQR Risk Parity II MV Fund |
(249,795 | ) | (180,851 | ) | (35,788 | ) | (249,795 | ) | (180,851 | ) | (35,788 | ) | — | |||||||||||||||
| AQR Style Premia Alternative Fund |
(50,217,441 | ) | (4,663,069 | ) | (41,403,081 | ) | (50,217,441 | ) | (4,663,069 | ) | (41,403,081 | ) | — | |||||||||||||||
| AQR Style Premia Alternative LV Fund |
(3,114,358 | ) | (245,268 | ) | (2,073,866 | ) | (3,114,358 | ) | (245,268 | ) | (2,073,866 | ) | — | |||||||||||||||
| Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
249,550 | 7,106,531 | — | — | — | 255,844 | — | |||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | 6,415,550 | — | — | — | 1,181,862 | — | |||||||||||||||||||||
| AQR Global Macro Fund |
12,995 | — | 121,062 | — | 1,451,919 | — | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
— | 54,237,233 | 5,272,579 | 17,701,547 | — | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 74,531,579 | 11,527,288 | 14,252,403 | — | — | 8,239,725 | |||||||||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
— | — | — | 2,534,635 | 3,215,321 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | 20,261,431 | — | 4,144,594 | — | 1,273,240 | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | — | 1,039,949 | 29,761 | 165,904 | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | — | 982,344 | 39,024 | 143,677 | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
8,351,619 | 24,555,578 | 28,056,378 | — | — | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
630,206 | 1,507,092 | 1,479,362 | — | — | — | — | |||||||||||||||||||||
| * | May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
292
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended June 30, 2017:
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
|||||||||||||||||||||||||||||||
| FUND | FUTURES CONTRACTS |
SWAPS CONTRACTS |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
FUTURES CONTRACTS |
SWAPS CONTRACTS |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
||||||||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
$ | (2,707,042 | ) | $ | 4,041,008 | $ | — | $ | 51,447 | $ | (71,380 | ) | $ | 2,441,819 | $ | — | $ | — | ||||||||||||||
| AQR Equity Market Neutral Fund |
313,840 | 71,753,064 | — | — | — | (65,099,691 | ) | — | — | |||||||||||||||||||||||
| AQR Global Macro Fund |
(147,206 | ) | 36,341 | — | — | (437,380 | ) | (10,592 | ) | — | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
127,881,513 | 69,558,060 | — | — | (20,675,059 | ) | (47,033,555 | ) | — | — | ||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
36,507,716 | 228,743,845 | — | 313,312 | (31,513,461 | ) | (146,553,373 | ) | — | (4,773,892 | ) | |||||||||||||||||||||
| AQR Risk Parity Fund |
13,856,572 | 4,387,306 | — | — | (2,308,030 | ) | (500,805 | ) | — | — | ||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
3,242,136 | 984,167 | — | — | (472,654 | ) | (131,275 | ) | — | — | ||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
3,151,533 | 1,010,956 | — | — | (456,635 | ) | (137,811 | ) | — | — | ||||||||||||||||||||||
| AQR Style Premia Alternative Fund |
2,527,428 | 255,344,070 | — | — | (9,712,849 | ) | (143,994,816 | ) | — | — | ||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
(917,793 | ) | 14,648,170 | — | — | (419,216 | ) | (7,882,295 | ) | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 203,958 | — | — | — | (452,246 | ) | — | |||||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | — | (1,642,508 | ) | — | — | — | (1,860,419 | ) | — | ||||||||||||||||||||||
| AQR Global Macro Fund |
— | — | (262,683 | ) | — | — | — | 150,078 | — | |||||||||||||||||||||||
| AQR Long-Short Equity Fund |
— | — | 17,367,994 | — | — | — | 11,167,947 | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | (41,477,208 | ) | — | — | — | 18,022,459 | — | |||||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | 3,041,475 | — | — | — | (2,994,645 | ) | — | |||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | (564,285 | ) | — | — | — | (364,681 | ) | — | ||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | (519,847 | ) | — | — | — | (333,184 | ) | — | ||||||||||||||||||||||
| AQR Style Premia Alternative Fund |
— | — | (51,272,039 | ) | — | — | — | 27,922,906 | — | |||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
— | — | (2,594,175 | ) | — | — | — | 1,470,664 | — | |||||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(238,756 | ) | 1,685,925 | — | — | (24,736 | ) | 101,845 | — | — | ||||||||||||||||||||||
| AQR Global Macro Fund |
(668,431 | ) | 983,709 | — | — | 450,507 | (948,898 | ) | — | — | ||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(51,526,735 | ) | 10,090,689 | — | — | 6,761,914 | (3,489,451 | ) | — | — | ||||||||||||||||||||||
| AQR Risk Parity Fund |
2,724,702 | (3,820,760 | ) | — | — | (1,494,423 | ) | 6,704,449 | — | — | ||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
920,271 | — | — | — | (475,962 | ) | — | — | — | |||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
929,285 | — | — | — | (443,492 | ) | — | — | — | |||||||||||||||||||||||
| AQR Style Premia Alternative Fund |
(7,790,282 | ) | — | — | — | (7,591,528 | ) | — | — | — | ||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
(427,424 | ) | — | — | — | (381,360 | ) | — | — | — | ||||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | (1,021,213 | ) | — | — | — | 418,762 | — | — | |||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 11,898,627 | — | — | — | (277,260 | ) | — | — | |||||||||||||||||||||||
| AQR Risk Parity Fund |
— | 7,859,006 | — | — | — | 1,510,594 | — | — | ||||||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
293
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
|||||||||||||||||||||||||||||||
| FUND | FUTURES CONTRACTS |
SWAPS CONTRACTS |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
FUTURES CONTRACTS |
SWAPS CONTRACTS |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
||||||||||||||||||||||||
| Commodity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Global Macro Fund |
$ | (285,199 | ) | $ | (6,683 | ) | $ | — | $ | — | $ | (16,328 | ) | $ | (10,770 | ) | $ | — | $ | — | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
(33,867,276 | ) | (5,932,672 | ) | — | — | (2,130,638 | ) | 2,769,613 | — | — | |||||||||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
(4,871,142 | ) | 530,391 | — | — | (450,892 | ) | (3,205,659 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
(7,410,385 | ) | 128,868 | — | — | (870,705 | ) | (294,462 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
(1,844,692 | ) | 5,596 | — | — | (306,950 | ) | (42,896 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
(1,679,029 | ) | 11,793 | — | — | (260,909 | ) | (49,695 | ) | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
(51,445,178 | ) | (18,932,642 | ) | — | — | 33,840,044 | 9,575,984 | — | — | ||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
(2,296,170 | ) | (979,839 | ) | — | — | 1,956,903 | 495,738 | — | — | ||||||||||||||||||||||
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of June 30, 2017:
AQR DIVERSIFIED ARBITRAGE FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 256,116 | $ | (204,779 | ) | $ | 51,337 | $ | — | $ | — | $ | 51,337 | ||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 1,458,713 | (305,645 | ) | 1,153,068 | — | — | 1,153,068 | ||||||||||||||||||
| GSIN | Total Return Basket Swaps Contracts | 3,836,136 | (23,787 | ) | 3,812,349 | — | (3,770,000 | ) | 42,349 | |||||||||||||||||
| JPMC | Total Return Basket Swaps Contracts | 3,614,678 | (30,671 | ) | 3,584,007 | — | — | 3,584,007 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 9,165,643 | (564,882 | ) | 8,600,761 | — | (3,770,000 | ) | 4,830,761 | ||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED(b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Basket Swaps Contracts | $ | 199,828 | $ | — | $ | 199,828 | $ | — | $ | (199,828 | ) | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 204,779 | (204,779 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Basket Swaps Contracts | 23,787 | (23,787 | ) | — | — | — | — | ||||||||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 305,645 | (305,645 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 307,181 | — | 307,181 | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 30,671 | (30,671 | ) | — | ||||||||||||||||||||||
| Total JPMC | 337,852 | (30,671 | ) | 307,181 | — | (307,181 | ) | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 1,071,891 | (564,882 | ) | 507,009 | — | (507,009 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $180,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 31,683,937. |
AQR EQUITY MARKET NEUTRAL FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 96,559 | $ | (96,559 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 144,835 | (144,835 | ) | — | — | — | — | ||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 12,387,201 | (5,971,651 | ) | 6,415,550 | — | — | 6,415,550 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 12,628,595 | (6,213,045 | ) | 6,415,550 | — | — | 6,415,550 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 569,273 | $ | (96,559 | ) | $ | 472,714 | $ | — | $ | (472,714 | ) | $ | — | |||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 853,983 | (144,835 | ) | 709,148 | — | (709,148 | ) | — | |||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 5,971,651 | (5,971,651 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 7,394,907 | (6,213,045 | ) | 1,181,862 | — | (1,181,862 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 221,769,515. |
AQR GLOBAL MACRO FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 21,071 | $ | (15,734 | ) | $ | 5,337 | $ | — | $ | — | $ | 5,337 | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 317,783 | (259,603 | ) | 58,180 | — | — | 58,180 | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 12,666 | (10,874 | ) | 1,792 | — | — | 1,792 | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 330,256 | (267,374 | ) | 62,882 | — | — | 62,882 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 681,776 | (553,585 | ) | 128,191 | — | — | 128,191 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR GLOBAL MACRO FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 15,734 | $ | (15,734 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 259,603 | (259,603 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 10,874 | (10,874 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 267,374 | (267,374 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 553,585 | (553,585 | ) | — | — | — | — | |||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 782,243. |
AQR GLOBAL MACRO OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| GSIN | Total Return Swap Contracts | $ | 779 | $ | — | $ | 779 | $ | — | $ | — | $ | 779 | |||||||||||||
| SOCG | Total Return Swap Contracts | 596 | (297 | ) | 299 | — | — | 299 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 1,375 | (297 | ) | 1,078 | — | — | 1,078 | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 3,914 | $ | — | $ | 3,914 | $ | — | $ | (3,914 | ) | $ | — | ||||||||||||
| MACQ | Total Return Swap Contracts | 3,892 | — | 3,892 | — | — | 3,892 | |||||||||||||||||||
| SOCG | Total Return Swap Contracts | 297 | (297 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 8,103 | (297 | ) | 7,806 | — | (3,914 | ) | 3,892 | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 56,318. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR LONG-SHORT EQUITY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED(a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 3,769,581 | $ | (1,705,583 | ) | $ | 2,063,998 | $ | — | $ | (1,730,000 | ) | $ | 333,998 | |||||||||||
| DTBK | Total Return Basket Swaps Contracts | 18,708,913 | (71,637 | ) | 18,637,276 | — | — | 18,637,276 | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 301,215 | — | 301,215 | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 35,453,506 | (180,390 | ) | 35,273,116 | ||||||||||||||||||||||
| Total GSIN | 35,754,721 | (180,390 | ) | 35,574,331 | — | (35,574,331 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 5,479,753 | (2,271,172 | ) | 3,208,581 | |||||||||||||||||||||
| Total Return Swap Contracts | 25,626 | — | 25,626 | |||||||||||||||||||||||
| Total JPMC | 5,505,379 | (2,271,172 | ) | 3,234,207 | — | — | 3,234,207 | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 63,738,594 | (4,228,782 | ) | 59,509,812 | — | (37,304,331 | ) | 22,205,481 | ||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 1,705,583 | $ | (1,705,583 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 71,637 | (71,637 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 180,390 | (180,390 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 2,271,172 | (2,271,172 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,228,782 | (4,228,782 | ) | — | — | — | — | |||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $515,669. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $759,656,317. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
298
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 300,411 | $ | (276,457 | ) | $ | 23,954 | ||||||||||||||||||
| Total Return Basket Swaps Contracts | 965,281 | — | 965,281 | |||||||||||||||||||||||
| Total BANA | 1,265,692 | (276,457 | ) | 989,235 | $ | — | $ | (989,235 | ) | $ | — | |||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 20,329,594 | (16,034,053 | ) | 4,295,541 | — | — | 4,295,541 | ||||||||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 23,408,570 | (364,691 | ) | 23,043,879 | — | — | 23,043,879 | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 108,312 | (108,312 | ) | — | |||||||||||||||||||||
| Total Return Basket Swaps Contracts | 4,850,685 | (3,504,125 | ) | 1,346,560 | ||||||||||||||||||||||
| Total GSIN | 4,958,997 | (3,612,437 | ) | 1,346,560 | — | (1,346,560 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 29,460,829 | (22,229,082 | ) | 7,231,747 | |||||||||||||||||||||
| Total Return Swap Contracts | 233,411 | (233,411 | ) | — | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 29,037,473 | (8,321,359 | ) | 20,716,114 | ||||||||||||||||||||||
| Total JPMC | 58,731,713 | (30,783,852 | ) | 27,947,861 | — | — | 27,947,861 | |||||||||||||||||||
| MSCS | Total Return Swap Contracts | 1,868,719 | (1,122,470 | ) | 746,249 | — | — | 746,249 | ||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 4,907 | — | 4,907 | — | — | 4,907 | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 110,568,192 | (52,193,960 | ) | 58,374,232 | — | (2,335,795 | ) | 56,038,437 | ||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
299
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 276,457 | $ | (276,457 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 16,034,053 | (16,034,053 | ) | — | — | — | — | ||||||||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 364,691 | (364,691 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 255,340 | (108,312 | ) | 147,028 | |||||||||||||||||||||
| Total Return Basket Swaps Contracts | 3,504,125 | (3,504,125 | ) | — | ||||||||||||||||||||||
| Total GSIN | 3,759,465 | (3,612,437 | ) | 147,028 | — | (147,028 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 22,229,082 | (22,229,082 | ) | — | |||||||||||||||||||||
| Total Return Swap Contracts | 274,414 | (233,411 | ) | 41,003 | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 8,321,359 | (8,321,359 | ) | — | ||||||||||||||||||||||
| Total JPMC | 30,824,855 | (30,783,852 | ) | 41,003 | — | (41,003 | ) | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 1,122,470 | (1,122,470 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 52,381,991 | (52,193,960 | ) | 188,031 | — | (188,031 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $3,064,205. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $877,597,635. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
300
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 1,021,507 | $ | (1,021,507 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 216,852 | (216,852 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 482,417 | (482,417 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 627,290 | (627,290 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 481,037 | (481,037 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,829,103 | (2,829,103 | ) | — | — | — | — | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 1,376,263 | $ | (1,021,507 | ) | $ | 354,756 | $ | — | $ | (354,756 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 748,322 | (216,852 | ) | 531,470 | — | (531,470 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 1,393,280 | (482,417 | ) | 910,863 | — | (910,863 | ) | — | |||||||||||||||||
| MLIN | Total Return Swap Contracts | 1,039,867 | (627,290 | ) | 412,577 | — | (412,577 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 1,337,128 | (481,037 | ) | 856,091 | — | (856,091 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 5,894,860 | (2,829,103 | ) | 3,065,757 | — | (3,065,757 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $1,250,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $9,303,373. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
301
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 62,620 | $ | (62,620 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 19,800 | (19,800 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 69,226 | (69,226 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 315,923 | (315,923 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 467,569 | (467,569 | ) | — | — | — | — | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 1,578,679 | $ | (62,620 | ) | $ | 1,516,059 | $ | — | $ | (1,516,059 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 174,856 | (19,800 | ) | 155,056 | — | (155,056 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 829,386 | (69,226 | ) | 760,160 | — | (760,160 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 1,099,969 | (315,923 | ) | 784,046 | — | (784,046 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 3,682,890 | (467,569 | ) | 3,215,321 | — | (3,215,321 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 3,380,580. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
302
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK PARITY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 14,644 | $ | (14,644 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 552,267 | (552,267 | ) | — | |||||||||||||||||||||
| Interest Rate Swap Contracts | 278,650 | (63,045 | ) | 215,605 | ||||||||||||||||||||||
| Total CITI | 830,917 | (615,312 | ) | 215,605 | — | — | 215,605 | |||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 817,197 | (817,197 | ) | — | |||||||||||||||||||||
| Total Return Swap Contracts | 19,808 | (19,808 | ) | — | ||||||||||||||||||||||
| Total JPMC | 837,005 | (837,005 | ) | — | — | — | — | |||||||||||||||||||
| MSCS | Total Return Swap Contracts | 130,316 | (48,519 | ) | 81,797 | — | — | 81,797 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 1,812,882 | (1,515,480 | ) | 297,402 | — | — | 297,402 | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 89,426 | $ | (14,644 | ) | $ | 74,782 | $ | — | $ | — | $ | 74,782 | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 1,065,729 | (552,267 | ) | 513,462 | |||||||||||||||||||||
| Interest Rate Swap Contracts | 63,045 | (63,045 | ) | — | ||||||||||||||||||||||
| Total CITI | 1,128,774 | (615,312 | ) | 513,462 | — | (513,462 | ) | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 34,875 | — | 34,875 | — | (34,875 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 1,576,975 | (817,197 | ) | 759,778 | |||||||||||||||||||||
| Total Return Swap Contracts | 34,331 | (19,808 | ) | 14,523 | ||||||||||||||||||||||
| Total JPMC | 1,611,306 | (837,005 | ) | 774,301 | — | (774,301 | ) | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 48,519 | (48,519 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,912,900 | (1,515,480 | ) | 1,397,420 | — | (1,322,638 | ) | 74,782 | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $340,000 |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $19,533,270. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK PARITY OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 9,355 | $ | (9,355 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 73,657 | (54,823 | ) | 18,834 | — | — | 18,834 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 156,359 | (149,368 | ) | 6,991 | — | — | 6,991 | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 167,405 | (167,405 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 175,367 | (144,027 | ) | 31,340 | — | — | 31,340 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 582,143 | (524,978 | ) | 57,165 | — | — | 57,165 | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 113,071 | $ | (9,355 | ) | $ | 103,716 | $ | — | $ | (103,716 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 54,823 | (54,823 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 149,368 | (149,368 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 211,353 | (167,405 | ) | 43,948 | — | (43,948 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 144,027 | (144,027 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 672,642 | (524,978 | ) | 147,664 | — | (147,664 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,464,118. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK PARITY II HV FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 9,339 | $ | (9,339 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 10,934 | (10,934 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 15,242 | (15,242 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 16,401 | (16,401 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 51,916 | (51,916 | ) | — | — | — | — | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 18,783 | $ | (9,339 | ) | $ | 9,444 | $ | — | $ | — | $ | 9,444 | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 77,291 | (10,934 | ) | 66,357 | — | (66,357 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 20,958 | (15,242 | ) | 5,716 | — | (5,716 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 115,948 | (16,401 | ) | 99,547 | — | (99,547 | ) | — | |||||||||||||||||
| BNPP | Reverse Repurchase Agreements | 5,428,800 | — | 5,428,800 | (5,428,800 | ) | — | — | ||||||||||||||||||
| MPFS | Reverse Repurchase Agreements | 6,123,900 | — | 6,123,900 | (6,123,900 | ) | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 11,785,680 | (51,916 | ) | 11,733,764 | (11,552,700 | ) | (171,620 | ) | 9,444 | |||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $140,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,095,833. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK PARITY II HV OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 4,584 | $ | (4,584 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 10,477 | (6,481 | ) | 3,996 | — | — | 3,996 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 65,453 | (65,453 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 74,586 | (55,374 | ) | 19,212 | — | — | 19,212 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 155,100 | (131,892 | ) | 23,208 | — | — | 23,208 | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 31,687 | $ | (4,584 | ) | $ | 27,103 | $ | — | $ | (27,103 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 6,481 | (6,481 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 76,159 | (65,453 | ) | 10,706 | — | (10,706 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 55,374 | (55,374 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 169,701 | (131,892 | ) | 37,809 | — | (37,809 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $392,533. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK PARITY II MV FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 18,305 | $ | (18,305 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 14,317 | (14,317 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 13,118 | (13,118 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 21,471 | (21,471 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 67,211 | (67,211 | ) | — | — | — | — | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 19,926 | $ | (18,305 | ) | $ | 1,621 | $ | — | $ | — | $ | 1,621 | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 71,780 | (14,317 | ) | 57,463 | — | (57,463 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 19,462 | (13,118 | ) | 6,344 | — | (6,344 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 107,685 | (21,471 | ) | 86,214 | — | (86,214 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 218,853 | (67,211 | ) | 151,642 | — | (150,021 | ) | 1,621 | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 10,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 921,880. |
