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, 2018 to June 30, 2018
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, 2018
AQR Alternative Risk Premia 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
AQR Style Premia Alternative LV Fund
Table of Contents
| Schedule of Investments | ||||
| 2 | ||||
| 24 | ||||
| 51 | ||||
| 66 | ||||
| 76 | ||||
| 100 | ||||
| 143 | ||||
| 150 | ||||
| 165 | ||||
| 174 | ||||
| 182 | ||||
| 206 | ||||
| Financial Statements and Notes | 226 | |||
| Fund Expense Examples (unaudited) | 306 | |||
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
2
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
3
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
4
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
5
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
6
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
7
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
8
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
9
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
10
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
11
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
12
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
13
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
14
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
Written Call Options Contracts as of June 30, 2018:
Exchange Traded
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS |
NOTIONAL AMOUNT |
EXERCISE PRICE |
EXPIRATION DATE |
VALUE | ||||||||||||||||
| EURO STOXX 50 Index | JPMS | 5 | EUR | (169,780 | ) | EUR | 3,400.00 | 7/20/2018 | $(2,727 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 15 | EUR | (509,340 | ) | EUR | 3,400.00 | 8/17/2018 | (11,964 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 1 | EUR | (33,956 | ) | EUR | 3,425.00 | 7/20/2018 | (390 | ) | ||||||||||||
| Euro-Bund | JPMS | 9 | EUR | (900,000 | ) | EUR | 162.00 | 7/27/2018 | (10,615 | ) | ||||||||||||
| Euro-Bund | JPMS | 18 | EUR | (1,800,000 | ) | EUR | 163.00 | 7/27/2018 | (10,720 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 1 | JPY | (22,304,510 | ) | JPY | 22,250.00 | 8/10/2018 | (4,426 | ) | ||||||||||||
| S&P 500 Index | JPMS | 3 | USD | (815,511 | ) | USD | 2,700.00 | 7/20/2018 | (13,920 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,700.00 | 8/17/2018 | (12,600 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,730.00 | 8/17/2018 | (8,600 | ) | ||||||||||||
| S&P 500 Index | JPMS | 3 | USD | (815,511 | ) | USD | 2,755.00 | 8/17/2018 | (8,790 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | JPMS | 17 | USD | (1,700,000 | ) | USD | 120.50 | 7/27/2018 | (5,578 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | JPMS | 34 | USD | (3,400,000 | ) | USD | 121.00 | 7/27/2018 | (6,375 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | JPMS | 35 | USD | (3,500,000 | ) | USD | 121.50 | 7/27/2018 | (3,828 | ) | ||||||||||||
|
|
|
|||||||||||||||||||||
| $(100,533 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Written Put Options Contracts as of June 30, 2018:
Exchange Traded
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS |
NOTIONAL AMOUNT |
EXERCISE PRICE |
EXPIRATION DATE |
VALUE | ||||||||||||||||
| EURO STOXX 50 Index | JPMS | 15 | EUR | (509,340 | ) | EUR | 3,225.00 | 8/17/2018 | $(5,097 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 6 | EUR | (203,736 | ) | EUR | 3,275.00 | 7/20/2018 | (1,163 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 15 | EUR | (509,340 | ) | EUR | 3,275.00 | 8/17/2018 | (6,691 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 15 | EUR | (509,340 | ) | EUR | 3,300.00 | 8/17/2018 | (7,655 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 9 | EUR | (305,604 | ) | EUR | 3,325.00 | 7/20/2018 | (2,680 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 20 | EUR | (679,120 | ) | EUR | 3,350.00 | 7/20/2018 | (7,381 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 16 | EUR | (543,296 | ) | EUR | 3,350.00 | 8/17/2018 | (10,744 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 22 | EUR | (747,032 | ) | EUR | 3,375.00 | 7/20/2018 | (10,097 | ) | ||||||||||||
| EURO STOXX 50 Index | JPMS | 14 | EUR | (475,384 | ) | EUR | 3,425.00 | 7/20/2018 | (9,891 | ) | ||||||||||||
| Euro-Bund | JPMS | 20 | EUR | (2,000,000 | ) | EUR | 160.00 | 7/27/2018 | (1,868 | ) | ||||||||||||
| Euro-Bund | JPMS | 19 | EUR | (1,900,000 | ) | EUR | 161.00 | 7/27/2018 | (4,438 | ) | ||||||||||||
| Euro-Bund | JPMS | 9 | EUR | (900,000 | ) | EUR | 162.00 | 7/27/2018 | (4,835 | ) | ||||||||||||
| FTSE 100 Index | JPMS | 3 | GBP | (229,108 | ) | GBP | 7,300.00 | 7/20/2018 | (713 | ) | ||||||||||||
| FTSE 100 Index | JPMS | 1 | GBP | (76,369 | ) | GBP | 7,350.00 | 7/20/2018 | (284 | ) | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
15
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS |
NOTIONAL AMOUNT |
EXERCISE PRICE |
EXPIRATION DATE |
VALUE | ||||||||||||||||
| FTSE 100 Index | JPMS | 2 | GBP | (152,739 | ) | GBP | 7,375.00 | 7/20/2018 | $ (620 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 2 | JPY | (44,609,020 | ) | JPY | 21,125.00 | 8/10/2018 | (3,252 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 1 | JPY | (22,304,510 | ) | JPY | 21,250.00 | 8/10/2018 | (1,806 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 2 | JPY | (44,609,020 | ) | JPY | 21,375.00 | 8/10/2018 | (3,884 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 1 | JPY | (22,304,510 | ) | JPY | 21,500.00 | 7/13/2018 | (903 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 2 | JPY | (44,609,020 | ) | JPY | 21,625.00 | 8/10/2018 | (4,606 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 2 | JPY | (44,609,020 | ) | JPY | 21,750.00 | 7/13/2018 | (2,348 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 3 | JPY | (66,913,530 | ) | JPY | 21,875.00 | 7/13/2018 | (4,064 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 2 | JPY | (44,609,020 | ) | JPY | 22,000.00 | 8/10/2018 | (6,323 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 3 | JPY | (66,913,530 | ) | JPY | 22,125.00 | 7/13/2018 | (5,690 | ) | ||||||||||||
| Nikkei 225 Index | JPMS | 1 | JPY | (22,304,510 | ) | JPY | 22,375.00 | 7/13/2018 | (2,890 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,565.00 | 8/17/2018 | (3,026 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,595.00 | 8/17/2018 | (4,210 | ) | ||||||||||||
| S&P 500 Index | JPMS | 4 | USD | (1,087,348 | ) | USD | 2,605.00 | 7/20/2018 | (3,400 | ) | ||||||||||||
| S&P 500 Index | JPMS | 3 | USD | (815,511 | ) | USD | 2,610.00 | 8/17/2018 | (6,360 | ) | ||||||||||||
| S&P 500 Index | JPMS | 8 | USD | (2,174,696 | ) | USD | 2,625.00 | 8/17/2018 | (19,600 | ) | ||||||||||||
| S&P 500 Index | JPMS | 4 | USD | (1,087,348 | ) | USD | 2,630.00 | 7/20/2018 | (4,400 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,630.00 | 8/17/2018 | (4,690 | ) | ||||||||||||
| S&P 500 Index | JPMS | 3 | USD | (815,511 | ) | USD | 2,640.00 | 8/17/2018 | (8,115 | ) | ||||||||||||
| S&P 500 Index | JPMS | 1 | USD | (271,837 | ) | USD | 2,645.00 | 7/20/2018 | (1,080 | ) | ||||||||||||
| S&P 500 Index | JPMS | 8 | USD | (2,174,696 | ) | USD | 2,650.00 | 7/20/2018 | (11,600 | ) | ||||||||||||
| S&P 500 Index | JPMS | 4 | USD | (1,087,348 | ) | USD | 2,655.00 | 8/17/2018 | (12,200 | ) | ||||||||||||
| S&P 500 Index | JPMS | 10 | USD | (2,718,370 | ) | USD | 2,660.00 | 7/20/2018 | (14,730 | ) | ||||||||||||
| S&P 500 Index | JPMS | 9 | USD | (2,446,533 | ) | USD | 2,660.00 | 8/17/2018 | (27,765 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,665.00 | 8/17/2018 | (5,250 | ) | ||||||||||||
| S&P 500 Index | JPMS | 3 | USD | (815,511 | ) | USD | 2,670.00 | 7/20/2018 | (5,220 | ) | ||||||||||||
| S&P 500 Index | JPMS | 3 | USD | (815,511 | ) | USD | 2,670.00 | 8/17/2018 | (10,074 | ) | ||||||||||||
| S&P 500 Index | JPMS | 4 | USD | (1,087,348 | ) | USD | 2,675.00 | 7/20/2018 | (7,400 | ) | ||||||||||||
| S&P 500 Index | JPMS | 1 | USD | (271,837 | ) | USD | 2,675.00 | 8/17/2018 | (3,355 | ) | ||||||||||||
| S&P 500 Index | JPMS | 4 | USD | (1,087,348 | ) | USD | 2,685.00 | 8/17/2018 | (13,480 | ) | ||||||||||||
| S&P 500 Index | JPMS | 19 | USD | (5,164,903 | ) | USD | 2,690.00 | 7/20/2018 | (37,431 | ) | ||||||||||||
| S&P 500 Index | JPMS | 8 | USD | (2,174,696 | ) | USD | 2,690.00 | 8/17/2018 | (30,544 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,700.00 | 8/17/2018 | (8,304 | ) | ||||||||||||
| S&P 500 Index | JPMS | 9 | USD | (2,446,533 | ) | USD | 2,710.00 | 7/20/2018 | (25,497 | ) | ||||||||||||
| S&P 500 Index | JPMS | 1 | USD | (271,837 | ) | USD | 2,710.00 | 8/17/2018 | (4,185 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,715.00 | 8/17/2018 | (7,800 | ) | ||||||||||||
| S&P 500 Index | JPMS | 9 | USD | (2,446,533 | ) | USD | 2,720.00 | 8/17/2018 | (42,391 | ) | ||||||||||||
| S&P 500 Index | JPMS | 1 | USD | (271,837 | ) | USD | 2,730.00 | 8/17/2018 | (5,171 | ) | ||||||||||||
| S&P 500 Index | JPMS | 1 | USD | (271,837 | ) | USD | 2,740.00 | 8/17/2018 | (5,590 | ) | ||||||||||||
| S&P 500 Index | JPMS | 2 | USD | (543,674 | ) | USD | 2,745.00 | 8/17/2018 | (9,922 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | JPMS | 34 | USD | (3,400,000 | ) | USD | 119.50 | 7/27/2018 | (6,375 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | JPMS | 33 | USD | (3,300,000 | ) | USD | 120.00 | 7/27/2018 | (11,859 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | JPMS | 17 | USD | (1,700,000 | ) | USD | 120.50 | 7/27/2018 | (10,891 | ) | ||||||||||||
|
|
|
|||||||||||||||||||||
| (481,838 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Written Options Contracts (Premiums Received ($721,439)) |
|
$(582,371 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
16
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 7,181,500 | $16,134 | ||||||||||||
| MSCI Australia Net Return Index | Decreases in total return of reference entity and pays the Australian Bank- Bill Swap Reference Rate (“BBR”) plus or minus a specified spread (0.08%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | AUD | 11,298 | 258 | ||||||||||||
| MSCI France Net Return Index | Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread (0.01%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 234 | 1 | ||||||||||||
| MSCI Italy Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.09%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 1,924,052 | 16,481 | ||||||||||||
| MSCI Japan Net Return Index | Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread (-0.09%) | Increases in total return of reference entity | Monthly | BANA | 09/25/2018 | JPY | 1,965 | — | ||||||||||||
| MSCI Netherlands Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 777,808 | 6,683 | ||||||||||||
| MSCI Spain Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the EURIBOR plus or minus a specified spread (-0.63%) | Monthly | BANA | 09/19/2018 | EUR | (322,514 | ) | 8,339 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
17
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| MSCI Sweden Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the Stockholm Interbank Offered Rate (“STIBOR”) plus or minus a specified spread (-0.04%) | Monthly | BANA | 09/19/2018 | SEK | (39,410,292 | ) | $ 19,938 | |||||||||||
| MSCI Switzerland Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.03%) | Monthly | BANA | 09/19/2018 | CHF | (410,144 | ) | 902 | |||||||||||
| MSCI United Kingdom Net Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.07%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | GBP | 11,818 | 88 | ||||||||||||
| MSCI United Kingdom Net Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.07%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | GBP | 11,839 | 60 | ||||||||||||
| Swiss Market Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | Monthly | MSCS | 09/21/2018 | CHF | (13,119,750 | ) | 11,963 | |||||||||||
|
|
|
|||||||||||||||||||
| 80,847 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| MSCI Australia Net Return Index | Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (0.08%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | AUD | 5,838 | (8 | ) | |||||||||||
| MSCI Canada Net Return Index | Decreases in total return of reference entity and pays the Canadian Bankers’ Acceptance (“BA”) plus or minus a specified spread (-0.53%) | Increases in total return of reference entity | Monthly | BANA | 09/24/2018 | CAD | 6,593 | (46 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
18
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| MSCI Hong Kong Net Return Index | Decreases in total return of reference entity and pays the Hong Kong Interbank Offered Rate (“HIBOR”) plus or minus a specified spread (0.45%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | HKD | 67,719,562 | $ (469,183 | ) | |||||||||||
| MSCI Italy Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.09%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 904,730 | (9,881 | ) | |||||||||||
| MSCI Japan Net Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (-0.09%) | Increases in total return of reference entity | Monthly | BANA | 09/25/2018 | JPY | 1,066,829,849 | (304,991 | ) | |||||||||||
| MSCI Netherlands Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 906,641 | (17,624 | ) | |||||||||||
| MSCI Netherlands Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 457,782 | (12,240 | ) | |||||||||||
| MSCI Netherlands Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.01%) | Increases in total return of reference entity | Monthly | BANA | 09/21/2018 | EUR | 234 | (4 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (813,977 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(733,130 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
19
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Long Contracts | ||||||||||||||||||
| Amsterdam Exchange Index | 45 | 7/2018 | EUR | $5,797,426 | $(104,851 | ) | ||||||||||||
| Hang Seng Index | 20 | 7/2018 | HKD | 3,661,415 | 8,820 | |||||||||||||
| EURO STOXX 50 Index | 58 | 9/2018 | EUR | 2,296,806 | (33,954 | ) | ||||||||||||
| Euro-Bobl | 225 | 9/2018 | EUR | 34,728,328 | 63,410 | |||||||||||||
| Euro-Bund | 387 | 9/2018 | EUR | 73,462,621 | 486,702 | |||||||||||||
| Euro-Buxl | 29 | 9/2018 | EUR | 6,018,024 | 92,200 | |||||||||||||
| Euro-OAT | 46 | 9/2018 | EUR | 8,301,703 | 70,505 | |||||||||||||
| Euro-Schatz | 136 | 9/2018 | EUR | 17,801,429 | 1,839 | |||||||||||||
| FTSE 100 Index | 79 | 9/2018 | GBP | 7,925,343 | (45,967 | ) | ||||||||||||
| FTSE/MIB Index | 2 | 9/2018 | EUR | 251,871 | (2,428 | ) | ||||||||||||
| Japan 10 Year Bond | 24 | 9/2018 | JPY | 32,698,008 | 14,750 | |||||||||||||
| NASDAQ 100 Emini Index | 36 | 9/2018 | USD | 5,088,060 | (76,660 | ) | ||||||||||||
| Nikkei 225 Index | 9 | 9/2018 | JPY | 1,811,950 | (12,705 | ) | ||||||||||||
| Russell 2000 E-Mini Index | 65 | 9/2018 | USD | 5,354,375 | (95,472 | ) | ||||||||||||
| S&P Midcap 400 E-Mini Index | 2 | 9/2018 | USD | 391,220 | (10,295 | ) | ||||||||||||
| S&P/TSX 60 Index | 21 | 9/2018 | CAD | 3,077,519 | (1,206 | ) | ||||||||||||
| SPI 200 Index | 118 | 9/2018 | AUD | 13,421,990 | 62,187 | |||||||||||||
| TOPIX Index | 121 | 9/2018 | JPY | 18,912,568 | (391,486 | ) | ||||||||||||
| U.S. Treasury 10 Year Note | 18 | 9/2018 | USD | 2,163,375 | 628 | |||||||||||||
|
|
|
|||||||||||||||||
| 26,017 | ||||||||||||||||||
|
|
|
|||||||||||||||||
| Short Contracts |
| |||||||||||||||||
| IBEX 35 Index | (46 | ) | 7/2018 | EUR | (5,157,972 | ) | 80,343 | |||||||||||
| OMXS30 Index | (222 | ) | 7/2018 | SEK | (3,869,060 | ) | (10,718 | ) | ||||||||||
| Australia 10 Year Bond | (10 | ) | 9/2018 | AUD | (957,341 | ) | 1,011 | |||||||||||
| Canada 10 Year Bond | (149 | ) | 9/2018 | CAD | (15,494,459 | ) | (209,399 | ) | ||||||||||
| DAX Index | (35 | ) | 9/2018 | EUR | (12,577,133 | ) | 302,234 | |||||||||||
| Euro-BTP | (32 | ) | 9/2018 | EUR | (4,754,908 | ) | (73,708 | ) | ||||||||||
| Long Gilt | (271 | ) | 9/2018 | GBP | (44,012,683 | ) | (521,322 | ) | ||||||||||
| MSCI EAFE E-Mini Index | (1 | ) | 9/2018 | USD | (97,770 | ) | 161 | |||||||||||
| S&P 500 E-Mini Index | (167 | ) | 9/2018 | USD | (22,725,360 | ) | 247,100 | |||||||||||
| U.S. Treasury 2 Year Note | (58 | ) | 9/2018 | USD | (12,286,031 | ) | 2,529 | |||||||||||
| U.S. Treasury 5 Year Note | (313 | ) | 9/2018 | USD | (35,562,180 | ) | (156,667 | ) | ||||||||||
| U.S. Treasury Long Bond | (45 | ) | 9/2018 | USD | (6,525,000 | ) | (102,696 | ) | ||||||||||
|
|
|
|||||||||||||||||
| (441,132 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| $(415,115 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| AUD | 280,000 | USD | 206,048 | CITI | 9/19/2018 | $1,216 | ||||||||||||||
| AUD | 420,000 | USD | 309,073 | JPMC | 9/19/2018 | 1,823 | ||||||||||||||
| CAD | 2,096,400 | USD | 1,578,428 | CITI | 9/19/2018 | 18,377 | ||||||||||||||
| CAD | 3,144,600 | USD | 2,367,645 | JPMC | 9/19/2018 | 27,562 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
20
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| CHF | 1,844,000 | USD | 1,870,244 | CITI | 9/19/2018 | $ 4,686 | ||||||||||||||
| CHF | 2,766,000 | USD | 2,805,369 | JPMC | 9/19/2018 | 7,026 | ||||||||||||||
| DKK | 280,800 | USD | 43,914 | CITI | 9/19/2018 | 378 | ||||||||||||||
| DKK | 421,200 | USD | 65,871 | JPMC | 9/19/2018 | 567 | ||||||||||||||
| EUR | 7,462,300 | USD | 8,699,788 | CITI | 9/19/2018 | 67,183 | ||||||||||||||
| EUR | 11,193,447 | USD | 13,049,594 | JPMC | 9/19/2018 | 100,859 | ||||||||||||||
| GBP | 1,197,200 | USD | 1,572,510 | CITI | 9/19/2018 | 13,106 | ||||||||||||||
| GBP | 1,795,800 | USD | 2,358,768 | JPMC | 9/19/2018 | 19,656 | ||||||||||||||
| HKD | 940,000 | USD | 119,944 | CITI | 9/19/2018 | 29 | ||||||||||||||
| HKD | 1,410,000 | USD | 179,916 | JPMC | 9/19/2018 | 43 | ||||||||||||||
| NOK | 413,200 | USD | 50,663 | CITI | 9/19/2018 | 233 | ||||||||||||||
| NOK | 619,800 | USD | 75,994 | JPMC | 9/19/2018 | 349 | ||||||||||||||
| USD | 1,904,221 | AUD | 2,535,200 | CITI | 9/19/2018 | 27,595 | ||||||||||||||
| USD | 2,856,328 | AUD | 3,802,800 | JPMC | 9/19/2018 | 41,389 | ||||||||||||||
| USD | 212,605 | CAD | 273,200 | CITI | 9/19/2018 | 4,512 | ||||||||||||||
| USD | 318,907 | CAD | 409,800 | JPMC | 9/19/2018 | 6,765 | ||||||||||||||
| USD | 15,592,527 | CHF | 15,250,238 | CITI | 9/19/2018 | 86,493 | ||||||||||||||
| USD | 23,388,765 | CHF | 22,875,360 | JPMC | 9/19/2018 | 129,709 | ||||||||||||||
| USD | 4,450 | DKK | 28,000 | CITI | 9/19/2018 | 33 | ||||||||||||||
| USD | 6,675 | DKK | 42,000 | JPMC | 9/19/2018 | 50 | ||||||||||||||
| USD | 12,153,358 | EUR | 10,272,400 | CITI | 9/19/2018 | 84,982 | ||||||||||||||
| USD | 18,240,289 | EUR | 15,408,600 | JPMC | 9/19/2018 | 137,726 | ||||||||||||||
| USD | 469,978 | GBP | 354,400 | CITI | 9/19/2018 | 598 | ||||||||||||||
| USD | 704,966 | GBP | 531,600 | JPMC | 9/19/2018 | 895 | ||||||||||||||
| USD | 3,883,306 | JPY | 424,030,003 | CITI | 9/19/2018 | 32,014 | ||||||||||||||
| USD | 5,824,655 | JPY | 636,045,005 | JPMC | 9/19/2018 | 47,717 | ||||||||||||||
| USD | 3,070,026 | NOK | 24,785,500 | CITI | 9/19/2018 | 17,080 | ||||||||||||||
| USD | 4,604,663 | NOK | 37,178,250 | JPMC | 9/19/2018 | 25,243 | ||||||||||||||
| USD | 6,285,027 | NZD | 9,100,800 | CITI | 9/19/2018 | 120,592 | ||||||||||||||
| USD | 9,427,528 | NZD | 13,651,200 | JPMC | 9/19/2018 | 180,876 | ||||||||||||||
| USD | 3,229,992 | SEK | 28,142,402 | CITI | 9/19/2018 | 68,747 | ||||||||||||||
| USD | 4,844,981 | SEK | 42,213,598 | JPMC | 9/19/2018 | 103,113 | ||||||||||||||
| USD | 898 | SGD | 1,200 | CITI | 9/19/2018 | 15 | ||||||||||||||
| USD | 1,346 | SGD | 1,800 | JPMC | 9/19/2018 | 23 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 1,379,260 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 8,789,600 | USD | 6,666,273 | CITI | 9/19/2018 | (159,967 | ) | |||||||||||||
| AUD | 13,184,400 | USD | 10,000,168 | JPMC | 9/19/2018 | (240,706 | ) | |||||||||||||
| CAD | 28,572,800 | USD | 22,116,482 | CITI | 9/19/2018 | (352,893 | ) | |||||||||||||
| CAD | 42,859,200 | USD | 33,174,764 | JPMC | 9/19/2018 | (529,390 | ) | |||||||||||||
| CHF | 18,800 | USD | 19,168 | CITI | 9/19/2018 | (53 | ) | |||||||||||||
| CHF | 28,200 | USD | 28,752 | JPMC | 9/19/2018 | (79 | ) | |||||||||||||
| DKK | 17,200 | USD | 2,718 | CITI | 9/19/2018 | (5 | ) | |||||||||||||
| DKK | 25,800 | USD | 4,078 | JPMC | 9/19/2018 | (8 | ) | |||||||||||||
| EUR | 6,111,700 | USD | 7,219,197 | CITI | 9/19/2018 | (38,959 | ) | |||||||||||||
| EUR | 9,167,553 | USD | 10,828,812 | JPMC | 9/19/2018 | (58,450 | ) | |||||||||||||
| GBP | 4,127,200 | USD | 5,543,921 | CITI | 9/19/2018 | (77,705 | ) | |||||||||||||
| GBP | 6,190,800 | USD | 8,315,891 | JPMC | 9/19/2018 | (116,568 | ) | |||||||||||||
| HKD | 132,800 | USD | 16,963 | CITI | 9/19/2018 | (13 | ) | |||||||||||||
| HKD | 199,200 | USD | 25,444 | JPMC | 9/19/2018 | (19 | ) | |||||||||||||
| JPY | 338,452,000 | USD | 3,099,356 | CITI | 9/19/2018 | (25,334 | ) | |||||||||||||
| JPY | 507,678,000 | USD | 4,650,880 | JPMC | 9/19/2018 | (39,847 | ) | |||||||||||||
| NOK | 848,000 | USD | 105,066 | CITI | 9/19/2018 | (615 | ) | |||||||||||||
| NOK | 1,272,000 | USD | 157,599 | JPMC | 9/19/2018 | (920 | ) | |||||||||||||
| NZD | 2,172,000 | USD | 1,503,958 | CITI | 9/19/2018 | (32,752 | ) | |||||||||||||
| NZD | 3,258,000 | USD | 2,255,940 | JPMC | 9/19/2018 | (49,130 | ) | |||||||||||||
| SEK | 1,126,000 | USD | 130,368 | CITI | 9/19/2018 | (3,884 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
21
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| SEK | 1,689,000 | USD | 195,553 | JPMC | 9/19/2018 | $ (5,827 | ) | |||||||||||||
| SGD | 13,200 | USD | 9,855 | CITI | 9/19/2018 | (150 | ) | |||||||||||||
| SGD | 19,800 | USD | 14,782 | JPMC | 9/19/2018 | (225 | ) | |||||||||||||
| USD | 2,158,039 | AUD | 2,923,600 | CITI | 9/19/2018 | (6,092 | ) | |||||||||||||
| USD | 3,237,054 | AUD | 4,385,400 | JPMC | 9/19/2018 | (9,141 | ) | |||||||||||||
| USD | 6,720,836 | CAD | 8,892,800 | CITI | 9/19/2018 | (52,712 | ) | |||||||||||||
| USD | 10,084,896 | CAD | 13,339,200 | JPMC | 9/19/2018 | (75,424 | ) | |||||||||||||
| USD | 5,995,293 | CHF | 5,928,562 | CITI | 9/19/2018 | (32,713 | ) | |||||||||||||
| USD | 8,992,925 | CHF | 8,892,840 | JPMC | 9/19/2018 | (49,079 | ) | |||||||||||||
| USD | 17,263 | DKK | 110,400 | CITI | 9/19/2018 | (150 | ) | |||||||||||||
| USD | 25,895 | DKK | 165,600 | JPMC | 9/19/2018 | (226 | ) | |||||||||||||
| USD | 4,493,912 | EUR | 3,848,800 | CITI | 9/19/2018 | (27,792 | ) | |||||||||||||
| USD | 6,740,859 | EUR | 5,773,200 | JPMC | 9/19/2018 | (41,697 | ) | |||||||||||||
| USD | 4,859,257 | GBP | 3,697,200 | CITI | 9/19/2018 | (37,452 | ) | |||||||||||||
| USD | 7,288,876 | GBP | 5,545,800 | JPMC | 9/19/2018 | (56,185 | ) | |||||||||||||
| USD | 201,554 | JPY | 22,248,800 | CITI | 9/19/2018 | (523 | ) | |||||||||||||
| USD | 302,330 | JPY | 33,373,200 | JPMC | 9/19/2018 | (785 | ) | |||||||||||||
| USD | 1,516,343 | NOK | 12,386,500 | CITI | 9/19/2018 | (9,362 | ) | |||||||||||||
| USD | 2,274,511 | NOK | 18,579,750 | JPMC | 9/19/2018 | (14,045 | ) | |||||||||||||
| USD | 3,001,496 | SEK | 26,910,000 | CITI | 9/19/2018 | (21,314 | ) | |||||||||||||
| USD | 4,502,238 | SEK | 40,365,000 | JPMC | 9/19/2018 | (31,976 | ) | |||||||||||||
| USD | 586 | SGD | 800 | CITI | 9/19/2018 | (2 | ) | |||||||||||||
| USD | 879 | SGD | 1,200 | JPMC | 9/19/2018 | (3 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(2,200,172 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
|
$(820,912 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
22
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $2,790,352 | $2,790,352 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Cash | 1,280,000 | — | 1,280,000 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 583,431 | 583,431 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Cash | 3,040,000 | — | 3,040,000 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 13,370,763 | 13,370,763 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 3,220,000 | — | 3,220,000 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Cash | 1,768,821 | — | 1,768,821 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
23
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
24
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
25
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
26
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
27
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
28
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
29
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
30
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
31
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
32
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
33
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
34
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
35
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
36
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE 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 $163,095,340. In addition, $17,437,294 of cash collateral was pledged. |
| (c) | 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, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/18 |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
INTEREST INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||||||
| Other Affiliates: |
|
|||||||||||||||||||||||||||||||
| LONG POSITIONS - 2.9% | ||||||||||||||||||||||||||||||||
| COMMON STOCKS - 1.9% | ||||||||||||||||||||||||||||||||
| Capital Markets - 1.9% | ||||||||||||||||||||||||||||||||
| Forum Merger Corp., Class A *^ | 683,600 | — | (683,600 | ) | — | $— | $— | $— | $105,497 | $13,672 | ||||||||||||||||||||||
| KBL Merger Corp. IV * | 900,000 | — | (900,000 | ) | — | — | — | — | (135,205 | ) | 252,000 | |||||||||||||||||||||
| Matlin and Partners Acquisition Corp., Class A * ^ | 400,000 | — | (400,000 | ) | — | — | — | — | (101,090 | ) | 96,000 | |||||||||||||||||||||
| Modern Media Acquisition Corp. * | 625,000 | — | (29,969 | ) | 595,031 | 5,932,459 | — | — | (1,805 | ) | 94,649 | |||||||||||||||||||||
| Stellar Acquisition III, Inc. (Greece) (2)* | 200,000 | — | (1,300 | ) | 198,700 | 2,062,506 | — | — | 545 | 33,506 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 7,994,965 | — | — | (132,058 | ) | 489,827 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Diversified Consumer Services - 0.0% (a) | ||||||||||||||||||||||||||||||||
| Education Management Corp. (2)*(b) | 8,615,228 | — | — | 8,615,228 | 25,846 | — | — | — | (4,308 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| TOTAL COMMON STOCKS |
|
8,020,811 | — | — | (132,058 | ) | 485,519 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| RIGHTS - 0.3% | ||||||||||||||||||||||||||||||||
| Capital Markets- 0.3% | ||||||||||||||||||||||||||||||||
| Barington/Hilco Acquisition Corp. (2)* | 487,260 | — | — | 487,260 | 92,579 | — | — | — | 14,618 | |||||||||||||||||||||||
| Forum Merger Corp., expiring 4/26/2018 *^ | 1,500,000 | — | (1,500,000 | ) | — | — | — | — | — | (990,000 | ) | |||||||||||||||||||||
| KBL Merger Corp. IV, expiring 3/6/2019 (2)* | 1,000,000 | — | — | 1,000,000 | 358,500 | — | — | — | 68,500 | |||||||||||||||||||||||
| Modern Media Acquisition Corp., expiring 12/31/2022 * | 1,700,000 | — | — | 1,700,000 | 884,000 | — | — | — | 221,000 | |||||||||||||||||||||||
| Origo Acquisition Corp. * | 315,500 | — | — | 315,500 | 56,790 | — | — | — | (99,383 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 1,391,869 | — | — | — | (785,265 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
37
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/18 |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
INTEREST INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||||||
| Health Care Providers & Services - 0.0% (a) | ||||||||||||||||||||||||||||||||
| Community Health Systems, Inc., CVR* | 7,762,436 | — | — | 7,762,436 | $85,387 | $— | $— | $— | $30,274 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| TOTAL RIGHTS |
|
1,477,256 | — | — | — | (754,991 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| WARRANTS - 0.7% | ||||||||||||||||||||||||||||||||
| Aerospace & Defense - 0.0% (a) | ||||||||||||||||||||||||||||||||
| Ability, Inc., expiring 12/17/2018 (Israel) (2)* | 1,449,557 | 1 | (1,304,602 | ) | 144,956 | 7,393 | — | — | — | 6,233 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Capital Markets - 0.5% | ||||||||||||||||||||||||||||||||
| Barington/Hilco Acquisition Corp., expiring 2/11/2018 * | 487,260 | — | — | 487,260 | 77,962 | — | — | — | 43,853 | |||||||||||||||||||||||
| Forum Merger Corp., expiring 5/2/2022 *^ | 750,000 | — | (750,000 | ) | — | — | — | — | — | (480,000 | ) | |||||||||||||||||||||
| KBL Merger Corp. IV, expiring 7/1/2023 * | 1,000,000 | — | — | 1,000,000 | 238,000 | — | — | — | 41,000 | |||||||||||||||||||||||
| Matlin and Partners Acquisition Corp., expiring 5/28/2021 *^ | 2,500,000 | — | — | 2,500,000 | 1,625,000 | — | — | — | 575,000 | |||||||||||||||||||||||
| Modern Media Acquisition Corp., expiring 6/7/2022 * | 850,000 | — | — | 850,000 | 552,500 | — | — | — | 119,000 | |||||||||||||||||||||||
| Origo Acquisition Corp., expiring 12/17/2021 * | 300,000 | — | — | 300,000 | 90,000 | — | — | — | (59,040 | ) | ||||||||||||||||||||||
| Stellar Acquisition III, Inc., expiring 3/22/2022 * | 600,000 | — | — | 600,000 | 156,000 | — | — | — | (30,060 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 2,739,462 | — | — | — | 209,753 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Diversified Consumer Services - 0.0% (a) | ||||||||||||||||||||||||||||||||
| Education Management Corp., expiring 1/5/2022 (3)*(d) | 16,528,497 | — | — | 16,528,497 | 17 | — | — | — | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Machinery - 0.0% (a) | ||||||||||||||||||||||||||||||||
| Jason Industries, Inc., expiring 6/30/2019 (2)* | 1,933,070 | — | — | 1,933,070 | 19,331 | — | — | — | (25,130 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Oil, Gas & Consumable Fuels - 0.1% | ||||||||||||||||||||||||||||||||
| Rosehill Resources, Inc., expiring 9/16/2022 * | 489,600 | — | — | 489,600 | 587,520 | — | — | — | 102,816 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
38
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/18 |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
INTEREST INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||||||||
| Software - 0.1% | ||||||||||||||||||||||||||||||||
| RMG Networks Holding Corp., expiring 4/8/2018 (2)*^ | 631,210 | — | (631,210 | ) | — | $— | $— | $— | $— | $— | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| TOTAL WARRANTS |
|
3,353,723 | — | — | — | 293,672 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total | $12,851,790 | $— | $— | $(132,058 | ) | $24,200 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| * | Non-income producing security. |
| ^ | No longer affiliated as of June 30, 2018. |
| (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 $25,846. |
| (d) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $17, which represents approximately 0.00% of net assets of the fund. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
| (d) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $17,385,111, which represents approximately 3.72% of net assets of the fund. |
| (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 June 30, 2018 amounted to $49,108,476, which represents approximately 10.51% of net assets of the fund. |
| (f) | Perpetual security. The rate reflected was the rate in effect on June 30, 2018. The maturity date reflects the next call date. |
| (g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. See Note to Financial Statements for further information. The interest rate shown was the current rate as of June 30, 2018. |
| (h) | Payment in-kind security. |
| (i) | Defaulted security. |
| (j) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of June 30, 2018. |
| (k) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At June 30, 2018, the value of these securities amounted to $324,648 or 0.07% of net assets. |
| (l) | 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. The interest rate shown was the current rate as of June 30, 2018. |
| (m) | Represents 7-day effective yield as of June 30, 2018. |
| (n) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (o) | The rate shown was the effective yield at the date of purchase. |
| (p) | 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). |
ADR - American Depositary Receipt
CVR - Contingent Value Rights
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
| ICE | - Intercontinental Exchange |
| LIBOR | - London Interbank Offered Rate |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
39
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Credit default swap contracts outstanding — buy protection as of June 30, 2018:
Exchange Cleared
| REFERENCE ENTITY |
FINANCING RATE PAID |
FREQUENCY OF PAYMENTS MADE/ RECEIVED |
MATURITY DATE |
CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | ||||||||||||||||||||||
| Markit CDX North America High Yield Index Series 30.V1 | 5.00 | % | Quarterly | 6/20/2023 | 3.59 | % | USD 13,375,000 | $(864,072 | ) | $65,294 | $(798,778 | ) | ||||||||||||||||||
| Markit CDX North America Investment Grade Index Series 30.V1 | 1.00 | Quarterly | 6/20/2023 | 0.67 | USD 2,475,000 | (43,468 | ) | 5,548 | (37,920 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $(907,540 | ) | $70,842 | $(836,698 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Short Contracts | ||||||||||||||||||
| EURO STOXX 50 Index | (32) | 9/2018 | EUR | $(1,267,203 | ) | $23,557 | ||||||||||||
| S&P 500 E-Mini Index | (378) | 9/2018 | USD | (51,438,240 | ) | 1,066,296 | ||||||||||||
| U.S. Treasury 10 Year Note | (172) | 9/2018 | USD | (20,672,250 | ) | (201,373 | ) | |||||||||||
| U.S. Treasury 2 Year Note | (186) | 9/2018 | USD | (39,400,032 | ) | (59,352 | ) | |||||||||||
| U.S. Treasury 5 Year Note | (118) | 9/2018 | USD | (13,406,828 | ) | (70,349 | ) | |||||||||||
|
|
|
|||||||||||||||||
| $758,779 | ||||||||||||||||||
|
|
|
|||||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 2,164,554 | CAD | 2,796,001 | CITI | 9/19/2018 | $34,871 | ||||||||||||||
| USD | 3,246,819 | CAD | 4,193,991 | JPMC | 9/19/2018 | 52,302 | ||||||||||||||
| USD | 508,480 | EUR | 428,500 | CITI | 9/19/2018 | 5,063 | ||||||||||||||
| USD | 114,275 | EUR | 96,749 | JPMC | 9/19/2018 | 610 | ||||||||||||||
| USD | 124,652 | GBP | 93,000 | CITI | 9/19/2018 | 1,479 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 94,325 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CAD | 1,388,572 | USD | 1,069,086 | CITI | 9/19/2018 | (11,426 | ) | |||||||||||||
| USD | 310,681 | CAD | 412,133 | CITI | 9/19/2018 | (3,236 | ) | |||||||||||||
| USD | 25,138 | EUR | 21,500 | CITI | 9/19/2018 | (121 | ) | |||||||||||||
| USD | 37,708 | EUR | 32,251 | JPMC | 9/19/2018 | (181 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation | (14,964 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation |
|
$ | 79,361 | |||||||||||||||||
|
|
|
|||||||||||||||||||
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
USD - United States Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
40
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Total Return Basket Swaps Outstanding at June 30, 2018
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| BANA | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.35% to 1.25%), which is denominated in GBP based on the local currencies of the positions within the swap. | 24-25 months maturity 05/26/2020 | $2,060,028 | $21,631 | $1,240 | $22,871 | ||||||||||||||
|
|
|
|||||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Canadian Dollar Offered Rate (“CDOR”) plus or minus a specified spread (0.04%), which is denominated in CAD based on the local currencies of the positions within the swap. | 86 months maturity 09/30/2021 | $224,059 | $(64,702 | ) | $(75,454 | ) | $(140,156 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 61 months maturity 07/13/2022 | $753,631 | $44,325 | $(1,445 | ) | $42,880 | |||||||||||||
|
|
|
|||||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread (0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | 61 months maturity 03/30/2022 | $1,399,339 | $(287,069 | ) | $47,175 | $(239,894 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR or Canadian Overnight Repurchase Rate Average plus or minus a specified spread (-0.03% to 0.03%), which is denominated in CAD based on the local currencies of the positions within the swap. | 60-61 months maturity 04/12/2023 | $1,156,093 | $(216,617 | ) | $13,191 | $(203,426 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | 59-61 months maturity 04/13/2023 | $4,150,652 | $336,000 | $(11,467 | ) | $324,533 | |||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
41
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.04%), which is denominated in CHF based on the local currencies of the positions within the swap. | 61 months maturity 04/13/2023 | $503,503 | $(19,514 | ) | $(17,539 | ) | $(37,053 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread (0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap. | 61 months maturity 04/14/2023 | $1,218,359 | $171,290 | $(16,485 | ) | $154,805 | |||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread (-0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 61 months maturity 04/13/2023 | $1,642,044 | $66,801 | $169 | $66,970 | ||||||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | 13 months maturity 11/26/2018 | $267,514 | $42,431 | $1,549 | $43,980 | ||||||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR plus or minus a specified spread (0.35%), which is denominated in CAD based on the local currencies of the positions within the swap. | 13 months maturity 04/15/2019 | $225,918 | $(9,772 | ) | $(112 | ) | $(9,884 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (0.33%), which is denominated in USD based on the local currencies of the positions within the swap. | 24-25 months maturity 02/26/2020 | $1,278,459 | $(193,478 | ) | $(4,850 | ) | $(198,328 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
42
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| BANA | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-1.50% to 1.25%), which is denominated in USD based on the local currencies of the positions within the swap. | 13-14 months maturity ranging from 07/25/2019 – 05/26/2020 | $114,730,207 | $191,944 | $(19,527 | ) | $172,417 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | PRINCIPAL | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Convertible Bond | ||||||||||||||||
| United Arab Emirates | ||||||||||||||||
| NMC Health Jersey Ltd., 1.88%, 04/30/2025 |
$400,000 | $ | 379,242 | $ | 590 | 0.3 | % | |||||||||
| United States | ||||||||||||||||
| AMAG Pharmaceuticals, Inc., 3.25%, 06/01/2022 | 1,600,000 | 1,637,554 | (82,411 | ) | (47.8 | ) | ||||||||||
| Corium International, Inc., 5.00%, 03/15/2025 | 1,475,000 | 1,253,985 | (42,011 | ) | (24.4 | ) | ||||||||||
| Gannett Co., Inc., 4.75%, 04/15/2024 | 3,275,000 | 3,581,708 | 39,183 | 22.7 | ||||||||||||
| Hope Bancorp, Inc., 2.00%, 05/15/2038 | 5,600,000 | 5,463,382 | (90,320 | ) | (52.4 | ) | ||||||||||
| Innoviva, Inc., 2.13%, 01/15/2023 | 1,475,000 | 1,445,361 | 44,022 | 25.5 | ||||||||||||
| Innoviva, Inc., 2.50%, 08/15/2025 | 1,000,000 | 1,064,051 | 19,481 | 11.3 | ||||||||||||
| Intel Corp., 3.25%, 08/01/2039 | 14,450,000 | 34,779,605 | (551,079 | ) | (319.6 | ) | ||||||||||
| Invacare Corp., 4.50%, 06/01/2022 | 2,550,000 | 3,391,364 | (23,221 | ) | (13.5 | ) | ||||||||||
| Paratek Pharmaceuticals, Inc., 4.75%, 05/01/2024 | 1,950,000 | 1,898,221 | (4,324 | ) | (2.5 | ) | ||||||||||
| PDL BioPharma, Inc., 2.75%, 12/01/2021 | 1,850,000 | 1,702,578 | 32,232 | 18.7 | ||||||||||||
| Vector Group Ltd., 2.50%, 01/15/2019 | 3,125,000 | 4,175,237 | (27,826 | ) | (16.1 | ) | ||||||||||
| SHARES | ||||||||||||||||
| Convertible Preferred Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Welltower, Inc., 6.50%, 12/31/2049 | 68,575 | 4,076,064 | 88,427 | 51.3 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| AMAG Pharmaceuticals, Inc. | (39,178 | ) | (763,971 | ) | 69,541 | 40.3 | ||||||||||
| Corium International, Inc. | (50,523 | ) | (404,689 | ) | 41,429 | 24.0 | ||||||||||
| Gannett Co., Inc. | (145,526 | ) | (1,557,128 | ) | (11,642 | ) | (6.8 | ) | ||||||||
| Hope Bancorp, Inc. | (121,564 | ) | (2,167,486 | ) | 63,093 | 36.6 | ||||||||||
| Innoviva, Inc. | (89,408 | ) | (1,233,831 | ) | (23,542 | ) | (13.7 | ) | ||||||||
| Intel Corp. | (689,493 | ) | (34,274,697 | ) | 689,493 | 399.9 | ||||||||||
| Invacare Corp. | (131,968 | ) | (2,454,605 | ) | 39,590 | 23.0 | ||||||||||
| Paratek Pharmaceuticals, Inc. | (95,047 | ) | (969,480 | ) | 28,514 | 16.5 | ||||||||||
| PDL BioPharma, Inc. | (259,607 | ) | (607,480 | ) | (9,887 | ) | (5.7 | ) | ||||||||
| Vector Group Ltd. | (204,809 | ) | (3,907,756 | ) | (14,215 | ) | (8.2 | ) | ||||||||
| Welltower, Inc. | (24,577 | ) | (1,540,732 | ) | (83,173 | ) | (48.2 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
43
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| BANA | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-0.35% to 0.40%), which is denominated in EUR based on the local currencies of the positions within the swap. | 25 months maturity ranging from 11/26/2018 – 01/27/2020 |
$11,077,493 | $346,890 | $25,998 | $372,888 | ||||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | PRINCIPAL | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Convertible Bond | ||||||||||||||||
| Germany | ||||||||||||||||
| Bayer Capital Corp. BV, 5.63%, 11/22/2019 |
$ | 5,000,000 | $ | 6,575,274 | $ | 241,036 | 64.6 | % | ||||||||
| SHARES | ||||||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Germany | ||||||||||||||||
| Bayer AG (Registered) | (40,995 | ) | (4,502,219 | ) | 105,854 | 28.4 | ||||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Overnight Bank Funding Rate (“OBFR”) plus or minus a specified spread (0.04%), which is denominated in USD based on the local currencies of the positions within the swap. | 86 months maturity 09/30/2021 | $5,424,997 | $108,132 | $(102,820 | ) | $5,312 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Netherlands | ||||||||||||||||
| NXP Semiconductors NV | 7,187 | $ | 785,324 | $ | (74,608 | ) | (1404.5 | )% | ||||||||
| United States | ||||||||||||||||
| Akorn, Inc. | 4,451 | 73,842 | (39,829 | ) | (749.8 | ) | ||||||||||
| AmTrust Financial Services, Inc. | 10,586 | 154,238 | 20,777 | 391.1 | ||||||||||||
| Avista Corp. | 1,200 | 63,192 | 1,705 | 32.1 | ||||||||||||
| Axalta Coating Systems Ltd. | 806 | 24,430 | (5,743 | ) | (108.1 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
44
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| CorePoint Lodging, Inc. | 3,052 | $ | 79,047 | $ | 79,046 | 1488.1 | % | |||||||||
| Dr Pepper Snapple Group, Inc. | 888 | 108,336 | 3,321 | 62.5 | ||||||||||||
| Evergy, Inc. | 29,918 | 1,679,896 | 17,352 | 326.7 | ||||||||||||
| Genworth Financial, Inc. | 28,751 | 129,379 | 30,361 | 571.6 | ||||||||||||
| Kindred Healthcare, Inc. | 33,405 | 300,645 | (550 | ) | (10.4 | ) | ||||||||||
| MoneyGram International, Inc. | 1,591 | 10,644 | (12,077 | ) | (227.4 | ) | ||||||||||
| NxStage Medical, Inc. | 11,792 | 328,997 | 27,566 | 518.9 | ||||||||||||
| Rite Aid Corp. | 99,650 | 172,394 | (9,966 | ) | (187.6 | ) | ||||||||||
| Validus Holdings Ltd. | 9,890 | 668,564 | 940 | 17.7 | ||||||||||||
| Vectren Corp. | 179 | 12,789 | 231 | 4.3 | ||||||||||||
| VeriFone Systems, Inc. | 1,308 | 29,849 | 25 | 0.5 | ||||||||||||
| WGL Holdings, Inc. | 3,725 | 330,594 | 14,676 | 276.3 | ||||||||||||
| XL Group Ltd. | 7,176 | 401,497 | 3,451 | 65.0 | ||||||||||||
| Right | ||||||||||||||||
| United States | ||||||||||||||||
| Dyax Corp., CVR(a) | 50,988 | 70,400 | 50,514 | 950.9 | ||||||||||||
| Media General, Inc., CVR(a) | 55,436 | 940 | 940 | 17.7 | ||||||||||||
| (a) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread (-0.06% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | 60-61 months maturity ranging from 04/13/2023 – 06/21/2023 | $8,085,951 | $355,019 | $64,056 | $419,075 | ||||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United Kingdom | ||||||||||||||||
| Fidessa Group plc | 51,977 | $ | 2,647,537 | $ | (155,844 | ) | (37.2 | )% | ||||||||
| Informa plc | 2,684 | 29,503 | 3,799 | 0.9 | ||||||||||||
| NEX Group plc | 6,220 | 84,080 | 2,534 | 0.6 | ||||||||||||
| Sky plc | 264,802 | 5,099,774 | 505,014 | 120.5 | ||||||||||||
| ZPG plc | 35,000 | 225,057 | (484 | ) | (0.1 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
45
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.25% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | 59-61 months maturity ranging from 4/12/2023 – 06/02/2023 | $78,757,109 | $2,273,066 | $476,182 | $2,749,248 | ||||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Hong Kong | ||||||||||||||||
| Jardine Strategic Holdings Ltd. | 8,600 | $ | 313,285 | $ | (20,237 | ) | (0.7 | )% | ||||||||
| Israel | ||||||||||||||||
| Orbotech Ltd. | 18,274 | 1,129,333 | 15,596 | 0.6 | ||||||||||||
| United States | ||||||||||||||||
| A Schulman, Inc. | 4,881 | 217,204 | 8,298 | 0.3 | ||||||||||||
| Aetna, Inc. | 13,275 | 2,435,962 | 159,035 | 5.8 | ||||||||||||
| Akorn, Inc. | 45,708 | 758,296 | (66,734 | ) | (2.4 | ) | ||||||||||
| AmTrust Financial Services, Inc. | 51,820 | 755,017 | 95,457 | 3.5 | ||||||||||||
| Avista Corp. | 81,349 | 4,283,838 | 110,635 | 4.0 | ||||||||||||
| Axalta Coating Systems Ltd. | 8,563 | 259,545 | (15,842 | ) | (0.6 | ) | ||||||||||
| Capella Education Co. | 11,078 | 1,093,399 | 112,996 | 4.1 | ||||||||||||
| Cavium, Inc. | 38,487 | 3,329,126 | 352,156 | 12.8 | ||||||||||||
| Dr Pepper Snapple Group, Inc. | 2,204 | 268,888 | 5,510 | 0.2 | ||||||||||||
| Express Scripts Holding Co. | 36,259 | 2,799,557 | 332,858 | 12.1 | ||||||||||||
| Genworth Financial, Inc. | 166,563 | 749,534 | 287,449 | 10.5 | ||||||||||||
| HRG Group, Inc. | 22,971 | 300,690 | (57,198 | ) | (2.1 | ) | ||||||||||
| ILG, Inc. | 32,749 | 1,081,699 | (22 | ) | (0.0 | ) | ||||||||||
| Infinity Property & Casualty Corp. | 21,834 | 3,108,070 | 552,400 | 20.1 | ||||||||||||
| KapStone Paper and Packaging Corp. | 67,237 | 2,319,677 | 4,999 | 0.2 | ||||||||||||
| NxStage Medical, Inc. | 101,506 | 2,832,017 | 257,825 | 9.4 | ||||||||||||
| Oclaro, Inc. | 222,959 | 1,991,024 | (1,351 | ) | (0.0 | ) | ||||||||||
| Pinnacle Entertainment, Inc. | 77,126 | 2,601,460 | 246,838 | 9.0 | ||||||||||||
| Rite Aid Corp. | 132,350 | 228,965 | 15,882 | 0.6 | ||||||||||||
| Rockwell Collins, Inc. | 43,005 | 5,791,913 | 34,834 | 1.3 | ||||||||||||
| RSP Permian, Inc. | 45,700 | 2,011,714 | 103,463 | 3.8 | ||||||||||||
| SCANA Corp. | 57,678 | 2,221,757 | 81,903 | 3.0 | ||||||||||||
| Stewart Information Services Corp. | 48,965 | 2,108,923 | (26,619 | ) | (1.0 | ) | ||||||||||
| Tribune Media Co. | 23,216 | 888,476 | 29,808 | 1.1 | ||||||||||||
| Twenty-First Century Fox, Inc. | 38,353 | 1,905,761 | 532,753 | 19.4 | ||||||||||||
| Validus Holdings Ltd. | 29,051 | 1,963,848 | 3,777 | 0.1 | ||||||||||||
| VeriFone Systems, Inc. | 29,789 | 679,785 | 1,285 | 0.0 | ||||||||||||
| WGL Holdings, Inc. | 39,288 | 3,486,810 | 163,831 | 6.0 | ||||||||||||
| XL Group Ltd. | 39,179 | 2,192,065 | 27,425 | 1.0 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
46
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Hong Kong | ||||||||||||||||
| Jardine Matheson Holdings Ltd. | (7,000 | ) | $ | (441,093 | ) | $ | (10,521 | ) | (0.4 | ) % | ||||||
| United States | ||||||||||||||||
| Cigna Corp. | (8,825 | ) | (1,499,809 | ) | (17,738 | ) | (0.6 | ) | ||||||||
| Concho Resources, Inc. | (14,611 | ) | (2,021,432 | ) | (58,026 | ) | (2.1 | ) | ||||||||
| CVS Health Corp. | (11,122 | ) | (715,701 | ) | (11,567 | ) | (0.4 | ) | ||||||||
| Dominion Energy, Inc. | (38,587 | ) | (2,630,862 | ) | (69,842 | ) | (2.5 | ) | ||||||||
| Evergy, Inc. | (29,918 | ) | (1,679,896 | ) | (130,683 | ) | (4.8 | ) | ||||||||
| FNF Group | (29,408 | ) | (1,106,329 | ) | 16,405 | 0.6 | ||||||||||
| Kemper Corp. | (27,786 | ) | (2,102,011 | ) | (486,379 | ) | (17.7 | ) | ||||||||
| KLA-Tencor Corp. | (4,548 | ) | (466,306 | ) | 9,289 | 0.3 | ||||||||||
| Lumentum Holdings, Inc. | (14,228 | ) | (823,801 | ) | 33,213 | 1.2 | ||||||||||
| Marriott Vacations Worldwide Corp. | (3,135 | ) | (354,129 | ) | 30,747 | 1.1 | ||||||||||
| Marvell Technology Group Ltd. | (83,736 | ) | (1,795,300 | ) | (70,338 | ) | (2.6 | ) | ||||||||
| Penn National Gaming, Inc. | (32,215 | ) | (1,082,102 | ) | (230,717 | ) | (8.4 | ) | ||||||||
| Praxair, Inc. | (16,332 | ) | (2,582,906 | ) | (158,825 | ) | (5.8 | ) | ||||||||
| Sinclair Broadcast Group, Inc. | (5,310 | ) | (170,716 | ) | (13,883 | ) | (0.5 | ) | ||||||||
| Spectrum Brands Holdings, Inc. | (3,760 | ) | (306,891 | ) | 61,100 | 2.2 | ||||||||||
| Strayer Education, Inc. | (9,693 | ) | (1,095,406 | ) | (110,016 | ) | (4.0 | ) | ||||||||
| United Technologies Corp. | (9,822 | ) | (1,228,045 | ) | (12,422 | ) | (0.5 | ) | ||||||||
| Walt Disney Co. (The) | (3,287 | ) | (344,510 | ) | (16,797 | ) | (0.6 | ) | ||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread (-0.04% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | 61 months maturity 04/13/2023 | $15,294,091 | $264,720 | $(5,488 | ) | $259,232 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Germany | ||||||||||||||||
| Linde AG | 10,605 | $ | 2,519,524 | $ | 309,707 | 119.5 | % | |||||||||
| Italy | ||||||||||||||||
| Luxottica Group SpA | 68,038 | 4,380,677 | 222,555 | 85.9 | ||||||||||||
| Netherlands | ||||||||||||||||
| Gemalto NV | 38,680 | 2,247,765 | 1,325 | 0.5 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Essilor International Cie Generale d’Optique SA | (31,366 | ) | (4,422,488 | ) | (281,168 | ) | (108.5 | ) | ||||||||
| Unibail-Rodamco-Westfield | (7,828 | ) | (1,723,637 | ) | 12,301 | 4.7 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
47
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-0.04% to 0.03%), which is denominated in SEK based on the local currencies of the positions within the swap. | 61 months maturity 04/13/2023 | $6,899,043 | $124,500 | $68,236 | $192,736 | ||||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Sweden | ||||||||||||||||
| Com Hem Holding AB | 243,153 | $ | 3,944,624 | $ | 265,612 | 137.8 | % | |||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Sweden | ||||||||||||||||
| Tele2 AB | (252,247 | ) | (2,954,419 | ) | (141,112 | ) | (73.2 | ) | ||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-1.00% to 0.40%), which is denominated in USD based on the local currencies of the positions within the swap. |
1-61 months maturity ranging from 04/15/2022 – 07/03/2023 | $44,575,795 | $5,487,288 | $(182,686 | ) | $5,304,602 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Closed-End Fund | ||||||||||||||||
| United States | ||||||||||||||||
| Altaba, Inc. | 292,093 | $21,384,129 | $7,025,467 | 132.4 | % | |||||||||||
| Private Placement | ||||||||||||||||
| Australia | ||||||||||||||||
| Penson Technologies LLC, Class B Shares(a) | 9,326,216 | 100,350 | 100,341 | 1.9 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
48
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Common Stock | ||||||||||||||||
| China | ||||||||||||||||
| SINA Corp. | 26,694 | $ | 2,260,715 | $ | (993,550 | ) | (18.7 | ) % | ||||||||
| Yum China Holdings, Inc. | 6,472 | 248,913 | (19,222 | ) | (0.4 | ) | ||||||||||
| Hong Kong | ||||||||||||||||
| Jardine Matheson Holdings Ltd. | 7,000 | 441,093 | (6,919 | ) | (0.1 | ) | ||||||||||
| United States | ||||||||||||||||
| Adient plc | 11,536 | 567,456 | (156,198 | ) | (2.9 | ) | ||||||||||
| AdvanSix, Inc. | 10,954 | 401,245 | (78,650 | ) | (1.5 | ) | ||||||||||
| Alcoa Corp. | 25,279 | 1,185,080 | (24,773 | ) | (0.5 | ) | ||||||||||
| Aptevo Therapeutics, Inc. | 129,902 | 648,211 | 241,618 | 4.6 | ||||||||||||
| Black Knight, Inc. | 4,848 | 259,610 | 24,482 | 0.5 | ||||||||||||
| Brighthouse Financial, Inc. | 8,033 | 321,882 | (110,775 | ) | (2.1 | ) | ||||||||||
| Cars.com, Inc. | 7,788 | 221,101 | (10,825 | ) | (0.2 | ) | ||||||||||
| Conduent, Inc. | 29,470 | 535,470 | (38,900 | ) | (0.7 | ) | ||||||||||
| CONSOL Energy, Inc. | 32,089 | 1,230,613 | 309,980 | 5.8 | ||||||||||||
| Dell Technologies, Inc. | 28,432 | 2,404,779 | 302,201 | 5.7 | ||||||||||||
| Delphi Technologies plc | 17,950 | 816,007 | (60,492 | ) | (1.1 | ) | ||||||||||
| Donnelley Financial Solutions, Inc. | 12,726 | 221,051 | (9,672 | ) | (0.2 | ) | ||||||||||
| FHLMC | 78,659 | 125,068 | 787 | 0.0 | ||||||||||||
| FNMA | 27,686 | 39,314 | (5,814 | ) | (0.1 | ) | ||||||||||
| Fortive Corp. | 1,226 | 94,537 | (3,874 | ) | (0.1 | ) | ||||||||||
| Genworth Financial, Inc. | 51,097 | 229,936 | 35,768 | 0.7 | ||||||||||||
| Hamilton Beach Brands Holding Co. | 27,874 | 809,740 | 133,516 | 2.5 | ||||||||||||
| Herc Holdings, Inc. | 3,641 | 205,134 | (55,088 | ) | (1.0 | ) | ||||||||||
| Hilton Grand Vacations, Inc. | 22,703 | 787,794 | (286,058 | ) | (5.4 | ) | ||||||||||
| Lamb Weston Holdings, Inc. | 16,346 | 1,119,864 | 182,748 | 3.4 | ||||||||||||
| LSC Communications, Inc. | 10,871 | 170,240 | (9,240 | ) | (0.2 | ) | ||||||||||
| MoneyGram International, Inc. | 71,223 | 476,482 | (504,225 | ) | (9.5 | ) | ||||||||||
| News Corp. | 17,720 | 274,660 | (17,188 | ) | (0.3 | ) | ||||||||||
| Varex Imaging Corp. | 16,257 | 602,972 | (15,282 | ) | (0.3 | ) | ||||||||||
| Versum Materials, Inc. | 6,108 | 226,912 | (15,820 | ) | (0.3 | ) | ||||||||||
| WGL Holdings, Inc. | 2,803 | 248,766 | 16,510 | 0.3 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Hong Kong | ||||||||||||||||
| Jardine Strategic Holdings Ltd. | (8,600 | ) | (313,285 | ) | 47,748 | 0.9 | ||||||||||
| United States | ||||||||||||||||
| GoPro, Inc. | (65,480 | ) | (421,691 | ) | 3,274 | 0.1 | ||||||||||
| Intrexon Corp. | (98,566 | ) | (1,374,010 | ) | (56,182 | ) | (1.1 | ) | ||||||||
| Praxair, Inc. | (1,734 | ) | (274,232 | ) | (50,390 | ) | (0.9 | ) | ||||||||
| VMware, Inc. | (24,042 | ) | (3,533,453 | ) | (408,015 | ) | (7.7 | ) | ||||||||
| (a) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
49
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(300,000 | ) | $— | $(300,000 | ) | |||||||
| Investment Companies | 5,790,139 | — | 5,790,139 | |||||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 1,438,738 | 1,438,738 | |||||||||
|
|
||||||||||||
| CITG | ||||||||||||
| Cash | — | 1,285,891 | 1,285,891 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 31,949 | — | 31,949 | |||||||||
|
|
||||||||||||
| DTBK | ||||||||||||
| Cash | (30,802 | ) | — | (30,802 | ) | |||||||
| Investment Companies | 3,740,613 | — | 3,740,613 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Investment Companies | — | 11,245,507 | 11,245,507 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (3,800,000 | ) | — | (3,800,000 | ) | |||||||
| Investment Companies | (3,307 | ) | — | (3,307 | ) | |||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Cash | (2,707,240 | ) | — | (2,707,240 | ) | |||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 334,203 | 334,203 | |||||||||
|
|
||||||||||||
| MSIP | ||||||||||||
| Investment Companies | 718,092 | — | 718,092 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
50
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
51
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
52
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
53
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
54
Table of Contents
| Schedule of Investments | June 30, 2018 (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 $499,422,902. |
| (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 June 30, 2018 amounted to $(155,448), which represents approximately -0.01% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of June 30, 2018. |
| (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, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||||
| SHORT-TERM INVESTMENTS - 46.1 % | ||||||||||||||||||||||||||||||
| INVESTMENT COMPANIES - 46.1% | ||||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $904,339,661) | 1,114,214,887 | 596,420,067 | (806,151,960 | ) | 904,482,994 | $904,482,994 | $8,060,136 | $(62,023 | ) | 145,895 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (a) | Represents 7-day effective yield as of June 30, 2018. |
| (g) | The rate shown was the effective yield at the date of purchase. |
| (h) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund. |
| (i) | Includes appreciation/(depreciation) on forward foreign currency exchange and swaps 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).
| CVA | - Dutch Certification |
| OYJ | - Public Traded Company |
| SCA | - Limited partnership with share capital |
| SDR | - Swedish Depositary Receipt |
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| CAD | 4,272,000 | USD | 3,248,260 | CITI | 9/19/2018 | $5,676 | ||||||||||||||
| CAD | 6,408,000 | USD | 4,872,396 | JPMC | 9/19/2018 | 8,506 | ||||||||||||||
| CHF | 146,000 | USD | 147,225 | CITI | 9/19/2018 | 1,224 | ||||||||||||||
| CHF | 219,000 | USD | 220,837 | JPMC | 9/19/2018 | 1,836 | ||||||||||||||
| DKK | 5,980,400 | USD | 934,602 | CITI | 9/19/2018 | 8,714 | ||||||||||||||
| DKK | 8,970,600 | USD | 1,401,905 | JPMC | 9/19/2018 | 13,070 | ||||||||||||||
| EUR | 2,926,000 | USD | 3,425,030 | CITI | 9/19/2018 | 12,538 | ||||||||||||||
| EUR | 4,389,000 | USD | 5,137,551 | JPMC | 9/19/2018 | 18,800 | ||||||||||||||
| USD | 5,794,657 | CAD | 7,485,725 | CITI | 9/19/2018 | 92,865 | ||||||||||||||
| USD | 8,691,960 | CAD | 11,228,569 | JPMC | 9/19/2018 | 139,283 | ||||||||||||||
| USD | 2,478,071 | CHF | 2,423,386 | CITI | 9/19/2018 | 14,037 | ||||||||||||||
| USD | 3,717,103 | CHF | 3,635,080 | JPMC | 9/19/2018 | 21,050 | ||||||||||||||
| USD | 95,926 | DKK | 601,600 | CITI | 9/19/2018 | 1,033 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
55
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 143,889 | DKK | 902,400 | JPMC | 9/19/2018 | $ 1,549 | ||||||||||||||
| USD | 33,698,276 | EUR | 28,523,900 | CITI | 9/19/2018 | 187,401 | ||||||||||||||
| USD | 50,547,350 | EUR | 42,785,849 | JPMC | 9/19/2018 | 281,037 | ||||||||||||||
| USD | 20,437 | HKD | 160,000 | CITI | 9/19/2018 | 16 | ||||||||||||||
| USD | 30,655 | HKD | 240,000 | JPMC | 9/19/2018 | 24 | ||||||||||||||
| USD | 4,305,667 | NOK | 34,636,300 | CITI | 9/19/2018 | 39,349 | ||||||||||||||
| USD | 6,458,492 | NOK | 51,954,450 | JPMC | 9/19/2018 | 59,016 | ||||||||||||||
| USD | 4,912,867 | SEK | 42,414,798 | CITI | 9/19/2018 | 148,399 | ||||||||||||||
| USD | 7,369,292 | SEK | 63,622,202 | JPMC | 9/19/2018 | 222,589 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 1,278,012 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CAD | 1,600 | USD | 1,235 | CITI | 9/19/2018 | (16 | ) | |||||||||||||
| CAD | 2,400 | USD | 1,853 | JPMC | 9/19/2018 | (25 | ) | |||||||||||||
| CHF | 2,057,200 | USD | 2,106,059 | CITI | 9/19/2018 | (14,353 | ) | |||||||||||||
| CHF | 3,085,800 | USD | 3,159,092 | JPMC | 9/19/2018 | (21,533 | ) | |||||||||||||
| DKK | 7,058,400 | USD | 1,114,672 | CITI | 9/19/2018 | (1,318 | ) | |||||||||||||
| DKK | 10,587,600 | USD | 1,672,010 | JPMC | 9/19/2018 | (1,978 | ) | |||||||||||||
| EUR | 11,710,800 | USD | 13,827,884 | CITI | 9/19/2018 | (69,627 | ) | |||||||||||||
| EUR | 17,566,200 | USD | 20,741,853 | JPMC | 9/19/2018 | (104,466 | ) | |||||||||||||
| NOK | 223,600 | USD | 27,636 | CITI | 9/19/2018 | (94 | ) | |||||||||||||
| NOK | 335,400 | USD | 41,454 | JPMC | 9/19/2018 | (141 | ) | |||||||||||||
| SEK | 5,538,000 | USD | 642,048 | CITI | 9/19/2018 | (19,963 | ) | |||||||||||||
| SEK | 8,307,000 | USD | 963,073 | JPMC | 9/19/2018 | (29,943 | ) | |||||||||||||
| SGD | 1,633,200 | USD | 1,219,602 | CITI | 9/19/2018 | (18,870 | ) | |||||||||||||
| SGD | 2,449,800 | USD | 1,829,405 | JPMC | 9/19/2018 | (28,309 | ) | |||||||||||||
| USD | 1,832,142 | CAD | 2,430,000 | CITI | 9/19/2018 | (18,764 | ) | |||||||||||||
| USD | 2,748,209 | CAD | 3,645,000 | JPMC | 9/19/2018 | (28,146 | ) | |||||||||||||
| USD | 302,555 | CHF | 298,214 | CITI | 9/19/2018 | (662 | ) | |||||||||||||
| USD | 453,831 | CHF | 447,320 | JPMC | 9/19/2018 | (992 | ) | |||||||||||||
| USD | 3,413,309 | DKK | 21,750,800 | CITI | 9/19/2018 | (17,547 | ) | |||||||||||||
| USD | 5,119,958 | DKK | 32,626,200 | JPMC | 9/19/2018 | (26,327 | ) | |||||||||||||
| USD | 9,012,556 | EUR | 7,709,300 | CITI | 9/19/2018 | (44,599 | ) | |||||||||||||
| USD | 13,518,819 | EUR | 11,563,951 | JPMC | 9/19/2018 | (66,915 | ) | |||||||||||||
| USD | 2,075,477 | NOK | 16,943,300 | CITI | 9/19/2018 | (11,509 | ) | |||||||||||||
| USD | 3,113,211 | NOK | 25,414,950 | JPMC | 9/19/2018 | (17,268 | ) | |||||||||||||
| USD | 77,212 | SEK | 691,200 | CITI | 9/19/2018 | (431 | ) | |||||||||||||
| USD | 115,818 | SEK | 1,036,800 | JPMC | 9/19/2018 | (646 | ) | |||||||||||||
| USD | 54,192 | SGD | 74,000 | CITI | 9/19/2018 | (213 | ) | |||||||||||||
| USD | 81,288 | SGD | 111,000 | JPMC | 9/19/2018 | (320 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation | (544,975 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation | $733,037 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
HKD - Hong Kong Dollar
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
56
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
Total Return Basket Swaps Outstanding at June 30, 2018
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread (-0.75% to 0.35%), which is denominated in GBP based on the local currencies of the positions within the swap. | 16-61 months maturity 10/14/2019 | $289,915,506 | $(6,224,243 | ) | $94,823 | $(6,129,420 | ) | ||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| BHP Billiton plc | 765,324 | $17,175,733 | $2,245,284 | (36.6 | )% | |||||||||||
| Rio Tinto plc | 367,808 | 20,273,029 | 1,766,764 | (28.8 | ) | |||||||||||
| Chile | ||||||||||||||||
| Antofagasta plc | 582,041 | 7,561,996 | 109,220 | (1.8 | ) | |||||||||||
| Russia | ||||||||||||||||
| Evraz plc | 393,042 | 2,623,330 | 353,600 | (5.8 | ) | |||||||||||
| South Africa | ||||||||||||||||
| Anglo American plc | 379,172 | 8,417,971 | (298,076 | ) | 4.9 | |||||||||||
| Investec plc | 323,232 | 2,285,492 | (121,225 | ) | 2.0 | |||||||||||
| Switzerland | ||||||||||||||||
| Coca-Cola HBC AG | 111,826 | 3,722,087 | 434,202 | (7.1 | ) | |||||||||||
| United Kingdom | ||||||||||||||||
| Barratt Developments plc | 825,437 | 5,595,564 | (555,482 | ) | 9.1 | |||||||||||
| Bellway plc | 90,703 | 3,583,292 | (124,177 | ) | 2.0 | |||||||||||
| BP plc | 614,052 | 4,672,025 | 32,868 | (0.5 | ) | |||||||||||
| BT Group plc | 2,723,038 | 7,811,704 | (2,361,984 | ) | 38.5 | |||||||||||
| Burberry Group plc | 196,569 | 5,586,598 | 369,085 | (6.0 | ) | |||||||||||
| Close Brothers Group plc | 118,528 | 2,313,883 | (84,977 | ) | 1.4 | |||||||||||
| Inchcape plc | 418,724 | 4,304,698 | (14,597 | ) | 0.2 | |||||||||||
| Indivior plc | 455,872 | 2,295,541 | 345,304 | (5.6 | ) | |||||||||||
| Man Group plc | 920,040 | 2,132,758 | (66,214 | ) | 1.1 | |||||||||||
| Moneysupermarket.com Group plc | 618,600 | 2,567,801 | (13,825 | ) | 0.2 | |||||||||||
| Persimmon plc | 88,881 | 2,960,599 | 76,893 | (1.3 | ) | |||||||||||
| Royal Mail plc | 699,316 | 4,652,495 | 870,273 | (14.2 | ) | |||||||||||
| Smith & Nephew plc | 339,277 | 6,249,587 | 296,897 | (4.8 | ) | |||||||||||
| Standard Life Aberdeen plc | 1,176,892 | 5,039,646 | (1,185,105 | ) | 19.3 | |||||||||||
| Tate & Lyle plc | 268,689 | 2,286,639 | (451,461 | ) | 7.4 | |||||||||||
| Taylor Wimpey plc | 1,912,461 | 4,501,976 | (252,339 | ) | 4.1 | |||||||||||
| Thomas Cook Group plc | 1,331,436 | 1,886,725 | (210,114 | ) | 3.4 | |||||||||||
| William Hill plc | 771,537 | 3,081,498 | (99,308 | ) | 1.6 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
57
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United Kingdom | ||||||||||||||||
| AA plc | (1,550,594 | ) | $ | (2,536,971 | ) | $ | 1,044,534 | (17.0 | ) % | |||||||
| Auto Trader Group plc | (819,452 | ) | (4,592,532 | ) | (821,535 | ) | 13.4 | |||||||||
| Babcock International Group plc | (486,162 | ) | (5,223,551 | ) | (758,693 | ) | 12.4 | |||||||||
| Balfour Beatty plc | (620,872 | ) | (2,317,321 | ) | (78,609 | ) | 1.3 | |||||||||
| British American Tobacco plc | (130,859 | ) | (6,591,811 | ) | 477,757 | (7.8 | ) | |||||||||
| Capita plc | (1,135,893 | ) | (2,387,494 | ) | 1,519,581 | (24.8 | ) | |||||||||
| Cobham plc | (1,617,128 | ) | (2,734,441 | ) | 68,522 | (1.1 | ) | |||||||||
| ConvaTec Group plc | (1,765,804 | ) | (4,929,695 | ) | 229,189 | (3.7 | ) | |||||||||
| Hargreaves Lansdown plc | (194,347 | ) | (5,037,807 | ) | (1,667,919 | ) | 27.2 | |||||||||
| Inmarsat plc | (991,506 | ) | (7,169,741 | ) | 469,971 | (7.7 | ) | |||||||||
| J Sainsbury plc | (1,340,824 | ) | (5,674,059 | ) | (1,148,295 | ) | 18.7 | |||||||||
| John Wood Group plc | (1,157,796 | ) | (9,561,078 | ) | 87,694 | (1.4 | ) | |||||||||
| Johnson Matthey plc | (58,846 | ) | (2,802,042 | ) | (378,481 | ) | 6.2 | |||||||||
| Merlin Entertainments plc | (1,046,976 | ) | (5,338,208 | ) | (123,878 | ) | 2.0 | |||||||||
| Micro Focus International plc | (516,214 | ) | (8,956,996 | ) | (472,629 | ) | 7.7 | |||||||||
| National Grid plc | (387,699 | ) | (4,284,487 | ) | (73,084 | ) | 1.2 | |||||||||
| Pennon Group plc | (290,507 | ) | (3,038,134 | ) | (521,987 | ) | 8.5 | |||||||||
| Reckitt Benckiser Group plc | (112,629 | ) | (9,254,143 | ) | (638,691 | ) | 10.4 | |||||||||
| Rightmove plc | (30,633 | ) | (2,141,322 | ) | (418,790 | ) | 6.8 | |||||||||
| Rotork plc | (461,695 | ) | (2,033,376 | ) | (509,387 | ) | 8.3 | |||||||||
| Severn Trent plc | (108,048 | ) | (2,817,219 | ) | (34,361 | ) | 0.6 | |||||||||
| Tesco plc | (4,586,105 | ) | (15,517,527 | ) | (3,407,084 | ) | 55.6 | |||||||||
| United Utilities Group plc | (324,117 | ) | (3,258,442 | ) | (266,800 | ) | 4.4 | |||||||||
| Weir Group plc (The) | (156,983 | ) | (4,122,726 | ) | (30,203 | ) | 0.5 | |||||||||
| Wm Morrison Supermarkets plc | (1,167,417 | ) | (3,872,322 | ) | (434,899 | ) | 7.1 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
58
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-5.17% to 0.33%), which is denominated in USD based on the local currencies of the positions within the swap. | 16-49 months maturity 10/16/2019 | $3,200,375,169 | $(54,885,390 | ) | $4,185,377 | $(50,700,013 | ) | ||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Adobe Systems, Inc. | 66,575 | $ | 16,231,651 | $ | 2,029,617 | (4.0 | )% | |||||||||
| Aflac, Inc. | 415,609 | 17,879,499 | 741,862 | (1.5 | ) | |||||||||||
| Allstate Corp. (The) | 252,431 | 23,039,377 | (404,954 | ) | 0.8 | |||||||||||
| Amazon.com, Inc. | 10,466 | 17,790,107 | 906,340 | (1.8 | ) | |||||||||||
| Ameriprise Financial, Inc. | 99,432 | 13,908,548 | (1,218,142 | ) | 2.4 | |||||||||||
| Apple, Inc. | 78,802 | 14,587,038 | (187,484 | ) | 0.4 | |||||||||||
| Baxter International, Inc. | 252,557 | 18,648,809 | 3,887,232 | (7.7 | ) | |||||||||||
| Biogen, Inc. | 57,024 | 16,550,646 | (22,635 | ) | 0.0 | |||||||||||
| Boeing Co. (The) | 42,850 | 14,376,603 | 1,034,217 | (2.0 | ) | |||||||||||
| Brunswick Corp. | 210,964 | 13,602,959 | 2,048,677 | (4.0 | ) | |||||||||||
| Consolidated Edison, Inc. | 211,011 | 16,454,638 | 90,554 | (0.2 | ) | |||||||||||
| Electronic Arts, Inc. | 119,216 | 16,811,840 | 2,733,486 | (5.4 | ) | |||||||||||
| Exelon Corp. | 740,100 | 31,528,260 | 3,021,861 | (6.0 | ) | |||||||||||
| Facebook, Inc. | 109,995 | 21,374,228 | 788,567 | (1.6 | ) | |||||||||||
| General Dynamics Corp. | 91,873 | 17,126,046 | (3,232,780 | ) | 6.4 | |||||||||||
| Honeywell International, Inc. | 115,635 | 16,657,222 | 241,758 | (0.5 | ) | |||||||||||
| International Business Machines Corp. | 138,676 | 19,373,037 | (1,891,725 | ) | 3.7 | |||||||||||
| Lear Corp. | 107,240 | 19,926,264 | 4,375,108 | (8.6 | ) | |||||||||||
| LyondellBasell Industries NV | 266,972 | 29,326,874 | 3,317,472 | (6.5 | ) | |||||||||||
| Micron Technology, Inc. | 294,808 | 15,459,732 | (322,031 | ) | 0.6 | |||||||||||
| Microsoft Corp. | 134,692 | 13,281,978 | 2,260,061 | (4.5 | ) | |||||||||||
| NVR, Inc. | 4,579 | 13,601,233 | (1,006,771 | ) | 2.0 | |||||||||||
| Raytheon Co. | 152,277 | 29,416,871 | (1,601,523 | ) | 3.2 | |||||||||||
| Skyworks Solutions, Inc. | 186,093 | 17,985,888 | (1,706,573 | ) | 3.4 | |||||||||||
| Spirit AeroSystems Holdings, Inc. | 152,175 | 13,073,354 | 4,460,314 | (8.8 | ) | |||||||||||
| Valero Energy Corp. | 141,129 | 15,641,327 | 1,430,312 | (2.8 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Albemarle Corp. | (255,050 | ) | (24,058,867 | ) | 5,715,635 | (11.3 | ) | |||||||||
| American Airlines Group, Inc. | (509,855 | ) | (19,354,096 | ) | 4,297,876 | (8.5 | ) | |||||||||
| BioMarin Pharmaceutical, Inc. | (193,799 | ) | (18,255,866 | ) | (1,631,912 | ) | 3.2 | |||||||||
| CarMax, Inc. | (210,817 | ) | (15,362,235 | ) | (2,217,083 | ) | 4.4 | |||||||||
| CenturyLink, Inc. | (1,034,402 | ) | (19,281,253 | ) | (1,162,743 | ) | 2.3 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
59
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| Charter Communications, Inc. | (59,133 | ) | $ | (17,338,387 | ) | $ | 19,834 | (0.0 | ) % | |||||||
| Cheniere Energy, Inc. | (262,780 | ) | (17,130,628 | ) | (5,328,448 | ) | 10.5 | |||||||||
| Discovery, Inc. | (576,857 | ) | (15,863,568 | ) | (3,037,697 | ) | 6.0 | |||||||||
| Envision Healthcare Corp. | (493,614 | ) | (21,723,952 | ) | (3,878,823 | ) | 7.7 | |||||||||
| First Data Corp. | (614,123 | ) | (12,853,594 | ) | (2,553,866 | ) | 5.0 | |||||||||
| FirstEnergy Corp. | (792,431 | ) | (28,456,197 | ) | (3,254,726 | ) | 6.4 | |||||||||
| Gartner, Inc. | (135,402 | ) | (17,994,926 | ) | (1,530,475 | ) | 3.0 | |||||||||
| Hess Corp. | (278,314 | ) | (18,616,423 | ) | (6,295,528 | ) | 12.4 | |||||||||
| IHS Markit Ltd. | (331,968 | ) | (17,126,229 | ) | (1,817,087 | ) | 3.6 | |||||||||
| Kinder Morgan, Inc. | (839,595 | ) | (14,835,644 | ) | (1,670,778 | ) | 3.3 | |||||||||
| Kraft Heinz Co. (The) | (361,824 | ) | (22,729,784 | ) | (1,324,420 | ) | 2.6 | |||||||||
| Macquarie Infrastructure Corp. | (314,119 | ) | (13,255,822 | ) | 7,783,894 | (15.4 | ) | |||||||||
| Post Holdings, Inc. | (214,325 | ) | (18,436,237 | ) | (868,883 | ) | 1.7 | |||||||||
| PPL Corp. | (732,695 | ) | (20,918,442 | ) | (266,950 | ) | 0.5 | |||||||||
| Targa Resources Corp. | (325,195 | ) | (16,093,901 | ) | (1,089,911 | ) | 2.1 | |||||||||
| TransDigm Group, Inc. | (70,160 | ) | (24,215,022 | ) | (4,787,799 | ) | 9.4 | |||||||||
| Uniti Group, Inc. | (744,845 | ) | (14,919,245 | ) | (2,883,224 | ) | 5.7 | |||||||||
| VEREIT, Inc. | (3,311,370 | ) | (24,636,593 | ) | 1,015,573 | (2.0 | ) | |||||||||
| Zayo Group Holdings, Inc. | (358,813 | ) | (13,089,498 | ) | (1,333,449 | ) | 2.6 | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-7.13% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | 16-61 months maturity 10/14/2019 | $304,384,247 | $(1,626,465 | ) | $(2,210,466 | ) | $(3,836,931 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Air France-KLM | 182,858 | $ | 1,494,349 | $ | (1,089,678 | ) | 28.4 | % | ||||||||
| Atos SE | 51,651 | 7,023,342 | (195,667 | ) | 5.1 | |||||||||||
| Cie Generale des Etablissements Michelin SCA | 123,225 | 14,907,525 | (2,001,197 | ) | 52.2 | |||||||||||
| Engie SA | 833,067 | 12,743,013 | (514,941 | ) | 13.4 | |||||||||||
| Faurecia SA | 32,174 | 2,287,134 | (220,440 | ) | 5.7 | |||||||||||
| Peugeot SA | 476,777 | 10,863,496 | 633,309 | (16.5 | ) | |||||||||||
| Renault SA | 157,350 | 13,330,921 | (2,737,261 | ) | 71.3 | |||||||||||
| Teleperformance | 16,788 | 2,963,009 | 791,590 | (20.6 | ) | |||||||||||
| Thales SA | 35,696 | 4,592,429 | 811,164 | (21.1 | ) | |||||||||||
| TOTAL SA | 157,529 | 9,566,069 | 725,004 | (18.9 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
60
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Germany | ||||||||||||||||
| Continental AG | 28,650 | $ | 6,520,105 | $ | (792,369 | ) | 20.7 | % | ||||||||
| Covestro AG | 202,481 | 17,997,242 | (2,065,005 | ) | 53.8 | |||||||||||
| HeidelbergCement AG | 26,162 | 2,196,731 | (255,133 | ) | 6.6 | |||||||||||
| HOCHTIEF AG | 10,489 | 1,891,512 | 82,556 | (2.2 | ) | |||||||||||
| Rheinmetall AG | 69,478 | 7,644,132 | (987,635 | ) | 25.7 | |||||||||||
| Salzgitter AG | 87,674 | 3,814,521 | (817,231 | ) | 21.3 | |||||||||||
| Schaeffler AG (Preference) | 236,390 | 3,068,142 | (739,563 | ) | 19.3 | |||||||||||
| Software AG | 107,892 | 5,014,526 | (688,791 | ) | 18.0 | |||||||||||
| Suedzucker AG | 87,635 | 1,392,944 | (374,336 | ) | 9.8 | |||||||||||
| Talanx AG | 44,833 | 1,633,248 | (160,489 | ) | 4.2 | |||||||||||
| Volkswagen AG (Preference) | 8,894 | 1,469,380 | (206,351 | ) | 5.4 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Accor SA | (90,217 | ) | (4,418,462 | ) | (89,014 | ) | 2.3 | |||||||||
| Airbus SE | (44,147 | ) | (5,151,726 | ) | (333,012 | ) | 8.7 | |||||||||
| Bollore SA | (563,575 | ) | (2,617,209 | ) | (219,858 | ) | 5.7 | |||||||||
| Carrefour SA | (506,756 | ) | (8,174,444 | ) | 2,099,152 | (54.7 | ) | |||||||||
| Credit Agricole SA | (191,400 | ) | (2,540,363 | ) | 130,051 | (3.4 | ) | |||||||||
| Edenred | (212,256 | ) | (6,704,467 | ) | (1,150,475 | ) | 30.0 | |||||||||
| Electricite de France SA | (789,518 | ) | (10,833,655 | ) | (1,539,361 | ) | 40.1 | |||||||||
| Getlink | (318,443 | ) | (4,365,811 | ) | (761,555 | ) | 19.8 | |||||||||
| Iliad SA | (48,768 | ) | (7,694,865 | ) | 2,133,348 | (55.6 | ) | |||||||||
| Ingenico Group SA | (107,393 | ) | (9,629,319 | ) | 677,525 | (17.7 | ) | |||||||||
| JCDecaux SA | (68,497 | ) | (2,287,227 | ) | 169,228 | (4.4 | ) | |||||||||
| L’Oreal SA | (11,509 | ) | (2,837,276 | ) | (443,428 | ) | 11.6 | |||||||||
| Orpea | (10,676 | ) | (1,422,023 | ) | (168,280 | ) | 4.4 | |||||||||
| Societe Generale SA | (44,672 | ) | (1,877,561 | ) | 98,973 | (2.6 | ) | |||||||||
| Suez | (404,790 | ) | (5,236,368 | ) | 208,431 | (5.4 | ) | |||||||||
| Valeo SA | (31,394 | ) | (1,711,714 | ) | 252,595 | (6.6 | ) | |||||||||
| Vivendi SA | (360,953 | ) | (8,829,961 | ) | 60,262 | (1.6 | ) | |||||||||
| Germany | ||||||||||||||||
| Commerzbank AG | (538,112 | ) | (5,133,238 | ) | 678,113 | (17.7 | ) | |||||||||
| Deutsche Bank AG (Registered) | (1,597,561 | ) | (17,091,465 | ) | 9,085,972 | (236.8 | ) | |||||||||
| Deutsche Telekom AG (Registered) | (409,723 | ) | (6,332,027 | ) | 19,842 | (0.5 | ) | |||||||||
| GEA Group AG | (106,901 | ) | (3,600,234 | ) | 1,438,610 | (37.5 | ) | |||||||||
| Henkel AG & Co. KGaA (Preference) | (13,064 | ) | (1,666,950 | ) | (61,174 | ) | 1.6 | |||||||||
| Symrise AG | (17,740 | ) | (1,551,796 | ) | (82,556 | ) | 2.2 | |||||||||
| Telefonica Deutschland Holding AG | (370,852 | ) | (1,458,917 | ) | 316,014 | (8.2 | ) | |||||||||
| thyssenkrupp AG | (70,145 | ) | (1,700,307 | ) | 124,913 | (3.3 | ) | |||||||||
| Wirecard AG | (27,179 | ) | (4,349,195 | ) | (1,284,104 | ) | 33.5 | |||||||||
| Zalando SE | (100,382 | ) | (5,594,491 | ) | (217,308 | ) | 5.7 | |||||||||
| Luxembourg | ||||||||||||||||
| Eurofins Scientific SE | (10,990 | ) | (6,095,170 | ) | (356,061 | ) | 9.3 | |||||||||
| United States | ||||||||||||||||
| QIAGEN NV | (209,937 | ) | (7,610,043 | ) | (1,032,307 | ) | 26.9 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
61
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HONIX plus or minus a specified spread (-2.13% to 0.45%), which is denominated in HKD based on the local currencies of the positions within the swap. | 4-49 months maturity 10/16/2018 | $33,838,179 | $1,137,512 | $33,129 | $1,170,641 | ||||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Hong Kong | ||||||||||||||||
| Chow Tai Fook Jewellery Group Ltd. | 1,254,600 | $ | 1,411,025 | $ | 50,361 | 4.3 | % | |||||||||
| Henderson Land Development Co. Ltd. | 134,500 | 709,256 | (56,646 | ) | (4.8 | ) | ||||||||||
| Kerry Properties Ltd. | 557,500 | 2,664,255 | 647,641 | 55.3 | ||||||||||||
| Li & Fung Ltd. | 3,294,000 | 1,206,536 | (412,418 | ) | (35.2 | ) | ||||||||||
| Melco International Development Ltd. | 1,470,000 | 4,509,375 | 626,001 | 53.5 | ||||||||||||
| Sino Land Co. Ltd. | 762,000 | 1,238,229 | (84,907 | ) | (7.3 | ) | ||||||||||
| SJM Holdings Ltd. | 331,000 | 410,517 | (34,087 | ) | (2.9 | ) | ||||||||||
| Sun Hung Kai Properties Ltd. | 11,000 | 165,725 | (512 | ) | (0.0 | ) | ||||||||||
| Swire Properties Ltd. | 93,800 | 345,931 | 35,003 | 3.0 | ||||||||||||
| WH Group Ltd. | 487,000 | 394,074 | (27,255 | ) | (2.3 | ) | ||||||||||
| Wheelock & Co. Ltd. | 175,000 | 1,216,168 | (182,014 | ) | (15.5 | ) | ||||||||||
| Yue Yuen Industrial Holdings Ltd. | 408,500 | 1,151,426 | (285,918 | ) | (24.4 | ) | ||||||||||
| Macau | ||||||||||||||||
| Wynn Macau Ltd. | 470,000 | 1,506,183 | (215,937 | ) | (18.4 | ) | ||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| China | ||||||||||||||||
| Guotai Junan International Holdings Ltd. | (2,204,000 | ) | (475,037 | ) | 218,753 | 18.7 | ||||||||||
| Minth Group Ltd. | (420,000 | ) | (1,776,479 | ) | 198,876 | 17.0 | ||||||||||
| Hong Kong | ||||||||||||||||
| AIA Group Ltd. | (238,200 | ) | (2,075,058 | ) | 32,761 | 2.8 | ||||||||||
| ASM Pacific Technology Ltd. | (216,300 | ) | (2,726,143 | ) | 341,714 | 29.2 | ||||||||||
| Cathay Pacific Airways Ltd. | (522,000 | ) | (819,659 | ) | (81,703 | ) | (7.0 | ) | ||||||||
| CK Hutchison Holdings Ltd. | (16,000 | ) | (169,376 | ) | 16,343 | 1.4 | ||||||||||
| Haitong International Securities Group Ltd. | (3,175,656 | ) | (1,442,559 | ) | 394,661 | 33.7 | ||||||||||
| HK Electric Investments & HK Electric Investments Ltd. | (308,000 | ) | (293,628 | ) | (7,617 | ) | (0.7 | ) | ||||||||
| Hong Kong & China Gas Co. Ltd. | (580,880 | ) | (1,110,372 | ) | (380,452 | ) | (32.5 | ) | ||||||||
| Hysan Development Co. Ltd. | (50,000 | ) | (279,075 | ) | (40,194 | ) | (3.4 | ) | ||||||||
| MTR Corp. Ltd. | (655,953 | ) | (3,623,253 | ) | 37,324 | 3.2 | ||||||||||
| Techtronic Industries Co. Ltd. | (71,500 | ) | (397,103 | ) | 23,604 | 2.0 | ||||||||||
| Value Partners Group Ltd. | (1,801,000 | ) | (1,416,110 | ) | 296,802 | 25.4 | ||||||||||
| United States | ||||||||||||||||
| Samsonite International SA | (86,700 | ) | (305,627 | ) | 27,328 | 2.3 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
62
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Reserve Bank of Australia Cash Rate (“RBACR”) plus or minus a specified spread (-1.00% to 0.45%), which is denominated in AUD based on the local currencies of the positions within the swap. | 24-49 months maturity 10/15/2018 | $49,902,385 | $(1,074,160 | ) | $(9,080 | ) | $(1,083,240 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| Adelaide Brighton Ltd. | 62,109 | $ | 319,013 | $ | 38,300 | (3.5 | )% | |||||||||
| Alumina Ltd. | 281,413 | 582,352 | 63,515 | (5.9 | ) | |||||||||||
| Aurizon Holdings Ltd. | 765,755 | 2,448,839 | (510,861 | ) | 47.2 | |||||||||||
| BlueScope Steel Ltd. | 49,090 | 626,515 | (4,893 | ) | 0.5 | |||||||||||
| Caltex Australia Ltd. | 23,163 | 557,435 | 41,634 | (3.8 | ) | |||||||||||
| CIMIC Group Ltd. | 104,242 | 3,258,633 | 419,945 | (38.8 | ) | |||||||||||
| Fortescue Metals Group Ltd. | 234,171 | 760,347 | (52,903 | ) | 4.9 | |||||||||||
| Harvey Norman Holdings Ltd. | 131,715 | 323,588 | (88,681 | ) | 8.2 | |||||||||||
| Newcrest Mining Ltd. | 434,633 | 7,057,198 | (34,324 | ) | 3.2 | |||||||||||
| Oil Search Ltd. | 10,406 | 68,367 | 131 | (0.0 | ) | |||||||||||
| Orica Ltd. | 27,328 | 358,774 | (44,414 | ) | 4.1 | |||||||||||
| Origin Energy Ltd. | 284,743 | 2,111,982 | 349,579 | (32.3 | ) | |||||||||||
| Qantas Airways Ltd. | 78,067 | 355,486 | 58,821 | (5.4 | ) | |||||||||||
| Santos Ltd. | 18,715 | 86,681 | (119 | ) | 0.0 | |||||||||||
| South32 Ltd. | 1,221,265 | 3,261,174 | 220,316 | (20.3 | ) | |||||||||||
| Woodside Petroleum Ltd. | 154,152 | 4,039,783 | 643,962 | (59.4 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| AMP Ltd. | (430,935 | ) | (1,133,446 | ) | 542,971 | (50.1 | ) | |||||||||
| APA Group | (640,147 | ) | (4,663,742 | ) | (485,340 | ) | 44.8 | |||||||||
| AusNet Services | (282,843 | ) | (335,934 | ) | 17,866 | (1.6 | ) | |||||||||
| Challenger Ltd. | (140,852 | ) | (1,232,631 | ) | 51,840 | (4.8 | ) | |||||||||
| Computershare Ltd. | (45,381 | ) | (618,201 | ) | (27,136 | ) | 2.5 | |||||||||
| CSL Ltd. | (11,232 | ) | (1,598,798 | ) | (242,204 | ) | 22.4 | |||||||||
| Healthscope Ltd. | (1,703,951 | ) | (2,780,342 | ) | (513,080 | ) | 47.4 | |||||||||
| Ramsay Health Care Ltd. | (6,564 | ) | (262,121 | ) | 63,798 | (5.9 | ) | |||||||||
| REA Group Ltd. | (28,301 | ) | (1,899,308 | ) | (587,318 | ) | 54.2 | |||||||||
| SEEK Ltd. | (342,551 | ) | (5,520,245 | ) | (1,326,350 | ) | 122.4 | |||||||||
| TPG Telecom Ltd. | (388,452 | ) | (1,484,870 | ) | 120,541 | (11.1 | ) | |||||||||
| Transurban Group | (23,343 | ) | (206,710 | ) | (12,201 | ) | 1.1 | |||||||||
| Vocus Group Ltd. | (1,142,091 | ) | (1,949,870 | ) | 222,445 | (20.5 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
63
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread (-1.50% to 0.45%), which is denominated in JPY based on the local currencies of the positions within the swap. | 4-49 months maturity 10/16/2018 | $583,678,703 | $(17,048,892 | ) | $(576,715 | ) | $(17,625,607 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| Astellas Pharma, Inc. | 582,500 | $ | 8,864,825 | $ | 719,087 | (4.1 | )% | |||||||||
| Bandai Namco Holdings, Inc. | 177,800 | 7,323,851 | 1,633,942 | (9.3 | ) | |||||||||||
| Haseko Corp. | 561,000 | 7,732,321 | 1,108,479 | (6.3 | ) | |||||||||||
| Hitachi Ltd. | 1,593,000 | 11,222,659 | (89,151 | ) | 0.5 | |||||||||||
| Idemitsu Kosan Co. Ltd. | 235,000 | 8,356,978 | 959,526 | (5.4 | ) | |||||||||||
| Inpex Corp. | 1,046,900 | 10,872,981 | (758,852 | ) | 4.3 | |||||||||||
| Japan Airlines Co. Ltd. | 376,900 | 13,353,972 | (192,131 | ) | 1.1 | |||||||||||
| JFE Holdings, Inc. | 236,100 | 4,459,387 | (648,917 | ) | 3.7 | |||||||||||
| JXTG Holdings, Inc. | 3,417,200 | 23,707,774 | 4,677,943 | (26.5 | ) | |||||||||||
| Kajima Corp. | 1,049,000 | 8,105,266 | (1,217,550 | ) | 6.9 | |||||||||||
| Marubeni Corp. | 764,100 | 5,817,389 | 734,977 | (4.2 | ) | |||||||||||
| Matsumotokiyoshi Holdings Co. Ltd. | 157,300 | 7,058,651 | 2,082,224 | (11.8 | ) | |||||||||||
| Mitsubishi Gas Chemical Co., Inc. | 190,000 | 4,293,563 | 273,503 | (1.6 | ) | |||||||||||
| Nexon Co. Ltd. | 462,200 | 6,706,229 | (42,015 | ) | 0.2 | |||||||||||
| Nippon Telegraph & Telephone Corp. | 161,100 | 7,318,453 | (365,911 | ) | 2.1 | |||||||||||
| Obayashi Corp. | 656,400 | 6,815,678 | (899,057 | ) | 5.1 | |||||||||||
| Otsuka Corp. | 103,200 | 4,040,007 | 256,725 | (1.5 | ) | |||||||||||
| Pola Orbis Holdings, Inc. | 118,600 | 5,211,938 | 1,854,628 | (10.5 | ) | |||||||||||
| Sega Sammy Holdings, Inc. | 253,300 | 4,335,349 | 719,208 | (4.1 | ) | |||||||||||
| Square Enix Holdings Co. Ltd. | 233,900 | 11,468,611 | 4,063,613 | (23.1 | ) | |||||||||||
| Start Today Co. Ltd. | 178,400 | 6,454,616 | 874,583 | (5.0 | ) | |||||||||||
| Taiheiyo Cement Corp. | 124,800 | 4,105,464 | (709,455 | ) | 4.0 | |||||||||||
| Taisei Corp. | 271,175 | 14,933,459 | 1,764,777 | (10.0 | ) | |||||||||||
| Tosoh Corp. | 439,800 | 6,800,269 | (2,515,815 | ) | 14.3 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| Aeon Co. Ltd. | (495,600 | ) | (10,601,995 | ) | (3,145,103 | ) | 17.8 | |||||||||
| Asics Corp. | (347,100 | ) | (5,859,431 | ) | (324,511 | ) | 1.8 | |||||||||
| Calbee, Inc. | (197,600 | ) | (7,433,237 | ) | (463,867 | ) | 2.6 | |||||||||
| FamilyMart UNY Holdings Co. Ltd. | (114,400 | ) | (12,046,826 | ) | (5,724,193 | ) | 32.5 | |||||||||
| Fast Retailing Co. Ltd. | (10,700 | ) | (4,904,192 | ) | (1,159,812 | ) | 6.6 | |||||||||
| Hokuriku Electric Power Co. | (407,800 | ) | (4,095,942 | ) | (586,900 | ) | 3.3 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
64
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR EQUITY MARKET NEUTRAL FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Japan (continued) | ||||||||||||||||
| Isetan Mitsukoshi Holdings Ltd. | (586,900 | ) | $ | (7,322,103 | ) | $ | (894,183 | ) | 5.1 | % | ||||||
| Kakaku.com, Inc. | (213,700 | ) | (4,812,092 | ) | (1,821,002 | ) | 10.3 | |||||||||
| Keikyu Corp. | (252,400 | ) | (4,134,168 | ) | 1,226,257 | (7.0 | ) | |||||||||
| Kikkoman Corp. | (85,300 | ) | (4,306,681 | ) | (1,603,871 | ) | 9.1 | |||||||||
| Kintetsu Group Holdings Co. Ltd. | (113,300 | ) | (4,619,848 | ) | (387,279 | ) | 2.2 | |||||||||
| Marui Group Co. Ltd. | (534,900 | ) | (11,251,664 | ) | (3,509,945 | ) | 19.9 | |||||||||
| Murata Manufacturing Co. Ltd. | (33,800 | ) | (5,674,223 | ) | (1,094,910 | ) | 6.2 | |||||||||
| NGK Spark Plug Co. Ltd. | (256,500 | ) | (7,291,980 | ) | (1,838,480 | ) | 10.4 | |||||||||
| Nidec Corp. | (31,600 | ) | (4,727,034 | ) | (539,409 | ) | 3.1 | |||||||||
| Nippon Paint Holdings Co. Ltd. | (219,300 | ) | (9,431,027 | ) | (1,847,903 | ) | 10.5 | |||||||||
| Odakyu Electric Railway Co. Ltd. | (236,600 | ) | (5,074,110 | ) | (451,591 | ) | 2.6 | |||||||||
| Ricoh Co. Ltd. | (1,449,900 | ) | (13,277,797 | ) | 63,933 | (0.4 | ) | |||||||||
| Shimano, Inc. | (63,100 | ) | (9,259,588 | ) | (230,525 | ) | 1.3 | |||||||||
| SoftBank Group Corp. | (146,600 | ) | (10,468,435 | ) | 1,088,880 | (6.2 | ) | |||||||||
| Sony Financial Holdings, Inc. | (386,000 | ) | (7,354,497 | ) | (1,071,619 | ) | 6.1 | |||||||||
| T&D Holdings, Inc. | (765,900 | ) | (11,487,021 | ) | 651,579 | (3.7 | ) | |||||||||
| TDK Corp. | (103,400 | ) | (10,528,482 | ) | (1,332,517 | ) | 7.6 | |||||||||
| Tokio Marine Holdings, Inc. | (156,900 | ) | (7,340,292 | ) | (68,090 | ) | 0.4 | |||||||||
| Yamato Holdings Co. Ltd. | (329,900 | ) | (9,709,833 | ) | (2,791,036 | ) | 15.8 | |||||||||
| Yaskawa Electric Corp. | (189,100 | ) | (6,659,177 | ) | 1,279,447 | (7.3 | ) | |||||||||
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
| CITI | ||||||||||||
| Cash | $(640,000 | ) | $ | — | $(640,000 | ) | ||||||
| Investment Companies | 1,462,423 | — | 1,462,423 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 3,461,478 | — | 3,461,478 | |||||||||
|
|
||||||||||||
| MSIP | ||||||||||||
| Cash | 391,517,551 | — | 391,517,551 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
65
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Forward Effective Interest rate swap contracts outstanding as of June 30, 2018:
Exchange Cleared
| PAY/RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | |||||||||||||||||||||
| Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly |
2.50% Semi-Annually | 9/16/2020 | NZD | 61,000,000 | $99,228 | $151,512 | $250,740 | ||||||||||||||||||||
| Pay | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 3.00% Semi-Annually | 9/18/2028 | CAD | 3,400,000 | 69,552 | 27,263 | 96,815 | ||||||||||||||||||||
| Pay | 3 Month Stockholm Interbank Offered Rate Quarterly |
1.50% Annually | 9/20/2028 | SEK | 18,100,000 | (954 | ) | 65,925 | 64,971 | |||||||||||||||||||
| Pay | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.00% Annually | 9/21/2020 | EUR | 600,000 | 1,797 | 89 | 1,886 | ||||||||||||||||||||
| Pay | 6 Month Euro Interbank Offered Rate Semi-Annually | 1.00% Annually | 9/19/2028 | EUR | 100,000 | (450 | ) | 1,394 | 944 | |||||||||||||||||||
| Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.50% Annually | 9/20/2028 | CHF | 1,400,000 | (13,582 | ) | 22,760 | 9,178 | |||||||||||||||||||
| Pay | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 1.50% Annually | 9/16/2020 | NOK | 237,500,000 | (44,694 | ) | 47,065 | 2,371 | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
66
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| PAY/RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | |||||||||||||||||||||
| Receive | 3 Month London Interbank Offered Rate Quarterly | 2.25% Semi-Annually | 9/21/2020 | USD | 136,400,000 | $ 1,197,302 | $ 411,511 | $ 1,608,813 | ||||||||||||||||||||
| Receive | 6 Month London Interbank Offered Rate Semi-Annually | 1.50% Semi-Annually | 9/19/2028 | GBP | 4,300,000 | 91,485 | (66,177 | ) | 25,308 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 1,399,684 | 661,342 | 2,061,026 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 2.00% Quarterly | 9/10/2020 | AUD | 24,800,000 | (72,909 | ) | 42,213 | (30,696 | ) | ||||||||||||||||||
| Pay | 3 Month London Interbank Offered Rate Quarterly | 2.50% Semi-Annually | 9/19/2028 | USD | 14,600,000 | (554,310 | ) | (10,655 | ) | (564,965 | ) | |||||||||||||||||
| Pay | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Semi-Annually | 9/21/2020 | GBP | 33,600,000 | (145,910 | ) | 75,972 | (69,938 | ) | ||||||||||||||||||
| Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.25% Semi-Annually | 9/20/2028 | JPY | 851,400,000 | (44,349 | ) | 30,581 | (13,768 | ) | ||||||||||||||||||
| Receive | 3 Month Australian Bank-Bill Reference Rate Quarterly | 3.50% Semi-Annually | 9/13/2028 | NZD | 8,000,000 | (72,980 | ) | (135,224 | ) | (208,204 | ) | |||||||||||||||||
| Receive | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.50% Semi-Annually | 9/14/2020 | CAD | 5,800,000 | (18,539 | ) | 2,216 | (16,323 | ) | ||||||||||||||||||
| Receive | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.50% Annually | 9/16/2020 | SEK | 41,000,000 | (43,784 | ) | (10,927 | ) | (54,711 | ) | |||||||||||||||||
| Receive | 6 Month Australian Bank-Bill Reference Rate Semi-Annually | 3.00% Semi-Annually | 9/07/2028 | AUD | 2,900,000 | (1,580 | ) | (28,057 | ) | (29,637 | ) | |||||||||||||||||
| Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.25% Annually | 9/16/2020 | CHF | 11,500,000 | (20,115 | ) | (37,479 | ) | (57,594 | ) | |||||||||||||||||
| Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.25% Semi-Annually | 9/16/2020 | JPY | 7,845,800,000 | (257,158 | ) | (28,069 | ) | (285,227 | ) | |||||||||||||||||
| Receive | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 2.50% Annually | 9/20/2028 | NOK | 34,200,000 | (49,729 | ) | (68,109 | ) | (117,838 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1,281,363 | ) | (167,538 | ) | (1,448,901 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $118,321 | $493,804 | $612,125 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (a) | Floating rate indices at June 30, 2018 were as follows: |
| 3 Month Australian Bank-Bill Reference Rate: 2.11% |
| 3 Month Canadian Bankers’ Acceptance Rate: 1.77% |
| 3 Month London Interbank Offered Rate: 2.34% |
| 3 Month Stockholm Interbank Offered Rate: (0.35)% |
| 6 Month Canadian Bankers’ Acceptance Rate: 1.94% |
| 6 Month Euro Interbank Offered Rate: (0.27)% |
| 6 Month London Interbank Offered Rate: 2.50% |
| 6 Month Norwegian Interbank Offered Rate: 1.18% |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
67
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (35,950 | ) | $1,991 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (197,725 | ) | 2,147 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (89,875 | ) | 400 | |||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 15,799,300 | 672 | ||||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 1,436,300 | 1,404 | ||||||||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | (3,260,700 | ) | 3,820 | |||||||||||||||
| MSCI Poland Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the Warsaw Interbank Offered Rate (“WIBOR”) plus or minus a specified spread (-0.35%) | Monthly | GSIN | 09/19/2018 | PLN | (340,633 | ) | 4,598 | |||||||||||||||
| MSCI Singapore Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | SGD | 219,600 | 492 | ||||||||||||||||
| MSCI South Africa Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the Johannesburg Interbank Agreed Rate (“JIBAR”) plus or minus a specified spread (-0.60%) | Monthly | GSIN | 09/19/2018 | ZAR | (4,740,934 | ) | 1,159 | |||||||||||||||
| MSCI Switzerland Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.45%) | Monthly | GSIN | 09/19/2018 | CHF | (479,356 | ) | 1,026 | |||||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | USD | 38,760 | 360 | ||||||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | 348,840 | 2,466 | ||||||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | (44,000 | ) | 2,988 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
68
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | (132,000 | ) | $ 12,301 | |||||||||||||||
| Swiss Market Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | Monthly | MLIN | 09/21/2018 | CHF | (85,750 | ) | 336 | |||||||||||||||
| Tel Aviv Index July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/25/2018 | ILS | (303,366 | ) | 840 | |||||||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (25,062 | ) | 1,548 | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| 38,548 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| BIST 30 Index August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/31/2018 | TRY | (1,393,513 | ) | (3,031 | ) | ||||||||||||||
| Canada 10 Year Bond September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | BANA | 09/19/2018 | CAD | (683,550 | ) | (6,415 | ) | ||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 89,875 | (6,685 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 143,800 | (10,670 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 35,950 | (2,602 | ) | |||||||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 08/15/2018 | BRL | 1,829,050 | (3,289 | ) | |||||||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 09/13/2018 | KRW | 75,000,000 | (3,667 | ) | |||||||||||||||
| MSCI Brazil Net Return Index | Decreases in total return of reference entity and pays the Brazilian Interbank Certificate of Deposit (“CDI”) plus or minus a specified spread (-0.35%) | Increases in total return of reference entity | Monthly | GSIN | 09/24/2018 | BRL | 330,749 | (81 | ) | |||||||||||||||
| MSCI Mexico Net Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the Mexico Equilibrium Interbank Interest Rate (“TIIE”) plus or minus a specified spread (0.05%) | Monthly | GSIN | 09/19/2018 | MXN | (2,078,950 | ) | (2,403 | ) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
69
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| MSCI Singapore Net Return Index | Decreases in total return of reference entity and pays the Singapore Swap Offered Rate (“SOR”) plus or minus a specified spread (0.45%) | Increases in total return of reference entity | Monthly | GSIN | 09/24/2018 | SGD | 590,670 | $ (23,625 | ) | |||||||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/18/2018 | TWD | 10,677,000 | (369 | ) | |||||||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 25,063 | (2,153 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| (64,990 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $(26,442 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 13 | 7/2018 | EUR | $1,674,812 | $(38,137 | ) | ||||||||||
| Brent Crude Oil | 5 | 7/2018 | USD | 396,150 | 15,445 | |||||||||||
| Hang Seng Index | 11 | 7/2018 | HKD | 2,013,778 | 2,326 | |||||||||||
| HSCEI | 2 | 7/2018 | HKD | 138,536 | (483 | ) | ||||||||||
| IBEX 35 Index | 3 | 7/2018 | EUR | 336,389 | (5,343 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 7/2018 | USD | 54,100 | (8,230 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,783 | (6,504 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,475 | (8,928 | ) | ||||||||||
| MSCI Singapore Index | 11 | 7/2018 | SGD | 295,486 | 727 | |||||||||||
| MSCI Taiwan Index | 27 | 7/2018 | USD | 1,046,520 | 8,745 | |||||||||||
| Natural Gas | 21 | 7/2018 | USD | 614,040 | 1,355 | |||||||||||
| NY Harbor ULSD | 3 | 7/2018 | USD | 278,422 | 4,591 | |||||||||||
| OMXS30 Index | 43 | 7/2018 | SEK | 749,412 | (4,905 | ) | ||||||||||
| RBOB Gasoline | 2 | 7/2018 | USD | 180,701 | 4,813 | |||||||||||
| WTI Crude Oil | 19 | 7/2018 | USD | 1,408,850 | 153,829 | |||||||||||
| 100 oz Gold | 2 | 8/2018 | USD | 250,900 | (9,397 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,375 | (2,984 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 8/2018 | USD | 159,488 | (14,891 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,663 | (5,028 | ) | ||||||||||
| LME Copper Base Metal | 3 | 8/2018 | USD | 496,919 | (12,899 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,198 | 2,255 | |||||||||||
| Euro-Bund | 86 | 9/2018 | EUR | 16,325,027 | 88,309 | |||||||||||
| FTSE/MIB Index | 17 | 9/2018 | EUR | 2,140,904 | (49,783 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,276 | (1,102 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,318 | (758 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,269 | (1,197 | ) | ||||||||||
| LME Aluminum Base Metal | 6 | 9/2018 | USD | 319,762 | (21,027 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (4,666 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
70
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Copper Base Metal | 4 | 9/2018 | USD | $ 662,832 | $ (51,180 | ) | ||||||||||
| LME Copper Base Metal | 6 | 9/2018 | USD | 994,200 | (35,523 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,734 | 3,337 | |||||||||||
| LME Zinc Base Metal | 1 | 9/2018 | USD | 71,475 | (7,478 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 9/2018 | USD | 71,358 | 606 | |||||||||||
| LME Zinc Base Metal | 2 | 9/2018 | USD | 142,850 | (12,255 | ) | ||||||||||
| Long Gilt | 36 | 9/2018 | GBP | 5,846,703 | 70,419 | |||||||||||
| SET50 Index | 21 | 9/2018 | THB | 132,580 | (1,993 | ) | ||||||||||
| Silver | 3 | 9/2018 | USD | 242,970 | (2,761 | ) | ||||||||||
| SPI 200 Index | 21 | 9/2018 | AUD | 2,388,659 | 20,118 | |||||||||||
| TOPIX Index | 13 | 9/2018 | JPY | 2,031,929 | (15,935 | ) | ||||||||||
| U.S. Treasury 5 Year Note | 256 | 9/2018 | USD | 29,086,000 | 192,696 | |||||||||||
|
|
|
|||||||||||||||
| 246,184 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts | ||||||||||||||||
| CAC 40 10 Euro Index | (35 | ) | 7/2018 | EUR | (2,174,648 | ) | 55,125 | |||||||||
| FTSE Bursa Malaysia KLCI Index | (6 | ) | 7/2018 | MYR | (125,993 | ) | (1,807 | ) | ||||||||
| LME Aluminum Base Metal | (1 | ) | 7/2018 | USD | (54,100 | ) | 8,397 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,783 | ) | 7,489 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,475 | ) | 8,472 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,375 | ) | 3,160 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 8/2018 | USD | (159,487 | ) | 15,254 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,662 | ) | 4,460 | |||||||||
| LME Copper Base Metal | (3 | ) | 8/2018 | USD | (496,919 | ) | 12,285 | |||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,198 | ) | (2,417 | ) | ||||||||
| Australia 10 Year Bond | (37 | ) | 9/2018 | AUD | (3,542,162 | ) | (24,316 | ) | ||||||||
| Canada 10 Year Bond | (74 | ) | 9/2018 | CAD | (7,695,234 | ) | (54,616 | ) | ||||||||
| EURO STOXX 50 Index | (34 | ) | 9/2018 | EUR | (1,346,403 | ) | 27,235 | |||||||||
| FTSE 100 Index | (30 | ) | 9/2018 | GBP | (3,009,624 | ) | 12,497 | |||||||||
| FTSE/JSE Top 40 Index | (7 | ) | 9/2018 | ZAR | (263,752 | ) | 751 | |||||||||
| Japan 10 Year Bond | (18 | ) | 9/2018 | JPY | (24,523,506 | ) | (30,012 | ) | ||||||||
| Japan 10 Year Bond Mini | (42 | ) | 9/2018 | JPY | (5,722,151 | ) | (6,890 | ) | ||||||||
| KOSPI 200 Index | (18 | ) | 9/2018 | KRW | (1,211,306 | ) | 58,968 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,269 | ) | 1,117 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,276 | ) | 1,007 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,318 | ) | 1,185 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 9/2018 | USD | (213,175 | ) | 4,607 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 4,631 | |||||||||
| LME Copper Base Metal | (4 | ) | 9/2018 | USD | (662,832 | ) | 51,969 | |||||||||
| LME Copper Base Metal | (5 | ) | 9/2018 | USD | (828,500 | ) | 56,010 | |||||||||
| LME Zinc Base Metal | (1 | ) | 9/2018 | USD | (71,358 | ) | 229 | |||||||||
| LME Zinc Base Metal | (1 | ) | 9/2018 | USD | (71,475 | ) | 7,622 | |||||||||
| LME Zinc Base Metal | (2 | ) | 9/2018 | USD | (142,850 | ) | 6,851 | |||||||||
| MEX BOLSA Index | (11 | ) | 9/2018 | MXN | (267,215 | ) | (6,495 | ) | ||||||||
| S&P 500 E-Mini Index | (41 | ) | 9/2018 | USD | (5,579,280 | ) | 125,467 | |||||||||
| S&P/TSX 60 Index | (4 | ) | 9/2018 | CAD | (586,194 | ) | (3,857 | ) | ||||||||
| U.S. Treasury 10 Year Note | (259 | ) | 9/2018 | USD | (31,128,562 | ) | (316,170 | ) | ||||||||
| U.S. Treasury 2 Year Note | (141 | ) | 9/2018 | USD | (29,867,766 | ) | (46,804 | ) | ||||||||
| Wheat | (8 | ) | 9/2018 | USD | (200,500 | ) | 4,670 | |||||||||
| Soybean | (13 | ) | 11/2018 | USD | (572,000 | ) | 56,308 | |||||||||
| Soybean Meal | (8 | ) | 12/2018 | USD | (263,920 | ) | 17,912 | |||||||||
| Soybean Oil | (29 | ) | 12/2018 | USD | (517,476 | ) | 14,710 | |||||||||
|
|
|
|||||||||||||||
| 75,004 | ||||||||||||||||
|
|
|
|||||||||||||||
| $321,188 | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
71
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| AUD | 114,400 | USD | 84,585 | CITI | 9/19/2018 | $97 | ||||||||||||||
| AUD | 171,600 | USD | 126,878 | JPMC | 9/19/2018 | 145 | ||||||||||||||
| CAD | 272,400 | USD | 206,750 | CITI | 9/19/2018 | 734 | ||||||||||||||
| CAD | 408,600 | USD | 310,126 | JPMC | 9/19/2018 | 1,100 | ||||||||||||||
| COP | 116,000,000 | USD | 39,338 | CITI** | 9/19/2018 | 93 | ||||||||||||||
| COP | 174,000,000 | USD | 59,008 | JPMC** | 9/19/2018 | 139 | ||||||||||||||
| EUR | 6,800 | USD | 7,987 | CITI | 9/19/2018 | 2 | ||||||||||||||
| EUR | 10,200 | USD | 11,981 | JPMC | 9/19/2018 | 3 | ||||||||||||||
| HKD | 1,017,600 | USD | 129,851 | CITI | 9/19/2018 | 26 | ||||||||||||||
| HKD | 1,490,400 | USD | 190,182 | JPMC | 9/19/2018 | 38 | ||||||||||||||
| MXN | 7,713,200 | USD | 380,760 | CITI | 9/19/2018 | 2,789 | ||||||||||||||
| MXN | 11,569,800 | USD | 571,141 | JPMC | 9/19/2018 | 4,182 | ||||||||||||||
| NOK | 3,425,200 | USD | 417,894 | CITI | 9/19/2018 | 4,004 | ||||||||||||||
| NOK | 5,137,800 | USD | 626,842 | JPMC | 9/19/2018 | 6,006 | ||||||||||||||
| PLN | 76,000 | USD | 20,236 | CITI | 9/19/2018 | 80 | ||||||||||||||
| PLN | 114,000 | USD | 30,354 | JPMC | 9/19/2018 | 120 | ||||||||||||||
| TRY | 1,402,400 | USD | 283,534 | CITI | 9/19/2018 | 11,576 | ||||||||||||||
| TRY | 2,103,600 | USD | 425,302 | JPMC | 9/19/2018 | 17,363 | ||||||||||||||
| USD | 1,058,302 | AUD | 1,392,000 | CITI | 9/19/2018 | 27,905 | ||||||||||||||
| USD | 1,587,452 | AUD | 2,088,000 | JPMC | 9/19/2018 | 41,856 | ||||||||||||||
| USD | 891,257 | BRL | 3,356,800 | CITI** | 9/19/2018 | 32,245 | ||||||||||||||
| USD | 1,336,884 | BRL | 5,035,200 | JPMC** | 9/19/2018 | 48,366 | ||||||||||||||
| USD | 2,706,881 | CHF | 2,660,400 | CITI | 9/19/2018 | 1,857 | ||||||||||||||
| USD | 4,060,316 | CHF | 3,990,600 | JPMC | 9/19/2018 | 2,781 | ||||||||||||||
| USD | 15,411 | CLP | 10,000,000 | CITI** | 9/20/2018 | 107 | ||||||||||||||
| USD | 23,117 | CLP | 15,000,000 | JPMC** | 9/20/2018 | 161 | ||||||||||||||
| USD | 817,671 | CNY | 5,350,298 | CITI** | 9/19/2018 | 13,606 | ||||||||||||||
| USD | 448,274 | CNY | 2,913,600 | JPMC** | 9/19/2018 | 10,407 | ||||||||||||||
| USD | 25,124 | COP | 72,000,000 | CITI** | 9/19/2018 | 649 | ||||||||||||||
| USD | 37,685 | COP | 108,000,000 | JPMC** | 9/19/2018 | 974 | ||||||||||||||
| USD | 31,662 | CZK | 694,163 | CITI | 9/19/2018 | 323 | ||||||||||||||
| USD | 47,493 | CZK | 1,041,245 | JPMC | 9/19/2018 | 484 | ||||||||||||||
| USD | 2,729,857 | EUR | 2,308,000 | CITI | 9/19/2018 | 18,338 | ||||||||||||||
| USD | 4,098,915 | EUR | 3,462,000 | JPMC | 9/19/2018 | 31,637 | ||||||||||||||
| USD | 229,597 | GBP | 172,000 | CITI | 9/19/2018 | 1,794 | ||||||||||||||
| USD | 344,395 | GBP | 258,000 | JPMC | 9/19/2018 | 2,691 | ||||||||||||||
| USD | 510,712 | HKD | 3,997,600 | CITI | 9/19/2018 | 497 | ||||||||||||||
| USD | 766,067 | HKD | 5,996,400 | JPMC | 9/19/2018 | 745 | ||||||||||||||
| USD | 352,119 | ILS | 1,248,000 | CITI | 9/20/2018 | 9,025 | ||||||||||||||
| USD | 528,178 | ILS | 1,872,000 | JPMC | 9/20/2018 | 13,537 | ||||||||||||||
| USD | 66,954 | HUF | 18,448,000 | CITI | 9/19/2018 | 1,227 | ||||||||||||||
| USD | 100,430 | HUF | 27,672,000 | JPMC | 9/19/2018 | 1,839 | ||||||||||||||
| USD | 344,995 | IDR | 4,980,000,000 | CITI** | 9/19/2018 | 1,116 | ||||||||||||||
| USD | 517,492 | IDR | 7,470,000,000 | JPMC** | 9/19/2018 | 1,674 | ||||||||||||||
| USD | 11,156 | INR | 767,600 | CITI** | 9/19/2018 | 66 | ||||||||||||||
| USD | 16,733 | INR | 1,151,400 | JPMC** | 9/19/2018 | 99 | ||||||||||||||
| USD | 828,857 | JPY | 90,662,000 | CITI | 9/19/2018 | 5,411 | ||||||||||||||
| USD | 1,243,283 | JPY | 135,993,000 | JPMC | 9/19/2018 | 8,114 | ||||||||||||||
| USD | 563,479 | KRW | 607,219,600 | CITI** | 9/19/2018 | 16,868 | ||||||||||||||
| USD | 845,217 | KRW | 910,829,400 | JPMC** | 9/19/2018 | 25,301 | ||||||||||||||
| USD | 67,470 | NOK | 545,600 | CITI | 9/19/2018 | 266 | ||||||||||||||
| USD | 101,205 | NOK | 818,400 | JPMC | 9/19/2018 | 399 | ||||||||||||||
| USD | 961,338 | NZD | 1,377,600 | CITI | 9/19/2018 | 28,219 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
72
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 1,442,005 | NZD | 2,066,400 | JPMC | 9/19/2018 | $ 42,327 | ||||||||||||||
| USD | 264,256 | PHP | 14,040,000 | CITI** | 9/19/2018 | 2,881 | ||||||||||||||
| USD | 396,384 | PHP | 21,060,000 | JPMC** | 9/19/2018 | 4,322 | ||||||||||||||
| USD | 68,832 | PLN | 251,600 | CITI | 9/19/2018 | 1,575 | ||||||||||||||
| USD | 103,248 | PLN | 377,400 | JPMC | 9/19/2018 | 2,363 | ||||||||||||||
| USD | 3,267,578 | SEK | 28,008,800 | CITI | 9/19/2018 | 121,340 | ||||||||||||||
| USD | 4,901,360 | SEK | 42,013,200 | JPMC | 9/19/2018 | 182,003 | ||||||||||||||
| USD | 43,493 | SGD | 58,400 | CITI | 9/19/2018 | 558 | ||||||||||||||
| USD | 65,240 | SGD | 87,600 | JPMC | 9/19/2018 | 836 | ||||||||||||||
| USD | 46,714 | TRY | 219,200 | CITI | 9/19/2018 | 587 | ||||||||||||||
| USD | 70,071 | TRY | 328,800 | JPMC | 9/19/2018 | 881 | ||||||||||||||
| USD | 328,604 | ZAR | 4,357,200 | CITI | 9/19/2018 | 14,235 | ||||||||||||||
| USD | 492,905 | ZAR | 6,535,800 | JPMC | 9/19/2018 | 21,353 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 794,342 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 463,200 | USD | 349,225 | CITI | 9/19/2018 | (6,352 | ) | |||||||||||||
| AUD | 694,800 | USD | 523,838 | JPMC | 9/19/2018 | (9,528 | ) | |||||||||||||
| BRL | 674,800 | USD | 179,858 | CITI** | 9/19/2018 | (7,175 | ) | |||||||||||||
| BRL | 1,012,200 | USD | 269,787 | JPMC** | 9/19/2018 | (10,763 | ) | |||||||||||||
| CAD | 4,831,200 | USD | 3,784,424 | CITI | 9/19/2018 | (104,552 | ) | |||||||||||||
| CAD | 7,246,800 | USD | 5,676,643 | JPMC | 9/19/2018 | (156,835 | ) | |||||||||||||
| CLP | 257,200,000 | USD | 407,776 | CITI** | 9/20/2018 | (14,156 | ) | |||||||||||||
| CLP | 385,800,000 | USD | 611,664 | JPMC** | 9/20/2018 | (21,235 | ) | |||||||||||||
| CNY | 3,161,200 | USD | 492,689 | CITI** | 9/19/2018 | (17,611 | ) | |||||||||||||
| CNY | 4,741,800 | USD | 739,034 | JPMC** | 9/19/2018 | (26,417 | ) | |||||||||||||
| COP | 216,000,000 | USD | 74,048 | CITI** | 9/19/2018 | (625 | ) | |||||||||||||
| COP | 324,000,000 | USD | 111,073 | JPMC** | 9/19/2018 | (937 | ) | |||||||||||||
| CZK | 174,163 | USD | 7,994 | CITI | 9/19/2018 | (131 | ) | |||||||||||||
| CZK | 261,245 | USD | 11,991 | JPMC | 9/19/2018 | (197 | ) | |||||||||||||
| EUR | 138,800 | USD | 163,714 | CITI | 9/19/2018 | (647 | ) | |||||||||||||
| EUR | 208,200 | USD | 245,571 | JPMC | 9/19/2018 | (971 | ) | |||||||||||||
| GBP | 542,800 | USD | 726,727 | CITI | 9/19/2018 | (7,822 | ) | |||||||||||||
| GBP | 814,200 | USD | 1,090,092 | JPMC | 9/19/2018 | (11,735 | ) | |||||||||||||
| HKD | 1,713,200 | USD | 218,886 | CITI | 9/19/2018 | (230 | ) | |||||||||||||
| HKD | 2,605,800 | USD | 332,924 | JPMC | 9/19/2018 | (344 | ) | |||||||||||||
| HUF | 26,000,000 | USD | 96,144 | CITI | 9/19/2018 | (3,510 | ) | |||||||||||||
| HUF | 39,000,000 | USD | 144,215 | JPMC | 9/19/2018 | (5,265 | ) | |||||||||||||
| IDR | 1,256,000,000 | USD | 88,678 | CITI** | 9/19/2018 | (1,949 | ) | |||||||||||||
| IDR | 1,884,000,000 | USD | 133,018 | JPMC** | 9/19/2018 | (2,924 | ) | |||||||||||||
| INR | 28,800,000 | USD | 420,564 | CITI** | 9/19/2018 | (4,498 | ) | |||||||||||||
| INR | 43,200,000 | USD | 630,837 | JPMC** | 9/19/2018 | (6,738 | ) | |||||||||||||
| JPY | 174,347,600 | USD | 1,603,180 | CITI | 9/19/2018 | (19,651 | ) | |||||||||||||
| JPY | 261,521,400 | USD | 2,404,773 | JPMC | 9/19/2018 | (29,480 | ) | |||||||||||||
| ILS | 72,000 | USD | 20,214 | CITI | 9/20/2018 | (420 | ) | |||||||||||||
| ILS | 108,000 | USD | 30,322 | JPMC | 9/20/2018 | (631 | ) | |||||||||||||
| KRW | 139,426,000 | USD | 129,806 | CITI** | 9/19/2018 | (4,297 | ) | |||||||||||||
| KRW | 209,139,000 | USD | 194,710 | JPMC** | 9/19/2018 | (6,446 | ) | |||||||||||||
| MXN | 9,524,000 | USD | 474,443 | CITI | 9/19/2018 | (850 | ) | |||||||||||||
| MXN | 14,286,000 | USD | 711,666 | JPMC | 9/19/2018 | (1,276 | ) | |||||||||||||
| NOK | 3,756,800 | USD | 468,899 | CITI | 9/19/2018 | (6,157 | ) | |||||||||||||
| NOK | 5,635,200 | USD | 703,350 | JPMC | 9/19/2018 | (9,236 | ) | |||||||||||||
| NZD | 874,400 | USD | 604,890 | CITI | 9/19/2018 | (12,614 | ) | |||||||||||||
| NZD | 1,311,600 | USD | 907,336 | JPMC | 9/19/2018 | (18,922 | ) | |||||||||||||
| PHP | 1,280,000 | USD | 24,191 | CITI** | 9/19/2018 | (362 | ) | |||||||||||||
| PHP | 1,920,000 | USD | 36,287 | JPMC** | 9/19/2018 | (543 | ) | |||||||||||||
| PLN | 452,000 | USD | 124,388 | CITI | 9/19/2018 | (3,560 | ) | |||||||||||||
| PLN | 678,000 | USD | 186,582 | JPMC | 9/19/2018 | (5,341 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
73
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| RUB | 12,400,000 | USD | 198,837 | CITI** | 9/19/2018 | $ (3,010 | ) | |||||||||||||
| RUB | 18,600,000 | USD | 298,256 | JPMC** | 9/19/2018 | (4,515 | ) | |||||||||||||
| SEK | 3,931,600 | USD | 450,293 | CITI | 9/19/2018 | (8,655 | ) | |||||||||||||
| SEK | 5,897,400 | USD | 675,440 | JPMC | 9/19/2018 | (12,983 | ) | |||||||||||||
| SGD | 815,200 | USD | 608,360 | CITI | 9/19/2018 | (9,024 | ) | |||||||||||||
| SGD | 1,222,800 | USD | 912,542 | JPMC | 9/19/2018 | (13,538 | ) | |||||||||||||
| TRY | 154,800 | USD | 32,850 | CITI | 9/19/2018 | (276 | ) | |||||||||||||
| TRY | 232,200 | USD | 49,276 | JPMC | 9/19/2018 | (413 | ) | |||||||||||||
| TWD | 1,720,000 | USD | 57,893 | CITI** | 9/19/2018 | (1,172 | ) | |||||||||||||
| TWD | 2,580,000 | USD | 86,840 | JPMC** | 9/19/2018 | (1,759 | ) | |||||||||||||
| USD | 28,444 | BRL | 112,000 | CITI** | 9/19/2018 | (217 | ) | |||||||||||||
| USD | 42,665 | BRL | 168,000 | JPMC** | 9/19/2018 | (326 | ) | |||||||||||||
| USD | 5,672 | CHF | 5,600 | CITI | 9/19/2018 | (23 | ) | |||||||||||||
| USD | 8,507 | CHF | 8,400 | JPMC | 9/19/2018 | (34 | ) | |||||||||||||
| USD | 829,013 | EUR | 712,000 | CITI | 9/19/2018 | (7,470 | ) | |||||||||||||
| USD | 1,243,517 | EUR | 1,068,000 | JPMC | 9/19/2018 | (11,207 | ) | |||||||||||||
| USD | 32,307 | HKD | 253,200 | CITI | 9/19/2018 | (8 | ) | |||||||||||||
| USD | 48,461 | HKD | 379,800 | JPMC | 9/19/2018 | (13 | ) | |||||||||||||
| USD | 14,193 | HUF | 4,000,000 | CITI | 9/19/2018 | (59 | ) | |||||||||||||
| USD | 21,289 | HUF | 6,000,000 | JPMC | 9/19/2018 | (88 | ) | |||||||||||||
| USD | 48,008 | IDR | 700,000,000 | CITI** | 9/19/2018 | (329 | ) | |||||||||||||
| USD | 72,011 | IDR | 1,050,000,000 | JPMC** | 9/19/2018 | (494 | ) | |||||||||||||
| USD | 242,755 | INR | 16,840,000 | CITI** | 9/19/2018 | (528 | ) | |||||||||||||
| USD | 364,133 | INR | 25,260,000 | JPMC** | 9/19/2018 | (792 | ) | |||||||||||||
| USD | 173,983 | KRW | 194,000,000 | CITI** | 9/19/2018 | (654 | ) | |||||||||||||
| USD | 260,974 | KRW | 291,000,000 | JPMC** | 9/19/2018 | (981 | ) | |||||||||||||
| USD | 296,602 | MXN | 6,106,400 | CITI | 9/19/2018 | (7,046 | ) | |||||||||||||
| USD | 444,903 | MXN | 9,159,600 | JPMC | 9/19/2018 | (10,570 | ) | |||||||||||||
| USD | 5,867 | SGD | 8,000 | CITI | 9/19/2018 | (15 | ) | |||||||||||||
| USD | 8,800 | SGD | 12,000 | JPMC | 9/19/2018 | (22 | ) | |||||||||||||
| USD | 285,678 | TRY | 1,407,200 | CITI | 9/19/2018 | (10,442 | ) | |||||||||||||
| USD | 428,516 | TRY | 2,110,800 | JPMC | 9/19/2018 | (15,664 | ) | |||||||||||||
| USD | 62,134 | ZAR | 868,000 | CITI | 9/19/2018 | (492 | ) | |||||||||||||
| USD | 93,200 | ZAR | 1,302,000 | JPMC | 9/19/2018 | (739 | ) | |||||||||||||
| ZAR | 2,148,800 | USD | 169,611 | CITI | 9/19/2018 | (14,576 | ) | |||||||||||||
| ZAR | 3,223,200 | USD | 254,416 | JPMC | 9/19/2018 | (21,865 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(702,932 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation |
|
$ | 91,410 | |||||||||||||||||
|
|
|
|||||||||||||||||||
** Non-deliverable forward.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
74
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR GLOBAL MACRO FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $1,325,586 | $1,325,586 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 243,676 | — | 243,676 | |||||||||
|
|
||||||||||||
| CRSU | ||||||||||||
| Cash | — | 211,094 | 211,094 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 531,837 | 531,837 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 564,969 | — | 564,969 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 786,748 | — | 786,748 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 89,966 | 89,966 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 50,009 | — | 50,009 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 412,184 | 412,184 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $60,922 | $— | $60,922 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 11,374 | 11,374 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 33,633 | 33,633 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (56,566 | ) | (56,566 | ) | |||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
75
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
76
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
77
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
78
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
79
Table of Contents
| Schedule of Investments | June 30, 2018 (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 $2,146,520,260. |
| (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 June 30, 2018 amounted to $4,193,559, which represents approximately 0.08% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of June 30, 2018. |
| (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, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/18 |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| SHORT-TERM INVESTMENTS - 32.2% | ||||||||||||||||||||||||||||
| INVESTMENT COMPANIES - 32.2% | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $1,703,263,463) |
1,987,905,834 | 3,178,279,748 | (3,462,624,632 | ) | 1,703,560,950 | $1,703,560,950 | $15,216,042 | $(150,077 | ) | $297,487 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Represents 7-day effective yield as of June 30, 2018. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
80
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | All or a portion of the security pledged as collateral for futures contracts. |
| (h) | Represents less than 0.05% of net assets. |
| (i) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $0, which represents approximately 0.00% of net assets of the fund. |
| (j) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
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). |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| MSCI Australia Net Return Index | Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (-0.10%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | AUD | 1,372,758 | $31,464 | ||||||||||||
| MSCI Singapore Index July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | JPMC | 07/30/2018 | SGD | (549,000 | ) | 1,659 | |||||||||||
|
|
|
|||||||||||||||||||
| 33,123 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| MSCI Hong Kong Net Return Index | Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.25%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | HKD | 209,518,591 | (1,449,836 | ) | |||||||||||
| MSCI Italy Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-0.10%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | EUR | 9,381,365 | (206,765 | ) | |||||||||||
| MSCI Italy Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-0.10%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | EUR | 442,945 | (13,564 | ) | |||||||||||
| MSCI Japan Net Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.14%) | Increases in total return of reference entity | Monthly | JPMC | 09/25/2018 | JPY | 7,752,125,222 | (2,220,648 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
81
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| MSCI Netherlands Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (-0.00%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | EUR | 235,161 | $(6,287 | ) | |||||||||||
| MSCI Singapore Net Return Index | Decreases in total return of reference entity and pays the SOR plus or minus a specified spread (0.40%) | Increases in total return of reference entity | Monthly | JPMC | 09/24/2018 | SGD | 7,726,436 | (308,963 | ) | |||||||||||
| MSCI Sweden Net Return Index | Decreases in total return of reference entity and pays the STIBOR plus or minus a specified spread (-0.30%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | SEK | 188,026 | (96 | ) | |||||||||||
| Swiss Market Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 09/21/2018 | CHF | 4,544,750 | (24,464 | ) | |||||||||||