AQR RISK PARITY II MV OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 5,981 | $ | (5,981 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 5,960 | (5,960 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 84,290 | (84,290 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 53,197 | (35,731 | ) | 17,466 | — | — | 17,466 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 149,428 | (131,962 | ) | 17,466 | — | — | 17,466 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 40,884 | $ | (5,981 | ) | $ | 34,903 | $ | — | $ | (34,903 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 9,490 | (5,960 | ) | 3,530 | — | — | 3,530 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 94,382 | (84,290 | ) | 10,092 | — | (10,092 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 35,731 | (35,731 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 180,487 | (131,962 | ) | 48,525 | — | (44,995 | ) | 3,530 | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 495,326. |
AQR STYLE PREMIA ALTERNATIVE FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 2,341,217 | $ | (2,341,217 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 27,842,166 | (16,861,801 | ) | 10,980,365 | — | (10,980,365 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 259,777 | (259,777 | ) | — | |||||||||||||||||||||
| Total Return Basket Swap Contracts | 19,468,011 | — | 19,468,011 | |||||||||||||||||||||||
| Total GSIN | 19,727,788 | (259,777 | ) | 19,468,011 | — | (19,468,011 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 41,617,293 | (24,541,280 | ) | 17,076,013 | — | — | 17,076,013 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 91,528,464 | (44,004,075 | ) | 47,524,389 | — | (30,448,376 | ) | 17,076,013 | ||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 3,155,859 | $ | (2,341,217 | ) | $ | 814,642 | $ | — | $ | (814,642 | ) | $ | — | |||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 16,861,801 | (16,861,801 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 697,865 | (259,777 | ) | 438,088 | — | (438,088 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 24,541,280 | (24,541,280 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 45,256,805 | (44,004,075 | ) | 1,252,730 | — | (1,252,730 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 17,771,624. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 669,406,764. |
AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 5,174,878 | $ | — | $ | 5,174,878 | $ | — | $ | — | $ | 5,174,878 | |||||||||||||
| GSIN | Total Return Swap Contracts | 629,598 | (609,568 | ) | 20,030 | — | — | 20,030 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 1,345,166 | — | 1,345,166 | — | — | 1,345,166 | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 7,149,642 | (609,568 | ) | 6,540,074 | — | — | 6,540,074 | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| GSIN | Total Return Swap Contracts | $ | 609,568 | $ | (609,568 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| SOCG | Total Return Swap Contracts | 199,777 | — | 199,777 | — | (199,777 | ) | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 809,345 | (609,568 | ) | 199,777 | — | (199,777 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 19,755,981. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
309
Table of Contents
| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 32,375 | $ | (32,375 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 1,423,132 | (845,462 | ) | 577,670 | — | (577,670 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 5,515 | (5,515 | ) | — | |||||||||||||||||||||
| Total Return Basket Swap Contracts | 1,250,672 | — | 1,250,672 | |||||||||||||||||||||||
| Total GSIN | 1,256,187 | (5,515 | ) | 1,250,672 | — | (1,250,672 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 2,130,096 | (1,228,404 | ) | 901,692 | — | — | 901,692 | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 103,043 | (34,049 | ) | 68,994 | — | — | 68,994 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,944,833 | (2,145,805 | ) | 2,799,028 | — | (1,828,342 | ) | 970,686 | ||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 150,216 | $ | (32,375 | ) | $ | 117,841 | $ | — | $ | (117,841 | ) | $ | — | |||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 845,462 | (845,462 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 24,025 | (5,515 | ) | 18,510 | — | (18,510 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 1,228,404 | (1,228,404 | ) | — | — | — | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 34,049 | (34,049 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,282,156 | (2,145,805 | ) | 136,351 | — | (136,351 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 381,658. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 37,702,721. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 244,221 | $ | — | $ | 244,221 | $ | — | $ | (244,221 | ) | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 27,727 | (26,832 | ) | 895 | — | — | 895 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 88,807 | — | 88,807 | — | — | 88,807 | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 360,755 | (26,832 | ) | 333,923 | — | (244,221 | ) | 89,702 | ||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| GSIN | Total Return Swap Contracts | $ | 26,832 | $ | (26,832 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| SOCG | Total Return Swap Contracts | 10,146 | — | 10,146 | — | — | 10,146 | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 36,978 | (26,832 | ) | 10,146 | — | — | 10,146 | |||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 15,779. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,160,000. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
For the period ended June 30, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL MACRO FUND |
AQR LONG-SHORT EQUITY FUND |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND |
AQR RISK PARITY FUND |
||||||||||||||||||||||
| Futures Contracts: | ||||||||||||||||||||||||||||
| Average Notional Balance—Long | $ | — | $ | — | $ | 33,404,826 | $ | 1,548,471,232 | $ | 4,326,221,540 | $ | 426,011,006 | $ | 523,945,137 | ||||||||||||||
| Average Notional Balance—Short | 95,058,700 | — | 55,815,818 | — | 5,697,408,797 | 90,724,951 | 12,855,819 | |||||||||||||||||||||
| Ending Notional Balance—Long | — | — | 31,547,069 | 2,051,455,862 | 4,154,124,863 | 402,299,249 | 536,474,876 | |||||||||||||||||||||
| Ending Notional Balance—Short | 87,870,400 | — | 71,616,527 | — | 5,050,040,509 | 71,943,198 | 9,955,738 | |||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||
| Average Settlement Value—Purchased | 5,397,563 | 15,178,824 | 39,523,539 | 593,020,808 | 2,520,209,491 | — | 119,293,715 | |||||||||||||||||||||
| Average Settlement Value—Sold | 19,163,775 | 64,799,189 | 34,975,166 | 31,567,096 | 2,574,815,847 | — | 130,726,113 | |||||||||||||||||||||
| Ending Value—Purchased | 9,815,596 | 10,601,135 | 37,069,676 | 719,936,673 | 2,632,761,818 | — | 152,059,200 | |||||||||||||||||||||
| Ending Value—Sold | 13,342,906 | 82,731,173 | 29,797,668 | 69,548,901 | 2,602,264,326 | — | 149,542,405 | |||||||||||||||||||||
| Exchange-Traded Options: | ||||||||||||||||||||||||||||
| Average Number of Contracts—Written | — | — | — | — | 374 | — | — | |||||||||||||||||||||
| Ending Number of Contracts—Written | — | — | — | — | 351 | — | — | |||||||||||||||||||||
| Credit Default Swaps: | ||||||||||||||||||||||||||||
| Average Notional Balance—Buy Protection | 19,166,667 | — | — | — | 228,338,202 | — | — | |||||||||||||||||||||
| Average Notional Balance—Sell Protection | — | — | — | — | 437,206,053 | — | 370,424,460 | |||||||||||||||||||||
| Ending Notional Balance—Buy Protection | 18,250,000 | — | — | — | 322,442,556 | — | — | |||||||||||||||||||||
| Ending Notional Balance—Sell Protection | — | — | — | — | 466,809,379 | — | 378,495,766 | |||||||||||||||||||||
| Total Return Swaps: | ||||||||||||||||||||||||||||
| Average Notional Balance—Long | — | — | 3,836,900 | 56,223,184 | 361,673,636 | 65,033,941 | 59,128,390 | |||||||||||||||||||||
| Average Notional Balance—Short | — | — | 4,278,600 | 148,482 | 487,797,082 | 38,141,948 | 8,409,580 | |||||||||||||||||||||
| Ending Notional Balance—Long | — | — | 4,762,221 | 73,231,361 | 294,036,206 | 45,534,572 | 57,878,800 | |||||||||||||||||||||
| Ending Notional Balance—Short | — | — | 4,765,971 | — | 532,287,510 | 26,655,474 | 3,540,029 | |||||||||||||||||||||
| Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||||||||||
| Average Notional Balance—Pays Fixed rate | — | — | 354,413,701 | — | — | — | 70,745,160 | |||||||||||||||||||||
| Average Notional Balance—Receives Fixed rate | — | — | 246,090,349 | — | — | — | 111,545,845 | |||||||||||||||||||||
| Ending Notional Balance—Pays Fixed Rate | — | — | 286,172,792 | — | — | — | 74,909,546 | |||||||||||||||||||||
| Ending Notional Balance—Receives Fixed Rate | — | — | 97,063,605 | — | — | — | 73,510,380 | |||||||||||||||||||||
| Total Return Basket Swaps: | ||||||||||||||||||||||||||||
| Average Notional of Underlying Positions—Long | 174,701,318 | 1,500,946,498 | — | 3,872,178,837 | 5,503,311,723 | — | — | |||||||||||||||||||||
| Average Notional of Underlying Positions—Short | 65,691,962 | 1,423,348,061 | — | 3,661,512,960 | 4,561,114,582 | — | — | |||||||||||||||||||||
| Ending Notional Balance—Long | 200,049,927 | 1,728,236,249 | — | 4,786,108,914 | 5,522,346,080 | — | — | |||||||||||||||||||||
| Ending Notional Balance—Short | 82,645,636 | 1,602,127,830 | — | 4,445,478,356 | 4,595,460,608 | — | — | |||||||||||||||||||||
| AQR RISK PARITY II HV FUND |
AQR RISK PARITY II MV FUND |
AQR STYLE PREMIA ALTERNATIVE FUND |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
|||||||||||||
| Futures Contracts: | ||||||||||||||||
| Average Notional Balance—Long | $ | 142,803,501 | $ | 133,413,034 | $ | 11,577,756,453 | $ | 624,747,767 | ||||||||
| Average Notional Balance—Short | 3,518,169 | 2,485,853 | 6,392,797,815 | 348,730,854 | ||||||||||||
| Ending Notional Balance—Long | 136,374,896 | 128,965,838 | 10,718,679,340 | 573,482,538 | ||||||||||||
| Ending Notional Balance—Short | 2,931,003 | 2,373,570 | 7,401,617,935 | 399,830,601 | ||||||||||||
| Forward Foreign Currency Exchange Contracts: | ||||||||||||||||
| Average Settlement Value—Purchased | 759,775 | 903,882 | 2,597,637,510 | 136,787,896 | ||||||||||||
| Average Settlement Value—Sold | 14,295,743 | 13,476,571 | 2,648,520,492 | 139,824,265 | ||||||||||||
| Ending Value—Purchased | 1,785,186 | 2,229,431 | 3,167,858,296 | 162,349,008 | ||||||||||||
| Ending Value—Sold | 14,981,185 | 14,106,227 | 3,350,587,135 | 172,656,055 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| AQR RISK PARITY II HV FUND |
AQR RISK PARITY II MV FUND |
AQR STYLE PREMIA ALTERNATIVE FUND |
AQR STYLE PREMIA ALTERNATIVE LV FUND |
|||||||||||||
| Total Return Swaps: | ||||||||||||||||
| Average Notional Balance—Long | $ | 14,188,560 | $ | 13,892,645 | $ | 578,959,176 | $ | 34,824,542 | ||||||||
| Average Notional Balance—Short | 2,089,301 | 2,057,181 | 625,366,451 | 32,333,002 | ||||||||||||
| Ending Notional Balance—Long | 12,804,008 | 12,836,862 | 590,690,749 | 33,831,221 | ||||||||||||
| Ending Notional Balance—Short | 805,539 | 939,734 | 782,410,885 | 39,065,934 | ||||||||||||
| Total Return Basket Swaps: | ||||||||||||||||
| Average Notional of Underlying Positions—Long | — | — | 4,081,798,509 | 212,190,973 | ||||||||||||
| Average Notional of Underlying Positions—Short | — | — | 3,207,163,537 | 167,551,227 | ||||||||||||
| Ending Notional Balance—Long | — | — | 3,997,037,995 | 217,086,522 | ||||||||||||
| Ending Notional Balance—Short | — | — | 3,138,185,588 | 170,402,687 | ||||||||||||
| * | Notional values as of each quarter end are used to calculate the average represented. |
9. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds pursuant to a Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Pursuant to the Advisory Agreement, the Funds currently pay the Investment 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 Equity Market Neutral Fund |
1.10 | |||
| AQR Global Macro Fund |
1.25 | |||
| AQR Long-Short Equity Fund |
1.10 | |||
| AQR Multi-Strategy Alternative Fund |
1.80 | |||
| AQR Risk-Balanced Commodities Strategy Fund |
0.80 | |||
| AQR Risk Parity Fund |
0.75 | (a) | ||
| AQR Risk Parity II HV Fund |
0.95 | (b) | ||
| AQR Risk Parity II MV Fund |
0.75 | (c) | ||
| AQR Style Premia Alternative Fund |
1.35 | |||
| AQR Style Premia Alternative LV Fund |
0.65 | |||
| (a) | 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. |
| (b) | The AQR Risk Parity II HV Fund Advisory Fee is based on the following 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. |
| (c) | 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. |
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2018 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
| AQR Diversified Arbitrage Fund |
1.20 | % | 1.45 | % | 1.10 | % | ||||||
| AQR Equity Market Neutral Fund |
1.30 | 1.55 | 1.20 | |||||||||
| AQR Global Macro Fund |
1.45 | 1.70 | 1.35 | |||||||||
| AQR Long-Short Equity Fund |
1.30 | 1.55 | 1.20 | |||||||||
| AQR Multi-Strategy Alternative Fund |
1.98 | 2.23 | 1.88 | |||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
1.00 | 1.25 | 0.90 | |||||||||
| AQR Risk Parity Fund |
0.95 | 1.20 | 0.85 | |||||||||
| AQR Risk Parity II HV Fund |
1.15 | 1.40 | 1.05 | |||||||||
| AQR Risk Parity II MV Fund |
0.95 | 1.20 | 0.85 | |||||||||
| AQR Style Premia Alternative Fund |
1.50 | 1.75 | 1.40 | |||||||||
| AQR Style Premia Alternative LV Fund |
0.85 | 1.10 | 0.75 | |||||||||
For the period ended June 30, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
| FUND | INVESTMENT ADVISORY FEES WAIVED |
EXPENSE REIMBURSEMENTS |
TOTAL | |||||||||
| AQR Diversified Arbitrage Fund |
$ | 170,267 | $ | 2,877 | $ | 173,144 | ||||||
| AQR Global Macro Fund |
121,116 | 167 | 121,283 | |||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
66,713 | — | 66,713 | |||||||||
| AQR Risk Parity Fund |
50,775 | — | 50,775 | |||||||||
| AQR Risk Parity II HV Fund |
103,546 | — | 103,546 | |||||||||
| AQR Risk Parity II MV Fund |
103,270 | — | 103,270 | |||||||||
| AQR Style Premia Alternative Fund |
344,476 | — | 344,476 | |||||||||
| AQR Style Premia Alternative LV Fund |
40,488 | 484 | 40,972 | |||||||||
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. 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 lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.
For the period ended June 30, 2017, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2017 are as follows:
| FEES WAIVED/ JUNE 30, 2017 |
TOTAL JUNE 30, |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING |
||||||||||||||||||||||
| 2017 | 2018 | 2019 | 2020 | |||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||||||||||||||||
| Class I |
$ | 134,302 | $ | 822,573 | $ | 6,759 | $ | 292,915 | $ | 388,597 | $ | 134,302 | ||||||||||||
| Class N |
36,580 | 230,072 | — | 71,086 | 122,406 | 36,580 | ||||||||||||||||||
| Class R6 |
2,262 | 5,270 | 1 | 206 | 2,801 | 2,262 | ||||||||||||||||||
| Totals | $ | 173,144 | $ | 1,057,915 | $ | 6,760 | $ | 364,207 | $ | 513,804 | $ | 173,144 | ||||||||||||
| AQR EQUITY MARKET NEUTRAL FUND | ||||||||||||||||||||||||
| Class I |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| Class N |
— | 38,006 | — | 38,006 | — | — | ||||||||||||||||||
| Class R6 |
— | 52,779 | 21,651 | 26,348 | 4,780 | — | ||||||||||||||||||
| Totals | $ | — | $ | 90,785 | $ | 21,651 | $ | 64,354 | $ | 4,780 | $ | — | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
| FEES WAIVED/ JUNE 30, 2017 |
TOTAL JUNE 30, |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING |
||||||||||||||||||||||
| 2017 | 2018 | 2019 | 2020 | |||||||||||||||||||||
| AQR GLOBAL MACRO FUND | ||||||||||||||||||||||||
| Class I |
$ | 89,508 | $ | 544,061 | $ | 175,240 | $ | 126,341 | $ | 152,972 | $ | 89,508 | ||||||||||||
| Class N |
12,622 | 125,525 | 5,354 | 71,767 | 35,782 | 12,622 | ||||||||||||||||||
| Class R6 |
19,153 | 45,296 | 365 | 383 | 25,395 | 19,153 | ||||||||||||||||||
| Totals | $ | 121,283 | $ | 714,882 | $ | 180,959 | $ | 198,491 | $ | 214,149 | $ | 121,283 | ||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND | ||||||||||||||||||||||||
| Class I |
$ | — | $ | 209,346 | $ | 51,100 | $ | 158,246 | $ | — | $ | — | ||||||||||||
| Class N |
— | 23,835 | 15,114 | 8,721 | — | — | ||||||||||||||||||
| Class R6 |
— | — | — | — | — | — | ||||||||||||||||||
| Totals | $ | — | $ | 233,181 | $ | 66,214 | $ | 166,967 | $ | — | $ | — | ||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | ||||||||||||||||||||||||
| Class I |
$ | 29,332 | $ | 301,871 | $ | 77,937 | $ | 138,642 | $ | 55,960 | $ | 29,332 | ||||||||||||
| Class N |
2,432 | 27,667 | 14,805 | 7,371 | 3,059 | 2,432 | ||||||||||||||||||
| Class R6 |
34,949 | 147,961 | 366 | 42,155 | 70,491 | 34,949 | ||||||||||||||||||
| Totals | $ | 66,713 | $ | 477,499 | $ | 93,108 | $ | 188,168 | $ | 129,510 | $ | 66,713 | ||||||||||||
| AQR RISK PARITY FUND | ||||||||||||||||||||||||
| Class I |
$ | 44,543 | $ | 187,776 | $ | — | $ | 69,118 | $ | 74,115 | $ | 44,543 | ||||||||||||
| Class N |
1,837 | 9,989 | — | 4,693 | 3,459 | 1,837 | ||||||||||||||||||
| Class R6 |
4,395 | 7,828 | 1 | 259 | 3,173 | 4,395 | ||||||||||||||||||
| Totals | $ | 50,775 | $ | 205,593 | $ | 1 | $ | 74,070 | $ | 80,747 | $ | 50,775 | ||||||||||||
| AQR RISK PARITY II HV FUND | ||||||||||||||||||||||||
| Class I |
$ | 85,959 | $ | 457,149 | $ | 59,267 | $ | 139,839 | $ | 172,084 | $ | 85,959 | ||||||||||||
| Class N |
12,380 | 77,594 | 15,002 | 28,164 | 22,048 | 12,380 | ||||||||||||||||||
| Class R6 |
5,207 | 21,455 | 122 | 7,335 | 8,791 | 5,207 | ||||||||||||||||||
| Totals | $ | 103,546 | $ | 556,198 | $ | 74,391 | $ | 175,338 | $ | 202,923 | $ | 103,546 | ||||||||||||
| AQR RISK PARITY II MV FUND | ||||||||||||||||||||||||
| Class I |
$ | 96,685 | $ | 511,404 | $ | 75,235 | $ | 164,768 | $ | 174,716 | $ | 96,685 | ||||||||||||
| Class N |
5,815 | 35,794 | 4,004 | 12,819 | 13,156 | 5,815 | ||||||||||||||||||
| Class R6 |
770 | 2,175 | 57 | 167 | 1,181 | 770 | ||||||||||||||||||
| Totals | $ | 103,270 | $ | 549,373 | $ | 79,296 | $ | 177,754 | $ | 189,053 | $ | 103,270 | ||||||||||||
| AQR STYLE PREMIA ALTERNATIVE FUND | ||||||||||||||||||||||||
| Class I |
$ | 206,040 | $ | 994,552 | $ | — | $ | 288,940 | $ | 499,572 | $ | 206,040 | ||||||||||||
| Class N |
16,113 | 95,348 | 17,695 | 16,848 | 44,692 | 16,113 | ||||||||||||||||||
| Class R6 |
122,323 | 204,061 | 3,725 | 78,013 | — | 122,323 | ||||||||||||||||||
| Totals | $ | 344,476 | $ | 1,293,961 | $ | 21,420 | $ | 383,801 | $ | 544,264 | $ | 344,476 | ||||||||||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND | ||||||||||||||||||||||||
| Class I |
$ | 27,051 | $ | 296,306 | $ | 12,440 | $ | 177,184 | $ | 79,631 | $ | 27,051 | ||||||||||||
| Class N |
4,128 | 78,467 | 12,768 | 50,106 | 11,465 | 4,128 | ||||||||||||||||||
| Class R6 |
9,793 | 215,053 | 113,104 | 73,183 | 18,973 | 9,793 | ||||||||||||||||||
| Totals | $ | 40,972 | $ | 589,826 | $ | 138,312 | $ | 300,473 | $ | 110,069 | $ | 40,972 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
During the period ended June 30, 2017, the Funds recouped amounts as follows:
| FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
| AQR Equity Market Neutral Fund |
$ | 114,438 | $ | 20,486 | $ | 21,801 | ||||||
| AQR Long-Short Equity Fund |
194,592 | 38,684 | — | |||||||||
| AQR Multi-Strategy Alternative Fund |
98,934 | 19,730 | — | |||||||||
Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.
JPMorgan 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, the AQR Equity Market Neutral Fund, the AQR Long-Short Equity Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
10. 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. 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.
11. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible 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).
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. 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. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
In addition to market risk, the Funds may be exposed to 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 (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. 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. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to 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 counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. 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.
In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.
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 reverse repurchase transactions and entering into other forms of direct and indirect borrowings. 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, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.
The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.
Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.
12. Line of Credit
Effective February 24, 2017 and terminating on February 23, 2018, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, 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, which is paid monthly. The maximum loan amount is the lesser of an amount which will not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). 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, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. The line of credit available is in the amount of $300,000,000, prior to February 24, 2017 the line of credit available was $285,000,000 at substantially similar terms. The Funds did not have any borrowings for the period ended June 30, 2017.
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| Notes to Financial Statements | June 30, 2017 (Unaudited) |
13. Principal Ownership
As of June 30, 2017, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:
| FUND | NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS |
TOTAL PERCENTAGE INTEREST HELD |
||||||
| AQR Diversified Arbitrage Fund |
5 | 85.39 | % | |||||
| AQR Equity Market Neutral Fund |
6 | 69.86 | % | |||||
| AQR Global Macro Fund* |
5 | 83.19 | % | |||||
| AQR Long-Short Equity Fund |
8 | 76.83 | % | |||||
| AQR Multi-Strategy Alternative Fund |
3 | 77.53 | % | |||||
| AQR Risk-Balanced Commodities Strategy Fund |
6 | 90.20 | % | |||||
| AQR Risk Parity Fund |
4 | 80.42 | % | |||||
| AQR Risk Parity II HV Fund* |
8 | 79.43 | % | |||||
| AQR Risk Parity II MV Fund |
4 | 74.72 | % | |||||
| AQR Style Premia Alternative Fund |
6 | 80.74 | % | |||||
| AQR Style Premia Alternative LV Fund |
8 | 92.53 | % | |||||
| * | The percentage held by the Adviser and/or affiliates is 26.57% and 10.75% respectively. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. New Accounting Pronouncements and Regulations
In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.
Compliance with the modifications to Regulation S-X is required for financial statements filed with the SEC on or after August 1, 2017 and other amendments and rules are effective during 2018. Adoption of these rules will have no effect on the Funds’ net assets or results of operations. Management is currently evaluating the impact on the Funds’ financial statements.
15. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than noted above.