| Swiss Market Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | JPMC | 09/21/2018 | CHF | 63,369,250 | (198,594 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (4,429,217 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(4,396,094 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Long Contracts | ||||||||||||||||||
| Amsterdam Exchange Index | 340 | 7/2018 | EUR | $43,802,777 | $(994,327 | ) | ||||||||||||
| CAC 40 10 Euro Index | 1,621 | 7/2018 | EUR | 100,717,267 | (2,600,294 | ) | ||||||||||||
| Hang Seng Index | 40 | 7/2018 | HKD | 7,322,831 | 6,510 | |||||||||||||
| IBEX 35 Index | 242 | 7/2018 | EUR | 27,135,417 | (526,518 | ) | ||||||||||||
| MSCI Singapore Index | 116 | 7/2018 | SGD | 3,116,037 | 6,443 | |||||||||||||
| OMXS30 Index | 1,917 | 7/2018 | SEK | 33,409,853 | (193,368 | ) | ||||||||||||
| DAX Index | 231 | 9/2018 | EUR | 83,009,078 | (3,523,887 | ) | ||||||||||||
| FTSE 100 Index | 1,544 | 9/2018 | GBP | 154,895,304 | (1,058,528 | ) | ||||||||||||
| FTSE/MIB Index | 62 | 9/2018 | EUR | 7,808,004 | (183,169 | ) | ||||||||||||
| S&P 500 E-Mini Index | 10,558 | 9/2018 | USD | 1,436,732,640 | (32,550,772 | ) | ||||||||||||
| S&P/TSX 60 Index | 560 | 9/2018 | CAD | 82,067,166 | 653,517 | |||||||||||||
| SPI 200 Index | 525 | 9/2018 | AUD | 59,716,482 | 666,118 | |||||||||||||
| TOPIX Index | 861 | 9/2018 | JPY | 134,576,209 | (3,336,475 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| $(43,634,750 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
82
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| CAD | 11,576,000 | USD | 8,801,936 | CITI | 9/19/2018 | $15,375 | ||||||||||||||
| CAD | 17,364,000 | USD | 13,202,921 | JPMC | 9/19/2018 | 23,046 | ||||||||||||||
| CHF | 2,260,084 | USD | 2,293,028 | CITI | 9/19/2018 | 4,965 | ||||||||||||||
| CHF | 3,390,126 | USD | 3,439,547 | JPMC | 9/19/2018 | 7,443 | ||||||||||||||
| DKK | 23,401,377 | USD | 3,656,008 | CITI | 9/19/2018 | 35,202 | ||||||||||||||
| DKK | 35,102,066 | USD | 5,484,019 | JPMC | 9/19/2018 | 52,796 | ||||||||||||||
| EUR | 25,561,987 | USD | 29,886,058 | CITI | 9/19/2018 | 145,059 | ||||||||||||||
| EUR | 38,342,982 | USD | 44,829,144 | JPMC | 9/19/2018 | 217,533 | ||||||||||||||
| NOK | 4,002,151 | USD | 489,764 | CITI | 9/19/2018 | 3,200 | ||||||||||||||
| NOK | 6,003,227 | USD | 734,646 | JPMC | 9/19/2018 | 4,799 | ||||||||||||||
| USD | 1,181,392 | AUD | 1,546,000 | CITI | 9/19/2018 | 36,999 | ||||||||||||||
| USD | 1,772,085 | AUD | 2,319,000 | JPMC | 9/19/2018 | 55,496 | ||||||||||||||
| USD | 229,468 | CAD | 298,400 | CITI | 9/19/2018 | 2,180 | ||||||||||||||
| USD | 344,201 | CAD | 447,600 | JPMC | 9/19/2018 | 3,269 | ||||||||||||||
| USD | 4,666,395 | CHF | 4,576,800 | CITI | 9/19/2018 | 12,826 | ||||||||||||||
| USD | 6,999,583 | CHF | 6,865,200 | JPMC | 9/19/2018 | 19,231 | ||||||||||||||
| USD | 9,233,896 | EUR | 7,815,600 | CITI | 9/19/2018 | 51,855 | ||||||||||||||
| USD | 13,850,827 | EUR | 11,723,400 | JPMC | 9/19/2018 | 77,767 | ||||||||||||||
| USD | 7,773,648 | GBP | 5,820,800 | CITI | 9/19/2018 | 64,366 | ||||||||||||||
| USD | 11,662,515 | GBP | 8,731,200 | JPMC | 9/19/2018 | 98,591 | ||||||||||||||
| USD | 321,741 | HKD | 2,519,200 | CITI | 9/19/2018 | 215 | ||||||||||||||
| USD | 482,611 | HKD | 3,778,800 | JPMC | 9/19/2018 | 322 | ||||||||||||||
| USD | 14,090,563 | JPY | 1,539,298,800 | CITI | 9/19/2018 | 109,739 | ||||||||||||||
| USD | 21,135,819 | JPY | 2,308,948,200 | JPMC | 9/19/2018 | 164,582 | ||||||||||||||
| USD | 607,974 | NOK | 4,904,800 | CITI | 9/19/2018 | 3,827 | ||||||||||||||
| USD | 911,960 | NOK | 7,357,200 | JPMC | 9/19/2018 | 5,739 | ||||||||||||||
| USD | 342,663 | NZD | 497,200 | CITI | 9/19/2018 | 5,884 | ||||||||||||||
| USD | 513,994 | NZD | 745,800 | JPMC | 9/19/2018 | 8,826 | ||||||||||||||
| USD | 587,996 | SEK | 5,124,400 | CITI | 9/19/2018 | 12,370 | ||||||||||||||
| USD | 881,993 | SEK | 7,686,600 | JPMC | 9/19/2018 | 18,554 | ||||||||||||||
| USD | 1,430,887 | SGD | 1,935,200 | CITI | 9/19/2018 | 8,126 | ||||||||||||||
| USD | 2,146,328 | SGD | 2,902,800 | JPMC | 9/19/2018 | 12,186 | ||||||||||||||
| USD | 81,104 | ILS | 287,600 | CITI | 9/20/2018 | 2,038 | ||||||||||||||
| USD | 121,655 | ILS | 431,400 | JPMC | 9/20/2018 | 3,057 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 1,287,463 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 39,798,400 | USD | 30,148,117 | CITI | 9/19/2018 | (688,229 | ) | |||||||||||||
| AUD | 59,697,600 | USD | 45,222,233 | JPMC | 9/19/2018 | (1,032,399 | ) | |||||||||||||
| CAD | 35,532,166 | USD | 27,505,346 | CITI | 9/19/2018 | (440,886 | ) | |||||||||||||
| CAD | 53,298,244 | USD | 41,258,067 | JPMC | 9/19/2018 | (661,385 | ) | |||||||||||||
| CHF | 14,716,548 | USD | 15,046,565 | CITI | 9/19/2018 | (83,172 | ) | |||||||||||||
| CHF | 22,074,824 | USD | 22,569,878 | JPMC | 9/19/2018 | (124,786 | ) | |||||||||||||
| EUR | 91,448,364 | USD | 107,974,752 | CITI | 9/19/2018 | (538,014 | ) | |||||||||||||
| EUR | 137,172,547 | USD | 161,962,332 | JPMC | 9/19/2018 | (807,223 | ) | |||||||||||||
| GBP | 58,584,400 | USD | 78,681,159 | CITI | 9/19/2018 | (1,089,815 | ) | |||||||||||||
| GBP | 87,876,601 | USD | 118,021,888 | JPMC | 9/19/2018 | (1,634,873 | ) | |||||||||||||
| HKD | 128,774,800 | USD | 16,448,547 | CITI | 9/19/2018 | (12,980 | ) | |||||||||||||
| HKD | 193,162,200 | USD | 24,672,851 | JPMC | 9/19/2018 | (19,499 | ) | |||||||||||||
| JPY | 12,070,191,600 | USD | 111,101,224 | CITI | 9/19/2018 | (1,472,586 | ) | |||||||||||||
| JPY | 18,105,287,401 | USD | 166,652,044 | JPMC | 9/19/2018 | (2,209,085 | ) | |||||||||||||
| NOK | 12,006,455 | USD | 1,488,689 | CITI | 9/19/2018 | (9,798 | ) | |||||||||||||
| NOK | 18,009,682 | USD | 2,233,036 | JPMC | 9/19/2018 | (14,699 | ) | |||||||||||||
| NZD | 1,305,600 | USD | 908,298 | CITI | 9/19/2018 | (23,949 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
83
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| NZD | 1,958,399 | USD | 1,362,448 | JPMC | 9/19/2018 | $ (35,925 | ) | |||||||||||||
| SEK | 130,541,502 | USD | 15,024,454 | CITI | 9/19/2018 | (360,683 | ) | |||||||||||||
| SEK | 195,812,260 | USD | 22,536,709 | JPMC | 9/19/2018 | (541,053 | ) | |||||||||||||
| SGD | 12,656,686 | USD | 9,449,957 | CITI | 9/19/2018 | (144,747 | ) | |||||||||||||
| SGD | 18,985,029 | USD | 14,174,953 | JPMC | 9/19/2018 | (217,137 | ) | |||||||||||||
| USD | 663,985 | AUD | 897,600 | CITI | 9/19/2018 | (443 | ) | |||||||||||||
| USD | 995,977 | AUD | 1,346,400 | JPMC | 9/19/2018 | (666 | ) | |||||||||||||
| USD | 5,964,371 | CAD | 7,909,600 | CITI | 9/19/2018 | (60,284 | ) | |||||||||||||
| USD | 8,946,546 | CAD | 11,864,400 | JPMC | 9/19/2018 | (90,436 | ) | |||||||||||||
| USD | 1,041,959 | DKK | 6,617,200 | CITI | 9/19/2018 | (1,803 | ) | |||||||||||||
| USD | 1,562,937 | DKK | 9,925,800 | JPMC | 9/19/2018 | (2,707 | ) | |||||||||||||
| USD | 23,067,523 | EUR | 19,660,400 | CITI | 9/19/2018 | (30,202 | ) | |||||||||||||
| USD | 34,601,242 | EUR | 29,490,600 | JPMC | 9/19/2018 | (45,347 | ) | |||||||||||||
| USD | 2,035,621 | HKD | 15,955,200 | CITI | 9/19/2018 | (746 | ) | |||||||||||||
| USD | 3,053,428 | HKD | 23,932,800 | JPMC | 9/19/2018 | (1,123 | ) | |||||||||||||
| USD | 124,788 | SGD | 170,400 | CITI | 9/19/2018 | (491 | ) | |||||||||||||
| USD | 187,181 | SGD | 255,600 | JPMC | 9/19/2018 | (736 | ) | |||||||||||||
| ILS | 8,015,996 | USD | 2,262,074 | CITI | 9/20/2018 | (58,355 | ) | |||||||||||||
| ILS | 12,024,004 | USD | 3,393,117 | JPMC | 9/20/2018 | (87,537 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(12,543,799 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
|
$(11,256,336 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
84
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
Total Return Basket Swaps Outstanding at June 30, 2018
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-2.67%), which is denominated in USD based on the local currencies of the positions within the swap. | 12-25 months maturity ranging from 07/01/2019 – 06/17/2020 | $16,034,453 | $(16,034,444 | ) | $(1,321 | ) | $(16,035,765 | ) | |||||||||
|
|
|
|||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.25% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | 62-111 months maturity ranging from 05/18/2022 – 08/19/2022 | $730,903,362 | $(23,256,316 | ) | $4,173,507 | $(19,082,809 | ) | ||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| BHP Billiton plc | 1,828,059 | $ | 41,026,093 | $ | 5,250,154 | (27.5 | )% | |||||||||
| Rio Tinto plc | 911,788 | 50,256,397 | 3,983,941 | (20.9 | ) | |||||||||||
| Chile | ||||||||||||||||
| Antofagasta plc | 1,703,641 | 22,134,055 | 184,620 | (1.0 | ) | |||||||||||
| Russia | ||||||||||||||||
| Evraz plc | 1,173,601 | 7,833,114 | 946,627 | (5.0 | ) | |||||||||||
| South Africa | ||||||||||||||||
| Anglo American plc | 985,258 | 21,873,644 | (933,394 | ) | 4.9 | |||||||||||
| Investec plc | 680,382 | 4,810,810 | (337,460 | ) | 1.8 | |||||||||||
| Switzerland | ||||||||||||||||
| Coca-Cola HBC AG | 262,473 | 8,736,317 | 1,265,872 | (6.6 | ) | |||||||||||
| United Kingdom | ||||||||||||||||
| Barratt Developments plc | 1,981,410 | 13,431,803 | (1,315,408 | ) | 6.9 | |||||||||||
| Bellway plc | 243,794 | 9,631,271 | (346,890 | ) | 1.8 | |||||||||||
| BP plc | 1,769,854 | 13,465,964 | 181,899 | (1.0 | ) | |||||||||||
| BT Group plc | 6,529,645 | 18,731,891 | (5,663,309 | ) | 29.7 | |||||||||||
| Burberry Group plc | 504,712 | 14,344,191 | 752,548 | (3.9 | ) | |||||||||||
| Close Brothers Group plc | 266,639 | 5,205,281 | (76,764 | ) | 0.4 | |||||||||||
| Inchcape plc | 856,674 | 8,807,049 | 537,343 | (2.8 | ) | |||||||||||
| Man Group plc | 2,480,026 | 5,748,984 | (143,658 | ) | 0.8 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
85
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United Kingdom (continued) | ||||||||||||||||
| Moneysupermarket.com Group plc | 1,060,525 | $ | 4,402,226 | $ | 162,737 | (0.9 | ) % | |||||||||
| Persimmon plc | 173,519 | 5,779,864 | (60,042 | ) | 0.3 | |||||||||||
| Royal Mail plc | 1,387,737 | 9,232,507 | 970,562 | (5.1 | ) | |||||||||||
| Smith & Nephew plc | 1,052,275 | 19,383,231 | 1,011,587 | (5.3 | ) | |||||||||||
| Standard Life Aberdeen plc | 2,850,240 | 12,205,198 | (3,022,833 | ) | 15.8 | |||||||||||
| Tate & Lyle plc | 584,785 | 4,976,729 | (639,172 | ) | 3.3 | |||||||||||
| Taylor Wimpey plc | 4,532,201 | 10,668,902 | (660,451 | ) | 3.5 | |||||||||||
| Thomas Cook Group plc | 3,652,465 | 5,175,763 | (451,131 | ) | 2.4 | |||||||||||
| William Hill plc | 2,139,108 | 8,543,539 | (262,883 | ) | 1.4 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United Kingdom | ||||||||||||||||
| ASOS plc | (64,876 | ) | (5,203,891 | ) | 138,071 | (0.7 | ) | |||||||||
| Auto Trader Group plc | (1,722,495 | ) | (9,653,542 | ) | (1,742,192 | ) | 9.1 | |||||||||
| Babcock International Group plc | (1,120,811 | ) | (12,042,516 | ) | (1,858,187 | ) | 9.7 | |||||||||
| Balfour Beatty plc | (1,448,832 | ) | (5,407,570 | ) | (164,379 | ) | 0.9 | |||||||||
| British American Tobacco plc | (410,795 | ) | (20,693,134 | ) | 1,431,752 | (7.5 | ) | |||||||||
| Capita plc | (2,319,452 | ) | (4,875,176 | ) | 389,145 | (2.0 | ) | |||||||||
| Cobham plc | (3,170,971 | ) | (5,361,872 | ) | 37,043 | (0.2 | ) | |||||||||
| ConvaTec Group plc | (4,813,025 | ) | (13,436,795 | ) | 547,305 | (2.9 | ) | |||||||||
| Hargreaves Lansdown plc | (341,878 | ) | (8,862,063 | ) | (2,964,322 | ) | 15.5 | |||||||||
| Inmarsat plc | (2,397,900 | ) | (17,339,604 | ) | (177,397 | ) | 0.9 | |||||||||
| J Sainsbury plc | (3,488,770 | ) | (14,763,673 | ) | (2,855,496 | ) | 15.0 | |||||||||
| John Wood Group plc | (3,199,972 | ) | (26,425,365 | ) | 635,190 | (3.3 | ) | |||||||||
| Johnson Matthey plc | (153,862 | ) | (7,326,372 | ) | (952,387 | ) | 5.0 | |||||||||
| Merlin Entertainments plc | (2,221,336 | ) | (11,325,907 | ) | (435,166 | ) | 2.3 | |||||||||
| Micro Focus International plc | (1,429,421 | ) | (24,802,347 | ) | (1,146,217 | ) | 6.0 | |||||||||
| National Grid plc | (1,062,200 | ) | (11,738,442 | ) | (210,196 | ) | 1.1 | |||||||||
| Pennon Group plc | (678,347 | ) | (7,094,180 | ) | (1,254,785 | ) | 6.6 | |||||||||
| Reckitt Benckiser Group plc | (300,207 | ) | (24,666,457 | ) | (1,696,106 | ) | 8.9 | |||||||||
| Rightmove plc | (65,460 | ) | (4,575,814 | ) | (869,017 | ) | 4.6 | |||||||||
| Rotork plc | (1,055,484 | ) | (4,648,513 | ) | (1,246,451 | ) | 6.5 | |||||||||
| Severn Trent plc | (313,810 | ) | (8,182,210 | ) | (126,220 | ) | 0.7 | |||||||||
| Tesco plc | (12,594,466 | ) | (42,614,585 | ) | (9,562,457 | ) | 50.1 | |||||||||
| United Utilities Group plc | (842,569 | ) | (8,470,591 | ) | (685,298 | ) | 3.6 | |||||||||
| Weir Group plc (The) | (431,193 | ) | (11,324,096 | ) | (112,306 | ) | 0.6 | |||||||||
| Wm Morrison Supermarkets plc | (3,157,672 | ) | (10,473,999 | ) | (1,172,500 | ) | 6.1 | |||||||||
| WPP plc | (527,419 | ) | (8,286,586 | ) | (92,042 | ) | 0.5 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
86
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (-0.20% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 61 months maturity 01/19/2022 | $89,317,958 | $3,180,931 | $(611,516 | ) | $2,569,415 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Hong Kong | ||||||||||||||||
| Chow Tai Fook Jewellery Group Ltd. | 3,667,800 | $ | 4,125,106 | $ | 144,182 | 5.6 | % | |||||||||
| Henderson Land Development Co. Ltd. | 347,600 | 1,832,991 | (152,042 | ) | (5.9 | ) | ||||||||||
| Kerry Properties Ltd. | 1,301,000 | 6,217,391 | 2,020,425 | 78.6 | ||||||||||||
| Li & Fung Ltd. | 2,560,000 | 937,684 | (42,570 | ) | (1.7 | ) | ||||||||||
| Melco International Development Ltd. | 4,322,000 | 13,258,178 | 1,531,949 | 59.6 | ||||||||||||
| New World Development Co. Ltd. | 631,000 | 882,712 | (18,065 | ) | (0.7 | ) | ||||||||||
| Sino Land Co. Ltd. | 1,652,000 | 2,684,454 | (47,040 | ) | (1.8 | ) | ||||||||||
| SJM Holdings Ltd. | 989,000 | 1,226,589 | (88,331 | ) | (3.4 | ) | ||||||||||
| Sun Hung Kai Properties Ltd. | 26,000 | 391,714 | (1,370 | ) | (0.1 | ) | ||||||||||
| Swire Properties Ltd. | 253,600 | 935,268 | 150,841 | 5.9 | ||||||||||||
| WH Group Ltd. | 3,257,500 | 2,635,926 | 25,192 | 1.0 | ||||||||||||
| Wharf Holdings Ltd. (The) | 71,000 | 227,365 | (1,809 | ) | (0.1 | ) | ||||||||||
| Wheelock & Co. Ltd. | 352,000 | 2,446,235 | 331,965 | 12.9 | ||||||||||||
| Yue Yuen Industrial Holdings Ltd. | 871,000 | 2,455,059 | (272,133 | ) | (10.6 | ) | ||||||||||
| Macau | ||||||||||||||||
| MGM China Holdings Ltd. | 98,400 | 227,524 | 2,806 | 0.1 | ||||||||||||
| Wynn Macau Ltd. | 1,187,200 | 3,804,554 | (622,593 | ) | (24.2 | ) | ||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| China | ||||||||||||||||
| Guotai Junan International Holdings Ltd. | (3,025,000 | ) | (651,991 | ) | 366,515 | 14.3 | ||||||||||
| Minth Group Ltd. | (1,144,000 | ) | (4,838,790 | ) | 542,119 | 21.1 | ||||||||||
| Hong Kong | ||||||||||||||||
| AIA Group Ltd. | (1,019,400 | ) | (8,880,413 | ) | 107,691 | 4.2 | ||||||||||
| ASM Pacific Technology Ltd. | (655,700 | ) | (8,264,134 | ) | 975,322 | 38.0 | ||||||||||
| CK Hutchison Holdings Ltd. | (43,500 | ) | (460,492 | ) | 44,983 | 1.8 | ||||||||||
| Haitong International Securities Group Ltd. | (1,464,219 | ) | (665,129 | ) | 45,277 | 1.8 | ||||||||||
| Hong Kong & China Gas Co. Ltd. | (3,427,177 | ) | (6,551,165 | ) | (1,529,317 | ) | (59.5 | ) | ||||||||
| Hysan Development Co. Ltd. | (133,000 | ) | (742,338 | ) | (77,925 | ) | (3.0 | ) | ||||||||
| MTR Corp. Ltd. | (2,003,204 | ) | (11,064,992 | ) | (473,706 | ) | (18.4 | ) | ||||||||
| Techtronic Industries Co. Ltd. | (223,500 | ) | (1,241,295 | ) | 8,313 | 0.3 | ||||||||||
| Value Partners Group Ltd. | (933,000 | ) | (733,609 | ) | 123,670 | 4.8 | ||||||||||
| United States | ||||||||||||||||
| Samsonite International SA | (265,200 | ) | (934,860 | ) | 86,582 | 3.4 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
87
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (-0.03% to 0.03%), which is denominated in AUD based on the local currencies of the positions within the swap. | 61 months maturity 09/21/2021 | $179,158,054 | $(1,778,641 | ) | $(254,415 | ) | $(2,033,056 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| Adelaide Brighton Ltd. | 235,071 | $ | 1,207,406 | $ | 227,052 | (11.2 | )% | |||||||||
| AGL Energy Ltd. | 195,591 | 3,254,394 | (129,089 | ) | 6.3 | |||||||||||
| Alumina Ltd. | 952,858 | 1,971,830 | 188,585 | (9.3 | ) | |||||||||||
| Aurizon Holdings Ltd. | 1,933,821 | 6,184,245 | (526,077 | ) | 25.9 | |||||||||||
| BlueScope Steel Ltd. | 283,276 | 3,615,330 | 105,080 | (5.2 | ) | |||||||||||
| Caltex Australia Ltd. | 122,109 | 2,938,645 | 27,031 | (1.3 | ) | |||||||||||
| CIMIC Group Ltd. | 226,374 | 7,076,513 | 1,637,595 | (80.5 | ) | |||||||||||
| Coca-Cola Amatil Ltd. | 172,899 | 1,175,999 | 30,416 | (1.5 | ) | |||||||||||
| Fortescue Metals Group Ltd. | 1,323,832 | 4,298,448 | (667,038 | ) | 32.8 | |||||||||||
| Harvey Norman Holdings Ltd. | 335,083 | 823,207 | (231,370 | ) | 11.4 | |||||||||||
| Iluka Resources Ltd. | 141,077 | 1,165,269 | (46,652 | ) | 2.3 | |||||||||||
| Newcrest Mining Ltd. | 1,165,999 | 18,932,492 | 81,796 | (4.0 | ) | |||||||||||
| Oil Search Ltd. | 27,065 | 177,816 | 371 | (0.0 | ) | |||||||||||
| Orica Ltd. | 205,464 | 2,697,421 | (347,067 | ) | 17.1 | |||||||||||
| Origin Energy Ltd. | 1,018,810 | 7,556,667 | 1,408,508 | (69.3 | ) | |||||||||||
| Qantas Airways Ltd. | 404,601 | 1,842,391 | 216,187 | (10.6 | ) | |||||||||||
| Santos Ltd. | 44,646 | 206,785 | (119 | ) | 0.0 | |||||||||||
| South32 Ltd. | 4,327,049 | 11,554,625 | 933,867 | (45.9 | ) | |||||||||||
| Woodside Petroleum Ltd. | 680,705 | 17,838,889 | 2,677,490 | (131.7 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| AMP Ltd. | (1,680,498 | ) | (4,420,049 | ) | 1,915,262 | (94.2 | ) | |||||||||
| APA Group | (1,347,646 | ) | (9,818,173 | ) | (1,473,069 | ) | 72.5 | |||||||||
| AusNet Services | (907,960 | ) | (1,078,388 | ) | 18,501 | (0.9 | ) | |||||||||
| Challenger Ltd. | (532,320 | ) | (4,658,467 | ) | 184,574 | (9.1 | ) | |||||||||
| Computershare Ltd. | (135,821 | ) | (1,850,217 | ) | (79,274 | ) | 3.9 | |||||||||
| CSL Ltd. | (84,580 | ) | (12,039,383 | ) | (2,080,192 | ) | 102.3 | |||||||||
| Domino’s Pizza Enterprises Ltd. | (43,528 | ) | (1,681,076 | ) | (188,673 | ) | 9.3 | |||||||||
| Healthscope Ltd. | (5,321,301 | ) | (8,682,782 | ) | (1,447,325 | ) | 71.2 | |||||||||
| QBE Insurance Group Ltd. | (146,142 | ) | (1,052,113 | ) | (28,117 | ) | 1.4 | |||||||||
| Ramsay Health Care Ltd. | (65,605 | ) | (2,619,817 | ) | 546,881 | (26.9 | ) | |||||||||
| REA Group Ltd. | (104,626 | ) | (7,021,554 | ) | (2,478,283 | ) | 121.9 | |||||||||
| SEEK Ltd. | (948,723 | ) | (15,288,770 | ) | (3,357,460 | ) | 165.1 | |||||||||
| Sonic Healthcare Ltd. | (42,394 | ) | (769,030 | ) | (15,623 | ) | 0.8 | |||||||||
| TPG Telecom Ltd. | (1,673,945 | ) | (6,398,707 | ) | 464,353 | (22.8 | ) | |||||||||
| Transurban Group | (261,736 | ) | (2,317,754 | ) | (143,806 | ) | 7.1 | |||||||||
| Vocus Group Ltd. | (2,895,483 | ) | (4,943,402 | ) | 797,044 | (39.2 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
88
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.65% to 0.04%), which is denominated in JPY based on the local currencies of the positions within the swap. | 99 months maturity 08/20/2021 | $1,614,269,321 | $(28,651,565 | ) | $(2,222,740 | ) | $(30,874,305 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| ANA Holdings, Inc. | 299,700 | $ | 10,996,802 | $ | (615,999 | ) | 2.0 | % | ||||||||
| Astellas Pharma, Inc. | 2,030,700 | 30,904,377 | 2,415,806 | (7.8 | ) | |||||||||||
| Bandai Namco Holdings, Inc. | 486,000 | 20,019,074 | 5,027,658 | (16.3 | ) | |||||||||||
| Haseko Corp. | 1,493,500 | 20,585,064 | 2,516,037 | (8.1 | ) | |||||||||||
| Hitachi Ltd. | 4,573,000 | 32,216,710 | (344,985 | ) | 1.1 | |||||||||||
| Idemitsu Kosan Co. Ltd. | 615,500 | 21,888,171 | 4,016,564 | (13.0 | ) | |||||||||||
| Inpex Corp. | 2,596,100 | 26,962,790 | (1,698,491 | ) | 5.5 | |||||||||||
| Japan Airlines Co. Ltd. | 951,700 | 33,719,754 | (592,058 | ) | 1.9 | |||||||||||
| JFE Holdings, Inc. | 764,100 | 14,432,095 | (1,969,259 | ) | 6.4 | |||||||||||
| JXTG Holdings, Inc. | 8,864,000 | 61,496,463 | 11,610,442 | (37.6 | ) | |||||||||||
| Kajima Corp. | 2,845,000 | 21,982,347 | (3,026,387 | ) | 9.8 | |||||||||||
| Marubeni Corp. | 1,930,400 | 14,696,883 | 2,026,923 | (6.6 | ) | |||||||||||
| Matsumotokiyoshi Holdings Co. Ltd. | 372,700 | 16,724,472 | 4,600,077 | (14.9 | ) | |||||||||||
| Mitsubishi Gas Chemical Co., Inc. | 494,200 | 11,167,783 | 1,389,951 | (4.5 | ) | |||||||||||
| Nexon Co. Ltd. | 1,242,400 | 18,026,437 | 1,947,048 | (6.3 | ) | |||||||||||
| Nippon Telegraph & Telephone Corp. | 630,900 | 28,660,534 | (1,180,178 | ) | 3.8 | |||||||||||
| Obayashi Corp. | 1,850,700 | 19,216,600 | (2,202,932 | ) | 7.1 | |||||||||||
| Oriental Land Co. Ltd. | 104,700 | 10,977,447 | 1,029,936 | (3.3 | ) | |||||||||||
| Pola Orbis Holdings, Inc. | 290,500 | 12,766,171 | 4,002,429 | (13.0 | ) | |||||||||||
| Sega Sammy Holdings, Inc. | 768,800 | 13,158,375 | 2,329,280 | (7.5 | ) | |||||||||||
| Square Enix Holdings Co. Ltd. | 561,000 | 27,507,014 | 9,429,328 | (30.5 | ) | |||||||||||
| Taisei Corp. | 694,400 | 38,240,228 | 5,245,335 | (17.0 | ) | |||||||||||
| Tosoh Corp. | 1,124,700 | 17,390,320 | (5,206,792 | ) | 16.9 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| Aeon Co. Ltd. | (1,168,100 | ) | (24,988,277 | ) | (8,403,295 | ) | 27.2 | |||||||||
| Asics Corp. | (858,900 | ) | (14,499,180 | ) | 122,092 | (0.4 | ) | |||||||||
| Calbee, Inc. | (498,200 | ) | (18,741,086 | ) | (1,244,555 | ) | 4.0 | |||||||||
| Dai-ichi Life Holdings, Inc. | (674,600 | ) | (12,006,293 | ) | 476,010 | (1.5 | ) | |||||||||
| FamilyMart UNY Holdings Co. Ltd. | (234,000 | ) | (24,641,235 | ) | (11,643,933 | ) | 37.7 | |||||||||
| Fast Retailing Co. Ltd. | (33,800 | ) | (15,491,747 | ) | (4,066,358 | ) | 13.2 | |||||||||
| Isetan Mitsukoshi Holdings Ltd. | (1,484,300 | ) | (18,517,972 | ) | (2,893,033 | ) | 9.4 | |||||||||
| Kakaku.com, Inc. | (608,600 | ) | (13,704,441 | ) | (4,923,284 | ) | 15.9 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
89
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Japan (continued) | ||||||||||||||||
| Kikkoman Corp. | (273,000 | ) | $ | (13,783,400 | ) | $ | (4,788,769 | ) | 15.5 | % | ||||||
| Marui Group Co. Ltd. | (1,292,000 | ) | (27,177,323 | ) | (7,899,921 | ) | 25.6 | |||||||||
| Murata Manufacturing Co. Ltd. | (93,500 | ) | (15,696,445 | ) | (2,864,832 | ) | 9.3 | |||||||||
| NGK Spark Plug Co. Ltd. | (620,100 | ) | (17,628,681 | ) | (4,177,186 | ) | 13.5 | |||||||||
| Nidec Corp. | (83,600 | ) | (12,505,697 | ) | (1,510,319 | ) | 4.9 | |||||||||
| Nippon Paint Holdings Co. Ltd. | (506,700 | ) | (21,790,703 | ) | (4,457,266 | ) | 14.4 | |||||||||
| Odakyu Electric Railway Co. Ltd. | (512,700 | ) | (10,995,335 | ) | (490,558 | ) | 1.6 | |||||||||
| Ricoh Co. Ltd. | (3,611,900 | ) | (33,076,816 | ) | 67,399 | (0.2 | ) | |||||||||
| Shimano, Inc. | (161,400 | ) | (23,684,587 | ) | (265,458 | ) | 0.9 | |||||||||
| SoftBank Group Corp. | (438,600 | ) | (31,319,615 | ) | 3,061,906 | (9.9 | ) | |||||||||
| Sony Financial Holdings, Inc. | (946,100 | ) | (18,026,139 | ) | (2,548,384 | ) | 8.3 | |||||||||
| Sysmex Corp. | (137,300 | ) | (12,792,883 | ) | (4,225,542 | ) | 13.7 | |||||||||
| T&D Holdings, Inc. | (1,950,500 | ) | (29,253,733 | ) | 1,634,562 | (5.3 | ) | |||||||||
| TDK Corp. | (301,400 | ) | (30,689,406 | ) | (3,781,915 | ) | 12.2 | |||||||||
| Tokio Marine Holdings, Inc. | (381,600 | ) | (17,852,487 | ) | (91,503 | ) | 0.3 | |||||||||
| Toray Industries, Inc. | (1,510,000 | ) | (11,918,223 | ) | 1,866,300 | (6.0 | ) | |||||||||
| Toyota Motor Corp. | (281,700 | ) | (18,217,254 | ) | 370,621 | (1.2 | ) | |||||||||
| Yamato Holdings Co. Ltd. | (836,100 | ) | (24,608,642 | ) | (6,544,649 | ) | 21.2 | |||||||||
| Yaskawa Electric Corp. | (575,200 | ) | (20,255,729 | ) | 4,469,658 | (14.5 | ) | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread (-0.20% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | 59-61 months maturity ranging from 04/19/2023 - 06/30/2023 | $5,559,693,672 | $(169,703,296 | ) | $(27,009,675 | ) | $(196,712,971 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Adobe Systems, Inc. | 186,269 | $ | 45,414,245 | $ | 1,906,284 | (1.0 | )% | |||||||||
| Aflac, Inc. | 1,106,454 | 47,599,651 | (2,411,319 | ) | 1.2 | |||||||||||
| Allstate Corp. (The) | 687,410 | 62,739,911 | (4,365,901 | ) | 2.2 | |||||||||||
| Amazon.com, Inc. | 22,222 | 37,772,956 | 1,866,512 | (0.9 | ) | |||||||||||
| Ameriprise Financial, Inc. | 249,601 | 34,914,188 | (1,045,828 | ) | 0.5 | |||||||||||
| Applied Materials, Inc. | 759,828 | 35,096,455 | (8,080,577 | ) | 4.1 | |||||||||||
| Brunswick Corp. | 512,044 | 33,016,597 | 1,449,085 | (0.7 | ) | |||||||||||
| Consolidated Edison, Inc. | 544,669 | 42,473,289 | (122,384 | ) | 0.1 | |||||||||||
| Constellation Brands, Inc. | 167,926 | 36,753,964 | (2,104,113 | ) | 1.1 | |||||||||||
| DR Horton, Inc. | 745,660 | 30,572,060 | (3,133,375 | ) | 1.6 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
90
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| Electronic Arts, Inc. | 304,692 | $ | 42,967,666 | $ | 4,944,459 | (2.5 | ) % | |||||||||
| Exelon Corp. | 2,008,919 | 85,579,949 | 7,091,484 | (3.6 | ) | |||||||||||
| Facebook, Inc. | 274,086 | 53,260,392 | 3,849,648 | (2.0 | ) | |||||||||||
| FedEx Corp. | 159,633 | 36,246,269 | (4,125,993 | ) | 2.1 | |||||||||||
| IAC/InterActiveCorp | 204,369 | 31,164,229 | (2,066,171 | ) | 1.1 | |||||||||||
| International Business Machines Corp. | 406,732 | 56,820,460 | (8,063,473 | ) | 4.1 | |||||||||||
| Lear Corp. | 291,659 | 54,193,159 | (3,461,992 | ) | 1.8 | |||||||||||
| Lululemon Athletica, Inc. | 241,694 | 30,175,496 | 6,775,246 | (3.4 | ) | |||||||||||
| LyondellBasell Industries NV | 680,725 | 74,777,641 | 2,186,660 | (1.1 | ) | |||||||||||
| Michael Kors Holdings Ltd. | 449,066 | 29,907,796 | (107,776 | ) | 0.1 | |||||||||||
| Micron Technology, Inc. | 806,617 | 42,298,995 | (2,570,834 | ) | 1.3 | |||||||||||
| Microsoft Corp. | 338,733 | 33,402,461 | 860,382 | (0.4 | ) | |||||||||||
| NVR, Inc. | 11,887 | 35,308,550 | (967,626 | ) | 0.5 | |||||||||||
| Oracle Corp. | 720,666 | 31,752,544 | (1,873,732 | ) | 1.0 | |||||||||||
| Skyworks Solutions, Inc. | 501,516 | 48,471,521 | (1,279,952 | ) | 0.7 | |||||||||||
| Texas Instruments, Inc. | 300,895 | 33,173,674 | 990,388 | (0.5 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Advanced Micro Devices, Inc. | (3,054,530 | ) | (45,787,405 | ) | (13,653,749 | ) | 6.9 | |||||||||
| Albemarle Corp. | (654,477 | ) | (61,736,815 | ) | 1,505,297 | (0.8 | ) | |||||||||
| American Airlines Group, Inc. | (1,378,245 | ) | (52,318,180 | ) | 8,783,645 | (4.5 | ) | |||||||||
| Atlassian Corp. plc | (492,580 | ) | (30,796,102 | ) | (229,350 | ) | 0.1 | |||||||||
| Bank of the Ozarks, Inc. | (706,981 | ) | (31,842,424 | ) | 789,620 | (0.4 | ) | |||||||||
| CarMax, Inc. | (569,652 | ) | (41,510,541 | ) | (5,635,009 | ) | 2.9 | |||||||||
| CenturyLink, Inc. | (2,835,477 | ) | (52,853,291 | ) | (2,239,979 | ) | 1.1 | |||||||||
| Dunkin’ Brands Group, Inc. | (494,080 | ) | (34,126,106 | ) | (4,201,360 | ) | 2.1 | |||||||||
| First Data Corp. | (2,654,165 | ) | (55,551,673 | ) | (14,911,034 | ) | 7.6 | |||||||||
| FirstEnergy Corp. | (2,017,687 | ) | (72,455,140 | ) | (1,715,034 | ) | 0.9 | |||||||||
| Gartner, Inc. | (354,965 | ) | (47,174,848 | ) | (5,331,773 | ) | 2.7 | |||||||||
| Global Payments, Inc. | (317,558 | ) | (35,404,541 | ) | 163,506 | (0.1 | ) | |||||||||
| IHS Markit Ltd. | (814,685 | ) | (42,029,599 | ) | (1,994,424 | ) | 1.0 | |||||||||
| Kraft Heinz Co. (The) | (1,049,313 | ) | (65,917,843 | ) | (4,068,585 | ) | 2.1 | |||||||||
| Macquarie Infrastructure Corp. | (935,648 | ) | (39,484,346 | ) | (2,554,319 | ) | 1.3 | |||||||||
| Post Holdings, Inc. | (548,487 | ) | (47,180,852 | ) | (3,137,346 | ) | 1.6 | |||||||||
| PPL Corp. | (2,073,770 | ) | (59,206,133 | ) | (821,966 | ) | 0.4 | |||||||||
| Sempra Energy | (264,591 | ) | (30,721,661 | ) | (1,049,879 | ) | 0.5 | |||||||||
| Square, Inc. | (509,472 | ) | (31,403,854 | ) | (5,661,440 | ) | 2.9 | |||||||||
| Ultimate Software Group, Inc. (The) | (122,233 | ) | (31,451,773 | ) | (1,014,534 | ) | 0.5 | |||||||||
| Uniti Group, Inc. | (2,231,103 | ) | (44,688,993 | ) | (7,518,817 | ) | 3.8 | |||||||||
| VEREIT, Inc. | (8,512,359 | ) | (63,331,951 | ) | (4,679,552 | ) | 2.4 | |||||||||
| Workday, Inc. | (254,210 | ) | (30,789,915 | ) | 2,910,705 | (1.5 | ) | |||||||||
| Zayo Group Holdings, Inc. | (927,077 | ) | (33,819,769 | ) | (55,625 | ) | 0.0 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
91
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread (-0.08% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | 1-61 months maturity 06/30/2023 | $606,544,715 | $(17,172,303 | ) | $(525,761 | ) | $(17,698,064 | ) | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Air France-KLM | 430,292 | $ | 3,516,425 | $ | (858,955 | ) | 4.9 | % | ||||||||
| Alstom SA | 53,131 | 2,437,568 | (77,470 | ) | 0.4 | |||||||||||
| Amundi SA | 22,759 | 1,573,211 | (164,651 | ) | 0.9 | |||||||||||
| Arkema SA | 19,424 | 2,292,038 | (113,730 | ) | 0.6 | |||||||||||
| Atos SE | 126,148 | 17,153,211 | 722,141 | (4.1 | ) | |||||||||||
| BioMerieux | 11,907 | 1,069,824 | 134,895 | (0.8 | ) | |||||||||||
| Capgemini SE | 74,172 | 9,939,781 | 880,146 | (5.0 | ) | |||||||||||
| Cie de Saint-Gobain | 211,487 | 9,420,677 | (1,225,460 | ) | 6.9 | |||||||||||
| Cie Generale des Etablissements Michelin SCA | 374,755 | 45,337,144 | (6,902,239 | ) | 39.0 | |||||||||||
| CNP Assurances | 126,984 | 2,885,016 | (187,826 | ) | 1.1 | |||||||||||
| Dassault Aviation SA | 476 | 905,098 | (15,086 | ) | 0.1 | |||||||||||
| Engie SA | 2,834,056 | 43,351,150 | (2,817,278 | ) | 15.9 | |||||||||||
| Eutelsat Communications SA | 134,456 | 2,782,599 | 13,304 | (0.1 | ) | |||||||||||
| Faurecia SA | 118,976 | 8,457,576 | (1,167,078 | ) | 6.6 | |||||||||||
| Hermes International | 6,690 | 4,086,616 | (329,054 | ) | 1.9 | |||||||||||
| Lagardere SCA | 28,206 | 743,180 | (27,198 | ) | 0.2 | |||||||||||
| Pernod Ricard SA | 4,563 | 744,704 | (22,549 | ) | 0.1 | |||||||||||
| Peugeot SA | 1,601,947 | 36,500,807 | (2,291,897 | ) | 12.9 | |||||||||||
| Renault SA | 478,099 | 40,505,243 | (11,412,286 | ) | 64.5 | |||||||||||
| Teleperformance | 36,865 | 6,506,512 | 808,221 | (4.6 | ) | |||||||||||
| Thales SA | 113,017 | 14,540,077 | 956,023 | (5.4 | ) | |||||||||||
| TOTAL SA | 643,596 | 39,082,860 | 1,825,454 | (10.3 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Accor SA | (398,207 | ) | (19,502,560 | ) | 1,073,595 | (6.1 | ) | |||||||||
| Airbus SE | (177,422 | ) | (20,704,228 | ) | (1,345,988 | ) | 7.6 | |||||||||
| BNP Paribas SA | (63,957 | ) | (3,956,184 | ) | 46,839 | (0.3 | ) | |||||||||
| Bollore SA | (1,078,021 | ) | (5,006,266 | ) | 566,566 | (3.2 | ) | |||||||||
| Bureau Veritas SA | (50,614 | ) | (1,349,230 | ) | (103,129 | ) | 0.6 | |||||||||
| Carrefour SA | (1,258,970 | ) | (20,308,354 | ) | 3,263,379 | (18.4 | ) | |||||||||
| Casino Guichard Perrachon SA | (20,509 | ) | (793,714 | ) | 15,382 | (0.1 | ) | |||||||||
| Credit Agricole SA | (776,344 | ) | (10,304,051 | ) | 506,993 | (2.9 | ) | |||||||||
| Danone SA | (136,459 | ) | (9,963,212 | ) | 168,390 | (1.0 | ) | |||||||||
| Edenred | (444,274 | ) | (14,033,151 | ) | 75,658 | (0.4 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
92
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| France (continued) | ||||||||||||||||
| Electricite de France SA | (2,461,637 | ) | $ | (33,778,236 | ) | $ | (965,138 | ) | 5.5 | % | ||||||
| Iliad SA | (142,906 | ) | (22,548,441 | ) | 5,265,189 | (29.8 | ) | |||||||||
| Ingenico Group SA | (318,390 | ) | (28,548,219 | ) | (3,121,606 | ) | 17.6 | |||||||||
| Ipsen SA | (9,222 | ) | (1,442,405 | ) | (40,104 | ) | 0.2 | |||||||||
| JCDecaux SA | (167,952 | ) | (5,608,193 | ) | (33,231 | ) | 0.2 | |||||||||
| L’Oreal SA | (52,955 | ) | (13,054,824 | ) | (1,087,200 | ) | 6.1 | |||||||||
| Orange SA | (65,856 | ) | (1,099,278 | ) | 33,514 | (0.2 | ) | |||||||||
| Orpea | (36,321 | ) | (4,837,889 | ) | (425,505 | ) | 2.4 | |||||||||
| Publicis Groupe SA | (17,445 | ) | (1,197,119 | ) | (56,849 | ) | 0.3 | |||||||||
| Remy Cointreau SA | (21,934 | ) | (2,839,665 | ) | 117,374 | (0.7 | ) | |||||||||
| SCOR SE | (107,996 | ) | (3,993,807 | ) | 419,273 | (2.4 | ) | |||||||||
| Societe Generale SA | (234,122 | ) | (9,840,129 | ) | 520,771 | (2.9 | ) | |||||||||
| Suez | (1,178,895 | ) | (15,250,199 | ) | 1,072,594 | (6.1 | ) | |||||||||
| Technicolor SA (Registered) | (1,444,472 | ) | (1,774,756 | ) | 615,364 | (3.5 | ) | |||||||||
| Valeo SA | (118,794 | ) | (6,477,078 | ) | 1,131,710 | (6.4 | ) | |||||||||
| Vivendi SA | (1,281,069 | ) | (31,338,675 | ) | (146,072 | ) | 0.8 | |||||||||
| Luxembourg | ||||||||||||||||
| Eurofins Scientific SE | (26,641 | ) | (14,775,379 | ) | (1,020,022 | ) | 5.8 | |||||||||
| SES SA | (338,961 | ) | (6,196,112 | ) | (1,502,120 | ) | 8.5 | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-15.00% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | 18-24 months maturity 12/17/2019 | $981,356,606 | $12,316,623 | $(1,900,547 | ) | $10,416,076 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Belgium | ||||||||||||||||
| Ageas | 500,365 | $ | 25,189,912 | $ | 632,629 | 6.1 | % | |||||||||
| Solvay SA | 135,544 | 17,070,214 | (637,715 | ) | (6.1 | ) | ||||||||||
| UCB SA | 248,597 | 19,487,596 | (208,080 | ) | (2.0 | ) | ||||||||||
| Finland | ||||||||||||||||
| Fortum OYJ | 386,990 | 9,217,762 | 1,206,647 | 11.6 | ||||||||||||
| Neste OYJ | 368,357 | 28,819,836 | 3,948,810 | 37.9 | ||||||||||||
| UPM-Kymmene OYJ | 605,128 | 21,545,644 | 1,573,639 | 15.1 | ||||||||||||
| Germany | ||||||||||||||||
| Aurubis AG | 163,652 | 12,492,263 | (2,276,441 | ) | (21.9 | ) | ||||||||||
| Bayerische Motoren Werke AG | 73,366 | 6,631,734 | (694,005 | ) | (6.7 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
93
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Germany (continued) | ||||||||||||||||
| Continental AG | 61,391 | $ | 13,971,231 | $ | (1,669,929 | ) | (16.0 | ) % | ||||||||
| Covestro AG | 519,362 | 46,162,768 | (5,343,776 | ) | (51.3 | ) | ||||||||||
| Deutsche Lufthansa AG (Registered) | 1,194,488 | 28,617,104 | (9,308,866 | ) | (89.4 | ) | ||||||||||
| Rheinmetall AG | 163,797 | 18,021,330 | (2,310,789 | ) | (22.2 | ) | ||||||||||
| Salzgitter AG | 216,074 | 9,400,948 | (2,004,523 | ) | (19.2 | ) | ||||||||||
| Schaeffler AG (Preference) | 589,129 | 7,646,396 | (1,861,046 | ) | (17.9 | ) | ||||||||||
| Software AG | 240,805 | 11,191,959 | (1,449,877 | ) | (13.9 | ) | ||||||||||
| Luxembourg | ||||||||||||||||
| ArcelorMittal | 329,289 | 9,607,260 | (404,768 | ) | (3.9 | ) | ||||||||||
| Netherlands | ||||||||||||||||
| Akzo Nobel NV | 82,029 | 6,996,440 | (300,111 | ) | (2.9 | ) | ||||||||||
| ASM International NV | 231,594 | 12,761,461 | (2,587,780 | ) | (24.8 | ) | ||||||||||
| ASR Nederland NV | 273,879 | 11,152,598 | 164,668 | 1.6 | ||||||||||||
| Koninklijke Ahold Delhaize NV | 1,464,812 | 34,976,190 | 2,285,682 | 21.9 | ||||||||||||
| Koninklijke DSM NV | 105,377 | 10,541,814 | 604,252 | 5.8 | ||||||||||||
| NN Group NV | 409,690 | 16,615,560 | (1,067,070 | ) | (10.2 | ) | ||||||||||
| Signify NV | 495,517 | 12,819,795 | (5,661,765 | ) | (54.4 | ) | ||||||||||
| Spain | ||||||||||||||||
| Acerinox SA | 619,517 | 8,185,902 | (321,800 | ) | (3.1 | ) | ||||||||||
| Amadeus IT Group SA | 255,231 | 20,069,441 | 2,502,725 | 24.0 | ||||||||||||
| Endesa SA | 1,363,937 | 29,995,162 | 3,041,912 | 29.2 | ||||||||||||
| Mapfre SA | 3,359,467 | 10,097,687 | (756,242 | ) | (7.3 | ) | ||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Belgium | ||||||||||||||||
| Anheuser-Busch InBev SA/NV | (472,724 | ) | (47,681,301 | ) | 348,138 | 3.3 | ||||||||||
| Galapagos NV | (127,326 | ) | (11,726,401 | ) | 2,116,156 | 20.3 | ||||||||||
| Finland | ||||||||||||||||
| Amer Sports OYJ | (234,740 | ) | (7,381,198 | ) | (1,407,696 | ) | (13.5 | ) | ||||||||
| Orion OYJ | (241,269 | ) | (6,488,935 | ) | 763,518 | 7.3 | ||||||||||
| Germany | ||||||||||||||||
| Commerzbank AG | (1,421,086 | ) | (13,556,234 | ) | 1,808,626 | 17.4 | ||||||||||
| Deutsche Bank AG (Registered) | (4,561,846 | ) | (48,804,790 | ) | 26,986,347 | 259.1 | ||||||||||
| Deutsche Telekom AG (Registered) | (1,128,709 | ) | (17,443,532 | ) | 21,440 | 0.2 | ||||||||||
| GEA Group AG | (202,337 | ) | (6,814,348 | ) | 2,722,931 | 26.1 | ||||||||||
| Wirecard AG | (66,910 | ) | (10,706,967 | ) | (3,084,333 | ) | (29.6 | ) | ||||||||
| Zalando SE | (172,960 | ) | (9,639,408 | ) | (374,425 | ) | (3.6 | ) | ||||||||
| Netherlands | ||||||||||||||||
| ALTICE EUROPE NV | (1,994,821 | ) | (8,096,985 | ) | 11,184,406 | 107.4 | ||||||||||
| Boskalis Westminster | (533,494 | ) | (15,503,045 | ) | 1,910,342 | 18.3 | ||||||||||
| Koninklijke KPN NV | (4,159,113 | ) | (11,309,373 | ) | 769,236 | 7.4 | ||||||||||
| OCI NV | (401,811 | ) | (10,790,037 | ) | (2,006,017 | ) | (19.3 | ) | ||||||||
| SBM Offshore NV | (774,207 | ) | (12,004,325 | ) | 647,202 | 6.2 | ||||||||||
| Spain | ||||||||||||||||
| Bankia SA | (6,136,043 | ) | (22,881,736 | ) | 4,570,382 | 43.9 | ||||||||||
| Cellnex Telecom SA | (754,512 | ) | (18,969,540 | ) | (1,065,443 | ) | (10.2 | ) | ||||||||
| Ferrovial SA | (501,675 | ) | (10,265,579 | ) | (99,607 | ) | (1.0 | ) | ||||||||
| Grifols SA | (723,650 | ) | (21,689,848 | ) | (1,587,177 | ) | (15.2 | ) | ||||||||
| Industria de Diseno Textil SA | (1,287,302 | ) | (43,837,936 | ) | (4,590,563 | ) | (44.1 | ) | ||||||||
| Telefonica SA | (1,965,404 | ) | (16,681,243 | ) | 915,145 | 8.8 | ||||||||||
| United Kingdom | ||||||||||||||||
| Unilever NV | (343,206 | ) | (19,122,403 | ) | (1,684,149 | ) | (16.2 | ) | ||||||||
| United States | ||||||||||||||||
| QIAGEN NV | (502,618 | ) | (18,219,488 | ) | (2,468,883 | ) | (23.7 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
94
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Copenhagen Interbank Offered Rate (“CIBOR”) plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 20-24 months maturity 02/12/2020 | $140,438,024 | $ | 22,266,389 | $ | 377,903 | $ | 22,644,292 | |||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Denmark | ||||||||||||||||
| Carlsberg A/S | 64,590 | $ | 7,599,563 | $ | 375,571 | 1.7 | % | |||||||||
| Coloplast A/S | 7,582 | 757,005 | 2,885 | 0.0 | ||||||||||||
| Danske Bank A/S | 23,289 | 725,543 | (88,904 | ) | (0.4 | ) | ||||||||||
| DSV A/S | 70,028 | 5,637,374 | 283,761 | 1.3 | ||||||||||||
| GN Store Nord A/S | 570,823 | 25,936,031 | 7,701,441 | 34.0 | ||||||||||||
| H Lundbeck A/S | 198,998 | 13,947,072 | 4,676,505 | 20.7 | ||||||||||||
| Jyske Bank A/S (Registered) | 33,841 | 1,849,746 | (142,951 | ) | (0.6 | ) | ||||||||||
| Novo Nordisk A/S | 376,567 | 17,393,842 | (597,485 | ) | (2.6 | ) | ||||||||||
| Orsted A/S | 90,506 | 5,468,476 | 409,197 | 1.8 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Denmark | ||||||||||||||||
| AP Moller - Maersk A/S | (12,996 | ) | (16,077,349 | ) | 4,040,228 | 17.8 | ||||||||||
| Chr Hansen Holding A/S | (32,646 | ) | (3,005,420 | ) | (446,963 | ) | (2.0 | ) | ||||||||
| Genmab A/S | (204,134 | ) | (31,409,724 | ) | 2,767,552 | 12.2 | ||||||||||
| Pandora A/S | (152,529 | ) | (10,630,879 | ) | 3,285,552 | 14.5 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
95
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Swiss Average Rate Overnight (“SARON”) plus or minus a specified spread (-9.00% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap. | 11-15 months maturity 05/10/2019 | $267,870,924 | $(850,980 | ) | $52,078 | $(798,902 | ) | ||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP AT VALUE (%) |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Switzerland | ||||||||||||||||
| Adecco Group AG (Registered) | 461,407 | $ | 27,229,520 | $ | (6,817,849 | ) | 853.4 | % | ||||||||
| Barry Callebaut AG (Registered) | 1,252 | 2,243,481 | (128,686 | ) | 16.1 | |||||||||||
| dormakaba Holding AG | 5,326 | 3,720,625 | (828,797 | ) | 103.7 | |||||||||||
| Flughafen Zurich AG (Registered) | 4,403 | 895,857 | (131,880 | ) | 16.5 | |||||||||||
| Georg Fischer AG (Registered) | 14,615 | 18,663,130 | (800,915 | ) | 100.3 | |||||||||||
| Givaudan SA (Registered) | 504 | 1,141,468 | 40,690 | (5.1 | ) | |||||||||||
| Helvetia Holding AG (Registered) | 2,877 | 1,641,293 | (29,289 | ) | 3.7 | |||||||||||
| OC Oerlikon Corp. AG (Registered) | 85,191 | 1,297,862 | (71,176 | ) | 8.9 | |||||||||||
| Partners Group Holding AG | 6,288 | 4,596,817 | 115,305 | (14.4 | ) | |||||||||||
| Roche Holding AG | 65,141 | 14,452,064 | 69,789 | (8.7 | ) | |||||||||||
| Schindler Holding AG | 3,573 | 767,133 | 12,992 | (1.6 | ) | |||||||||||
| Sika AG (Registered) | 162,808 | 22,495,118 | 1,469,720 | (184.0 | ) | |||||||||||
| Sonova Holding AG (Registered) | 17,209 | 3,078,407 | 21,670 | (2.7 | ) | |||||||||||
| Sunrise Communications Group AG | 14,868 | 1,208,103 | (22,828 | ) | 2.9 | |||||||||||
| Swatch Group AG (The) | 3,337 | 1,579,674 | (42,481 | ) | 5.3 | |||||||||||
| Swiss Life Holding AG (Registered) | 45,395 | 15,740,788 | 231,710 | (29.0 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Austria | ||||||||||||||||
| ams AG | (158,342 | ) | (11,742,664 | ) | 4,955,121 | (620.2 | ) | |||||||||
| Switzerland | ||||||||||||||||
| Aryzta AG | (94,027 | ) | (1,406,451 | ) | 902,345 | (112.9 | ) | |||||||||
| Chocoladefabriken Lindt & Spruengli AG | (2,091 | ) | (13,553,075 | ) | (1,666,592 | ) | 208.6 | |||||||||
| Credit Suisse Group AG (Registered) | (4,051,616 | ) | (60,584,128 | ) | 8,681,476 | (1086.7 | ) | |||||||||
| DKSH Holding AG | (10,664 | ) | (749,718 | ) | 145,974 | (18.3 | ) | |||||||||
| Dufry AG (Registered) | (39,186 | ) | (4,983,790 | ) | 464,370 | (58.1 | ) | |||||||||
| GAM Holding AG | (63,541 | ) | (873,740 | ) | 230,737 | (28.9 | ) | |||||||||
| Lonza Group AG (Registered) | (20,437 | ) | (5,400,406 | ) | 81,785 | (10.2 | ) | |||||||||
| UBS Group AG (Registered) | (161,595 | ) | (2,477,310 | ) | 56,827 | (7.1 | ) | |||||||||
| Vifor Pharma AG | (284,291 | ) | (45,348,302 | ) | (7,790,998 | ) | 975.2 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
96
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Norway Interbank Offered Rate (“NIBOR”) plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap. | 21-24 months maturity 02/12/2020 | $99,902,304 | $4,348,409 | $1,013,958 | $5,362,367 | ||||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Norway | ||||||||||||||||
| Equinor ASA | 596,160 | $ | 15,763,994 | $ | 664,652 | 12.4 | % | |||||||||
| Leroy Seafood Group ASA | 1,659,059 | 11,175,883 | 2,073,982 | 38.7 | ||||||||||||
| Marine Harvest ASA | 821,019 | 16,324,229 | 1,959,070 | 36.5 | ||||||||||||
| Norsk Hydro ASA | 2,753,156 | 16,434,274 | (1,048,672 | ) | (19.6 | ) | ||||||||||
| Orkla ASA | 173,484 | 1,517,792 | (69,338 | ) | (1.3 | ) | ||||||||||
| Salmar ASA | 280,962 | 11,784,607 | 1,717,771 | 32.0 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Norway | ||||||||||||||||
| Gjensidige Forsikring ASA | (176,161 | ) | (2,884,019 | ) | 178,409 | 3.3 | ||||||||||
| Schibsted ASA | (185,306 | ) | (5,619,239 | ) | (244,912 | ) | (4.6 | ) | ||||||||
| Yara International ASA | (216,338 | ) | (8,950,380 | ) | 125,437 | 2.3 | ||||||||||
| United Kingdom | ||||||||||||||||
| Subsea 7 SA | (594,315 | ) | (9,447,887 | ) | (1,007,990 | ) | (18.8 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
97
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-3.13% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap. | 20-24 months maturity 02/12/2020 | $295,704,980 | $(23,614,831 | ) | $1,522,120 | $(22,092,711 | ) | ||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Malta | ||||||||||||||||
| Kindred Group plc | 1,213,987 | $ | 15,208,544 | $ | (1,584,747 | ) | 7.2 | % | ||||||||
| Sweden | ||||||||||||||||
| Alfa Laval AB | 62,318 | 1,471,195 | 37,340 | (0.2 | ) | |||||||||||
| BillerudKorsnas AB | 300,189 | 4,231,484 | 73,508 | (0.3 | ) | |||||||||||
| Boliden AB | 1,266,903 | 40,887,378 | 1,905,707 | (8.6 | ) | |||||||||||
| Electrolux AB | 845,416 | 19,185,547 | (4,865,309 | ) | 22.0 | |||||||||||
| Essity AB | 573,330 | 14,104,825 | (97,021 | ) | 0.4 | |||||||||||
| Husqvarna AB | 340,062 | 3,217,035 | (43,529 | ) | 0.2 | |||||||||||
| NCC AB | 54,978 | 911,617 | (63,848 | ) | 0.3 | |||||||||||
| Sandvik AB | 380,487 | 6,719,774 | 135,020 | (0.6 | ) | |||||||||||
| Securitas AB | 64,724 | 1,061,348 | 21,560 | (0.1 | ) | |||||||||||
| SKF AB | 77,468 | 1,434,109 | (93,745 | ) | 0.4 | |||||||||||
| SSAB AB | 2,154,083 | 10,130,311 | (1,608,492 | ) | 7.3 | |||||||||||
| Svenska Cellulosa AB SCA | 1,264,884 | 13,693,295 | 2,536,187 | (11.5 | ) | |||||||||||
| Swedish Match AB | 63,090 | 3,118,016 | 193,769 | (0.9 | ) | |||||||||||
| Tele2 AB | 83,767 | 981,113 | (91,716 | ) | 0.4 | |||||||||||
| Trelleborg AB | 55,625 | 1,182,794 | (72,857 | ) | 0.3 | |||||||||||
| Volvo AB | 1,107,120 | 17,595,594 | (1,665,735 | ) | 7.5 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Colombia | ||||||||||||||||
| Millicom International Cellular SA | (123,944 | ) | (7,284,453 | ) | 540,918 | (2.4 | ) | |||||||||
| Sweden | ||||||||||||||||
| Getinge AB | (678,535 | ) | (6,159,762 | ) | 1,490,685 | (6.7 | ) | |||||||||
| Hennes & Mauritz AB | (143,446 | ) | (2,135,201 | ) | 184,794 | (0.8 | ) | |||||||||
| Hexagon AB | (49,998 | ) | (2,778,247 | ) | 9,626 | (0.0 | ) | |||||||||
| Hexpol AB | (331,506 | ) | (3,428,950 | ) | (578,235 | ) | 2.6 | |||||||||
| Nordea Bank AB | (222,053 | ) | (2,130,063 | ) | (17,965 | ) | 0.1 | |||||||||
| Svenska Handelsbanken AB | (2,343,143 | ) | (25,951,362 | ) | 2,721,384 | (12.3 | ) | |||||||||
| Swedbank AB | (73,460 | ) | (1,565,156 | ) | (50,069 | ) | 0.2 | |||||||||
| Swedish Orphan Biovitrum AB | (43,335 | ) | (943,753 | ) | (325,993 | ) | 1.5 | |||||||||
| Telefonaktiebolaget LM Ericsson | (11,447,524 | ) | (88,194,054 | ) | (22,306,068 | ) | 101.0 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
98
Table of Contents
| Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $88,315,871 | $88,315,871 | |||||||||
| U.S. Treasury Bills | — | 64,435,748 | 64,435,748 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 15,995,459 | — | 15,995,459 | |||||||||
|
|
||||||||||||
| DTBK | ||||||||||||
| Cash | 196,207,057 | — | 196,207,057 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 970,000 | — | 970,000 | |||||||||
| Investment Companies | 711,328,520 | — | 711,328,520 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 68,813,958 | — | 68,813,958 | |||||||||
|
|
||||||||||||
| MSIP | ||||||||||||
| Cash | 205,316,099 | — | 205,316,099 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
99
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
100
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
101
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
102
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY 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 $656,325,370. In addition, $97,623,281 of cash collateral was pledged. |
| (b) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $823,941, which represents approximately 0.03% of net assets of the fund. |
| (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 June 30, 2018 amounted to $197,053,542, which represents approximately 7.65% of net assets of the fund. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
103
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| (d) | Perpetual security. The rate reflected was the rate in effect on June 30, 2018. The maturity date reflects the next call date. |
| (e) | Payment in-kind security. |
| (f) | Represents less than 0.05% of net assets. |
| (g) | Defaulted security. |
| (h) | 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. The interest rate shown was the current rate as of June 30, 2018. |
| (i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and repayments on the underlying pool of assets. See Note to Financial Statements for further information. The interest rate shown was the current rate as of June 30, 2018. |
| (j) | Represents 7-day effective yield as of June 30, 2018. |
| (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, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/18 |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| SHORT-TERM INVESTMENTS - 35.6% | ||||||||||||||||||||||||||||
| INVESTMENT COMPANIES - 35.6% | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $916,898,529) | 1,059,378,830 | 1,436,959,048 | (1,579,263,431 | ) | 917,074,447 | $917,074,447 | $7,834,736 | $(80,371 | ) | $175,918 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| (a) | Represents 7-day effective yield as of June 30, 2018. |
| (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 outstanding — buy protection as of June 30, 2018:
Exchange Cleared
| REFERENCE ENTITY |
FINANCING RATE PAID |
PAYMENT FREQUENCY |
MATURITY DATE |
CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | ||||||||||||||||||||
| iTraxx Europe Series 29.V1 |
1.00 | % | Quarterly | 6/20/2023 | 0.73 | % | EUR 133,212,000 | $(2,787,461 | ) | $715,806 | $(2,071,655 | ) | ||||||||||||||||
| Markit CDX North America Investment Grade Index Series 30.V1 |
1.00 | Quarterly | 6/20/2023 | 0.67 | USD 239,500,000 | (4,267,640 | ) | 597,194 | (3,670,446 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $(7,055,101 | ) | $1,313,000 | $(5,742,101 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
104
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts outstanding — sell protection as of June 30, 2018:
Exchange Cleared
| REFERENCE ENTITY |
FINANCING RATE RECEIVED |
PAYMENT FREQUENCY |
MATURITY DATE |
CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | ||||||||||||||||||||
| iTraxx Europe Crossover Series 29.V1 | 5.00% | Quarterly | 6/20/2023 | 3.19% | EUR | 76,279,000 | $8,816,433 | $(1,558,942 | ) | $7,257,491 | ||||||||||||||||||
| Markit CDX North America High Yield Index Series 30.V1 |
5.00% | Quarterly | 6/20/2023 | 3.59% | USD | 177,829,000 | 10,879,272 | (259,021 | ) | 10,620,251 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $19,695,705 | $(1,817,963 | ) | $17,877,742 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/10/2018 | USD | (1,424,363 | ) | $48,252 | |||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/10/2018 | USD | (1,769,663 | ) | 62,231 | |||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | (2,158,125 | ) | 77,167 | |||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | (1,855,988 | ) | 65,639 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (7,100,125 | ) | 461,314 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (10,695,125 | ) | 552,071 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (8,843,700 | ) | 528,046 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 08/24/2018 | USD | (1,240,275 | ) | 48,350 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
105
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (3,343,350 | ) | $ 55,169 | |||||||||||
| Cotton No. 2 December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | (209,800 | ) | 1,312 | |||||||||||
| Cotton No. 2 December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/09/2018 | USD | (167,840 | ) | 949 | |||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | JPMC | 07/30/2018 | HKD | 114,904,000 | 53,847 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 15,799,300 | 5,764 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/16/2018 | USD | 1,756,950 | 73,874 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | 530,400 | 24,288 | ||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/14/2018 | USD | (1,559,580 | ) | 4,080 | |||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/14/2018 | USD | 183,480 | 3,288 | ||||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | 366,960 | 2,591 | ||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | (397,540 | ) | 1,579 | |||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 08/03/2018 | USD | 811,110 | 21,600 | ||||||||||||
| MSCI China Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the HIBOR plus or minus a specified spread (0.05%) | Monthly | MSCS | 09/19/2018 | HKD | (6,989,197 | ) | 80,908 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
106
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| MSCI Singapore Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 07/30/2018 | SGD | 292,800 | $ 545 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | 4,186,080 | 30,626 | ||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | (6,776,000 | ) | 552,691 | |||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | (14,432,000 | ) | 1,358,432 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | (626,810 | ) | 14,440 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (692,790 | ) | 12,224 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 11/23/2018 | USD | (428,870 | ) | 7,030 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | (4,519,630 | ) | 239,957 | |||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (2,052,060 | ) | 116,189 | |||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 11/23/2018 | USD | (1,356,144 | ) | 80,712 | |||||||||||
| Swiss Market Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | Monthly | MSCS | 09/21/2018 | CHF | (178,531,500 | ) | 721,120 | |||||||||||
| WIG20 Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 09/21/2018 | PLN | (16,463,600 | ) | 222,185 | |||||||||||
|
|
|
|||||||||||||||||||
| 5,528,470 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| BIST 30 Index August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/31/2018 | TRY | (13,317,133 | ) | (45,130 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
107
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Cocoa September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/03/2018 | USD | (527,520 | ) | $ (630 | ) | ||||||||||
| Cocoa September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (577,760 | ) | (11,920 | ) | ||||||||||
| Cocoa September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/03/2018 | USD | (1,105,280 | ) | (7,628 | ) | ||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/03/2018 | USD | 527,520 | (9,779 | ) | |||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | 577,760 | (12,540 | ) | |||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/03/2018 | USD | 1,105,280 | (20,317 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | 949,575 | (13,034 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | 906,413 | (12,043 | ) | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | 503,520 | (54,600 | ) | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/09/2018 | USD | 1,090,960 | (120,380 | ) | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/09/2018 | USD | 587,440 | (55,516 | ) | |||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | (7,064,850 | ) | (3,457 | ) | ||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MSCS | 07/30/2018 | HKD | (26,085,600 | ) | (28,393 | ) | ||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 08/15/2018 | BRL | 34,386,140 | (93,267 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
108
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 09/13/2018 | KRW | 30,750,000,000 | $ (1,614,303 | ) | |||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 07/16/2018 | USD | (1,756,950 | ) | (119,366 | ) | ||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | (530,400 | ) | (36,454 | ) | ||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (3,030,990 | ) | (76,957 | ) | ||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 08/03/2018 | USD | (1,835,670 | ) | (44,305 | ) | ||||||||||
| MSCI Emerging Markets Taiwan Net Total Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.50%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | USD | 2,192,891 | (95,339 | ) | |||||||||||
| MSCI Emerging Markets Thailand Net Total Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.75%) | Increases in total return of reference entity | Monthly | JPMC | 09/24/2018 | USD | 4,189,063 | (438,178 | ) | |||||||||||
| MSCI Israel Daily Net Total Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.60%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | USD | 579,869 | (11,112 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 2,332,000 | (258,971 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 11/23/2018 | USD | 428,870 | (36,440 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 626,810 | (51,933 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
109
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 4,519,630 | $ (391,291 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 692,790 | (60,064 | ) | |||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/18/2018 | TWD | 715,359,000 | (24,748 | ) | |||||||||||
| Tel Aviv Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/25/2018 | ILS | 6,219,003 | (18,788 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (3,766,883 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $1,761,587 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Brent Crude Oil | 691 | 7/2018 | USD | $54,747,930 | $2,165,021 | |||||||||||
| Hang Seng Index | 408 | 7/2018 | HKD | 74,692,872 | 117,883 | |||||||||||
| IBEX 35 Index | 133 | 7/2018 | EUR | 14,913,266 | (218,017 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 7/2018 | USD | 53,554 | (2,286 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 7/2018 | USD | 53,482 | (2,215 | ) | ||||||||||
| LME Aluminum Base Metal | 5 | 7/2018 | USD | 269,844 | (1,924 | ) | ||||||||||
| LME Aluminum Base Metal | 7 | 7/2018 | USD | 375,125 | (14,784 | ) | ||||||||||
| LME Aluminum Base Metal | 7 | 7/2018 | USD | 375,856 | (43,543 | ) | ||||||||||
| LME Aluminum Base Metal | 8 | 7/2018 | USD | 430,100 | (63,021 | ) | ||||||||||
| LME Aluminum Base Metal | 8 | 7/2018 | USD | 432,800 | (67,380 | ) | ||||||||||
| LME Aluminum Base Metal | 8 | 7/2018 | USD | 429,000 | (18,145 | ) | ||||||||||
| LME Aluminum Base Metal | 8 | 7/2018 | USD | 431,150 | 32,726 | |||||||||||
| LME Aluminum Base Metal | 9 | 7/2018 | USD | 486,743 | (51,505 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 7/2018 | USD | 486,585 | (42,891 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 7/2018 | USD | 486,113 | (33,956 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 7/2018 | USD | 485,888 | (19,730 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 7/2018 | USD | 484,538 | 29,588 | |||||||||||
| LME Aluminum Base Metal | 9 | 7/2018 | USD | 486,056 | (15,526 | ) | ||||||||||
| LME Aluminum Base Metal | 17 | 7/2018 | USD | 915,875 | 67,975 | |||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,804 | (8,033 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,825 | (5,778 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,908 | (6,080 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,750 | (7,941 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,768 | (4,854 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,950 | (8,954 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
110
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | $ 165,846 | $ (5,328 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,788 | (8,720 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,929 | (5,337 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,783 | (7,325 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,625 | (4,753 | ) | ||||||||||
| LME Copper Base Metal | 10 | 7/2018 | USD | 1,656,708 | (44,896 | ) | ||||||||||
| LME Copper Base Metal | 21 | 7/2018 | USD | 3,482,850 | (192,743 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,987 | 7,069 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,013 | 810 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,026 | 1,114 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,005 | 4,530 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,052 | 3,480 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,090 | 5,837 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,992 | 4,749 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,009 | 5,066 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,938 | 7,526 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,954 | 10,447 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,976 | 7,059 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,045 | 2,163 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,981 | 6,563 | |||||||||||
| LME Nickel Base Metal | 2 | 7/2018 | USD | 177,898 | 20,084 | |||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,663 | (9,527 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,005 | (7,297 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,076 | (5,640 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,588 | (7,790 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,438 | (5,515 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,400 | (6,040 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,475 | (8,903 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,293 | (19,001 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,725 | (12,051 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,650 | (11,966 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,434 | (18,272 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,363 | (17,930 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,222 | (15,534 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 145,250 | (16,506 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,575 | (15,431 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 145,025 | (16,181 | ) | ||||||||||
| MSCI Singapore Index | 1,024 | 7/2018 | SGD | 27,507,083 | 58,788 | |||||||||||
| MSCI Taiwan Index | 123 | 7/2018 | USD | 4,767,480 | 41,390 | |||||||||||
| Natural Gas | 269 | 7/2018 | USD | 7,865,560 | (86,532 | ) | ||||||||||
| NY Harbor ULSD | 71 | 7/2018 | USD | 6,589,325 | 114,426 | |||||||||||
| RBOB Gasoline | 90 | 7/2018 | USD | 8,131,536 | 218,650 | |||||||||||
| WTI Crude Oil | 450 | 7/2018 | USD | 33,367,500 | 3,640,732 | |||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,182 | (3,752 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,375 | (3,060 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,186 | (3,764 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,194 | (3,624 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,264 | (4,414 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,286 | (5,848 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,353 | (4,175 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,411 | (2,656 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,780 | (5,153 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,794 | (5,559 | ) | ||||||||||
| LME Copper Base Metal | 3 | 8/2018 | USD | 496,881 | (19,015 | ) | ||||||||||
| LME Copper Base Metal | 4 | 8/2018 | USD | 663,094 | (11,588 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
111
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Copper Base Metal | 13 | 8/2018 | USD | $ 2,155,400 | $ (84,687 | ) | ||||||||||
| LME Copper Base Metal | 33 | 8/2018 | USD | 5,465,213 | (195,449 | ) | ||||||||||
| LME Copper Base Metal | 33 | 8/2018 | USD | 5,466,178 | (175,849 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,161 | 5,395 | |||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,154 | 6,051 | |||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,193 | 1,932 | |||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,116 | 5,827 | |||||||||||
| Low Sulphur Gasoil | 110 | 8/2018 | USD | 7,444,250 | 114,240 | |||||||||||
| 3 Month Euro Euribor | 83 | 9/2018 | EUR | 24,306,969 | 3,255 | |||||||||||
| 3 Month Sterling | 641 | 9/2018 | GBP | 104,883,144 | 56,888 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 162 | 9/2018 | AUD | 119,299,767 | (10,185 | ) | ||||||||||
| Copper | 99 | 9/2018 | USD | 7,340,850 | (218,904 | ) | ||||||||||
| EURO STOXX 50 Index | 586 | 9/2018 | EUR | 23,205,658 | (328,566 | ) | ||||||||||
| Euro-Bobl | 1,216 | 9/2018 | EUR | 187,687,321 | 539,803 | |||||||||||
| Euro-Bund | 2,183 | 9/2018 | EUR | 414,389,918 | 3,235,722 | |||||||||||
| Euro-Buxl | 151 | 9/2018 | EUR | 31,335,227 | 660,952 | |||||||||||
| Euro-OAT | 250 | 9/2018 | EUR | 45,117,953 | 403,608 | |||||||||||
| Euro-Schatz | 733 | 9/2018 | EUR | 95,944,469 | 71,284 | |||||||||||
| FTSE 100 Index | 500 | 9/2018 | GBP | 50,160,397 | (219,209 | ) | ||||||||||
| FTSE/MIB Index | 466 | 9/2018 | EUR | 58,685,967 | (1,371,570 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 9/2018 | USD | 106,650 | (1,493 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 9/2018 | USD | 106,636 | (1,515 | ) | ||||||||||
| LME Aluminum Base Metal | 4 | 9/2018 | USD | 213,075 | (4,787 | ) | ||||||||||
| LME Aluminum Base Metal | 7 | 9/2018 | USD | 372,930 | (6,865 | ) | ||||||||||
| LME Aluminum Base Metal | 67 | 9/2018 | USD | 3,570,681 | (237,069 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (1,190 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,300 | (1,806 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,275 | (9,331 | ) | ||||||||||
| LME Copper Base Metal | 3 | 9/2018 | USD | 496,969 | (50,740 | ) | ||||||||||
| LME Copper Base Metal | 6 | 9/2018 | USD | 993,750 | (24,599 | ) | ||||||||||
| LME Copper Base Metal | 9 | 9/2018 | USD | 1,491,372 | (130,955 | ) | ||||||||||
| LME Copper Base Metal | 38 | 9/2018 | USD | 6,296,059 | (592,641 | ) | ||||||||||
| LME Copper Base Metal | 48 | 9/2018 | USD | 7,951,404 | (664,379 | ) | ||||||||||
| LME Copper Base Metal | 122 | 9/2018 | USD | 20,215,400 | (1,441,554 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,400 | (303 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,335 | (1,868 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,396 | 1,820 | |||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,741 | 883 | |||||||||||
| LME Nickel Base Metal | 4 | 9/2018 | USD | 357,497 | (7,140 | ) | ||||||||||
| LME Nickel Base Metal | 34 | 9/2018 | USD | 3,038,478 | 37,480 | |||||||||||
| NASDAQ 100 Emini Index | 220 | 9/2018 | USD | 31,093,700 | (707,115 | ) | ||||||||||
| Nikkei 225 Index | 14 | 9/2018 | JPY | 2,818,588 | 9,829 | |||||||||||
| Russell 2000 E-Mini Index | 1,061 | 9/2018 | USD | 87,399,875 | (1,422,270 | ) | ||||||||||
| S&P Midcap 400 E-Mini Index | 23 | 9/2018 | USD | 4,499,030 | (48,750 | ) | ||||||||||
| S&P/TSX 60 Index | 49 | 9/2018 | CAD | 7,180,877 | 49,859 | |||||||||||
| SET50 Index | 483 | 9/2018 | THB | 3,049,329 | (46,568 | ) | ||||||||||
| Silver | 333 | 9/2018 | USD | 26,969,670 | (306,343 | ) | ||||||||||
| TOPIX Index | 1,578 | 9/2018 | JPY | 246,644,898 | (5,523,440 | ) | ||||||||||
| U.S. Treasury 10 Year Note | 54 | 9/2018 | USD | 6,490,125 | 20,812 | |||||||||||
| 3 Month Euro Euribor | 61 | 12/2018 | EUR | 17,859,706 | (252 | ) | ||||||||||
| 3 Month Euroswiss | 27 | 12/2018 | CHF | 6,865,874 | (631 | ) | ||||||||||
| 3 Month Sterling | 1,227 | 12/2018 | GBP | 200,655,624 | 144,909 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 644 | 12/2018 | AUD | 474,253,396 | 19,957 | |||||||||||
| 3 Month Euro Euribor | 194 | 3/2019 | EUR | 56,796,887 | 988 | |||||||||||
| 3 Month Euroswiss | 20 | 3/2019 | CHF | 5,084,823 | (332 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
112
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| 3 Month Sterling | 1,470 | 3/2019 | GBP | $ 240,224,515 | $ 304,465 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 704 | 3/2019 | AUD | 518,413,055 | 43,775 | |||||||||||
| 3 Month Euro Euribor | 324 | 6/2019 | EUR | 94,842,469 | 22,697 | |||||||||||
| 3 Month Euroswiss | 15 | 6/2019 | CHF | 3,811,724 | 2,426 | |||||||||||
| 3 Month Sterling | 1,278 | 6/2019 | GBP | 208,721,754 | (5,885 | ) | ||||||||||
| ASX 90 Day Bank Accepted Bill | 548 | 6/2019 | AUD | 403,497,837 | 78,494 | |||||||||||
| 3 Month Euro Euribor | 262 | 9/2019 | EUR | 76,643,882 | 80,651 | |||||||||||
| 3 Month Euro Euribor | 204 | 12/2019 | EUR | 59,635,225 | 87,566 | |||||||||||
| 3 Month Euro Euribor | 192 | 3/2020 | EUR | 56,082,427 | 82,678 | |||||||||||
| 3 Month Euro Euribor | 156 | 6/2020 | EUR | 45,530,537 | 55,894 | |||||||||||
|
|
|
|||||||||||||||
| (2,378,813 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts | ||||||||||||||||
| Amsterdam Exchange Index | (264 | ) | 7/2018 | EUR | (34,011,568 | ) | 760,395 | |||||||||
| CAC 40 10 Euro Index | (160 | ) | 7/2018 | EUR | (9,941,248 | ) | 255,911 | |||||||||
| FTSE Bursa Malaysia KLCI Index | (418 | ) | 7/2018 | MYR | (8,777,534 | ) | (126,909 | ) | ||||||||
| HSCEI | (323 | ) | 7/2018 | HKD | (22,373,604 | ) | 129,800 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 7/2018 | USD | (53,554 | ) | 1,700 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 7/2018 | USD | (53,482 | ) | 2,065 | |||||||||
| LME Aluminum Base Metal | (5 | ) | 7/2018 | USD | (269,844 | ) | 767 | |||||||||
| LME Aluminum Base Metal | (7 | ) | 7/2018 | USD | (375,125 | ) | 9,858 | |||||||||
| LME Aluminum Base Metal | (7 | ) | 7/2018 | USD | (375,856 | ) | 60,923 | |||||||||
| LME Aluminum Base Metal | (8 | ) | 7/2018 | USD | (431,150 | ) | (32,215 | ) | ||||||||
| LME Aluminum Base Metal | (8 | ) | 7/2018 | USD | (429,000 | ) | 28,046 | |||||||||
| LME Aluminum Base Metal | (8 | ) | 7/2018 | USD | (430,100 | ) | 67,176 | |||||||||
| LME Aluminum Base Metal | (8 | ) | 7/2018 | USD | (432,800 | ) | 60,176 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 7/2018 | USD | (486,585 | ) | 36,063 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 7/2018 | USD | (486,113 | ) | 38,786 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 7/2018 | USD | (485,888 | ) | 24,836 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 7/2018 | USD | (486,743 | ) | 52,218 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 7/2018 | USD | (484,538 | ) | (30,030 | ) | ||||||||
| LME Aluminum Base Metal | (9 | ) | 7/2018 | USD | (486,056 | ) | 19,267 | |||||||||
| LME Aluminum Base Metal | (17 | ) | 7/2018 | USD | (915,875 | ) | (69,800 | ) | ||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,908 | ) | 4,814 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,950 | ) | 7,422 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,625 | ) | 4,446 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,783 | ) | 7,823 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,804 | ) | 8,193 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,768 | ) | 5,099 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,750 | ) | 8,622 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,929 | ) | 4,943 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,825 | ) | 4,122 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,846 | ) | 5,651 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,788 | ) | 8,610 | |||||||||
| LME Copper Base Metal | (10 | ) | 7/2018 | USD | (1,656,708 | ) | 43,136 | |||||||||
| LME Copper Base Metal | (21 | ) | 7/2018 | USD | (3,482,850 | ) | 240,388 | |||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,052 | ) | (3,340 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,976 | ) | (7,334 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,954 | ) | (10,561 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,987 | ) | (6,400 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,992 | ) | (4,949 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,009 | ) | (4,474 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,026 | ) | (823 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,090 | ) | (6,258 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,013 | ) | 1,800 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
113
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | $ (88,981 | ) | $ (6,334 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,005 | ) | (4,053 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,045 | ) | (3,719 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,938 | ) | (7,599 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 7/2018 | USD | (177,898 | ) | (20,703 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,663 | ) | 9,379 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,475 | ) | 8,511 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,400 | ) | 5,506 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,076 | ) | 5,740 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,438 | ) | 6,197 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,588 | ) | 8,011 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,005 | ) | 7,371 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (145,025 | ) | 16,740 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (145,250 | ) | 16,623 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,575 | ) | 16,721 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,725 | ) | 12,112 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,222 | ) | 13,796 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,363 | ) | 17,121 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,650 | ) | 12,320 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,434 | ) | 18,023 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,293 | ) | 18,060 | |||||||||
| OMXS30 Index | (652 | ) | 7/2018 | SEK | (11,363,184 | ) | 28,792 | |||||||||
| 100 oz Gold | (413 | ) | 8/2018 | USD | (51,810,850 | ) | 1,337,871 | |||||||||
| BIST 30 Index | (3,377 | ) | 8/2018 | TRY | (8,907,735 | ) | (129,256 | ) | ||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,353 | ) | 4,698 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,264 | ) | 4,882 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,286 | ) | 5,583 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,194 | ) | 3,716 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,375 | ) | 3,160 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,182 | ) | 3,665 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,186 | ) | 3,949 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,411 | ) | 2,474 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,794 | ) | 3,328 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,780 | ) | 4,913 | |||||||||
| LME Copper Base Metal | (3 | ) | 8/2018 | USD | (496,881 | ) | 18,502 | |||||||||
| LME Copper Base Metal | (4 | ) | 8/2018 | USD | (663,094 | ) | 13,761 | |||||||||
| LME Copper Base Metal | (13 | ) | 8/2018 | USD | (2,155,400 | ) | 77,793 | |||||||||
| LME Copper Base Metal | (33 | ) | 8/2018 | USD | (5,465,213 | ) | 198,565 | |||||||||
| LME Copper Base Metal | (33 | ) | 8/2018 | USD | (5,466,178 | ) | 166,825 | |||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,193 | ) | (2,541 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,161 | ) | (5,216 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,116 | ) | (5,777 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,154 | ) | (6,027 | ) | ||||||||
| 3 Month Canadian Bankers Acceptance | (57 | ) | 9/2018 | CAD | (10,626,935 | ) | 7,307 | |||||||||
| 3 Month Eurodollar | (404 | ) | 9/2018 | USD | (98,520,450 | ) | 38,215 | |||||||||
| Australia 10 Year Bond | (1,907 | ) | 9/2018 | AUD | (182,564,928 | ) | (2,054,090 | ) | ||||||||
| Canada 10 Year Bond | (1,123 | ) | 9/2018 | CAD | (116,780,383 | ) | (1,696,293 | ) | ||||||||
| Corn | (418 | ) | 9/2018 | USD | (7,513,550 | ) | 402,962 | |||||||||
| DAX Index | (89 | ) | 9/2018 | EUR | (31,981,853 | ) | 590,395 | |||||||||
| Euro-BTP | (235 | ) | 9/2018 | EUR | (34,918,855 | ) | (543,492 | ) | ||||||||
| FTSE/JSE Top 40 Index | (1,026 | ) | 9/2018 | ZAR | (38,658,528 | ) | 139,031 | |||||||||
| Japan 10 Year Bond | (390 | ) | 9/2018 | JPY | (531,342,636 | ) | (659,132 | ) | ||||||||
| KC HRW Wheat | (84 | ) | 9/2018 | USD | (2,051,700 | ) | 90,760 | |||||||||
| KOSPI 200 Index | (219 | ) | 9/2018 | KRW | (14,737,551 | ) | 353,257 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 9/2018 | USD | (106,650 | ) | 1,007 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
114
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Aluminum Base Metal | (2 | ) | 9/2018 | USD | $ (106,636 | ) | $ 2,397 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 9/2018 | USD | (213,075 | ) | 4,400 | |||||||||
| LME Aluminum Base Metal | (7 | ) | 9/2018 | USD | (372,930 | ) | 6,831 | |||||||||
| LME Aluminum Base Metal | (19 | ) | 9/2018 | USD | (1,012,581 | ) | 19,769 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 1,880 | |||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | (331,275 | ) | 9,269 | |||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | (331,300 | ) | 462 | |||||||||
| LME Copper Base Metal | (3 | ) | 9/2018 | USD | (496,969 | ) | 47,810 | |||||||||
| LME Copper Base Metal | (6 | ) | 9/2018 | USD | (993,750 | ) | 26,088 | |||||||||
| LME Copper Base Metal | (9 | ) | 9/2018 | USD | (1,491,372 | ) | 126,552 | |||||||||
| LME Copper Base Metal | (38 | ) | 9/2018 | USD | (6,296,059 | ) | 590,379 | |||||||||
| LME Copper Base Metal | (48 | ) | 9/2018 | USD | (7,951,404 | ) | 624,854 | |||||||||
| LME Copper Base Metal | (110 | ) | 9/2018 | USD | (18,227,000 | ) | 896,482 | |||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,396 | ) | (677 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,400 | ) | (608 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,335 | ) | 3,362 | |||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,741 | ) | (147 | ) | ||||||||
| LME Nickel Base Metal | (4 | ) | 9/2018 | USD | (357,497 | ) | 6,911 | |||||||||
| LME Nickel Base Metal | (11 | ) | 9/2018 | USD | (983,037 | ) | 4,157 | |||||||||
| Long Gilt | (1,786 | ) | 9/2018 | GBP | (290,061,454 | ) | (2,658,670 | ) | ||||||||
| MEX BOLSA Index | (168 | ) | 9/2018 | MXN | (4,081,097 | ) | (104,506 | ) | ||||||||
| MSCI EAFE E-Mini Index | (30 | ) | 9/2018 | USD | (2,933,100 | ) | (8,775 | ) | ||||||||
| MSCI Emerging Markets E-Mini Index | (140 | ) | 9/2018 | USD | (7,443,100 | ) | (102,661 | ) | ||||||||
| S&P 500 E-Mini Index | (711 | ) | 9/2018 | USD | (96,752,880 | ) | 278,944 | |||||||||
| SPI 200 Index | (671 | ) | 9/2018 | AUD | (76,323,352 | ) | (752,723 | ) | ||||||||
| Sugar No. 11 | (513 | ) | 9/2018 | USD | (7,038,360 | ) | 218,602 | |||||||||
| U.S. Treasury 2 Year Note | (869 | ) | 9/2018 | USD | (184,078,640 | ) | (41,133 | ) | ||||||||
| U.S. Treasury 5 Year Note | (2,712 | ) | 9/2018 | USD | (308,129,812 | ) | (1,547,039 | ) | ||||||||
| Wheat | (177 | ) | 9/2018 | USD | (4,436,063 | ) | (8,572 | ) | ||||||||
| Platinum | (60 | ) | 10/2018 | USD | (2,573,100 | ) | 39,712 | |||||||||
| Soybean | (709 | ) | 11/2018 | USD | (31,196,000 | ) | 3,434,712 | |||||||||
| 3 Month Canadian Bankers Acceptance | (298 | ) | 12/2018 | CAD | (55,467,691 | ) | 46,223 | |||||||||
| 3 Month Eurodollar | (2,389 | ) | 12/2018 | USD | (581,482,599 | ) | 678,955 | |||||||||
| Soybean Meal | (151 | ) | 12/2018 | USD | (4,981,490 | ) | 130,659 | |||||||||
| Soybean Oil | (24 | ) | 12/2018 | USD | (428,256 | ) | 20,354 | |||||||||
| 3 Month Canadian Bankers Acceptance | (358 | ) | 3/2019 | CAD | (66,536,968 | ) | 53,736 | |||||||||
| 3 Month Eurodollar | (2,297 | ) | 3/2019 | USD | (558,400,699 | ) | 407,701 | |||||||||
| 3 Month Canadian Bankers Acceptance | (204 | ) | 6/2019 | CAD | (37,872,247 | ) | 32,851 | |||||||||
| 3 Month Eurodollar | (1,878 | ) | 6/2019 | USD | (456,095,774 | ) | (2,950 | ) | ||||||||
| 3 Month Eurodollar | (568 | ) | 9/2019 | USD | (137,853,599 | ) | 164,747 | |||||||||
| 3 Month Eurodollar | (573 | ) | 12/2019 | USD | (139,002,637 | ) | 82,237 | |||||||||
| 3 Month Eurodollar | (582 | ) | 3/2020 | USD | (141,164,099 | ) | 60,180 | |||||||||
| 3 Month Eurodollar | (510 | ) | 6/2020 | USD | (123,700,500 | ) | (42,163 | ) | ||||||||
|
|
|
|||||||||||||||
| 2,903,965 | ||||||||||||||||
|
|
|
|||||||||||||||
| $525,152 | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
115
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| AUD | 7,894,800 | USD | 5,818,424 | CITI | 9/19/2018 | $25,529 | ||||||||||||||
| AUD | 11,842,200 | USD | 8,727,646 | JPMC | 9/19/2018 | 38,282 | ||||||||||||||
| CAD | 1,357,200 | USD | 1,032,602 | CITI | 9/19/2018 | 1,163 | ||||||||||||||
| CAD | 2,035,800 | USD | 1,548,904 | JPMC | 9/19/2018 | 1,742 | ||||||||||||||
| CHF | 9,785,200 | USD | 9,893,127 | CITI | 9/19/2018 | 56,204 | ||||||||||||||
| CHF | 14,677,800 | USD | 14,839,709 | JPMC | 9/19/2018 | 84,287 | ||||||||||||||
| COP | 27,626,800 | USD | 9,359 | CITI** | 9/19/2018 | 32 | ||||||||||||||
| COP | 41,440,200 | USD | 14,039 | JPMC** | 9/19/2018 | 48 | ||||||||||||||
| EUR | 105,079,600 | USD | 122,307,147 | CITI | 9/19/2018 | 1,144,045 | ||||||||||||||
| EUR | 157,619,400 | USD | 183,460,949 | JPMC | 9/19/2018 | 1,715,837 | ||||||||||||||
| GBP | 1,293,600 | USD | 1,703,112 | CITI | 9/19/2018 | 10,180 | ||||||||||||||
| GBP | 2,910,600 | USD | 3,840,360 | JPMC | 9/19/2018 | 14,546 | ||||||||||||||
| HKD | 42,164,800 | USD | 5,379,845 | CITI | 9/19/2018 | 1,662 | ||||||||||||||
| HKD | 63,247,200 | USD | 8,069,777 | JPMC | 9/19/2018 | 2,483 | ||||||||||||||
| HUF | 72,134,000 | USD | 255,996 | CITI | 9/19/2018 | 1,006 | ||||||||||||||
| HUF | 108,201,000 | USD | 383,995 | JPMC | 9/19/2018 | 1,507 | ||||||||||||||
| IDR | 2,004,722,022 | USD | 137,516 | CITI** | 9/19/2018 | 915 | ||||||||||||||
| IDR | 3,007,083,034 | USD | 206,274 | JPMC** | 9/19/2018 | 1,371 | ||||||||||||||
| INR | 9,526,800 | USD | 137,057 | CITI** | 9/19/2018 | 575 | ||||||||||||||
| INR | 14,290,200 | USD | 205,586 | JPMC** | 9/19/2018 | 862 | ||||||||||||||
| KRW | 742,602,000 | USD | 667,205 | CITI** | 9/19/2018 | 1,276 | ||||||||||||||
| KRW | 1,113,903,000 | USD | 1,000,809 | JPMC** | 9/19/2018 | 1,913 | ||||||||||||||
| MXN | 1,282,408,736 | USD | 62,867,470 | CITI | 9/19/2018 | 901,967 | ||||||||||||||
| MXN | 1,923,613,118 | USD | 94,301,323 | JPMC | 9/19/2018 | 1,352,832 | ||||||||||||||
| PLN | 1,220,400 | USD | 324,929 | CITI | 9/19/2018 | 1,305 | ||||||||||||||
| PLN | 1,830,600 | USD | 487,394 | JPMC | 9/19/2018 | 1,958 | ||||||||||||||
| SEK | 4,481,600 | USD | 501,809 | CITI | 9/19/2018 | 1,611 | ||||||||||||||
| SEK | 6,722,400 | USD | 752,714 | JPMC | 9/19/2018 | 2,415 | ||||||||||||||
| TRY | 58,262,800 | USD | 11,984,411 | CITI | 9/19/2018 | 275,946 | ||||||||||||||
| TRY | 87,394,200 | USD | 17,976,639 | JPMC | 9/19/2018 | 413,896 | ||||||||||||||
| USD | 5,757,935 | AUD | 7,762,000 | CITI | 9/19/2018 | 12,285 | ||||||||||||||
| USD | 8,636,891 | AUD | 11,643,000 | JPMC | 9/19/2018 | 18,417 | ||||||||||||||
| USD | 64,981,375 | BRL | 244,326,833 | CITI** | 9/19/2018 | 2,457,617 | ||||||||||||||
| USD | 97,471,941 | BRL | 366,490,249 | JPMC** | 9/19/2018 | 3,686,303 | ||||||||||||||
| USD | 1,473,104 | CAD | 1,905,600 | CITI | 9/19/2018 | 21,630 | ||||||||||||||
| USD | 2,209,654 | CAD | 2,858,400 | JPMC | 9/19/2018 | 32,442 | ||||||||||||||
| USD | 114,602,649 | CHF | 112,074,852 | CITI | 9/19/2018 | 647,926 | ||||||||||||||
| USD | 171,903,761 | CHF | 168,112,280 | JPMC | 9/19/2018 | 971,674 | ||||||||||||||
| USD | 6,796,124 | CNY | 44,101,600 | CITI** | 9/19/2018 | 168,359 | ||||||||||||||
| USD | 10,194,509 | CNY | 66,152,400 | JPMC** | 9/19/2018 | 252,860 | ||||||||||||||
| USD | 205,964 | COP | 602,731,994 | CITI** | 9/19/2018 | 1,082 | ||||||||||||||
| USD | 308,946 | COP | 904,097,990 | JPMC** | 9/19/2018 | 1,623 | ||||||||||||||
| USD | 4,802,346 | CZK | 104,000,000 | CITI | 9/19/2018 | 107,096 | ||||||||||||||
| USD | 7,203,510 | CZK | 156,000,000 | JPMC | 9/19/2018 | 160,634 | ||||||||||||||
| USD | 132,216,095 | EUR | 111,526,900 | CITI | 9/19/2018 | 1,190,390 | ||||||||||||||
| USD | 198,323,895 | EUR | 167,290,351 | JPMC | 9/19/2018 | 1,785,337 | ||||||||||||||
| USD | 5,848,491 | GBP | 4,344,400 | CITI | 9/19/2018 | 94,607 | ||||||||||||||
| USD | 8,491,254 | GBP | 6,306,600 | JPMC | 9/19/2018 | 138,559 | ||||||||||||||
| USD | 15,971,362 | HKD | 125,056,400 | CITI | 9/19/2018 | 10,376 | ||||||||||||||
| USD | 23,957,028 | HKD | 187,584,600 | JPMC | 9/19/2018 | 15,547 | ||||||||||||||
| USD | 6,236,568 | HUF | 1,679,491,598 | CITI | 9/19/2018 | 252,803 | ||||||||||||||
| USD | 9,354,840 | HUF | 2,519,237,386 | JPMC | 9/19/2018 | 379,193 | ||||||||||||||
| USD | 1,161,150 | IDR | 16,523,475,004 | CITI** | 9/19/2018 | 20,171 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
116
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 1,741,723 | IDR | 24,785,212,505 | JPMC** | 9/19/2018 | $ 30,254 | ||||||||||||||
| USD | 744,360 | INR | 51,093,200 | CITI** | 9/19/2018 | 6,230 | ||||||||||||||
| USD | 1,116,555 | INR | 76,639,800 | JPMC** | 9/19/2018 | 9,359 | ||||||||||||||
| USD | 56,599,737 | JPY | 6,207,681,989 | CITI | 9/19/2018 | 217,887 | ||||||||||||||
| USD | 84,899,499 | JPY | 9,311,522,987 | JPMC | 9/19/2018 | 326,725 | ||||||||||||||
| USD | 29,152,640 | KRW | 31,485,683,814 | CITI** | 9/19/2018 | 809,637 | ||||||||||||||
| USD | 43,728,906 | KRW | 47,228,525,723 | JPMC** | 9/19/2018 | 1,214,401 | ||||||||||||||
| USD | 25,541 | MXN | 512,800 | CITI | 9/19/2018 | 41 | ||||||||||||||
| USD | 38,311 | MXN | 769,200 | JPMC | 9/19/2018 | 61 | ||||||||||||||
| USD | 17,868,348 | NOK | 144,415,300 | CITI | 9/19/2018 | 80,033 | ||||||||||||||
| USD | 26,802,489 | NOK | 216,622,951 | JPMC | 9/19/2018 | 120,015 | ||||||||||||||
| USD | 42,608,311 | NZD | 61,780,000 | CITI | 9/19/2018 | 761,571 | ||||||||||||||
| USD | 63,915,157 | NZD | 92,670,000 | JPMC | 9/19/2018 | 1,145,046 | ||||||||||||||
| USD | 456,027 | PHP | 24,200,800 | CITI** | 9/19/2018 | 5,494 | ||||||||||||||
| USD | 684,039 | PHP | 36,301,200 | JPMC** | 9/19/2018 | 8,240 | ||||||||||||||
| USD | 3,571,473 | PLN | 13,049,600 | CITI | 9/19/2018 | 83,092 | ||||||||||||||
| USD | 5,360,739 | PLN | 19,574,400 | JPMC | 9/19/2018 | 128,167 | ||||||||||||||
| USD | 103,655,291 | SEK | 900,625,996 | CITI | 9/19/2018 | 2,487,668 | ||||||||||||||
| USD | 155,482,743 | SEK | 1,350,939,002 | JPMC | 9/19/2018 | 3,731,307 | ||||||||||||||
| USD | 7,177,114 | SGD | 9,731,200 | CITI | 9/19/2018 | 22,724 | ||||||||||||||
| USD | 10,765,543 | SGD | 14,596,800 | JPMC | 9/19/2018 | 33,957 | ||||||||||||||
| USD | 1,779,977 | THB | 56,990,800 | CITI | 9/19/2018 | 55,699 | ||||||||||||||
| USD | 2,669,962 | THB | 85,486,200 | JPMC | 9/19/2018 | 83,546 | ||||||||||||||
| USD | 4,061,089 | TRY | 19,002,000 | CITI | 9/19/2018 | 62,459 | ||||||||||||||
| USD | 6,091,625 | TRY | 28,503,000 | JPMC | 9/19/2018 | 93,682 | ||||||||||||||
| USD | 9,149,366 | TWD | 273,274,400 | CITI** | 9/19/2018 | 137,541 | ||||||||||||||
| USD | 13,723,883 | TWD | 409,911,600 | JPMC** | 9/19/2018 | 206,148 | ||||||||||||||
| USD | 14,719,163 | ZAR | 195,918,400 | CITI | 9/19/2018 | 583,785 | ||||||||||||||
| USD | 23,248,911 | ZAR | 309,886,200 | JPMC | 9/19/2018 | 890,835 | ||||||||||||||
| ZAR | 101,600 | USD | 7,308 | CITI | 9/19/2018 | 23 | ||||||||||||||
| ZAR | 152,400 | USD | 10,962 | JPMC | 9/19/2018 | 34 | ||||||||||||||
| USD | 2,701,169 | CLP | 1,736,017,999 | CITI** | 9/20/2018 | 44,363 | ||||||||||||||
| USD | 4,051,748 | CLP | 2,604,027,001 | JPMC** | 9/20/2018 | 66,540 | ||||||||||||||
| USD | 32,468,808 | ILS | 115,113,605 | CITI | 9/20/2018 | 822,340 | ||||||||||||||
| USD | 48,703,148 | ILS | 172,670,396 | JPMC | 9/20/2018 | 1,233,449 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation |
|
33,986,679 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 132,678,400 | USD | 100,407,887 | CITI | 9/19/2018 | (2,195,626 | ) | |||||||||||||
| AUD | 199,017,600 | USD | 150,612,019 | JPMC | 9/19/2018 | (3,293,626 | ) | |||||||||||||
| BRL | 67,952,800 | USD | 17,959,533 | CITI** | 9/19/2018 | (570,266 | ) | |||||||||||||
| BRL | 101,929,200 | USD | 26,939,333 | JPMC** | 9/19/2018 | (855,433 | ) | |||||||||||||
| CAD | 214,525,200 | USD | 166,359,943 | CITI | 9/19/2018 | (2,958,475 | ) | |||||||||||||
| CAD | 313,972,800 | USD | 243,494,672 | JPMC | 9/19/2018 | (4,345,069 | ) | |||||||||||||
| CNY | 98,898,800 | USD | 15,410,815 | CITI** | 9/19/2018 | (547,905 | ) | |||||||||||||
| CNY | 148,348,200 | USD | 23,116,231 | JPMC** | 9/19/2018 | (821,867 | ) | |||||||||||||
| COP | 3,465,601,037 | USD | 1,203,236 | CITI** | 9/19/2018 | (25,198 | ) | |||||||||||||
| COP | 5,198,401,555 | USD | 1,804,856 | JPMC** | 9/19/2018 | (37,800 | ) | |||||||||||||
| CZK | 160,000,000 | USD | 7,323,115 | CITI | 9/19/2018 | (99,652 | ) | |||||||||||||
| CZK | 240,000,000 | USD | 10,984,686 | JPMC | 9/19/2018 | (149,492 | ) | |||||||||||||
| EUR | 6,224,400 | USD | 7,391,144 | CITI | 9/19/2018 | (78,502 | ) | |||||||||||||
| EUR | 9,336,600 | USD | 11,086,730 | JPMC | 9/19/2018 | (117,766 | ) | |||||||||||||
| GBP | 24,139,600 | USD | 32,365,612 | CITI | 9/19/2018 | (394,234 | ) | |||||||||||||
| GBP | 35,239,202 | USD | 47,264,075 | JPMC | 9/19/2018 | (591,973 | ) | |||||||||||||
| HKD | 14,443,200 | USD | 1,844,862 | CITI | 9/19/2018 | (1,472 | ) | |||||||||||||
| HKD | 21,664,800 | USD | 2,767,297 | JPMC | 9/19/2018 | (2,212 | ) | |||||||||||||
| HUF | 164,329,600 | USD | 591,344 | CITI | 9/19/2018 | (5,864 | ) | |||||||||||||
| HUF | 246,494,400 | USD | 887,017 | JPMC | 9/19/2018 | (8,795 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
117
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| IDR | 16,079,432,354 | USD | 1,130,069 | CITI** | 9/19/2018 | $ (19,753 | ) | |||||||||||||
| IDR | 24,119,148,534 | USD | 1,695,106 | JPMC** | 9/19/2018 | (29,631 | ) | |||||||||||||
| INR | 1,344,238,800 | USD | 19,692,288 | CITI** | 9/19/2018 | (272,412 | ) | |||||||||||||
| INR | 2,016,358,200 | USD | 29,538,474 | JPMC** | 9/19/2018 | (408,660 | ) | |||||||||||||
| JPY | 10,489,759,125 | USD | 96,272,681 | CITI | 9/19/2018 | (998,468 | ) | |||||||||||||
| JPY | 15,734,638,685 | USD | 144,409,202 | JPMC | 9/19/2018 | (1,497,882 | ) | |||||||||||||
| KRW | 3,565,556,000 | USD | 3,249,232 | CITI** | 9/19/2018 | (39,565 | ) | |||||||||||||
| KRW | 5,348,334,000 | USD | 4,873,854 | JPMC** | 9/19/2018 | (59,354 | ) | |||||||||||||
| MXN | 324,846,060 | USD | 16,217,442 | CITI | 9/19/2018 | (64,051 | ) | |||||||||||||
| MXN | 487,269,094 | USD | 24,326,194 | JPMC | 9/19/2018 | (96,107 | ) | |||||||||||||
| NZD | 78,071,999 | USD | 54,134,209 | CITI | 9/19/2018 | (1,252,068 | ) | |||||||||||||
| NZD | 117,107,999 | USD | 81,201,416 | JPMC | 9/19/2018 | (1,878,204 | ) | |||||||||||||
| PHP | 24,200,800 | USD | 456,451 | CITI** | 9/19/2018 | (5,918 | ) | |||||||||||||
| PHP | 36,301,200 | USD | 684,677 | JPMC** | 9/19/2018 | (8,877 | ) | |||||||||||||
| PLN | 23,967,600 | USD | 6,530,017 | CITI | 9/19/2018 | (123,068 | ) | |||||||||||||
| PLN | 35,951,400 | USD | 9,795,037 | JPMC | 9/19/2018 | (184,615 | ) | |||||||||||||
| SEK | 50,387,600 | USD | 5,687,680 | CITI | 9/19/2018 | (27,624 | ) | |||||||||||||
| SEK | 75,581,400 | USD | 8,521,199 | JPMC | 9/19/2018 | (31,114 | ) | |||||||||||||
| SGD | 12,108,400 | USD | 9,049,279 | CITI | 9/19/2018 | (147,169 | ) | |||||||||||||
| SGD | 18,162,600 | USD | 13,573,869 | JPMC | 9/19/2018 | (220,703 | ) | |||||||||||||
| THB | 6,456,800 | USD | 199,168 | CITI | 9/19/2018 | (3,816 | ) | |||||||||||||
| THB | 9,685,200 | USD | 298,753 | JPMC | 9/19/2018 | (5,724 | ) | |||||||||||||
| TRY | 10,896,000 | USD | 2,320,194 | CITI | 9/19/2018 | (27,327 | ) | |||||||||||||
| TRY | 16,344,000 | USD | 3,480,295 | JPMC | 9/19/2018 | (40,994 | ) | |||||||||||||
| TWD | 1,570,800 | USD | 52,647 | CITI** | 9/19/2018 | (846 | ) | |||||||||||||
| TWD | 2,356,200 | USD | 78,971 | JPMC** | 9/19/2018 | (1,270 | ) | |||||||||||||
| USD | 44,472,775 | AUD | 60,263,200 | CITI | 9/19/2018 | (135,731 | ) | |||||||||||||
| USD | 66,709,079 | AUD | 90,394,800 | JPMC | 9/19/2018 | (203,680 | ) | |||||||||||||
| USD | 4,646,381 | BRL | 18,207,967 | CITI** | 9/19/2018 | (13,077 | ) | |||||||||||||
| USD | 6,969,562 | BRL | 27,311,951 | JPMC** | 9/19/2018 | (19,624 | ) | |||||||||||||
| USD | 48,967,512 | CAD | 64,946,800 | CITI | 9/19/2018 | (501,746 | ) | |||||||||||||
| USD | 73,451,176 | CAD | 97,420,200 | JPMC | 9/19/2018 | (752,710 | ) | |||||||||||||
| USD | 33,118,304 | CHF | 32,715,148 | CITI | 9/19/2018 | (145,587 | ) | |||||||||||||
| USD | 49,677,392 | CHF | 49,072,720 | JPMC | 9/19/2018 | (218,442 | ) | |||||||||||||
| USD | 493,652 | COP | 1,457,014,797 | CITI** | 9/19/2018 | (1,621 | ) | |||||||||||||
| USD | 740,477 | COP | 2,185,522,195 | JPMC** | 9/19/2018 | (2,433 | ) | |||||||||||||
| USD | 38,347,202 | EUR | 32,804,300 | CITI | 9/19/2018 | (192,437 | ) | |||||||||||||
| USD | 57,520,285 | EUR | 49,206,454 | JPMC | 9/19/2018 | (289,180 | ) | |||||||||||||
| USD | 7,919,321 | GBP | 6,007,200 | CITI | 9/19/2018 | (36,837 | ) | |||||||||||||
| USD | 11,878,966 | GBP | 9,010,800 | JPMC | 9/19/2018 | (55,270 | ) | |||||||||||||
| USD | 922,948 | HKD | 7,233,600 | CITI | 9/19/2018 | (280 | ) | |||||||||||||
| USD | 1,384,420 | HKD | 10,850,400 | JPMC | 9/19/2018 | (421 | ) | |||||||||||||
| USD | 549,090 | IDR | 7,964,028,686 | CITI** | 9/19/2018 | (842 | ) | |||||||||||||
| USD | 823,634 | IDR | 11,946,043,029 | JPMC** | 9/19/2018 | (1,264 | ) | |||||||||||||
| USD | 9,916,206 | INR | 687,622,400 | CITI** | 9/19/2018 | (17,701 | ) | |||||||||||||
| USD | 14,874,290 | INR | 1,031,433,600 | JPMC** | 9/19/2018 | (26,569 | ) | |||||||||||||
| USD | 1,796,149 | JPY | 198,140,006 | CITI | 9/19/2018 | (3,476 | ) | |||||||||||||
| USD | 2,694,220 | JPY | 297,210,010 | JPMC | 9/19/2018 | (5,218 | ) | |||||||||||||
| USD | 1,651,326 | KRW | 1,844,738,326 | CITI** | 9/19/2018 | (9,283 | ) | |||||||||||||
| USD | 2,476,986 | KRW | 2,767,107,490 | JPMC** | 9/19/2018 | (13,928 | ) | |||||||||||||
| USD | 43,643,912 | MXN | 903,538,000 | CITI | 9/19/2018 | (1,285,686 | ) | |||||||||||||
| USD | 65,465,787 | MXN | 1,355,307,000 | JPMC | 9/19/2018 | (1,928,610 | ) | |||||||||||||
| USD | 3,117,659 | NOK | 25,473,100 | CITI | 9/19/2018 | (19,983 | ) | |||||||||||||
| USD | 4,676,483 | NOK | 38,209,650 | JPMC | 9/19/2018 | (29,980 | ) | |||||||||||||
| USD | 1,350,228 | NZD | 1,994,400 | CITI | 9/19/2018 | (681 | ) | |||||||||||||
| USD | 2,025,339 | NZD | 2,991,600 | JPMC | 9/19/2018 | (1,024 | ) | |||||||||||||
| USD | 1,176,083 | PLN | 4,400,000 | CITI | 9/19/2018 | (113 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
118
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 1,764,122 | PLN | 6,600,000 | JPMC | 9/19/2018 | $ (171 | ) | |||||||||||||
| USD | 4,920,608 | SGD | 6,706,000 | CITI | 9/19/2018 | (9,651 | ) | |||||||||||||
| USD | 7,380,903 | SGD | 10,059,000 | JPMC | 9/19/2018 | (14,485 | ) | |||||||||||||
| USD | 14,681,287 | TRY | 71,963,200 | CITI | 9/19/2018 | (462,073 | ) | |||||||||||||
| USD | 22,021,902 | TRY | 107,944,800 | JPMC | 9/19/2018 | (693,137 | ) | |||||||||||||
| USD | 1,350,119 | TWD | 41,020,000 | CITI** | 9/19/2018 | (2,605 | ) | |||||||||||||
| USD | 2,025,175 | TWD | 61,530,000 | JPMC** | 9/19/2018 | (3,913 | ) | |||||||||||||
| USD | 3,491,059 | ZAR | 48,791,600 | CITI | 9/19/2018 | (29,222 | ) | |||||||||||||
| USD | 4,085,253 | ZAR | 57,178,800 | JPMC | 9/19/2018 | (40,158 | ) | |||||||||||||
| ZAR | 187,842,800 | USD | 14,735,597 | CITI | 9/19/2018 | (1,182,868 | ) | |||||||||||||
| ZAR | 281,764,198 | USD | 22,103,422 | JPMC | 9/19/2018 | (1,774,330 | ) | |||||||||||||
| CLP | 4,708,899,990 | USD | 7,461,187 | CITI** | 9/20/2018 | (254,677 | ) | |||||||||||||
| CLP | 7,063,349,986 | USD | 11,191,794 | JPMC** | 9/20/2018 | (382,029 | ) | |||||||||||||
| ILS | 18,800,000 | USD | 5,216,763 | CITI | 9/20/2018 | (48,359 | ) | |||||||||||||
| ILS | 28,200,000 | USD | 7,824,927 | JPMC | 9/20/2018 | (72,322 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(35,429,881 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
|
$(1,443,202 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
Total Return Basket Swaps Outstanding at June 30, 2018
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| BANA | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.35% to 1.25%), which is denominated in GBP based on the local currencies of the positions within the swap. | 24-25 months maturity 05/26/2020 |
$3,090,016 | $32,446 | $1,852 | $34,298 | ||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
119
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| BANA | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (1.25%), which is denominated in USD based on the local currencies of the positions within the swap. | 14-24 months maturity ranging from 07/25/2019 - 05/26/2020 |
$2,504,668 | $(8,494 | ) | $9,496 | $1,002 | |||||||||||||
|
|
|
|||||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the OBFR plus or minus a specified spread (-0.03% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | 85 months maturity 11/22/2021 |
$7,464,388 | $(24,124 | ) | $(7,234 | ) | $(31,358 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (0.03%), which is denominated in AUD based on the local currencies of the positions within the swap. | 61 months maturity 05/23/2022 |
$13,624,388 | $9,091,508 | $(9,195,739 | ) | $(104,231 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 61 months maturity |
$5,285,890 | $310,892 | $(10,139 | ) | $300,753 | |||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the TIIE plus or minus a specified spread (-0.14% to 0.05%), which is denominated in MXN based on the local currencies of the positions within the swap. | 61 months maturity ranging from 04/12/2023 - 06/26/2023 |
$20,846,426 | $695,343 | $(47,534 | ) | $647,809 | |||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the WIBOR plus or minus a specified spread (-0.10% to 0.07%), which is denominated in PLN based on the local currencies of the positions within the swap. | 61 months maturity ranging from 04/13/2023 - 06/26/2023 |
$18,248,987 | $417,574 | $(38,141 | ) | $379,433 | |||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
120
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-0.04%), which is denominated in EUR based on the local currencies of the positions within the swap. | 61 months maturity 04/13/2023 |
$10,942,497 | $78,090 | $(3,456 | ) | $74,634 | |||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR or Canadian Overnight Repurchase Rate Average plus or minus a specified spread (-0.65% to 0.03%), which is denominated in CAD based on the local currencies of the positions within the swap. | 61 months maturity 06/21/2023 |
$2,358,908 | $7,534 | $(1,634 | ) | $5,900 | |||||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the NIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap. | 31-36 months maturity 01/14/2021 |
$21,258,815 | $25,908 | $85,144 | $111,052 | ||||||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR plus or minus a specified spread (-0.30% to 0.30%), which is denominated in CAD based on the local currencies of the positions within the swap. | 32-39 months maturity 01/14/2021 |
$1,530,345 | $(413,111 | ) | $(447,119 | ) | $(860,230 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.75%), which is denominated in CHF based on the local currencies of the positions within the swap. | 31-42 months maturity 01/14/2021 |
$3,664,528 | $38,518 | $(314,058 | ) | $(275,540 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.35%), which is denominated in JPY based on the local currencies of the positions within the swap. | 33 months maturity 01/14/2021 |
$2,772,834 | $(70,853 | ) | $(1,542 | ) | $(72,395 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
121
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap. | 33-37 months maturity 01/14/2021 |
$24,884,045 | $186,054 | $(143,373 | ) | $42,681 | |||||||||||||
|
|
|
|||||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (0.30%), which is denominated in GBP based on the local currencies of the positions within the swap. | 31 months maturity 01/14/2021 |
$3,985,146 | $760,034 | $152,102 | $912,136 | ||||||||||||||
|
|
|
|||||||||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread (0.33%), which is denominated in CAD based on the local currencies of the positions within the swap. | 24-25 months maturity 11/13/2019 |
$188,321 | $(54,728 | ) | $(73,292 | ) | $(128,020 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the RBACR plus or minus a specified spread (0.00%), which is denominated in AUD based on the local currencies of the positions within the swap. | 19 months maturity 12/24/2019 |
$2,322,427 | $2,314,920 | $(2,480,377 | ) | $(165,457 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-0.26%), which is denominated in USD based on the local currencies of the positions within the swap. | 24 months maturity 01/23/2020 |
$1,398,656 | $137,344 | $925 | $138,269 | ||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
122
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| BANA | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-0.35% to 0.50%), which is denominated in EUR based on the local currencies of the positions within the swap. | 25 months maturity ranging from 11/26/2018 - 01/27/2020 |
$75,326,731 | $2,358,848 | $175,088 | $2,533,936 | ||||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | PRINCIPAL | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Convertible Bond | ||||||||||||||||
| Germany | ||||||||||||||||
| Bayer Capital Corp. BV, 5.63%, 11/22/2019 |
$ | 34,000,000 | $ | 44,711,863 | $ | 1,639,049 | 64.7 | % | ||||||||
| SHARES | ||||||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Germany | ||||||||||||||||
| Bayer AG (Registered) | (278,764 | ) | (30,614,868 | ) | 719,799 | 28.4 | ||||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.33% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | 62-73 months maturity |
$352,589,948 | $(4,710,828 | ) | $2,470,580 | $(2,240,248 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| BHP Billiton plc | 311,539 | $6,991,694 | $967,655 | (43.2 | )% | |||||||||||
| Rio Tinto plc | 108,186 | 5,963,051 | 510,823 | (22.8 | ) | |||||||||||
| Chile | ||||||||||||||||
| Antofagasta plc | 202,875 | 2,635,794 | 8,202 | (0.4 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
123
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Netherlands | ||||||||||||||||
| Royal Dutch Shell plc | 109,458 | $3,788,224 | $402,726 | (18.0 | )% | |||||||||||
| Russia | ||||||||||||||||
| Evraz plc | 738,040 | 4,925,994 | 940,369 | (42.0 | ) | |||||||||||
| South Africa | ||||||||||||||||
| Anglo American plc | 222,853 | 4,947,544 | (175,665 | ) | 7.8 | |||||||||||
| Investec plc | 763,829 | 5,400,842 | 285,965 | (12.8 | ) | |||||||||||
| United Kingdom | ||||||||||||||||
| AstraZeneca plc | 117,424 | 8,121,887 | 97,607 | (4.4 | ) | |||||||||||
| Barclays plc | 1,627,435 | 4,022,587 | (236,902 | ) | 10.6 | |||||||||||
| BBA Aviation plc | 576,307 | 2,585,416 | 124,239 | (5.5 | ) | |||||||||||
| Berkeley Group Holdings plc | 74,848 | 3,728,403 | (201,519 | ) | 9.0 | |||||||||||
| BP plc | 589,171 | 4,482,718 | 119,678 | (5.3 | ) | |||||||||||
| BT Group plc | 2,907,246 | 8,340,150 | (1,814,902 | ) | 81.0 | |||||||||||
| Burberry Group plc | 105,789 | 3,006,581 | 46,079 | (2.1 | ) | |||||||||||
| Close Brothers Group plc | 203,859 | 3,979,700 | 288,075 | (12.9 | ) | |||||||||||
| Dixons Carphone plc | 1,731,293 | 4,248,629 | (1,364,777 | ) | 60.9 | |||||||||||
| GlaxoSmithKline plc | 200,443 | 4,041,119 | 139,190 | (6.2 | ) | |||||||||||
| Imperial Brands plc | 186,014 | 6,908,209 | (792,843 | ) | 35.4 | |||||||||||
| Inchcape plc | 491,833 | 5,056,296 | 590,892 | (26.4 | ) | |||||||||||
| Intermediate Capital Group plc | 426,482 | 6,178,402 | 2,451,779 | (109.4 | ) | |||||||||||
| Man Group plc | 1,835,786 | 4,255,562 | 237,224 | (10.6 | ) | |||||||||||
| National Grid plc | 260,913 | 2,883,367 | (64,290 | ) | 2.9 | |||||||||||
| Persimmon plc | 257,953 | 8,592,335 | 550,271 | (24.6 | ) | |||||||||||
| Royal Mail plc | 468,054 | 3,113,927 | 520,153 | (23.2 | ) | |||||||||||
| Smith & Nephew plc | 633,483 | 11,668,953 | 566,364 | (25.3 | ) | |||||||||||
| Taylor Wimpey plc | 1,397,698 | 3,290,212 | (133,047 | ) | 5.9 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Jordan | ||||||||||||||||
| Hikma Pharmaceuticals plc | (161,371 | ) | (3,182,974 | ) | 82,621 | (3.7 | ) | |||||||||
| United Kingdom | ||||||||||||||||
| AA plc | (1,654,091 | ) | (2,706,305 | ) | 325,201 | (14.5 | ) | |||||||||
| Admiral Group plc | (194,680 | ) | (4,892,756 | ) | 618,429 | (27.6 | ) | |||||||||
| Aggreko plc | (550,963 | ) | (4,902,673 | ) | 1,686,827 | (75.3 | ) | |||||||||
| Auto Trader Group plc | (1,056,879 | ) | (5,923,167 | ) | (851,721 | ) | 38.0 | |||||||||
| Babcock International Group plc | (506,105 | ) | (5,437,828 | ) | (644,540 | ) | 28.8 | |||||||||
| easyJet plc | (154,365 | ) | (3,396,013 | ) | (871,743 | ) | 38.9 | |||||||||
| Experian plc | (114,555 | ) | (2,825,915 | ) | (452,150 | ) | 20.2 | |||||||||
| Greene King plc | (723,150 | ) | (5,477,913 | ) | 330,818 | (14.8 | ) | |||||||||
| Hargreaves Lansdown plc | (494,888 | ) | (12,828,343 | ) | (4,421,532 | ) | 197.4 | |||||||||
| Inmarsat plc | (358,528 | ) | (2,592,574 | ) | 367,638 | (16.4 | ) | |||||||||
| International Consolidated Airlines Group SA | (588,580 | ) | (5,135,025 | ) | (196,454 | ) | 8.8 | |||||||||
| ITV plc | (1,649,820 | ) | (3,771,886 | ) | (133,909 | ) | 6.0 | |||||||||
| J Sainsbury plc | (849,797 | ) | (3,596,146 | ) | (833,140 | ) | 37.2 | |||||||||
| John Wood Group plc | (1,559,772 | ) | (12,880,595 | ) | 437,733 | (19.5 | ) | |||||||||
| Merlin Entertainments plc | (1,169,202 | ) | (5,961,401 | ) | (546,815 | ) | 24.4 | |||||||||
| Micro Focus International plc | (591,200 | ) | (10,258,103 | ) | 359,194 | (16.0 | ) | |||||||||
| Pearson plc | (259,444 | ) | (3,021,405 | ) | (642,418 | ) | 28.7 | |||||||||
| Petrofac Ltd. | (580,823 | ) | (4,461,911 | ) | (989,543 | ) | 44.2 | |||||||||
| Rightmove plc | (71,825 | ) | (5,020,743 | ) | (1,047,619 | ) | 46.8 | |||||||||
| Rotork plc | (749,775 | ) | (3,302,124 | ) | (1,027,676 | ) | 45.9 | |||||||||
| Travis Perkins plc | (186,092 | ) | (3,487,117 | ) | 110,370 | (4.9 | ) | |||||||||
| Weir Group plc (The) | (201,633 | ) | (5,295,335 | ) | (14,581 | ) | 0.7 | |||||||||
| Wm Morrison Supermarkets plc | (1,136,245 | ) | (3,768,925 | ) | (282,075 | ) | 12.6 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
124
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| DTBK | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread (-0.04% to 0.04%), which is denominated in EUR based on the local currencies of the positions within the swap. | 61-73 months maturity ranging from 12/19/2018 - 05/16/2023 |
$135,635,897 | $729,680 | $(300,504 | ) | $429,176 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Aeroports de Paris | 914 | $ | 206,464 | $ | 14,936 | 3.5 | % | |||||||||
| Air France-KLM | 379,115 | 3,098,197 | (2,333,520 | ) | (543.7 | ) | ||||||||||
| Atos SE | 57,243 | 7,783,724 | 1,484,452 | 345.9 | ||||||||||||
| BioMerieux | 1,683 | 151,215 | 15,916 | 3.7 | ||||||||||||
| Casino Guichard Perrachon SA | 11,670 | 451,638 | (200,087 | ) | (46.6 | ) | ||||||||||
| Cie Generale des Etablissements Michelin SCA | 22,247 | 2,691,399 | (453,536 | ) | (105.7 | ) | ||||||||||
| CNP Assurances | 90,987 | 2,067,181 | 215,390 | 50.2 | ||||||||||||
| Elior Group SA | 16,274 | 234,557 | (108,634 | ) | (25.3 | ) | ||||||||||
| Engie SA | 481,155 | 7,359,989 | (619,468 | ) | (144.3 | ) | ||||||||||
| Eutelsat Communications SA | 55,063 | 1,139,542 | 2,091 | 0.5 | ||||||||||||
| Faurecia SA | 126,386 | 8,984,327 | 2,672,073 | 622.6 | ||||||||||||
| Ipsen SA | 7,467 | 1,167,907 | 212,658 | 49.6 | ||||||||||||
| Kering SA | 6,647 | 3,744,254 | 1,051,818 | 245.1 | ||||||||||||
| Lagardere SCA | 173,742 | 4,577,806 | (167,166 | ) | (39.0 | ) | ||||||||||
| Peugeot SA | 460,346 | 10,489,111 | 567,033 | 132.1 | ||||||||||||
| Renault SA | 57,513 | 4,872,585 | (1,019,969 | ) | (237.7 | ) | ||||||||||
| Rexel SA | 23,510 | 337,489 | (88,496 | ) | (20.6 | ) | ||||||||||
| Teleperformance | 12,472 | 2,201,254 | 765,241 | 178.3 | ||||||||||||
| Thales SA | 15,565 | 2,002,498 | 465,605 | 108.5 | ||||||||||||
| Ubisoft Entertainment SA | 22,901 | 2,503,268 | 841,446 | 196.1 | ||||||||||||
| Veolia Environnement SA | 16,045 | 342,866 | (6,983 | ) | (1.6 | ) | ||||||||||
| Vivendi SA | 8,792 | 215,078 | (3,205 | ) | (0.7 | ) | ||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Accor SA | (26,491 | ) | (1,297,421 | ) | (363,446 | ) | (84.7 | ) | ||||||||
| Airbus SE | (45,211 | ) | (5,275,889 | ) | (630,104 | ) | (146.8 | ) | ||||||||
| BNP Paribas SA | (5,691 | ) | (352,028 | ) | 3,124 | 0.7 | ||||||||||
| Bollore SA | (474,649 | ) | (2,204,242 | ) | (428,492 | ) | (99.8 | ) | ||||||||
| Bureau Veritas SA | (43,292 | ) | (1,154,046 | ) | (201,569 | ) | (47.0 | ) | ||||||||
| Carrefour SA | (159,393 | ) | (2,571,157 | ) | 737,018 | 171.7 | ||||||||||
| Edenred | (171,497 | ) | (5,417,025 | ) | (1,498,242 | ) | (349.1 | ) | ||||||||
| Electricite de France SA | (350,610 | ) | (4,811,021 | ) | (969,708 | ) | (225.9 | ) | ||||||||
| Getlink | (394,938 | ) | (5,414,547 | ) | (1,203,739 | ) | (280.5 | ) | ||||||||
| Hermes International | (313 | ) | (191,197 | ) | (18,339 | ) | (4.3 | ) | ||||||||
| Iliad SA | (72,860 | ) | (11,496,224 | ) | 3,518,669 | 819.9 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
125
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| France (continued) | ||||||||||||||||
| Ingenico Group SA | (81,773 | ) | $ | (7,332,120 | ) | $ | (95,164 | ) | (22.2 | ) % | ||||||
| JCDecaux SA | (101,681 | ) | (3,395,296 | ) | 100,775 | 23.5 | ||||||||||
| LVMH Moet Hennessy Louis Vuitton SE | (1,056 | ) | (350,612 | ) | 30,694 | 7.2 | ||||||||||
| Publicis Groupe SA | (5,899 | ) | (404,804 | ) | 7,083 | 1.7 | ||||||||||
| Remy Cointreau SA | (42,808 | ) | (5,542,098 | ) | (1,688,353 | ) | (393.4 | ) | ||||||||
| Sanofi | (11,919 | ) | (956,613 | ) | (44,239 | ) | (10.3 | ) | ||||||||
| SEB SA | (396 | ) | (69,089 | ) | 3,201 | 0.7 | ||||||||||
| Societe BIC SA | (4,508 | ) | (417,919 | ) | 21,192 | 4.9 | ||||||||||
| Societe Generale SA | (33,490 | ) | (1,407,582 | ) | 9,937 | 2.3 | ||||||||||
| Sodexo SA | (759 | ) | (75,767 | ) | (1,694 | ) | (0.4 | ) | ||||||||
| SPIE SA | (2,174 | ) | (44,004 | ) | 1,349 | 0.3 | ||||||||||
| Suez | (194,196 | ) | (2,512,122 | ) | 136,561 | 31.8 | ||||||||||
| Valeo SA | (27,384 | ) | (1,493,075 | ) | 239,576 | 55.8 | ||||||||||
| Luxembourg | ||||||||||||||||
| Eurofins Scientific SE | (2,386 | ) | (1,323,300 | ) | (58,218 | ) | (13.6 | ) | ||||||||
| SES SA | (191,707 | ) | (3,504,350 | ) | (185,787 | ) | (43.3 | ) | ||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-3.20% to 0.08%), which is denominated in USD based on the local currencies of the positions within the swap. | 44-61 months maturity ranging from 11/19/2021 - 07/03/2023 |
$1,622,465,015 | $(21,303,790 | ) | $(2,181,090 | ) | $(23,484,880 | ) | |||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Aflac, Inc. | 451,435 | $ | 19,420,734 | $ | (921,694 | ) | 3.9 | % | ||||||||
| Agilent Technologies, Inc. | 210,493 | 13,016,887 | (22,548 | ) | 0.1 | |||||||||||
| Alcoa Corp. | 487,958 | 22,875,471 | (617,412 | ) | 2.6 | |||||||||||
| Allstate Corp. (The) | 136,702 | 12,476,792 | (305,241 | ) | 1.3 | |||||||||||
| Amgen, Inc. | 53,203 | 9,820,742 | 259,132 | (1.1 | ) | |||||||||||
| Archer-Daniels-Midland Co. | 362,708 | 16,622,908 | 765,314 | (3.3 | ) | |||||||||||
| Assurant, Inc. | 112,182 | 11,609,715 | 1,137,525 | (4.8 | ) | |||||||||||
| Biogen, Inc. | 49,621 | 14,401,999 | (262,110 | ) | 1.1 | |||||||||||
| Bristol-Myers Squibb Co. | 260,672 | 14,425,588 | 773,431 | (3.3 | ) | |||||||||||
| Cabot Corp. | 162,192 | 10,018,600 | 246,532 | (1.0 | ) | |||||||||||
| Celanese Corp. | 95,566 | 10,613,560 | (177,753 | ) | 0.8 | |||||||||||
| FNF Group | 341,710 | 12,855,130 | 225,529 | (1.0 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
126
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| Gilead Sciences, Inc. | 321,618 | $ | 22,783,419 | $ | 1,043,653 | (4.4 | ) % | |||||||||
| Halliburton Co. | 209,853 | 9,455,976 | (911,276 | ) | 3.9 | |||||||||||
| Hartford Financial Services Group, Inc. (The) | 258,339 | 13,208,873 | (310,263 | ) | 1.3 | |||||||||||
| Huntsman Corp. | 620,782 | 18,126,834 | (1,725,573 | ) | 7.3 | |||||||||||
| Lincoln National Corp. | 159,126 | 9,905,593 | (651,116 | ) | 2.8 | |||||||||||
| LyondellBasell Industries NV | 248,267 | 27,272,130 | (563,566 | ) | 2.4 | |||||||||||
| Marathon Oil Corp. | 492,258 | 10,268,502 | (201,542 | ) | 0.9 | |||||||||||
| Newmont Mining Corp. | 266,074 | 10,033,651 | (313,122 | ) | 1.3 | |||||||||||
| Occidental Petroleum Corp. | 159,183 | 13,320,433 | (99,827 | ) | 0.4 | |||||||||||
| Olin Corp. | 375,473 | 10,783,585 | (1,351,339 | ) | 5.8 | |||||||||||
| Pinnacle Foods, Inc. | 211,410 | 13,754,335 | 236,779 | (1.0 | ) | |||||||||||
| Reinsurance Group of America, Inc. | 70,881 | 9,461,196 | (1,131,261 | ) | 4.8 | |||||||||||
| Tyson Foods, Inc. | 196,911 | 13,557,322 | 222,482 | (0.9 | ) | |||||||||||
| Valero Energy Corp. | 126,677 | 14,039,612 | (1,313,640 | ) | 5.6 | |||||||||||
| WR Grace & Co. | 196,995 | 14,441,703 | 338,831 | (1.4 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Albemarle Corp. | (197,265 | ) | (18,608,007 | ) | (169,648 | ) | 0.7 | |||||||||
| Allegheny Technologies, Inc. | (429,009 | ) | (10,776,706 | ) | 1,458,631 | (6.2 | ) | |||||||||
| Aon plc | (72,535 | ) | (9,949,626 | ) | 195,845 | (0.8 | ) | |||||||||
| Axalta Coating Systems Ltd. | (398,752 | ) | (12,086,173 | ) | 319,002 | (1.4 | ) | |||||||||
| Ball Corp. | (347,531 | ) | (12,354,727 | ) | 481,095 | (2.0 | ) | |||||||||
| BioMarin Pharmaceutical, Inc. | (213,612 | ) | (20,122,250 | ) | (824,542 | ) | 3.5 | |||||||||
| Campbell Soup Co. | (314,144 | ) | (12,735,398 | ) | (1,929,985 | ) | 8.2 | |||||||||
| Cheniere Energy, Inc. | (250,978 | ) | (16,361,256 | ) | 358,899 | (1.5 | ) | |||||||||
| Compass Minerals International, Inc. | (161,452 | ) | (10,615,469 | ) | (56,508 | ) | 0.2 | |||||||||
| Ensco plc | (1,519,761 | ) | (11,033,465 | ) | (1,155,018 | ) | 4.9 | |||||||||
| Hormel Foods Corp. | (391,762 | ) | (14,577,464 | ) | (510,275 | ) | 2.2 | |||||||||
| Kinder Morgan, Inc. | (853,034 | ) | (15,073,111 | ) | (843,794 | ) | 3.6 | |||||||||
| Kraft Heinz Co. (The) | (389,831 | ) | (24,489,183 | ) | (2,058,494 | ) | 8.8 | |||||||||
| Mosaic Co. (The) | (337,952 | ) | (9,479,554 | ) | (159,557 | ) | 0.7 | |||||||||
| Neurocrine Biosciences, Inc. | (173,302 | ) | (17,025,188 | ) | (343,138 | ) | 1.5 | |||||||||
| ONEOK, Inc. | (189,111 | ) | (13,205,621 | ) | (315,815 | ) | 1.3 | |||||||||
| Platform Specialty Products Corp. | (951,468 | ) | (11,037,029 | ) | 437,675 | (1.9 | ) | |||||||||
| Primerica, Inc. | (145,253 | ) | (14,467,199 | ) | (181,566 | ) | 0.8 | |||||||||
| Seattle Genetics, Inc. | (250,197 | ) | (16,610,579 | ) | (1,476,162 | ) | 6.3 | |||||||||
| Sherwin-Williams Co. (The) | (38,806 | ) | (15,816,161 | ) | (936,579 | ) | 4.0 | |||||||||
| Syneos Health, Inc. | (256,217 | ) | (12,016,577 | ) | (999,246 | ) | 4.3 | |||||||||
| Targa Resources Corp. | (188,318 | ) | (9,319,858 | ) | (155,630 | ) | 0.7 | |||||||||
| Valvoline, Inc. | (614,770 | ) | (13,260,589 | ) | (664,728 | ) | 2.8 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
127
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-1.65% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 60-61 months maturity ranging from 04/13/2023 - 06/27/2023 |
$149,211,569 | $2,191,339 | $(1,608,082 | ) | $583,257 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| China | ||||||||||||||||
| AAC Technologies Holdings, Inc. | 168,000 | $ | 2,359,265 | $ | (501,797 | ) | (86.0 | )% | ||||||||
| ANTA Sports Products Ltd. | 444,000 | 2,341,349 | 74,420 | 12.8 | ||||||||||||
| Beijing Capital International Airport Co. Ltd. | 2,842,000 | 2,985,323 | (1,020,522 | ) | (175.0 | ) | ||||||||||
| China Cinda Asset Management Co. Ltd. | 4,774,000 | 1,528,852 | (205,287 | ) | (35.2 | ) | ||||||||||
| China Conch Venture Holdings Ltd. | 412,000 | 1,503,692 | 196,050 | 33.6 | ||||||||||||
| China Huarong Asset Management Co. Ltd. | 5,876,000 | 1,693,898 | (814,546 | ) | (139.7 | ) | ||||||||||
| China Petroleum & Chemical Corp. | 1,956,000 | 1,750,850 | (125,239 | ) | (21.5 | ) | ||||||||||
| China Resources Power Holdings Co. Ltd. | 1,528,000 | 2,685,336 | (111,351 | ) | (19.1 | ) | ||||||||||
| China Shenhua Energy Co. Ltd. | 1,029,500 | 2,435,022 | (220,118 | ) | (37.7 | ) | ||||||||||
| CSPC Pharmaceutical Group Ltd. | 1,058,000 | 3,176,964 | 184,911 | 31.7 | ||||||||||||
| Far East Horizon Ltd. | 1,650,000 | 1,597,674 | (201,041 | ) | (34.5 | ) | ||||||||||
| Geely Automobile Holdings Ltd. | 857,000 | 2,204,969 | (361,476 | ) | (62.0 | ) | ||||||||||
| Guangdong Investment Ltd. | 786,000 | 1,243,951 | 1,699 | 0.3 | ||||||||||||
| Haitian International Holdings Ltd. | 768,000 | 1,809,946 | (411,927 | ) | (70.6 | ) | ||||||||||
| People’s Insurance Co. Group of China Ltd. (The) | 6,750,000 | 3,159,866 | 2,464 | 0.4 | ||||||||||||
| PICC Property & Casualty Co. Ltd. | 2,324,999 | 2,500,589 | (213,927 | ) | (36.7 | ) | ||||||||||
| Shenzhou International Group Holdings Ltd. | 140,000 | 1,722,754 | 185,981 | 31.9 | ||||||||||||
| Sinopec Shanghai Petrochemical Co. Ltd. | 6,825,000 | 4,149,029 | (113,609 | ) | (19.5 | ) | ||||||||||
| Sunny Optical Technology Group Co. Ltd. | 64,700 | 1,200,014 | (50,362 | ) | (8.6 | ) | ||||||||||
| Tencent Holdings Ltd. | 25,500 | 1,280,493 | (52,093 | ) | (8.9 | ) | ||||||||||
| Weichai Power Co. Ltd. | 1,698,000 | 2,332,847 | 222,696 | 38.2 | ||||||||||||
| Hong Kong | ||||||||||||||||
| Haier Electronics Group Co. Ltd. | 429,000 | 1,463,627 | (83,716 | ) | (14.4 | ) | ||||||||||
| Sino Biopharmaceutical Ltd. | 2,723,998 | 4,160,109 | 718,852 | 123.2 | ||||||||||||
| Sun Art Retail Group Ltd. | 1,154,000 | 1,505,476 | 99,376 | 17.0 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| China | ||||||||||||||||
| Alibaba Health Information Technology Ltd. | (1,290,000 | ) | (1,241,364 | ) | (585,125 | ) | (100.3 | ) | ||||||||
| Beijing Enterprises Water Group Ltd. | (5,076,000 | ) | (2,760,147 | ) | 75,873 | 13.0 | ||||||||||
| Brilliance China Automotive Holdings Ltd. | (1,228,000 | ) | (2,203,288 | ) | 299,049 | 51.3 | ||||||||||
| BYD Co. Ltd. | (234,000 | ) | (1,442,994 | ) | 327,714 | 56.2 | ||||||||||
| CGN Power Co. Ltd. | (19,560,000 | ) | (5,050,599 | ) | 135,020 | 23.1 | ||||||||||
| China Communications Construction Co. Ltd. | (1,226,000 | ) | (1,180,695 | ) | 126,572 | 21.7 | ||||||||||
| China Everbright Bank Co. Ltd. | (2,792,000 | ) | (1,197,838 | ) | 165,088 | 28.3 | ||||||||||
| China Galaxy Securities Co. Ltd. | (3,340,000 | ) | (1,707,524 | ) | 461,938 | 79.2 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
128
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| China (continued) | ||||||||||||||||
| China Life Insurance Co. Ltd. | (477,000 | ) | $ | (1,223,740 | ) | $ | 95,542 | 16.4 | % | |||||||
| China Merchants Bank Co. Ltd. | (807,500 | ) | (2,970,317 | ) | 316,199 | 54.2 | ||||||||||
| China Minsheng Banking Corp. Ltd. | (2,093,400 | ) | (1,495,923 | ) | 153,883 | 26.4 | ||||||||||
| China Molybdenum Co. Ltd. | (3,039,000 | ) | (1,464,720 | ) | 404,612 | 69.4 | ||||||||||
| China Pacific Insurance Group Co. Ltd. | (958,800 | ) | (3,693,307 | ) | 547,177 | 93.8 | ||||||||||
| China Railway Construction Corp. Ltd. | (1,244,500 | ) | (1,258,912 | ) | 69,810 | 12.0 | ||||||||||
| China State Construction International Holdings Ltd. | (2,602,000 | ) | (2,661,466 | ) | 556,305 | 95.4 | ||||||||||
| China Unicom Hong Kong Ltd. | (2,852,000 | ) | (3,554,975 | ) | 206,573 | 35.4 | ||||||||||
| CITIC Securities Co. Ltd. | (1,444,000 | ) | (2,870,892 | ) | 659,935 | 113.1 | ||||||||||
| Great Wall Motor Co. Ltd. | (1,673,500 | ) | (1,273,729 | ) | 391,651 | 67.1 | ||||||||||
| Haitong Securities Co. Ltd. | (1,987,600 | ) | (2,005,083 | ) | 692,740 | 118.8 | ||||||||||
| Huatai Securities Co. Ltd. | (825,000 | ) | (1,308,355 | ) | 319,318 | 54.7 | ||||||||||
| Lenovo Group Ltd. | (9,670,000 | ) | (5,204,981 | ) | (227,854 | ) | (39.1 | ) | ||||||||
| New China Life Insurance Co. Ltd. | (274,100 | ) | (1,135,745 | ) | 176,047 | 30.2 | ||||||||||
| Ping An Insurance Group Co. of China Ltd. | (312,500 | ) | (2,861,773 | ) | 323,851 | 55.5 | ||||||||||
| Shanghai Fosun Pharmaceutical Group Co. Ltd. | (440,500 | ) | (2,408,296 | ) | 394,044 | 67.6 | ||||||||||
| Yanzhou Coal Mining Co. Ltd. | (1,764,000 | ) | (2,297,079 | ) | (135,794 | ) | (23.3 | ) | ||||||||
| Hong Kong | ||||||||||||||||
| China Gas Holdings Ltd. | (633,000 | ) | (2,537,821 | ) | (189,205 | ) | (32.4 | ) | ||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread (-1.10% to 0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap. | 61 months maturity 06/27/2023 | $30,774,338 | $1,811,171 | $(206,641 | ) | $1,604,530 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| South Africa | ||||||||||||||||
| Anglo American Platinum Ltd. | 24,837 | $ | 647,782 | $ | 21,123 | 1.3 | % | |||||||||
| Aspen Pharmacare Holdings Ltd. | 6,302 | 118,326 | (3,278 | ) | (0.2 | ) | ||||||||||
| Barclays Africa Group Ltd. | 130,157 | 1,511,345 | (99,606 | ) | (6.2 | ) | ||||||||||
| Bidvest Group Ltd. (The) | 92,566 | 1,325,543 | (30,234 | ) | (1.9 | ) | ||||||||||
| Exxaro Resources Ltd. | 334,971 | 3,058,303 | 508,815 | 31.7 | ||||||||||||
| Foschini Group Ltd. (The) | 28,408 | 359,627 | (83,217 | ) | (5.2 | ) | ||||||||||
| Imperial Holdings Ltd. | 10,901 | 155,491 | (9,223 | ) | (0.6 | ) | ||||||||||
| Kumba Iron Ore Ltd. | 6,972 | 149,223 | 5,084 | 0.3 | ||||||||||||
| Mr Price Group Ltd. | 89,308 | 1,465,677 | (334,829 | ) | (20.9 | ) | ||||||||||
| Pick n Pay Stores Ltd. | 22,287 | 121,499 | (48 | ) | (0.0 | ) | ||||||||||
| RMB Holdings Ltd. | 234,450 | 1,289,964 | (23,907 | ) | (1.5 | ) | ||||||||||
| Sasol Ltd. | 13,783 | 501,244 | 19,778 | 1.2 | ||||||||||||
| Tiger Brands Ltd. | 31,342 | 756,966 | (131,360 | ) | (8.2 | ) | ||||||||||
| Truworths International Ltd. | 89,373 | 499,694 | (103,387 | ) | (6.4 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
129