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| 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 06/30/17” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/17 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES ENDING |
|||||||||||||
| AQR Diversified Arbitrage Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,045.50 | 2.08 | % | $10.55 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,014.48 | 2.08 | % | $10.39 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,044.40 | 2.33 | % | $11.81 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.24 | 2.33 | % | $11.63 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,046.70 | 1.98 | % | $10.05 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,014.98 | 1.98 | % | $9.89 | |||||||||||
| AQR Equity Market Neutral Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,010.90 | 2.56 | % | $12.76 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.10 | 2.56 | % | $12.77 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,010.00 | 2.82 | % | $14.05 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,010.81 | 2.82 | % | $14.06 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,011.70 | 2.47 | % | $12.32 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.55 | 2.47 | % | $12.33 | |||||||||||
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| Fund Expense Examples (Unaudited) |
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/17 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES ENDING |
|||||||||||||
| AQR Global Macro Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $957.00 | 1.42 | % | $6.89 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.75 | 1.42 | % | $7.10 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $955.50 | 1.70 | % | $8.24 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.36 | 1.70 | % | $8.50 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $955.90 | 1.35 | % | $6.55 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.10 | 1.35 | % | $6.76 | |||||||||||
| AQR Long-Short Equity Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,054.30 | 2.44 | % | $12.43 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.69 | 2.44 | % | $12.18 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,053.10 | 2.71 | % | $13.80 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,011.36 | 2.71 | % | $13.51 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,055.80 | 2.33 | % | $11.88 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.24 | 2.33 | % | $11.63 | |||||||||||
| AQR Multi-Strategy Alternative Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $997.90 | 2.28 | % | $11.29 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.49 | 2.28 | % | $11.38 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $996.80 | 2.54 | % | $12.58 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.20 | 2.54 | % | $12.67 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $997.90 | 2.18 | % | $10.80 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.98 | 2.18 | % | $10.89 | |||||||||||
| AQR Risk-Balanced Commodities Strategy Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $960.00 | 1.00 | % | $4.86 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.84 | 1.00 | % | $5.01 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $957.90 | 1.25 | % | $6.07 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.60 | 1.25 | % | $6.26 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $960.10 | 0.90 | % | $4.37 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90 | % | $4.51 | |||||||||||
| AQR Risk Parity Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,056.70 | 0.94 | % | $4.79 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.13 | 0.94 | % | $4.71 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,055.80 | 1.20 | % | $6.12 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,057.80 | 0.85 | % | $4.34 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
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Table of Contents
| Fund Expense Examples (Unaudited) |
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/17 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES ENDING |
|||||||||||||
| AQR Risk Parity II HV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,030.90 | 1.30 | % | $6.55 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.35 | 1.30 | % | $6.51 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,029.70 | 1.58 | % | $7.95 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.96 | 1.58 | % | $7.90 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,032.10 | 1.23 | % | $6.20 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.70 | 1.23 | % | $6.16 | |||||||||||
| AQR Risk Parity II MV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,022.30 | 0.95 | % | $4.76 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95 | % | $4.76 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,021.20 | 1.20 | % | $6.01 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,022.30 | 0.85 | % | $4.26 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
| AQR Style Premia Alternative Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,013.10 | 2.51 | % | $12.53 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.35 | 2.51 | % | $12.52 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,012.10 | 2.77 | % | $13.82 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,011.06 | 2.77 | % | $13.81 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,014.10 | 2.42 | % | $12.09 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.79 | 2.42 | % | $12.08 | |||||||||||
| AQR Style Premia Alternative LV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,009.60 | 1.41 | % | $7.03 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.80 | 1.41 | % | $7.05 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,008.70 | 1.66 | % | $8.27 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.56 | 1.66 | % | $8.30 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,010.60 | 1.31 | % | $6.53 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.30 | 1.31 | % | $6.56 | |||||||||||
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).
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Table of Contents
Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Adviser
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
JPMorgan Chase Bank, N.A.
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 https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
Table of Contents
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248
p: +1.866.290.2688 | w: https://funds.aqr.com
Table of Contents
Semi-Annual Report
June 30, 2017 (Unaudited)
AQR Managed Futures Strategy Fund
AQR Managed Futures Strategy HV Fund
Table of Contents
| Schedule of Investments | ||||
| 2 | ||||
| 15 | ||||
| Financial Statements and Notes | 26 | |||
| Fund Expense Examples | 48 | |||
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| (a) | Represents 7-day effective yield as of 6/30/2017. |
| (b) | All or a portion of the security represents positions held in the respective Subsidiary (See Note 2). |
| (c) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (d) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended June 30, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/16 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT |
VALUE AT 06/30/17 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED (DEPRECIATION) | ||||||||||
| Other Controlled Affiliates | ||||||||||||||||||
| Limited Purpose Cash Investment Fund (Short-Term Investment) | — | 2,442,195,419 | (1,822,492,426) | 619,702,993 | $619,641,022 | $449,726 | $(9,459) | $— | ||||||||||
|
| ||||||||||||||||||
| (e) | All or a portion of the security pledged as collateral for futures contracts. |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 security (See Note 5).
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
2
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| MSCS | Bovespa Index August Futures | 08/2017 | BRL | (263,768,338 | ) | $(1,705,514 | ) | |||||||
| GSIN | Coffee ‘C’ September Futures^ | 08/2017 | USD | (9,186,712 | ) | (5,100 | ) | |||||||
| MACQ | Coffee ‘C’ September Futures^ | 08/2017 | USD | (11,810,383 | ) | (303,954 | ) | |||||||
| CITI | Corn September Futures^ | 08/2017 | USD | (55,213,813 | ) | 1,378,513 | ||||||||
| MLIN | Corn September Futures^ | 08/2017 | USD | (30,546,094 | ) | 732,844 | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | 6,909,435 | (427,680 | ) | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | (6,523,335 | ) | 41,580 | ||||||||
| MACQ | Cotton No. 2 December Futures^ | 11/2017 | USD | (10,991,250 | ) | (86,035 | ) | |||||||
| MACQ | Cotton No. 2 December Futures^ | 11/2017 | USD | 11,808,905 | (731,621 | ) | ||||||||
| MLIN | Cotton No. 2 December Futures^ | 11/2017 | USD | 10,202,870 | (634,565 | ) | ||||||||
| MLIN | Cotton No. 2 December Futures^ | 11/2017 | USD | (9,891,490 | ) | 323,185 | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | (16,937,022 | ) | 818,372 | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | 17,171,995 | (1,053,346 | ) | ||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 179,719,965 | (80,048 | ) | ||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 1,296,627,351 | (423,267 | ) | ||||||||
| MSCS | Hang Seng Index July Futures | 07/2017 | HKD | 298,751,793 | (87,900 | ) | ||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 9,843,047 | 720,478 | |||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (13,017,732 | ) | (1,728,843 | ) | |||||||
| MLIN | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (93,313 | ) | (12,588 | ) | |||||||
| MLIN | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 96,100 | 9,800 | |||||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (5,627,796 | ) | (752,679 | ) | |||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 5,764,424 | 616,051 | |||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 109,836,442 | (161,402 | ) | ||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 1,609,915,641 | (1,713,975 | ) | ||||||||
| GSIN | KOSPI Index 200 September Futures | 09/2017 | KRW | 32,037,417,525 | 444,044 | |||||||||
| MSCS | KOSPI Index 200 September Futures | 09/2017 | KRW | 328,146,347,300 | 4,483,439 | |||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | (1,454,400 | ) | (53,100 | ) | |||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | 1,456,740 | 50,760 | |||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | 4,941,192 | 150,808 | |||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | (13,679,465 | ) | (491,035 | ) | |||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | (18,658,548 | ) | (3,272,702 | ) | |||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | 19,274,200 | 2,657,050 | |||||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | (24,323,894 | ) | (4,204,856 | ) | |||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | 25,268,438 | 3,260,312 | |||||||||
| MLIN | Lean Hogs July Futures^ | 07/2017 | USD | (11,085,642 | ) | (1,964,358 | ) | |||||||
| MLIN | Lean Hogs July Futures^ | 07/2017 | USD | 11,923,040 | 1,126,960 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 16,365,701 | 1,686,799 | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (15,386,725 | ) | (2,665,775 | ) | |||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 20,604,145 | (833,145 | ) | ||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | (147,435 | ) | 7,875 | ||||||||
| MLIN | Live Cattle August Futures^ | 08/2017 | USD | (7,531,220 | ) | 227,580 | ||||||||
| MLIN | Live Cattle August Futures^ | 08/2017 | USD | 67,351,137 | (3,200,057 | ) | ||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 102,282,936 | (4,172,256 | ) | ||||||||
| MSCS | MSCI Singapore Index July Futures | 07/2017 | SGD | 40,577,209 | 76,882 | |||||||||
| BANA | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 9,878,867 | (130,777 | ) | ||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 149,679,510 | (1,184,890 | ) | ||||||||
| MSCS | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 90,096,157 | (1,014,797 | ) | ||||||||
| BANA | OMXS30 Index July Futures | 07/2017 | SEK | 591,253,763 | (1,933,310 | ) | ||||||||
| GSIN | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 54,530,524 | (84,704 | ) | ||||||||
| MSCS | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 47,697,815 | (143,389 | ) | ||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | (91,468,731 | ) | (926,549 | ) | |||||||
| MACQ | Soybean Meal December Futures^ | 11/2017 | USD | (25,004,549 | ) | (140,411 | ) | |||||||
| MLIN | Soybean Meal December Futures^ | 11/2017 | USD | (74,593,070 | ) | (406,130 | ) | |||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
3
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| SOCG | Soybean Meal December Futures^ | 11/2017 | USD | (31,791,323 | ) | $ (168,917 | ) | |||||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | (214,058,319 | ) | (3,338,256 | ) | |||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (77,104,941 | ) | (1,184,559 | ) | |||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 17,875,057 | 265,193 | |||||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | (149,431,019 | ) | (1,944,593 | ) | |||||||||
| MLIN | Soybean November Futures^ | 10/2017 | USD | (61,328,563 | ) | (873,400 | ) | |||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | (10,413,451 | ) | (136,537 | ) | |||||||||
| GSIN | Soybean Oil December Futures^ | 11/2017 | USD | 1,662,468 | (22,140 | ) | ||||||||||
| GSIN | Soybean Oil December Futures^ | 11/2017 | USD | (8,622,444 | ) | (259,332 | ) | |||||||||
| MACQ | Soybean Oil December Futures^ | 11/2017 | USD | (10,314,041 | ) | (328,087 | ) | |||||||||
| MACQ | Soybean Oil December Futures^ | 11/2017 | USD | 8,075,970 | 145,674 | |||||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 307,639 | 12,425 | |||||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | (310,211 | ) | (9,853 | ) | |||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | 81,693,852 | 300,675 | |||||||||||
| MSCS | Swiss Market Index September Futures | 09/2017 | CHF | 144,480,960 | 495,929 | |||||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 3,393,951,653 | 2,688,219 | |||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | 102,176,890 | 9,203,610 | |||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | (96,934,091 | ) | (14,446,410 | ) | |||||||||
| MACQ | Wheat September Futures^ | 08/2017 | USD | 4,942,898 | 54,103 | |||||||||||
| MACQ | Wheat September Futures^ | 08/2017 | USD | (16,711,064 | ) | (2,461,636 | ) | |||||||||
| MLIN | Wheat September Futures^ | 08/2017 | USD | 238,750 | 24,250 | |||||||||||
| MLIN | Wheat September Futures^ | 08/2017 | USD | (227,887 | ) | (35,113 | ) | |||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | 75,415,711 | 7,850,089 | |||||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | (72,466,801 | ) | (10,798,999 | ) | |||||||||
|
|
|
|||||||||||||||
| $(32,885,091 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 3,264 | MSCL | Copper Futures^ | 09/2017 | $212,761,988 | $221,217,600 | $8,455,612 | ||||||||||||||
| 474 | MSCL | Hard Red Winter Wheat Futures^ | 09/2017 | 11,633,793 | 12,549,150 | 915,357 | ||||||||||||||
| 33 | MSCL | Live Cattle Futures^ | 08/2017 | 1,620,688 | 1,535,160 | (85,528 | ) | |||||||||||||
| 263 | JPPC | LME Aluminum Futures^ | 07/2017 | 12,871,607 | 12,581,263 | (290,344 | ) | |||||||||||||
| 493 | JPPC | LME Aluminum Futures^ | 08/2017 | 23,596,519 | 23,570,576 | (25,943 | ) | |||||||||||||
| 444 | JPPC | LME Aluminum Futures^ | 08/2017 | 21,330,370 | 21,229,638 | (100,732 | ) | |||||||||||||
| 276 | JPPC | LME Aluminum Futures^ | 08/2017 | 13,232,970 | 13,197,975 | (34,995 | ) | |||||||||||||
| 204 | JPPC | LME Aluminum Futures^ | 08/2017 | 9,631,850 | 9,758,442 | 126,592 | ||||||||||||||
| 278 | JPPC | LME Aluminum Futures^ | 08/2017 | 13,066,820 | 13,299,381 | 232,561 | ||||||||||||||
| 261 | JPPC | LME Aluminum Futures^ | 08/2017 | 12,182,286 | 12,487,219 | 304,933 | ||||||||||||||
| 267 | JPPC | LME Aluminum Futures^ | 08/2017 | 12,590,425 | 12,774,815 | 184,390 | ||||||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 08/2017 | 486,721 | 478,740 | (7,981 | ) | |||||||||||||
| 124 | JPPC | LME Aluminum Futures^ | 08/2017 | 6,067,935 | 5,936,903 | (131,032 | ) | |||||||||||||
| 253 | JPPC | LME Aluminum Futures^ | 08/2017 | 12,119,544 | 12,119,712 | 168 | ||||||||||||||
| 118 | JPPC | LME Aluminum Futures^ | 09/2017 | 5,595,981 | 5,655,740 | 59,759 | ||||||||||||||
| 137 | JPPC | LME Aluminum Futures^ | 09/2017 | 6,418,854 | 6,571,719 | 152,865 | ||||||||||||||
| 1,941 | JPPC | LME Aluminum Futures^ | 09/2017 | 93,873,192 | 93,143,737 | (729,455 | ) | |||||||||||||
| 123 | JPPC | LME Aluminum Futures^ | 09/2017 | 5,781,051 | 5,902,001 | 120,950 | ||||||||||||||
| 520 | JPPC | LME Aluminum Futures^ | 09/2017 | 24,424,743 | 24,943,750 | 519,007 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
4
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 72 | JPPC | LME Aluminum Futures^ | 09/2017 | $3,370,676 | $3,454,002 | $83,326 | ||||||||||||||
| 13 | JPPC | LME Aluminum Futures^ | 09/2017 | 607,813 | 623,652 | 15,839 | ||||||||||||||
| 15 | JPPC | LME Aluminum Futures^ | 09/2017 | 707,662 | 719,610 | 11,948 | ||||||||||||||
| 36 | JPPC | LME Aluminum Futures^ | 09/2017 | 1,717,409 | 1,727,100 | 9,691 | ||||||||||||||
| 29 | JPPC | LME Copper Futures^ | 07/2017 | 4,130,144 | 4,298,888 | 168,744 | ||||||||||||||
| 82 | JPPC | LME Copper Futures^ | 08/2017 | 11,301,791 | 12,157,136 | 855,345 | ||||||||||||||
| 50 | JPPC | LME Copper Futures^ | 08/2017 | 6,862,648 | 7,413,438 | 550,790 | ||||||||||||||
| 51 | JPPC | LME Copper Futures^ | 08/2017 | 7,094,100 | 7,561,872 | 467,772 | ||||||||||||||
| 480 | JPPC | LME Copper Futures^ | 09/2017 | 68,034,041 | 71,283,000 | 3,248,959 | ||||||||||||||
| 238 | JPPC | LME Nickel Futures^ | 07/2017 | 13,245,283 | 13,365,666 | 120,383 | ||||||||||||||
| 208 | JPPC | LME Nickel Futures^ | 08/2017 | 11,452,803 | 11,696,518 | 243,715 | ||||||||||||||
| 218 | JPPC | LME Nickel Futures^ | 09/2017 | 11,609,034 | 12,270,021 | 660,987 | ||||||||||||||
| 12 | JPPC | LME Nickel Futures^ | 09/2017 | 660,814 | 675,900 | 15,086 | ||||||||||||||
| 27 | JPPC | LME Nickel Futures^ | 09/2017 | 1,482,380 | 1,520,613 | 38,233 | ||||||||||||||
| 25 | JPPC | LME Nickel Futures^ | 09/2017 | 1,369,561 | 1,408,275 | 38,714 | ||||||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | 164,203 | 169,002 | 4,799 | ||||||||||||||
| 9 | JPPC | LME Nickel Futures^ | 09/2017 | 497,384 | 507,033 | 9,649 | ||||||||||||||
| 7 | JPPC | LME Nickel Futures^ | 09/2017 | 391,349 | 394,380 | 3,031 | ||||||||||||||
| 102 | JPPC | LME Zinc Futures^ | 07/2017 | 6,592,000 | 7,025,888 | 433,888 | ||||||||||||||
| 139 | JPPC | LME Zinc Futures^ | 07/2017 | 8,987,616 | 9,578,838 | 591,222 | ||||||||||||||
| 81 | JPPC | LME Zinc Futures^ | 07/2017 | 5,153,317 | 5,582,419 | 429,102 | ||||||||||||||
| 115 | JPPC | LME Zinc Futures^ | 07/2017 | 7,486,494 | 7,925,771 | 439,277 | ||||||||||||||
| 57 | JPPC | LME Zinc Futures^ | 07/2017 | 3,735,777 | 3,928,468 | 192,691 | ||||||||||||||
| 4 | JPPC | LME Zinc Futures^ | 07/2017 | 261,662 | 275,696 | 14,034 | ||||||||||||||
| 185 | JPPC | LME Zinc Futures^ | 07/2017 | 12,130,672 | 12,751,310 | 620,638 | ||||||||||||||
| 324 | JPPC | LME Zinc Futures^ | 09/2017 | 22,032,875 | 22,356,000 | 323,125 | ||||||||||||||
| 39 | JPPC | LME Zinc Futures^ | 09/2017 | 2,645,376 | 2,689,372 | 43,996 | ||||||||||||||
| 33 | JPPC | LME Zinc Futures^ | 09/2017 | 2,243,503 | 2,275,350 | 31,847 | ||||||||||||||
| 56 | JPPC | LME Zinc Futures^ | 09/2017 | 3,835,438 | 3,861,200 | 25,762 | ||||||||||||||
| 56 | JPPC | LME Zinc Futures^ | 09/2017 | 3,824,981 | 3,861,200 | 36,219 | ||||||||||||||
| 62 | JPPC | LME Zinc Futures^ | 09/2017 | 4,266,091 | 4,274,900 | 8,809 | ||||||||||||||
| 919 | MSCL | NYMEX Palladium Futures^ | 09/2017 | 73,267,531 | 76,888,135 | 3,620,604 | ||||||||||||||
| 167 | MSCL | Soybean Oil Futures^ | 12/2017 | 3,300,545 | 3,340,668 | 40,123 | ||||||||||||||
| 185 | MSCL | Wheat Futures^ | 09/2017 | 4,516,490 | 4,865,500 | 349,010 | ||||||||||||||
| 1,588 | BARC | Amsterdam Index Futures | 07/2017 | 190,140,864 | 183,731,273 | (6,409,591 | ) | |||||||||||||
| 5,167 | BARC | CAC40 Index Futures | 07/2017 | 311,473,219 | 301,949,684 | (9,523,535 | ) | |||||||||||||
| 955 | BARC | DAX Index Futures | 09/2017 | 348,797,788 | 335,951,998 | (12,845,790 | ) | |||||||||||||
| 4,409 | BARC | E-Mini DJIA CBOT Futures | 09/2017 | 468,409,552 | 469,558,500 | 1,148,948 | ||||||||||||||
| 1,419 | JPMS | E-Mini MSCI EAFE Index Futures | 09/2017 | 134,157,241 | 134,067,120 | (90,121 | ) | |||||||||||||
| 5,437 | JPMS | E-Mini MSCI Emerging Markets Index Futures | 09/2017 | 273,262,847 | 274,106,355 | 843,508 | ||||||||||||||
| 2,119 | BARC | E-Mini Russell 2000 Futures | 09/2017 | 150,463,208 | 149,845,085 | (618,123 | ) | |||||||||||||
| 7,635 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 309,942,724 | 299,194,013 | (10,748,711 | ) | |||||||||||||
| 3,348 | BARC | FTSE 100 Index Futures | 09/2017 | 325,324,279 | 315,816,632 | (9,507,647 | ) | |||||||||||||
| 1,947 | GSCO | FTSE Bursa Malaysia KLCI Index Futures | 09/2017 | 301,434,638 | 300,519,741 | (914,897 | ) | |||||||||||||
| 293 | BARC | FTSE/MIB Index Futures | 09/2017 | 35,211,810 | 34,299,946 | (911,864 | ) | |||||||||||||
| 676 | BARC | Hang Seng Index Futures | 07/2017 | 111,089,838 | 110,762,541 | (327,297 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
5
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 645 | BARC | H-SHARES Index Futures | 07/2017 | $42,475,595 | $42,112,182 | $(363,413 | ) | |||||||||||||