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| South Africa (continued) | ||||||||||||||||
| Woolworths Holdings Ltd. | 310,335 | $ | 1,251,285 | $ | (13,714 | ) | (0.9 | ) % | ||||||||
| United Kingdom | ||||||||||||||||
| Mondi Ltd. | 64,984 | 1,760,192 | 228,234 | 14.2 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| South Africa | ||||||||||||||||
| Brait SE | (319,046 | ) | (989,256 | ) | (112,925 | ) | (7.0 | ) | ||||||||
| Capitec Bank Holdings Ltd. | (2,599 | ) | (163,742 | ) | (4,453 | ) | (0.3 | ) | ||||||||
| Clicks Group Ltd. | (7,355 | ) | (105,018 | ) | 4,282 | 0.3 | ||||||||||
| Coronation Fund Managers Ltd. | (269,582 | ) | (1,144,785 | ) | 286,847 | 17.9 | ||||||||||
| Discovery Ltd. | (268,907 | ) | (2,886,063 | ) | 536,092 | 33.4 | ||||||||||
| Investec Ltd. | (13,052 | ) | (91,078 | ) | 825 | 0.1 | ||||||||||
| Life Healthcare Group Holdings Ltd. | (705,090 | ) | (1,274,800 | ) | 137,809 | 8.6 | ||||||||||
| MMI Holdings Ltd. | (124,028 | ) | (159,801 | ) | 47,522 | 3.0 | ||||||||||
| MTN Group Ltd. | (231,587 | ) | (1,820,089 | ) | 159,653 | 10.0 | ||||||||||
| Naspers Ltd. | (2,692 | ) | (678,771 | ) | (27,240 | ) | (1.7 | ) | ||||||||
| Nedbank Group Ltd. | (31,417 | ) | (570,604 | ) | 78,039 | 4.9 | ||||||||||
| Netcare Ltd. | (13,409 | ) | (26,884 | ) | 1,317 | 0.1 | ||||||||||
| Pioneer Foods Group Ltd. | (108,413 | ) | (883,615 | ) | 117,220 | 7.3 | ||||||||||
| PSG Group Ltd. | (51,085 | ) | (803,581 | ) | (13,595 | ) | (0.8 | ) | ||||||||
| Sanlam Ltd. | (158,940 | ) | (807,517 | ) | 123,820 | 7.7 | ||||||||||
| Sappi Ltd. | (72,622 | ) | (483,204 | ) | (29,559 | ) | (1.8 | ) | ||||||||
| Shoprite Holdings Ltd. | (10,539 | ) | (168,927 | ) | 20,848 | 1.3 | ||||||||||
| SPAR Group Ltd. (The) | (9,867 | ) | (133,283 | ) | (316 | ) | (0.0 | ) | ||||||||
| Telkom SA SOC Ltd. | (174,327 | ) | (621,817 | ) | 98,410 | 6.1 | ||||||||||
| Vodacom Group Ltd. | (222,559 | ) | (1,989,342 | ) | 436,344 | 27.2 | ||||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.11% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | 60-61 months maturity 04/13/2023 | $37,679,963 | $2,543,503 | $27,019 | $2,570,522 | ||||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United Kingdom | ||||||||||||||||
| Fidessa Group plc | 12,279 | $ | 625,452 | $ | (36,816 | ) | (1.4 | )% | ||||||||
| NEX Group plc | 67,719 | 915,409 | 27,590 | 1.1 | ||||||||||||
| Sky plc | 1,595,281 | 30,723,229 | 3,042,424 | 118.4 | ||||||||||||
| ZPG plc | 258,200 | 1,660,275 | (3,572 | ) | (0.1 | ) | ||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United Kingdom | ||||||||||||||||
| Informa plc | (341,664 | ) | (3,755,598 | ) | (486,123 | ) | (18.9 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
130
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.03% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | 60-61 months maturity ranging from 04/12/2023 - 06/21/2023 |
$28,408,389 | $159,025 | $18,309 | $177,334 | ||||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Cotiviti Holdings, Inc. | 110,770 | $ | 4,888,280 | $ | 14,479 | 8.2 | % | |||||||||
| First Connecticut Bancorp, Inc. | 70,396 | 2,154,118 | (39,403 | ) | (22.2 | ) | ||||||||||
| Guaranty Bancorp | 19,671 | 586,196 | (60,589 | ) | (34.2 | ) | ||||||||||
| LaSalle Hotel Properties | 148,485 | 5,082,641 | 78,979 | 44.5 | ||||||||||||
| MB Financial, Inc. | 116,375 | 5,434,712 | (365,963 | ) | (206.4 | ) | ||||||||||
| Rent-A-Center, Inc. | 178,265 | 2,624,061 | 318 | 0.2 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Fifth Third Bancorp | (168,806 | ) | (4,844,732 | ) | 423,981 | 239.1 | ||||||||||
| Independent Bank Group, Inc. | (8,900 | ) | (594,520 | ) | 60,265 | 34.0 | ||||||||||
| People’s United Financial, Inc. | (121,566 | ) | (2,199,129 | ) | 46,958 | 26.5 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
131
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-5.75% to 0.70%), which is denominated in USD based on the local currencies of the positions within the swap. | 1-61 months maturity ranging from 01/14/2021 - 07/03/2023 |
$3,443,141,092 | $(55,233,165 | ) | $(44,966,371 | ) | $(100,199,536 | ) | |||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Baxter International, Inc. | 211,058 | $ | 15,584,523 | $ | 1,411,827 | (1.4 | )% | |||||||||
| Best Buy Co., Inc. | 189,174 | 14,108,597 | 429,640 | (0.4 | ) | |||||||||||
| Boston Scientific Corp. | 392,929 | 12,848,778 | 2,108,232 | (2.1 | ) | |||||||||||
| Centene Corp. | 185,146 | 22,811,839 | 3,395,882 | (3.4 | ) | |||||||||||
| Cigna Corp. | 84,095 | 14,291,945 | (1,742,205 | ) | 1.7 | |||||||||||
| Consolidated Edison, Inc. | 251,245 | 19,592,085 | 542,014 | (0.5 | ) | |||||||||||
| Cummins, Inc. | 113,290 | 15,067,570 | (2,824,463 | ) | 2.8 | |||||||||||
| Dell Technologies, Inc. | 193,988 | 16,407,505 | 2,763,949 | (2.8 | ) | |||||||||||
| DXC Technology Co. | 168,446 | 13,578,432 | (3,114,022 | ) | 3.1 | |||||||||||
| Exelon Corp. | 1,070,595 | 45,607,347 | 6,122,444 | (6.1 | ) | |||||||||||
| Humana, Inc. | 71,734 | 21,350,190 | 2,133,239 | (2.1 | ) | |||||||||||
| Huntington Ingalls Industries, Inc. | 62,660 | 13,584,061 | (1,523,886 | ) | 1.5 | |||||||||||
| Hyatt Hotels Corp. | 219,400 | 16,926,710 | (508,884 | ) | 0.5 | |||||||||||
| Jabil, Inc. | 528,561 | 14,619,997 | 603,935 | (0.6 | ) | |||||||||||
| KB Home | 479,988 | 13,074,873 | (1,767,622 | ) | 1.8 | |||||||||||
| Molina Healthcare, Inc. | 174,327 | 17,073,586 | 3,759,964 | (3.8 | ) | |||||||||||
| Northrop Grumman Corp. | 42,522 | 13,084,019 | (938,485 | ) | 0.9 | |||||||||||
| NVR, Inc. | 4,598 | 13,657,669 | (311,843 | ) | 0.3 | |||||||||||
| Oshkosh Corp. | 213,589 | 15,019,578 | (3,027,224 | ) | 3.0 | |||||||||||
| Popular, Inc. | 348,406 | 15,751,435 | 1,141,817 | (1.1 | ) | |||||||||||
| Raytheon Co. | 159,847 | 30,879,243 | (3,443,549 | ) | 3.4 | |||||||||||
| Spirit AeroSystems Holdings, Inc. | 189,188 | 16,253,141 | (1,133,197 | ) | 1.1 | |||||||||||
| Waste Management, Inc. | 196,589 | 15,990,549 | (345,092 | ) | 0.3 | |||||||||||
| WellCare Health Plans, Inc. | 104,284 | 25,678,892 | 5,370,053 | (5.4 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Atlassian Corp. plc | (278,789 | ) | (17,429,888 | ) | (2,377,605 | ) | 2.4 | |||||||||
| Bank of the Ozarks, Inc. | (316,305 | ) | (14,246,377 | ) | 1,688,537 | (1.7 | ) | |||||||||
| Becton Dickinson and Co. | (73,523 | ) | (17,613,170 | ) | (1,387,916 | ) | 1.4 | |||||||||
| CarMax, Inc. | (242,856 | ) | (17,696,917 | ) | (2,534,828 | ) | 2.5 | |||||||||
| Cognex Corp. | (469,589 | ) | (20,948,365 | ) | 4,077,771 | (4.1 | ) | |||||||||
| Copart, Inc. | (448,862 | ) | (25,387,635 | ) | (5,129,265 | ) | 5.1 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
132
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| DexCom, Inc. | (225,774 | ) | $ | (21,444,015 | ) | $ | (8,563,208 | ) | 8.5 | % | ||||||
| Discovery, Inc. | (873,759 | ) | (24,028,373 | ) | (3,946,846 | ) | 3.9 | |||||||||
| Fastenal Co. | (314,750 | ) | (15,148,918 | ) | 2,052,170 | (2.0 | ) | |||||||||
| Gartner, Inc. | (163,662 | ) | (21,750,680 | ) | (2,257,052 | ) | 2.3 | |||||||||
| Guidewire Software, Inc. | (166,414 | ) | (14,774,235 | ) | (1,508,301 | ) | 1.5 | |||||||||
| HEICO Corp. | (255,615 | ) | (18,642,002 | ) | (2,488,498 | ) | 2.5 | |||||||||
| Henry Schein, Inc. | (407,050 | ) | (29,568,112 | ) | (1,516,661 | ) | 1.5 | |||||||||
| Integrated Device Technology, Inc. | (405,285 | ) | (12,920,486 | ) | (1,211,862 | ) | 1.2 | |||||||||
| Liberty Broadband Corp. | (206,198 | ) | (15,613,313 | ) | 1,864,584 | (1.9 | ) | |||||||||
| MarketAxess Holdings, Inc. | (119,018 | ) | (23,548,901 | ) | 235,853 | (0.2 | ) | |||||||||
| Middleby Corp. (The) | (201,990 | ) | (21,091,796 | ) | 3,730,711 | (3.7 | ) | |||||||||
| Newell Brands, Inc. | (551,672 | ) | (14,227,621 | ) | 289,814 | (0.3 | ) | |||||||||
| PPL Corp. | (2,090,071 | ) | (59,671,527 | ) | 92,331 | (0.1 | ) | |||||||||
| Sabre Corp. | (526,502 | ) | (12,973,009 | ) | (1,738,971 | ) | 1.7 | |||||||||
| Sensata Technologies Holding plc | (286,920 | ) | (13,651,654 | ) | 1,520,676 | (1.5 | ) | |||||||||
| Six Flags Entertainment Corp. | (251,077 | ) | (17,587,944 | ) | (771,991 | ) | 0.8 | |||||||||
| Southern Co. (The) | (393,041 | ) | (18,201,729 | ) | (1,054,723 | ) | 1.1 | |||||||||
| TransDigm Group, Inc. | (130,161 | ) | (44,923,768 | ) | (6,933,270 | ) | 6.9 | |||||||||
| Ultimate Software Group, Inc. (The) | (61,108 | ) | (15,723,699 | ) | (1,067,114 | ) | 1.1 | |||||||||
| Wabtec Corp. | (216,333 | ) | (21,326,107 | ) | (5,490,532 | ) | 5.5 | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-14.50 to 0.65%), which is denominated in EUR based on the local currencies of the positions within the swap. | 31-36 months maturity 01/14/2021 | $317,587,354 | $(7,145,014 | ) | $620,557 | $(6,524,457 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Finland | ||||||||||||||||
| Kesko OYJ | 72,111 | $ | 4,404,462 | $ | 440,394 | (6.7 | )% | |||||||||
| Germany | ||||||||||||||||
| Aurubis AG | 65,400 | 4,992,264 | (614,421 | ) | 9.4 | |||||||||||
| Covestro AG | 92,060 | 8,182,625 | (1,180,310 | ) | 18.1 | |||||||||||
| Deutsche Lufthansa AG (Registered) | 309,018 | 7,403,339 | (2,012,323 | ) | 30.8 | |||||||||||
| HOCHTIEF AG | 16,651 | 3,002,724 | 452,218 | (6.9 | ) | |||||||||||
| Rheinmetall AG | 79,545 | 8,751,727 | (1,090,923 | ) | 16.7 | |||||||||||
| RWE AG | 118,007 | 2,681,653 | (29,132 | ) | 0.4 | |||||||||||
| Salzgitter AG | 106,075 | 4,615,111 | (1,129,496 | ) | 17.3 | |||||||||||
| Schaeffler AG (Preference) | 185,038 | 2,401,637 | (444,443 | ) | 6.8 | |||||||||||
| Software AG | 100,398 | 4,666,225 | (266,428 | ) | 4.1 | |||||||||||
| Suedzucker AG | 163,971 | 2,606,293 | (221,001 | ) | 3.4 | |||||||||||
| Talanx AG | 75,416 | 2,747,375 | (333,767 | ) | 5.1 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
133
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Italy | ||||||||||||||||
| A2A SpA | 4,163,502 | $ | 7,206,743 | $ | 296,789 | (4.5 | ) % | |||||||||
| Autogrill SpA | 245,243 | 3,029,135 | (35,452 | ) | 0.5 | |||||||||||
| Enel SpA | 822,184 | 4,555,871 | (37,319 | ) | 0.6 | |||||||||||
| Eni SpA | 235,304 | 4,362,860 | 565,578 | (8.7 | ) | |||||||||||
| FinecoBank Banca Fineco SpA | 199,201 | 2,242,418 | 99,746 | (1.5 | ) | |||||||||||
| Mediobanca Banca di Credito Finanziario SpA | 318,842 | 2,949,298 | (575,163 | ) | 8.8 | |||||||||||
| Moncler SpA | 81,903 | 3,716,352 | 1,166,391 | (17.9 | ) | |||||||||||
| Poste Italiane SpA | 912,297 | 7,614,608 | 752,124 | (11.5 | ) | |||||||||||
| Unipol Gruppo SpA | 1,263,253 | 4,867,465 | (1,154,165 | ) | 17.7 | |||||||||||
| Netherlands | ||||||||||||||||
| ASM International NV | 70,353 | 3,876,642 | (720,723 | ) | 11.0 | |||||||||||
| ASR Nederland NV | 125,472 | 5,109,332 | 110,771 | (1.7 | ) | |||||||||||
| NN Group NV | 117,766 | 4,776,167 | (201,715 | ) | 3.1 | |||||||||||
| Spain | ||||||||||||||||
| ACS Actividades de Construccion y Servicios SA | 57,662 | 2,326,428 | 284,074 | (4.4 | ) | |||||||||||
| Bankinter SA | 358,734 | 3,480,797 | (206,327 | ) | 3.2 | |||||||||||
| Repsol SA | 347,213 | 6,777,280 | 1,159,861 | (17.8 | ) | |||||||||||
| Switzerland | ||||||||||||||||
| STMicroelectronics NV | 162,746 | 3,610,247 | 217,972 | (3.3 | ) | |||||||||||
| United Kingdom | ||||||||||||||||
| Fiat Chrysler Automobiles NV | 529,540 | 9,989,371 | (1,292,346 | ) | 19.8 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Belgium | ||||||||||||||||
| Anheuser-Busch InBev SA/NV | (32,361 | ) | (3,264,092 | ) | (55,083 | ) | 0.8 | |||||||||
| Finland | ||||||||||||||||
| Orion OYJ | (86,664 | ) | (2,330,830 | ) | 261,144 | (4.0 | ) | |||||||||
| Germany | ||||||||||||||||
| Deutsche Bank AG (Registered) | (409,755 | ) | (4,383,753 | ) | 1,251,095 | (19.2 | ) | |||||||||
| Deutsche Telekom AG (Registered) | (178,103 | ) | (2,752,477 | ) | (29,805 | ) | 0.5 | |||||||||
| FUCHS PETROLUB SE (Preference) | (57,122 | ) | (2,810,768 | ) | 155,923 | (2.4 | ) | |||||||||
| GEA Group AG | (136,213 | ) | (4,587,410 | ) | 1,447,127 | (22.2 | ) | |||||||||
| ProSiebenSat.1 Media SE | (226,503 | ) | (5,731,661 | ) | 2,318,054 | (35.5 | ) | |||||||||
| Symrise AG | (24,657 | ) | (2,156,857 | ) | (276,508 | ) | 4.2 | |||||||||
| Wirecard AG | (22,640 | ) | (3,622,862 | ) | (1,133,533 | ) | 17.4 | |||||||||
| Italy | ||||||||||||||||
| Azimut Holding SpA | (205,870 | ) | (3,172,537 | ) | 852,340 | (13.1 | ) | |||||||||
| Banca Generali SpA | (86,145 | ) | (2,138,158 | ) | 567,585 | (8.7 | ) | |||||||||
| Ferrari NV | (71,399 | ) | (9,650,946 | ) | (1,143,016 | ) | 17.5 | |||||||||
| Leonardo SpA | (660,527 | ) | (6,501,161 | ) | 483,441 | (7.4 | ) | |||||||||
| Saipem SpA | (518,889 | ) | (2,379,713 | ) | (290,661 | ) | 4.5 | |||||||||
| Unione di Banche Italiane SpA | (588,036 | ) | (2,252,356 | ) | 357,197 | (5.5 | ) | |||||||||
| Luxembourg | ||||||||||||||||
| Tenaris SA | (1,034,852 | ) | (18,886,069 | ) | (3,339,136 | ) | 51.2 | |||||||||
| Netherlands | ||||||||||||||||
| Koninklijke Vopak NV | (226,118 | ) | (10,422,213 | ) | (1,491,989 | ) | 22.9 | |||||||||
| SBM Offshore NV | (264,779 | ) | (4,105,483 | ) | 2,496 | (0.0 | ) | |||||||||
| Spain | ||||||||||||||||
| Bankia SA | (1,733,385 | ) | (6,463,915 | ) | 1,259,378 | (19.3 | ) | |||||||||
| Cellnex Telecom SA | (414,119 | ) | (10,411,560 | ) | (752,490 | ) | 11.5 | |||||||||
| Industria de Diseno Textil SA | (107,730 | ) | (3,668,650 | ) | (497,246 | ) | 7.6 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
134
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 31-36 months maturity 01/14/2021 | $48,795,624 | $7,851,248 | $(149,585 | ) | $7,701,663 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Denmark | ||||||||||||||||
| Carlsberg A/S | 29,893 | $ | 3,517,166 | $ | 182,520 | 2.4 | % | |||||||||
| Danske Bank A/S | 97,058 | 3,023,735 | (681,526 | ) | (8.8 | ) | ||||||||||
| Dfds A/S | 34,902 | 2,221,569 | 274,997 | 3.6 | ||||||||||||
| DSV A/S | 18,239 | 1,468,271 | 121,126 | 1.6 | ||||||||||||
| FLSmidth & Co. A/S | 3,187 | 190,156 | (4,908 | ) | (0.1 | ) | ||||||||||
| GN Store Nord A/S | 106,494 | 4,838,683 | 1,413,125 | 18.3 | ||||||||||||
| H Lundbeck A/S | 125,068 | 8,765,578 | 2,509,407 | 32.6 | ||||||||||||
| Jyske Bank A/S (Registered) | 31,654 | 1,730,205 | 21,711 | 0.3 | ||||||||||||
| Novo Nordisk A/S | 9,415 | 434,884 | 12,113 | 0.2 | ||||||||||||
| Orsted A/S | 12,730 | 769,161 | 2,887 | 0.0 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Denmark | ||||||||||||||||
| AP Moller - Maersk A/S | (3,637 | ) | (4,499,332 | ) | 1,027,492 | 13.3 | ||||||||||
| Chr Hansen Holding A/S | (11,521 | ) | (1,060,634 | ) | (151,150 | ) | (2.0 | ) | ||||||||
| Novozymes A/S | (31,870 | ) | (1,611,929 | ) | (86,629 | ) | (1.1 | ) | ||||||||
| Pandora A/S | (147,436 | ) | (10,275,910 | ) | 3,604,966 | 46.8 | ||||||||||
| Tryg A/S | (26,320 | ) | (616,372 | ) | (28,915 | ) | (0.4 | ) | ||||||||
| Vestas Wind Systems A/S | (23,028 | ) | (1,421,664 | ) | 129,741 | 1.7 | ||||||||||
| William Demant Holding A/S | (58,566 | ) | (2,350,375 | ) | (495,709 | ) | (6.4 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
135
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-1.65% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap. | 31-36 months maturity 01/14/2021 | $66,393,744 | $2,964,958 | $(63,140 | ) | $2,901,818 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Switzerland | ||||||||||||||||
| Baloise Holding AG (Registered) | 12,344 | $ | 1,790,586 | $ | (24,731 | ) | (0.9 | )% | ||||||||
| Barry Callebaut AG (Registered) | 251 | 449,771 | (3,399 | ) | (0.1 | ) | ||||||||||
| Bucher Industries AG (Registered) | 611 | 203,810 | (40,270 | ) | (1.4 | ) | ||||||||||
| DKSH Holding AG | 4,563 | 320,795 | (42,517 | ) | (1.5 | ) | ||||||||||
| Flughafen Zurich AG (Registered) | 13,361 | 2,718,497 | (300,563 | ) | (10.4 | ) | ||||||||||
| GAM Holding AG | 89,392 | 1,229,212 | (204,484 | ) | (7.0 | ) | ||||||||||
| Georg Fischer AG (Registered) | 2,224 | 2,840,014 | (27,018 | ) | (0.9 | ) | ||||||||||
| Helvetia Holding AG (Registered) | 5,121 | 2,921,468 | 113,650 | 3.9 | ||||||||||||
| Partners Group Holding AG | 1,625 | 1,187,950 | 72,941 | 2.5 | ||||||||||||
| Roche Holding AG | 27,834 | 6,175,200 | 38,143 | 1.3 | ||||||||||||
| Sika AG (Registered) | 8,588 | 1,186,601 | 95,253 | 3.3 | ||||||||||||
| Straumann Holding AG (Registered) | 139 | 105,416 | 13,609 | 0.5 | ||||||||||||
| Sunrise Communications Group AG | 42,737 | 3,472,606 | (410,590 | ) | (14.1 | ) | ||||||||||
| Swiss Life Holding AG (Registered) | 1,817 | 630,048 | 20,945 | 0.7 | ||||||||||||
| Temenos AG (Registered) | 79,693 | 11,984,758 | 2,474,265 | 85.3 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Austria | ||||||||||||||||
| ams AG | (58,922 | ) | (4,369,663 | ) | 1,973,760 | 68.0 | ||||||||||
| Switzerland | ||||||||||||||||
| ABB Ltd. (Registered) | (3,195 | ) | (69,695 | ) | 5,013 | 0.2 | ||||||||||
| Adecco Group AG (Registered) | (1,158 | ) | (68,338 | ) | 938 | 0.0 | ||||||||||
| Aryzta AG | (54,254 | ) | (811,528 | ) | 396,934 | 13.7 | ||||||||||
| Chocoladefabriken Lindt & Spruengli AG | (572 | ) | (3,707,489 | ) | (504,697 | ) | (17.4 | ) | ||||||||
| Credit Suisse Group AG (Registered) | (402,823 | ) | (6,023,444 | ) | 904,737 | 31.2 | ||||||||||
| Geberit AG (Registered) | (397 | ) | (169,981 | ) | 2,016 | 0.1 | ||||||||||
| Idorsia Ltd. | (11,403 | ) | (300,879 | ) | (18,026 | ) | (0.6 | ) | ||||||||
| Kuehne + Nagel International AG (Registered) | (1,437 | ) | (215,725 | ) | 3,303 | 0.1 | ||||||||||
| LafargeHolcim Ltd. (Registered) | (9,235 | ) | (449,027 | ) | 35,758 | 1.2 | ||||||||||
| Panalpina Welttransport Holding AG (Registered) | (4,615 | ) | (628,236 | ) | 63,746 | 2.2 | ||||||||||
| Swatch Group AG (The) | (1,185 | ) | (560,957 | ) | (80,155 | ) | (2.8 | ) | ||||||||
| Swisscom AG (Registered) | (157 | ) | (70,074 | ) | (1,126 | ) | (0.0 | ) | ||||||||
| UBS Group AG (Registered) | (87,178 | ) | (1,336,470 | ) | 191,662 | 6.6 | ||||||||||
| Vifor Pharma AG | (65,170 | ) | (10,395,506 | ) | (1,784,139 | ) | (61.5 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
136
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-1.25% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap. | 31-36 months maturity 01/14/2021 | $47,091,885 | $(2,631,864 | ) | $(105,482 | ) | $(2,737,346 | ) | |||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions |
|
|||||||||||||||
| Common Stock |
|
|||||||||||||||
| Malta | ||||||||||||||||
| Kindred Group plc | 249,238 | $ | 3,122,395 | $ | (418,693 | ) | 15.3 | % | ||||||||
| Sweden | ||||||||||||||||
| Boliden AB | 224,476 | 7,244,623 | 154,425 | (5.6 | ) | |||||||||||
| Electrolux AB | 109,388 | 2,482,409 | (669,566 | ) | 24.5 | |||||||||||
| Essity AB | 23,306 | 573,364 | (6,967 | ) | 0.3 | |||||||||||
| Husqvarna AB | 203,433 | 1,924,505 | (23,961 | ) | 0.9 | |||||||||||
| Sandvik AB | 10,409 | 183,833 | 10,444 | (0.4 | ) | |||||||||||
| Securitas AB | 15,273 | 250,448 | 5,479 | (0.2 | ) | |||||||||||
| SSAB AB | 350,683 | 1,649,207 | (226,350 | ) | 8.3 | |||||||||||
| Svenska Cellulosa AB SCA | 199,992 | 2,165,060 | 358,780 | (13.1 | ) | |||||||||||
| Swedish Match AB | 31,087 | 1,536,373 | 350,201 | (12.8 | ) | |||||||||||
| Swedish Orphan Biovitrum AB | 9,023 | 196,504 | 13,943 | (0.5 | ) | |||||||||||
| Tele2 AB | 67,353 | 788,866 | 79,653 | (2.9 | ) | |||||||||||
| Volvo AB | 15,275 | 242,767 | (18,745 | ) | 0.7 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Colombia | ||||||||||||||||
| Millicom International Cellular SA | (49,271 | ) | (2,895,762 | ) | 168,537 | (6.2 | ) | |||||||||
| Sweden | ||||||||||||||||
| Axfood AB | (9,472 | ) | (181,796 | ) | (23,695 | ) | 0.9 | |||||||||
| Elekta AB | (141,192 | ) | (1,855,777 | ) | (771,626 | ) | 28.2 | |||||||||
| Getinge AB | (64,996 | ) | (590,036 | ) | 102,337 | (3.7 | ) | |||||||||
| Hennes & Mauritz AB | (442,176 | ) | (6,581,812 | ) | 54,446 | (2.0 | ) | |||||||||
| Hexpol AB | (83,941 | ) | (868,248 | ) | (188,721 | ) | 6.9 | |||||||||
| NCC AB | (6,029 | ) | (99,970 | ) | 9,663 | (0.4 | ) | |||||||||
| Nordea Bank AB | (77,706 | ) | (745,402 | ) | 10,603 | (0.4 | ) | |||||||||
| Saab AB | (5,061 | ) | (209,587 | ) | 1,458 | (0.1 | ) | |||||||||
| Skandinaviska Enskilda Banken AB | (29,477 | ) | (278,981 | ) | (13,213 | ) | 0.5 | |||||||||
| Skanska AB | (37,514 | ) | (679,031 | ) | 10,219 | (0.4 | ) | |||||||||
| Svenska Handelsbanken AB | (184,237 | ) | (2,040,508 | ) | 258,736 | (9.5 | ) | |||||||||
| Swedbank AB | (3,505 | ) | (74,678 | ) | (2,535 | ) | 0.1 | |||||||||
| Telefonaktiebolaget LM Ericsson | (990,361 | ) | (7,629,943 | ) | (1,856,716 | ) | 67.8 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
137
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-4.75% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swap. | 31-36 months maturity 01/14/2021 | $885,833,485 | $(17,022,924 | ) | $(4,834,179 | ) | $(21,857,103 | ) | |||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| Aozora Bank Ltd. | 187,900 | $ | 7,131,107 | $ | (187,854 | ) | 0.9 | % | ||||||||
| Haseko Corp. | 563,300 | 7,764,022 | 121,501 | (0.6 | ) | |||||||||||
| Hikari Tsushin, Inc. | 29,300 | 5,142,129 | 1,202,014 | (5.5 | ) | |||||||||||
| Hitachi Ltd. | 2,639,000 | 18,591,712 | (538,901 | ) | 2.5 | |||||||||||
| Japan Airlines Co. Ltd. | 222,800 | 7,894,043 | (187,890 | ) | 0.9 | |||||||||||
| Kajima Corp. | 1,416,000 | 10,940,950 | (1,636,803 | ) | 7.5 | |||||||||||
| Kamigumi Co. Ltd. | 239,600 | 4,973,100 | (55,612 | ) | 0.3 | |||||||||||
| Kirin Holdings Co. Ltd. | 328,600 | 8,808,087 | 1,313,566 | (6.0 | ) | |||||||||||
| Konami Holdings Corp. | 210,600 | 10,700,942 | 444,478 | (2.0 | ) | |||||||||||
| Lion Corp. | 354,000 | 6,477,582 | (133,545 | ) | 0.6 | |||||||||||
| Marubeni Corp. | 910,200 | 6,929,705 | 528,290 | (2.4 | ) | |||||||||||
| Nexon Co. Ltd. | 446,500 | 6,478,432 | 2,156,643 | (9.9 | ) | |||||||||||
| Nippon Express Co. Ltd. | 74,900 | 5,427,444 | 735,144 | (3.4 | ) | |||||||||||
| Nippon Shinyaku Co. Ltd. | 85,900 | 5,330,788 | 586,572 | (2.7 | ) | |||||||||||
| Obayashi Corp. | 849,800 | 8,823,832 | (15,487 | ) | 0.1 | |||||||||||
| Oji Holdings Corp. | 837,000 | 5,186,878 | 61,189 | (0.3 | ) | |||||||||||
| Resona Holdings, Inc. | 1,329,400 | 7,085,408 | (255,411 | ) | 1.2 | |||||||||||
| Sega Sammy Holdings, Inc. | 362,600 | 6,206,070 | 1,061,733 | (4.9 | ) | |||||||||||
| Shimadzu Corp. | 235,200 | 7,096,214 | 1,427,455 | (6.5 | ) | |||||||||||
| Square Enix Holdings Co. Ltd. | 165,000 | 8,090,298 | 1,764,099 | (8.1 | ) | |||||||||||
| Taisei Corp. | 315,400 | 17,368,905 | 2,872,093 | (13.1 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| AEON Financial Service Co. Ltd. | (238,900 | ) | (5,091,921 | ) | 68,775 | (0.3 | ) | |||||||||
| Alps Electric Co. Ltd. | (451,600 | ) | (11,598,157 | ) | (461,698 | ) | 2.1 | |||||||||
| Asics Corp. | (434,500 | ) | (7,334,840 | ) | (577,184 | ) | 2.6 | |||||||||
| Calbee, Inc. | (373,200 | ) | (14,038,887 | ) | (1,990,059 | ) | 9.1 | |||||||||
| Casio Computer Co. Ltd. | (694,800 | ) | (11,284,260 | ) | (2,081,430 | ) | 9.5 | |||||||||
| Chugoku Electric Power Co., Inc. (The) | (540,300 | ) | (6,979,647 | ) | (1,166,370 | ) | 5.3 | |||||||||
| CyberAgent, Inc. | (112,400 | ) | (6,741,002 | ) | (2,546,396 | ) | 11.7 | |||||||||
| DeNA Co. Ltd. | (579,200 | ) | (10,845,940 | ) | (1,241,873 | ) | 5.7 | |||||||||
| FamilyMart UNY Holdings Co. Ltd. | (60,800 | ) | (6,402,509 | ) | (2,410,704 | ) | 11.0 | |||||||||
| Hokuriku Electric Power Co. | (596,800 | ) | (5,994,258 | ) | (1,739,390 | ) | 8.0 | |||||||||
| Kakaku.com, Inc. | (527,400 | ) | (11,875,981 | ) | (3,317,349 | ) | 15.2 | |||||||||
| Kansai Paint Co. Ltd. | (436,300 | ) | (9,054,307 | ) | 717,992 | (3.3 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
138
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Japan (continued) | ||||||||||||||||
| Kikkoman Corp. | (147,900 | ) | $ | (7,467,270 | ) | $ | (1,980,435 | ) | 9.1 | % | ||||||
| M3, Inc. | (173,411 | ) | (6,896,252 | ) | (513,467 | ) | 2.3 | |||||||||
| Marui Group Co. Ltd. | (368,500 | ) | (7,751,427 | ) | (1,490,388 | ) | 6.8 | |||||||||
| MonotaRO Co. Ltd. | (119,200 | ) | (5,265,737 | ) | (1,571,272 | ) | 7.2 | |||||||||
| Murata Manufacturing Co. Ltd. | (100,600 | ) | (16,888,368 | ) | (3,431,605 | ) | 15.7 | |||||||||
| NGK Spark Plug Co. Ltd. | (563,600 | ) | (16,022,456 | ) | (3,070,903 | ) | 14.0 | |||||||||
| Nidec Corp. | (55,300 | ) | (8,272,309 | ) | (145,885 | ) | 0.7 | |||||||||
| Nippon Paint Holdings Co. Ltd. | (388,100 | ) | (16,690,294 | ) | (4,432,461 | ) | 20.3 | |||||||||
| Ricoh Co. Ltd. | (1,178,900 | ) | (10,796,051 | ) | 667,557 | (3.1 | ) | |||||||||
| Sawai Pharmaceutical Co. Ltd. | (126,300 | ) | (5,743,746 | ) | (69,689 | ) | 0.3 | |||||||||
| Shimano, Inc. | (67,000 | ) | (9,831,892 | ) | (651,152 | ) | 3.0 | |||||||||
| Sony Financial Holdings, Inc. | (545,400 | ) | (10,391,561 | ) | (902,309 | ) | 4.1 | |||||||||
| Start Today Co. Ltd. | (150,700 | ) | (5,452,414 | ) | (535,325 | ) | 2.4 | |||||||||
| Sumitomo Metal Mining Co. Ltd. | (216,200 | ) | (8,251,654 | ) | 1,236,983 | (5.7 | ) | |||||||||
| Yamaha Corp. | (125,000 | ) | (6,487,214 | ) | (1,570,352 | ) | 7.2 | |||||||||
| Yamato Holdings Co. Ltd. | (308,700 | ) | (9,085,860 | ) | (1,630,476 | ) | 7.5 | |||||||||
| Yaskawa Electric Corp. | (217,600 | ) | (7,662,807 | ) | 1,411,264 | (6.5 | ) | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-1.79% to 0.30%), which is denominated in USD based on the local currencies of the positions within the swap. | 31-57 months maturity 01/14/2021 | $750,920,966 | $(5,641,537 | ) | $5,965,126 | $323,589 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Israel | ||||||||||||||||
| Orbotech Ltd. | 147,776 | $ | 9,132,557 | $ | (161,705 | ) | (50.0 | )% | ||||||||
| Netherlands | ||||||||||||||||
| NXP Semiconductors NV | 386,487 | 42,231,435 | (1,195,721 | ) | (369.5 | ) | ||||||||||
| United States | ||||||||||||||||
| Aetna, Inc. | 121,893 | 22,367,366 | 114,766 | 35.5 | ||||||||||||
| Akorn, Inc. | 632,000 | 10,484,880 | (10,517,786 | ) | (3250.4 | ) | ||||||||||
| AmTrust Financial Services, Inc. | 336,051 | 4,896,263 | 486,712 | 150.4 | ||||||||||||
| Andeavor | 210,580 | 27,623,884 | (1,623,920 | ) | (501.8 | ) | ||||||||||
| Avista Corp. | 491,406 | 25,877,440 | 337,924 | 104.4 | ||||||||||||
| Cavium, Inc. | 413,546 | 35,771,729 | 885,919 | 273.8 | ||||||||||||
| Dr Pepper Snapple Group, Inc. | 21,841 | 2,664,602 | 68,244 | 21.1 | ||||||||||||
| Education Realty Trust, Inc. | 110,000 | 4,565,000 | 6,846 | 2.1 | ||||||||||||
| Envision Healthcare Corp. | 280,849 | 12,360,164 | (206,435 | ) | (63.8 | ) | ||||||||||
| Express Scripts Holding Co. | 414,485 | 32,002,387 | 388,219 | 120.0 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
139
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| Financial Engines, Inc. | 70,119 | $ | 3,148,343 | $ | 20,443 | 6.3 | % | |||||||||
| Genworth Financial, Inc. | 1,230,743 | 5,538,344 | (166,784 | ) | (51.5 | ) | ||||||||||
| Gramercy Property Trust | 146,567 | 4,004,210 | (31,187 | ) | (9.6 | ) | ||||||||||
| ILG, Inc. | 380,156 | 12,556,553 | 23,073 | 7.1 | ||||||||||||
| Infinity Property & Casualty Corp. | 25,368 | 3,611,135 | 464,005 | 143.4 | ||||||||||||
| KapStone Paper and Packaging Corp. | 461,564 | 15,923,958 | (22,900 | ) | (7.1 | ) | ||||||||||
| Mitel Networks Corp. | 464,661 | 5,097,331 | (42,476 | ) | (13.1 | ) | ||||||||||
| NxStage Medical, Inc. | 513,871 | 14,337,001 | (718,608 | ) | (222.1 | ) | ||||||||||
| Oclaro, Inc. | 294,582 | 2,630,617 | 76,559 | 23.7 | ||||||||||||
| Pinnacle Entertainment, Inc. | 163,881 | 5,527,706 | 422,077 | 130.4 | ||||||||||||
| Pinnacle Foods, Inc. | 198,000 | 12,881,880 | (13,289 | ) | (4.1 | ) | ||||||||||
| Rockwell Collins, Inc. | 259,284 | 34,920,369 | 596,412 | 184.3 | ||||||||||||
| RSP Permian, Inc. | 610,411 | 26,870,292 | (239,389 | ) | (74.0 | ) | ||||||||||
| SCANA Corp. | 464,219 | 17,881,716 | (2,678,057 | ) | (827.6 | ) | ||||||||||
| Shire plc, ADR | 26,356 | 4,448,893 | 159,491 | 49.3 | ||||||||||||
| Sprint Corp. | 1,343,083 | 7,306,372 | 199,443 | 61.6 | ||||||||||||
| State Bank Financial Corp. | 116,967 | 3,906,698 | (82,840 | ) | (25.6 | ) | ||||||||||
| Tribune Media Co. | 151,127 | 5,783,630 | (201,882 | ) | (62.4 | ) | ||||||||||
| Twenty-First Century Fox, Inc. | 249,372 | 12,391,295 | 3,386,086 | 1046.4 | ||||||||||||
| USG Corp. | 217,611 | 9,383,386 | 16,646 | 5.1 | ||||||||||||
| Validus Holdings Ltd. | 456,423 | 30,854,195 | 77,783 | 24.0 | ||||||||||||
| Vectren Corp. | 189,169 | 13,516,125 | 245,787 | 76.0 | ||||||||||||
| VeriFone Systems, Inc. | 600,800 | 13,710,256 | 24,280 | 7.5 | ||||||||||||
| WGL Holdings, Inc. | 294,373 | 26,125,604 | 1,265,287 | 391.0 | ||||||||||||
| XL Group Ltd. | 158,625 | 8,875,069 | 28,099 | 8.7 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Cadence Bancorp | (135,683 | ) | (3,917,168 | ) | 120,966 | 37.4 | ||||||||||
| Cigna Corp. | (100,886 | ) | (17,145,576 | ) | 298,213 | 92.2 | ||||||||||
| Conagra Brands, Inc. | (128,580 | ) | (4,594,163 | ) | (13,568 | ) | (4.2 | ) | ||||||||
| Concho Resources, Inc. | (195,333 | ) | (27,024,321 | ) | 579,377 | 179.0 | ||||||||||
| CVS Health Corp. | (102,122 | ) | (6,571,551 | ) | 898,075 | 277.5 | ||||||||||
| Dominion Energy, Inc. | (310,563 | ) | (21,174,185 | ) | 2,593,591 | 801.5 | ||||||||||
| KLA-Tencor Corp. | (37,150 | ) | (3,808,989 | ) | 341,359 | 105.5 | ||||||||||
| Marathon Petroleum Corp. | (337,981 | ) | (23,712,747 | ) | 1,875,495 | 579.6 | ||||||||||
| Marriott Vacations Worldwide Corp. | (62,727 | ) | (7,085,642 | ) | 549,142 | 169.7 | ||||||||||
| Marvell Technology Group Ltd. | (899,752 | ) | (19,290,683 | ) | 278,483 | 86.1 | ||||||||||
| Praxair, Inc. | (137,452 | ) | (21,738,034 | ) | (3,550,259 | ) | (1097.2 | ) | ||||||||
| T-Mobile US, Inc. | (137,764 | ) | (8,231,399 | ) | (244,468 | ) | (75.5 | ) | ||||||||
| United Technologies Corp. | (59,220 | ) | (7,404,277 | ) | 158,309 | 48.9 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
140
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-3.35% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | 31-47 months maturity 01/14/2021 | $89,990,386 | $3,561,143 | $50,854 | $3,611,997 | ||||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Germany | ||||||||||||||||
| Linde AG | 90,452 | $ | 21,489,486 | $ | 3,292,413 | 91.2 | % | |||||||||
| Italy | ||||||||||||||||
| Luxottica Group SpA | 428,921 | 27,616,395 | 1,626,066 | 45.0 | ||||||||||||
| Netherlands | ||||||||||||||||
| Gemalto NV | 223,791 | 13,004,899 | 74,772 | 2.1 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Essilor International Cie Generale d’Optique SA | (197,733 | ) | (27,879,606 | ) | (1,432,108 | ) | (39.6 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
141
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Cash | $(2,844,126 | ) | $— | $(2,844,126 | ) | |||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 52,078,066 | 52,078,066 | |||||||||
|
|
||||||||||||
| CITG | ||||||||||||
| Cash | — | (2,350,316 | ) | (2,350,316 | ) | |||||||
| Investment Companies | — | 9,873,931 | 9,873,931 | |||||||||
|
|
||||||||||||
| DTBK | ||||||||||||
| Cash | 1,480,000 | — | 1,480,000 | |||||||||
| Investment Companies | 30,418,893 | — | 30,418,893 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 18,978,117 | 18,978,117 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 170,331,926 | — | 170,331,926 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 572,145,869 | — | 572,145,869 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 11,026,016 | 11,026,016 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 660,000 | — | 660,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 4,146,287 | 4,146,287 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Cash | 32,488,993 | — | 32,488,993 | |||||||||
|
|
||||||||||||
| MSIP | ||||||||||||
| Cash | (600,000 | ) | — | (600,000 | ) | |||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Cash | $(1,110,000 | ) | $— | $(1,110,000 | ) | |||||||
| Investment Companies | 1,093,386 | — | 1,093,386 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 1,719,378 | 1,719,378 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 1,850,275 | — | 1,850,275 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 1,239,747 | 1,239,747 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 430,000 | — | 430,000 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 736,665 | — | 736,665 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (8,579,467 | ) | (8,579,467 | ) | |||||||
| U.S. Treasury Bills | — | 9,634,705 | 9,634,705 | |||||||||
|
|
||||||||||||
| 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 2018 | ||||||||||||||
142
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (4,367,925 | ) | $198,853 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (754,950 | ) | 714 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (6,542,900 | ) | 45,959 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (215,700 | ) | 3,703 | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | 4,699,520 | 205,755 | ||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/09/2018 | USD | 41,960 |
|
1,937 |
| ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
143
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | 1,723,800 | $ 138,643 | ||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | 2,390,640 | 37,487 | ||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | 4,909,350 | 81,753 | ||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/31/2018 | USD | 484,110 | 6,021 | ||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/31/2018 | USD | 968,220 | 8,110 | ||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | (857,740 | ) | 35,530 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (1,748,470 | ) | 9,535 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | (1,418,570 | ) | 175,861 | |||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (200,500 | ) | 9,869 | |||||||||||
|
|
|
|||||||||||||||||||
| 959,730 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/10/2018 | USD | 1,683,337 | (100,041 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | 129,488 | (8,197 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | 1,165,388 | (69,443 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 754,950 | (104,464 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 4,367,925 | (601,276 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 6,039,600 | (837,671 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 215,700 | (30,071 | ) | |||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | (1,723,800 | ) | (112,105 | ) | ||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/14/2018 | USD | 1,009,140 | (3,232 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
144
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/14/2018 | USD | (489,280 | ) | $ (2 | ) | ||||||||||
| Lean Hogs October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/12/2018 | USD | 119,550 | (341 | ) | |||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (469,590 | ) | (5,953 | ) | ||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | (981,870 | ) | (9,323 | ) | ||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | 880,000 | (142,850 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/26/2018 | USD | 2,244,000 | (364,813 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 8,140,000 | (1,305,975 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 308,000 | (49,164 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 1,616,510 | (225,737 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 1,418,570 | (198,267 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 1,748,470 | (244,522 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 2,855,040 | (183,031 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 910,044 | (62,810 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/23/2018 | USD | 3,550,956 | (235,267 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 463,944 | (30,438 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (4,924,993 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(3,965,263 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
145
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Long Contracts | ||||||||||||||||||
| LME Aluminum Base Metal | 18 | 7/2018 | USD | $965,250 | $(59,903 | ) | ||||||||||||
| LME Aluminum Base Metal | 29 | 7/2018 | USD | 1,553,052 | (49,284 | ) | ||||||||||||
| LME Aluminum Base Metal | 41 | 7/2018 | USD | 2,208,875 | 167,592 | |||||||||||||
| LME Aluminum Base Metal | 154 | 7/2018 | USD | 8,298,675 | (1,608,899 | ) | ||||||||||||
| LME Copper Base Metal | 11 | 7/2018 | USD | 1,822,378 | (49,819 | ) | ||||||||||||
| LME Copper Base Metal | 18 | 7/2018 | USD | 2,983,500 | (173,502 | ) | ||||||||||||
| LME Copper Base Metal | 56 | 7/2018 | USD | 9,282,336 | (443,709 | ) | ||||||||||||
| LME Lead Base Metal | 5 | 7/2018 | USD | 300,765 | 3,588 | |||||||||||||
| LME Lead Base Metal | 9 | 7/2018 | USD | 542,576 | 22,016 | |||||||||||||
| LME Lead Base Metal | 10 | 7/2018 | USD | 602,925 | 20,396 | |||||||||||||
| LME Lead Base Metal | 10 | 7/2018 | USD | 602,887 | 17,226 | |||||||||||||
| LME Nickel Base Metal | 2 | 7/2018 | USD | 178,103 | 6,527 | |||||||||||||
| LME Nickel Base Metal | 10 | 7/2018 | USD | 889,866 | 68,907 | |||||||||||||
| LME Nickel Base Metal | 15 | 7/2018 | USD | 1,334,232 | 136,438 | |||||||||||||
| LME Nickel Base Metal | 17 | 7/2018 | USD | 1,513,330 | (132,991 | ) | ||||||||||||
| LME Nickel Base Metal | 28 | 7/2018 | USD | 2,493,804 | 136,146 | |||||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,875 | (11,393 | ) | ||||||||||||
| LME Zinc Base Metal | 10 | 7/2018 | USD | 726,250 | (80,917 | ) | ||||||||||||
| LME Zinc Base Metal | 12 | 7/2018 | USD | 867,027 | (118,508 | ) | ||||||||||||
| LME Zinc Base Metal | 14 | 7/2018 | USD | 1,010,047 | (126,880 | ) | ||||||||||||
| LME Zinc Base Metal | 17 | 7/2018 | USD | 1,225,288 | (98,437 | ) | ||||||||||||
| 100 oz Gold | 587 | 8/2018 | USD | 73,639,150 | (3,190,241 | ) | ||||||||||||
| Brent Crude Oil | 548 | 8/2018 | USD | 43,215,280 | 1,700,457 | |||||||||||||
| Lean Hogs | 122 | 8/2018 | USD | 3,730,760 | 27,581 | |||||||||||||
| Live Cattle | 441 | 8/2018 | USD | 18,826,290 | 395,400 | |||||||||||||
| LME Aluminum Base Metal | 2 | 8/2018 | USD | 106,387 | (7,285 | ) | ||||||||||||
| LME Aluminum Base Metal | 4 | 8/2018 | USD | 213,411 | (20,601 | ) | ||||||||||||
| LME Aluminum Base Metal | 17 | 8/2018 | USD | 904,749 | (65,067 | ) | ||||||||||||
| LME Aluminum Base Metal | 47 | 8/2018 | USD | 2,499,730 | (177,095 | ) | ||||||||||||
| LME Aluminum Base Metal | 108 | 8/2018 | USD | 5,741,550 | (536,456 | ) | ||||||||||||
| LME Copper Base Metal | 24 | 8/2018 | USD | 3,974,952 | (174,719 | ) | ||||||||||||
| LME Copper Base Metal | 31 | 8/2018 | USD | 5,139,165 | (193,821 | ) | ||||||||||||
| LME Copper Base Metal | 47 | 8/2018 | USD | 7,786,138 | (209,876 | ) | ||||||||||||
| LME Lead Base Metal | 1 | 8/2018 | USD | 60,256 | 1,953 | |||||||||||||
| LME Lead Base Metal | 2 | 8/2018 | USD | 120,492 | (913 | ) | ||||||||||||
| LME Lead Base Metal | 5 | 8/2018 | USD | 301,394 | 17,077 | |||||||||||||
| LME Lead Base Metal | 8 | 8/2018 | USD | 482,030 | 14,481 | |||||||||||||
| LME Lead Base Metal | 8 | 8/2018 | USD | 481,950 | (17,870 | ) | ||||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,202 | 2,319 | |||||||||||||
| LME Nickel Base Metal | 3 | 8/2018 | USD | 267,593 | 6,854 | |||||||||||||
| LME Nickel Base Metal | 4 | 8/2018 | USD | 356,904 | 4,542 | |||||||||||||
| LME Nickel Base Metal | 9 | 8/2018 | USD | 802,043 | 44,220 | |||||||||||||
| LME Nickel Base Metal | 10 | 8/2018 | USD | 892,684 | (20,879 | ) | ||||||||||||
| LME Nickel Base Metal | 18 | 8/2018 | USD | 1,606,238 | 21,898 | |||||||||||||
| LME Zinc Base Metal | 10 | 8/2018 | USD | 715,250 | (50,904 | ) | ||||||||||||
| LME Zinc Base Metal | 14 | 8/2018 | USD | 1,001,256 | (58,236 | ) | ||||||||||||
| LME Zinc Base Metal | 14 | 8/2018 | USD | 1,001,770 | (71,284 | ) | ||||||||||||
| LME Zinc Base Metal | 59 | 8/2018 | USD | 4,239,976 | (296,561 | ) | ||||||||||||
| Natural Gas | 228 | 8/2018 | USD | 6,614,280 | (29,707 | ) | ||||||||||||
| NY Harbor ULSD | 97 | 8/2018 | USD | 9,028,799 | 179,572 | |||||||||||||
| WTI Crude Oil | 717 | 8/2018 | USD | 51,953,820 | 4,614,994 | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
146
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Long Contracts (continued) | ||||||||||||||||||
| Cocoa | 332 | 9/2018 | USD | $ 8,339,840 | $ (438,596 | ) | ||||||||||||
| Coffee ‘C’ | 335 | 9/2018 | USD | 14,459,438 | (790,801 | ) | ||||||||||||
| Corn | 1,072 | 9/2018 | USD | 19,269,200 | (2,142,999 | ) | ||||||||||||
| LME Aluminum Base Metal | 13 | 9/2018 | USD | 692,494 | (15,313 | ) | ||||||||||||
| LME Aluminum Base Metal | 18 | 9/2018 | USD | 958,455 | (92,123 | ) | ||||||||||||
| LME Aluminum Base Metal | 58 | 9/2018 | USD | 3,089,994 | (55,810 | ) | ||||||||||||
| LME Aluminum Base Metal | 79 | 9/2018 | USD | 4,205,940 | (386,193 | ) | ||||||||||||
| LME Aluminum Base Metal | 838 | 9/2018 | USD | 44,660,162 | (3,213,165 | ) | ||||||||||||
| LME Copper Base Metal | 5 | 9/2018 | USD | 828,188 | (23,577 | ) | ||||||||||||
| LME Copper Base Metal | 12 | 9/2018 | USD | 1,987,500 | (52,010 | ) | ||||||||||||
| LME Copper Base Metal | 21 | 9/2018 | USD | 3,478,781 | (330,156 | ) | ||||||||||||
| LME Copper Base Metal | 33 | 9/2018 | USD | 5,466,516 | (329,262 | ) | ||||||||||||
| LME Copper Base Metal | 34 | 9/2018 | USD | 5,632,100 | (30,700 | ) | ||||||||||||
| LME Copper Base Metal | 431 | 9/2018 | USD | 71,416,700 | (3,072,701 | ) | ||||||||||||
| LME Lead Base Metal | 2 | 9/2018 | USD | 120,512 | (2,885 | ) | ||||||||||||
| LME Lead Base Metal | 5 | 9/2018 | USD | 301,187 | 1,985 | |||||||||||||
| LME Lead Base Metal | 7 | 9/2018 | USD | 421,750 | (367 | ) | ||||||||||||
| LME Lead Base Metal | 14 | 9/2018 | USD | 843,430 | (36,791 | ) | ||||||||||||
| LME Lead Base Metal | 17 | 9/2018 | USD | 1,024,207 | (55,335 | ) | ||||||||||||
| LME Lead Base Metal | 117 | 9/2018 | USD | 7,050,713 | 552 | |||||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,340 | (2,228 | ) | ||||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,800 | (606 | ) | ||||||||||||
| LME Nickel Base Metal | 4 | 9/2018 | USD | 357,211 | (20,991 | ) | ||||||||||||
| LME Nickel Base Metal | 7 | 9/2018 | USD | 625,620 | (6,440 | ) | ||||||||||||
| LME Nickel Base Metal | 23 | 9/2018 | USD | 2,053,716 | (94,862 | ) | ||||||||||||
| LME Nickel Base Metal | 286 | 9/2018 | USD | 25,558,962 | 1,614,096 | |||||||||||||
| LME Zinc Base Metal | 4 | 9/2018 | USD | 285,567 | (12,007 | ) | ||||||||||||
| LME Zinc Base Metal | 9 | 9/2018 | USD | 643,484 | (68,489 | ) | ||||||||||||
| LME Zinc Base Metal | 38 | 9/2018 | USD | 2,711,300 | 3,707 | |||||||||||||
| LME Zinc Base Metal | 46 | 9/2018 | USD | 3,284,400 | (183,561 | ) | ||||||||||||
| LME Zinc Base Metal | 185 | 9/2018 | USD | 13,213,625 | (1,593,331 | ) | ||||||||||||
| Low Sulphur Gasoil | 386 | 9/2018 | USD | 26,199,750 | 483,322 | |||||||||||||
| Silver | 609 | 9/2018 | USD | 49,322,910 | (1,269,716 | ) | ||||||||||||
| Sugar No. 11 | 1,312 | 9/2018 | USD | 18,000,640 | 493,793 | |||||||||||||
| Wheat | 132 | 9/2018 | USD | 3,308,250 | (140,622 | ) | ||||||||||||
| Lean Hogs | 31 | 10/2018 | USD | 741,210 | (2,296 | ) | ||||||||||||
| Live Cattle | 110 | 10/2018 | USD | 4,841,100 | 49,752 | |||||||||||||
| Soybean | 869 | 11/2018 | USD | 38,236,000 | (5,631,570 | ) | ||||||||||||
| 100 oz Gold | 147 | 12/2018 | USD | 18,614,610 | 12,625 | |||||||||||||
| Soybean Meal | 510 | 12/2018 | USD | 16,824,900 | (1,809,566 | ) | ||||||||||||
| Soybean Oil | 627 | 12/2018 | USD | 11,188,188 | (676,369 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| (20,387,179 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| Short Contracts | ||||||||||||||||||
| LME Aluminum Base Metal | (18 | ) | 7/2018 | USD | (965,250 | ) | 40,339 | |||||||||||
| LME Aluminum Base Metal | (29 | ) | 7/2018 | USD | (1,553,052 | ) | 64,672 | |||||||||||
| LME Aluminum Base Metal | (41 | ) | 7/2018 | USD | (2,208,875 | ) | (166,171 | ) | ||||||||||
| LME Aluminum Base Metal | (154 | ) | 7/2018 | USD | (8,298,675 | ) | 1,922,621 | |||||||||||
| LME Copper Base Metal | (11 | ) | 7/2018 | USD | (1,822,378 | ) | 47,039 | |||||||||||
| LME Copper Base Metal | (18 | ) | 7/2018 | USD | (2,983,500 | ) | 161,947 | |||||||||||
| LME Copper Base Metal | (56 | ) | 7/2018 | USD | (9,282,336 | ) | 412,499 | |||||||||||
| LME Lead Base Metal | (5 | ) | 7/2018 | USD | (300,765 | ) | (3,277 | ) | ||||||||||
| LME Lead Base Metal | (9 | ) | 7/2018 | USD | (542,576 | ) | (23,528 | ) | ||||||||||
| LME Lead Base Metal | (10 | ) | 7/2018 | USD | (602,887 | ) | (16,917 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
147
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Short Contracts (continued) | ||||||||||||||||||
| LME Lead Base Metal | (10 | ) | 7/2018 | USD | $ (602,925 | ) | $ (16,275 | ) | ||||||||||
| LME Nickel Base Metal | (2 | ) | 7/2018 | USD | (178,103 | ) | (6,329 | ) | ||||||||||
| LME Nickel Base Metal | (10 | ) | 7/2018 | USD | (889,866 | ) | (64,291 | ) | ||||||||||
| LME Nickel Base Metal | (15 | ) | 7/2018 | USD | (1,334,232 | ) | (131,876 | ) | ||||||||||
| LME Nickel Base Metal | (17 | ) | 7/2018 | USD | (1,513,330 | ) | 71,119 | |||||||||||
| LME Nickel Base Metal | (28 | ) | 7/2018 | USD | (2,493,804 | ) | (141,886 | ) | ||||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,875 | ) | 11,969 | |||||||||||
| LME Zinc Base Metal | (10 | ) | 7/2018 | USD | (726,250 | ) | 81,721 | |||||||||||
| LME Zinc Base Metal | (12 | ) | 7/2018 | USD | (867,027 | ) | 105,210 | |||||||||||
| LME Zinc Base Metal | (14 | ) | 7/2018 | USD | (1,010,048 | ) | 129,511 | |||||||||||
| LME Zinc Base Metal | (17 | ) | 7/2018 | USD | (1,225,288 | ) | 96,625 | |||||||||||
| LME Aluminum Base Metal | (2 | ) | 8/2018 | USD | (106,387 | ) | 7,432 | |||||||||||
| LME Aluminum Base Metal | (4 | ) | 8/2018 | USD | (213,411 | ) | 20,029 | |||||||||||
| LME Aluminum Base Metal | (17 | ) | 8/2018 | USD | (904,749 | ) | 63,026 | |||||||||||
| LME Aluminum Base Metal | (47 | ) | 8/2018 | USD | (2,499,730 | ) | 185,594 | |||||||||||
| LME Aluminum Base Metal | (108 | ) | 8/2018 | USD | (5,741,550 | ) | 525,641 | |||||||||||
| LME Copper Base Metal | (24 | ) | 8/2018 | USD | (3,974,952 | ) | 190,177 | |||||||||||
| LME Copper Base Metal | (31 | ) | 8/2018 | USD | (5,139,165 | ) | 207,469 | |||||||||||
| LME Copper Base Metal | (47 | ) | 8/2018 | USD | (7,786,138 | ) | 219,410 | |||||||||||
| LME Lead Base Metal | (1 | ) | 8/2018 | USD | (60,256 | ) | (1,556 | ) | ||||||||||
| LME Lead Base Metal | (2 | ) | 8/2018 | USD | (120,492 | ) | 1,228 | |||||||||||
| LME Lead Base Metal | (5 | ) | 8/2018 | USD | (301,394 | ) | (17,034 | ) | ||||||||||
| LME Lead Base Metal | (8 | ) | 8/2018 | USD | (481,950 | ) | 17,901 | |||||||||||
| LME Lead Base Metal | (8 | ) | 8/2018 | USD | (482,030 | ) | (15,854 | ) | ||||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,202 | ) | (2,145 | ) | ||||||||||
| LME Nickel Base Metal | (3 | ) | 8/2018 | USD | (267,593 | ) | (6,774 | ) | ||||||||||
| LME Nickel Base Metal | (4 | ) | 8/2018 | USD | (356,904 | ) | (2,904 | ) | ||||||||||
| LME Nickel Base Metal | (9 | ) | 8/2018 | USD | (802,043 | ) | (39,589 | ) | ||||||||||
| LME Nickel Base Metal | (10 | ) | 8/2018 | USD | (892,684 | ) | 19,286 | |||||||||||
| LME Nickel Base Metal | (18 | ) | 8/2018 | USD | (1,606,238 | ) | (22,471 | ) | ||||||||||
| LME Zinc Base Metal | (10 | ) | 8/2018 | USD | (715,250 | ) | 52,471 | |||||||||||
| LME Zinc Base Metal | (14 | ) | 8/2018 | USD | (1,001,256 | ) | 56,668 | |||||||||||
| LME Zinc Base Metal | (14 | ) | 8/2018 | USD | (1,001,770 | ) | 74,121 | |||||||||||
| LME Zinc Base Metal | (59 | ) | 8/2018 | USD | (4,239,976 | ) | 255,892 | |||||||||||
| RBOB Gasoline | (226 | ) | 8/2018 | USD | (20,237,893 | ) | (594,536 | ) | ||||||||||
| LME Aluminum Base Metal | (13 | ) | 9/2018 | USD | (692,494 | ) | 14,547 | |||||||||||
| LME Aluminum Base Metal | (18 | ) | 9/2018 | USD | (958,455 | ) | 86,475 | |||||||||||
| LME Aluminum Base Metal | (58 | ) | 9/2018 | USD | (3,089,994 | ) | 56,364 | |||||||||||
| LME Aluminum Base Metal | (78 | ) | 9/2018 | USD | (4,156,912 | ) | 225,862 | |||||||||||
| LME Aluminum Base Metal | (79 | ) | 9/2018 | USD | (4,205,940 | ) | 402,477 | |||||||||||
| LME Copper Base Metal | (5 | ) | 9/2018 | USD | (828,188 | ) | 23,153 | |||||||||||
| LME Copper Base Metal | (12 | ) | 9/2018 | USD | (1,987,500 | ) | 50,440 | |||||||||||
| LME Copper Base Metal | (21 | ) | 9/2018 | USD | (3,478,781 | ) | 354,544 | |||||||||||
| LME Copper Base Metal | (33 | ) | 9/2018 | USD | (5,466,516 | ) | 320,388 | |||||||||||
| LME Copper Base Metal | (34 | ) | 9/2018 | USD | (5,632,100 | ) | 8,227 | |||||||||||
| LME Copper Base Metal | (107 | ) | 9/2018 | USD | (17,729,900 | ) | 611,953 | |||||||||||
| LME Lead Base Metal | (2 | ) | 9/2018 | USD | (120,512 | ) | 3,207 | |||||||||||
| LME Lead Base Metal | (5 | ) | 9/2018 | USD | (301,188 | ) | (390 | ) | ||||||||||
| LME Lead Base Metal | (7 | ) | 9/2018 | USD | (421,750 | ) | 497 | |||||||||||
| LME Lead Base Metal | (14 | ) | 9/2018 | USD | (843,430 | ) | 40,629 | |||||||||||
| LME Lead Base Metal | (17 | ) | 9/2018 | USD | (1,024,207 | ) | 59,067 | |||||||||||
| LME Lead Base Metal | (26 | ) | 9/2018 | USD | (1,566,825 | ) | (4,069 | ) | ||||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,340 | ) | 2,667 | |||||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,800 | ) | (853 | ) | ||||||||||
| LME Nickel Base Metal | (4 | ) | 9/2018 | USD | (357,211 | ) | 21,857 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
148
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Short Contracts (continued) | ||||||||||||||||||
| LME Nickel Base Metal | (7 | ) | 9/2018 | USD | $ (625,620 | ) | $ 7,677 | |||||||||||
| LME Nickel Base Metal | (23 | ) | 9/2018 | USD | (2,055,441 | ) | 125,331 | |||||||||||
| LME Nickel Base Metal | (23 | ) | 9/2018 | USD | (2,053,716 | ) | 82,456 | |||||||||||
| LME Zinc Base Metal | (4 | ) | 9/2018 | USD | (285,567 | ) | 9,696 | |||||||||||
| LME Zinc Base Metal | (9 | ) | 9/2018 | USD | (643,484 | ) | 69,064 | |||||||||||
| LME Zinc Base Metal | (38 | ) | 9/2018 | USD | (2,711,300 | ) | 31,699 | |||||||||||
| LME Zinc Base Metal | (46 | ) | 9/2018 | USD | (3,284,400 | ) | 172,142 | |||||||||||
| LME Zinc Base Metal | (183 | ) | 9/2018 | USD | (13,070,775 | ) | 763,464 | |||||||||||
| Cotton No. 2 | (15 | ) | 12/2018 | USD | (629,400 | ) | 85 | |||||||||||
|
|
|
|||||||||||||||||
| 7,306,860 | ||||||||||||||||||
|
|
|
|||||||||||||||||
| $(13,080,319 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $3,420,592 | $— | $3,420,592 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 2,128,264 | 2,128,264 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 640,090 | — | 640,090 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 13,929,904 | 13,929,904 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 1,860,000 | — | 1,860,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 28,116,149 | 28,116,149 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 1,210,225 | — | 1,210,225 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
149
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
150
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
Credit default swap contracts outstanding — sell protection as of June 30, 2018:
Exchange Cleared
| REFERENCE ENTITY | FINANCING RATE RECEIVED |
PAYMENT FREQUENCY |
MATURITY DATE |
CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PAYMENTS (RECEIPTS) |
UNREALIZED (DEPRECIATION) |
VALUE | ||||||||||||||||||||||||
| iTraxx Europe Crossover Series 29.V1 | 5.00% | Quarterly | 6/20/2023 | 3.19% | EUR | 55,475,000 | $6,446,940 | $(1,168,826 | ) | $5,278,114 | ||||||||||||||||||||||
| iTraxx Europe Series 29.V1 | 1.00% | Quarterly | 6/20/2023 | 0.73% | EUR | 88,500,000 | 2,149,106 | (772,792 | ) | 1,376,314 | ||||||||||||||||||||||
| Markit CDX North America High Yield Index Series 30.V1 | 5.00% | Quarterly | 6/20/2023 | 3.59% | USD | 70,800,000 | 4,154,245 | 74,052 | 4,228,297 | |||||||||||||||||||||||
| Markit CDX North America Investment Grade Index Series 30.V1 | 1.00% | Quarterly | 6/20/2023 | 0.67% | USD | 101,875,000 | 1,737,196 | (175,915 | ) | 1,561,281 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| 14,487,487 | (2,043,481 | ) | 12,444,006 | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Markit CDX Emerging Market Index Series 29.V1 | 1.00% | Quarterly | 6/20/2023 | 1.90% | USD | 14,750,000 | $(287,161 | ) | $(294,244 | ) | $(581,405 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| (287,161 | ) | (294,244 | ) | (581,405 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| $14,200,326 | $(2,337,725 | ) | $11,862,601 | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
Forward Effective Interest rate swap contracts outstanding as of June 30, 2018:
Exchange Cleared
| PAY/RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | |||||||||||||||||||||
| Pay | 6 Month Prague Interbank Offered Rate Semi-Annually |
2.00% Annually | 9/20/2023 | CZK | 110,300,000 | $44,080 | $(31,873 | ) | $12,207 | |||||||||||||||||||
| Pay | 6 Month Singapore Interbank Offered Rate Semi-Annually |
2.50% Semi-Annually | 9/20/2023 | SGD | 1,600,000 | 3,706 | 3,110 | 6,816 | ||||||||||||||||||||
| Pay | 6 Month Warsaw Interbank Offered Rate Semi-Annually |
3.00% Annually | 9/20/2023 | PLN | 68,600,000 | 271,165 | 147,513 | 418,678 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 318,951 | 118,750 | 437,701 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Pay | 1 Month Mexico Equilibrium Interbank Interest Rate Monthly |
7.50% Monthly | 9/13/2023 | MXN | 395,500,000 | (108,813 | ) | (189,130 | ) | (297,943 | ) | |||||||||||||||||
| Pay | 3 Month Hong Kong Interbank Offered Rate Quarterly |
2.50% Quarterly | 9/20/2023 | HKD | 91,900,000 | (77,812 | ) | (63,681 | ) | (141,493 | ) | |||||||||||||||||
| Pay | 3 Month Johannesburg Interbank Agreed Rate Quarterly |
7.50% Quarterly | 9/20/2023 | ZAR | 150,100,000 | 84,125 | (243,734 | ) | (159,609 | ) | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
151
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| PAY/RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | |||||||||||||||||||||
| Pay | 6 Month Budapest Interbank Offered Rate Semi-Annually |
1.50% Annually | 9/20/2023 | HUF | 2,201,000,000 | $ 24,035 | $ (296,221 | ) | $ (272,186 | ) | ||||||||||||||||||
| Pay | 6 Month Singapore Interbank Offered Rate Semi-Annually |
2.00% Semi-Annually | 9/20/2023 | SGD | 25,900,000 | (269,117 | ) | (73,172 | ) | (342,289 | ) | |||||||||||||||||
| Pay | 6 Month Warsaw Interbank Offered Rate Semi-Annually |
2.50% Annually | 9/20/2023 | PLN | 10,500,000 | (8,823 | ) | 6,951 | (1,872 | ) | ||||||||||||||||||
| Receive | 1 Month Mexico Equilibrium Interbank Interest Rate Monthly |
8.00% Monthly | 9/13/2023 | MXN | 120,500,000 | 81,800 | (116,743 | ) | (34,943 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (274,605 | ) | (975,730 | ) | (1,250,335 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $44,346 | $(856,980 | ) | $(812,634 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Forward Effective Interest rate swap contracts outstanding as of June 30, 2018:
Over the Counter
| PAY/ RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | ||||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly | 2.14% Quarterly | CITI | 3/15/2023 | KRW | 42,600,000 | ** | $— | $60 | $60 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.17% Quarterly | CITI | 3/15/2023 | KRW | 16,000,000 | ** | — | 45 | 45 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.17% Quarterly | CITI | 3/15/2023 | KRW | 341,700,000 | ** | — | 927 | 927 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.20% Quarterly | CITI | 3/15/2023 | KRW | 598,600,000 | ** | — | 2,350 | 2,350 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.24% Quarterly | CITI | 3/15/2023 | KRW | 1,547,800,000 | ** | — | 8,266 | 8,266 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.24% Quarterly | CITI | 3/15/2023 | KRW | 1,547,900,000 | ** | — | 8,267 | 8,267 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.30% Quarterly | CITI | 3/15/2023 | KRW | 1,097,000,000 | ** | — | 8,518 | 8,518 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.30% Quarterly | CITI | 3/15/2023 | KRW | 1,097,000,000 | ** | — | 8,518 | 8,518 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.31% Quarterly | CITI | 3/15/2023 | KRW | 1,757,600,000 | ** | — | 14,890 | 14,890 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.25% Quarterly | CITI | 9/20/2023 | KRW | 1,189,600,000 | ** | — | 5,485 | 5,485 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.28% Quarterly | CITI | 9/20/2023 | KRW | 1,065,300,000 | ** | — | 6,266 | 6,266 | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
152
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| PAY/ RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | ||||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.32% Quarterly | CITI | 9/20/2023 | KRW | 419,100,000 | ** | $ — | $ 3,220 | $ 3,220 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.33% Quarterly | CITI | 9/20/2023 | KRW | 8,681,600,000 | ** | — | 67,616 | 67,616 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.34% Quarterly | CITI | 9/20/2023 | KRW | 2,209,900,000 | ** | — | 18,733 | 18,733 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.35% Quarterly | CITI | 9/20/2023 | KRW | 646,600,000 | ** | — | 5,653 | 5,653 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.35% Quarterly | CITI | 9/20/2023 | KRW | 8,681,700,000 | ** | — | 75,894 | 75,894 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.37% Quarterly | CITI | 9/20/2023 | KRW | 11,575,600,000 | ** | — | 112,229 | 112,229 | ||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
2.38% Quarterly | CITI | 9/20/2023 | KRW | 17,363,300,000 | ** | — | 175,699 | 175,699 | ||||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.02% Quarterly | CITI | 3/15/2023 | KRW | 82,300,000 | ** | — | 267 | 267 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| — | 522,903 | 522,903 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
1.82% Quarterly | CITI | 3/15/2023 | KRW | 282,400,000 | ** | — | (3,199 | ) | (3,199 | ) | ||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly | 1.85% Quarterly | CITI | 3/15/2023 | KRW | 14,716,500,000 | ** | — | (152,991 | ) | (152,991 | ) | ||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly |
1.85% Quarterly | CITI | 3/15/2023 | KRW | 14,716,600,000 | ** | — | (150,317 | ) | (150,317 | ) | ||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly | 1.87% Quarterly | CITI | 3/15/2023 | KRW | 14,496,900,000 | ** | — | (136,359 | ) | (136,359 | ) | ||||||||||||||||||
| Pay | 3 Month Korean Certificate of Deposit Quarterly | 2.01% Quarterly | CITI | 3/15/2023 | KRW | 663,600,000 | ** | — | (2,568 | ) | (2,568 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.17% Quarterly | CITI | 3/15/2023 | KRW | 1,859,800,000 | ** | — | (5,274 | ) | (5,274 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly | 2.23% Quarterly | CITI | 3/15/2023 | KRW | 679,000,000 | ** | — | (3,558 | ) | (3,558 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.24% Quarterly | CITI | 3/15/2023 | KRW | 1,503,900,000 | ** | — | (8,517 | ) | (8,517 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.26% Quarterly | CITI | 3/15/2023 | KRW | 8,615,700,000 | ** | — | (54,715 | ) | (54,715 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.27% Quarterly | CITI | 3/15/2023 | KRW | 2,193,900,000 | ** | — | (14,819 | ) | (14,819 | ) | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
153
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| PAY/ RECEIVE FLOATING RATE |
FLOATING RATE INDEX (a) |
FIXED RATE | COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
UPFRONT PREMIUM PAID (RECEIVED) |
UNREALIZED APPRECIATION (DEPRECIATION) |
VALUE | ||||||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.28% Quarterly | CITI | 3/15/2023 | KRW | 8,615,700,000 | ** | $ — | $ (61,677 | ) | $ (61,677 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.30% Quarterly | CITI | 3/15/2023 | KRW | 11,487,600,000 | ** | — | (91,519 | ) | (91,519 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.31% Quarterly | CITI | 3/15/2023 | KRW | 17,231,300,000 | ** | — | (144,239 | ) | (144,239 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.34% Quarterly | CITI | 3/15/2023 | KRW | 652,900,000 | ** | — | (6,323 | ) | (6,323 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.26% Quarterly | CITI | 9/20/2023 | KRW | 4,195,000,000 | ** | — | (21,118 | ) | (21,118 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.27% Quarterly | CITI | 9/20/2023 | KRW | 1,831,400,000 | ** | — | (9,802 | ) | (9,802 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.31% Quarterly | CITI | 9/20/2023 | KRW | 733,600,000 | ** | — | (5,154 | ) | (5,154 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.32% Quarterly | CITI | 9/20/2023 | KRW | 873,700,000 | ** | — | (6,527 | ) | (6,527 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.36% Quarterly | CITI | 9/20/2023 | KRW | 6,537,600,000 | ** | — | (60,614 | ) | (60,614 | ) | ||||||||||||||||||
| Receive | 3 Month Korean Certificate of Deposit Quarterly |
2.41% Quarterly | CITI | 9/20/2023 | KRW | 765,100,000 | ** | — | (8,715 | ) | (8,715 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| — | (948,005 | ) | (948,005 | ) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| $— | $(425,102 | ) | $(425,102 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| ** | Non-deliverable currency. |
| (a) | Floating rate indices at June 30, 2018 were as follows: |
| 1 Month Mexico Equilibrium Interbank Interest Rate: 8.1% |
| 3 Month Hong Kong Interbank Offered Rate: 2.10% |
| 3 Month Johannesburg Interbank Agreed Rate: 6.96% |
| 3 Month Korean Certificate of Deposit: 1.65% |
| 6 Month Budapest Interbank Offered Rate: 0.36% |
| 6 Month Prague Interbank Offered Rate: 1.24% |
| 6 Month Singapore Interbank Offered Rate: 1.66% |
| 6 Month Warsaw Interbank Offered Rate: 1.68% |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
154
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (269,625 | ) | $1,398 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (251,650 | ) | 4,914 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total returnof reference entity | At termination | MACQ | 08/24/2018 | USD | (305,575 | ) | 5,806 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (287,600 | ) | 4,979 | |||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | 881,160 | 38,690 | ||||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/09/2018 | USD | 83,920 | 3,815 | ||||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/09/2018 | USD | 83,920 | 3,396 | ||||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity | At termination | SOCG | 11/09/2018 | USD | 83,920 | 3,765 | ||||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 1,436,300 | 611 | ||||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | JPMC | 07/30/2018 | HKD | 7,181,500 | 3,365 | ||||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 15,799,300 | 3,343 | ||||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 07/30/2018 | HKD | 7,181,500 | 2,480 | ||||||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | 530,400 | 42,617 | ||||||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/16/2018 | USD | 1,160,250 | 94,005 | ||||||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | 629,850 | 50,779 | ||||||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 08/14/2018 | USD | (183,480 | ) | — | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
155
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | 597,660 | $ 9,362 | ||||||||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity |
At termination | MLIN | 08/03/2018 | USD | (341,520 | ) | — | |||||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 08/03/2018 | USD | 1,835,670 | 31,075 | ||||||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | 1,451,460 | 23,909 | ||||||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/31/2018 | USD | 88,020 | 1,095 | ||||||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity |
Increases in total return of reference entity | At termination | SOCG | 10/31/2018 | USD | 264,060 | 2,212 | ||||||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total returnof reference entity | Increases in total return of reference entity | At termination | JPMC | 07/30/2018 | USD | 155,040 | 1,441 | ||||||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | 775,200 | 4,334 | ||||||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 07/30/2018 | USD | 969,000 | 5,549 | ||||||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | (132,000 | ) | 1,875 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 11/23/2018 | USD | (296,910 | ) | 2,203 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | (65,980 | ) | 7,760 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (461,860 | ) | 9,701 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 11/23/2018 | USD | (65,980 | ) | 8,500 | |||||||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | (303,348 | ) | 721 | |||||||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (701,750 | ) | 49,932 | |||||||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (325,812 | ) | 28,988 | |||||||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 25,063 | 611 | ||||||||||||||||
|
|
|
|||||||||||||||||||||||
| 453,231 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
156
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | 302,138 | $ (17,869 | ) | |||||||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | 172,650 | (9,611 | ) | |||||||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/10/2018 | USD | 517,950 | (30,984 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 1,348,125 | (186,604 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 287,600 | (40,096 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 251,650 | (34,606 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 557,225 | (76,237 | ) | |||||||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | JPMC | 07/30/2018 | HKD | 11,412,450 | (1,354 | ) | |||||||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 07/30/2018 | HKD | 13,042,800 | (11,324 | ) | |||||||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 30,433,200 | (45,299 | ) | |||||||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 08/15/2018 | BRL | 4,023,910 | (9,730 | ) | |||||||||||||||
| KC HRW Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 97,700 | (12,774 | ) | |||||||||||||||
| KC HRW Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 24,425 | (3,068 | ) | |||||||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 09/13/2018 | KRW | 3,675,000,000 | (193,417 | ) | |||||||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/16/2018 | USD | (1,160,250 | ) | (62,290 | ) | ||||||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity |
Decreases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | (530,400 | ) | (30,898 | ) | ||||||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | (629,850 | ) | (44,740 | ) | ||||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | (183,480 | ) | (2,754 | ) | ||||||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 08/14/2018 | USD | 1,070,300 | (9,590 | ) | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
157
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | 458,700 | $ (2,109 | ) | |||||||||||||||
| Lean Hogs October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 10/12/2018 | USD | 143,460 | (1,830 | ) | |||||||||||||||
| Lean Hogs October Futures | Decreases in total return of reference entity |
Increases in total return of reference entity | At termination | MACQ | 10/12/2018 | USD | 47,820 | (241 | ) | |||||||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (85,380 | ) | (1,082 | ) | ||||||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | (256,140 | ) | (2,112 | ) | ||||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity |
Increases in total return of reference entity | At termination | MLIN | 10/31/2018 | USD | 352,080 | (40 | ) | |||||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | 2,332,000 | (379,908 | ) | |||||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 10/26/2018 | USD | 1,848,000 | (297,100 | ) | |||||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 88,000 | (14,134 | ) | |||||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 968,000 | (155,315 | ) | |||||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/26/2018 | USD | 748,000 | (121,009 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/23/2018 | USD | 329,900 | (45,690 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 11/23/2018 | USD | 65,980 | (8,961 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 593,820 | (82,673 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 1,253,620 | (174,462 | ) | |||||||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 1,588,116 | (109,531 | ) | |||||||||||||||
| Swiss Market Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | Monthly | MSCS | 09/21/2018 | CHF | 2,315,250 | (10,951 | ) | |||||||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/18/2018 | TWD | 21,354,000 | (739 | ) | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
158
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 701,750 | $ (31,119 | ) | |||||||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 802,000 | (37,868 | ) | |||||||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 125,313 | (5,667 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| (2,305,786 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $(1,852,555 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 23 | 7/2018 | EUR | $2,963,129 | $(68,545 | ) | ||||||||||
| CAC 40 10 Euro Index | 32 | 7/2018 | EUR | 1,988,250 | (56,630 | ) | ||||||||||
| Hang Seng Index | 23 | 7/2018 | HKD | 4,210,628 | 3,537 | |||||||||||
| HSCEI | 32 | 7/2018 | HKD | 2,216,580 | (15,522 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 7/2018 | USD | 107,525 | (17,217 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 7/2018 | USD | 107,250 | (6,656 | ) | ||||||||||
| LME Aluminum Base Metal | 4 | 7/2018 | USD | 214,214 | (6,798 | ) | ||||||||||
| LME Aluminum Base Metal | 5 | 7/2018 | USD | 269,375 | 20,204 | |||||||||||
| LME Aluminum Base Metal | 7 | 7/2018 | USD | 377,212 | (73,132 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,825 | (4,428 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,788 | (8,765 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,342 | (9,608 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,700 | (19,806 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,512 | (15,847 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,019 | (7,823 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,052 | 3,249 | |||||||||||
| LME Nickel Base Metal | 4 | 7/2018 | USD | 356,103 | 3,736 | |||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,146 | (9,063 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,437 | (5,465 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,076 | (5,702 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,434 | (17,709 | ) | ||||||||||
| LME Zinc Base Metal | 4 | 7/2018 | USD | 289,009 | (39,503 | ) | ||||||||||
| 100 oz Gold | 63 | 8/2018 | USD | 7,903,350 | (392,758 | ) | ||||||||||
| Brent Crude Oil | 168 | 8/2018 | USD | 13,248,480 | 516,906 | |||||||||||
| Live Cattle | 14 | 8/2018 | USD | 597,660 | 7,948 | |||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,242 | (4,923 | ) | ||||||||||
| LME Aluminum Base Metal | 5 | 8/2018 | USD | 266,102 | (19,137 | ) | ||||||||||
| LME Aluminum Base Metal | 6 | 8/2018 | USD | 319,299 | (21,245 | ) | ||||||||||
| LME Aluminum Base Metal | 10 | 8/2018 | USD | 531,935 | (36,426 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,640 | (4,401 | ) | ||||||||||
| LME Copper Base Metal | 3 | 8/2018 | USD | 497,400 | (22,381 | ) | ||||||||||
| LME Copper Base Metal | 3 | 8/2018 | USD | 496,881 | (19,015 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
159
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Lead Base Metal | 1 | 8/2018 | USD | $ 60,279 | $ 3,415 | |||||||||||
| LME Lead Base Metal | 1 | 8/2018 | USD | 60,272 | 2,357 | |||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,264 | (299 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,268 | (2,088 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,116 | 4,913 | |||||||||||
| LME Zinc Base Metal | 2 | 8/2018 | USD | 143,036 | (8,319 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 8/2018 | USD | 143,375 | (11,581 | ) | ||||||||||
| LME Zinc Base Metal | 5 | 8/2018 | USD | 359,320 | (25,132 | ) | ||||||||||
| Natural Gas | 62 | 8/2018 | USD | 1,798,620 | (9,974 | ) | ||||||||||
| NY Harbor ULSD | 47 | 8/2018 | USD | 4,374,779 | 81,991 | |||||||||||
| RBOB Gasoline | 32 | 8/2018 | USD | 2,865,542 | 73,038 | |||||||||||
| WTI Crude Oil | 338 | 8/2018 | USD | 24,491,480 | 2,276,377 | |||||||||||
| Australia 10 Year Bond | 101 | 9/2018 | AUD | 9,669,144 | 123,711 | |||||||||||
| Canada 10 Year Bond | 116 | 9/2018 | CAD | 12,062,800 | 281,459 | |||||||||||
| Cocoa | 41 | 9/2018 | USD | 1,029,920 | (98,389 | ) | ||||||||||
| Coffee ‘C’ | 17 | 9/2018 | USD | 733,763 | (38,279 | ) | ||||||||||
| Corn | 47 | 9/2018 | USD | 844,825 | (120,362 | ) | ||||||||||
| DAX Index | 5 | 9/2018 | EUR | 1,796,733 | (86,549 | ) | ||||||||||
| EURO STOXX 50 Index | 191 | 9/2018 | EUR | 7,563,619 | (184,395 | ) | ||||||||||
| Euro-Bund | 564 | 9/2018 | EUR | 107,061,802 | 613,877 | |||||||||||
| Feeder Cattle | 9 | 9/2018 | USD | 679,275 | 15,759 | |||||||||||
| FTSE 100 Index | 69 | 9/2018 | GBP | 6,922,135 | (48,403 | ) | ||||||||||
| FTSE/JSE Top 40 Index | 6 | 9/2018 | ZAR | 226,073 | 988 | |||||||||||
| FTSE/MIB Index | 9 | 9/2018 | EUR | 1,133,420 | (26,442 | ) | ||||||||||
| Japan 10 Year Bond | 15 | 9/2018 | JPY | 20,436,255 | 15,904 | |||||||||||
| KC HRW Wheat | 17 | 9/2018 | USD | 415,225 | (55,841 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,318 | (757 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,244 | (4,974 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,806 | (3,534 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,827 | (2,882 | ) | ||||||||||
| LME Aluminum Base Metal | 4 | 9/2018 | USD | 212,990 | (19,450 | ) | ||||||||||
| LME Aluminum Base Metal | 125 | 9/2018 | USD | 6,661,719 | (224,796 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,654 | (13,841 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (1,190 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,313 | (33,827 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,275 | (9,431 | ) | ||||||||||
| LME Copper Base Metal | 3 | 9/2018 | USD | 496,875 | (12,721 | ) | ||||||||||
| LME Copper Base Metal | 3 | 9/2018 | USD | 496,950 | (2,709 | ) | ||||||||||
| LME Copper Base Metal | 65 | 9/2018 | USD | 10,770,500 | (448,712 | ) | ||||||||||
| LME Lead Base Metal | 1 | 9/2018 | USD | 60,247 | (3,255 | ) | ||||||||||
| LME Lead Base Metal | 16 | 9/2018 | USD | 964,200 | 12,068 | |||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,400 | (303 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,303 | (5,248 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,371 | 125 | |||||||||||
| LME Nickel Base Metal | 44 | 9/2018 | USD | 3,932,148 | 332,823 | |||||||||||
| LME Zinc Base Metal | 1 | 9/2018 | USD | 71,358 | 606 | |||||||||||
| LME Zinc Base Metal | 4 | 9/2018 | USD | 285,567 | (6,949 | ) | ||||||||||
| LME Zinc Base Metal | 4 | 9/2018 | USD | 285,600 | (15,962 | ) | ||||||||||
| LME Zinc Base Metal | 37 | 9/2018 | USD | 2,642,725 | (344,029 | ) | ||||||||||
| Long Gilt | 132 | 9/2018 | GBP | 21,437,913 | 32,818 | |||||||||||
| Low Sulphur Gasoil | 89 | 9/2018 | USD | 6,040,875 | 105,999 | |||||||||||
| Russell 2000 E-Mini Index | 72 | 9/2018 | USD | 5,931,000 | (111,147 | ) | ||||||||||
| S&P 500 E-Mini Index | 478 | 9/2018 | USD | 65,046,240 | (1,461,619 | ) | ||||||||||
| S&P Midcap 400 E-Mini Index | 34 | 9/2018 | USD | 6,650,740 | (161,316 | ) | ||||||||||
| S&P/TSX 60 Index | 21 | 9/2018 | CAD | 3,077,519 | 23,771 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
160
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| Silver | 69 | 9/2018 | USD | $ 5,588,310 | $ (152,642 | ) | ||||||||||
| SPI 200 Index | 27 | 9/2018 | AUD | 3,071,133 | 34,109 | |||||||||||
| Sugar No. 11 | 138 | 9/2018 | USD | 1,893,360 | 75,070 | |||||||||||
| TOPIX Index | 80 | 9/2018 | JPY | 12,504,177 | (289,591 | ) | ||||||||||
| U.S. Treasury 10 Year Note | 1,073 | 9/2018 | USD | 128,961,188 | 1,299,733 | |||||||||||
| Wheat | 49 | 9/2018 | USD | 1,228,062 | (44,843 | ) | ||||||||||
| Live Cattle | 2 | 10/2018 | USD | 88,020 | 905 | |||||||||||
| Soybean | 27 | 11/2018 | USD | 1,188,000 | (198,621 | ) | ||||||||||
| 100 oz Gold | 15 | 12/2018 | USD | 1,899,450 | 1,288 | |||||||||||
| Cotton No. 2 | 8 | 12/2018 | USD | 335,680 | (1,153 | ) | ||||||||||
|
|
|
|||||||||||||||
| 768,624 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts | ||||||||||||||||
| LME Aluminum Base Metal | (2 | ) | 7/2018 | USD | (107,250 | ) | 4,482 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 7/2018 | USD | (107,525 | ) | 18,195 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 7/2018 | USD | (214,214 | ) | 8,920 | |||||||||
| LME Aluminum Base Metal | (5 | ) | 7/2018 | USD | (269,375 | ) | (20,499 | ) | ||||||||
| LME Aluminum Base Metal | (7 | ) | 7/2018 | USD | (377,212 | ) | 87,392 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,788 | ) | 8,678 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,825 | ) | 4,387 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,700 | ) | 18,262 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,342 | ) | 8,959 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,512 | ) | 14,732 | |||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,052 | ) | (3,341 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,019 | ) | 4,183 | |||||||||
| LME Nickel Base Metal | (4 | ) | 7/2018 | USD | (356,103 | ) | (3,342 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,437 | ) | 5,344 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,146 | ) | 9,251 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,076 | ) | 5,742 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,434 | ) | 18,027 | |||||||||
| LME Zinc Base Metal | (4 | ) | 7/2018 | USD | (289,009 | ) | 35,070 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,242 | ) | 5,068 | |||||||||
| LME Aluminum Base Metal | (5 | ) | 8/2018 | USD | (266,102 | ) | 18,508 | |||||||||
| LME Aluminum Base Metal | (6 | ) | 8/2018 | USD | (319,299 | ) | 20,433 | |||||||||
| LME Aluminum Base Metal | (10 | ) | 8/2018 | USD | (531,935 | ) | 37,161 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,640 | ) | 4,268 | |||||||||
| LME Copper Base Metal | (3 | ) | 8/2018 | USD | (497,400 | ) | 22,229 | |||||||||
| LME Copper Base Metal | (3 | ) | 8/2018 | USD | (496,881 | ) | 18,502 | |||||||||
| LME Lead Base Metal | (1 | ) | 8/2018 | USD | (60,272 | ) | (2,413 | ) | ||||||||
| LME Lead Base Metal | (1 | ) | 8/2018 | USD | (60,279 | ) | (3,407 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,268 | ) | 1,929 | |||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,264 | ) | (197 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,116 | ) | (4,399 | ) | ||||||||
| LME Zinc Base Metal | (2 | ) | 8/2018 | USD | (143,375 | ) | 11,342 | |||||||||
| LME Zinc Base Metal | (2 | ) | 8/2018 | USD | (143,036 | ) | 8,095 | |||||||||
| LME Zinc Base Metal | (5 | ) | 8/2018 | USD | (359,320 | ) | 21,686 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,318 | ) | 1,197 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,244 | ) | 5,104 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,806 | ) | 3,357 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,827 | ) | 2,910 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 9/2018 | USD | (212,990 | ) | 20,798 | |||||||||
| LME Aluminum Base Metal | (13 | ) | 9/2018 | USD | (692,819 | ) | 21,762 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,654 | ) | 13,018 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 1,980 | |||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | (331,313 | ) | 31,795 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
161
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | $ (331,275 | ) | $ 9,261 | |||||||||
| LME Copper Base Metal | (3 | ) | 9/2018 | USD | (496,875 | ) | 13,231 | |||||||||
| LME Copper Base Metal | (3 | ) | 9/2018 | USD | (496,950 | ) | 726 | |||||||||
| LME Copper Base Metal | (17 | ) | 9/2018 | USD | (2,816,900 | ) | 86,237 | |||||||||
| LME Lead Base Metal | (1 | ) | 9/2018 | USD | (60,247 | ) | 3,475 | |||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,371 | ) | (208 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,303 | ) | 5,464 | |||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,400 | ) | (427 | ) | ||||||||
| LME Nickel Base Metal | (7 | ) | 9/2018 | USD | (625,569 | ) | 226 | |||||||||
| LME Zinc Base Metal | (1 | ) | 9/2018 | USD | (71,358 | ) | 399 | |||||||||
| LME Zinc Base Metal | (4 | ) | 9/2018 | USD | (285,567 | ) | 8,157 | |||||||||
| LME Zinc Base Metal | (4 | ) | 9/2018 | USD | (285,600 | ) | 14,969 | |||||||||
| LME Zinc Base Metal | (26 | ) | 9/2018 | USD | (1,857,050 | ) | 144,980 | |||||||||
|
|
|
|||||||||||||||
| 771,658 | ||||||||||||||||
|
|
|
|||||||||||||||
| $1,540,282 | ||||||||||||||||
|
|
|
|||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| BRL | 852,266 | USD | 217,488 | CITI** | 9/19/2018 | $609 | ||||||||||||||
| BRL | 1,278,399 | USD | 326,232 | JPMC** | 9/19/2018 | 913 | ||||||||||||||
| EUR | 504,000 | USD | 589,813 | CITI | 9/19/2018 | 2,304 | ||||||||||||||
| EUR | 756,000 | USD | 884,720 | JPMC | 9/19/2018 | 3,455 | ||||||||||||||
| HKD | 2,568,000 | USD | 327,676 | CITI | 9/19/2018 | 78 | ||||||||||||||
| HKD | 3,852,000 | USD | 491,515 | JPMC | 9/19/2018 | 117 | ||||||||||||||
| INR | 56,361,200 | USD | 812,792 | CITI** | 9/19/2018 | 1,444 | ||||||||||||||
| INR | 84,541,800 | USD | 1,219,189 | JPMC** | 9/19/2018 | 2,165 | ||||||||||||||
| MXN | 104,602,464 | USD | 5,106,754 | CITI | 9/19/2018 | 94,740 | ||||||||||||||
| MXN | 156,903,690 | USD | 7,660,140 | JPMC | 9/19/2018 | 142,099 | ||||||||||||||
| TRY | 30,071,200 | USD | 6,150,429 | CITI | 9/19/2018 | 177,513 | ||||||||||||||
| TRY | 45,106,800 | USD | 9,225,655 | JPMC | 9/19/2018 | 266,259 | ||||||||||||||
| USD | 531,105 | BRL | 1,974,800 | CITI** | 9/19/2018 | 25,749 | ||||||||||||||
| USD | 796,656 | BRL | 2,962,200 | JPMC** | 9/19/2018 | 38,623 | ||||||||||||||
| USD | 134,430 | CNY | 862,400 | CITI** | 9/19/2018 | 4,825 | ||||||||||||||
| USD | 201,645 | CNY | 1,293,600 | JPMC** | 9/19/2018 | 7,238 | ||||||||||||||
| USD | 25,983,897 | EUR | 22,001,882 | CITI | 9/19/2018 | 135,316 | ||||||||||||||
| USD | 38,977,510 | EUR | 33,002,820 | JPMC | 9/19/2018 | 204,642 | ||||||||||||||
| USD | 8,009,802 | GBP | 5,965,434 | CITI | 9/19/2018 | 108,961 | ||||||||||||||
| USD | 12,014,702 | GBP | 8,948,161 | JPMC | 9/19/2018 | 163,427 | ||||||||||||||
| USD | 86,346 | HKD | 676,000 | CITI | 9/19/2018 | 67 | ||||||||||||||
| USD | 129,518 | HKD | 1,014,000 | JPMC | 9/19/2018 | 101 | ||||||||||||||
| USD | 316,995 | HUF | 84,823,600 | CITI | 9/19/2018 | 14,781 | ||||||||||||||
| USD | 475,491 | HUF | 127,235,400 | JPMC | 9/19/2018 | 22,172 | ||||||||||||||
| USD | 693,127 | KRW | 748,541,600 | CITI** | 9/19/2018 | 19,300 | ||||||||||||||
| USD | 1,039,690 | KRW | 1,122,812,400 | JPMC** | 9/19/2018 | 28,949 | ||||||||||||||
| USD | 362,846 | MXN | 7,271,200 | CITI | 9/19/2018 | 1,276 | ||||||||||||||
| USD | 544,268 | MXN | 10,906,800 | JPMC | 9/19/2018 | 1,913 | ||||||||||||||
| USD | 2,098,827 | PLN | 7,678,400 | CITI | 9/19/2018 | 46,259 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
162
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 3,149,338 | PLN | 11,517,600 | JPMC | 9/19/2018 | $ 70,487 | ||||||||||||||
| USD | 598,830 | TRY | 2,821,200 | CITI | 9/19/2018 | 5,159 | ||||||||||||||
| USD | 898,244 | TRY | 4,231,800 | JPMC | 9/19/2018 | 7,738 | ||||||||||||||
| USD | 408,335 | ZAR | 5,355,200 | CITI | 9/19/2018 | 21,961 | ||||||||||||||
| USD | 612,502 | ZAR | 8,032,800 | JPMC | 9/19/2018 | 32,940 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 1,653,580 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| BRL | 9,814,136 | USD | 2,612,074 | CITI** | 9/19/2018 | (100,616 | ) | |||||||||||||
| BRL | 14,721,199 | USD | 3,918,115 | JPMC** | 9/19/2018 | (150,928 | ) | |||||||||||||
| CNY | 10,751,600 | USD | 1,673,704 | CITI** | 9/19/2018 | (57,910 | ) | |||||||||||||
| CNY | 16,127,400 | USD | 2,510,559 | JPMC** | 9/19/2018 | (86,869 | ) | |||||||||||||
| EUR | 1,947,200 | USD | 2,312,203 | CITI | 9/19/2018 | (24,564 | ) | |||||||||||||
| EUR | 2,920,800 | USD | 3,468,108 | JPMC | 9/19/2018 | (36,649 | ) | |||||||||||||
| HUF | 84,823,600 | USD | 313,313 | CITI | 9/19/2018 | (11,100 | ) | |||||||||||||
| HUF | 127,235,400 | USD | 469,970 | JPMC | 9/19/2018 | (16,650 | ) | |||||||||||||
| INR | 49,302,400 | USD | 720,229 | CITI** | 9/19/2018 | (7,970 | ) | |||||||||||||
| INR | 73,953,600 | USD | 1,080,345 | JPMC** | 9/19/2018 | (11,956 | ) | |||||||||||||
| KRW | 6,871,870,400 | USD | 6,415,461 | CITI** | 9/19/2018 | (229,493 | ) | |||||||||||||
| KRW | 10,307,805,599 | USD | 9,623,203 | JPMC** | 9/19/2018 | (344,251 | ) | |||||||||||||
| MXN | 45,235,940 | USD | 2,257,850 | CITI | 9/19/2018 | (8,435 | ) | |||||||||||||
| MXN | 67,853,906 | USD | 3,386,780 | JPMC | 9/19/2018 | (12,656 | ) | |||||||||||||
| PLN | 20,390,400 | USD | 5,558,902 | CITI | 9/19/2018 | (108,200 | ) | |||||||||||||
| PLN | 30,585,600 | USD | 8,338,364 | JPMC | 9/19/2018 | (162,310 | ) | |||||||||||||
| USD | 8,773,671 | EUR | 7,503,294 | CITI | 9/19/2018 | (41,461 | ) | |||||||||||||
| USD | 13,160,491 | EUR | 11,254,941 | JPMC | 9/19/2018 | (62,208 | ) | |||||||||||||
| USD | 249,017 | HKD | 1,951,600 | CITI | 9/19/2018 | (66 | ) | |||||||||||||
| USD | 373,525 | HKD | 2,927,400 | JPMC | 9/19/2018 | (100 | ) | |||||||||||||
| USD | 995,496 | MXN | 20,351,600 | CITI | 9/19/2018 | (16,514 | ) | |||||||||||||
| USD | 1,493,242 | MXN | 30,527,400 | JPMC | 9/19/2018 | (24,773 | ) | |||||||||||||
| USD | 211,798 | ZAR | 2,976,400 | CITI | 9/19/2018 | (2,947 | ) | |||||||||||||
| USD | 317,696 | ZAR | 4,464,600 | JPMC | 9/19/2018 | (4,421 | ) | |||||||||||||
| ZAR | 52,096,400 | USD | 4,088,007 | CITI | 9/19/2018 | (329,287 | ) | |||||||||||||
| ZAR | 78,144,602 | USD | 6,132,018 | JPMC | 9/19/2018 | (493,939 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation | (2,346,273 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation | $(692,693 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
163
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $9,105,993 | $9,105,993 | |||||||||
|
|
||||||||||||
| CITG | ||||||||||||
| Cash | — | 2,268,966 | 2,268,966 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 1,866,785 | — | 1,866,785 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | (967,159 | ) | (967,159 | ) | |||||||
| U.S. Treasury Inflation Linked Notes | — | 2,171,265 | 2,171,265 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 81,112 | — | 81,112 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 9,766,683 | — | 9,766,683 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 81,266 | 81,266 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 410,000 | — | 410,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (1,299,470 | ) | (1,299,470 | ) | |||||||
| U.S. Treasury Inflation Linked Notes | — | 1,265,339 | 1,265,339 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Investment Companies | 2,005,198 | — | 2,005,198 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $394,533 | $— | $394,533 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 578,169 | 578,169 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 810,087 | — | 810,087 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 1,886,441 | 1,886,441 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 560,000 | — | 560,000 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 1,010,000 | — | 1,010,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 1,543,542 | 1,543,542 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 1,061,093 | — | 1,061,093 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
164
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
165
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
Reverse repurchase agreements at June 30, 2018:
Over the Counter
| COUNTERPARTY | TRADE DATE | RATE | DUE DATE |
PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT |
||||||||||
| CITI | 6/12/2018 | 2.16% | 7/12/2018 | $3,146,003 | ||||||||||
| MPFS | 6/12/2018 | 2.15% | 7/12/2018 | 5,398,075 | ||||||||||
| MSCL | 6/12/2018 | 2.18% | 7/12/2018 | 3,509,012 | ||||||||||
|
|
|
|||||||||||||
| $12,053,090 | ||||||||||||||
|
|
|
|||||||||||||
The weighted average daily balance of the reverse repurchase agreements during the period ended June 30, 2018 was $11,976,307 at a net weighted average interest rate of 1.749%
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (53,925 | ) | $1,053 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (89,875 | ) | 967 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (107,850 | ) | 1,775 | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | 125,880 | 5,585 | ||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/09/2018 | USD | 41,960 | 1,710 | ||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/09/2018 | USD | 41,960 | 1,937 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 1,436,300 | 611 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 2,872,600 | 388 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | 165,750 | 13,225 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | 430,950 | 34,852 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
166
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | 512,280 | $ 7,790 | ||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | 213,450 | 3,228 | ||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/31/2018 | USD | 88,020 | 1,095 | ||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/31/2018 | USD | 44,010 | 369 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | USD | 232,560 | 1,486 | ||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 11/23/2018 | USD | (32,990 | ) | 270 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | (32,990 | ) | 3,390 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (98,970 | ) | 2,772 | |||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | (107,064 | ) | 787 | |||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (75,188 | ) | 3,057 | |||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (125,313 | ) | 11,362 | |||||||||||
|
|
|
|||||||||||||||||||
| 97,709 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | 129,488 | (7,274 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/10/2018 | USD | 172,650 | (9,951 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | 43,163 | (2,402 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 53,925 | (7,098 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 143,800 | (19,434 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 305,575 | (41,583 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 179,750 | (24,459 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
167
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 7,608,300 | $ (11,325 | ) | |||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 6,521,400 | (10,015 | ) | |||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 08/15/2018 | BRL | 731,620 | (1,557 | ) | |||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/15/2018 | BRL | 365,810 | (694 | ) | |||||||||||
| KC HRW Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 24,425 | (3,045 | ) | |||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 09/13/2018 | KRW | 375,000,000 | (18,845 | ) | |||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 09/13/2018 | KRW | 600,000,000 | (29,311 | ) | |||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | (165,750 | ) | (9,989 | ) | ||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | (430,950 | ) | (28,511 | ) | ||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | 152,900 | (343 | ) | |||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/14/2018 | USD | 244,640 | (786 | ) | |||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/14/2018 | USD | (61,160 | ) | (687 | ) | ||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | (61,160 | ) | (786 | ) | ||||||||||
| Lean Hogs October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/12/2018 | USD | 23,910 | (68 | ) | |||||||||||
| Lean Hogs October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/12/2018 | USD | 23,910 | (120 | ) | |||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (85,380 | ) | (1,082 | ) | ||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | (42,690 | ) | (352 | ) | ||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | 88,000 | (14,344 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
168
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/26/2018 | USD | 748,000 | $ (121,717 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 264,000 | (41,950 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 176,000 | (28,170 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/23/2018 | USD | 131,960 | (18,030 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 98,970 | (13,310 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 263,920 | (36,094 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 410,412 | (27,669 | ) | |||||||||||
| Swiss Market Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | Monthly | MLIN | 09/21/2018 | CHF | 514,500 | (1,865 | ) | |||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/18/2018 | TWD | 4,270,800 | (52 | ) | |||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/18/2018 | TWD | 10,677,000 | (369 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 150,375 | (6,203 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 50,125 | (1,466 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 75,188 | (2,579 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 75,187 | (2,385 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (545,920 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(448,211 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
169
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 4 | 7/2018 | EUR | $515,327 | $(11,947 | ) | ||||||||||
| CAC 40 10 Euro Index | 6 | 7/2018 | EUR | 372,797 | (9,764 | ) | ||||||||||
| Hang Seng Index | 5 | 7/2018 | HKD | 915,354 | (125 | ) | ||||||||||
| HSCEI | 7 | 7/2018 | HKD | 484,877 | (2,770 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 7/2018 | USD | 53,887 | (10,447 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,756 | (7,923 | ) | ||||||||||
| LME Lead Base Metal | 1 | 7/2018 | USD | 60,131 | 289 | |||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,252 | (9,876 | ) | ||||||||||
| 100 oz Gold | 16 | 8/2018 | USD | 2,007,200 | (101,697 | ) | ||||||||||
| Brent Crude Oil | 35 | 8/2018 | USD | 2,760,100 | 108,758 | |||||||||||
| Live Cattle | 7 | 8/2018 | USD | 298,830 | 4,265 | |||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,220 | (3,827 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,175 | (4,505 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 8/2018 | USD | 106,387 | (7,285 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 8/2018 | USD | 160,125 | (9,720 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,776 | (4,763 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 8/2018 | USD | 178,219 | 11,186 | |||||||||||
| LME Zinc Base Metal | 2 | 8/2018 | USD | 143,798 | (11,381 | ) | ||||||||||
| Natural Gas | 14 | 8/2018 | USD | 406,140 | (1,723 | ) | ||||||||||
| NY Harbor ULSD | 10 | 8/2018 | USD | 930,804 | 18,885 | |||||||||||
| RBOB Gasoline | 7 | 8/2018 | USD | 626,837 | 16,149 | |||||||||||
| WTI Crude Oil | 68 | 8/2018 | USD | 4,927,280 | 455,935 | |||||||||||
| Australia 10 Year Bond | 26 | 9/2018 | AUD | 2,489,087 | 31,907 | |||||||||||
| Canada 10 Year Bond | 27 | 9/2018 | CAD | 2,807,721 | 68,498 | |||||||||||
| Cocoa | 8 | 9/2018 | USD | 200,960 | (21,758 | ) | ||||||||||
| Coffee ‘C’ | 3 | 9/2018 | USD | 129,487 | (7,201 | ) | ||||||||||
| Corn | 9 | 9/2018 | USD | 161,775 | (22,908 | ) | ||||||||||
| DAX Index | 1 | 9/2018 | EUR | 359,347 | (15,703 | ) | ||||||||||
| EURO STOXX 50 Index | 38 | 9/2018 | EUR | 1,504,804 | (35,352 | ) | ||||||||||
| Euro-Bund | 130 | 9/2018 | EUR | 24,677,366 | 145,772 | |||||||||||
| Feeder Cattle | 2 | 9/2018 | USD | 150,950 | 4,304 | |||||||||||
| FTSE 100 Index | 15 | 9/2018 | GBP | 1,504,812 | (10,490 | ) | ||||||||||
| FTSE/JSE Top 40 Index | 5 | 9/2018 | ZAR | 188,394 | (488 | ) | ||||||||||
| FTSE/MIB Index | 3 | 9/2018 | EUR | 377,807 | (8,724 | ) | ||||||||||
| Japan 10 Year Bond Mini | 34 | 9/2018 | JPY | 4,632,218 | 4,660 | |||||||||||
| KC HRW Wheat | 4 | 9/2018 | USD | 97,700 | (12,265 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,269 | (1,178 | ) | ||||||||||
| LME Aluminum Base Metal | 28 | 9/2018 | USD | 1,492,225 | (28,738 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,738 | (8,090 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (1,190 | ) | ||||||||||
| LME Copper Base Metal | 14 | 9/2018 | USD | 2,319,800 | (90,665 | ) | ||||||||||
| LME Lead Base Metal | 4 | 9/2018 | USD | 241,050 | 2,893 | |||||||||||
| LME Nickel Base Metal | 9 | 9/2018 | USD | 804,303 | 77,248 | |||||||||||
| LME Zinc Base Metal | 1 | 9/2018 | USD | 71,442 | (5,536 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 9/2018 | USD | 71,392 | (1,186 | ) | ||||||||||
| LME Zinc Base Metal | 8 | 9/2018 | USD | 571,400 | (74,220 | ) | ||||||||||
| Long Gilt | 29 | 9/2018 | GBP | 4,709,844 | 4,350 | |||||||||||
| Low Sulphur Gasoil | 18 | 9/2018 | USD | 1,221,750 | 20,880 | |||||||||||
| Russell 2000 E-Mini Index | 16 | 9/2018 | USD | 1,318,000 | (24,855 | ) | ||||||||||
| S&P 500 E-Mini Index | 104 | 9/2018 | USD | 14,152,320 | (319,940 | ) | ||||||||||
| S&P Midcap 400 E-Mini Index | 8 | 9/2018 | USD | 1,564,880 | (38,089 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
170
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| S&P/TSX 60 Index | 4 | 9/2018 | CAD | $ 586,194 | $ 4,599 | |||||||||||
| Silver | 14 | 9/2018 | USD | 1,133,860 | (30,344 | ) | ||||||||||
| SPI 200 Index | 5 | 9/2018 | AUD | 568,728 | 6,808 | |||||||||||
| Sugar No. 11 | 33 | 9/2018 | USD | 452,760 | 21,669 | |||||||||||
| TOPIX Index | 18 | 9/2018 | JPY | 2,813,440 | (69,664 | ) | ||||||||||
| U.S. Treasury 10 Year Note | 261 | 9/2018 | USD | 31,368,938 | 335,740 | |||||||||||
| Wheat | 11 | 9/2018 | USD | 275,687 | (11,579 | ) | ||||||||||
| Soybean | 5 | 11/2018 | USD | 220,000 | (37,446 | ) | ||||||||||
| 100 oz Gold | 3 | 12/2018 | USD | 379,890 | 258 | |||||||||||
| Cotton No. 2 | 2 | 12/2018 | USD | 83,920 | 3,876 | |||||||||||
|
|
|
|||||||||||||||
| 273,567 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
| |||||||||||||||
| LME Aluminum Base Metal | (1 | ) | 7/2018 | USD | (53,887 | ) | 12,485 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,756 | ) | 7,366 | |||||||||
| LME Lead Base Metal | (1 | ) | 7/2018 | USD | (60,131 | ) | 191 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,252 | ) | 8,767 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,175 | ) | 4,325 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,220 | ) | 3,702 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 8/2018 | USD | (106,387 | ) | 7,432 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 8/2018 | USD | (160,125 | ) | 8,754 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,777 | ) | 4,653 | |||||||||
| LME Nickel Base Metal | (2 | ) | 8/2018 | USD | (178,219 | ) | (10,645 | ) | ||||||||
| LME Zinc Base Metal | (2 | ) | 8/2018 | USD | (143,798 | ) | 10,381 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,269 | ) | 1,119 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 9/2018 | USD | (213,175 | ) | 10,690 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,738 | ) | 9,158 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 1,980 | |||||||||
| LME Copper Base Metal | (3 | ) | 9/2018 | USD | (497,100 | ) | 14,592 | |||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,734 | ) | (11,387 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 9/2018 | USD | (71,442 | ) | 5,414 | |||||||||
| LME Zinc Base Metal | (1 | ) | 9/2018 | USD | (71,392 | ) | 1,794 | |||||||||
| LME Zinc Base Metal | (5 | ) | 9/2018 | USD | (357,125 | ) | 29,637 | |||||||||
|
|
|
|||||||||||||||
| 120,408 | ||||||||||||||||
|
|
|
|||||||||||||||
| $393,975 | ||||||||||||||||
|
|
|
|||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| BRL | 333 | USD | 85 | CITI** | 9/19/2018 | $— | ||||||||||||||
| BRL | 500 | USD | 128 | JPMC** | 9/19/2018 | — | ||||||||||||||
| HKD | 552,000 | USD | 70,435 | CITI | 9/19/2018 | 17 | ||||||||||||||
| HKD | 828,000 | USD | 105,653 | JPMC | 9/19/2018 | 25 | ||||||||||||||
| USD | 4,088 | CHF | 4,000 | CITI | 9/19/2018 | 20 | ||||||||||||||
| USD | 6,132 | CHF | 6,000 | JPMC | 9/19/2018 | 31 | ||||||||||||||
| USD | 2,418,152 | EUR | 2,047,291 | CITI | 9/19/2018 | 12,923 | ||||||||||||||
| USD | 3,627,225 | EUR | 3,070,938 | JPMC | 9/19/2018 | 19,379 | ||||||||||||||
| USD | 1,442,273 | GBP | 1,074,164 | CITI | 9/19/2018 | 19,610 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
171
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 2,163,403 | GBP | 1,611,243 | JPMC | 9/19/2018 | $ 29,413 | ||||||||||||||
| USD | 18,087 | HKD | 141,600 | CITI | 9/19/2018 | 14 | ||||||||||||||
| USD | 27,130 | HKD | 212,400 | JPMC | 9/19/2018 | 21 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 81,453 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| BRL | 3,665 | USD | 976 | CITI** | 9/19/2018 | (38 | ) | |||||||||||||
| BRL | 5,502 | USD | 1,465 | JPMC** | 9/19/2018 | (56 | ) | |||||||||||||
| USD | 12,567 | CHF | 12,400 | CITI | 9/19/2018 | (41 | ) | |||||||||||||
| USD | 18,850 | CHF | 18,600 | JPMC | 9/19/2018 | (62 | ) | |||||||||||||
| USD | 867,745 | EUR | 742,430 | CITI | 9/19/2018 | (4,488 | ) | |||||||||||||
| USD | 1,301,617 | EUR | 1,113,646 | JPMC | 9/19/2018 | (6,733 | ) | |||||||||||||
| USD | 67,319 | HKD | 527,600 | CITI | 9/19/2018 | (18 | ) | |||||||||||||
| USD | 100,979 | HKD | 791,400 | JPMC | 9/19/2018 | (28 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(11,464 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation |
|
$69,989 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen KRW- Korean Won
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
172
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $1,979,517 | $1,979,517 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Cash | (50,000 | ) | — | (50,000 | ) | |||||||
| Investment Companies | 193,859 | — | 193,859 | |||||||||
| U.S. Treasury Inflation Linked Notes | 3,178,421 | — | 3,178,421 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 287,028 | 287,028 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 296,522 | — | 296,522 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 357,411 | — | 357,411 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 35,524 | 35,524 | |||||||||
|
|
||||||||||||
| MPFS | ||||||||||||
| U.S. Treasury Inflation Linked Notes | 5,473,895 | — | 5,473,895 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (33,828 | ) | (33,828 | ) | |||||||
| U.S. Treasury Inflation Linked Notes | 3,567,050 | — | 3,567,050 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 130,002 | — | 130,002 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $211,492 | $— | $211,492 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 118,193 | 118,193 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 110,017 | — | 110,017 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 389,143 | 389,143 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 220,000 | — | 220,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 357,748 | 357,748 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 240,150 | — | 240,150 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
173
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
174
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (53,925 | ) | $93 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (71,900 | ) | 578 | |||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (53,925 | ) | 765 | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | 209,800 | 9,335 | ||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/09/2018 | USD | 83,920 | 3,815 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 1,436,300 | 1,238 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 1,436,300 | 1,404 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | 298,350 | 24,134 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | 232,050 | 18,686 | ||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | 512,280 | 7,790 | ||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | 213,450 | 3,228 | ||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/31/2018 | USD | 88,020 | 1,095 | ||||||||||||
| Live Cattle October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/31/2018 | USD | 44,010 | 369 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | USD | 345,648 | 3,456 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | 38,760 | 429 | ||||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | (17,844 | ) | 6 | |||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (35,688 | ) | 66 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
175
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Sugar No. 11 September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 09/17/2018 | USD | 13,720 | $ 641 | ||||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (75,188 | ) | 1,540 | |||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (150,375 | ) | 14,005 | |||||||||||
|
|
|
|||||||||||||||||||
| 92,673 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| 100 oz Gold August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 07/31/2018 | USD | 125,450 | (6,595 | ) | |||||||||||
| 100 oz Gold August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 07/31/2018 | USD | 125,450 | (6,820 | ) | |||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | 25,120 | (2,665 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | 43,163 | (2,418 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/10/2018 | USD | 172,650 | (9,951 | ) | |||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | 43,162 | (2,402 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 71,900 | (9,878 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 431,400 | (58,823 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 53,925 | (7,167 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 143,800 | (19,339 | ) | |||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 9,238,650 | (14,522 | ) | |||||||||||
| HSCEI July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 6,521,400 | (9,707 | ) | |||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/15/2018 | BRL | 731,620 | (1,387 | ) | |||||||||||
| iBovespa Index August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 08/15/2018 | BRL | 731,620 | (1,557 | ) | |||||||||||
| KC HRW Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 24,425 | (3,077 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
176
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 09/13/2018 | KRW | 1,050,000,000 | $ (51,311 | ) | |||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 07/16/2018 | USD | (232,050 | ) | (14,130 | ) | ||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | (298,350 | ) | (16,816 | ) | ||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/14/2018 | USD | (30,580 | ) | (566 | ) | ||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | 275,220 | (819 | ) | |||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | (30,580 | ) | (145 | ) | ||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/14/2018 | USD | 122,320 | (744 | ) | |||||||||||
| Lean Hogs October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/12/2018 | USD | 23,910 | (120 | ) | |||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | (42,690 | ) | (352 | ) | ||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (85,380 | ) | (1,082 | ) | ||||||||||
| Silver September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/31/2018 | USD | 80,990 | (1,510 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | 264,000 | (42,699 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 176,000 | (27,265 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 10/26/2018 | USD | 704,000 | (114,211 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 220,000 | (34,858 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/23/2018 | USD | 98,970 | (13,210 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 197,940 | (27,179 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 356,880 | (24,326 | ) | |||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 35,688 | (2,176 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
177
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Soybean Oil December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 17,844 | $ (996 | ) | |||||||||||
| Swiss Market Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | Monthly | MLIN | 09/21/2018 | CHF | 686,000 | (2,331 | ) | |||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | TWD | 4,270,800 | (148 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | 225,563 | (9,749 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | 25,063 | (733 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 125,312 | (1,712 | ) | |||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | 75,187 | (2,385 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (547,881 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(455,208 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 5 | 7/2018 | EUR | $644,158 | $(15,164 | ) | ||||||||||
| CAC 40 10 Euro Index | 8 | 7/2018 | EUR | 497,062 | (12,991 | ) | ||||||||||
| Hang Seng Index | 7 | 7/2018 | HKD | 1,281,495 | 1,252 | |||||||||||
| HSCEI | 7 | 7/2018 | HKD | 484,877 | (2,770 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 7/2018 | USD | 53,887 | (10,447 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 7/2018 | USD | 53,625 | (3,328 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 7/2018 | USD | 107,750 | 8,082 | |||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,850 | (9,903 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,750 | (8,978 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,026 | 934 | |||||||||||
| 100 oz Gold | 15 | 8/2018 | USD | 1,881,750 | (93,207 | ) | ||||||||||
| Brent Crude Oil | 39 | 8/2018 | USD | 3,075,540 | 120,218 | |||||||||||
| Live Cattle | 7 | 8/2018 | USD | 298,830 | 3,593 | |||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,221 | (3,827 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,175 | (4,505 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 8/2018 | USD | 106,387 | (7,285 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,627 | (6,338 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,750 | (5,180 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,864 | (5,026 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,562 | (5,440 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
178
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) |
| |||||||||||||||
| Natural Gas | 15 | 8/2018 | USD | $ 435,150 | $ (2,102 | ) | ||||||||||
| NY Harbor ULSD | 10 | 8/2018 | USD | 930,804 | 16,558 | |||||||||||
| RBOB Gasoline | 7 | 8/2018 | USD | 626,837 | 16,149 | |||||||||||
| WTI Crude Oil | 75 | 8/2018 | USD | 5,434,500 | 493,546 | |||||||||||
| Australia 10 Year Bond | 27 | 9/2018 | AUD | 2,584,821 | 33,206 | |||||||||||
| Canada 10 Year Bond | 29 | 9/2018 | CAD | 3,015,700 | 70,097 | |||||||||||
| Cocoa | 8 | 9/2018 | USD | 200,960 | (20,512 | ) | ||||||||||
| Coffee ‘C’ | 6 | 9/2018 | USD | 258,975 | (13,008 | ) | ||||||||||
| Corn | 10 | 9/2018 | USD | 179,750 | (25,198 | ) | ||||||||||
| DAX Index | 2 | 9/2018 | EUR | 718,693 | (30,687 | ) | ||||||||||
| EURO STOXX 50 Index | 46 | 9/2018 | EUR | 1,821,605 | (42,743 | ) | ||||||||||
| Euro-Bund | 142 | 9/2018 | EUR | 26,955,276 | 146,765 | |||||||||||
| Feeder Cattle | 2 | 9/2018 | USD | 150,950 | 4,304 | |||||||||||
| FTSE 100 Index | 17 | 9/2018 | GBP | 1,705,453 | (11,899 | ) | ||||||||||
| FTSE/JSE Top 40 Index | 6 | 9/2018 | ZAR | 226,073 | (979 | ) | ||||||||||
| FTSE/MIB Index | 1 | 9/2018 | EUR | 125,936 | (2,853 | ) | ||||||||||
| Japan 10 Year Bond | 4 | 9/2018 | JPY | 5,449,668 | 5,365 | |||||||||||
| Japan 10 Year Bond Mini | 4 | 9/2018 | JPY | 544,967 | 544 | |||||||||||
| KC HRW Wheat | 4 | 9/2018 | USD | 97,700 | (12,265 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,248 | (4,863 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,269 | (1,178 | ) | ||||||||||
| LME Aluminum Base Metal | 28 | 9/2018 | USD | 1,492,225 | (33,947 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (1,190 | ) | ||||||||||
| LME Copper Base Metal | 16 | 9/2018 | USD | 2,651,200 | (101,016 | ) | ||||||||||
| LME Lead Base Metal | 4 | 9/2018 | USD | 241,050 | 2,893 | |||||||||||
| LME Nickel Base Metal | 8 | 9/2018 | USD | 714,936 | 70,359 | |||||||||||
| LME Zinc Base Metal | 1 | 9/2018 | USD | 71,400 | (3,990 | ) | ||||||||||
| LME Zinc Base Metal | 7 | 9/2018 | USD | 499,975 | (64,667 | ) | ||||||||||
| Long Gilt | 32 | 9/2018 | GBP | 5,197,070 | 8,673 | |||||||||||
| Low Sulphur Gasoil | 20 | 9/2018 | USD | 1,357,500 | 23,793 | |||||||||||
| Russell 2000 E-Mini Index | 17 | 9/2018 | USD | 1,400,375 | (26,298 | ) | ||||||||||
| S&P 500 E-Mini Index | 115 | 9/2018 | USD | 15,649,200 | (348,331 | ) | ||||||||||
| S&P Midcap 400 E-Mini Index | 8 | 9/2018 | USD | 1,564,880 | (38,346 | ) | ||||||||||
| S&P/TSX 60 Index | 4 | 9/2018 | CAD | 586,194 | 4,600 | |||||||||||
| Silver | 14 | 9/2018 | USD | 1,133,860 | (32,697 | ) | ||||||||||
| SPI 200 Index | 6 | 9/2018 | AUD | 682,474 | 7,008 | |||||||||||
| Sugar No. 11 | 36 | 9/2018 | USD | 493,920 | 21,785 | |||||||||||
| TOPIX Index | 20 | 9/2018 | JPY | 3,126,044 | (77,368 | ) | ||||||||||
| U.S. Treasury 10 Year Note | 285 | 9/2018 | USD | 34,253,438 | 382,606 | |||||||||||
| Wheat | 9 | 9/2018 | USD | 225,563 | (12,287 | ) | ||||||||||
| Live Cattle | 1 | 10/2018 | USD | 44,010 | 452 | |||||||||||
| Soybean | 5 | 11/2018 | USD | 220,000 | (38,695 | ) | ||||||||||
| 100 oz Gold | 3 | 12/2018 | USD | 379,890 | 258 | |||||||||||
| Cotton No. 2 | 2 | 12/2018 | USD | 83,920 | 1,293 | |||||||||||
| Soybean Meal | 2 | 12/2018 | USD | 65,980 | (9,698 | ) | ||||||||||
|
|
|
|||||||||||||||
| 293,127 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts |
| |||||||||||||||
| LME Aluminum Base Metal | (1 | ) | 7/2018 | USD | (53,625 | ) | 2,241 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 7/2018 | USD | (53,887 | ) | 12,484 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 7/2018 | USD | (107,750 | ) | (8,200 | ) | ||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,750 | ) | 9,579 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,850 | ) | 9,131 | |||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,026 | ) | (835 | ) | ||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,175 | ) | 4,324 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
179
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) |
| |||||||||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | $ (53,220 | ) | $ 3,702 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 8/2018 | USD | (106,387 | ) | 7,432 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,750 | ) | 6,285 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,627 | ) | 6,167 | |||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,864 | ) | 4,337 | |||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,562 | ) | 5,259 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,248 | ) | 5,200 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,269 | ) | 1,119 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 9/2018 | USD | (106,587 | ) | 4,794 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 1,980 | |||||||||
| LME Copper Base Metal | (4 | ) | 9/2018 | USD | (662,800 | ) | 28,051 | |||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,367 | ) | (1,074 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 9/2018 | USD | (71,400 | ) | 3,742 | |||||||||
| LME Zinc Base Metal | (3 | ) | 9/2018 | USD | (214,275 | ) | 15,098 | |||||||||
|
|
|
|||||||||||||||
| 120,816 | ||||||||||||||||
|
|
|
|||||||||||||||
| $413,943 | ||||||||||||||||
|
|
|
|||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| HKD | 564,000 | USD | 71,966 | CITI | 9/19/2018 | $17 | ||||||||||||||
| HKD | 846,000 | USD | 107,950 | JPMC | 9/19/2018 | 26 | ||||||||||||||
| USD | 4,881 | BRL | 18,333 | CITI** | 9/19/2018 | 189 | ||||||||||||||
| USD | 7,322 | BRL | 27,500 | JPMC** | 9/19/2018 | 285 | ||||||||||||||
| USD | 1,225 | CHF | 1,200 | CITI | 9/19/2018 | 5 | ||||||||||||||
| USD | 1,837 | CHF | 1,800 | JPMC | 9/19/2018 | 7 | ||||||||||||||
| USD | 2,371,385 | EUR | 2,007,571 | CITI | 9/19/2018 | 12,821 | ||||||||||||||
| USD | 3,557,090 | EUR | 3,011,371 | JPMC | 9/19/2018 | 19,226 | ||||||||||||||
| USD | 1,583,973 | GBP | 1,179,403 | CITI | 9/19/2018 | 21,928 | ||||||||||||||
| USD | 2,375,946 | GBP | 1,769,097 | JPMC | 9/19/2018 | 32,889 | ||||||||||||||
| USD | 17,985 | HKD | 140,800 | CITI | 9/19/2018 | 14 | ||||||||||||||
| USD | 26,977 | HKD | 211,200 | JPMC | 9/19/2018 | 21 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 87,428 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| USD | 425 | BRL | 1,667 | CITI** | 9/19/2018 | (1 | ) | |||||||||||||
| USD | 638 | BRL | 2,500 | JPMC** | 9/19/2018 | (2 | ) | |||||||||||||
| USD | 15,406 | CHF | 15,200 | CITI | 9/19/2018 | (49 | ) | |||||||||||||
| USD | 23,109 | CHF | 22,800 | JPMC | 9/19/2018 | (73 | ) | |||||||||||||
| USD | 842,042 | EUR | 720,482 | CITI | 9/19/2018 | (4,406 | ) | |||||||||||||
| USD | 1,263,069 | EUR | 1,080,729 | JPMC | 9/19/2018 | (6,609 | ) | |||||||||||||
| USD | 69,923 | HKD | 548,000 | CITI | 9/19/2018 | (19 | ) | |||||||||||||
| USD | 104,884 | HKD | 822,000 | JPMC | 9/19/2018 | (28 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(11,187 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized appreciation |
|
$76,241 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
180
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $2,169,713 | $2,169,713 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Cash | (50,000 | ) | — | (50,000 | ) | |||||||
| Investment Companies | 153,134 | — | 153,134 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | (234,930 | ) | (234,930 | ) | |||||||
| U.S. Treasury Bills | — | 544,601 | 544,601 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 345,648 | — | 345,648 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 367,172 | — | 367,172 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 40,092 | 40,092 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 130,002 | — | 130,002 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (382,436 | ) | (382,436 | ) | |||||||
| U.S. Treasury Bills | — | 343,158 | 343,158 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $291,743 | $— | $291,743 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 131,580 | 131,580 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 180,011 | — | 180,011 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 422,977 | 422,977 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 280,000 | — | 280,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 373,022 | 373,022 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 180,197 | — | 180,197 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
181
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
182
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
183
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
184
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
185
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA 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 $1,898,183,441. |
| (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 June 30, 2018 amounted to $15,324,993, which represents approximately 0.32% of net assets of the fund. |
| (d) | Security fair valued as of June 30, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at June 30, 2018 amounted to $(3), which represents approximately (0.00)% of net assets of the fund. |
| (e) | Represents 7-day effective yield as of June 30, 2018. |
| (f) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (g) | 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, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT 12/31/17 |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT 06/30/18 |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| SHORT-TERM INVESTMENTS - 23.4% | ||||||||||||||||||||||||||||
| INVESTMENT COMPANIES - 23.4% | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $1,132,807,112) | 1,084,486,894 | 1,906,846,553 | (1,858,256,982 | ) | 1,133,076,465 | $1,133,076,465 | $8,395,349 | $(128,810 | ) | $269,353 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Represents 7-day effective yield as of June 30, 2018. |
| (h) | The rate shown was the effective yield at the date of purchase. |
| (i) | All or a portion of the security pledged as collateral for futures contracts. |
| (j) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) Level 2 security (See Note 5).
(3) Level 3 security (See Note 5).