| 1,570 | BARC | IBEX 35 Index Futures | 07/2017 | 193,858,501 | 186,596,047 | (7,262,454 | ) | |||||||||||||
| 1,009 | BARC | KOSPI Index 200 Futures | 09/2017 | 67,952,427 | 68,984,858 | 1,032,431 | ||||||||||||||
| 104 | JPMS | KOSPI Index 200 Futures | 09/2017 | 7,015,854 | 7,110,432 | 94,578 | ||||||||||||||
| 1,509 | BARC | MSCI Singapore Index Futures | 07/2017 | 39,162,521 | 39,288,255 | 125,734 | ||||||||||||||
| 166 | BARC | MSCI Taiwan Stock Index Futures | 07/2017 | 6,471,003 | 6,395,980 | (75,023 | ) | |||||||||||||
| 4,425 | BARC | NASDAQ 100 E-Mini Index Futures | 09/2017 | 510,688,142 | 500,268,375 | (10,419,767 | ) | |||||||||||||
| 1,698 | JPMS | Nikkei 225 Futures | 09/2017 | 303,956,259 | 302,235,696 | (1,720,563 | ) | |||||||||||||
| 5,351 | JPMS | OMXS30 Index Futures | 07/2017 | 104,905,666 | 101,799,652 | (3,106,014 | ) | |||||||||||||
| 4,152 | BARC | S&P 500 E-Mini Futures | 09/2017 | 504,417,830 | 502,578,840 | (1,838,990 | ) | |||||||||||||
| 1,357 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 188,917,683 | 186,095,682 | (2,822,001 | ) | |||||||||||||
| 651 | BARC | S&PMID 400 E-Mini Futures | 09/2017 | 114,291,520 | 113,671,110 | (620,410 | ) | |||||||||||||
| 805 | BARC | SPI 200 Index Futures | 09/2017 | 88,438,833 | 87,379,150 | (1,059,683 | ) | |||||||||||||
| 2,700 | BARC | TOPIX Index Futures | 09/2017 | 384,769,257 | 386,845,966 | 2,076,709 | ||||||||||||||
| 84 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | 24,059,550 | 24,053,507 | (6,043 | ) | |||||||||||||
| 1,121 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | 320,953,183 | 320,743,714 | (209,469 | ) | |||||||||||||
| 1,125 | JPMS | 3-Month Euro Euribor Futures | 12/2018 | 321,840,586 | 321,518,791 | (321,795 | ) | |||||||||||||
| 351 | JPMS | 3-Month Euro Euribor Futures | 03/2019 | 100,368,383 | 100,248,717 | (119,666 | ) | |||||||||||||
| 1,282 | JPMS | 90-Day Sterling Futures | 12/2017 | 208,001,132 | 207,674,038 | (327,094 | ) | |||||||||||||
| 1,209 | JPMS | 90-Day Sterling Futures | 12/2018 | 195,810,804 | 195,317,137 | (493,667 | ) | |||||||||||||
| 1,960 | JPMS | 90-Day Sterling Futures | 03/2019 | 317,331,327 | 316,515,526 | (815,801 | ) | |||||||||||||
| 2,357 | JPMS | 90-Day Sterling Futures | 06/2019 | 381,630,222 | 380,434,240 | (1,195,982 | ) | |||||||||||||
| 181 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 03/2018 | 138,542,696 | 138,488,271 | (54,425 | ) | |||||||||||||
| 1,139 | JPMS | Australia 10-Year Bond Futures | 09/2017 | 114,988,390 | 113,158,554 | (1,829,836 | ) | |||||||||||||
| 1,854 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | 206,351,860 | 200,940,546 | (5,411,314 | ) | |||||||||||||
| 1,220 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2017 | 233,014,304 | 232,030,960 | (983,344 | ) | |||||||||||||
| 3,927 | GSCO | Euro-OAT Futures | 09/2017 | 672,256,967 | 665,965,912 | (6,291,055 | ) | |||||||||||||
| 1,571 | GSCO | Euro-SCHATZ Futures | 09/2017 | 201,229,501 | 200,694,428 | (535,073 | ) | |||||||||||||
| 6,218 | GSCO | Long Gilt Futures | 09/2017 | 1,032,004,955 | 1,016,945,447 | (15,059,508 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 10,793,679,759 | 10,707,575,243 | (86,104,516 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 7,898 | GSCO | Brent Crude Futures^ | 07/2017 | $(367,911,927 | ) | $(385,185,460 | ) | $(17,273,533 | ) | |||||||||||
| 1,482 | GSCO | Cocoa Futures^ | 09/2017 | (30,065,873 | ) | (29,436,020 | ) | 629,853 | ||||||||||||
| 1,131 | MSCL | Cocoa Futures^ | 09/2017 | (21,044,673 | ) | (21,941,400 | ) | (896,727 | ) | |||||||||||
| 2,906 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | (140,093,646 | ) | (136,981,575 | ) | 3,112,071 | ||||||||||||
| 3,170 | MSCL | Corn Futures^ | 09/2017 | (58,445,620 | ) | (60,388,500 | ) | (1,942,880 | ) | |||||||||||
| 763 | MSCL | Cotton No. 2 Futures^ | 12/2017 | (25,606,063 | ) | (26,167,085 | ) | (561,022 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
6
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 6,385 | GSCO | Gas Oil Futures^ | 08/2017 | $(267,957,111 | ) | $(278,386,000 | ) | $(10,428,889 | ) | |||||||||||
| 2,572 | MSCL | Gasoline RBOB Futures^ | 07/2017 | (157,542,066 | ) | (163,515,929 | ) | (5,973,863 | ) | |||||||||||
| 3,366 | MSCL | Gold 100 OZ Futures^ | 08/2017 | (419,803,919 | ) | (418,158,180 | ) | 1,645,739 | ||||||||||||
| 3,775 | MSCL | Heating Oil ULSD Futures^ | 07/2017 | (223,747,037 | ) | (235,145,505 | ) | (11,398,468 | ) | |||||||||||
| 31 | MSCL | Lean Hogs Futures^ | 08/2017 | (984,786 | ) | (1,038,500 | ) | (53,714 | ) | |||||||||||
| 263 | JPPC | LME Aluminum Futures^ | 07/2017 | (12,823,081 | ) | (12,581,263 | ) | 241,818 | ||||||||||||
| 493 | JPPC | LME Aluminum Futures^ | 08/2017 | (23,598,095 | ) | (23,570,577 | ) | 27,518 | ||||||||||||
| 444 | JPPC | LME Aluminum Futures^ | 08/2017 | (21,304,231 | ) | (21,229,638 | ) | 74,593 | ||||||||||||
| 276 | JPPC | LME Aluminum Futures^ | 08/2017 | (13,181,622 | ) | (13,197,975 | ) | (16,353 | ) | |||||||||||
| 204 | JPPC | LME Aluminum Futures^ | 08/2017 | (9,597,901 | ) | (9,758,442 | ) | (160,541 | ) | |||||||||||
| 278 | JPPC | LME Aluminum Futures^ | 08/2017 | (13,061,362 | ) | (13,299,381 | ) | (238,019 | ) | |||||||||||
| 261 | JPPC | LME Aluminum Futures^ | 08/2017 | (12,217,370 | ) | (12,487,219 | ) | (269,849 | ) | |||||||||||
| 267 | JPPC | LME Aluminum Futures^ | 08/2017 | (12,566,430 | ) | (12,774,815 | ) | (208,385 | ) | |||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 08/2017 | (485,726 | ) | (478,741 | ) | 6,985 | ||||||||||||
| 124 | JPPC | LME Aluminum Futures^ | 08/2017 | (6,081,096 | ) | (5,936,903 | ) | 144,193 | ||||||||||||
| 253 | JPPC | LME Aluminum Futures^ | 08/2017 | (12,092,555 | ) | (12,119,712 | ) | (27,157 | ) | |||||||||||
| 118 | JPPC | LME Aluminum Futures^ | 09/2017 | (5,604,711 | ) | (5,655,740 | ) | (51,029 | ) | |||||||||||
| 137 | JPPC | LME Aluminum Futures^ | 09/2017 | (6,414,627 | ) | (6,571,719 | ) | (157,092 | ) | |||||||||||
| 904 | JPPC | LME Aluminum Futures^ | 09/2017 | (42,449,873 | ) | (43,380,700 | ) | (930,827 | ) | |||||||||||
| 123 | JPPC | LME Aluminum Futures^ | 09/2017 | (5,773,556 | ) | (5,902,001 | ) | (128,445 | ) | |||||||||||
| 520 | JPPC | LME Aluminum Futures^ | 09/2017 | (24,365,355 | ) | (24,943,750 | ) | (578,395 | ) | |||||||||||
| 72 | JPPC | LME Aluminum Futures^ | 09/2017 | (3,355,819 | ) | (3,454,002 | ) | (98,183 | ) | |||||||||||
| 13 | JPPC | LME Aluminum Futures^ | 09/2017 | (608,777 | ) | (623,652 | ) | (14,875 | ) | |||||||||||
| 15 | JPPC | LME Aluminum Futures^ | 09/2017 | (708,638 | ) | (719,610 | ) | (10,972 | ) | |||||||||||
| 36 | JPPC | LME Aluminum Futures^ | 09/2017 | (1,715,999 | ) | (1,727,100 | ) | (11,101 | ) | |||||||||||
| 29 | JPPC | LME Copper Futures^ | 07/2017 | (4,135,098 | ) | (4,298,888 | ) | (163,790 | ) | |||||||||||
| 82 | JPPC | LME Copper Futures^ | 08/2017 | (11,317,916 | ) | (12,157,136 | ) | (839,220 | ) | |||||||||||
| 50 | JPPC | LME Copper Futures^ | 08/2017 | (6,888,136 | ) | (7,413,437 | ) | (525,301 | ) | |||||||||||
| 51 | JPPC | LME Copper Futures^ | 08/2017 | (7,093,357 | ) | (7,561,872 | ) | (468,515 | ) | |||||||||||
| 238 | JPPC | LME Nickel Futures^ | 07/2017 | (13,192,460 | ) | (13,365,666 | ) | (173,206 | ) | |||||||||||
| 208 | JPPC | LME Nickel Futures^ | 08/2017 | (11,560,224 | ) | (11,696,518 | ) | (136,294 | ) | |||||||||||
| 218 | JPPC | LME Nickel Futures^ | 09/2017 | (11,630,152 | ) | (12,270,021 | ) | (639,869 | ) | |||||||||||
| 323 | JPPC | LME Nickel Futures^ | 09/2017 | (17,457,998 | ) | (18,192,975 | ) | (734,977 | ) | |||||||||||
| 27 | JPPC | LME Nickel Futures^ | 09/2017 | (1,483,807 | ) | (1,520,613 | ) | (36,806 | ) | |||||||||||
| 25 | JPPC | LME Nickel Futures^ | 09/2017 | (1,366,018 | ) | (1,408,275 | ) | (42,257 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | (164,009 | ) | (169,002 | ) | (4,993 | ) | |||||||||||
| 9 | JPPC | LME Nickel Futures^ | 09/2017 | (496,773 | ) | (507,033 | ) | (10,260 | ) | |||||||||||
| 7 | JPPC | LME Nickel Futures^ | 09/2017 | (391,716 | ) | (394,380 | ) | (2,664 | ) | |||||||||||
| 102 | JPPC | LME Zinc Futures^ | 07/2017 | (6,623,693 | ) | (7,025,888 | ) | (402,195 | ) | |||||||||||
| 139 | JPPC | LME Zinc Futures^ | 07/2017 | (8,929,710 | ) | (9,578,837 | ) | (649,127 | ) | |||||||||||
| 81 | JPPC | LME Zinc Futures^ | 07/2017 | (5,172,909 | ) | (5,582,418 | ) | (409,509 | ) | |||||||||||
| 115 | JPPC | LME Zinc Futures^ | 07/2017 | (7,521,997 | ) | (7,925,771 | ) | (403,774 | ) | |||||||||||
| 57 | JPPC | LME Zinc Futures^ | 07/2017 | (3,713,233 | ) | (3,928,469 | ) | (215,236 | ) | |||||||||||
| 4 | JPPC | LME Zinc Futures^ | 07/2017 | (260,747 | ) | (275,696 | ) | (14,949 | ) | |||||||||||
| 185 | JPPC | LME Zinc Futures^ | 07/2017 | (12,102,386 | ) | (12,751,311 | ) | (648,925 | ) | |||||||||||
| 39 | JPPC | LME Zinc Futures^ | 09/2017 | (2,652,879 | ) | (2,689,371 | ) | (36,492 | ) | |||||||||||
| 33 | JPPC | LME Zinc Futures^ | 09/2017 | (2,243,094 | ) | (2,275,350 | ) | (32,256 | ) | |||||||||||
| 56 | JPPC | LME Zinc Futures^ | 09/2017 | (3,831,259 | ) | (3,861,200 | ) | (29,941 | ) | |||||||||||
| 56 | JPPC | LME Zinc Futures^ | 09/2017 | (3,829,213 | ) | (3,861,200 | ) | (31,987 | ) | |||||||||||
| 62 | JPPC | LME Zinc Futures^ | 09/2017 | (4,285,869 | ) | (4,274,900 | ) | 10,969 | ||||||||||||
| 10,222 | MSCL | Natural Gas Futures^ | 07/2017 | (304,213,036 | ) | (310,237,700 | ) | (6,024,664 | ) | |||||||||||
| 1,227 | MSCL | Platinum Futures^ | 10/2017 | (56,813,621 | ) | (56,834,640 | ) | (21,019 | ) | |||||||||||
| 2,539 | MSCL | Silver Futures^ | 09/2017 | (210,170,573 | ) | (211,079,765 | ) | (909,192 | ) | |||||||||||
| 79 | MSCL | Soybean Futures^ | 11/2017 | (3,703,969 | ) | (3,771,263 | ) | (67,294 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
7
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 1,988 | MSCL | Soybean Meal Futures^ | 12/2017 | $(61,269,301 | ) | $(61,866,560 | ) | $(597,259 | ) | |||||||||||
| 9,659 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | (155,397,687 | ) | (149,397,684 | ) | 6,000,003 | ||||||||||||
| 9,732 | MSCL | WTI Crude Futures^ | 07/2017 | (440,703,111 | ) | (448,061,280 | ) | (7,358,169 | ) | |||||||||||
| 1,376 | JPMS | FTSE China Index Futures | 07/2017 | (15,656,113 | ) | (15,634,800 | ) | 21,313 | ||||||||||||
| 2,014 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (2,694,004,617 | ) | (2,687,899,889 | ) | 6,104,728 | ||||||||||||
| 1,431 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | (409,650,393 | ) | (409,625,669 | ) | 24,724 | ||||||||||||
| 347 | JPMS | 3-Month Euro Euribor Futures | 09/2018 | (99,238,148 | ) | (99,235,088 | ) | 3,060 | ||||||||||||
| 1,499 | JPMS | 3-Month Euro Euribor Futures | 06/2019 | (427,891,733 | ) | (427,870,901 | ) | 20,832 | ||||||||||||
| 9,966 | JPMS | 90-Day EURODollar Futures | 12/2017 | (2,455,775,873 | ) | (2,454,750,375 | ) | 1,025,498 | ||||||||||||
| 4,392 | JPMS | 90-Day EURODollar Futures | 03/2018 | (1,081,441,090 | ) | (1,080,871,200 | ) | 569,890 | ||||||||||||
| 1,423 | JPMS | 90-Day EURODollar Futures | 06/2018 | (350,080,535 | ) | (349,933,488 | ) | 147,047 | ||||||||||||
| 1,762 | JPMS | 90-Day EURODollar Futures | 09/2018 | (432,683,749 | ) | (432,967,450 | ) | (283,701 | ) | |||||||||||
| 2,471 | JPMS | 90-Day EURODollar Futures | 12/2018 | (605,650,608 | ) | (606,630,500 | ) | (979,892 | ) | |||||||||||
| 3,444 | JPMS | 90-Day EURODollar Futures | 03/2019 | (841,800,697 | ) | (845,028,450 | ) | (3,227,753 | ) | |||||||||||
| 3,012 | JPMS | 90-Day EURODollar Futures | 06/2019 | (739,410,349 | ) | (738,580,050 | ) | 830,299 | ||||||||||||
| 744 | JPMS | 90-Day Sterling Futures | 03/2018 | (120,417,184 | ) | (120,425,317 | ) | (8,133 | ) | |||||||||||
| 1,144 | JPMS | 90-Day Sterling Futures | 06/2018 | (185,013,447 | ) | (185,021,091 | ) | (7,644 | ) | |||||||||||
| 618 | JPMS | 90-Day Sterling Futures | 09/2018 | (99,878,865 | ) | (99,889,846 | ) | (10,981 | ) | |||||||||||
| 226 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 12/2017 | (172,959,306 | ) | (172,948,774 | ) | 10,532 | ||||||||||||
| 11,618 | JPMS | Australia 3-Year Bond Futures | 09/2017 | (999,109,974 | ) | (997,015,179 | ) | 2,094,795 | ||||||||||||
| 837 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2018 | (159,191,588 | ) | (159,051,299 | ) | 140,289 | ||||||||||||
| 632 | MSCL | CME Ultra Long Term U.S. Treasury Bond Futures | 09/2017 | (103,167,887 | ) | (104,833,000 | ) | (1,665,113 | ) | |||||||||||
| 141 | JPMS | Euro CHF 3-Month LIFFE Futures | 09/2017 | (37,036,017 | ) | (37,025,550 | ) | 10,467 | ||||||||||||
| 2,126 | JPMS | Euro CHF 3-Month LIFFE Futures | 12/2017 | (558,476,782 | ) | (558,105,485 | ) | 371,297 | ||||||||||||
| 1,562 | JPMS | Euro CHF 3-Month LIFFE Futures | 03/2018 | (410,202,271 | ) | (409,925,227 | ) | 277,044 | ||||||||||||
| 1,026 | JPMS | Euro CHF 3-Month LIFFE Futures | 06/2018 | (269,368,222 | ) | (269,179,216 | ) | 189,006 | ||||||||||||
| 123 | GSCO | Euro-Bobl Futures | 09/2017 | (18,512,549 | ) | (18,501,802 | ) | 10,747 | ||||||||||||
| 173 | GSCO | Euro-Bund Futures | 09/2017 | (32,043,921 | ) | (31,984,209 | ) | 59,712 | ||||||||||||
| 1,445 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2017 | (273,105,543 | ) | (269,874,509 | ) | 3,231,034 | ||||||||||||
| 2,023 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | (254,438,463 | ) | (253,949,719 | ) | 488,744 | ||||||||||||
| 15,636 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2017 | (3,380,712,692 | ) | (3,379,086,187 | ) | 1,626,505 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
8
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 2,382 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2017 | $(280,985,079 | ) | $(280,685,203 | ) | $299,876 | ||||||||||||
| 1,100 | MSCL | U.S. Treasury Long Bond Futures | 09/2017 | (168,286,161 | ) | (169,056,250 | ) | (770,089 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (20,998,015,352 | ) | (21,048,577,936 | ) | (50,562,584 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(10,204,335,593 | ) | $(10,341,002,693 | ) | $(136,667,100 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 452,154,812 | $343,594,155 | $347,182,527 | $3,588,372 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 678,232,212 | 515,392,562 | 520,773,784 | 5,381,222 | ||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 205,248,797 | 61,403,496 | 60,974,312 | (429,184 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 297,199,195 | 88,934,690 | 88,290,487 | (644,203 | ) | |||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 1,483,222,774 | 1,121,964,814 | 1,145,183,109 | 23,218,295 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 2,224,834,154 | 1,682,949,770 | 1,717,774,650 | 34,824,880 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | 4,381,600 | 4,537,770 | 4,592,405 | 54,635 | ||||||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | 6,572,400 | 6,806,665 | 6,888,609 | 81,944 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | 35,235,658,649 | 52,840,826 | 52,959,230 | 118,404 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | 42,973,116,743 | 64,500,941 | 64,588,640 | 87,699 | ||||||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | 135,793,437,208 | 45,960,188 | 44,101,636 | (1,858,552 | ) | |||||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | 182,739,512,088 | 61,855,507 | 59,348,311 | (2,507,196 | ) | |||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 1,490,867,180 | 1,683,278,340 | 1,709,838,513 | 26,560,173 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 2,236,300,768 | 2,524,921,075 | 2,564,757,764 | 39,836,689 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 103,459,600 | 133,847,431 | 135,076,968 | 1,229,537 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 155,189,400 | 200,771,664 | 202,615,453 | 1,843,789 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 96,663,600 | 12,433,995 | 12,407,648 | (26,347 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 144,995,400 | 18,651,013 | 18,611,476 | (39,537 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 29,259,675,274 | 107,230,029 | 108,561,766 | 1,331,737 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
9
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 43,889,512,896 | $ 160,845,115 | $ 162,842,645 | $ 1,997,530 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | 761,535,418,368 | 56,644,192 | 56,648,335 | 4,143 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
JPMC | IDR | 1,130,267,823,576 | 84,070,171 | 84,077,232 | 7,061 | ||||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | 408,825,400 | 115,352,328 | 117,562,649 | 2,210,321 | ||||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | 578,985,600 | 163,286,835 | 166,494,254 | 3,207,419 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 8,956,266,716 | 137,489,876 | 137,379,048 | (110,828 | ) | |||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 12,533,983,092 | 192,360,010 | 192,257,188 | (102,822 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 42,668,843,050 | 389,267,885 | 380,662,960 | (8,604,925 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 64,003,264,566 | 583,902,224 | 570,994,436 | (12,907,788 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 341,385,150,079 | 304,815,355 | 298,435,143 | (6,380,212 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 502,051,605,153 | 448,258,102 | 438,887,991 | (9,370,111 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 5,591,495,209 | 299,803,151 | 304,307,114 | 4,503,963 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 8,370,616,799 | 448,791,046 | 455,555,825 | 6,764,779 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 1,485,629,206 | 177,023,191 | 178,220,161 | 1,196,970 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 2,228,443,802 | 265,530,781 | 267,330,240 | 1,799,459 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 1,973,466,366 | 1,412,623,622 | 1,444,073,665 | 31,450,043 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 2,960,199,538 | 2,118,938,403 | 2,166,110,494 | 47,172,091 | ||||||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | 1,322,627,184 | 26,528,791 | 26,031,905 | (496,886 | ) | |||||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | 1,958,701,768 | 39,288,758 | 38,551,103 | (737,655 | ) | |||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 941,924,800 | 252,197,519 | 254,097,747 | 1,900,228 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 1,411,534,200 | 377,939,550 | 380,781,626 | 2,842,076 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 799,616,433 | 94,185,613 | 95,336,970 | 1,151,357 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 1,140,651,647 | 134,502,963 | 135,998,045 | 1,495,082 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | 96,848,200 | 70,085,752 | 70,431,970 | 346,218 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | 138,484,800 | 100,220,062 | 100,711,806 | 491,744 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 578,042,804 | 159,231,440 | 160,662,484 | 1,431,044 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 867,064,204 | 238,836,767 | 240,993,728 | 2,156,961 | ||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | 4,460,570,397 | 148,661,164 | 146,732,510 | (1,928,654 | ) | |||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | 6,690,855,594 | 222,992,025 | 220,098,766 | (2,893,259 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
10
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 2,729,368,805 | $ 207,169,556 | $ 205,891,407 | $ (1,278,149 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 4,052,764,203 | 307,650,005 | 305,722,458 | (1,927,547 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 18,470,367,183 | 18,668,409,193 | 198,042,010 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | (616,343,782 | ) | $(458,537,252 | ) | $(473,253,375 | ) | $(14,716,123 | ) | ||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | (920,971,170 | ) | (685,120,385 | ) | (707,158,452 | ) | (22,038,067 | ) | ||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (93,944,600 | ) | (27,913,284 | ) | (27,908,604 | ) | 4,680 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (92,210,400 | ) | (27,395,415 | ) | (27,393,414 | ) | 2,001 | |||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (1,342,549,614 | ) | (998,268,384 | ) | (1,036,570,612 | ) | (38,302,228 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (2,013,824,419 | ) | (1,497,400,700 | ) | (1,554,855,916 | ) | (57,455,216 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (1,095,200 | ) | (1,132,852 | ) | (1,147,892 | ) | (15,040 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (1,642,800 | ) | (1,699,274 | ) | (1,721,838 | ) | (22,564 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | (3,962,881,753 | ) | (5,896,375 | ) | (5,956,216 | ) | (59,841 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | (4,634,453,591 | ) | (6,909,173 | ) | (6,965,588 | ) | (56,415 | ) | ||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | (83,864,093,954 | ) | (27,358,067 | ) | (27,236,541 | ) | 121,526 | |||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | (118,587,767,806 | ) | (38,627,789 | ) | (38,513,748 | ) | 114,041 | |||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (564,337,598 | ) | (634,503,232 | ) | (647,224,762 | ) | (12,721,530 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (846,506,394 | ) | (951,755,961 | ) | (970,837,143 | ) | (19,081,182 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (618,847,997 | ) | (798,768,376 | ) | (807,968,637 | ) | (9,200,261 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (928,271,995 | ) | (1,198,151,210 | ) | (1,211,952,955 | ) | (13,801,745 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (101,152,000 | ) | (13,013,370 | ) | (12,983,778 | ) | 29,592 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (151,728,000 | ) | (19,520,030 | ) | (19,475,668 | ) | 44,362 | |||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | (8,143,790,880 | ) | (29,777,705 | ) | (30,215,792 | ) | (438,087 | ) | ||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | (12,215,686,304 | ) | (44,661,699 | ) | (45,323,689 | ) | (661,990 | ) | ||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | (33,329,054,016 | ) | (2,481,222 | ) | (2,479,249 | ) | 1,973 | |||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | (61,460,600 | ) | (17,433,543 | ) | (17,673,733 | ) | (240,190 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | (29,531,400 | ) | (8,404,846 | ) | (8,492,108 | ) | (87,262 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
11
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | (1,825,376,786 | ) | $ (27,940,266 | ) | $ (27,999,224 | ) | $ (58,958 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | (2,364,853,166 | ) | (36,178,743 | ) | (36,274,185 | ) | (95,442 | ) | ||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | (169,670,872,406 | ) | (1,528,083,032 | ) | (1,513,690,353 | ) | 14,392,679 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | (254,506,308,594 | ) | (2,292,125,250 | ) | (2,270,535,529 | ) | 21,589,721 | |||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (305,119,396,407 | ) | (268,666,797 | ) | (266,732,020 | ) | 1,934,777 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (456,238,824,649 | ) | (401,720,776 | ) | (398,838,963 | ) | 2,881,813 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | (141,054,401 | ) | (7,739,882 | ) | (7,676,633 | ) | 63,249 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | (211,581,599 | ) | (11,609,864 | ) | (11,514,949 | ) | 94,915 | |||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (2,087,268,816 | ) | (247,695,923 | ) | (250,394,499 | ) | (2,698,576 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (3,127,354,220 | ) | (371,130,045 | ) | (375,166,001 | ) | (4,035,956 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | (343,169,593 | ) | (242,889,529 | ) | (251,112,551 | ) | (8,223,022 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | (514,754,389 | ) | (364,333,838 | ) | (376,668,826 | ) | (12,334,988 | ) | ||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | (2,367,236,420 | ) | (46,844,945 | ) | (46,591,869 | ) | 253,076 | |||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | (3,359,283,620 | ) | (66,449,585 | ) | (66,117,309 | ) | 332,276 | |||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | (49,958,800 | ) | (13,407,120 | ) | (13,477,105 | ) | (69,985 | ) | ||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | (24,121,200 | ) | (6,484,614 | ) | (6,507,040 | ) | (22,426 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (3,142,219,822 | ) | (363,225,403 | ) | (374,641,768 | ) | (11,416,365 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | (4,709,332,233 | ) | (544,373,394 | ) | (561,486,038 | ) | (17,112,644 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (25,263,800 | ) | (18,270,782 | ) | (18,372,868 | ) | (102,086 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (33,472,200 | ) | (24,194,974 | ) | (24,342,352 | ) | (147,378 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | (476,700,820 | ) | (130,152,100 | ) | (132,495,269 | ) | (2,343,169 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | (715,051,220 | ) | (195,225,792 | ) | (198,742,902 | ) | (3,517,110 | ) | ||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | (2,430,789,437 | ) | (80,697,377 | ) | (79,961,933 | ) | 735,444 | |||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | (3,448,395,635 | ) | (114,545,062 | ) | (113,436,557 | ) | 1,108,505 | |||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (532,555,198 | ) | (40,043,215 | ) | (40,173,590 | ) | (130,375 | ) | ||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (768,196,794 | ) | (57,724,636 | ) | (57,949,339 | ) | (224,703 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (14,996,483,088 | ) | (15,204,209,382 | ) | (207,726,294 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $3,473,884,095 | $3,464,199,811 | $(9,684,284 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
12
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(2,750,000 | ) | $— | $(2,750,000 | ) | |||||||
| Investment Companies | 20,000 | — | 20,000 | |||||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 274,630,342 | 274,630,342 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 98,468,684 | — | 98,468,684 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 21,432,941 | 21,432,941 | |||||||||
| U.S. Treasury Bills | — | 66,994,529 | 66,994,529 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (9,960,000 | ) | — | (9,960,000 | ) | |||||||
| Investment Companies | 60,484,434 | — | 60,484,434 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 266,492,292 | — | 266,492,292 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 8,478,408 | 8,478,408 | |||||||||
| U.S. Treasury Bills | — | 79,997,425 | 79,997,425 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 3,235,363 | 3,235,363 | |||||||||
| Investment Companies | 95,464,776 | — | 95,464,776 | |||||||||
| U.S. Treasury Bills | — | 15,285,885 | 15,285,885 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
13
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Cash | $(6,170,000 | ) | $— | $(6,170,000 | ) | |||||||
| Investment Companies | 22,284,666 | — | 22,284,666 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 16,077,599 | 16,077,599 | |||||||||
| U.S. Treasury Bills | — | 56,726,776 | 56,726,776 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 13,550,000 | — | 13,550,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 43,748 | 43,748 | |||||||||
| U.S. Treasury Bills | — | 20,412,169 | 20,412,169 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 15,740,000 | — | 15,740,000 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 24,330,000 | — | 24,330,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (13,381,032 | ) | (13,381,032 | ) | |||||||
| U.S. Treasury Bills | — | 136,299,777 | 136,299,777 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 16,870,000 | — | 16,870,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
14
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Total return swap contracts outstanding as of June 30, 2017:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| BANA | Bovespa Index August Futures | 08/2017 | BRL | (22,056,603 | ) | $(159,087 | ) | |||||||
| MACQ | Cocoa September Futures^ | 08/2017 | USD | 40,024 | (1,225 | ) | ||||||||
| MACQ | Cocoa September Futures^ | 08/2017 | USD | (40,405 | ) | 1,605 | ||||||||
| GSIN | Coffee ‘C’ September Futures^ | 08/2017 | USD | (894,600 | ) | (1,013 | ) | |||||||
| MACQ | Coffee ‘C’ September Futures^ | 08/2017 | USD | (1,149,167 | ) | (29,271 | ) | |||||||
| CITI | Corn September Futures^ | 08/2017 | USD | (7,072,252 | ) | 176,153 | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | 1,827,725 | (112,975 | ) | ||||||||
| GSIN | Cotton No. 2 December Futures^ | 11/2017 | USD | (1,714,605 | ) | (145 | ) | |||||||
| MACQ | Cotton No. 2 December Futures^ | 11/2017 | USD | 109,484 | (6,598 | ) | ||||||||
| MACQ | Cotton No. 2 December Futures^ | 11/2017 | USD | (103,025 | ) | 140 | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | 1,899,788 | (116,448 | ) | ||||||||
| SOCG | Cotton No. 2 December Futures^ | 11/2017 | USD | (1,866,840 | ) | 83,500 | ||||||||
| BANA | Hang Seng Index July Futures | 07/2017 | HKD | 21,823,927 | (9,821 | ) | ||||||||
| GSIN | Hang Seng Index July Futures | 07/2017 | HKD | 147,487,519 | (47,859 | ) | ||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 559,415 | 49,510 | |||||||||
| MACQ | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (701,166 | ) | (93,084 | ) | |||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | 538,368 | 44,082 | |||||||||
| SOCG | Hard Red Winter Wheat September Futures^ | 08/2017 | USD | (747,113 | ) | (100,087 | ) | |||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
15
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| BANA | H-SHARES Index July Futures | 07/2017 | HKD | 18,049,042 | $ (26,624 | ) | ||||||||||
| GSIN | H-SHARES Index July Futures | 07/2017 | HKD | 134,159,637 | (142,831 | ) | ||||||||||
| BANA | KOSPI Index 200 September Futures | 09/2017 | KRW | 16,430,092,298 | 203,817 | |||||||||||
| GSIN | KOSPI Index 200 September Futures | 09/2017 | KRW | 17,250,998,475 | 239,029 | |||||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | (581,760 | ) | (21,240 | ) | |||||||||
| GSIN | Lean Hogs August Futures^ | 08/2017 | USD | 258,976 | 9,024 | |||||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | (679,122 | ) | (24,378 | ) | |||||||||
| MACQ | Lean Hogs August Futures^ | 08/2017 | USD | 133,436 | 564 | |||||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | 1,730,880 | 226,620 | |||||||||||
| GSIN | Lean Hogs July Futures^ | 07/2017 | USD | (1,665,436 | ) | (292,064 | ) | |||||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | 1,483,532 | 183,968 | |||||||||||
| MACQ | Lean Hogs July Futures^ | 07/2017 | USD | (1,421,599 | ) | (245,900 | ) | |||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | 2,210,465 | 218,285 | |||||||||||
| SOCG | Lean Hogs July Futures^ | 07/2017 | USD | (2,070,059 | ) | (358,691 | ) | |||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | (1,247,238 | ) | 37,718 | ||||||||||
| MACQ | Live Cattle August Futures^ | 08/2017 | USD | 1,839,990 | (72,230 | ) | ||||||||||
| SOCG | Live Cattle August Futures^ | 08/2017 | USD | 14,453,263 | (590,303 | ) | ||||||||||
| GSIN | MSCI Singapore Index July Futures | 07/2017 | SGD | 1,251,065 | 2,524 | |||||||||||
| BANA | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 2,694,297 | (35,727 | ) | ||||||||||
| GSIN | MSCI Taiwan Stock Index July Futures | 07/2017 | USD | 16,428,173 | (129,983 | ) | ||||||||||
| BANA | OMXS30 Index July Futures | 07/2017 | SEK | 44,352,276 | (145,025 | ) | ||||||||||
| GSIN | SGX S&P CNX Nifty Index July Futures | 07/2017 | USD | 10,011,970 | (17,545 | ) | ||||||||||
| CITI | Soybean Meal December Futures^ | 11/2017 | USD | (13,955,737 | ) | (141,623 | ) | |||||||||
| MACQ | Soybean Meal December Futures^ | 11/2017 | USD | (1,856,845 | ) | (10,355 | ) | |||||||||
| SOCG | Soybean Meal December Futures^ | 11/2017 | USD | (2,754,946 | ) | (14,734 | ) | |||||||||
| CITI | Soybean November Futures^ | 10/2017 | USD | (18,962,459 | ) | (323,491 | ) | |||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | 568,578 | 4,272 | |||||||||||
| GSIN | Soybean November Futures^ | 10/2017 | USD | (5,923,970 | ) | (90,955 | ) | |||||||||
| MACQ | Soybean November Futures^ | 10/2017 | USD | (13,289,065 | ) | (172,910 | ) | |||||||||
| SOCG | Soybean November Futures^ | 10/2017 | USD | (5,607,507 | ) | (73,256 | ) | |||||||||
| GSIN | Soybean Oil December Futures^ | 11/2017 | USD | 20,274 | (270 | ) | ||||||||||
| GSIN | Soybean Oil December Futures^ | 11/2017 | USD | (213,696 | ) | (6,348 | ) | |||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | (1,395,666 | ) | (44,622 | ) | |||||||||
| SOCG | Soybean Oil December Futures^ | 11/2017 | USD | 589,269 | 10,851 | |||||||||||
| BANA | Swiss Market Index September Futures | 09/2017 | CHF | 19,295,073 | 70,912 | |||||||||||
| BANA | Taiwan Stock Exchange July Futures | 07/2017 | TWD | 350,422,884 | 277,054 | |||||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | (7,804,757 | ) | (1,163,543 | ) | |||||||||
| CITI | Wheat September Futures^ | 08/2017 | USD | 8,249,862 | 718,438 | |||||||||||
| MACQ | Wheat September Futures^ | 08/2017 | USD | 26,015 | 285 | |||||||||||
| MACQ | Wheat September Futures^ | 08/2017 | USD | (1,420,728 | ) | (209,872 | ) | |||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | (6,065,566 | ) | (903,934 | ) | |||||||||
| SOCG | Wheat September Futures^ | 08/2017 | USD | 6,304,013 | 665,487 | |||||||||||
|
|
|
|||||||||||||||
| $(2,712,229 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
Open futures contracts outstanding at June 30, 2017:
Exchange Traded
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: | ||||||||||||||||||||
| 298 | MSCL | Copper Futures^ | 09/2017 | $19,410,820 | $20,196,950 | $786,130 | ||||||||||||||
| 39 | MSCL | Hard Red Winter Wheat Futures^ | 09/2017 | 959,545 | 1,032,525 | 72,980 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
16
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 2 | MSCL | Live Cattle Futures^ | 08/2017 | $ 101,288 | $ 93,040 | $ (8,248 | ) | |||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 07/2017 | 1,027,605 | 1,004,587 | (23,018 | ) | |||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 07/2017 | 144,159 | 143,369 | (790 | ) | |||||||||||||
| 47 | JPPC | LME Aluminum Futures^ | 08/2017 | 2,249,508 | 2,247,094 | (2,414 | ) | |||||||||||||
| 48 | JPPC | LME Aluminum Futures^ | 08/2017 | 2,306,004 | 2,295,096 | (10,908 | ) | |||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,007,001 | 1,004,193 | (2,808 | ) | |||||||||||||
| 17 | JPPC | LME Aluminum Futures^ | 08/2017 | 802,654 | 813,203 | 10,549 | ||||||||||||||
| 23 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,081,068 | 1,100,309 | 19,241 | ||||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | 980,298 | 1,004,719 | 24,421 | ||||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | 990,328 | 1,004,761 | 14,433 | ||||||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 08/2017 | 97,344 | 95,748 | (1,596 | ) | |||||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 08/2017 | 489,338 | 478,783 | (10,555 | ) | |||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | 1,005,970 | 1,005,984 | 14 | ||||||||||||||
| 13 | JPPC | LME Aluminum Futures^ | 09/2017 | 616,506 | 623,090 | 6,584 | ||||||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | 187,412 | 191,875 | 4,463 | ||||||||||||||
| 165 | JPPC | LME Aluminum Futures^ | 09/2017 | 7,977,418 | 7,917,938 | (59,480 | ) | |||||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 09/2017 | 423,022 | 431,854 | 8,832 | ||||||||||||||
| 47 | JPPC | LME Aluminum Futures^ | 09/2017 | 2,207,565 | 2,254,531 | 46,966 | ||||||||||||||
| 8 | JPPC | LME Aluminum Futures^ | 09/2017 | 374,520 | 383,778 | 9,258 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | 46,759 | 47,973 | 1,214 | ||||||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | 47,177 | 47,974 | 797 | ||||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 09/2017 | 143,117 | 143,925 | 808 | ||||||||||||||
| 2 | JPPC | LME Copper Futures^ | 07/2017 | 284,838 | 296,475 | 11,637 | ||||||||||||||
| 10 | JPPC | LME Copper Futures^ | 08/2017 | 1,378,252 | 1,482,577 | 104,325 | ||||||||||||||
| 4 | JPPC | LME Copper Futures^ | 08/2017 | 549,012 | 593,075 | 44,063 | ||||||||||||||
| 3 | JPPC | LME Copper Futures^ | 08/2017 | 419,484 | 444,816 | 25,332 | ||||||||||||||
| 40 | JPPC | LME Copper Futures^ | 09/2017 | 5,667,780 | 5,940,250 | 272,470 | ||||||||||||||
| 19 | JPPC | LME Nickel Futures^ | 07/2017 | 1,057,397 | 1,067,007 | 9,610 | ||||||||||||||
| 18 | JPPC | LME Nickel Futures^ | 08/2017 | 991,133 | 1,012,199 | 21,066 | ||||||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | 52,472 | 56,270 | 3,798 | ||||||||||||||
| 18 | JPPC | LME Nickel Futures^ | 09/2017 | 958,544 | 1,013,121 | 54,577 | ||||||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | 164,709 | 168,957 | 4,248 | ||||||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | 164,347 | 168,993 | 4,646 | ||||||||||||||
| 10 | JPPC | LME Zinc Futures^ | 07/2017 | 646,275 | 688,813 | 42,538 | ||||||||||||||
| 11 | JPPC | LME Zinc Futures^ | 07/2017 | 711,252 | 758,038 | 46,786 | ||||||||||||||
| 8 | JPPC | LME Zinc Futures^ | 07/2017 | 508,970 | 551,350 | 42,380 | ||||||||||||||
| 10 | JPPC | LME Zinc Futures^ | 07/2017 | 651,000 | 689,198 | 38,198 | ||||||||||||||
| 5 | JPPC | LME Zinc Futures^ | 07/2017 | 327,700 | 344,603 | 16,903 | ||||||||||||||
| 15 | JPPC | LME Zinc Futures^ | 07/2017 | 983,568 | 1,033,890 | 50,322 | ||||||||||||||
| 27 | JPPC | LME Zinc Futures^ | 09/2017 | 1,833,661 | 1,863,000 | 29,339 | ||||||||||||||
| 3 | JPPC | LME Zinc Futures^ | 09/2017 | 203,490 | 206,874 | 3,384 | ||||||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | 135,970 | 137,900 | 1,930 | ||||||||||||||
| 4 | JPPC | LME Zinc Futures^ | 09/2017 | 273,960 | 275,800 | 1,840 | ||||||||||||||
| 4 | JPPC | LME Zinc Futures^ | 09/2017 | 273,213 | 275,800 | 2,587 | ||||||||||||||
| 6 | JPPC | LME Zinc Futures^ | 09/2017 | 412,848 | 413,701 | 853 | ||||||||||||||
| 82 | MSCL | NYMEX Palladium Futures^ | 09/2017 | 6,575,685 | 6,860,530 | 284,845 | ||||||||||||||
| 16 | MSCL | Soybean Oil Futures^ | 12/2017 | 316,397 | 320,064 | 3,667 | ||||||||||||||
| 20 | MSCL | Wheat Futures^ | 09/2017 | 488,193 | 526,000 | 37,807 | ||||||||||||||
| 138 | BARC | Amsterdam Index Futures | 07/2017 | 16,520,938 | 15,966,571 | (554,367 | ) | |||||||||||||
| 434 | BARC | CAC40 Index Futures | 07/2017 | 26,162,043 | 25,362,137 | (799,906 | ) | |||||||||||||
| 88 | BARC | DAX Index Futures | 09/2017 | 32,138,525 | 30,956,833 | (1,181,692 | ) | |||||||||||||
| 405 | BARC | E-Mini DJIA CBOT Futures | 09/2017 | 43,008,360 | 43,132,500 | 124,140 | ||||||||||||||
| 131 | JPMS | E-Mini MSCI EAFE Index Futures | 09/2017 | 12,389,650 | 12,376,880 | (12,770 | ) | |||||||||||||
| 503 | JPMS | E-Mini MSCI Emerging Markets Index Futures | 09/2017 | 25,271,417 | 25,358,745 | 87,328 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
17
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Long Contracts: (continued) | ||||||||||||||||||||
| 200 | BARC | E-Mini Russell 2000 Futures | 09/2017 | $ 14,210,655 | $ 14,143,000 | $ (67,655 | ) | |||||||||||||
| 712 | BARC | Euro Stoxx 50 Index Futures | 09/2017 | 28,896,357 | 27,901,262 | (995,095 | ) | |||||||||||||
| 312 | BARC | FTSE 100 Index Futures | 09/2017 | 30,316,010 | 29,430,941 | (885,069 | ) | |||||||||||||
| 178 | GSCO | FTSE Bursa Malaysia KLCI Index Futures | 09/2017 | 27,611,309 | 27,474,326 | (136,983 | ) | |||||||||||||
| 35 | BARC | FTSE/MIB Index Futures | 09/2017 | 4,203,277 | 4,097,263 | (106,014 | ) | |||||||||||||
| 39 | BARC | Hang Seng Index Futures | 07/2017 | 6,409,366 | 6,390,147 | (19,219 | ) | |||||||||||||
| 51 | BARC | H-SHARES Index Futures | 07/2017 | 3,358,148 | 3,329,800 | (28,348 | ) | |||||||||||||
| 134 | BARC | IBEX 35 Index Futures | 07/2017 | 16,545,885 | 15,926,032 | (619,853 | ) | |||||||||||||
| 92 | BARC | KOSPI Index 200 Futures | 09/2017 | 6,195,781 | 6,289,997 | 94,216 | ||||||||||||||
| 4 | JPMS | KOSPI Index 200 Futures | 09/2017 | 269,869 | 273,479 | 3,610 | ||||||||||||||
| 214 | BARC | MSCI Singapore Index Futures | 07/2017 | 5,553,815 | 5,571,694 | 17,879 | ||||||||||||||
| 106 | BARC | MSCI Taiwan Stock Index Futures | 07/2017 | 4,132,259 | 4,084,180 | (48,079 | ) | |||||||||||||
| 404 | BARC | NASDAQ 100 E-Mini Index Futures | 09/2017 | 46,441,096 | 45,674,220 | (766,876 | ) | |||||||||||||
| 157 | JPMS | Nikkei 225 Futures | 09/2017 | 28,098,704 | 27,945,232 | (153,472 | ) | |||||||||||||
| 518 | JPMS | OMXS30 Index Futures | 07/2017 | 10,155,322 | 9,854,647 | (300,675 | ) | |||||||||||||
| 377 | BARC | S&P 500 E-Mini Futures | 09/2017 | 45,784,730 | 45,633,965 | (150,765 | ) | |||||||||||||
| 116 | BARC | S&P/Toronto Stock Exchange 60 Index Futures | 09/2017 | 16,148,889 | 15,907,958 | (240,931 | ) | |||||||||||||
| 56 | BARC | S&PMID 400 E-Mini Futures | 09/2017 | 9,831,820 | 9,778,160 | (53,660 | ) | |||||||||||||
| 76 | BARC | SPI 200 Index Futures | 09/2017 | 8,344,615 | 8,249,460 | (95,155 | ) | |||||||||||||
| 247 | BARC | TOPIX Index Futures | 09/2017 | 35,209,308 | 35,389,242 | 179,934 | ||||||||||||||
| 8 | JPMS | 3-Month Euro Euribor Futures | 12/2017 | 2,291,386 | 2,290,811 | (575 | ) | |||||||||||||
| 101 | JPMS | 3-Month Euro Euribor Futures | 06/2018 | 28,917,281 | 28,898,408 | (18,873 | ) | |||||||||||||
| 102 | JPMS | 3-Month Euro Euribor Futures | 12/2018 | 29,180,221 | 29,151,037 | (29,184 | ) | |||||||||||||
| 32 | JPMS | 3-Month Euro Euribor Futures | 03/2019 | 9,150,395 | 9,139,484 | (10,911 | ) | |||||||||||||
| 112 | JPMS | 90-Day Sterling Futures | 12/2017 | 18,171,711 | 18,143,130 | (28,581 | ) | |||||||||||||
| 109 | JPMS | 90-Day Sterling Futures | 12/2018 | 17,663,111 | 17,609,237 | (53,874 | ) | |||||||||||||
| 177 | JPMS | 90-Day Sterling Futures | 03/2019 | 28,665,578 | 28,583,290 | (82,288 | ) | |||||||||||||
| 213 | JPMS | 90-Day Sterling Futures | 06/2019 | 34,489,626 | 34,379,505 | (110,121 | ) | |||||||||||||
| 18 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 03/2018 | 13,777,700 | 13,772,314 | (5,386 | ) | |||||||||||||
| 103 | JPMS | Australia 10-Year Bond Futures | 09/2017 | 10,398,423 | 10,232,951 | (165,472 | ) | |||||||||||||
| 168 | GSCO | Canadian 10-Year Bond Futures | 09/2017 | 18,698,550 | 18,208,204 | (490,346 | ) | |||||||||||||
| 90 | JPMS | Canadian 3-Month Bank Acceptance Futures | 12/2017 | 17,189,345 | 17,117,038 | (72,307 | ) | |||||||||||||
| 354 | GSCO | Euro-OAT Futures | 09/2017 | 60,658,595 | 60,033,597 | (624,998 | ) | |||||||||||||
| 145 | GSCO | Euro-SCHATZ Futures | 09/2017 | 18,573,060 | 18,523,674 | (49,386 | ) | |||||||||||||
| 561 | GSCO | Long Gilt Futures | 09/2017 | 93,130,532 | 91,750,787 | (1,379,745 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 974,870,238 | 967,084,738 | (7,785,500 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||||||