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
186
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS FUND |
PAYMENTS BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (18,460,325 | ) | $813,538 | |||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 1,248,144,700 | 139,886 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 1,207,928,300 | 875,034 | ||||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | (433,129,650 | ) | 664,374 | |||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | (311,940,300 | ) | 461,822 | |||||||||||
| MSCI Singapore Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | SGD | 19,690,800 | 44,267 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | USD | 1,744,200 | 11,145 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | 10,387,680 | 58,072 | ||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | (5,368,000 | ) | 364,486 | |||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | (32,032,000 | ) | 4,142,398 | |||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | (9,064,000 | ) | 1,268,273 | |||||||||||
| Swiss Market Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | Monthly | MLIN | 09/21/2018 | CHF | (383,559,750 | ) | 1,162,121 | |||||||||||
| WIG20 Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 09/21/2018 | PLN | (31,051,600 | ) | 481,570 | |||||||||||
|
|
|
|||||||||||||||||||
| 10,486,986 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| iBovespa Index August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 08/15/2018 | BRL | (162,419,640 | ) | (587,317 | ) | ||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 09/13/2018 | KRW | 20,475,000,000 | (1,054,937 | ) | |||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 09/13/2018 | KRW | 117,825,000,000 | (5,755,065 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
187
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| MSCI Emerging Markets Taiwan Net Total Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.5%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | USD | 1,773,967 | $ (77,126 | ) | |||||||||||
| MSCI Israel Daily Net Total Return Index | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.6%) | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | USD | 360,779 | (6,914 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 32,032,000 | (3,574,351 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | 9,064,000 | (1,050,870 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 59,224,000 | (6,755,906 | ) | |||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/18/2018 | TWD | 858,430,800 | (29,697 | ) | |||||||||||
| Tel Aviv Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/25/2018 | ILS | 26,392,842 | (79,733 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (18,971,916 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(8,484,930 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Long Contracts |
| |||||||||||||||||
| Amsterdam Exchange Index | 1,638 | 7/2018 | EUR | $211,026,319 | $(4,773,392 | ) | ||||||||||||
| Brent Crude Oil | 1,459 | 7/2018 | USD | 115,596,570 | 4,814,714 | |||||||||||||
| FTSE Bursa Malaysia KLCI Index | 20 | 7/2018 | MYR | 419,978 | 8,428 | |||||||||||||
| Hang Seng Index | 119 | 7/2018 | HKD | 21,785,421 | 386,853 | |||||||||||||
| LME Copper Base Metal | 67 | 7/2018 | USD | 11,110,275 | (260,893 | ) | ||||||||||||
| LME Copper Base Metal | 88 | 7/2018 | USD | 14,579,026 | (419,646 | ) | ||||||||||||
| LME Copper Base Metal | 110 | 7/2018 | USD | 18,233,160 | (848,865 | ) | ||||||||||||
| MSCI Singapore Index | 2,334 | 7/2018 | SGD | 62,696,807 | 134,771 | |||||||||||||
| MSCI Taiwan Index | 866 | 7/2018 | USD | 33,566,160 | 260,585 | |||||||||||||
| WTI Crude Oil | 1,316 | 7/2018 | USD | 97,581,400 | 11,041,014 | |||||||||||||
| LME Copper Base Metal | 33 | 8/2018 | USD | 5,470,724 | (224,349 | ) | ||||||||||||
| LME Copper Base Metal | 101 | 8/2018 | USD | 16,743,427 | (488,896 | ) | ||||||||||||
| LME Copper Base Metal | 116 | 8/2018 | USD | 19,214,182 | (517,760 | ) | ||||||||||||
| 3 Month Euro Euribor | 832 | 9/2018 | EUR | 243,655,398 | 43,709 | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
188
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Long Contracts (continued) |
| |||||||||||||||||
| 3 Month Sterling | 2,976 | 9/2018 | GBP | $ 486,945,766 | $ 56,283 | |||||||||||||
| ASX 90 Day Bank Accepted Bill | 760 | 9/2018 | AUD | 559,677,922 | (114,223 | ) | ||||||||||||
| Australia 3 Year Bond | 8,468 | 9/2018 | AUD | 697,761,306 | 2,502,853 | |||||||||||||
| EURO STOXX 50 Index | 3,241 | 9/2018 | EUR | 128,343,918 | (3,021,049 | ) | ||||||||||||
| Euro-Bobl | 1,210 | 9/2018 | EUR | 186,761,233 | 341,241 | |||||||||||||
| Euro-Bund | 9,202 | 9/2018 | EUR | 1,746,777,844 | 15,383,244 | |||||||||||||
| FTSE 100 Index | 1,970 | 9/2018 | GBP | 197,631,962 | (1,342,016 | ) | ||||||||||||
| FTSE/MIB Index | 220 | 9/2018 | EUR | 27,705,822 | (554,195 | ) | ||||||||||||
| Japan 10 Year Bond | 372 | 9/2018 | JPY | 506,819,130 | 616,798 | |||||||||||||
| LME Copper Base Metal | 8 | 9/2018 | USD | 1,325,200 | (2,112 | ) | ||||||||||||
| LME Copper Base Metal | 105 | 9/2018 | USD | 17,393,906 | (1,775,912 | ) | ||||||||||||
| LME Copper Base Metal | 188 | 9/2018 | USD | 31,153,104 | (2,238,219 | ) | ||||||||||||
| LME Copper Base Metal | 382 | 9/2018 | USD | 63,273,525 | (1,773,912 | ) | ||||||||||||
| LME Copper Base Metal | 683 | 9/2018 | USD | 113,173,100 | (5,935,182 | ) | ||||||||||||
| SET50 Index | 1,744 | 9/2018 | THB | 11,010,415 | (146,511 | ) | ||||||||||||
| Silver | 2,209 | 9/2018 | USD | 178,906,910 | (2,059,573 | ) | ||||||||||||
| SPI 200 Index | 2,077 | 9/2018 | AUD | 236,249,779 | 1,938,107 | |||||||||||||
| TOPIX Index | 5,667 | 9/2018 | JPY | 885,764,666 | (21,964,291 | ) | ||||||||||||
| U.S. Treasury 2 Year Note | 15,807 | 9/2018 | USD | 3,348,367,171 | 3,742,680 | |||||||||||||
| U.S. Treasury 5 Year Note | 27 | 9/2018 | USD | 3,067,664 | 19,863 | |||||||||||||
| 3 Month Euro Euribor | 2,467 | 12/2018 | EUR | 722,293,338 | 55,534 | |||||||||||||
| 3 Month Sterling | 8,131 | 12/2018 | GBP | 1,329,691,023 | 546,605 | |||||||||||||
| ASX 90 Day Bank Accepted Bill | 3,136 | 12/2018 | AUD | 2,309,407,845 | 87,280 | |||||||||||||
| 3 Month Euro Euribor | 2,763 | 3/2019 | EUR | 808,916,494 | 164,466 | |||||||||||||
| 3 Month Sterling | 9,471 | 3/2019 | GBP | 1,547,732,241 | 1,271,992 | |||||||||||||
| ASX 90 Day Bank Accepted Bill | 3,221 | 3/2019 | AUD | 2,371,887,006 | 173,492 | |||||||||||||
| 3 Month Euro Euribor | 2,275 | 6/2019 | EUR | 665,946,345 | 449,503 | |||||||||||||
| 3 Month Sterling | 7,219 | 6/2019 | GBP | 1,179,000,273 | 286,863 | |||||||||||||
| ASX 90 Day Bank Accepted Bill | 2,471 | 6/2019 | AUD | 1,819,421,819 | 327,567 | |||||||||||||
|
|
|
|||||||||||||||||
| (3,806,551 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| Short Contracts |
| |||||||||||||||||
| CAC 40 10 Euro Index | (2,474 | ) | 7/2018 | EUR | (153,716,545 | ) | 3,902,325 | |||||||||||
| HSCEI | (246 | ) | 7/2018 | HKD | (17,039,959 | ) | 123,860 | |||||||||||
| IBEX 35 Index | (851 | ) | 7/2018 | EUR | (95,422,477 | ) | 2,013,466 | |||||||||||
| LME Copper Base Metal | (67 | ) | 7/2018 | USD | (11,110,275 | ) | 293,899 | |||||||||||
| LME Copper Base Metal | (88 | ) | 7/2018 | USD | (14,579,026 | ) | 394,217 | |||||||||||
| LME Copper Base Metal | (110 | ) | 7/2018 | USD | (18,233,160 | ) | 869,296 | |||||||||||
| Natural Gas | (1,471 | ) | 7/2018 | USD | (43,012,040 | ) | 388,733 | |||||||||||
| OMXS30 Index | (16,002 | ) | 7/2018 | SEK | (278,886,002 | ) | 1,308,001 | |||||||||||
| 100 oz Gold | (3,490 | ) | 8/2018 | USD | (437,820,500 | ) | 15,719,811 | |||||||||||
| LME Copper Base Metal | (33 | ) | 8/2018 | USD | (5,470,724 | ) | 204,411 | |||||||||||
| LME Copper Base Metal | (101 | ) | 8/2018 | USD | (16,743,427 | ) | 469,957 | |||||||||||
| LME Copper Base Metal | (116 | ) | 8/2018 | USD | (19,214,182 | ) | 495,144 | |||||||||||
| 3 Month Canadian Bankers Acceptance | (630 | ) | 9/2018 | CAD | (117,455,597 | ) | 30,713 | |||||||||||
| 3 Month Eurodollar | (1,531 | ) | 9/2018 | USD | (373,353,488 | ) | 294,605 | |||||||||||
| Australia 10 Year Bond | (323 | ) | 9/2018 | AUD | (30,922,114 | ) | (180,790 | ) | ||||||||||
| Canada 10 Year Bond | (4,546 | ) | 9/2018 | CAD | (472,736,972 | ) | (12,506,501 | ) | ||||||||||
| Corn | (283 | ) | 9/2018 | USD | (5,086,925 | ) | 208,955 | |||||||||||
| DAX Index | (784 | ) | 9/2018 | EUR | (281,727,780 | ) | 10,216,318 | |||||||||||
| Euro-Buxl | (754 | ) | 9/2018 | EUR | (156,468,618 | ) | (2,199,722 | ) | ||||||||||
| Euro-Schatz | (27,452 | ) | 9/2018 | EUR | (3,593,270,883 | ) | (2,051,514 | ) | ||||||||||
| FTSE/JSE Top 40 Index | (1,591 | ) | 9/2018 | ZAR | (59,947,094 | ) | 331,747 | |||||||||||
| LME Copper Base Metal | (8 | ) | 9/2018 | USD | (1,325,200 | ) | 10,776 | |||||||||||
| LME Copper Base Metal | (105 | ) | 9/2018 | USD | (17,393,906 | ) | 1,669,098 | |||||||||||
| LME Copper Base Metal | (188 | ) | 9/2018 | USD | (31,153,104 | ) | 2,244,442 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
189
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Short Contracts (continued) |
| |||||||||||||||||
| LME Copper Base Metal | (382 | ) | 9/2018 | USD | $ (63,273,525 | ) | $ 1,973,813 | |||||||||||
| LME Copper Base Metal | (2,046 | ) | 9/2018 | USD | (339,022,200 | ) | 18,447,998 | |||||||||||
| Long Gilt | (6,650 | ) | 9/2018 | GBP | (1,080,016,057 | ) | (14,784,877 | ) | ||||||||||
| MEX BOLSA Index | (16 | ) | 9/2018 | MXN | (388,676 | ) | (9,953 | ) | ||||||||||
| S&P 500 E-Mini Index | (3,785 | ) | 9/2018 | USD | (515,062,800 | ) | 11,786,973 | |||||||||||
| S&P/TSX 60 Index | (305 | ) | 9/2018 | CAD | (44,697,296 | ) | (320,372 | ) | ||||||||||
| U.S. Treasury 10 Year Note | (1,967 | ) | 9/2018 | USD | (236,408,813 | ) | (698,693 | ) | ||||||||||
| U.S. Treasury Long Bond | (1,564 | ) | 9/2018 | USD | (226,780,000 | ) | (5,613,333 | ) | ||||||||||
| 3 Month Canadian Bankers Acceptance | (2,238 | ) | 12/2018 | CAD | (416,566,082 | ) | 180,027 | |||||||||||
| 3 Month Eurodollar | (6,542 | ) | 12/2018 | USD | (1,592,322,799 | ) | 1,045,887 | |||||||||||
| 3 Month Canadian Bankers Acceptance | (2,095 | ) | 3/2019 | CAD | (389,371,363 | ) | 97,272 | |||||||||||
| 3 Month Eurodollar | (6,218 | ) | 3/2019 | USD | (1,511,595,800 | ) | 859,775 | |||||||||||
| 3 Month Canadian Bankers Acceptance | (1,511 | ) | 6/2019 | CAD | (280,514,538 | ) | 60,410 | |||||||||||
| 3 Month Eurodollar | (4,687 | ) | 6/2019 | USD | (1,138,296,538 | ) | 282,749 | |||||||||||
|
|
|
|||||||||||||||||
| 37,558,923 | ||||||||||||||||||
|
|
|
|||||||||||||||||
| $33,752,372 | ||||||||||||||||||
|
|
|
|||||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| CHF | 38,825,200 | USD | 39,262,027 | CITI | 9/19/2018 | $214,402 | ||||||||||||||
| CHF | 58,237,800 | USD | 58,893,115 | JPMC | 9/19/2018 | 321,529 | ||||||||||||||
| EUR | 58,824,162 | USD | 68,722,020 | CITI | 9/19/2018 | 386,665 | ||||||||||||||
| EUR | 88,236,245 | USD | 103,083,161 | JPMC | 9/19/2018 | 579,867 | ||||||||||||||
| HKD | 169,980,400 | USD | 21,689,923 | CITI | 9/19/2018 | 4,729 | ||||||||||||||
| HKD | 254,970,600 | USD | 32,534,925 | JPMC | 9/19/2018 | 7,051 | ||||||||||||||
| INR | 24,099,476 | USD | 347,541 | CITI** | 9/19/2018 | 618 | ||||||||||||||
| INR | 36,149,214 | USD | 521,313 | JPMC** | 9/19/2018 | 926 | ||||||||||||||
| MXN | 1,631,391,049 | USD | 79,672,938 | CITI | 9/19/2018 | 1,450,097 | ||||||||||||||
| MXN | 2,447,086,572 | USD | 119,509,557 | JPMC | 9/19/2018 | 2,174,994 | ||||||||||||||
| TRY | 200,805,180 | USD | 41,199,861 | CITI | 9/19/2018 | 1,055,974 | ||||||||||||||
| TRY | 301,207,770 | USD | 61,799,869 | JPMC | 9/19/2018 | 1,583,883 | ||||||||||||||
| USD | 17,649,777 | AUD | 23,752,400 | CITI | 9/19/2018 | 67,587 | ||||||||||||||
| USD | 26,474,633 | AUD | 35,628,600 | JPMC | 9/19/2018 | 101,347 | ||||||||||||||
| USD | 88,058,667 | BRL | 330,736,791 | CITI** | 9/19/2018 | 3,422,416 | ||||||||||||||
| USD | 132,087,834 | BRL | 496,105,185 | JPMC** | 9/19/2018 | 5,133,456 | ||||||||||||||
| USD | 5,114,735 | CAD | 6,594,000 | CITI | 9/19/2018 | 92,159 | ||||||||||||||
| USD | 7,672,092 | CAD | 9,891,000 | JPMC | 9/19/2018 | 138,228 | ||||||||||||||
| USD | 470,454,359 | CHF | 460,136,084 | CITI | 9/19/2018 | 2,600,250 | ||||||||||||||
| USD | 705,680,638 | CHF | 690,204,108 | JPMC | 9/19/2018 | 3,899,492 | ||||||||||||||
| USD | 32,108,974 | CNY | 206,896,000 | CITI** | 9/19/2018 | 1,015,811 | ||||||||||||||
| USD | 48,163,665 | CNY | 310,344,000 | JPMC** | 9/19/2018 | 1,523,921 | ||||||||||||||
| USD | 47,640,845 | EUR | 40,304,000 | CITI | 9/19/2018 | 290,296 | ||||||||||||||
| USD | 71,461,179 | EUR | 60,456,000 | JPMC | 9/19/2018 | 435,354 | ||||||||||||||
| USD | 83,499,496 | HKD | 653,734,000 | CITI | 9/19/2018 | 63,222 | ||||||||||||||
| USD | 125,249,088 | HKD | 980,601,000 | JPMC | 9/19/2018 | 94,677 | ||||||||||||||
| USD | 2,008,487 | HUF | 560,000,000 | CITI | 9/19/2018 | 13,295 | ||||||||||||||
| USD | 3,012,727 | HUF | 840,000,000 | JPMC | 9/19/2018 | 19,939 | ||||||||||||||
| USD | 128,501,317 | JPY | 13,995,138,258 | CITI | 9/19/2018 | 1,389,173 | ||||||||||||||
| USD | 192,751,735 | JPY | 20,992,707,386 | JPMC | 9/19/2018 | 2,083,518 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
190
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 84,809,953 | KRW | 90,877,151,584 | CITI** | 9/19/2018 | $ 3,003,522 | ||||||||||||||
| USD | 127,214,770 | KRW | 136,315,727,376 | JPMC** | 9/19/2018 | 4,505,124 | ||||||||||||||
| USD | 5,792,463 | MXN | 116,000,000 | CITI | 9/19/2018 | 24,212 | ||||||||||||||
| USD | 8,688,683 | MXN | 174,000,000 | JPMC | 9/19/2018 | 36,307 | ||||||||||||||
| USD | 42,924,835 | NOK | 346,196,520 | CITI | 9/19/2018 | 282,171 | ||||||||||||||
| USD | 64,387,171 | NOK | 519,294,779 | JPMC | 9/19/2018 | 423,177 | ||||||||||||||
| USD | 88,391,488 | NZD | 127,213,657 | CITI | 9/19/2018 | 2,223,199 | ||||||||||||||
| USD | 132,587,066 | NZD | 190,820,486 | JPMC | 9/19/2018 | 3,334,633 | ||||||||||||||
| USD | 2,368,358 | PLN | 8,800,000 | CITI | 9/19/2018 | 15,968 | ||||||||||||||
| USD | 3,552,532 | PLN | 13,200,000 | JPMC | 9/19/2018 | 23,947 | ||||||||||||||
| USD | 97,841,869 | SEK | 850,350,106 | CITI | 9/19/2018 | 2,321,754 | ||||||||||||||
| USD | 146,762,621 | SEK | 1,275,525,162 | JPMC | 9/19/2018 | 3,482,447 | ||||||||||||||
| USD | 26,238,571 | SGD | 35,151,000 | CITI | 9/19/2018 | 395,512 | ||||||||||||||
| USD | 39,357,806 | SGD | 52,726,499 | JPMC | 9/19/2018 | 593,220 | ||||||||||||||
| USD | 1,870,829 | THB | 59,773,200 | CITI | 9/19/2018 | 62,369 | ||||||||||||||
| USD | 2,806,239 | THB | 89,659,800 | JPMC | 9/19/2018 | 93,550 | ||||||||||||||
| USD | 8,637,692 | TRY | 40,405,180 | CITI | 9/19/2018 | 135,149 | ||||||||||||||
| USD | 12,962,385 | TRY | 60,607,770 | JPMC | 9/19/2018 | 208,571 | ||||||||||||||
| USD | 27,246,255 | TWD | 808,605,074 | CITI** | 9/19/2018 | 580,724 | ||||||||||||||
| USD | 40,869,331 | TWD | 1,212,907,610 | JPMC** | 9/19/2018 | 871,036 | ||||||||||||||
| USD | 9,844,892 | ZAR | 132,000,000 | CITI | 9/19/2018 | 321,182 | ||||||||||||||
| USD | 14,762,707 | ZAR | 198,000,000 | JPMC | 9/19/2018 | 477,144 | ||||||||||||||
| USD | 52,025,870 | ILS | 184,362,834 | CITI | 9/20/2018 | 1,341,744 | ||||||||||||||
| USD | 78,038,709 | ILS | 276,544,257 | JPMC | 9/20/2018 | 2,012,519 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 56,934,057 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 122,767,996 | USD | 93,365,437 | CITI | 9/19/2018 | (2,489,132 | ) | |||||||||||||
| AUD | 184,151,993 | USD | 140,048,330 | JPMC | 9/19/2018 | (3,733,874 | ) | |||||||||||||
| BRL | 138,400,000 | USD | 36,629,343 | CITI** | 9/19/2018 | (1,212,488 | ) | |||||||||||||
| BRL | 207,600,000 | USD | 54,944,083 | JPMC** | 9/19/2018 | (1,818,801 | ) | |||||||||||||
| CAD | 700,286,946 | USD | 542,132,836 | CITI | 9/19/2018 | (8,732,031 | ) | |||||||||||||
| CAD | 1,050,430,404 | USD | 813,200,260 | JPMC | 9/19/2018 | (13,099,061 | ) | |||||||||||||
| CHF | 12,333,600 | USD | 12,600,132 | CITI | 9/19/2018 | (59,656 | ) | |||||||||||||
| CHF | 18,500,400 | USD | 18,900,748 | JPMC | 9/19/2018 | (90,034 | ) | |||||||||||||
| CNY | 508,514,000 | USD | 79,156,810 | CITI** | 9/19/2018 | (2,735,282 | ) | |||||||||||||
| CNY | 762,771,000 | USD | 118,735,364 | JPMC** | 9/19/2018 | (4,103,072 | ) | |||||||||||||
| EUR | 100,396,086 | USD | 118,583,873 | CITI | 9/19/2018 | (635,037 | ) | |||||||||||||
| EUR | 150,594,135 | USD | 177,876,039 | JPMC | 9/19/2018 | (952,778 | ) | |||||||||||||
| GBP | 140,342,497 | USD | 188,485,508 | CITI | 9/19/2018 | (2,610,719 | ) | |||||||||||||
| GBP | 210,513,752 | USD | 282,728,624 | JPMC | 9/19/2018 | (3,916,433 | ) | |||||||||||||
| HKD | 158,344,800 | USD | 20,220,398 | CITI | 9/19/2018 | (10,801 | ) | |||||||||||||
| HKD | 237,517,200 | USD | 30,330,635 | JPMC | 9/19/2018 | (16,241 | ) | |||||||||||||
| HUF | 4,504,400,000 | USD | 16,637,906 | CITI | 9/19/2018 | (589,437 | ) | |||||||||||||
| HUF | 6,756,600,000 | USD | 24,956,891 | JPMC | 9/19/2018 | (884,185 | ) | |||||||||||||
| INR | 1,688,000,000 | USD | 24,733,794 | CITI** | 9/19/2018 | (347,687 | ) | |||||||||||||
| INR | 2,532,000,000 | USD | 37,100,738 | JPMC** | 9/19/2018 | (521,576 | ) | |||||||||||||
| JPY | 13,723,954,800 | USD | 126,166,375 | CITI | 9/19/2018 | (1,517,280 | ) | |||||||||||||
| JPY | 20,585,932,200 | USD | 189,249,799 | JPMC | 9/19/2018 | (2,276,156 | ) | |||||||||||||
| KRW | 37,600,000,000 | USD | 34,771,584 | CITI** | 9/19/2018 | (924,553 | ) | |||||||||||||
| KRW | 56,400,000,000 | USD | 52,157,441 | JPMC** | 9/19/2018 | (1,386,894 | ) | |||||||||||||
| MXN | 725,062,688 | USD | 36,189,875 | CITI | 9/19/2018 | (135,193 | ) | |||||||||||||
| MXN | 1,087,594,032 | USD | 54,284,880 | JPMC | 9/19/2018 | (202,857 | ) | |||||||||||||
| PLN | 137,600,000 | USD | 37,508,417 | CITI | 9/19/2018 | (725,587 | ) | |||||||||||||
| PLN | 206,400,000 | USD | 56,262,581 | JPMC | 9/19/2018 | (1,088,334 | ) | |||||||||||||
| SGD | 22,820,800 | USD | 17,031,094 | CITI | 9/19/2018 | (253,215 | ) | |||||||||||||
| SGD | 34,231,200 | USD | 25,546,673 | JPMC | 9/19/2018 | (379,853 | ) | |||||||||||||
| THB | 59,773,200 | USD | 1,872,370 | CITI | 9/19/2018 | (63,909 | ) | |||||||||||||
| THB | 89,659,800 | USD | 2,808,558 | JPMC | 9/19/2018 | (95,868 | ) | |||||||||||||
| TRY | 17,600,000 | USD | 3,750,112 | CITI | 9/19/2018 | (46,509 | ) | |||||||||||||
| TRY | 26,400,000 | USD | 5,624,257 | JPMC | 9/19/2018 | (68,853 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
191
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| TWD | 104,000,000 | USD | 3,507,133 | CITI** | 9/19/2018 | $ (77,505 | ) | |||||||||||||
| TWD | 156,000,000 | USD | 5,260,706 | JPMC** | 9/19/2018 | (116,263 | ) | |||||||||||||
| USD | 17,609,944 | AUD | 23,857,600 | CITI | 9/19/2018 | (50,119 | ) | |||||||||||||
| USD | 26,414,883 | AUD | 35,786,400 | JPMC | 9/19/2018 | (75,211 | ) | |||||||||||||
| USD | 7,672,664 | BRL | 30,066,982 | CITI** | 9/19/2018 | (21,541 | ) | |||||||||||||
| USD | 11,508,982 | BRL | 45,100,472 | JPMC** | 9/19/2018 | (32,325 | ) | |||||||||||||
| USD | 154,000,672 | CAD | 203,062,800 | CITI | 9/19/2018 | (670,014 | ) | |||||||||||||
| USD | 231,000,719 | CAD | 304,594,200 | JPMC | 9/19/2018 | (1,005,309 | ) | |||||||||||||
| USD | 75,921,681 | CHF | 74,851,214 | CITI | 9/19/2018 | (185,039 | ) | |||||||||||||
| USD | 113,882,374 | CHF | 112,276,816 | JPMC | 9/19/2018 | (277,700 | ) | |||||||||||||
| USD | 673,187 | DKK | 4,308,970 | CITI | 9/19/2018 | (6,487 | ) | |||||||||||||
| USD | 1,009,779 | DKK | 6,463,453 | JPMC | 9/19/2018 | (9,732 | ) | |||||||||||||
| USD | 73,611,089 | EUR | 62,949,600 | CITI | 9/19/2018 | (344,304 | ) | |||||||||||||
| USD | 110,416,495 | EUR | 94,424,400 | JPMC | 9/19/2018 | (516,594 | ) | |||||||||||||
| USD | 46,985,465 | GBP | 35,524,000 | CITI | 9/19/2018 | (63,833 | ) | |||||||||||||
| USD | 70,478,109 | GBP | 53,286,000 | JPMC | 9/19/2018 | (95,838 | ) | |||||||||||||
| USD | 5,523,559 | HKD | 43,292,000 | CITI | 9/19/2018 | (1,812 | ) | |||||||||||||
| USD | 8,285,328 | HKD | 64,938,000 | JPMC | 9/19/2018 | (2,728 | ) | |||||||||||||
| USD | 3,553,153 | HUF | 1,000,000,000 | CITI | 9/19/2018 | (9,690 | ) | |||||||||||||
| USD | 5,329,723 | HUF | 1,500,000,000 | JPMC | 9/19/2018 | (14,542 | ) | |||||||||||||
| USD | 47,394,662 | MXN | 976,000,000 | CITI | 9/19/2018 | (1,138,203 | ) | |||||||||||||
| USD | 71,091,904 | MXN | 1,464,000,000 | JPMC | 9/19/2018 | (1,707,393 | ) | |||||||||||||
| USD | 14,121,837 | NOK | 115,398,840 | CITI | 9/19/2018 | (92,384 | ) | |||||||||||||
| USD | 21,182,728 | NOK | 173,098,259 | JPMC | 9/19/2018 | (138,603 | ) | |||||||||||||
| USD | 960,215 | PLN | 3,600,000 | CITI | 9/19/2018 | (2,127 | ) | |||||||||||||
| USD | 1,440,320 | PLN | 5,400,000 | JPMC | 9/19/2018 | (3,192 | ) | |||||||||||||
| USD | 610,055 | SGD | 832,000 | CITI | 9/19/2018 | (1,632 | ) | |||||||||||||
| USD | 915,082 | SGD | 1,248,000 | JPMC | 9/19/2018 | (2,450 | ) | |||||||||||||
| USD | 29,323,050 | TRY | 143,600,000 | CITI | 9/19/2018 | (894,984 | ) | |||||||||||||
| USD | 43,984,520 | TRY | 215,400,000 | JPMC | 9/19/2018 | (1,342,532 | ) | |||||||||||||
| USD | 2,295,197 | ZAR | 32,000,000 | CITI | 9/19/2018 | (13,580 | ) | |||||||||||||
| USD | 3,442,791 | ZAR | 48,000,000 | JPMC | 9/19/2018 | (20,376 | ) | |||||||||||||
| ZAR | 388,000,000 | USD | 30,484,812 | CITI | 9/19/2018 | (2,490,880 | ) | |||||||||||||
| ZAR | 582,000,000 | USD | 45,727,275 | JPMC | 9/19/2018 | (3,736,375 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation |
|
(72,884,683 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation |
|
$ | (15,950,626 | ) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
192
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
Total Return Basket Swaps Outstanding at June 30, 2018
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the NIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap. | 24 months maturity 02/18/2020 | $45,361,869 | $1,517,719 | $568,917 | $2,086,636 | ||||||||||||||
|
|
|
|||||||||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-2.67%), which is denominated in USD based on the local currencies of the positions within the swap. | 12-25 months maturity ranging from 07/01/2019 - 06/17/2020 | $18,761,602 | $(18,761,590 | ) | $(1,547 | ) | $(18,763,137 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.84% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. |
59-61 months maturity ranging from 04/19/2023 - 06/30/2023 | $4,136,653,719 | $(79,997,583 | ) | $(15,612,979 | ) | $(95,610,562 | ) | |||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| AbbVie, Inc. | 347,330 | $ | 32,180,124 | $ | (326,490 | ) | 0.3 | % | ||||||||
| Aflac, Inc. | 1,355,002 | 58,292,186 | (2,928,666 | ) | 3.1 | |||||||||||
| Allstate Corp. (The) | 395,461 | 36,093,725 | (2,541,146 | ) | 2.7 | |||||||||||
| Ameriprise Financial, Inc. | 245,696 | 34,367,956 | (1,029,466 | ) | 1.1 | |||||||||||
| Amgen, Inc. | 180,374 | 33,295,237 | 1,751,432 | (1.8 | ) | |||||||||||
| Arrow Electronics, Inc. | 351,158 | 26,435,174 | (606,090 | ) | 0.6 | |||||||||||
| Biogen, Inc. | 222,936 | 64,704,945 | 4,517,504 | (4.7 | ) | |||||||||||
| Carnival Corp. | 413,194 | 23,680,148 | (2,834,511 | ) | 3.0 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
193
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| Charles River Laboratories International, Inc. | 217,225 | $ | 24,385,678 | $ | 923,206 | (1.0 | ) % | |||||||||
| Consolidated Edison, Inc. | 657,363 | 51,261,167 | 402,745 | (0.4 | ) | |||||||||||
| Constellation Brands, Inc. | 160,501 | 35,128,854 | (2,011,078 | ) | 2.1 | |||||||||||
| Estee Lauder Cos., Inc. (The) | 415,191 | 59,243,604 | (3,752,638 | ) | 3.9 | |||||||||||
| Everest Re Group Ltd. | 115,779 | 26,684,744 | (1,962,454 | ) | 2.1 | |||||||||||
| Exelon Corp. | 1,738,356 | 74,053,966 | 5,804,242 | (6.1 | ) | |||||||||||
| FedEx Corp. | 234,482 | 53,241,483 | (5,306,466 | ) | 5.6 | |||||||||||
| Gilead Sciences, Inc. | 614,781 | 43,551,086 | (2,846,436 | ) | 3.0 | |||||||||||
| IQVIA Holdings, Inc. | 603,111 | 60,202,540 | 611,185 | (0.6 | ) | |||||||||||
| Lear Corp. | 164,415 | 30,549,951 | (1,951,606 | ) | 2.0 | |||||||||||
| LyondellBasell Industries NV | 670,816 | 73,689,138 | 2,555,809 | (2.7 | ) | |||||||||||
| Pfizer, Inc. | 1,166,907 | 42,335,386 | (58,345 | ) | 0.1 | |||||||||||
| Reinsurance Group of America, Inc. | 207,104 | 27,644,242 | (4,057,167 | ) | 4.2 | |||||||||||
| Tyson Foods, Inc. | 556,217 | 38,295,540 | (1,446,164 | ) | 1.5 | |||||||||||
| United Therapeutics Corp. | 213,906 | 24,203,464 | (201,072 | ) | 0.2 | |||||||||||
| Vistra Energy Corp. | 1,463,510 | 34,626,647 | 1,917,198 | (2.0 | ) | |||||||||||
| Walmart, Inc. | 549,434 | 47,059,022 | (1,236,227 | ) | 1.3 | |||||||||||
| Western Digital Corp. | 496,398 | 38,426,169 | (6,929,716 | ) | 7.2 | |||||||||||
| Westlake Chemical Corp. | 244,587 | 26,324,899 | (963,673 | ) | 1.0 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Albemarle Corp. | (281,068 | ) | (26,513,144 | ) | 646,456 | (0.7 | ) | |||||||||
| Altria Group, Inc. | (434,251 | ) | (24,661,114 | ) | 43,750 | (0.0 | ) | |||||||||
| American Airlines Group, Inc. | (919,321 | ) | (34,897,425 | ) | 6,228,805 | (6.5 | ) | |||||||||
| Axalta Coating Systems Ltd. | (937,932 | ) | (28,428,719 | ) | 2,007,174 | (2.1 | ) | |||||||||
| Ball Corp. | (1,078,107 | ) | (38,326,704 | ) | 6,317,707 | (6.6 | ) | |||||||||
| BioMarin Pharmaceutical, Inc. | (541,267 | ) | (50,987,351 | ) | (5,456,260 | ) | 5.7 | |||||||||
| CenturyLink, Inc. | (4,073,077 | ) | (75,922,155 | ) | (4,123,137 | ) | 4.3 | |||||||||
| Charles Schwab Corp. (The) | (476,643 | ) | (24,356,457 | ) | 1,196,374 | (1.3 | ) | |||||||||
| Charter Communications, Inc. | (133,683 | ) | (39,197,192 | ) | (888,707 | ) | 0.9 | |||||||||
| Citigroup, Inc. | (375,242 | ) | (25,111,195 | ) | 134,950 | (0.1 | ) | |||||||||
| Dominion Energy, Inc. | (413,756 | ) | (28,209,884 | ) | (1,030,252 | ) | 1.1 | |||||||||
| FirstEnergy Corp. | (2,074,526 | ) | (74,496,229 | ) | (1,763,347 | ) | 1.8 | |||||||||
| Incyte Corp. | (394,938 | ) | (26,460,846 | ) | 736,770 | (0.8 | ) | |||||||||
| Kraft Heinz Co. (The) | (819,240 | ) | (51,464,657 | ) | (3,353,393 | ) | 3.5 | |||||||||
| Martin Marietta Materials, Inc. | (187,764 | ) | (41,933,334 | ) | (3,945,900 | ) | 4.1 | |||||||||
| Mattel, Inc. | (2,458,907 | ) | (40,375,253 | ) | (5,139,116 | ) | 5.4 | |||||||||
| Monster Beverage Corp. | (553,853 | ) | (31,735,777 | ) | (1,215,622 | ) | 1.3 | |||||||||
| Philip Morris International, Inc. | (651,668 | ) | (52,615,674 | ) | 1,260,524 | (1.3 | ) | |||||||||
| Sealed Air Corp. | (1,202,953 | ) | (51,065,355 | ) | 3,380,298 | (3.5 | ) | |||||||||
| Southwest Airlines Co. | (561,191 | ) | (28,553,398 | ) | 800,500 | (0.8 | ) | |||||||||
| Tesla, Inc. | (94,768 | ) | (32,500,686 | ) | (5,663,178 | ) | 5.9 | |||||||||
| Vulcan Materials Co. | (586,283 | ) | (75,665,684 | ) | (6,592,660 | ) | 6.9 | |||||||||
| Zayo Group Holdings, Inc. | (894,770 | ) | (32,641,210 | ) | (53,686 | ) | 0.1 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
194
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-0.18% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 61 months maturity ranging from 04/19/2023 - 06/07/2023 | $79,998,539 | $(422,453 | ) | $301,578 | $(120,875 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Hong Kong | ||||||||||||||||
| CK Hutchison Holdings Ltd. | 748,000 | $ | 7,918,345 | $ | (709,203 | ) | 586.7 | % | ||||||||
| CLP Holdings Ltd. | 1,098,500 | 11,832,372 | 502,498 | (415.7 | ) | |||||||||||
| Henderson Land Development Co. Ltd. | 481,800 | 2,540,665 | (267,394 | ) | 221.2 | |||||||||||
| HKT Trust & HKT Ltd. | 2,178,000 | 2,778,287 | (64,376 | ) | 53.3 | |||||||||||
| Hong Kong & China Gas Co. Ltd. | 726,000 | 1,387,774 | (21,395 | ) | 17.7 | |||||||||||
| Li & Fung Ltd. | 10,540,000 | 3,860,622 | (967,798 | ) | 800.7 | |||||||||||
| Melco International Development Ltd. | 1,058,000 | 3,245,523 | (398,478 | ) | 329.7 | |||||||||||
| SJM Holdings Ltd. | 855,000 | 1,060,398 | 256,144 | (211.9 | ) | |||||||||||
| WH Group Ltd. | 912,500 | 738,383 | (148,117 | ) | 122.5 | |||||||||||
| Yue Yuen Industrial Holdings Ltd. | 1,680,000 | 4,735,361 | (343,304 | ) | 284.0 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| China | ||||||||||||||||
| Guotai Junan International Holdings Ltd. | (2,662,000 | ) | (573,752 | ) | 184,711 | (152.8 | ) | |||||||||
| Minth Group Ltd. | (960,000 | ) | (4,060,523 | ) | 445,867 | (368.9 | ) | |||||||||
| Hong Kong | ||||||||||||||||
| AIA Group Ltd. | (2,762,800 | ) | (24,067,887 | ) | 18,179 | (15.0 | ) | |||||||||
| ASM Pacific Technology Ltd. | (259,200 | ) | (3,266,835 | ) | 197,769 | (163.6 | ) | |||||||||
| Techtronic Industries Co. Ltd. | (589,000 | ) | (3,271,243 | ) | 5,789 | (4.8 | ) | |||||||||
| Wharf Real Estate Investment Co. Ltd. | (78,000 | ) | (553,859 | ) | 61,396 | (50.8 | ) | |||||||||
| Xinyi Glass Holdings Ltd. | (2,884,000 | ) | (3,498,129 | ) | 714,277 | (590.9 | ) | |||||||||
| Macau | ||||||||||||||||
| MGM China Holdings Ltd. | (263,200 | ) | (608,581 | ) | 110,982 | (91.8 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
195
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Tokyo Overnight Average Rate (“TONAR”) or LIBOR plus or minus a specified spread (-0.23% to 0.03%), which is denominated in JPY based on the local currencies of the positions within the swap. | 60-61 months maturity ranging from 04/20/2023 - 06/23/2023 | $1,531,671,374 | $(5,091,859 | ) | $1,877,015 | $(3,214,844 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| Astellas Pharma, Inc. | 783,500 | $ | 11,923,760 | $ | 608,487 | (18.9 | )% | |||||||||
| Central Japan Railway Co. | 78,500 | 16,251,803 | 1,693,435 | (52.7 | ) | |||||||||||
| East Japan Railway Co. | 112,800 | 10,802,337 | 661,383 | (20.6 | ) | |||||||||||
| Haseko Corp. | 1,004,000 | 13,838,235 | (870,920 | ) | 27.1 | |||||||||||
| Idemitsu Kosan Co. Ltd. | 506,900 | 18,026,180 | 462,161 | (14.4 | ) | |||||||||||
| Inpex Corp. | 2,792,900 | 29,006,732 | (6,500,346 | ) | 202.2 | |||||||||||
| ITOCHU Corp. | 1,453,600 | 26,289,570 | (1,473,573 | ) | 45.8 | |||||||||||
| Japan Airlines Co. Ltd. | 528,300 | 18,718,237 | (1,527,224 | ) | 47.5 | |||||||||||
| JFE Holdings, Inc. | 757,400 | 14,305,547 | (1,092,508 | ) | 34.0 | |||||||||||
| JXTG Holdings, Inc. | 9,795,300 | 67,957,615 | 7,314,697 | (227.5 | ) | |||||||||||
| Kajima Corp. | 1,791,000 | 13,838,448 | (2,136,377 | ) | 66.5 | |||||||||||
| KDDI Corp. | 388,800 | 10,631,702 | 852,928 | (26.5 | ) | |||||||||||
| Marubeni Corp. | 4,725,300 | 35,975,539 | 2,211,540 | (68.8 | ) | |||||||||||
| Mazda Motor Corp. | 1,013,900 | 12,437,109 | (922,249 | ) | 28.7 | |||||||||||
| Mitsubishi Corp. | 1,216,200 | 33,724,098 | 1,493,719 | (46.5 | ) | |||||||||||
| Mitsui & Co. Ltd. | 1,194,900 | 19,897,824 | (301,077 | ) | 9.4 | |||||||||||
| Nippon Telegraph & Telephone Corp. | 384,300 | 17,457,985 | (257,865 | ) | 8.0 | |||||||||||
| Nissan Motor Co. Ltd. | 1,712,900 | 16,666,850 | (803,849 | ) | 25.0 | |||||||||||
| Obayashi Corp. | 1,499,700 | 15,572,019 | (3,875 | ) | 0.1 | |||||||||||
| Sojitz Corp. | 4,419,700 | 16,006,493 | 1,850,495 | (57.6 | ) | |||||||||||
| Sumitomo Corp. | 933,100 | 15,302,680 | (394,677 | ) | 12.3 | |||||||||||
| Suzuki Motor Corp. | 247,600 | 13,644,770 | 583,409 | (18.1 | ) | |||||||||||
| Taisei Corp. | 314,900 | 17,341,371 | 2,048,243 | (63.7 | ) | |||||||||||
| Tokyo Electric Power Co. Holdings, Inc. | 4,947,300 | 23,032,391 | 1,611,150 | (50.1 | ) | |||||||||||
| West Japan Railway Co. | 156,300 | 11,507,489 | 911,530 | (28.4 | ) | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Japan | ||||||||||||||||
| Advantest Corp. | (979,800 | ) | (20,323,884 | ) | (285,486 | ) | 8.9 | |||||||||
| Aeon Co. Ltd. | (750,400 | ) | (16,052,738 | ) | (2,217,007 | ) | 69.0 | |||||||||
| Calbee, Inc. | (296,600 | ) | (11,157,379 | ) | (1,296,529 | ) | 40.3 | |||||||||
| Daifuku Co. Ltd. | (259,600 | ) | (11,342,361 | ) | 2,591,671 | (80.6 | ) | |||||||||
| Daikin Industries Ltd. | (150,100 | ) | (17,938,916 | ) | (1,073,612 | ) | 33.4 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
196
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Japan (continued) | ||||||||||||||||
| Fast Retailing Co. Ltd. | (94,500 | ) | $ | (43,312,726 | ) | $ | (3,690,333 | ) | 114.8 | % | ||||||
| Isetan Mitsukoshi Holdings Ltd. | (994,400 | ) | (12,406,031 | ) | (1,993,517 | ) | 62.0 | |||||||||
| Kakaku.com, Inc. | (493,400 | ) | (11,110,370 | ) | (2,446,601 | ) | 76.1 | |||||||||
| Kikkoman Corp. | (277,000 | ) | (13,985,354 | ) | (3,131,695 | ) | 97.4 | |||||||||
| M3, Inc. | (278,400 | ) | (11,071,481 | ) | 318,047 | (9.9 | ) | |||||||||
| NGK Spark Plug Co. Ltd. | (391,400 | ) | (11,127,021 | ) | (2,050,369 | ) | 63.8 | |||||||||
| Nidec Corp. | (405,800 | ) | (60,703,493 | ) | (205,154 | ) | 6.4 | |||||||||
| Nintendo Co. Ltd. | (39,500 | ) | (12,893,951 | ) | 2,942,150 | (91.5 | ) | |||||||||
| Nippon Paint Holdings Co. Ltd. | (379,600 | ) | (16,324,750 | ) | (2,032,887 | ) | 63.2 | |||||||||
| Pigeon Corp. | (234,600 | ) | (11,400,890 | ) | (962,976 | ) | 30.0 | |||||||||
| Renesas Electronics Corp. | (1,179,700 | ) | (11,532,524 | ) | 239,429 | (7.4 | ) | |||||||||
| Shimano, Inc. | (73,800 | ) | (10,829,755 | ) | (1,182,135 | ) | 36.8 | |||||||||
| Shiseido Co. Ltd. | (162,600 | ) | (12,903,284 | ) | (2,423,746 | ) | 75.4 | |||||||||
| SoftBank Group Corp. | (286,700 | ) | (20,472,717 | ) | 200,441 | (6.2 | ) | |||||||||
| Sony Financial Holdings, Inc. | (763,000 | ) | (14,537,516 | ) | (1,152,128 | ) | 35.8 | |||||||||
| SUMCO Corp. | (1,793,700 | ) | (36,025,462 | ) | 8,227,352 | (255.9 | ) | |||||||||
| T&D Holdings, Inc. | (698,200 | ) | (10,471,652 | ) | 102,420 | (3.2 | ) | |||||||||
| Tokio Marine Holdings, Inc. | (272,000 | ) | (12,725,043 | ) | (660,641 | ) | 20.5 | |||||||||
| Tokyo Electron Ltd. | (60,400 | ) | (10,367,860 | ) | 706,301 | (22.0 | ) | |||||||||
| Yaskawa Electric Corp. | (1,402,700 | ) | (49,396,229 | ) | 10,086,383 | (313.7 | ) | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or Australian Overnight Indexed Swap Rate (“AOISR”) plus or minus a specified spread (-0.10% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | 60-61 months maturity ranging from 04/19/2023 - 06/30/2023 | $60,583,798 | $1,814,246 | $(239,834 | ) | $1,574,412 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| Fortescue Metals Group Ltd. | 1,329,974 | $ | 4,318,390 | $ | (205,120 | ) | (13.0 | )% | ||||||||
| Newcrest Mining Ltd. | 421,882 | 6,850,158 | 573,289 | 36.4 | ||||||||||||
| South32 Ltd. | 49,986 | 133,479 | 651 | 0.0 | ||||||||||||
| Woodside Petroleum Ltd. | 744,299 | 19,505,465 | 2,819,445 | 179.1 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
197
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| Alumina Ltd. | (2,042,175 | ) | $ | (4,226,047 | ) | $ | (211,644 | ) | (13.4 | ) % | ||||||
| AMP Ltd. | (1,539,002 | ) | (4,047,886 | ) | 372,569 | 23.7 | ||||||||||
| APA Group | (653,252 | ) | (4,759,218 | ) | (844,756 | ) | (53.7 | ) | ||||||||
| Domino’s Pizza Enterprises Ltd. | (35,518 | ) | (1,371,725 | ) | (309,343 | ) | (19.6 | ) | ||||||||
| Healthscope Ltd. | (1,435,396 | ) | (2,342,140 | ) | (217,741 | ) | (13.8 | ) | ||||||||
| Qantas Airways Ltd. | (862,411 | ) | (3,927,075 | ) | (134,739 | ) | (8.6 | ) | ||||||||
| QBE Insurance Group Ltd. | (789,703 | ) | (5,685,271 | ) | 124,596 | 7.9 | ||||||||||
| SEEK Ltd. | (81,497 | ) | (1,313,333 | ) | (176,661 | ) | (11.2 | ) | ||||||||
| Tabcorp Holdings Ltd. | (218,678 | ) | (720,894 | ) | (21,313 | ) | (1.4 | ) | ||||||||
| Ireland | ||||||||||||||||
| James Hardie Industries plc | (82,471 | ) | (1,382,717 | ) | 45,013 | 2.9 | ||||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (-3.00% to 0.30%), which is denominated in GBP based on the local currencies of the positions within the swap. | 31-39 months maturity 01/14/2021 | $369,807,648 | $1,521,844 | $(263,729 | ) | $1,258,115 | |||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| BHP Billiton plc | 354,378 | $ | 7,953,105 | $ | 529,615 | 42.1 | % | |||||||||
| Rio Tinto plc | 84,589 | 4,662,420 | 73,909 | 5.9 | ||||||||||||
| Germany | ||||||||||||||||
| TUI AG | 234,760 | 5,134,670 | 997,702 | 79.3 | ||||||||||||
| Russia | ||||||||||||||||
| Evraz plc | 495,447 | 3,306,825 | 246,423 | 19.6 | ||||||||||||
| South Africa | ||||||||||||||||
| Anglo American plc | 507,017 | 11,256,249 | (656,446 | ) | (52.2 | ) | ||||||||||
| Investec plc | 420,823 | 2,975,533 | 85,204 | 6.8 | ||||||||||||
| United Kingdom | ||||||||||||||||
| Barratt Developments plc | 2,176,691 | 14,755,596 | (3,084,414 | ) | (245.2 | ) | ||||||||||
| Beazley plc | 137,498 | 1,059,559 | 55,710 | 4.4 | ||||||||||||
| Bellway plc | 322,333 | 12,734,015 | (2,352,583 | ) | (187.0 | ) | ||||||||||
| Berkeley Group Holdings plc | 423,660 | 21,103,774 | 543,373 | 43.2 | ||||||||||||
| BT Group plc | 2,484,745 | 7,128,102 | (1,166,977 | ) | (92.8 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
198
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United Kingdom (continued) | ||||||||||||||||
| Close Brothers Group plc | 181,664 | $ | 3,546,413 | $ | 313,785 | 24.9 | % | |||||||||
| Greene King plc | 654,491 | 4,957,816 | 397,984 | 31.6 | ||||||||||||
| Hays plc | 895,195 | 2,198,328 | 13,265 | 1.1 | ||||||||||||
| Howden Joinery Group plc | 561,111 | 3,956,913 | 542,027 | 43.1 | ||||||||||||
| Indivior plc | 735,443 | 3,703,320 | (4,218 | ) | (0.3 | ) | ||||||||||
| Intermediate Capital Group plc | 152,183 | 2,204,660 | 308,260 | 24.5 | ||||||||||||
| Kingfisher plc | 726,784 | 2,842,168 | (227,134 | ) | (18.1 | ) | ||||||||||
| Marks & Spencer Group plc | 591,184 | 2,296,435 | (69,940 | ) | (5.6 | ) | ||||||||||
| Persimmon plc | 541,714 | 18,044,326 | (1,718,372 | ) | (136.6 | ) | ||||||||||
| Playtech plc | 205,709 | 2,039,782 | (163,101 | ) | (13.0 | ) | ||||||||||
| Royal Mail plc | 1,342,557 | 8,931,928 | 2,375,142 | 188.8 | ||||||||||||
| Taylor Wimpey plc | 4,964,227 | 11,685,900 | (1,254,577 | ) | (99.7 | ) | ||||||||||
| Travis Perkins plc | 281,997 | 5,284,250 | (392,551 | ) | (31.2 | ) | ||||||||||
| Whitbread plc | 85,140 | 4,438,131 | 411,550 | 32.7 | ||||||||||||
| William Hill plc | 1,547,777 | 6,181,779 | 196,310 | 15.6 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United Kingdom | ||||||||||||||||
| AstraZeneca plc | (94,435 | ) | (6,531,803 | ) | (307,306 | ) | (24.4 | ) | ||||||||
| B&M European Value Retail SA | (483,546 | ) | (2,568,774 | ) | (72,333 | ) | (5.7 | ) | ||||||||
| Barclays plc | (704,978 | ) | (1,742,519 | ) | 68,298 | 5.4 | ||||||||||
| British American Tobacco plc | (688,404 | ) | (34,677,237 | ) | 10,675,655 | 848.5 | ||||||||||
| Capita plc | (1,951,610 | ) | (4,102,022 | ) | 4,332,377 | 344.4 | ||||||||||
| Cobham plc | (2,084,255 | ) | (3,524,318 | ) | 93,089 | 7.4 | ||||||||||
| ConvaTec Group plc | (1,928,214 | ) | (5,383,105 | ) | (528,554 | ) | (42.0 | ) | ||||||||
| easyJet plc | (55,653 | ) | (1,224,360 | ) | (19,106 | ) | (1.5 | ) | ||||||||
| Experian plc | (230,660 | ) | (5,690,065 | ) | (841,000 | ) | (66.8 | ) | ||||||||
| IMI plc | (173,423 | ) | (2,580,712 | ) | 347,366 | 27.6 | ||||||||||
| Imperial Brands plc | (64,793 | ) | (2,406,290 | ) | (70,493 | ) | (5.6 | ) | ||||||||
| Intertek Group plc | (49,408 | ) | (3,715,016 | ) | (254,697 | ) | (20.2 | ) | ||||||||
| John Wood Group plc | (339,326 | ) | (2,802,154 | ) | 440,099 | 35.0 | ||||||||||
| Just Eat plc | (258,376 | ) | (2,649,512 | ) | 204,328 | 16.2 | ||||||||||
| Micro Focus International plc | (123,211 | ) | (2,137,874 | ) | 60,538 | 4.8 | ||||||||||
| Old Mutual Ltd. | (1,631,951 | ) | (3,226,307 | ) | 2,000,752 | 159.0 | ||||||||||
| Prudential plc | (864,237 | ) | (19,701,425 | ) | 1,405,208 | 111.7 | ||||||||||
| Quilter plc | (543,983 | ) | (1,040,412 | ) | (1,033,902 | ) | (82.2 | ) | ||||||||
| Reckitt Benckiser Group plc | (175,505 | ) | (14,420,339 | ) | (628,706 | ) | (50.0 | ) | ||||||||
| Rolls-Royce Holdings plc | (498,309 | ) | (6,490,514 | ) | (170,440 | ) | (13.5 | ) | ||||||||
| RSA Insurance Group plc | (558,895 | ) | (4,998,372 | ) | (532,197 | ) | (42.3 | ) | ||||||||
| Standard Chartered plc | (1,064,727 | ) | (9,671,356 | ) | 671,183 | 53.3 | ||||||||||
| Tesco plc | (10,514,710 | ) | (35,577,530 | ) | (10,710,028 | ) | (851.3 | ) | ||||||||
| Weir Group plc (The) | (93,757 | ) | (2,462,269 | ) | (67,805 | ) | (5.4 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
199
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-7.13% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | 17-24 months maturity 11/12/2019 | $952,833,125 | $9,815,140 | $(2,325,859 | ) | $7,489,281 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Belgium | ||||||||||||||||
| Ageas | 178,830 | $ | 9,002,852 | $ | 77,465 | 1.0 | % | |||||||||
| KBC Group NV | 185,179 | 14,221,766 | (1,446,206 | ) | (19.3 | ) | ||||||||||
| Finland | ||||||||||||||||
| Fortum OYJ | 206,320 | 4,914,361 | 395,069 | 5.3 | ||||||||||||
| Neste OYJ | 338,815 | 26,508,503 | 3,631,564 | 48.5 | ||||||||||||
| UPM-Kymmene OYJ | 363,092 | 12,927,928 | 1,506,666 | 20.1 | ||||||||||||
| France | ||||||||||||||||
| Air France-KLM | 687,426 | 5,617,772 | (3,758,506 | ) | (50.2 | ) | ||||||||||
| Atos SE | 83,598 | 11,367,395 | (1,397,104 | ) | (18.7 | ) | ||||||||||
| Cie Generale des Etablissements Michelin SCA | 119,288 | 14,431,234 | (2,872,416 | ) | (38.4 | ) | ||||||||||
| Engie SA | 2,068,339 | 31,638,356 | (2,462,269 | ) | (32.9 | ) | ||||||||||
| Peugeot SA | 742,338 | 16,914,377 | (392,040 | ) | (5.2 | ) | ||||||||||
| Renault SA | 308,813 | 26,163,087 | (5,667,784 | ) | (75.7 | ) | ||||||||||
| Thales SA | 107,591 | 13,842,001 | 2,661,290 | 35.5 | ||||||||||||
| TOTAL SA | 686,315 | 41,677,004 | 3,999,985 | 53.4 | ||||||||||||
| Germany | ||||||||||||||||
| Aurubis AG | 111,504 | 8,511,582 | (1,155,719 | ) | (15.4 | ) | ||||||||||
| Bayerische Motoren Werke AG | 184,311 | 16,660,326 | (2,922,864 | ) | (39.0 | ) | ||||||||||
| Covestro AG | 203,709 | 18,106,391 | (1,844,967 | ) | (24.6 | ) | ||||||||||
| Daimler AG (Registered) | 216,503 | 13,868,556 | (4,165,090 | ) | (55.6 | ) | ||||||||||
| Deutsche Lufthansa AG (Registered) | 1,083,886 | 25,967,342 | (8,389,578 | ) | (112.0 | ) | ||||||||||
| Evonik Industries AG | 161,562 | 5,527,638 | (454,225 | ) | (6.1 | ) | ||||||||||
| Hannover Rueck SE | 73,807 | 9,175,815 | (100,130 | ) | (1.3 | ) | ||||||||||
| Software AG | 158,858 | 7,383,286 | (1,228,764 | ) | (16.4 | ) | ||||||||||
| Volkswagen AG (Preference) | 124,106 | 20,503,587 | (4,105,813 | ) | (54.8 | ) | ||||||||||
| Netherlands | ||||||||||||||||
| Aegon NV | 3,441,074 | 20,545,331 | (1,682,009 | ) | (22.5 | ) | ||||||||||
| ASR Nederland NV | 228,466 | 9,303,340 | 205,321 | 2.7 | ||||||||||||
| NN Group NV | 509,556 | 20,665,767 | (779,834 | ) | (10.4 | ) | ||||||||||
| Signify NV | 209,809 | 5,428,085 | (2,148,068 | ) | (28.7 | ) | ||||||||||
| Wolters Kluwer NV | 194,794 | 10,942,890 | 2,054,409 | 27.4 | ||||||||||||
| Spain | ||||||||||||||||
| Amadeus IT Group SA | 148,212 | 11,654,274 | 1,590,557 | 21.2 | ||||||||||||
| Endesa SA | 758,456 | 16,679,664 | 1,559,956 | 20.8 | ||||||||||||
| Iberdrola SA | 1,306,597 | 10,076,159 | 459,546 | 6.1 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
200
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Belgium | ||||||||||||||||
| Anheuser-Busch InBev SA/NV | (167,777 | ) | $ | (16,922,825 | ) | $ | (294,928 | ) | (3.9 | ) % | ||||||
| Galapagos NV | (129,996 | ) | (11,972,301 | ) | 1,636,533 | 21.9 | ||||||||||
| Finland | ||||||||||||||||
| Nokia OYJ | (2,855,185 | ) | (16,377,001 | ) | (1,560,756 | ) | (20.8 | ) | ||||||||
| France | ||||||||||||||||
| Accor SA | (263,987 | ) | (12,929,010 | ) | (12,179 | ) | (0.2 | ) | ||||||||
| Airbus SE | (420,140 | ) | (49,028,161 | ) | (6,864,521 | ) | (91.7 | ) | ||||||||
| Carrefour SA | (653,725 | ) | (10,545,191 | ) | 2,929,119 | 39.1 | ||||||||||
| Edenred | (482,815 | ) | (15,250,534 | ) | (1,193,575 | ) | (15.9 | ) | ||||||||
| Iliad SA | (80,300 | ) | (12,670,145 | ) | 4,506,069 | 60.2 | ||||||||||
| Ingenico Group SA | (99,896 | ) | (8,957,106 | ) | 216,151 | 2.9 | ||||||||||
| Remy Cointreau SA | (42,641 | ) | (5,520,477 | ) | 66,929 | 0.9 | ||||||||||
| Vivendi SA | (1,301,383 | ) | (31,835,615 | ) | 515,232 | 6.9 | ||||||||||
| Germany | ||||||||||||||||
| Commerzbank AG | (2,010,074 | ) | (19,174,796 | ) | 8,791,893 | 117.4 | ||||||||||
| Deutsche Bank AG (Registered) | (4,318,642 | ) | (46,202,879 | ) | 28,610,824 | 382.0 | ||||||||||
| Deutsche Telekom AG (Registered) | (313,418 | ) | (4,843,690 | ) | 268,678 | 3.6 | ||||||||||
| Telefonica Deutschland Holding AG | (1,446,246 | ) | (5,689,475 | ) | 1,146,808 | 15.3 | ||||||||||
| Netherlands | ||||||||||||||||
| ALTICE EUROPE NV | (2,196,244 | ) | (8,914,561 | ) | 10,474,879 | 139.9 | ||||||||||
| Koninklijke KPN NV | (4,279,392 | ) | (11,636,433 | ) | 976,905 | 13.0 | ||||||||||
| Spain | ||||||||||||||||
| Bankia SA | (2,002,016 | ) | (7,465,659 | ) | 1,545,358 | 20.6 | ||||||||||
| Cellnex Telecom SA | (701,277 | ) | (17,631,134 | ) | (1,517,465 | ) | (20.3 | ) | ||||||||
| Industria de Diseno Textil SA | (1,365,384 | ) | (46,496,949 | ) | (5,033,413 | ) | (67.2 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
201
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 21-24 months maturity 02/18/2020 | $57,015,976 | $3,672,085 | $(381,950 | ) | $3,290,135 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Denmark | ||||||||||||||||
| Danske Bank A/S | 381,011 | $ | 11,869,977 | $ | (2,626,494 | ) | (79.8 | )% | ||||||||
| GN Store Nord A/S | 48,291 | 2,194,160 | 707,912 | 21.5 | ||||||||||||
| H Lundbeck A/S | 111,231 | 7,795,791 | 2,419,156 | 73.5 | ||||||||||||
| Jyske Bank A/S (Registered) | 45,660 | 2,495,772 | 77,328 | 2.4 | ||||||||||||
| Orsted A/S | 69,733 | 4,213,348 | (114,110 | ) | (3.5 | ) | ||||||||||
| Pandora A/S | 14,565 | 1,015,143 | (132,804 | ) | (4.0 | ) | ||||||||||
| William Demant Holding A/S | 50,663 | 2,033,211 | 595,959 | 18.1 | ||||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Denmark | ||||||||||||||||
| AP Moller - Maersk A/S | (4,243 | ) | (5,249,015 | ) | 1,389,414 | 42.2 | ||||||||||
| FLSmidth & Co. A/S | (34,156 | ) | (2,037,961 | ) | 35,334 | 1.1 | ||||||||||
| Genmab A/S | (113,907 | ) | (17,526,661 | ) | 1,360,173 | 41.3 | ||||||||||
| Novozymes A/S | (11,565 | ) | (584,937 | ) | (39,783 | ) | (1.2 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
202
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SARON plus or minus a specified spread (-9.00% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap. | 15 months maturity 05/16/2019 | $127,389,833 | $10,581,262 | $(5,313 | ) | $10,575,949 | |||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Switzerland | ||||||||||||||||
| Adecco Group AG (Registered) | 23,224 | $ | 1,370,544 | $ | (330,897 | ) | (3.1 | )% | ||||||||
| DKSH Holding AG | 8,274 | 581,692 | (74,182 | ) | (0.7 | ) | ||||||||||
| dormakaba Holding AG | 922 | 644,089 | (131,698 | ) | (1.2 | ) | ||||||||||
| Georg Fischer AG (Registered) | 5,947 | 7,594,227 | (20,622 | ) | (0.2 | ) | ||||||||||
| Helvetia Holding AG (Registered) | 3,938 | 2,246,581 | 76,628 | 0.7 | ||||||||||||
| Kuehne + Nagel International AG (Registered) | 13,066 | 1,961,487 | (163,829 | ) | (1.5 | ) | ||||||||||
| Lonza Group AG (Registered) | 21,699 | 5,733,885 | 656,734 | 6.2 | ||||||||||||
| Partners Group Holding AG | 12,170 | 8,896,829 | 559,477 | 5.3 | ||||||||||||
| Roche Holding AG | 26,160 | 5,803,810 | 15,236 | 0.1 | ||||||||||||
| Sika AG (Registered) | 17,040 | 2,354,410 | 173,784 | 1.6 | ||||||||||||
| Sonova Holding AG (Registered) | 12,196 | 2,181,664 | 398,102 | 3.8 | ||||||||||||
| Swiss Life Holding AG (Registered) | 38,637 | 13,397,441 | 312,398 | 3.0 | ||||||||||||
| Swiss Re AG | 37,233 | 3,250,771 | (271,216 | ) | (2.6 | ) | ||||||||||
| Zurich Insurance Group AG | 17,222 | 5,093,063 | (121,819 | ) | (1.2 | ) | ||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Austria | ||||||||||||||||
| ams AG | (133,715 | ) | (9,916,322 | ) | 4,584,926 | 43.4 | ||||||||||
| Switzerland | ||||||||||||||||
| Aryzta AG | (42,976 | ) | (642,833 | ) | 318,692 | 3.0 | ||||||||||
| Chocoladefabriken Lindt & Spruengli AG | (260 | ) | (1,685,222 | ) | (220,944 | ) | (2.1 | ) | ||||||||
| Credit Suisse Group AG (Registered) | (2,504,740 | ) | (37,453,572 | ) | 5,810,287 | 54.9 | ||||||||||
| Dufry AG (Registered) | (19,277 | ) | (2,451,705 | ) | 175,226 | 1.7 | ||||||||||
| Idorsia Ltd. | (113,152 | ) | (2,985,619 | ) | (129,139 | ) | (1.2 | ) | ||||||||
| OC Oerlikon Corp. AG (Registered) | (299,210 | ) | (4,558,385 | ) | 97,635 | 0.9 | ||||||||||
| Vifor Pharma AG | (41,286 | ) | (6,585,682 | ) | (1,133,517 | ) | (10.7 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
203
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||
| MSIP | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the STIBOR plus or minus a specified spread (-0.50% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap. | 20-24 months maturity 02/18/2020 | $117,222,923 | $(15,433,556 | ) | $79,737 | $(15,353,819 | ) | ||||||||||
|
|
|
|||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Malta | ||||||||||||||||
| Kindred Group plc | 85,788 | $ | 1,074,732 | $ | (50,321 | ) | 0.3 | % | ||||||||
| Sweden | ||||||||||||||||
| BillerudKorsnas AB | 38,308 | 539,992 | (16,798 | ) | 0.1 | |||||||||||
| Boliden AB | 826,942 | 26,688,301 | 265,976 | (1.7 | ) | |||||||||||
| Electrolux AB | 260,192 | 5,904,697 | (1,659,850 | ) | 10.8 | |||||||||||
| Essity AB | 174,944 | 4,303,899 | (27,260 | ) | 0.2 | |||||||||||
| Husqvarna AB | 89,830 | 849,805 | (4,465 | ) | 0.0 | |||||||||||
| NCC AB | 34,430 | 570,900 | (25,102 | ) | 0.2 | |||||||||||
| Nordea Bank AB | 361,254 | 3,465,361 | (133,338 | ) | 0.9 | |||||||||||
| Saab AB | 18,912 | 783,186 | 8,552 | (0.1 | ) | |||||||||||
| Securitas AB | 209,586 | 3,436,803 | 230,575 | (1.5 | ) | |||||||||||
| Skandinaviska Enskilda Banken AB | 171,834 | 1,626,302 | (212,090 | ) | 1.4 | |||||||||||
| SSAB AB | 728,982 | 3,428,287 | (517,858 | ) | 3.4 | |||||||||||
| Swedbank AB | 161,614 | 3,443,387 | (155,212 | ) | 1.0 | |||||||||||
| Volvo AB | 143,625 | 2,282,650 | (130,928 | ) | 0.9 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Colombia | ||||||||||||||||
| Millicom International Cellular SA | (77,818 | ) | (4,573,530 | ) | 270,002 | (1.8 | ) | |||||||||
| Sweden | ||||||||||||||||
| Telefonaktiebolaget LM Ericsson | (7,041,752 | ) | (54,251,091 | ) | (13,275,439 | ) | 86.5 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
204
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $99,759,580 | $99,759,580 | |||||||||
| U.S. Treasury Bills | — | 24,695,680 | 24,695,680 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 30,979,651 | — | 30,979,651 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 23,114,902 | 23,114,902 | |||||||||
| U.S. Treasury Bills | — | 48,158,370 | 48,158,370 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (1,050,000 | ) | — | (1,050,000 | ) | |||||||
| Investment Companies | 591,122,223 | — | 591,122,223 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 108,369,609 | — | 108,369,609 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 17,351,092 | 17,351,092 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 25,340,000 | — | 25,340,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 8,240,087 | 8,240,087 | |||||||||
|
|
||||||||||||
| MSIP | ||||||||||||
| Cash | 207,210,000 | — | 207,210,000 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $15,794,183 | $— | $15,794,183 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 2,605,413 | 2,605,413 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | (470,000 | ) | — | (470,000 | ) | |||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 4,397,053 | 4,397,053 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 470,000 | — | 470,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (11,189,328 | ) | (11,189,328 | ) | |||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 1,100,000 | — | 1,100,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
205
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
206
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
207
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
208
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
209
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
210
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (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 2018 | ||||||||||||||
211
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS FUND |
PAYMENTS FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (1,509,900 | ) | $63,414 | |||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | 104,849,900 | 28,694 | ||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 07/30/2018 | HKD | 34,471,200 | 9,960 | ||||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | (14,673,150 | ) | 21,212 | |||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MSCS | 07/30/2018 | HKD | (19,564,200 | ) | 16,278 | |||||||||||
| MSCI Singapore Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | SGD | 36,600 | 216 | ||||||||||||
| MSCI Singapore Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 07/30/2018 | SGD | 988,200 | 1,849 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | USD | 193,800 | 1,126 | ||||||||||||
| MSCI Taiwan Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | 697,680 | 3,900 | ||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | (1,364,000 | ) | 164,109 | |||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | (748,000 | ) | 104,663 | |||||||||||
| Swiss Market Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | Monthly | MLIN | 09/21/2018 | CHF | (14,749,000 | ) | 44,779 | |||||||||||
| TAIEX Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/18/2018 | TWD | 38,437,200 | 2,726 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
212
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| WIG20 Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 09/21/2018 | PLN | (291,760 | ) | $ 4,434 | |||||||||||
|
|
|
|||||||||||||||||||
| 467,360 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| iBovespa Index August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MSCS | 08/15/2018 | BRL | (8,779,440 | ) | (39,498 | ) | ||||||||||
| KOSPI 200 Index September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MSCS | 09/13/2018 | KRW | 5,625,000,000 | (295,822 | ) | |||||||||||
| MSCI Emerging Markets Taiwan Net Total Return Index | Decreases in total return of reference entity | Increases in total return of reference entity | Monthly | JPMC | 09/21/2018 | USD | 102,998 | (4,478 | ) | |||||||||||
| MSCI Emerging Markets Thailand Net Total Return Index | Decreases in total return of reference entity | Increases in total return of reference entity | Monthly | JPMC | 09/24/2018 | USD | 43,607 | (4,561 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | 1,496,000 | (165,427 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 10/26/2018 | USD | 748,000 | (85,569 | ) | |||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 2,508,000 | (285,064 | ) | |||||||||||
| Swiss Market Index September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | Monthly | MSCS | 09/21/2018 | CHF | (10,032,750 | ) | (11,602 | ) | ||||||||||
| Tel Aviv Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MLIN | 07/25/2018 | ILS | 2,578,611 | (7,790 | ) | |||||||||||
|
|
|
|||||||||||||||||||
| (899,811 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $(432,451 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
213
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 98 | 7/2018 | EUR | $12,625,506 | $(249,937 | ) | ||||||||||
| Brent Crude Oil | 90 | 7/2018 | USD | 7,130,700 | 282,751 | |||||||||||
| Hang Seng Index | 33 | 7/2018 | HKD | 6,041,335 | 48,021 | |||||||||||
| LME Copper Base Metal | 3 | 7/2018 | USD | 497,475 | (11,713 | ) | ||||||||||
| LME Copper Base Metal | 4 | 7/2018 | USD | 662,683 | (19,216 | ) | ||||||||||
| LME Copper Base Metal | 5 | 7/2018 | USD | 828,780 | (38,685 | ) | ||||||||||
| MSCI Singapore Index | 123 | 7/2018 | SGD | 3,304,073 | (14,939 | ) | ||||||||||
| MSCI Taiwan Index | 154 | 7/2018 | USD | 5,969,040 | 56,285 | |||||||||||
| WTI Crude Oil | 104 | 7/2018 | USD | 7,711,600 | 875,890 | |||||||||||
| LME Copper Base Metal | 2 | 8/2018 | USD | 331,559 | (13,597 | ) | ||||||||||
| LME Copper Base Metal | 4 | 8/2018 | USD | 663,106 | (19,356 | ) | ||||||||||
| LME Copper Base Metal | 7 | 8/2018 | USD | 1,159,477 | (31,307 | ) | ||||||||||
| 3 Month Sterling | 159 | 9/2018 | GBP | 26,016,256 | 8,495 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 41 | 9/2018 | AUD | 30,193,151 | (5,843 | ) | ||||||||||
| Australia 3 Year Bond | 549 | 9/2018 | AUD | 45,237,477 | 163,883 | |||||||||||
| EURO STOXX 50 Index | 119 | 9/2018 | EUR | 4,712,412 | (111,538 | ) | ||||||||||
| Euro-Bobl | 64 | 9/2018 | EUR | 9,878,280 | 18,958 | |||||||||||
| Euro-Bund | 610 | 9/2018 | EUR | 115,793,793 | 870,014 | |||||||||||
| FTSE 100 Index | 95 | 9/2018 | GBP | 9,530,475 | (64,829 | ) | ||||||||||
| FTSE/MIB Index | 29 | 9/2018 | EUR | 3,652,131 | (58,859 | ) | ||||||||||