| 717 | GSCO | Brent Crude Futures^ | 07/2017 | $(33,401,982 | ) | $(34,968,090 | ) | $(1,566,108 | ) | |||||||||||
| 104 | MSCL | Cocoa Futures^ | 09/2017 | (1,936,820 | ) | (2,017,600 | ) | (80,780 | ) | |||||||||||
| 137 | GSCO | Cocoa Futures^ | 09/2017 | (2,767,558 | ) | (2,721,144 | ) | 46,414 | ||||||||||||
| 256 | MSCL | Coffee ‘C’ Futures^ | 09/2017 | (12,304,239 | ) | (12,067,200 | ) | 237,039 | ||||||||||||
| 328 | MSCL | Corn Futures^ | 09/2017 | (6,075,007 | ) | (6,248,400 | ) | (173,393 | ) | |||||||||||
| 69 | MSCL | Cotton No. 2 Futures^ | 12/2017 | (2,315,463 | ) | (2,366,355 | ) | (50,892 | ) | |||||||||||
| 581 | GSCO | Gas Oil Futures^ | 08/2017 | (24,382,134 | ) | (25,331,600 | ) | (949,466 | ) | |||||||||||
| 236 | MSCL | Gasoline RBOB Futures^ | 07/2017 | (14,460,259 | ) | (15,003,794 | ) | (543,535 | ) | |||||||||||
| 305 | MSCL | Gold 100 OZ Futures^ | 08/2017 | (38,038,645 | ) | (37,890,150 | ) | 148,495 | ||||||||||||
| 344 | MSCL | Heating Oil ULSD Futures^ | 07/2017 | (20,387,516 | ) | (21,427,829 | ) | (1,040,313 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
18
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 3 | MSCL | Lean Hogs Futures^ | 08/2017 | $ (95,246 | ) | $ (100,500 | ) | $ (5,254 | ) | |||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 07/2017 | (1,023,799 | ) | (1,004,588 | ) | 19,211 | ||||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 07/2017 | (144,364 | ) | (143,368 | ) | 996 | ||||||||||||
| 47 | JPPC | LME Aluminum Futures^ | 08/2017 | (2,249,717 | ) | (2,247,094 | ) | 2,623 | ||||||||||||
| 48 | JPPC | LME Aluminum Futures^ | 08/2017 | (2,303,160 | ) | (2,295,096 | ) | 8,064 | ||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,002,930 | ) | (1,004,193 | ) | (1,263 | ) | |||||||||||
| 17 | JPPC | LME Aluminum Futures^ | 08/2017 | (799,825 | ) | (813,203 | ) | (13,378 | ) | |||||||||||
| 23 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,080,616 | ) | (1,100,308 | ) | (19,692 | ) | |||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | (983,007 | ) | (1,004,719 | ) | (21,712 | ) | |||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | (988,275 | ) | (1,004,761 | ) | (16,486 | ) | |||||||||||
| 2 | JPPC | LME Aluminum Futures^ | 08/2017 | (97,145 | ) | (95,748 | ) | 1,397 | ||||||||||||
| 10 | JPPC | LME Aluminum Futures^ | 08/2017 | (490,388 | ) | (478,783 | ) | 11,605 | ||||||||||||
| 21 | JPPC | LME Aluminum Futures^ | 08/2017 | (1,003,674 | ) | (1,005,984 | ) | (2,310 | ) | |||||||||||
| 13 | JPPC | LME Aluminum Futures^ | 09/2017 | (617,468 | ) | (623,090 | ) | (5,622 | ) | |||||||||||
| 4 | JPPC | LME Aluminum Futures^ | 09/2017 | (187,288 | ) | (191,875 | ) | (4,587 | ) | |||||||||||
| 72 | JPPC | LME Aluminum Futures^ | 09/2017 | (3,381,411 | ) | (3,455,100 | ) | (73,689 | ) | |||||||||||
| 9 | JPPC | LME Aluminum Futures^ | 09/2017 | (422,455 | ) | (431,853 | ) | (9,398 | ) | |||||||||||
| 47 | JPPC | LME Aluminum Futures^ | 09/2017 | (2,202,229 | ) | (2,254,531 | ) | (52,302 | ) | |||||||||||
| 8 | JPPC | LME Aluminum Futures^ | 09/2017 | (372,869 | ) | (383,778 | ) | (10,909 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | (46,829 | ) | (47,973 | ) | (1,144 | ) | |||||||||||
| 1 | JPPC | LME Aluminum Futures^ | 09/2017 | (47,243 | ) | (47,974 | ) | (731 | ) | |||||||||||
| 3 | JPPC | LME Aluminum Futures^ | 09/2017 | (143,000 | ) | (143,925 | ) | (925 | ) | |||||||||||
| 2 | JPPC | LME Copper Futures^ | 07/2017 | (285,226 | ) | (296,475 | ) | (11,249 | ) | |||||||||||
| 10 | JPPC | LME Copper Futures^ | 08/2017 | (1,380,234 | ) | (1,482,578 | ) | (102,344 | ) | |||||||||||
| 4 | JPPC | LME Copper Futures^ | 08/2017 | (551,051 | ) | (593,075 | ) | (42,024 | ) | |||||||||||
| 3 | JPPC | LME Copper Futures^ | 08/2017 | (418,055 | ) | (444,816 | ) | (26,761 | ) | |||||||||||
| 19 | JPPC | LME Nickel Futures^ | 07/2017 | (1,053,180 | ) | (1,067,007 | ) | (13,827 | ) | |||||||||||
| 18 | JPPC | LME Nickel Futures^ | 08/2017 | (1,000,404 | ) | (1,012,199 | ) | (11,795 | ) | |||||||||||
| 1 | JPPC | LME Nickel Futures^ | 09/2017 | (52,632 | ) | (56,270 | ) | (3,638 | ) | |||||||||||
| 18 | JPPC | LME Nickel Futures^ | 09/2017 | (960,288 | ) | (1,013,121 | ) | (52,833 | ) | |||||||||||
| 28 | JPPC | LME Nickel Futures^ | 09/2017 | (1,510,001 | ) | (1,577,100 | ) | (67,099 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | (164,867 | ) | (168,957 | ) | (4,090 | ) | |||||||||||
| 3 | JPPC | LME Nickel Futures^ | 09/2017 | (163,922 | ) | (168,993 | ) | (5,071 | ) | |||||||||||
| 10 | JPPC | LME Zinc Futures^ | 07/2017 | (649,382 | ) | (688,813 | ) | (39,431 | ) | |||||||||||
| 11 | JPPC | LME Zinc Futures^ | 07/2017 | (706,668 | ) | (758,038 | ) | (51,370 | ) | |||||||||||
| 8 | JPPC | LME Zinc Futures^ | 07/2017 | (510,905 | ) | (551,350 | ) | (40,445 | ) | |||||||||||
| 10 | JPPC | LME Zinc Futures^ | 07/2017 | (654,087 | ) | (689,198 | ) | (35,111 | ) | |||||||||||
| 5 | JPPC | LME Zinc Futures^ | 07/2017 | (325,722 | ) | (344,602 | ) | (18,880 | ) | |||||||||||
| 15 | JPPC | LME Zinc Futures^ | 07/2017 | (981,274 | ) | (1,033,890 | ) | (52,616 | ) | |||||||||||
| 3 | JPPC | LME Zinc Futures^ | 09/2017 | (204,068 | ) | (206,875 | ) | (2,807 | ) | |||||||||||
| 2 | JPPC | LME Zinc Futures^ | 09/2017 | (135,945 | ) | (137,900 | ) | (1,955 | ) | |||||||||||
| 4 | JPPC | LME Zinc Futures^ | 09/2017 | (273,640 | ) | (275,800 | ) | (2,160 | ) | |||||||||||
| 4 | JPPC | LME Zinc Futures^ | 09/2017 | (273,515 | ) | (275,800 | ) | (2,285 | ) | |||||||||||
| 6 | JPPC | LME Zinc Futures^ | 09/2017 | (414,762 | ) | (413,700 | ) | 1,062 | ||||||||||||
| 927 | MSCL | Natural Gas Futures^ | 07/2017 | (27,580,349 | ) | (28,134,450 | ) | (554,101 | ) | |||||||||||
| 111 | MSCL | Platinum Futures^ | 10/2017 | (5,141,229 | ) | (5,141,520 | ) | (291 | ) | |||||||||||
| 230 | MSCL | Silver Futures^ | 09/2017 | (19,036,073 | ) | (19,121,050 | ) | (84,977 | ) | |||||||||||
| 14 | MSCL | Soybean Futures^ | 11/2017 | (657,774 | ) | (668,325 | ) | (10,551 | ) | |||||||||||
| 184 | MSCL | Soybean Meal Futures^ | 12/2017 | (5,667,182 | ) | (5,726,080 | ) | (58,898 | ) | |||||||||||
| 854 | MSCL | Sugar #11 (World Markets) Futures^ | 09/2017 | (13,699,683 | ) | (13,208,989 | ) | 490,694 | ||||||||||||
| 881 | MSCL | WTI Crude Futures^ | 07/2017 | (39,955,182 | ) | (40,561,240 | ) | (606,058 | ) | |||||||||||
| 48 | JPMS | FTSE China Index Futures | 07/2017 | (545,704 | ) | (545,400 | ) | 304 | ||||||||||||
| 182 | GSCO | 10-Year Japanese Government Bond Futures | 09/2017 | (243,445,571 | ) | (242,898,600 | ) | 546,971 | ||||||||||||
| 129 | JPMS | 3-Month Euro Euribor Futures | 03/2018 | (36,928,672 | ) | (36,926,423 | ) | 2,249 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
19
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Short Contracts: (continued) | ||||||||||||||||||||
| 31 | JPMS | 3-Month Euro Euribor Futures | 09/2018 | $ (8,865,656 | ) | $ (8,865,383 | ) | $ 273 | ||||||||||||
| 135 | JPMS | 3-Month Euro Euribor Futures | 06/2019 | (38,535,992 | ) | (38,534,071 | ) | 1,921 | ||||||||||||
| 908 | JPMS | 90-Day EURODollar Futures | 12/2017 | (223,744,951 | ) | (223,651,750 | ) | 93,201 | ||||||||||||
| 395 | JPMS | 90-Day EURODollar Futures | 03/2018 | (97,261,323 | ) | (97,209,500 | ) | 51,823 | ||||||||||||
| 127 | JPMS | 90-Day EURODollar Futures | 06/2018 | (31,244,268 | ) | (31,230,887 | ) | 13,381 | ||||||||||||
| 160 | JPMS | 90-Day EURODollar Futures | 09/2018 | (39,294,635 | ) | (39,316,000 | ) | (21,365 | ) | |||||||||||
| 209 | JPMS | 90-Day EURODollar Futures | 12/2018 | (51,210,254 | ) | (51,309,500 | ) | (99,246 | ) | |||||||||||
| 285 | JPMS | 90-Day EURODollar Futures | 03/2019 | (69,659,533 | ) | (69,928,313 | ) | (268,780 | ) | |||||||||||
| 273 | JPMS | 90-Day EURODollar Futures | 06/2019 | (67,017,321 | ) | (66,943,012 | ) | 74,309 | ||||||||||||
| 67 | JPMS | 90-Day Sterling Futures | 03/2018 | (10,844,021 | ) | (10,844,753 | ) | (732 | ) | |||||||||||
| 103 | JPMS | 90-Day Sterling Futures | 06/2018 | (16,657,679 | ) | (16,658,367 | ) | (688 | ) | |||||||||||
| 56 | JPMS | 90-Day Sterling Futures | 09/2018 | (9,050,512 | ) | (9,051,507 | ) | (995 | ) | |||||||||||
| 19 | JPMS | ASX 90 Day Bank Accepted Bills Futures | 12/2017 | (14,540,565 | ) | (14,539,941 | ) | 624 | ||||||||||||
| 1,050 | JPMS | Australia 3-Year Bond Futures | 09/2017 | (90,297,594 | ) | (90,107,242 | ) | 190,352 | ||||||||||||
| 73 | JPMS | Canadian 3-Month Bank Acceptance Futures | 03/2018 | (13,883,266 | ) | (13,871,858 | ) | 11,408 | ||||||||||||
| 53 | MSCL | CME Ultra Long Term U.S. Treasury Bond Futures | 09/2017 | (8,651,738 | ) | (8,791,375 | ) | (139,637 | ) | |||||||||||
| 12 | JPMS | Euro CHF 3-Month LIFFE Futures | 09/2017 | (3,152,026 | ) | (3,151,110 | ) | 916 | ||||||||||||
| 194 | JPMS | Euro CHF 3-Month LIFFE Futures | 12/2017 | (50,961,044 | ) | (50,927,782 | ) | 33,262 | ||||||||||||
| 142 | JPMS | Euro CHF 3-Month LIFFE Futures | 03/2018 | (37,290,760 | ) | (37,265,930 | ) | 24,830 | ||||||||||||
| 94 | JPMS | Euro CHF 3-Month LIFFE Futures | 06/2018 | (24,679,188 | ) | (24,661,643 | ) | 17,545 | ||||||||||||
| 11 | GSCO | Euro-Bobl Futures | 09/2017 | (1,655,594 | ) | (1,654,633 | ) | 961 | ||||||||||||
| 16 | GSCO | Euro-Bund Futures | 09/2017 | (2,963,600 | ) | (2,958,077 | ) | 5,523 | ||||||||||||
| 130 | GSCO | Euro-Buxl 30-Year Bond Futures | 09/2017 | (24,570,698 | ) | (24,279,368 | ) | 291,330 | ||||||||||||
| 182 | MSCL | U.S. Treasury 10-Year Note Futures | 09/2017 | (22,890,700 | ) | (22,846,688 | ) | 44,012 | ||||||||||||
| 1,410 | MSCL | U.S. Treasury 2-Year Note Futures | 09/2017 | (304,861,197 | ) | (304,714,218 | ) | 146,979 | ||||||||||||
| 214 | MSCL | U.S. Treasury 5-Year Note Futures | 09/2017 | (25,243,832 | ) | (25,216,891 | ) | 26,941 | ||||||||||||
| 99 | MSCL | U.S. Treasury Long Bond Futures | 09/2017 | (15,151,354 | ) | (15,215,062 | ) | (63,708 | ) | |||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (1,885,259,109 | ) | (1,889,854,101 | ) | (4,594,992 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(910,388,871 | ) | $(922,769,363 | ) | $(12,380,492 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| ^ | Represents positions held in the respective Subsidiary (See Note 2). |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
20
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2017:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | 37,770,400 | $28,712,032 | $29,001,619 | $289,587 | ||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | 56,655,600 | 43,068,143 | 43,502,432 | 434,289 | ||||||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | 17,398,800 | 5,204,613 | 5,168,751 | (35,862 | ) | |||||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | 25,009,200 | 7,483,447 | 7,429,612 | (53,835 | ) | |||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | 124,935,600 | 94,558,192 | 96,461,666 | 1,903,474 | ||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | 187,403,400 | 141,837,498 | 144,692,500 | 2,855,002 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | 3,151,581,827 | 4,727,313 | 4,736,832 | 9,519 | ||||||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | 3,874,291,213 | 5,816,153 | 5,823,064 | 6,911 | ||||||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | 12,048,575,455 | 4,077,016 | 3,913,016 | (164,000 | ) | |||||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | 15,312,696,649 | 5,183,269 | 4,973,104 | (210,165 | ) | |||||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | 126,819,199 | 143,204,018 | 145,445,788 | 2,241,770 | ||||||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | 190,228,798 | 214,806,354 | 218,168,679 | 3,362,325 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | 8,367,200 | 10,834,046 | 10,924,225 | 90,179 | ||||||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | 12,550,800 | 16,251,003 | 16,386,340 | 135,337 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | 5,633,600 | 724,550 | 723,124 | (1,426 | ) | |||||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | 8,450,400 | 1,086,827 | 1,084,684 | (2,143 | ) | |||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | 2,570,688,785 | 9,420,679 | 9,537,989 | 117,310 | ||||||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | 3,856,033,167 | 14,131,043 | 14,306,987 | 175,944 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | 72,753,747,621 | 5,412,498 | 5,411,933 | (565 | ) | |||||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
JPMC | IDR | 93,654,591,619 | 6,966,099 | 6,966,685 | 586 | ||||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | 38,149,200 | 10,772,529 | 10,970,260 | 197,731 | ||||||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | 48,874,800 | 13,785,071 | 14,054,535 | 269,464 | ||||||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | 826,712,397 | 12,694,141 | 12,680,839 | (13,302 | ) | |||||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | 1,069,788,595 | 16,418,669 | 16,409,353 | (9,316 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | 3,597,272,774 | 32,819,021 | 32,092,470 | (726,551 | ) | |||||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | 5,395,909,154 | 49,228,579 | 48,138,702 | (1,089,877 | ) | |||||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | 30,940,646,650 | 27,621,638 | 27,047,972 | (573,666 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
21
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | 42,095,736,903 | $ 37,585,290 | $ 36,799,629 | $ (785,661 | ) | |||||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | 506,700,197 | 27,204,632 | 27,576,254 | 371,622 | ||||||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | 754,552,795 | 40,503,946 | 41,065,183 | 561,237 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | 124,399,200 | 14,823,117 | 14,923,269 | 100,152 | ||||||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | 186,598,800 | 22,234,393 | 22,384,905 | 150,512 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | 176,178,800 | 126,190,389 | 128,917,915 | 2,727,526 | ||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | 264,268,200 | 189,285,854 | 193,376,869 | 4,091,015 | ||||||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | 114,299,000 | 2,292,749 | 2,249,631 | (43,118 | ) | |||||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | 169,365,000 | 3,397,483 | 3,333,436 | (64,047 | ) | |||||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | 78,024,001 | 20,890,470 | 21,048,097 | 157,627 | ||||||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | 116,760,000 | 31,262,595 | 31,497,688 | 235,093 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | 62,474,600 | 7,363,524 | 7,448,746 | 85,222 | ||||||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | 88,238,400 | 10,414,341 | 10,520,521 | 106,180 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | 8,410,000 | 6,086,254 | 6,116,093 | 29,839 | ||||||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | 11,760,000 | 8,510,973 | 8,552,351 | 41,378 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | 49,300,400 | 13,582,814 | 13,702,663 | 119,849 | ||||||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | 73,950,600 | 20,373,321 | 20,553,991 | 180,670 | ||||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | 373,386,400 | 12,444,076 | 12,282,716 | (161,360 | ) | |||||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | 560,079,600 | 18,666,138 | 18,424,075 | (242,063 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | 241,843,000 | 18,367,708 | 18,243,558 | (124,150 | ) | |||||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | 357,891,000 | 27,184,769 | 26,997,700 | (187,069 | ) | |||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 1,585,509,277 | 1,602,068,451 | 16,559,174 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/20/17 |
CITI | AUD | (52,496,200 | ) | $(39,063,919 | ) | $(40,308,681 | ) | $(1,244,762 | ) | ||||||||||
| Australian Dollar, Expiring 09/20/17 |
JPMC | AUD | (77,962,800 | ) | (58,003,712 | ) | (59,862,953 | ) | (1,859,241 | ) | ||||||||||
| Brazilian Real, Expiring 09/20/17* |
CITI | BRL | (6,841,200 | ) | (2,032,405 | ) | (2,032,350 | ) | 55 | |||||||||||
| Brazilian Real, Expiring 09/20/17* |
JPMC | BRL | (7,204,800 | ) | (2,140,600 | ) | (2,140,367 | ) | 233 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
22
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 09/20/17 |
CITI | CAD | (111,701,200 | ) | $ (83,056,102 | ) | $ (86,243,504 | ) | $ (3,187,402 | ) | ||||||||||
| Canadian Dollar, Expiring 09/20/17 |
JPMC | CAD | (167,551,800 | ) | (124,584,005 | ) | (129,365,254 | ) | (4,781,249 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
CITI | CHF | (198,400 | ) | (205,672 | ) | (207,946 | ) | (2,274 | ) | ||||||||||
| Swiss Franc, Expiring 09/20/17 |
JPMC | CHF | (297,600 | ) | (308,505 | ) | (311,920 | ) | (3,415 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
CITI | CLP | (335,093,578 | ) | (498,654 | ) | (503,646 | ) | (4,992 | ) | ||||||||||
| Chilean Peso, Expiring 09/20/17* |
JPMC | CLP | (393,773,366 | ) | (587,173 | ) | (591,843 | ) | (4,670 | ) | ||||||||||
| Colombian Peso, Expiring 09/20/17* |
CITI | COP | (6,914,775,901 | ) | (2,253,184 | ) | (2,245,711 | ) | 7,473 | |||||||||||
| Colombian Peso, Expiring 09/20/17* |
JPMC | COP | (10,118,863,331 | ) | (3,295,281 | ) | (3,286,303 | ) | 8,978 | |||||||||||
| Euro, Expiring 09/20/17 |
CITI | EUR | (43,483,200 | ) | (48,883,390 | ) | (49,869,802 | ) | (986,412 | ) | ||||||||||
| Euro, Expiring 09/20/17 |
JPMC | EUR | (65,224,800 | ) | (73,325,033 | ) | (74,804,703 | ) | (1,479,670 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
CITI | GBP | (54,870,801 | ) | (70,772,847 | ) | (71,639,377 | ) | (866,530 | ) | ||||||||||
| British Pound, Expiring 09/20/17 |
JPMC | GBP | (82,306,201 | ) | (106,159,148 | ) | (107,459,067 | ) | (1,299,919 | ) | ||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
CITI | HKD | (5,836,400 | ) | (750,864 | ) | (749,155 | ) | 1,709 | |||||||||||
| Hong Kong Dollar, Expiring 09/20/17 |
JPMC | HKD | (8,754,600 | ) | (1,126,295 | ) | (1,123,733 | ) | 2,562 | |||||||||||
| Hungarian Forint, Expiring 09/20/17 |
CITI | HUF | (672,709,988 | ) | (2,460,853 | ) | (2,495,948 | ) | (35,095 | ) | ||||||||||
| Hungarian Forint, Expiring 09/20/17 |
JPMC | HUF | (1,009,064,980 | ) | (3,690,894 | ) | (3,743,920 | ) | (53,026 | ) | ||||||||||
| Indonesian Rupiah, Expiring 09/20/17* |
CITI | IDR | (390,778,008 | ) | (29,049 | ) | (29,069 | ) | (20 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
CITI | ILS | (3,711,400 | ) | (1,053,326 | ) | (1,067,258 | ) | (13,932 | ) | ||||||||||
| Israeli Shekel, Expiring 09/20/17 |
JPMC | ILS | (2,484,600 | ) | (707,621 | ) | (714,476 | ) | (6,855 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
CITI | INR | (143,323,200 | ) | (2,193,676 | ) | (2,198,418 | ) | (4,742 | ) | ||||||||||
| Indian Rupee, Expiring 09/20/17* |
JPMC | INR | (194,677,800 | ) | (2,978,475 | ) | (2,986,139 | ) | (7,664 | ) | ||||||||||
| Japanese Yen, Expiring 09/20/17 |
CITI | JPY | (15,113,531,070 | ) | (136,104,611 | ) | (134,832,846 | ) | 1,271,765 | |||||||||||
| Japanese Yen, Expiring 09/20/17 |
JPMC | JPY | (22,670,296,582 | ) | (204,157,122 | ) | (202,249,265 | ) | 1,907,857 | |||||||||||
| Korean Won, Expiring 09/20/17* |
CITI | KRW | (25,617,123,949 | ) | (22,552,296 | ) | (22,394,207 | ) | 158,089 | |||||||||||
| Korean Won, Expiring 09/20/17* |
JPMC | KRW | (38,425,685,907 | ) | (33,828,401 | ) | (33,591,311 | ) | 237,090 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
CITI | MXN | (12,600,800 | ) | (691,405 | ) | (685,776 | ) | 5,629 | |||||||||||
| Mexican Peso, Expiring 09/20/17 |
JPMC | MXN | (18,901,200 | ) | (1,037,111 | ) | (1,028,664 | ) | 8,447 | |||||||||||
| Norwegian Krone, Expiring 09/20/17 |
CITI | NOK | (178,286,400 | ) | (21,153,283 | ) | (21,387,726 | ) | (234,443 | ) | ||||||||||
| Norwegian Krone, Expiring 09/20/17 |
JPMC | NOK | (266,814,600 | ) | (31,657,664 | ) | (32,007,812 | ) | (350,148 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
23
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2017 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
CITI | NZD | (28,990,400 | ) | $ (20,533,408 | ) | $ (21,213,573 | ) | $ (680,165 | ) | ||||||||||
| New Zealand Dollar, Expiring 09/20/17 |
JPMC | NZD | (43,485,600 | ) | (30,800,075 | ) | (31,820,360 | ) | (1,020,285 | ) | ||||||||||
| Philippine Peso, Expiring 09/20/17* |
CITI | PHP | (209,143,600 | ) | (4,138,323 | ) | (4,116,358 | ) | 21,965 | |||||||||||
| Philippine Peso, Expiring 09/20/17* |
JPMC | PHP | (297,686,400 | ) | (5,888,042 | ) | (5,859,052 | ) | 28,990 | |||||||||||
| Poland Zloty, Expiring 09/20/17 |
CITI | PLN | (1,114,800 | ) | (297,845 | ) | (300,733 | ) | (2,888 | ) | ||||||||||
| Poland Zloty, Expiring 09/20/17 |
JPMC | PLN | (553,200 | ) | (148,161 | ) | (149,234 | ) | (1,073 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
CITI | SEK | (271,248,800 | ) | (31,355,069 | ) | (32,340,552 | ) | (985,483 | ) | ||||||||||
| Swedish Krona, Expiring 09/20/17 |
JPMC | SEK | (406,603,200 | ) | (47,001,135 | ) | (48,478,640 | ) | (1,477,505 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
CITI | SGD | (1,937,800 | ) | (1,400,966 | ) | (1,409,248 | ) | (8,282 | ) | ||||||||||
| Singapore Dollar, Expiring 09/20/17 |
JPMC | SGD | (2,653,200 | ) | (1,917,632 | ) | (1,929,515 | ) | (11,883 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
CITI | TRY | (40,128,000 | ) | (10,958,935 | ) | (11,153,264 | ) | (194,329 | ) | ||||||||||
| Turkish Lira, Expiring 09/20/17 |
JPMC | TRY | (60,192,000 | ) | (16,438,192 | ) | (16,729,897 | ) | (291,705 | ) | ||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
CITI | TWD | (189,422,400 | ) | (6,288,801 | ) | (6,231,135 | ) | 57,666 | |||||||||||
| New Taiwan Dollar, Expiring 09/20/17* |
JPMC | TWD | (271,113,600 | ) | (9,005,426 | ) | (8,918,409 | ) | 87,017 | |||||||||||
| South African Rand, Expiring 09/20/17 |
CITI | ZAR | (43,301,800 | ) | (3,255,107 | ) | (3,266,495 | ) | (11,388 | ) | ||||||||||
| South African Rand, Expiring 09/20/17 |
JPMC | ZAR | (62,833,200 | ) | (4,720,629 | ) | (4,739,856 | ) | (19,227 | ) | ||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (1,275,490,322 | ) | (1,292,815,471 | ) | (17,325,149 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $310,018,955 | $309,252,980 | $(765,975 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| * | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
24
Table of Contents
| Consolidated Schedule of Investments | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(600,000 | ) | $— | $(600,000 | ) | |||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 24,714,828 | 24,714,828 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 8,968,811 | — | 8,968,811 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 7,935,455 | 7,935,455 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (1,300,000 | ) | — | (1,300,000 | ) | |||||||
| Investment Companies | 7,884,780 | — | 7,884,780 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 23,164,329 | — | 23,164,329 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 5,653,881 | 5,653,881 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 1,607,553 | 1,607,553 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2017 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Cash | $(980,000 | ) | $— | $(980,000 | ) | |||||||
| Investment Companies | 2,847,288 | — | 2,847,288 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 6,161,688 | 6,161,688 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 1,220,000 | — | 1,220,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 1,039,041 | 1,039,041 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 1,190,000 | — | 1,190,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (1,160,539 | ) | (1,160,539 | ) | |||||||
| U.S. Treasury Bills | — | 12,386,631 | 12,386,631 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 2,310,000 | — | 2,310,000 | |||||||||
|
|
||||||||||||
The following abbreviations are used for counterparty descriptions:
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
25
Table of Contents
| Consolidated Statements of Assets and Liabilities | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR MANAGED FUTURES STRATEGY HV FUND** |
|||||||
| ASSETS: | ||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 11,233,457,460 | $ | 688,277,330 | ||||
| Investments in securities of controlled affiliated issuers, at cost | 619,641,022 | — | ||||||
| Investments in securities of unaffiliated issuers, at value | $ | 11,232,573,533 | $ | 688,219,938 | ||||
| Investments in securities of controlled affiliated issuers, at value | 619,641,022 | — | ||||||
| Cash | — | 286,699 | ||||||
| Due from brokers | 80,827,846 | 5,218,660 | ||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 293,990,495 | 24,852,875 | ||||||
| Unrealized appreciation on OTC swaps | 39,853,499 | 3,223,838 | ||||||
| Deposits with brokers for exchange-traded and centrally cleared derivatives | 227,441,518 | 36,358,530 | ||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 22,735,349 | 2,060,087 | ||||||
| Receivables: | ||||||||
| Securities sold |
3,845,331,473 | 344,116,779 | ||||||
| Dividends and interest |
1,442,768 | 131,685 | ||||||
| Capital shares sold |
15,778,339 | 687,238 | ||||||
| Prepaid expenses | 326,820 | 79,560 | ||||||
| Total Assets | 16,379,942,662 | 1,105,235,889 | ||||||
| LIABILITIES: | ||||||||
| Due to custodian | 1,371,953 | — | ||||||
| Foreign currency due to custodian, at value | 2,785,624 | 468,865 | ||||||
| Due to brokers | 19,161,653 | 2,806,160 | ||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 303,674,779 | 25,618,850 | ||||||
| Unrealized depreciation on OTC swaps | 72,738,590 | 5,936,067 | ||||||
| Deposits from brokers for exchange-traded and centrally cleared derivatives | 20,491,270 | — | ||||||
| Variation margin on exchange-traded and centrally cleared derivatives | 55,835,328 | 4,847,202 | ||||||
| Payables: | ||||||||
| Securities purchased |
3,840,469,591 | 343,672,493 | ||||||
| Accrued investment advisory fees |
10,676,912 | 877,755 | ||||||
| Accrued distribution fees—Class N |
730,333 | 23,529 | ||||||
| Capital shares redeemed |
20,316,601 | 1,376,118 | ||||||
| Other accrued expenses and liabilities |
5,275,229 | 340,940 | ||||||
| Total Liabilities | 4,353,527,863 | 385,967,979 | ||||||
| Net Assets | $ | 12,026,414,799 | $ | 719,267,910 | ||||
| NET ASSETS CONSIST OF: | ||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 13,670,881,034 | $ | 856,382,501 | ||||
| Undistributed accumulated net investment income (loss) | (136,025,912 | ) | (11,206,243 | ) | ||||
| Undistributed accumulated net realized gain (loss) | (1,326,641,688 | ) | (109,824,763 | ) | ||||
| Net unrealized appreciation (depreciation) | (181,798,635 | ) | (16,083,585 | ) | ||||
| Net Assets | $ | 12,026,414,799 | $ | 719,267,910 | ||||
| NET ASSETS: | ||||||||
| Class I | $ | 6,812,251,556 | $ | 392,370,338 | ||||
| Class N | 3,483,576,670 | 110,700,635 | ||||||
| Class R6 | 1,730,586,573 | 216,196,937 | ||||||
| SHARES OUTSTANDING: | ||||||||
| Class I | 774,075,309 | 45,957,238 | ||||||
| Class N | 400,897,220 | 13,065,932 | ||||||
| Class R6 | 196,509,082 | 25,290,354 | ||||||
| NET ASSET VALUE: | ||||||||
| Class I | $ | 8.80 | $ | 8.54 | ||||
| Class N | $ | 8.69 | $ | 8.47 | ||||
| Class R6 | $ | 8.81 | $ | 8.55 | ||||
| ‡ Cash denominated in foreign currencies at cost |
$ | (2,863,834 | ) | $ | (471,013 | ) | ||
| ** | See Note 2 in the Notes to Consolidated Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
26
Table of Contents
| Consolidated Statements of Operations | June 30, 2017 (Unaudited) |
| AQR MANAGED FUTURES FUND** |
AQR MANAGED FUTURES |
|||||||
| FOR THE
SIX 2017 |
FOR THE
SIX 2017 |
|||||||
| INVESTMENT INCOME: Dividend income: |
||||||||
| Unaffiliated issuers† |
$ | 5,603,837 | $ | 436,317 | ||||
| Controlled affiliated issuers |
449,726 | — | ||||||
| Interest income |
33,233,879 | 1,666,185 | ||||||
| Total Income | 39,287,442 | 2,102,502 | ||||||
| EXPENSES: | ||||||||
| Investment advisory fees |
65,667,322 | 5,228,254 | ||||||
| Custody fees |
472,436 | 55,422 | ||||||
| Administration & accounting fees |
1,964,858 | 111,636 | ||||||
| Legal fees |
163,737 | 10,143 | ||||||
| Audit & tax fees |
65,626 | 62,650 | ||||||
| Shareholder reporting fees |
626,760 | 36,760 | ||||||
| Transfer agent fees |
5,284,429 | 258,928 | ||||||
| Trustee fees |
173,695 | 12,718 | ||||||
| Distribution fees—Class N |
4,254,741 | 147,586 | ||||||
| Recoupment of waiver |
— | 2,522 | ||||||
| Registration fees |
344,618 | 82,575 | ||||||
| Pricing fee |
167 | 100 | ||||||
| Other expenses |
227,649 | 13,710 | ||||||
| Total Expenses | 79,246,038 | 6,023,004 | ||||||
| Less fee waivers and/or reimbursements |
— | (37,506 | ) | |||||
| Net Expenses | 79,246,038 | 5,985,498 | ||||||
| Net Investment Income (Loss) | (39,958,596 | ) | (3,882,996 | ) | ||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
||||||||
| Net realized gain (loss) from: | ||||||||
| Transactions in investment securities of unaffiliated issuers |
(10,123 | ) | (1,152 | ) | ||||
| Transactions in investment securities of controlled affiliated issuers |
(9,459 | ) | — | |||||
| Foreign currency and foreign currency transactions |
(1,489,565 | ) | (200,204 | ) | ||||
| Forward foreign currency exchange contracts |
(252,950,459 | ) | (20,268,177 | ) | ||||
| Futures contracts |
(350,946,806 | ) | (32,274,957 | ) | ||||
| Swap contracts |
76,095,399 | 7,595,795 | ||||||
| Net realized gain (loss) | (529,311,013 | ) | (45,148,695 | ) | ||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||
| Transactions in investment securities of unaffiliated issuers |
(1,107,443 | ) | (71,113 | ) | ||||
| Foreign currency and foreign currency translations |
(1,400,483 | ) | (144,027 | ) | ||||
| Forward foreign currency exchange contracts |
28,099,468 | 1,696,489 | ||||||
| Futures contracts |
(210,523,210 | ) | (17,748,439 | ) | ||||
| Swap contracts |
32,190,761 | 2,143,125 | ||||||
| Net change in unrealized appreciation (depreciation) | (152,740,907 | ) | (14,123,965 | ) | ||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (682,051,920 | ) | (59,272,660 | ) | ||||
| Net increase (decrease) in net assets resulting from operations | $ | (722,010,516 | ) | $ | (63,155,656 | ) | ||
|
† Net of foreign taxes withheld of |
$54,541 | $— | ||||||
| ** | See Note 2 in the Notes to Consolidated Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
27
Table of Contents
| Consolidated Statements of Changes in Net Assets | June 30, 2017 |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR MANAGED FUTURES STRATEGY HV FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER
31, |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | (39,958,596 | ) | $ | (108,711,030 | ) | $ | (3,882,996 | ) | $ | (8,863,343 | ) | ||||
| Net realized gain (loss) |
(529,311,013 | ) | (1,162,184,683 | ) | (45,148,695 | ) | (91,548,998 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) |
(152,740,907 | ) | 4,300,143 | (14,123,965 | ) | 732,452 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
(722,010,516 | ) | (1,266,595,570 | ) | (63,155,656 | ) | (99,679,889 | ) | ||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (1,417,038 | ) | — | (54,656 | ) | ||||||||||
| Class N |
— | (601,538 | ) | — | (16,635 | ) | ||||||||||
| Class R6 |
— | (204,056 | ) | — | (27,519 | ) | ||||||||||
| Total |
— | (2,222,632 | ) | — | (98,810 | ) | ||||||||||
| Total distributions |
— | (2,222,632 | ) | — | (98,810 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
1,688,506,758 | 5,721,706,758 | 182,933,000 | 424,967,612 | ||||||||||||
| Reinvestment of distributions |
— | 1,011,220 | — | 48,954 | ||||||||||||
| Cost of shares redeemed |
(2,107,766,171 | ) | (5,002,038,879 | ) | (167,561,481 | ) | (219,830,052 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(419,259,413 | ) | 720,679,099 | 15,371,519 | 205,186,514 | |||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
841,072,523 | 3,012,845,656 | 28,883,536 | 61,699,004 | ||||||||||||
| Reinvestment of distributions |
— | 598,562 | — | 16,635 | ||||||||||||
| Cost of shares redeemed |
(489,871,887 | ) | (953,469,093 | ) | (24,498,081 | ) | (63,695,839 | ) | ||||||||
| Net increase (decrease) from capital transactions |
351,200,636 | 2,059,975,125 | 4,385,455 | (1,980,200 | ) | |||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
860,223,372 | 1,441,812,352 | 64,035,927 | 140,321,578 | ||||||||||||
| Reinvestment of distributions |
— | 156,661 | — | 19,372 | ||||||||||||
| Cost of shares redeemed |
(201,900,962 | ) | (401,911,427 | ) | (32,853,275 | ) | (41,812,623 | ) | ||||||||
| Net increase (decrease) from capital transactions |
658,322,410 | 1,040,057,586 | 31,182,652 | 98,528,327 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 590,263,633 | 3,820,711,810 | 50,939,626 | 301,734,641 | ||||||||||||
| Total increase (decrease) in net assets | (131,746,883 | ) | 2,551,893,608 | (12,216,030 | ) | 201,955,942 | ||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
12,158,161,682 | 9,606,268,074 | 731,483,940 | 529,527,998 | ||||||||||||
| End of period |
$ | 12,026,414,799 | $ | 12,158,161,682 | $ | 719,267,910 | $ | 731,483,940 | ||||||||
| Undistributed accumulated net investment income (loss) |
$(136,025,912) | $(96,067,316) | $(11,206,243 | ) | $(7,323,247 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 29) |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
28
Table of Contents
| Consolidated Statements of Changes in Net Assets | June 30, 2017 |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR MANAGED FUTURES STRATEGY HV FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER
31, |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
821,325,811 | 763,949,205 | 44,297,366 | 24,165,693 | ||||||||||||
| Shares sold |
182,110,116 | 563,468,373 | 19,853,826 | 41,604,907 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 107,750 | — | 5,214 | ||||||||||||
| Shares redeemed |
(229,360,618 | ) | (506,199,517 | ) | (18,193,954 | ) | (21,478,448 | ) | ||||||||
| Shares outstanding, end of period |
774,075,309 | 821,325,811 | 45,957,238 | 44,297,366 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
361,866,517 | 157,339,524 | 12,612,500 | 12,859,668 | ||||||||||||
| Shares sold |
92,746,221 | 301,424,490 | 3,132,725 | 5,920,614 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 64,500 | — | 1,783 | ||||||||||||
| Shares redeemed |
(53,715,518 | ) | (96,961,997 | ) | (2,679,293 | ) | (6,169,565 | ) | ||||||||
| Shares outstanding, end of period |
400,897,220 | 361,866,517 | 13,065,932 | 12,612,500 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
125,447,820 | 23,597,686 | 21,880,192 | 12,494,290 | ||||||||||||
| Shares sold |
92,880,885 | 142,721,713 | 7,074,908 | 13,425,610 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 16,684 | — | 2,061 | ||||||||||||
| Shares redeemed |
(21,819,623 | ) | (40,888,263 | ) | (3,664,746 | ) | (4,041,769 | ) | ||||||||
| Shares outstanding, end of period |
196,509,082 | 125,447,820 | 25,290,354 | 21,880,192 | ||||||||||||
| ** | See Note 2 in the Notes to Consolidated Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
29
Table of Contents
| Consolidated Financial Highlights | June 30, 2017 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting
from Operations1 |
Less Dividends and Distributions | |||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase (Decrease) in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.32 | (0.02 | ) | (0.50 | ) | (0.52 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.18 | (0.08 | ) | (0.78 | ) | (0.86 | ) | (0.00 | )5 | — | (0.00 | )5 | ||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.63 | (0.12 | ) | 0.34 | 0.22 | (0.46 | ) | (0.21 | ) | (0.67 | ) | |||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.59 | (0.12 | ) | 1.13 | 1.01 | (0.44 | ) | (0.53 | ) | (0.97 | ) | |||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.78 | (0.12 | ) | 1.04 | 0.92 | — | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.57 | (0.12 | ) | 0.40 | 0.28 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.21 | (0.04 | ) | (0.48 | ) | (0.52 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.09 | (0.11 | ) | (0.77 | ) | (0.88 | ) | (0.00 | )5 | — | (0.00 | )5 | ||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.54 | (0.15 | ) | 0.34 | 0.19 | (0.43 | ) | (0.21 | ) | (0.64 | ) | |||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.51 | (0.15 | ) | 1.11 | 0.96 | (0.40 | ) | (0.53 | ) | (0.93 | ) | |||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2013 | $9.73 | (0.15 | ) | 1.04 | 0.89 | — | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012 | $9.55 | (0.14 | ) | 0.39 | 0.25 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.32 | (0.03 | ) | (0.48 | ) | (0.51 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.18 | (0.07 | ) | (0.79 | ) | (0.86 | ) | (0.00 | )5 | — | (0.00 | )5 | ||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $10.62 | (0.11 | ) | 0.34 | 0.23 | (0.46 | ) | (0.21 | ) | (0.67 | ) | |||||||||||||||||
| FOR THE PERIOD 9/02/146—12/31/14 | $10.28 | (0.04 | ) | 1.36 | 1.32 | (0.45 | ) | (0.53 | ) | (0.98 | ) | |||||||||||||||||
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.29 | (0.05 | ) | (0.70 | ) | (0.75 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.70 | (0.13 | ) | (1.28 | ) | (1.41 | ) | (0.00 | )5 | — | (0.00 | )5 | ||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $11.23 | (0.18 | ) | 0.46 | 0.28 | (0.51 | ) | (0.30 | ) | (0.81 | ) | |||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.80 | (0.17 | ) | 1.72 | 1.55 | (0.86 | ) | (0.26 | ) | (1.12 | ) | |||||||||||||||||
| FOR THE PERIOD 7/16/138—12/31/13 | $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, 2017 (Unaudited) | $9.23 | (0.06 | ) | (0.70 | ) | (0.76 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.66 | (0.16 | ) | (1.27 | ) | (1.43 | ) | (0.00 | )5 | — | (0.00 | )5 | ||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $11.21 | (0.21 | ) | 0.46 | 0.25 | (0.50 | ) | (0.30 | ) | (0.80 | ) | |||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2014 | $10.79 | (0.19 | ) | 1.71 | 1.52 | (0.84 | ) | (0.26 | ) | (1.10 | ) | |||||||||||||||||
| FOR THE PERIOD 7/16/138—12/31/13 | $10.00 | (0.09 | ) | 0.89 | 0.80 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6 | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2017 (Unaudited) | $9.30 | (0.04 | ) | (0.71 | ) | (0.75 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $10.70 | (0.13 | ) | (1.27 | ) | (1.40 | ) | (0.00 | )5 | — | (0.00 | )5 | ||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2015 | $11.23 | (0.17 | ) | 0.46 | 0.29 | (0.52 | ) | (0.30 | ) | (0.82 | ) | |||||||||||||||||
| FOR THE PERIOD 9/02/146—12/31/14 | $10.33 | (0.06 | ) | 2.09 | 2.03 | (0.87 | ) | (0.26 | ) | (1.13 | ) | |||||||||||||||||
| * | Annualized for periods less than one year. |
| 1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 2 | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 | 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. |
| 4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 5 | Amount is less than $.005 per share. |
| 6 | Commencement of offering of shares. |
| 7 | Certain expenses incurred by the Fund were not annualized for the period. |
| 8 | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Consolidated Financial Highlights | June 30, 2017 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
| Net Asset Value, End of Period |
Total Return2,3 |
Net Assets, End of Period (000’s) |
Expenses, Before Reimbursements and/or Waivers4 |
Expenses, Net of Reimbursements and/or Waivers4 |
Expenses, Net of |
Net Investment Income (Loss) |
Portfolio Turnover Rate |
|||||||||||||||||||||||||||
| $8.80 | (5.58 | )% | $6,812,251 | 1.21 | % | 1.21 | % | 1.21 | % | (0.50 | )% | 0 | % | |||||||||||||||||||||
| $9.32 | (8.43 | )% | $7,654,491 | 1.20 | % | 1.20 | % | 1.20 | % | (0.81 | )% | 0 | % | |||||||||||||||||||||
| $10.18 | 2.00 | % | $7,778,072 | 1.21 | % | 1.21 | % | 1.21 | % | (1.11 | )% | 0 | % | |||||||||||||||||||||
| $10.63 | 9.69 | % | $5,633,607 | 1.23 | % | 1.23 | % | 1.23 | % | (1.20 | )% | 0 | % | |||||||||||||||||||||
| $10.59 | 9.40 | % | $4,506,181 | 1.23 | % | 1.23 | % | 1.23 | % | (1.22 | )% | 0 | % | |||||||||||||||||||||
| $9.78 | 2.99 | % | $2,136,959 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||||
| $8.69 | (5.65 | )% | $3,483,577 | 1.47 | % | 1.47 | % | 1.47 | % | (0.96 | )% | 0 | % | |||||||||||||||||||||
| $9.21 | (8.71 | )% | $3,334,207 | 1.48 | % | 1.48 | % | 1.47 | % | (1.08 | )% | 0 | % | |||||||||||||||||||||
| $10.09 | 1.75 | % | $1,588,011 | 1.47 | % | 1.47 | % | 1.47 | % | (1.38 | )% | 0 | % | |||||||||||||||||||||
| $10.54 | 9.34 | % | $1,310,969 | 1.50 | % | 1.50 | % | 1.50 | % | (1.47 | )% | 0 | % | |||||||||||||||||||||
| $10.51 | 9.14 | % | $1,408,085 | 1.50 | % | 1.50 | % | 1.50 | % | (1.48 | )% | 0 | % | |||||||||||||||||||||
| $9.73 | 2.68 | % | $527,318 | 1.52 | % | 1.50 | % | 1.50 | % | (1.48 | )% | 0 | % | |||||||||||||||||||||
| $8.81 | (5.47 | )% | $1,730,587 | 1.12 | % | 1.12 | % | 1.12 | % | (0.60 | )% | 0 | % | |||||||||||||||||||||
| $9.32 | (8.43 | )% | $1,169,464 | 1.13 | % | 1.13 | % | 1.13 | % | (0.73 | )% | 0 | % | |||||||||||||||||||||
| $10.18 | 2.16 | % | $240,185 | 1.13 | % | 1.13 | % | 1.13 | % | (1.01 | )% | 0 | % | |||||||||||||||||||||
| $10.62 | 12.99 | % | $113 | 1.16 | % | 1.15 | % | 1.15 | % | (1.11 | )% | 0 | % | |||||||||||||||||||||
| $8.54 | (8.07 | )% | $392,370 | 1.66 | % | 1.65 | % | 1.65 | % | (1.06 | )% | 0 | % | |||||||||||||||||||||
| $9.29 | (13.17 | )% | $411,599 | 1.66 | % | 1.64 | % | 1.64 | % | (1.29 | )% | 0 | % | |||||||||||||||||||||
| $10.70 | 2.48 | % | $258,691 | 1.65 | % | 1.61 | % | 1.61 | % | (1.52 | )% | 0 | % | |||||||||||||||||||||
| $11.23 | 14.68 | % | $146,261 | 1.76 | %7 | 1.65 | % | 1.65 | % | (1.62 | )% | 0 | % | |||||||||||||||||||||
| $10.80 | 8.14 | % | $37,078 | 2.51 | %7 | 1.68 | % | 1.65 | % | (1.66 | )% | 0 | % | |||||||||||||||||||||
| $8.47 | (8.23 | )% | $110,701 | 1.91 | % | 1.90 | % | 1.90 | % | (1.32 | )% | 0 | % | |||||||||||||||||||||
| $9.23 | (13.40 | )% | $116,422 | 1.91 | % | 1.90 | % | 1.90 | % | (1.55 | )% | 0 | % | |||||||||||||||||||||
| $10.66 | 2.19 | % | $137,115 | 1.92 | % | 1.89 | % | 1.89 | % | (1.78 | )% | 0 | % | |||||||||||||||||||||
| $11.21 | 14.37 | % | $9,367 | 2.12 | %7 | 1.90 | % | 1.90 | % | (1.88 | )% | 0 | % | |||||||||||||||||||||
| $10.79 | 8.04 | % | $1,644 | 4.03 | %7 | 1.93 | % | 1.90 | % | (1.92 | )% | 0 | % | |||||||||||||||||||||
| $8.55 | (8.06 | )% | $216,197 | 1.56 | % | 1.55 | % | 1.55 | % | (0.97 | )% | 0 | % | |||||||||||||||||||||
| $9.30 | (13.07 | )% | $203,463 | 1.57 | % | 1.55 | % | 1.55 | % | (1.20 | )% | 0 | % | |||||||||||||||||||||
| $10.70 | 2.54 | % | $133,722 | 1.59 | % | 1.55 | % | 1.55 | % | (1.45 | )% | 0 | % | |||||||||||||||||||||
| $11.23 | 19.94 | % | $45,436 | 1.68 | %7 | 1.55 | % | 1.55 | % | (1.52 | )% | 0 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
31
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
1. Organization
AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2017, the Trust consists of thirty-seven active series, two of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.
The investment objective of the AQR Managed Futures Strategy Fund and the AQR Managed Futures Strategy HV Fund is to seek positive absolute returns. Each fund offers Class I, Class N and Class R6 shares.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (“Consolidated Funds”) include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., and AQR Managed Futures Strategy HV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.
Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The 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 Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
| INCEPTION DATE OF SUBSIDIARY |
SUBSIDIARY NET ASSETS AT |
% OF TOTAL NET ASSETS AT JUNE 30, 2017 |
NET REALIZED SUBSIDIARY |
|||||||||||
| AQR Managed Futures Strategy Offshore Fund Ltd |
January 5, 2010 | $ | 2,730,322,565 | 22.7 | % | $ | (428,743,843 | ) | ||||||
| AQR Managed Futures Strategy HV Offshore Fund Ltd |
July 16, 2013 | 162,958,006 | 22.7 | % | (35,724,267 | ) | ||||||||
3. Significant Accounting Policies
The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, 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 reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) 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 Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, 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.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
32
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations 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.
Investment Transactions and Related 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) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.
Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. 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. 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.
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, 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 taxable net investment income and capital gains, if applicable, to shareholders. Accordingly no provision for Federal income tax is necessary.
The Adviser 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 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 not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of June 30, 2017, the Funds had no examinations in progress.
For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. 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. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
33
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.
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. Securities and Other Investments
Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments.
Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents 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 is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where 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 Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, 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 and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
34
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
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 subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. 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. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms 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 payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for exchange-traded and centrally cleared derivatives on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on exchange-traded and centrally cleared derivatives. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. 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. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC 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 be material to the financial statements and impact a Fund’s future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place 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, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s 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 Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).
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| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had an active market for the investments existed. These differences could be material.
Fair Value Hierarchy: Various inputs are utilized in determining the value of each Fund’s investments. GAAP establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad levels as follows:
Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. 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, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.
Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and 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 using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system,
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| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the of the fair value hierarchy.
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 may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for 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, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.
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 or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price 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 U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types. 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 typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. 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. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
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| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.
| AQR MANAGED FUTURES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Short-Term Investments |
$ | — | $ | 11,852,214,555 | $ | — | $ | 11,852,214,555 | ||||||||
| Futures Contracts* |
1,070,674 | — | — | 1,070,674 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 293,990,495 | — | 293,990,495 | ||||||||||||
| Total Return Swaps Contracts* |
— | 39,853,499 | — | 39,853,499 | ||||||||||||
| Total Assets |
$ | 1,070,674 | $ | 12,186,058,549 | $ | — | $ | 12,187,129,223 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (137,737,774 | ) | $ | — | $ | — | $ | (137,737,774 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (303,674,779 | ) | — | (303,674,779 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (72,738,590 | ) | — | (72,738,590 | ) | ||||||||||
| Total Liabilities |
$ | (137,737,774 | ) | $ | (376,413,369 | ) | $ | — | $ | (514,151,143 | ) | |||||
| AQR MANAGED FUTURES STRATEGY HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Short-Term Investments |
$ | — | $ | 688,219,938 | $ | — | $ | 688,219,938 | ||||||||
| Futures Contracts* |
106,449 | — | — | 106,449 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 24,852,875 | — | 24,852,875 | ||||||||||||
| Total Return Swap Contracts* |
— | 3,223,838 | — | 3,223,838 | ||||||||||||
| Total Assets |
$ | 106,449 | $ | 716,296,651 | $ | — | $ | 716,403,100 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (12,486,941 | ) | $ | — | $ | — | $ | (12,486,941 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (25,618,850 | ) | — | (25,618,850 | ) | ||||||||||
| Total Return Swap Contracts* |
— | (5,936,067 | ) | — | (5,936,067 | ) | ||||||||||
| Total Liabilities |
$ | (12,486,941 | ) | $ | (31,554,917 | ) | $ | — | $ | (44,041,858 | ) | |||||
| * | Derivative instruments, including futures, total return swap, and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. 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. During the period ended June 30, 2017, there were no transfers of investments between levels for any of the Funds. There were no Level 3 securities held at period end.
6. Federal Income Tax Matters
At June 30, 2017, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
| FUND | COST OF INVESTMENTS |
GROSS UNREALIZED APPRECIATION |
GROSS UNREALIZED DEPRECIATION |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| AQR Managed Futures Strategy Fund |
$ | 11,853,098,482 | $ | 319,002 | $ | (1,202,929 | ) | $ | (883,927 | ) | ||||||
| AQR Managed Futures Strategy HV Fund |
688,277,330 | 20,434 | (77,826 | ) | (57,392 | ) | ||||||||||
There are no differences between book basis and tax basis appreciation (depreciation) on investments.
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| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
As of December 31, 2016, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:
| FUND | SHORT-TERM | LONG-TERM | ||||||
| AQR Managed Futures Strategy Fund |
$ | 363,233,114 | $ | 69,660,147 | ||||
| AQR Managed Futures Strategy HV Fund |
31,297,589 | 6,619,828 | ||||||
7. Investment Transactions
During the period ended June 30, 2017, there was no cost of purchases or proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments).
8. Derivative Instruments and Activities
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at June 30, 2017.
| 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 |
||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
$ | 5,343,221 | $ | 8,489,188 | $ | — | $ | 81,185,894 | $ | 8,663,973 | $ | — | ||||||||||||
| AQR Managed Futures Strategy HV Fund |
507,411 | 793,336 | — | 7,216,584 | 714,502 | — | ||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | 293,990,495 | — | — | 303,674,779 | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
— | — | 24,852,875 | — | — | 25,618,850 | ||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
17,536,126 | — | — | 40,607,378 | — | — | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
1,578,811 | — | — | 3,717,198 | — | — | ||||||||||||||||||
| Commodity Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
36,713,294 | 31,364,311 | — | 74,466,469 | 64,074,617 | — | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
3,133,441 | 2,430,502 | — | 6,666,373 | 5,221,565 | — | ||||||||||||||||||
| Netting: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(59,592,641 | ) | (39,853,499 | ) | (293,990,495 | ) | (59,592,641 | ) | (39,853,499 | ) | (293,990,495 | ) | ||||||||||||
| AQR Managed Futures Strategy HV Fund |
(5,219,663 | ) | (3,223,838 | ) | (24,852,875 | ) | (5,219,663 | ) | (3,223,838 | ) | (24,852,875 | ) | ||||||||||||
| Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | — | 136,667,100 | 32,885,091 | 9,684,284 | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
— | — | — | 12,380,492 | 2,712,229 | 765,975 | ||||||||||||||||||
| * | May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives. |
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| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the period ended June 30, 2017:
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
NET CHANGE IN UNREALIZED APPRECIATION DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
|||||||||||||||||||||||
| FUND | FUTURES CONTRACTS |
SWAPS CONTRACTS |
FORWARD CURRENCY EXCHANGE CONTRACTS |
FUTURES CONTRACTS |
SWAPS CONTRACTS |
FORWARD CURRENCY EXCHANGE CONTRACTS |
||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
$ | 458,684,447 | $ | 151,184,478 | $ | — | $ | (98,434,025 | ) | $ | (7,849,801 | ) | $ | — | ||||||||||
| AQR Managed Futures Strategy HV Fund |
38,599,426 | 13,230,163 | — | (8,099,406 | ) | (594,251 | ) | — | ||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | (252,950,459 | ) | — | — | 28,099,468 | |||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
— | — | (20,268,177 | ) | — | — | 1,696,489 | |||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(455,914,385 | ) | — | — | (48,980,530 | ) | — | — | ||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
(40,792,490 | ) | — | — | (3,691,771 | ) | — | — | ||||||||||||||||
| Commodity Risk Exposure: | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(353,716,868 | ) | (75,089,080 | ) | — | (63,108,655 | ) | 40,040,562 | — | |||||||||||||||
| AQR Managed Futures Strategy HV Fund |
(30,081,893 | ) | (5,634,368 | ) | — | (5,957,262 | ) | 2,737,376 | — | |||||||||||||||
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of June 30, 2017:
AQR MANAGED FUTURES STRATEGY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 2,988,894 | $ | (2,305,537 | ) | $ | 683,357 | $ | — | $ | (683,357 | ) | $ | — | |||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 117,832,436 | (117,832,436 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 444,044 | (444,044 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 176,158,059 | (176,158,059 | ) | — | — | — | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 5,056,250 | (2,951,600 | ) | 2,104,650 | — | — | 2,104,650 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 302,479,683 | (299,691,676 | ) | 2,788,007 | — | (683,357 | ) | 2,104,650 | ||||||||||||||||||
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| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS STATEMENT OF |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 2,305,537 | $ | (2,305,537 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 121,849,573 | (117,832,436 | ) | 4,017,137 | — | (4,017,137 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 3,406,836 | (444,044 | ) | 2,962,792 | — | (2,962,792 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 181,825,206 | (176,158,059 | ) | 5,667,147 | — | (5,667,147 | ) | — | |||||||||||||||||
| MSCS | Total Return Swap Contracts | 2,951,600 | (2,951,600 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 312,338,752 | (299,691,676 | ) | 12,647,076 | — | (12,647,076 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 12,026,643. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $508,283,110. |
AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED STATEMENT OF |
GROSS AMOUNTS OFFSET |
NET AMOUNTS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 10,582,123 | $ | (10,582,123 | ) | $ — | $ — | $ — | $ — | ||||||||||||||||
| GSIN | Total Return Swap Contracts | 3,014,583 | (3,014,583 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 4,339,250 | (4,339,250 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 2,444,619 | (2,444,619 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 10,983,736 | (10,983,736 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 31,364,311 | (31,364,311 | ) | — | — | — | — | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD. (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 18,711,215 | $ | (10,582,123 | ) | $ | 8,129,092 | $ | — | $ | (8,129,092 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 5,224,613 | (3,014,583 | ) | 2,210,030 | — | (2,210,030 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 13,254,216 | (4,339,250 | ) | 8,914,966 | — | (8,914,966 | ) | — | |||||||||||||||||
| MLIN | Total Return Swap Contracts | 7,126,211 | (2,444,619 | ) | 4,681,592 | — | (4,681,592 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 19,758,362 | (10,983,736 | ) | 8,774,626 | — | (8,774,626 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 64,074,617 | (31,364,311 | ) | 32,710,306 | — | (32,710,306 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $6,170,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $60,064,360. |
AQR MANAGED FUTURES STRATEGY HV FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 551,783 | $ | (376,284 | ) | $ | 175,499 | $ | — | $ | (175,499 | ) | $ | — | |||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 9,965,758 | (9,965,758 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 241,553 | (241,553 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 14,887,117 | (14,887,117 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 25,646,211 | (25,470,712 | ) | 175,499 | — | (175,499 | ) | — | ||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE |
GROSS AMOUNTS STATEMENT OF |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 376,284 | $ | (376,284 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 10,307,139 | (9,965,758 | ) | 341,381 | — | (341,381 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 338,218 | (241,553 | ) | 96,665 | — | (96,665 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 15,311,711 | (14,887,117 | ) | 424,594 | — | (424,594 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 26,333,352 | (25,470,712 | ) | 862,640 | — | (862,640 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 1,724,501. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 39,155,280. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE |
GROSS AMOUNTS STATEMENT OF |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 894,591 | $ | (894,591 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 239,916 | (239,916 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 273,790 | (273,790 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 1,022,205 | (1,022,205 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,430,502 | (2,430,502 | ) | — | — | — | — | |||||||||||||||||||
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS
AMOUNTS STATEMENT
OF |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 1,628,657 | $ | (894,591 | ) | $ | 734,066 | $ | — | $ | (734,066 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 525,010 | (239,916 | ) | 285,094 | — | (285,094 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 865,823 | (273,790 | ) | 592,033 | — | (592,033 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 2,202,075 | (1,022,205 | ) | 1,179,870 | — | (1,179,870 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 5,221,565 | (2,430,502 | ) | 2,791,063 | — | (2,791,063 | ) | — | ||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 980,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 4,776,225. |
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
For the period ended June 30, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| AQR MANAGED |
AQR MANAGED |
|||||||
| Futures Contracts: | ||||||||
| Average Notional Balance—Long | 15,254,534,157 | 1,341,502,225 | ||||||
| Average Notional Balance—Short | 38,485,794,859 | 3,414,806,168 | ||||||
| Ending Notional Balance—Long | 10,707,575,243 | 967,084,738 | ||||||
| Ending Notional Balance—Short | 21,048,577,936 | 1,889,854,101 | ||||||
| Forward Foreign Currency Exchange Contracts: | ||||||||
| Average Settlement Value—Purchased | 16,537,796,037 | 1,349,183,219 | ||||||
| Average Settlement Value—Sold | 15,196,290,385 | 1,223,588,142 | ||||||
| Ending Value—Purchased | 18,470,367,183 | 1,585,509,277 | ||||||
| Ending Value—Sold | 14,996,483,088 | 1,275,490,322 | ||||||
| Total Return Swaps: | ||||||||
| Average Notional Balance—Long | 2,200,534,705 | 184,814,170 | ||||||
| Average Notional Balance—Short | 1,094,319,561 | 86,326,555 | ||||||
| Ending Notional Balance—Long | 2,103,402,192 | 180,414,323 | ||||||
| Ending Notional Balance—Short | 1,282,493,669 | 107,862,277 | ||||||
| * | Notional values as of each quarter end are used to calculate the average represented. |
9. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds pursuant to a Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
| FUND | RATIO | |||
| AQR Managed Futures Strategy Fund |
1.05 | % | ||
| AQR Managed Futures Strategy HV Fund |
1.45 | |||
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2018 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
| AQR Managed Futures Strategy Fund |
1.25 | % | 1.50 | % | 1.15 | % | ||||||
| AQR Managed Futures Strategy HV Fund |
1.65 | 1.90 | 1.55 | |||||||||
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
For the period ended June 30, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
| FUND | INVESTMENT ADVISORY FEES WAIVED |
EXPENSE REIMBURSEMENTS |
TOTAL | |||||||||
| AQR Managed Futures Strategy HV Fund |
$ | 37,506 | $ | — | $ | 37,506 | ||||||
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. 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 lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.
For the period ended June 30, 2017, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2017 are as follows:
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2017 |
TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2017 |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING |
||||||||||||||||||||||
| 2017 | 2018 | 2019 | 2020 | |||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY HV FUND | ||||||||||||||||||||||||
| Class I |
$ | 20,301 | $ | 188,412 | $ | 34,904 | $ | 73,821 | $ | 59,386 | $ | 20,301 | ||||||||||||
| Class N |
6,289 | 47,804 | 3,164 | 18,956 | 19,395 | 6,289 | ||||||||||||||||||
| Class R6 |
10,916 | 69,497 | — | 30,010 | 28,571 | 10,916 | ||||||||||||||||||
| Totals | $ | 37,506 | $ | 305,713 | $ | 38,068 | $ | 122,787 | $ | 107,352 | $ | 37,506 | ||||||||||||
During the period ended June 30, 2017, the Funds recouped amounts as follows:
| FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
| AQR Managed Futures Strategy HV Fund |
$ | 1,380 | $ | 394 | $ | 748 | ||||||
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
10. 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. 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.
11. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible 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).
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
45
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. 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. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
In addition to market risk, the Funds may be exposed to 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 (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. 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. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to 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 counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. 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.
In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.
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 reverse repurchase transactions and entering into other forms of direct and indirect borrowings. 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, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.
The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.
Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2017 (Unaudited) |
12. Line of Credit
Effective February 24, 2017 and terminating on February 23, 2018, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, 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, which is paid monthly. The maximum loan amount is the lesser of an amount which will not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). 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, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. The line of credit available is in the amount of $300,000,000, prior to February 24, 2017 the line of credit available was $285,000,000 at substantially similar terms. The Funds did not have any borrowings for the period ended June 30, 2017.
13. Principal Ownership
As of June 30, 2017, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:
| FUND | NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS |
TOTAL PERCENTAGE INTEREST HELD |
||||||
| AQR Managed Futures Strategy Fund |
6 | 71.20 | % | |||||
| AQR Managed Futures Strategy HV Fund |
5 | 83.64 | % | |||||
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. New Accounting Pronouncements and Regulations
In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The SEC is adopting amendments to Regulation S-X, which will require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.
Compliance with the modifications to Regulation S-X is required for financial statements filed with the SEC on or after August 1, 2017 and other amendments and rules are effective during 2018. Adoption of these rules will have no effect on the Funds’ net assets or results of operations. Management is currently evaluating the impact on the Funds’ financial statements.
15. Subsequent Events
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than noted above.
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
47
Table of Contents
| 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 06/30/17” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/17 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/17 |
|||||||||||||
| AQR Managed Futures Strategy Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $944.20 | 1.21 | % | $5.83 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.79 | 1.21 | % | $6.06 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $943.50 | 1.47 | % | $7.08 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.50 | 1.47 | % | $7.35 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $945.30 | 1.12 | % | $5.40 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.24 | 1.12 | % | $5.61 | |||||||||||
| AQR Managed Futures Strategy HV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $919.30 | 1.65 | % | $7.85 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.61 | 1.65 | % | $8.25 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $917.70 | 1.90 | % | $9.03 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,015.37 | 1.90 | % | $9.49 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $919.40 | 1.55 | % | $7.38 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.11 | 1.55 | % | $7.75 | |||||||||||
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).
| AQR Funds | Semi-Annual Report | June 2017 | ||||||||||||||
48
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Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
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 https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
Table of Contents
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248
p: +1.866.290.2688 | w: https://funds.aqr.com
Table of Contents
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
| (a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
| (b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There have not been any changes in Registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | Not required for this filing. | |
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
| (a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. | |
| (b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. | |
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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, 2017
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
August 29, 2017
By: /s/ Heather Bonner
Heather Bonner,
Principal Financial Officer
August 29, 2017