| Japan 10 Year Bond | 37 | 9/2018 | JPY | 50,409,430 | 30,756 | |||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,708 | (11,882 | ) | ||||||||||
| LME Copper Base Metal | 5 | 9/2018 | USD | 828,281 | (84,567 | ) | ||||||||||
| LME Copper Base Metal | 14 | 9/2018 | USD | 2,318,750 | (60,678 | ) | ||||||||||
| LME Copper Base Metal | 20 | 9/2018 | USD | 3,314,000 | (151,936 | ) | ||||||||||
| S&P/TSX 60 Index | 23 | 9/2018 | CAD | 3,370,616 | 57 | |||||||||||
| SET50 Index | 252 | 9/2018 | THB | 1,590,954 | (8,608 | ) | ||||||||||
| Silver | 99 | 9/2018 | USD | 8,018,010 | (92,282 | ) | ||||||||||
| SPI 200 Index | 299 | 9/2018 | AUD | 34,009,959 | 99,211 | |||||||||||
| TOPIX Index | 316 | 9/2018 | JPY | 49,391,501 | (1,200,328 | ) | ||||||||||
| U.S. Treasury 2 Year Note | 823 | 9/2018 | USD | 174,334,546 | 149,850 | |||||||||||
| U.S. Treasury 5 Year Note | 27 | 9/2018 | USD | 3,067,664 | 19,863 | |||||||||||
| 3 Month Euro Euribor | 62 | 12/2018 | EUR | 18,152,488 | 1,107 | |||||||||||
| 3 Month Sterling | 405 | 12/2018 | GBP | 66,231,074 | 26,794 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 159 | 12/2018 | AUD | 117,090,513 | 4,487 | |||||||||||
| 3 Month Euro Euribor | 80 | 3/2019 | EUR | 23,421,397 | 4,469 | |||||||||||
| 3 Month Sterling | 465 | 3/2019 | GBP | 75,989,388 | 66,206 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 160 | 3/2019 | AUD | 117,821,149 | 8,804 | |||||||||||
| 3 Month Euro Euribor | 61 | 6/2019 | EUR | 17,856,144 | 10,795 | |||||||||||
| 3 Month Sterling | 401 | 6/2019 | GBP | 65,490,942 | 12,511 | |||||||||||
| ASX 90 Day Bank Accepted Bill | 121 | 6/2019 | AUD | 89,093,501 | 15,940 | |||||||||||
|
|
|
|||||||||||||||
| 525,047 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts | ||||||||||||||||
| CAC 40 10 Euro Index | (70 | ) | 7/2018 | EUR | (4,349,296 | ) | 112,037 | |||||||||
| FTSE Bursa Malaysia KLCI Index | (23 | ) | 7/2018 | MYR | (482,974 | ) | (2,200 | ) | ||||||||
| HSCEI | (64 | ) | 7/2018 | HKD | (4,433,160 | ) | (7,149 | ) | ||||||||
| IBEX 35 Index | (82 | ) | 7/2018 | EUR | (9,194,645 | ) | 106,249 | |||||||||
| LME Copper Base Metal | (3 | ) | 7/2018 | USD | (497,475 | ) | 13,160 | |||||||||
| LME Copper Base Metal | (4 | ) | 7/2018 | USD | (662,683 | ) | 17,919 | |||||||||
| LME Copper Base Metal | (5 | ) | 7/2018 | USD | (828,780 | ) | 39,513 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
214
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| Natural Gas | (68 | ) | 7/2018 | USD | $ (1,988,320 | ) | $ 18,536 | |||||||||
| OMXS30 Index | (798 | ) | 7/2018 | SEK | (13,907,701 | ) | 62,206 | |||||||||
| 100 oz Gold | (187 | ) | 8/2018 | USD | (23,459,150 | ) | 855,199 | |||||||||
| LME Copper Base Metal | (2 | ) | 8/2018 | USD | (331,559 | ) | 12,389 | |||||||||
| LME Copper Base Metal | (4 | ) | 8/2018 | USD | (663,106 | ) | 18,612 | |||||||||
| LME Copper Base Metal | (7 | ) | 8/2018 | USD | (1,159,477 | ) | 29,879 | |||||||||
| 3 Month Canadian Bankers Acceptance | (31 | ) | 9/2018 | CAD | (5,779,561 | ) | 1,559 | |||||||||
| 3 Month Euro Euribor | (3 | ) | 9/2018 | EUR | (878,565 | ) | (14 | ) | ||||||||
| 3 Month Eurodollar | (74 | ) | 9/2018 | USD | (18,045,825 | ) | 14,610 | |||||||||
| Australia 10 Year Bond | (131 | ) | 9/2018 | AUD | (12,541,167 | ) | (63,636 | ) | ||||||||
| Canada 10 Year Bond | (235 | ) | 9/2018 | CAD | (24,437,569 | ) | (585,020 | ) | ||||||||
| Corn | (15 | ) | 9/2018 | USD | (269,625 | ) | 10,305 | |||||||||
| DAX Index | (61 | ) | 9/2018 | EUR | (21,920,146 | ) | 758,619 | |||||||||
| Euro-Buxl | (51 | ) | 9/2018 | EUR | (10,583,421 | ) | (148,978 | ) | ||||||||
| Euro-Schatz | (1,815 | ) | 9/2018 | EUR | (237,570,547 | ) | (57,833 | ) | ||||||||
| FTSE/JSE Top 40 Index | (68 | ) | 9/2018 | ZAR | (2,562,164 | ) | 13,208 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,708 | ) | 12,714 | |||||||||
| LME Copper Base Metal | (5 | ) | 9/2018 | USD | (828,281 | ) | 79,368 | |||||||||
| LME Copper Base Metal | (14 | ) | 9/2018 | USD | (2,318,750 | ) | 58,846 | |||||||||
| LME Copper Base Metal | (96 | ) | 9/2018 | USD | (15,907,200 | ) | 861,966 | |||||||||
| Long Gilt | (408 | ) | 9/2018 | GBP | (66,262,639 | ) | (921,672 | ) | ||||||||
| S&P 500 E-Mini Index | (271 | ) | 9/2018 | USD | (36,877,680 | ) | 743,327 | |||||||||
| U.S. Treasury 10 Year Note | (42 | ) | 9/2018 | USD | (5,047,875 | ) | 1,018 | |||||||||
| U.S. Treasury Long Bond | (107 | ) | 9/2018 | USD | (15,515,000 | ) | (350,305 | ) | ||||||||
| 3 Month Canadian Bankers Acceptance | (111 | ) | 12/2018 | CAD | (20,660,784 | ) | 9,273 | |||||||||
| 3 Month Eurodollar | (299 | ) | 12/2018 | USD | (72,776,600 | ) | 43,611 | |||||||||
| 3 Month Canadian Bankers Acceptance | (103 | ) | 3/2019 | CAD | (19,143,318 | ) | 6,247 | |||||||||
| 3 Month Eurodollar | (279 | ) | 3/2019 | USD | (67,824,900 | ) | 30,472 | |||||||||
| 3 Month Canadian Bankers Acceptance | (73 | ) | 6/2019 | CAD | (13,552,324 | ) | 3,953 | |||||||||
| 3 Month Eurodollar | (205 | ) | 6/2019 | USD | (49,786,813 | ) | 16,097 | |||||||||
|
|
|
|||||||||||||||
| 1,814,085 | ||||||||||||||||
|
|
|
|||||||||||||||
| $2,339,132 | ||||||||||||||||
|
|
|
|||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| CAD | 4,400 | USD | 3,323 | CITI | 9/19/2018 | $28 | ||||||||||||||
| CAD | 6,600 | USD | 4,985 | JPMC | 9/19/2018 | 42 | ||||||||||||||
| CHF | 803,200 | USD | 812,860 | CITI | 9/19/2018 | 3,812 | ||||||||||||||
| CHF | 1,204,800 | USD | 1,219,291 | JPMC | 9/19/2018 | 5,718 | ||||||||||||||
| DKK | 169,200 | USD | 26,461 | CITI | 9/19/2018 | 227 | ||||||||||||||
| DKK | 253,800 | USD | 39,692 | JPMC | 9/19/2018 | 341 | ||||||||||||||
| EUR | 1,620,500 | USD | 1,893,682 | CITI | 9/19/2018 | 10,139 | ||||||||||||||
| EUR | 2,430,749 | USD | 2,840,525 | JPMC | 9/19/2018 | 15,205 | ||||||||||||||
| HKD | 7,772,000 | USD | 991,676 | CITI | 9/19/2018 | 267 | ||||||||||||||
| HKD | 11,658,000 | USD | 1,487,516 | JPMC | 9/19/2018 | 398 | ||||||||||||||
| INR | 1,720,000 | USD | 24,804 | CITI** | 9/19/2018 | 44 | ||||||||||||||
| INR | 2,580,000 | USD | 37,207 | JPMC** | 9/19/2018 | 66 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
215
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| MXN | 77,953,536 | USD | 3,807,566 | CITI | 9/19/2018 | $ 68,775 | ||||||||||||||
| MXN | 116,930,311 | USD | 5,711,356 | JPMC | 9/19/2018 | 103,155 | ||||||||||||||
| SEK | 400 | USD | 45 | CITI | 9/19/2018 | — | ||||||||||||||
| SEK | 600 | USD | 67 | JPMC | 9/19/2018 | — | ||||||||||||||
| SGD | 400 | USD | 293 | CITI | 9/19/2018 | 1 | ||||||||||||||
| SGD | 600 | USD | 439 | JPMC | 9/19/2018 | 2 | ||||||||||||||
| TRY | 9,912,000 | USD | 2,034,512 | CITI | 9/19/2018 | 51,290 | ||||||||||||||
| TRY | 14,868,000 | USD | 3,051,772 | JPMC | 9/19/2018 | 76,931 | ||||||||||||||
| USD | 812,540 | AUD | 1,091,200 | CITI | 9/19/2018 | 4,803 | ||||||||||||||
| USD | 1,219,934 | AUD | 1,636,800 | JPMC | 9/19/2018 | 8,328 | ||||||||||||||
| USD | 4,581,786 | BRL | 17,259,999 | CITI** | 9/19/2018 | 164,915 | ||||||||||||||
| USD | 6,872,670 | BRL | 25,890,000 | JPMC** | 9/19/2018 | 247,364 | ||||||||||||||
| USD | 124,064 | CAD | 159,600 | CITI | 9/19/2018 | 2,500 | ||||||||||||||
| USD | 186,096 | CAD | 239,400 | JPMC | 9/19/2018 | 3,747 | ||||||||||||||
| USD | 22,389,826 | CHF | 21,897,920 | CITI | 9/19/2018 | 124,605 | ||||||||||||||
| USD | 33,584,697 | CHF | 32,846,880 | JPMC | 9/19/2018 | 186,864 | ||||||||||||||
| USD | 1,609,757 | CNY | 10,408,000 | CITI** | 9/19/2018 | 45,601 | ||||||||||||||
| USD | 2,414,633 | CNY | 15,612,000 | JPMC** | 9/19/2018 | 68,398 | ||||||||||||||
| USD | 37,831 | DKK | 237,200 | CITI | 9/19/2018 | 417 | ||||||||||||||
| USD | 56,747 | DKK | 355,800 | JPMC | 9/19/2018 | 625 | ||||||||||||||
| USD | 2,582,173 | EUR | 2,185,600 | CITI | 9/19/2018 | 14,454 | ||||||||||||||
| USD | 3,873,255 | EUR | 3,278,400 | JPMC | 9/19/2018 | 21,677 | ||||||||||||||
| USD | 3,929,160 | HKD | 30,762,400 | CITI | 9/19/2018 | 2,945 | ||||||||||||||
| USD | 5,893,733 | HKD | 46,143,600 | JPMC | 9/19/2018 | 4,411 | ||||||||||||||
| USD | 42,973 | HUF | 12,000,000 | CITI | 9/19/2018 | 219 | ||||||||||||||
| USD | 64,459 | HUF | 18,000,000 | JPMC | 9/19/2018 | 328 | ||||||||||||||
| USD | 6,743,358 | JPY | 734,314,800 | CITI | 9/19/2018 | 73,875 | ||||||||||||||
| USD | 10,114,800 | JPY | 1,101,472,200 | JPMC | 9/19/2018 | 110,577 | ||||||||||||||
| USD | 4,007,351 | KRW | 4,294,032,000 | CITI** | 9/19/2018 | 141,919 | ||||||||||||||
| USD | 6,011,019 | KRW | 6,441,048,000 | JPMC** | 9/19/2018 | 212,871 | ||||||||||||||
| USD | 259,489 | MXN | 5,200,000 | CITI | 9/19/2018 | 912 | ||||||||||||||
| USD | 389,233 | MXN | 7,800,000 | JPMC | 9/19/2018 | 1,368 | ||||||||||||||
| USD | 2,552,894 | NOK | 20,591,400 | CITI | 9/19/2018 | 16,554 | ||||||||||||||
| USD | 3,829,336 | NOK | 30,887,100 | JPMC | 9/19/2018 | 24,825 | ||||||||||||||
| USD | 4,141,725 | NZD | 5,960,800 | CITI | 9/19/2018 | 104,172 | ||||||||||||||
| USD | 6,212,580 | NZD | 8,941,200 | JPMC | 9/19/2018 | 156,250 | ||||||||||||||
| USD | 7,657,804 | SEK | 67,063,200 | CITI | 9/19/2018 | 124,572 | ||||||||||||||
| USD | 11,486,692 | SEK | 100,594,800 | JPMC | 9/19/2018 | 186,844 | ||||||||||||||
| USD | 1,196,933 | SGD | 1,603,200 | CITI | 9/19/2018 | 18,259 | ||||||||||||||
| USD | 1,795,398 | SGD | 2,404,800 | JPMC | 9/19/2018 | 27,386 | ||||||||||||||
| USD | 73,577 | THB | 2,350,800 | CITI | 9/19/2018 | 2,453 | ||||||||||||||
| USD | 110,366 | THB | 3,526,200 | JPMC | 9/19/2018 | 3,679 | ||||||||||||||
| USD | 407,123 | TRY | 1,912,000 | CITI | 9/19/2018 | 4,778 | ||||||||||||||
| USD | 610,684 | TRY | 2,868,000 | JPMC | 9/19/2018 | 7,164 | ||||||||||||||
| USD | 1,349,163 | TWD | 40,039,600 | CITI** | 9/19/2018 | 28,769 | ||||||||||||||
| USD | 2,023,742 | TWD | 60,059,400 | JPMC** | 9/19/2018 | 43,151 | ||||||||||||||
| USD | 332,509 | ZAR | 4,400,000 | CITI | 9/19/2018 | 15,051 | ||||||||||||||
| USD | 498,762 | ZAR | 6,600,000 | JPMC | 9/19/2018 | 22,577 | ||||||||||||||
| USD | 2,662,772 | ILS | 9,436,003 | CITI | 9/20/2018 | 68,673 | ||||||||||||||
| USD | 3,994,151 | ILS | 14,153,997 | JPMC | 9/20/2018 | 103,004 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 2,738,325 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 5,880,000 | USD | 4,470,772 | CITI | 9/19/2018 | (118,232 | ) | |||||||||||||
| AUD | 8,820,000 | USD | 6,706,166 | JPMC | 9/19/2018 | (177,355 | ) | |||||||||||||
| BRL | 4,080,000 | USD | 1,082,793 | CITI** | 9/19/2018 | (38,713 | ) | |||||||||||||
| BRL | 6,120,000 | USD | 1,624,192 | JPMC** | 9/19/2018 | (58,070 | ) | |||||||||||||
| CAD | 33,248,400 | USD | 25,738,153 | CITI | 9/19/2018 | (413,215 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
216
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| CAD | 49,872,600 | USD | 38,607,278 | JPMC | 9/19/2018 | $ (619,871 | ) | |||||||||||||
| CHF | 719,600 | USD | 734,382 | CITI | 9/19/2018 | (2,711 | ) | |||||||||||||
| CHF | 1,079,400 | USD | 1,101,574 | JPMC | 9/19/2018 | (4,069 | ) | |||||||||||||
| CNY | 33,674,800 | USD | 5,192,886 | CITI** | 9/19/2018 | (132,101 | ) | |||||||||||||
| CNY | 50,512,200 | USD | 7,789,339 | JPMC** | 9/19/2018 | (198,163 | ) | |||||||||||||
| DKK | 82,400 | USD | 13,055 | CITI | 9/19/2018 | (57 | ) | |||||||||||||
| DKK | 123,600 | USD | 19,582 | JPMC | 9/19/2018 | (86 | ) | |||||||||||||
| EUR | 3,429,900 | USD | 4,051,191 | CITI | 9/19/2018 | (21,626 | ) | |||||||||||||
| EUR | 5,144,851 | USD | 6,076,796 | JPMC | 9/19/2018 | (32,445 | ) | |||||||||||||
| GBP | 6,548,400 | USD | 8,794,759 | CITI | 9/19/2018 | (121,816 | ) | |||||||||||||
| GBP | 9,822,600 | USD | 13,192,156 | JPMC | 9/19/2018 | (182,742 | ) | |||||||||||||
| HKD | 8,846,800 | USD | 1,129,557 | CITI | 9/19/2018 | (438 | ) | |||||||||||||
| HKD | 13,270,200 | USD | 1,694,338 | JPMC | 9/19/2018 | (659 | ) | |||||||||||||
| HUF | 204,000,000 | USD | 753,515 | CITI | 9/19/2018 | (26,695 | ) | |||||||||||||
| HUF | 306,000,000 | USD | 1,130,274 | JPMC | 9/19/2018 | (40,044 | ) | |||||||||||||
| INR | 94,400,000 | USD | 1,381,235 | CITI** | 9/19/2018 | (17,463 | ) | |||||||||||||
| INR | 141,600,000 | USD | 2,071,856 | JPMC** | 9/19/2018 | (26,197 | ) | |||||||||||||
| JPY | 650,569,600 | USD | 5,968,365 | CITI | 9/19/2018 | (59,506 | ) | |||||||||||||
| JPY | 975,854,400 | USD | 8,952,237 | JPMC | 9/19/2018 | (88,949 | ) | |||||||||||||
| KRW | 1,310,700,000 | USD | 1,217,285 | CITI** | 9/19/2018 | (37,411 | ) | |||||||||||||
| KRW | 1,966,050,000 | USD | 1,825,930 | JPMC** | 9/19/2018 | (56,116 | ) | |||||||||||||
| MXN | 39,890,460 | USD | 1,992,828 | CITI | 9/19/2018 | (9,223 | ) | |||||||||||||
| MXN | 59,835,693 | USD | 2,989,246 | JPMC | 9/19/2018 | (13,839 | ) | |||||||||||||
| NOK | 28,400 | USD | 3,510 | CITI | 9/19/2018 | (12 | ) | |||||||||||||
| NOK | 42,600 | USD | 5,265 | JPMC | 9/19/2018 | (18 | ) | |||||||||||||
| PLN | 6,600,000 | USD | 1,799,093 | CITI | 9/19/2018 | (34,800 | ) | |||||||||||||
| PLN | 9,900,000 | USD | 2,698,642 | JPMC | 9/19/2018 | (52,203 | ) | |||||||||||||
| SEK | 303,600 | USD | 34,969 | CITI | 9/19/2018 | (865 | ) | |||||||||||||
| SEK | 455,400 | USD | 52,453 | JPMC | 9/19/2018 | (1,298 | ) | |||||||||||||
| SGD | 1,121,600 | USD | 837,853 | CITI | 9/19/2018 | (13,252 | ) | |||||||||||||
| SGD | 1,682,400 | USD | 1,256,781 | JPMC | 9/19/2018 | (19,878 | ) | |||||||||||||
| THB | 1,796,400 | USD | 56,276 | CITI | 9/19/2018 | (1,926 | ) | |||||||||||||
| THB | 2,694,600 | USD | 84,415 | JPMC | 9/19/2018 | (2,889 | ) | |||||||||||||
| TRY | 960,000 | USD | 203,836 | CITI | 9/19/2018 | (1,822 | ) | |||||||||||||
| TRY | 1,440,000 | USD | 305,755 | JPMC | 9/19/2018 | (2,733 | ) | |||||||||||||
| TWD | 6,459,600 | USD | 217,681 | CITI** | 9/19/2018 | (4,661 | ) | |||||||||||||
| TWD | 9,689,400 | USD | 326,521 | JPMC** | 9/19/2018 | (6,993 | ) | |||||||||||||
| USD | 1,144,860 | AUD | 1,549,600 | CITI | 9/19/2018 | (2,197 | ) | |||||||||||||
| USD | 1,717,287 | AUD | 2,324,400 | JPMC | 9/19/2018 | (3,298 | ) | |||||||||||||
| USD | 362,364 | BRL | 1,420,001 | CITI** | 9/19/2018 | (1,017 | ) | |||||||||||||
| USD | 543,545 | BRL | 2,130,000 | JPMC** | 9/19/2018 | (1,527 | ) | |||||||||||||
| USD | 3,003,614 | CAD | 3,981,200 | CITI | 9/19/2018 | (28,823 | ) | |||||||||||||
| USD | 4,505,416 | CAD | 5,971,800 | JPMC | 9/19/2018 | (43,237 | ) | |||||||||||||
| USD | 3,764,816 | CHF | 3,712,080 | CITI | 9/19/2018 | (9,529 | ) | |||||||||||||
| USD | 5,647,217 | CHF | 5,568,120 | JPMC | 9/19/2018 | (14,299 | ) | |||||||||||||
| USD | 75,929 | DKK | 486,000 | CITI | 9/19/2018 | (730 | ) | |||||||||||||
| USD | 113,894 | DKK | 729,000 | JPMC | 9/19/2018 | (1,095 | ) | |||||||||||||
| USD | 4,433,957 | EUR | 3,791,600 | CITI | 9/19/2018 | (20,547 | ) | |||||||||||||
| USD | 6,650,928 | EUR | 5,687,400 | JPMC | 9/19/2018 | (30,830 | ) | |||||||||||||
| USD | 1,839,361 | HKD | 14,414,800 | CITI | 9/19/2018 | (404 | ) | |||||||||||||
| USD | 2,759,038 | HKD | 21,622,200 | JPMC | 9/19/2018 | (610 | ) | |||||||||||||
| USD | 454,715 | HUF | 128,000,000 | CITI | 9/19/2018 | (1,329 | ) | |||||||||||||
| USD | 682,071 | HUF | 192,000,000 | JPMC | 9/19/2018 | (1,995 | ) | |||||||||||||
| USD | 1,661,837 | MXN | 34,000,000 | CITI | 9/19/2018 | (28,856 | ) | |||||||||||||
| USD | 2,492,753 | MXN | 51,000,000 | JPMC | 9/19/2018 | (43,288 | ) | |||||||||||||
| USD | 834,553 | NOK | 6,819,400 | CITI | 9/19/2018 | (5,425 | ) | |||||||||||||
| USD | 1,251,829 | NOK | 10,229,100 | JPMC | 9/19/2018 | (8,138 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
217
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 33,507 | SEK | 300,000 | CITI | 9/19/2018 | $ (193 | ) | |||||||||||||
| USD | 50,260 | SEK | 450,000 | JPMC | 9/19/2018 | (289 | ) | |||||||||||||
| USD | 28,485 | SGD | 38,800 | CITI | 9/19/2018 | (41 | ) | |||||||||||||
| USD | 42,728 | SGD | 58,200 | JPMC | 9/19/2018 | (61 | ) | |||||||||||||
| USD | 1,381,400 | TRY | 6,800,000 | CITI | 9/19/2018 | (49,538 | ) | |||||||||||||
| USD | 2,072,098 | TRY | 10,200,000 | JPMC | 9/19/2018 | (74,307 | ) | |||||||||||||
| USD | 172,764 | ZAR | 2,400,000 | CITI | 9/19/2018 | (394 | ) | |||||||||||||
| USD | 259,146 | ZAR | 3,600,000 | JPMC | 9/19/2018 | (592 | ) | |||||||||||||
| ZAR | 18,800,000 | USD | 1,477,099 | CITI | 9/19/2018 | (120,691 | ) | |||||||||||||
| ZAR | 28,200,000 | USD | 2,215,651 | JPMC | 9/19/2018 | (181,041 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation | (3,315,483 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation | $ | (577,158 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
Total Return Basket Swaps Outstanding at June 30, 2018
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-0.18% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | 61 months maturity 04/13/2023 - 06/30/2023 | $3,480,106 | $925 | $8,856 | $9,781 | ||||||||||||||
|
|
|
|||||||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread (-0.10% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | 45-61 months maturity 11/19/2021 - 06/30/2023 | $2,601,577 | $81,120 | $(8,604 | ) | $72,516 | |||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
218
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.03% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | 1-61 months maturity 04/13/2023 - 06/30/2023 | $20,335,077 | $(429,395 | ) | $17,635 | $(411,760 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| Australia | ||||||||||||||||
| BHP Billiton plc | 14,461 | $ | 324,540 | $ | 47,759 | (11.6 | )% | |||||||||
| Rio Tinto plc | 2,005 | 110,513 | 5,790 | (1.4 | ) | |||||||||||
| Germany | ||||||||||||||||
| TUI AG | 12,052 | 263,601 | 14,872 | (3.6 | ) | |||||||||||
| Russia | ||||||||||||||||
| Evraz plc | 19,055 | 127,181 | 12,119 | (2.9 | ) | |||||||||||
| South Africa | ||||||||||||||||
| Anglo American plc | 17,424 | 386,829 | (23,468 | ) | 5.7 | |||||||||||
| Investec plc | 18,033 | 127,507 | (2,474 | ) | 0.6 | |||||||||||
| United Kingdom | ||||||||||||||||
| Barratt Developments plc | 125,090 | 847,974 | (53,300 | ) | 12.9 | |||||||||||
| Bellway plc | 16,249 | 641,929 | (33,034 | ) | 8.0 | |||||||||||
| Berkeley Group Holdings plc | 21,497 | 1,070,830 | (15,677 | ) | 3.8 | |||||||||||
| BT Group plc | 110,187 | 316,099 | (26,022 | ) | 6.3 | |||||||||||
| Close Brothers Group plc | 9,624 | 187,878 | 4,431 | (1.1 | ) | |||||||||||
| Greene King plc | 32,994 | 249,932 | 48,764 | (11.8 | ) | |||||||||||
| Howden Joinery Group plc | 28,963 | 204,245 | 26,898 | (6.5 | ) | |||||||||||
| Indivior plc | 61,833 | 311,360 | (4,588 | ) | 1.1 | |||||||||||
| Intermediate Capital Group plc | 22,535 | 326,462 | 24,922 | (6.1 | ) | |||||||||||
| Kingfisher plc | 28,992 | 113,376 | 735 | (0.2 | ) | |||||||||||
| Persimmon plc | 30,418 | 1,013,214 | (47,086 | ) | 11.4 | |||||||||||
| Playtech plc | 13,626 | 135,114 | 2,834 | (0.7 | ) | |||||||||||
| Royal Mail plc | 75,124 | 499,794 | (48,210 | ) | 11.7 | |||||||||||
| Sky plc | 24,743 | 476,521 | 47,188 | (11.5 | ) | |||||||||||
| Taylor Wimpey plc | 256,924 | 604,805 | (30,531 | ) | 7.4 | |||||||||||
| Travis Perkins plc | 13,368 | 250,499 | 35,259 | (8.6 | ) | |||||||||||
| WH Smith plc | 7,717 | 203,127 | 1,945 | (0.5 | ) | |||||||||||
| Whitbread plc | 2,901 | 151,222 | 11,069 | (2.7 | ) | |||||||||||
| William Hill plc | 93,533 | 373,568 | (30,727 | ) | 7.5 | |||||||||||
| Short Positions |
|
|||||||||||||||
| Common Stock |
|
|||||||||||||||
| United Kingdom | ||||||||||||||||
| AA plc | (69,066 | ) | (113,001 | ) | (33,368 | ) | 8.1 | |||||||||
| Associated British Foods plc | (3,439 | ) | (124,005 | ) | (7,804 | ) | 1.9 | |||||||||
| AstraZeneca plc | (5,016 | ) | (346,943 | ) | (16,847 | ) | 4.1 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
219
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United Kingdom (continued) |
|
|||||||||||||||
| B&M European Value Retail SA | (22,972 | ) | $ | (122,036 | ) | $ | (3,438 | ) | 0.8 | % | ||||||
| British American Tobacco plc | (35,026 | ) | (1,764,378 | ) | 234,581 | (57.0 | ) | |||||||||
| Capita plc | (114,873 | ) | (241,448 | ) | (45,033 | ) | 10.9 | |||||||||
| Cobham plc | (148,584 | ) | (251,244 | ) | (17,784 | ) | 4.3 | |||||||||
| ConvaTec Group plc | (92,511 | ) | (258,268 | ) | (15,790 | ) | 3.8 | |||||||||
| easyJet plc | (4,908 | ) | (107,975 | ) | 1,336 | (0.3 | ) | |||||||||
| Experian plc | (14,919 | ) | (368,031 | ) | (66,974 | ) | 16.3 | |||||||||
| Imperial Brands plc | (4,004 | ) | (148,701 | ) | (4,271 | ) | 1.0 | |||||||||
| Inmarsat plc | (18,314 | ) | (132,431 | ) | (51,383 | ) | 12.5 | |||||||||
| John Wood Group plc | (20,516 | ) | (169,421 | ) | (17,181 | ) | 4.2 | |||||||||
| Just Eat plc | (16,417 | ) | (168,348 | ) | (16,327 | ) | 4.0 | |||||||||
| Micro Focus International plc | (8,442 | ) | (146,480 | ) | 3,430 | (0.8 | ) | |||||||||
| Old Mutual Ltd. | (61,076 | ) | (120,745 | ) | 41,999 | (10.2 | ) | |||||||||
| Petrofac Ltd. | (26,584 | ) | (204,220 | ) | (20,326 | ) | 4.9 | |||||||||
| Prudential plc | (45,054 | ) | (1,027,065 | ) | 41,587 | (10.1 | ) | |||||||||
| Reckitt Benckiser Group plc | (8,479 | ) | (696,676 | ) | (23,032 | ) | 5.6 | |||||||||
| Rolls-Royce Holdings plc | (21,000 | ) | (273,527 | ) | (29,470 | ) | 7.2 | |||||||||
| RSA Insurance Group plc | (30,660 | ) | (274,202 | ) | (10,661 | ) | 2.6 | |||||||||
| Serco Group plc | (231,781 | ) | (302,129 | ) | (23,225 | ) | 5.6 | |||||||||
| Standard Chartered plc | (55,360 | ) | (502,858 | ) | 19,528 | (4.7 | ) | |||||||||
| Tesco plc | (512,056 | ) | (1,732,591 | ) | (361,977 | ) | 87.9 | |||||||||
| Weir Group plc (The) | (5,574 | ) | (146,386 | ) | (1,212 | ) | 0.3 | |||||||||
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.84% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | 59-61 months maturity 04/12/2023 - 06/30/2023 | $407,233,074 | $(10,642,313 | ) | $(575,697 | ) | $(11,218,010 | ) | |||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Aflac, Inc. | 66,241 | $ | 2,849,688 | $ | (39,963 | ) | 0.4 | % | ||||||||
| Allstate Corp. (The) | 21,881 | 1,997,079 | (98,387 | ) | 0.9 | |||||||||||
| Amazon.com, Inc. | 1,256 | 2,134,949 | 334,000 | (3.0 | ) | |||||||||||
| Anthem, Inc. | 12,630 | 3,006,319 | 191,471 | (1.7 | ) | |||||||||||
| Best Buy Co., Inc. | 31,564 | 2,354,043 | 150,245 | (1.3 | ) | |||||||||||
| Biogen, Inc. | 14,510 | 4,211,382 | 393,388 | (3.5 | ) | |||||||||||
| Booking Holdings, Inc. | 2,004 | 4,062,288 | (52,149 | ) | 0.5 | |||||||||||
| Consolidated Edison, Inc. | 32,480 | 2,532,790 | 18,963 | (0.2 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
220
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| United States (continued) | ||||||||||||||||
| eBay, Inc. | 85,082 | $ | 3,085,073 | $ | (222,915 | ) | 2.0 | % | ||||||||
| Estee Lauder Cos., Inc. (The) | 19,533 | 2,787,164 | (127,116 | ) | 1.1 | |||||||||||
| Exelon Corp. | 78,283 | 3,334,856 | 274,406 | (2.4 | ) | |||||||||||
| Facebook, Inc. | 22,980 | 4,465,474 | 794,780 | (7.1 | ) | |||||||||||
| FedEx Corp. | 11,304 | 2,566,686 | (216,042 | ) | 1.9 | |||||||||||
| Gilead Sciences, Inc. | 40,838 | 2,892,964 | (120,880 | ) | 1.1 | |||||||||||
| Humana, Inc. | 6,658 | 1,981,621 | 83,781 | (0.7 | ) | |||||||||||
| Huntington Ingalls Industries, Inc. | 10,424 | 2,259,819 | (420,608 | ) | 3.7 | |||||||||||
| Intel Corp. | 77,924 | 3,873,602 | 14,299 | (0.1 | ) | |||||||||||
| International Business Machines Corp. | 19,521 | 2,727,084 | (253,578 | ) | 2.3 | |||||||||||
| IQVIA Holdings, Inc. | 29,685 | 2,963,157 | 127,778 | (1.1 | ) | |||||||||||
| Kohl’s Corp. | 36,572 | 2,666,099 | 346,337 | (3.1 | ) | |||||||||||
| LyondellBasell Industries NV | 34,367 | 3,775,215 | 358,104 | (3.2 | ) | |||||||||||
| Micron Technology, Inc. | 84,451 | 4,428,610 | 378,750 | (3.4 | ) | |||||||||||
| Netflix, Inc. | 5,462 | 2,137,991 | 486,672 | (4.3 | ) | |||||||||||
| Northrop Grumman Corp. | 7,236 | 2,226,517 | (288,644 | ) | 2.6 | |||||||||||
| Oracle Corp. | 65,012 | 2,864,429 | (54,377 | ) | 0.5 | |||||||||||
| Pfizer, Inc. | 54,765 | 1,986,874 | 44,907 | (0.4 | ) | |||||||||||
| Raytheon Co. | 16,731 | 3,232,095 | (399,732 | ) | 3.6 | |||||||||||
| Skyworks Solutions, Inc. | 27,818 | 2,688,610 | 17,385 | (0.2 | ) | |||||||||||
| Spirit AeroSystems Holdings, Inc. | 23,620 | 2,029,194 | 154,947 | (1.4 | ) | |||||||||||
| Valero Energy Corp. | 24,079 | 2,668,676 | 198,961 | (1.8 | ) | |||||||||||
| Walmart, Inc. | 32,766 | 2,806,408 | (20,508 | ) | 0.2 | |||||||||||
| Western Digital Corp. | 31,228 | 2,417,359 | (348,192 | ) | 3.1 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| United States | ||||||||||||||||
| Advanced Micro Devices, Inc. | (258,661 | ) | (3,877,328 | ) | (1,412,289 | ) | 12.6 | |||||||||
| BioMarin Pharmaceutical, Inc. | (28,020 | ) | (2,639,484 | ) | (414,737 | ) | 3.7 | |||||||||
| CenturyLink, Inc. | (214,065 | ) | (3,990,172 | ) | (270,377 | ) | 2.4 | |||||||||
| Charter Communications, Inc. | (10,550 | ) | (3,093,366 | ) | 36,629 | (0.3 | ) | |||||||||
| Cheniere Energy, Inc. | (45,527 | ) | (2,967,905 | ) | (504,894 | ) | 4.5 | |||||||||
| Envision Healthcare Corp. | (52,673 | ) | (2,318,139 | ) | (281,274 | ) | 2.5 | |||||||||
| First Data Corp. | (167,946 | ) | (3,515,110 | ) | (893,473 | ) | 8.0 | |||||||||
| FirstEnergy Corp. | (109,895 | ) | (3,946,329 | ) | (194,514 | ) | 1.7 | |||||||||
| General Electric Co. | (258,112 | ) | (3,512,904 | ) | (113,938 | ) | 1.0 | |||||||||
| Hess Corp. | (62,687 | ) | (4,193,133 | ) | (958,484 | ) | 8.5 | |||||||||
| Kraft Heinz Co. (The) | (44,965 | ) | (2,824,701 | ) | (191,513 | ) | 1.7 | |||||||||
| Mattel, Inc. | (133,385 | ) | (2,190,182 | ) | (442,838 | ) | 3.9 | |||||||||
| ONEOK, Inc. | (45,025 | ) | (3,144,096 | ) | (588,927 | ) | 5.2 | |||||||||
| Philip Morris International, Inc. | (47,704 | ) | (3,851,621 | ) | 336,598 | (3.0 | ) | |||||||||
| Sealed Air Corp. | (58,373 | ) | (2,477,934 | ) | 25,100 | (0.2 | ) | |||||||||
| Tesla, Inc. | (15,102 | ) | (5,179,231 | ) | (830,974 | ) | 7.4 | |||||||||
| Vulcan Materials Co. | (27,419 | ) | (3,538,696 | ) | (432,216 | ) | 3.9 | |||||||||
| Williams Cos., Inc. (The) | (86,326 | ) | (2,340,298 | ) | (208,590 | ) | 1.9 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
221
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
ABSOLUTE NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
NET CASH AND OTHER RECEIVABLES (PAYABLES) |
VALUE (Note 5) |
||||||||||||||
| GSIN | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread (-0.65% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | 1-61 months maturity 06/30/2023 | $30,434,381 | $(234,397 | ) | $62,671 | $(171,726 | ) | ||||||||||||
|
|
|
|||||||||||||||||||
The following table represents required component disclosures associated with the total return basket swap as of period end.
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| Long Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Air France-KLM | 54,632 | $ | 446,463 | $ | (128,605 | ) | 74.9 | % | ||||||||
| Atos SE | 4,200 | 571,103 | 14,642 | (8.5 | ) | |||||||||||
| Cie Generale des Etablissements Michelin SCA | 5,998 | 725,627 | (108,689 | ) | 63.3 | |||||||||||
| CNP Assurances | 7,553 | 171,601 | (13,977 | ) | 8.1 | |||||||||||
| Dassault Systemes SE | 736 | 102,998 | 7,524 | (4.4 | ) | |||||||||||
| Electricite de France SA | 9,518 | 130,605 | 451 | (0.3 | ) | |||||||||||
| Engie SA | 102,961 | 1,574,943 | (105,466 | ) | 61.4 | |||||||||||
| Lagardere SCA | 5,709 | 150,422 | (4,939 | ) | 2.9 | |||||||||||
| Peugeot SA | 42,289 | 963,567 | (11,515 | ) | 6.7 | |||||||||||
| Renault SA | 16,523 | 1,399,853 | (440,581 | ) | 256.6 | |||||||||||
| Teleperformance | 1,951 | 344,343 | 58,913 | (34.3 | ) | |||||||||||
| Thales SA | 5,568 | 716,345 | 59,651 | (34.7 | ) | |||||||||||
| TOTAL SA | 37,115 | 2,253,837 | 136,247 | (79.3 | ) | |||||||||||
| Veolia Environnement SA | 5,486 | 117,230 | (6,891 | ) | 4.0 | |||||||||||
| Germany | ||||||||||||||||
| Bayerische Motoren Werke AG | 7,982 | 721,513 | (97,131 | ) | 56.6 | |||||||||||
| Covestro AG | 11,910 | 1,058,604 | (41,050 | ) | 23.9 | |||||||||||
| Daimler AG (Registered) | 9,894 | 633,781 | (104,707 | ) | 61.0 | |||||||||||
| Evonik Industries AG | 6,710 | 229,574 | 3,063 | (1.8 | ) | |||||||||||
| Hannover Rueck SE | 2,975 | 369,857 | (25,185 | ) | 14.7 | |||||||||||
| HOCHTIEF AG | 1,375 | 247,958 | 8,773 | (5.1 | ) | |||||||||||
| Rheinmetall AG | 4,054 | 446,031 | (106,258 | ) | 61.9 | |||||||||||
| RWE AG | 8,244 | 187,341 | (1,279 | ) | 0.7 | |||||||||||
| Salzgitter AG | 5,687 | 247,430 | (18,415 | ) | 10.7 | |||||||||||
| Software AG | 8,147 | 378,650 | (28,915 | ) | 16.8 | |||||||||||
| Suedzucker AG | 18,923 | 300,778 | 3,619 | (2.1 | ) | |||||||||||
| Talanx AG | 6,284 | 228,924 | (35,005 | ) | 20.4 | |||||||||||
| Volkswagen AG (Preference) | 6,004 | 991,922 | (156,845 | ) | 91.3 | |||||||||||
| Short Positions | ||||||||||||||||
| Common Stock | ||||||||||||||||
| France | ||||||||||||||||
| Accor SA | (16,981 | ) | (831,660 | ) | 41,162 | (24.0 | ) | |||||||||
| Air Liquide SA | (815 | ) | (102,156 | ) | (5,958 | ) | 3.5 | |||||||||
| Airbus SE | (20,314 | ) | (2,370,539 | ) | (134,382 | ) | 78.3 | |||||||||
| Bollore SA | (40,917 | ) | (190,016 | ) | 21,014 | (12.2 | ) | |||||||||
| Carrefour SA | (35,164 | ) | (567,228 | ) | 111,486 | (64.9 | ) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
| REFERENCE ENTITY | SHARES | NOTIONAL VALUE |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
PERCENTAGE OF SWAP VALUE |
||||||||||||
| France (continued) | ||||||||||||||||
| Danone SA | (1,539 | ) | $ | (112,366 | ) | $ (2,401 | ) | 1.4 | % | |||||||
| Edenred | (25,568 | ) | (807,609 | ) | 26,981 | (15.7 | ) | |||||||||
| Iliad SA | (3,775 | ) | (595,639 | ) | 99,263 | (57.8 | ) | |||||||||
| Ingenico Group SA | (6,887 | ) | (617,518 | ) | (80,666 | ) | 47.0 | |||||||||
| JCDecaux SA | (5,080 | ) | (169,630 | ) | (296 | ) | 0.2 | |||||||||
| Remy Cointreau SA | (1,786 | ) | (231,223 | ) | 17,649 | (10.3 | ) | |||||||||
| Vivendi SA | (70,101 | ) | (1,714,874 | ) | 31,180 | (18.2 | ) | |||||||||
| Germany | ||||||||||||||||
| Commerzbank AG | (96,357 | ) | (919,183 | ) | 233,432 | (135.9 | ) | |||||||||
| Deutsche Bank AG (Registered) | (217,739 | ) | (2,329,475 | ) | 575,968 | (335.4 | ) | |||||||||
| Deutsche Telekom AG (Registered) | (24,930 | ) | (385,279 | ) | 7,023 | (4.1 | ) | |||||||||
| GEA Group AG | (3,331 | ) | (112,182 | ) | 21,595 | (12.6 | ) | |||||||||
| LANXESS AG | (1,372 | ) | (106,667 | ) | (8,142 | ) | 4.7 | |||||||||
| ProSiebenSat.1 Media SE | (7,306 | ) | (184,878 | ) | 64,215 | (37.4 | ) | |||||||||
| Telefonica Deutschland Holding AG | (80,009 | ) | (314,752 | ) | 35,791 | (20.8 | ) | |||||||||
| Zalando SE | (2,784 | ) | (155,158 | ) | (10,222 | ) | 6.0 | |||||||||
| Luxembourg | ||||||||||||||||
| Eurofins Scientific SE | (333 | ) | (184,685 | ) | (16,832 | ) | 9.8 | |||||||||
| SES SA | (5,229 | ) | (95,585 | ) | (24,780 | ) | 14.4 | |||||||||
| United States | ||||||||||||||||
| QIAGEN NV | (7,349 | ) | (266,395 | ) | (46,298 | ) | 27.0 | |||||||||
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $6,121,249 | $6,121,249 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 1,680,362 | — | 1,680,362 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 3,893,187 | 3,893,187 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 48,919,631 | — | 48,919,631 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Cash | (26,166 | ) | — | (26,166 | ) | |||||||
| Investment Companies | 3,816,166 | — | 3,816,166 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 2,805,960 | 2,805,960 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 290,000 | — | 290,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 494,120 | 494,120 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Cash | 3,553,038 | — | 3,553,038 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $675,186 | $— | $675,186 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 176,584 | 176,584 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 30,000 | — | 30,000 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 246,190 | 246,190 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (838,684 | ) | (838,684 | ) | |||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 100,000 | — | 100,000 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
The following abbreviations are used for counterparty descriptions:
BANA - Bank of America, NA
BARC - Barclays Capital, Inc.
CITG - Citigroup Global Markets, Inc.
CITI - Citibank NA
CRSU - Credit Suisse Securities (USA) LLC
DTBK - Deutsche Bank AG
GSCO - Goldman Sachs & Co.
GSIN - Goldman Sachs International
JPMC - J.P. Morgan Chase Bank, NA
JPMS - J.P. Morgan Securities LLC
JPPC - J.P. Morgan Securities plc
MACQ - Macquarie Bank Ltd.
MLIN - Merrill Lynch International
MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.
MSCL - Morgan Stanley & Co. LLC
MSCS - Morgan Stanley Capital Services LLC
MSIP - Morgan Stanley & Co. International plc
SOCG - Societe Generale
The following reference rates, and their values as of period-end, are used for security descriptions:
Australian Bank-Bill Reference Rate (“BBR”): 2.02%
Australian Overnight Indexed Swap Rate (“AOISR”):2.11%
Bank of Japan Estimate Unsecured Overnight Call Rate: -0.00%
Brazilian Interbank Certificate of Deposit (“CDI”): 6.39%
CAD/USD Overnight Forward FX Swap Rate: 1.67%
Canadian Dollar Offered Rate (“CDOR”): 1.67%
Canadian Overnight Repurchase Rate: 1.28%
CHF London Interbank Offered Rate (“LIBOR”): -0.78%
Copenhagen Interbank Offered Rate: -0.37%
EUR/USD 1 Week Forward Swap Rate: -0.38%
Euro Interbank Offered Rate (“EURIBOR”): -0.37%
Euro Overnight Index Average (“EONIA”): -0.36%
Federal Funds Floating Rate: 1.91%
GBP London Interbank Offered Rate (“LIBOR”): 0.50%
GBP/USD 1 Week Forward FX Swap Rate: 4.10%
HKD/USD 1 Month Forward FX Swap Rate: 2.01%
Hong Kong Interbank Offered Rate (“HIBOR”): 2.01 %
Hong Kong Overnight Index Average (“HONIA”): 2.95%
Johannesburg Interbank Offered Rate: 6.73%
JPY London Interbank Offered Rate (“LIBOR”): -0.07%
JPY/USD 1 Week Forward Swap Rate: -0.07%
London Interbank Offered Rate (“LIBOR”): 2.09%
Mexico Equilibrium Interbank Interest Rate: 8.10%
Norway Interbank Offered Rate: 0.77%
Overnight Bank Funding Rate: 1.90%
Rand Overnight Deposit Rate: 0.46%
Reserve Bank of Australia Cash Rate: 1.50%
Swiss Average Rate Overnight (“SARON”): -0.73%
Singapore Interbank Offered Rate (“SIBOR”): 1.40%
Singapore Swap Offered Rate (“SOR”): 1.38%
Sterling Overnight Index Average (“SONIA”): 0.44%
Stockholm Interbank Offered Rate (“STIBOR”): -0.47%
Tokyo Overnight Average Rate: -0.10%
Tomorrow/Next Overnight Indexed Swaps: -0.49%
Warsaw Interbank Offered Rate: 1.54%
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
225
Table of Contents
| Statements of Assets and Liabilities | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
AQR DIVERSIFIED FUND |
AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL FUND** |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 384,793,497 | $ | 554,786,305 | $ | 1,140,246,397 | $ | 32,726,918 | ||||||||
| Investments in securities of affiliated issuers, at cost | — | 9,801,771 | — | — | ||||||||||||
| Investments in securities of controlled affiliated issuers, at cost | — | — | 904,339,661 | — | ||||||||||||
| Investments in securities of unaffiliated issuers, at value | $ | 387,514,911 | $ | 552,423,189 | $ | 1,197,183,666 | $ | 32,731,936 | ||||||||
| Investments in securities of affiliated issuers, at value | — | 11,226,790 | — | — | ||||||||||||
| Investments in securities of controlled affiliated issuers, at value | — | — | 904,482,994 | — | ||||||||||||
| Cash | 492,283 | 3,781,414 | 125,185 | — | ||||||||||||
| Cash denominated in foreign currencies‡ | 484,791 | 1,082,191 | 3,248,550 | 49,880 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 1,379,260 | 94,325 | 1,278,012 | 794,342 | ||||||||||||
| Unrealized appreciation on OTC swaps | 80,847 | 10,131,549 | 1,170,641 | 38,548 | ||||||||||||
| Deposits for securities sold short | 9,861,136 | 17,437,294 | — | — | ||||||||||||
| Deposits for written options contracts | 12,219,550 | — | — | — | ||||||||||||
| Due from broker | 9,308,823 | — | 391,517,551 | 69,877 | ||||||||||||
| Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $—, $(907,540), $— and $118,321, respectively) | — | 422,635 | — | 800,878 | ||||||||||||
| Deposits with brokers for futures contracts | 3,943,038 | 2,606,433 | 907 | 2,635,849 | ||||||||||||
| Variation margin on centrally cleared swaps | — | 26,558 | — | 22,341 | ||||||||||||
| Variation margin on futures contracts | 326,863 | 22,219 | — | 44,743 | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
173,809,101 | 13,918,039 | 28,898,464 | 18,436 | ||||||||||||
| Foreign tax reclaims |
49,128 | 52,072 | 1,112,907 | — | ||||||||||||
| Dividends and interest |
300,041 | 1,740,488 | 2,208,537 | 23,062 | ||||||||||||
| Capital shares sold |
974,939 | 1,158,790 | 1,563,525 | 68,975 | ||||||||||||
| Prepaid expenses | 64,243 | 38,268 | 124,847 | 33,834 | ||||||||||||
| Total Assets | 600,808,954 | 616,162,254 | 2,532,915,786 | 37,332,701 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Securities sold short, at value (proceeds $190,658,442, $97,119,367, $479,619,383 and $—, respectively) | 187,008,182 | 119,721,074 | 451,348,135 | — | ||||||||||||
| Option contracts written, at value (proceeds $721,439, $—, $— and $—, respectively) | 582,371 | — | — | — | ||||||||||||
| Due to custodian | — | — | — | 50,012 | ||||||||||||
| Due to broker | — | 6,838,042 | 640,000 | 41,682 | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 2,200,172 | 14,964 | 544,975 | 702,932 | ||||||||||||
| Unrealized depreciation on OTC swaps | 813,977 | 828,741 | 79,375,211 | 64,990 | ||||||||||||
| Deposits from brokers for futures contracts | — | — | 2 | — | ||||||||||||
| Variation margin on futures contracts | 160,020 | 96,925 | — | 11,390 | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
189,090,931 | 19,751,769 | 31,827,191 | 18,411 | ||||||||||||
| Accrued investment advisory fees |
165,476 | 353,617 | 1,886,853 | 21,964 | ||||||||||||
| Accrued distribution fees—Class N |
706 | 17,064 | 61,110 | 1,005 | ||||||||||||
| Accrued Trustee fees |
220 | 5 | 440 | 37 | ||||||||||||
| Capital shares redeemed |
280,749 | 508,109 | 3,858,283 | — | ||||||||||||
| Dividends and interest payable on securities sold short |
222,003 | 234,707 | 571,886 | — | ||||||||||||
| Other accrued expenses and liabilities | 49,434 | 381,312 | 820,064 | 95,461 | ||||||||||||
| Total Liabilities | 380,574,241 | 148,746,329 | 570,934,150 | 1,007,884 | ||||||||||||
| Commitments and contingent liabilities* | ||||||||||||||||
| Net Assets | $ | 220,234,713 | $ | 467,415,925 | $ | 1,961,981,636 | $ | 36,324,817 | ||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 233,414,491 | $ | 785,471,481 | $ | 2,109,356,124 | $ | 35,505,250 | ||||||||
| Undistributed accumulated net investment income (loss) | (259,132 | ) | (19,392,498 | ) | (76,502,591 | ) | (85,789 | ) | ||||||||
| Undistributed accumulated net realized gain (loss) | (17,470,384 | ) | (285,320,072 | ) | (79,027,423 | ) | 15,740 | |||||||||
| Net unrealized appreciation (depreciation) | 4,549,738 | (13,342,986 | ) | 8,155,526 | 889,616 | |||||||||||
| Net Assets | $ | 220,234,713 | $ | 467,415,925 | $ | 1,961,981,636 | $ | 36,324,817 | ||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $ | 141,828,582 | $ | 367,246,783 | $ | 1,383,765,416 | $ | 16,260,872 | ||||||||
| Class N | 4,956,594 | 85,064,697 | 284,072,644 | 4,963,741 | ||||||||||||
| Class R6 | 73,449,537 | 15,104,445 | 294,143,576 | 15,100,204 | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 15,350,676 | 38,896,587 | 123,541,646 | 1,723,158 | ||||||||||||
| Class N | 537,139 | 9,015,887 | 25,464,448 | 532,207 | ||||||||||||
| Class R6 | 7,938,001 | 1,602,260 | 26,237,934 | 1,599,550 | ||||||||||||
| NET ASSET VALUE: | ||||||||||||||||
| Class I | $ | 9.24 | $ | 9.44 | $ | 11.20 | $ | 9.44 | ||||||||
| Class N | $ | 9.23 | $ | 9.43 | $ | 11.16 | $ | 9.33 | ||||||||
| Class R6 |
$ | 9.25 | $ | 9.43 | $ | 11.21 | $ | 9.44 | ||||||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 482,827 | $ | 1,122,597 | $ | 3,281,524 | $ | 52,065 | ||||||||
| * | AQR Diversified Arbitrage Fund |
| ** | 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 2018 | ||||||||||||||
226
Table of Contents
| Statements of Assets and Liabilities | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
AQR MULTI- STRATEGY ALTERNATIVE FUND** |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 5,262,904,201 | $ | 1,980,965,743 | $ | 303,000,686 | $ | 377,926,573 | ||||||||
| Investments in securities of controlled affiliated issuers, at cost | 1,703,263,463 | 916,898,529 | — | — | ||||||||||||
| Investments in securities of unaffiliated issuers, at value | $ | 5,352,563,885 | $ | 2,146,031,322 | $ | 303,032,830 | $ | 377,902,149 | ||||||||
| Investments in securities of controlled affiliated issuers, at value | 1,703,560,950 | 917,074,447 | — | — | ||||||||||||
| Cash | 2,697,865 | 10,530,159 | 320,579 | 76,780 | ||||||||||||
| Cash denominated in foreign currencies‡ | 8,349,773 | 18,106,796 | — | 800,460 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 1,287,463 | 33,986,679 | — | 1,653,580 | ||||||||||||
| Unrealized appreciation on OTC swaps | 41,025,273 | 30,614,259 | 959,730 | 976,134 | ||||||||||||
| Deposits for securities sold short | — | 97,623,281 | — | — | ||||||||||||
| Due from broker | 402,530,262 | 37,127,903 | 3,711,473 | 3,845,181 | ||||||||||||
| Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $—, $12,640,604, $— and $14,244,672, respectively) | — | 9,739,495 | — | 12,986,402 | ||||||||||||
| Deposits with brokers for futures contracts | 38,606,449 | 71,943,047 | 28,214,825 | 11,111,021 | ||||||||||||
| Variation margin on centrally cleared swaps | — | 45,830 | — | 332,531 | ||||||||||||
| Variation margin on futures contracts | 6,074,672 | 10,770,405 | 2,988,563 | 1,415,160 | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
133,469,555 | 173,021,579 | — | 386,186 | ||||||||||||
| Foreign tax reclaims |
1,417,628 | 359,658 | — | — | ||||||||||||
| Dividends and interest |
4,468,726 | 5,497,392 | 233,896 | 433,529 | ||||||||||||
| Capital shares sold |
5,690,133 | 1,103,511 | 247,423 | 937,823 | ||||||||||||
| Prepaid expenses | 162,322 | 72,816 | 45,966 | 58,697 | ||||||||||||
| Total Assets | 7,701,904,956 | 3,563,648,579 | 339,755,285 | 412,915,633 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Securities sold short, at value (proceeds $1,836,909,055, $453,613,990, $— and $—, respectively) | 1,936,429,981 | 595,538,769 | — | — | ||||||||||||
| Due to broker | — | 4,099,617 | — | 519,718 | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 12,543,799 | 35,429,881 | — | 2,346,273 | ||||||||||||
| Unrealized depreciation on OTC swaps | 309,757,800 | 162,447,684 | 4,924,993 | 3,253,791 | ||||||||||||
| Deposits from brokers for futures contracts | — | — | — | 1,216 | ||||||||||||
| Variation margin on futures contracts | — | 1,580,156 | 109,390 | 55,901 | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
128,774,876 | 177,118,300 | — | 386,120 | ||||||||||||
| Accrued investment advisory fees |
5,151,738 | 3,970,195 | 223,903 | 246,282 | ||||||||||||
| Accrued distribution fees—Class N |
62,675 | 89,764 | 7,065 | 3,230 | ||||||||||||
| Accrued Trustee fees |
1,103 | 1,013 | 243 | 199 | ||||||||||||
| Capital shares redeemed |
17,615,479 | 4,871,493 | 504,999 | 139,414 | ||||||||||||
| Dividends and interest payable on securities sold short |
2,255,623 | 542,495 | — | — | ||||||||||||
| Other accrued expenses and liabilities | 2,013,374 | 955,672 | 139,224 | 250,415 | ||||||||||||
| Total Liabilities | 2,414,606,448 | 986,645,039 | 5,909,817 | 7,202,559 | ||||||||||||
| Net Assets | $ | 5,287,298,508 | $ | 2,577,003,540 | $ | 333,845,468 | $ | 405,713,074 | ||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 5,527,314,913 | $ | 3,026,975,405 | $ | 329,866,392 | $ | 396,996,083 | ||||||||
| Undistributed accumulated net investment income (loss) | (240,371,764 | ) | (185,797,938 | ) | 13,647,649 | 831,674 | ||||||||||
| Undistributed accumulated net realized gain (loss) | 332,445,339 | (154,923,529 | ) | 7,344,865 | 12,183,482 | |||||||||||
| Net unrealized appreciation (depreciation) | (332,089,980 | ) | (109,250,398 | ) | (17,013,438 | ) | (4,298,165 | ) | ||||||||
| Net Assets | $ | 5,287,298,508 | $ | 2,577,003,540 | $ | 333,845,468 | $ | 405,713,074 | ||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $ | 4,135,232,719 | $ | 1,566,088,097 | $ | 141,121,068 | $ | 357,173,550 | ||||||||
| Class N | 280,362,948 | 430,354,188 | 34,150,468 | 15,953,002 | ||||||||||||
| Class R6 | 871,702,841 | 580,561,255 | 158,573,932 | 32,586,522 | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 324,515,685 | 188,919,941 | 21,252,096 | 37,030,515 | ||||||||||||
| Class N | 22,165,214 | 52,255,999 | 5,218,880 | 1,660,371 | ||||||||||||
| Class R6 | 68,243,557 | 69,925,537 | 23,801,596 | 3,376,122 | ||||||||||||
| NET ASSET VALUE: | ||||||||||||||||
| Class I | $ | 12.74 | $ | 8.29 | $ | 6.64 | $ | 9.65 | ||||||||
| Class N | $ | 12.65 | $ | 8.24 | $ | 6.54 | $ | 9.61 | ||||||||
| Class R6 |
$ | 12.77 | $ | 8.30 | $ | 6.66 | $ | 9.65 | ||||||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 8,468,088 | $ | 18,372,807 | $ | — | $ | 874,268 | ||||||||
| ** | 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 2018 | ||||||||||||||
227
Table of Contents
| Statements of Assets and Liabilities | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND** |
AQR RISK PARITY II MV FUND** |
AQR STYLE PREMIA ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE LV FUND** |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 53,556,381 | $ | 71,774,592 | $ | 5,027,574,901 | $ | 529,592,217 | ||||||||
| Investments in securities of controlled affiliated issuers, at cost | — | — | 1,132,807,112 | — | ||||||||||||
| Investments in securities of unaffiliated issuers, at value | $ | 53,699,164 | $ | 71,786,399 | $ | 5,081,186,851 | $ | 537,836,115 | ||||||||
| Investments in securities of controlled affiliated issuers, at value | — | — | 1,133,076,465 | — | ||||||||||||
| Cash | — | — | 30,302,575 | 1,095,595 | ||||||||||||
| Cash denominated in foreign currencies‡ | 51,869 | 44,764 | 28,387,967 | 1,296,828 | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 81,453 | 87,428 | 56,934,057 | 2,738,325 | ||||||||||||
| Unrealized appreciation on OTC swaps | 97,709 | 92,673 | 36,761,514 | 549,657 | ||||||||||||
| Deposits for securities sold short | — | — | — | 1,798,334 | ||||||||||||
| Due from broker | 700,168 | 771,439 | 235,873,345 | 3,734,785 | ||||||||||||
| Deposits with brokers for futures contracts | 3,224,929 | 2,657,927 | 172,744,588 | 16,344,637 | ||||||||||||
| Variation margin on futures contracts | 314,173 | 298,412 | 12,279,118 | 403,560 | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
20,588 | 46,274 | 49,219,190 | 13,487,533 | ||||||||||||
| Foreign tax reclaims |
— | — | 2,568,373 | 116,456 | ||||||||||||
| Dividends and interest |
61,944 | 82,256 | 4,176,635 | 504,222 | ||||||||||||
| Capital shares sold |
20 | — | 5,998,881 | 612,909 | ||||||||||||
| Prepaid expenses | 24,511 | 24,160 | 135,125 | 29,188 | ||||||||||||
| Total Assets | 58,276,528 | 75,891,732 | 6,849,644,684 | 580,548,144 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Securities sold short, at value (proceeds $—, $—, $1,565,755,880 and $65,118,689, respectively) | — | — | 1,701,504,356 | 66,446,684 | ||||||||||||
| Reverse repurchase agreements, at value | 12,053,090 | — | — | — | ||||||||||||
| Due to custodian | 99,971 | 75,117 | — | — | ||||||||||||
| Due to broker | 76,748 | 105,160 | 5,194,432 | 32,303 | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 11,464 | 11,187 | 72,884,683 | 3,315,483 | ||||||||||||
| Unrealized depreciation on OTC swaps | 545,920 | 547,881 | 152,035,153 | 12,701,307 | ||||||||||||
| Deposits from brokers for futures contracts | — | 7,734 | — | — | ||||||||||||
| Variation margin on futures contracts | 11,802 | 14,644 | 6,992,535 | 1,510,459 | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
20,581 | 46,258 | 62,107,864 | 13,545,594 | ||||||||||||
| Accrued investment advisory fees |
20,424 | 33,529 | 5,446,257 | 259,812 | ||||||||||||
| Accrued distribution fees—Class N |
2,094 | 571 | 34,323 | 5,597 | ||||||||||||
| Accrued Trustee fees |
15 | — | 632 | 119 | ||||||||||||
| Capital shares redeemed |
— | 14,575 | 5,266,815 | 370,695 | ||||||||||||
| Dividends and interest payable on securities sold short |
— | — | 2,678,385 | 92,777 | ||||||||||||
| Interest payable for reverse repurchase agreements |
12,302 | — | — | — | ||||||||||||
| Other accrued expenses and liabilities | 86,501 | 83,317 | 1,158,581 | 255,617 | ||||||||||||
| Total Liabilities | 12,940,912 | 939,973 | 2,015,304,016 | 98,536,447 | ||||||||||||
| Net Assets | $ | 45,335,616 | $ | 74,951,759 | $ | 4,834,340,668 | $ | 482,011,697 | ||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 43,090,410 | $ | 72,328,754 | $ | 5,013,083,974 | $ | 488,821,983 | ||||||||
| Undistributed accumulated net investment income (loss) | 185,600 | 521,295 | (171,458,263 | ) | (7,425,656 | ) | ||||||||||
| Undistributed accumulated net realized gain (loss) | 1,896,042 | 2,049,372 | 173,360,904 | 4,079,335 | ||||||||||||
| Net unrealized appreciation (depreciation) | 163,564 | 52,338 | (180,645,947 | ) | (3,463,965 | ) | ||||||||||
| Net Assets | $ | 45,335,616 | $ | 74,951,759 | $ | 4,834,340,668 | $ | 482,011,697 | ||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $ | 34,372,991 | $ | 71,498,847 | $ | 3,025,751,073 | $ | 366,160,435 | ||||||||
| Class N | 10,070,279 | 2,772,897 | 162,724,467 | 26,934,348 | ||||||||||||
| Class R6 | 892,346 | 680,015 | 1,645,865,128 | 88,916,914 | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 3,889,364 | 7,705,928 | 314,532,686 | 35,877,073 | ||||||||||||
| Class N | 1,144,223 | 301,164 | 16,994,017 | 2,651,227 | ||||||||||||
| Class R6 | 100,915 | 73,252 | 170,658,235 | 8,693,499 | ||||||||||||
| NET ASSET VALUE: | ||||||||||||||||
| Class I | $ | 8.84 | $ | 9.28 | $ | 9.62 | $ | 10.21 | ||||||||
| Class N | $ | 8.80 | $ | 9.21 | $ | 9.58 | $ | 10.16 | ||||||||
| Class R6 |
$ | 8.84 | $ | 9.28 | $ | 9.64 | $ | 10.23 | ||||||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 52,279 | $ | 45,066 | $ | 28,577,738 | $ | 1,297,496 | ||||||||
| ** | 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 2018 | ||||||||||||||
228
Table of Contents
| Statements of Operations | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE RISK PREMIA FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL MACRO FUND** |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income: |
||||||||||||||||
| Unaffiliated issuers† |
$ | 2,092,184 | $ | 1,742,430 | $ | 11,993,343 | $ | 115,404 | ||||||||
| Controlled affiliated issuers |
— | — | 8,060,136 | — | ||||||||||||
| Interest income |
— | 4,097,626 | 4,038,365 | 98,791 | ||||||||||||
| Non-cash dividend income from non-affiliates |
— | 1,896,000 | 1,246,748 | — | ||||||||||||
| Total Income | 2,092,184 | 7,736,056 | 25,338,592 | 214,195 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees |
778,901 | 2,265,768 | 12,322,917 | 192,754 | ||||||||||||
| Custody fees |
7,674 | — | 23,693 | 27,332 | ||||||||||||
| Administration & accounting fees |
14,890 | 55,474 | 293,085 | 4,331 | ||||||||||||
| Legal fees |
1,511 | 42,392 | 21,544 | 342 | ||||||||||||
| Audit & tax fees |
32,658 | 92,834 | 50,575 | 54,708 | ||||||||||||
| Shareholder reporting fees |
6,575 | 22,003 | 83,494 | 1,187 | ||||||||||||
| Transfer agent fees |
44,172 | 224,562 | 912,726 | 15,821 | ||||||||||||
| Trustee fees |
5,185 | 9,952 | 38,600 | 3,408 | ||||||||||||
| Offering costs |
22,938 | — | — | — | ||||||||||||
| Distribution fees—Class N |
3,576 | 98,167 | 426,978 | 5,272 | ||||||||||||
| Dividends and interest on securities sold short (Note 4) |
1,409,891 | 1,853,733 | 10,504,841 | — | ||||||||||||
| Recoupment of waiver |
— | 13,477 | 23,990 | — | ||||||||||||
| Registration fees |
37,643 | 24,920 | 101,319 | 20,131 | ||||||||||||
| Pricing fee |
1,301 | 98,951 | 11,428 | 2,990 | ||||||||||||
| Other expenses |
2,815 | 45,288 | 29,224 | 1,285 | ||||||||||||
| Total Expenses | 2,369,730 | 4,847,521 | 24,844,414 | 329,561 | ||||||||||||
| Less fee waivers and/or reimbursements |
(75,975 | ) | (139,520 | ) | — | (108,255 | ) | |||||||||
| Net Expenses | 2,293,755 | 4,708,001 | 24,844,414 | 221,306 | ||||||||||||
| Net Investment Income (Loss) | (201,571 | ) | 3,028,055 | 494,178 | (7,111 | ) | ||||||||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
(4,528,537 | ) | 31,867,306 | 16,286,962 | (9,765 | ) | ||||||||||
| Transactions in investment securities of affiliated issuers |
— | (132,058 | ) | — | — | |||||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | — | (62,023 | ) | — | |||||||||||
| Settlement of foreign currency and foreign currency transactions |
(83,011 | ) | (76,237 | ) | 48,321 | (5,829 | ) | |||||||||
| Settlement of forward foreign currency contracts |
(1,309,402 | ) | 75,849 | 1,414,634 | (95,292 | ) | ||||||||||
| Expiration or closing of futures contracts |
(3,087,988 | ) | (1,512,623 | ) | (4,679,326 | ) | 1,178,466 | |||||||||
| Closed short positions in securities |
(8,049,768 | ) | (18,834,107 | ) | (26,429,841 | ) | — | |||||||||
| Expiration or closing of swap contracts |
(186,686 | ) | 5,476,102 | (34,991,089 | ) | 829,664 | ||||||||||
| Expiration or closing of option contracts written |
393,347 | 718 | — | — | ||||||||||||
| Net realized gain (loss) | (16,852,045 | ) | 16,864,950 | (48,412,362 | ) | 1,897,244 | ||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investment securities of unaffiliated issuers |
1,701,462 | (15,243,598 | ) | (35,781,848 | ) | 7,102 | ||||||||||
| Investment securities of affiliated issuers |
— | 809,530 | — | — | ||||||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | — | 145,895 | — | ||||||||||||
| Foreign currency and foreign currency transactions |
9,074 | (22,862 | ) | 148,411 | (6,803 | ) | ||||||||||
| Forward foreign currency exchange contracts |
(902,609 | ) | 189,421 | 1,608,006 | 229,847 | |||||||||||
| Futures contracts |
(117,951 | ) | 930,981 | (130,738 | ) | 125,889 | ||||||||||
| Short positions in securities |
4,441,428 | 9,350,922 | 44,701,575 | — | ||||||||||||
| Swap contracts |
(1,024,148 | ) | (173,695 | ) | (159,650,310 | ) | (103,447 | ) | ||||||||
| Option contracts written |
103,531 | — | — | — | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 4,210,787 | (4,159,301 | ) | (148,959,009 | ) | 252,588 | ||||||||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (12,641,258 | ) | 12,705,649 | (197,371,371 | ) | 2,149,832 | ||||||||||
| Net increase (decrease) in net assets resulting from operations | $ | (12,842,829 | ) | $ | 15,733,704 | $ | (196,877,193 | ) | $ | 2,142,721 | ||||||
|
† Net of foreign taxes withheld of |
$ | 114,102 | $ | 1,471 | $ | 1,887,007 | $ | — | ||||||||
| ** | 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 2018 | ||||||||||||||
229
Table of Contents
| Statements of Operations | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND |
AQR MULTI- STRATEGY ALTERNATIVE FUND** |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND** |
AQR PARITY FUND** |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income: |
||||||||||||||||
| Unaffiliated issuers† |
$ | 20,090,459 | $ | 12,465,111 | $ | 973,828 | $ | 1,135,552 | ||||||||
| Controlled affiliated issuers |
15,216,042 | 7,834,736 | — | — | ||||||||||||
| Interest income |
15,384,136 | 5,008,996 | 898,831 | 2,835,049 | ||||||||||||
| Total Income | 50,690,637 | 25,308,843 | 1,872,659 | 3,970,601 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees |
32,548,792 | 25,986,074 | 1,048,128 | 1,603,099 | ||||||||||||
| Custody fees |
11,073 | 76,880 | 6,222 | 12,967 | ||||||||||||
| Administration & accounting fees |
788,429 | 451,686 | 36,176 | 62,248 | ||||||||||||
| Legal fees |
55,178 | 134,129 | 3,274 | 1,550 | ||||||||||||
| Audit & tax fees |
58,917 | 103,020 | 44,644 | 57,825 | ||||||||||||
| Shareholder reporting fees |
210,043 | 128,668 | 8,164 | 16,585 | ||||||||||||
| Transfer agent fees |
2,268,030 | 1,075,310 | 73,833 | 189,366 | ||||||||||||
| Trustee fees |
95,850 | 49,023 | 7,277 | 9,880 | ||||||||||||
| Distribution fees—Class N |
455,260 | 556,231 | 28,525 | 20,237 | ||||||||||||
| Dividends and interest on securities sold short (Note 4) |
14,904,217 | 6,121,117 | — | — | ||||||||||||
| Recoupment of waiver |
— | 24,508 | 859 | 14,798 | ||||||||||||
| Registration fees |
127,009 | 46,012 | 26,191 | 30,797 | ||||||||||||
| Pricing fee |
11,444 | 13,803 | 36 | 1,582 | ||||||||||||
| Other expenses |
77,393 | 44,191 | 3,555 | 6,513 | ||||||||||||
| Total Expenses | 51,611,635 | 34,810,652 | 1,286,884 | 2,027,447 | ||||||||||||
| Less fee waivers and/or reimbursements |
— | — | (12,186 | ) | (7,100 | ) | ||||||||||
| Net Expenses | 51,611,635 | 34,810,652 | 1,274,698 | 2,020,347 | ||||||||||||
| Net Investment Income (Loss) | (920,998 | ) | (9,501,809 | ) | 597,961 | 1,950,254 | ||||||||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
117,801,336 | 19,100,341 | (11,732 | ) | 430,589 | |||||||||||
| Transactions in investment securities of controlled affiliated issuers |
(150,077 | ) | (80,371 | ) | — | — | ||||||||||
| Settlement of foreign currency and foreign currency transactions |
527,016 | (539,921 | ) | — | (380,196 | ) | ||||||||||
| Settlement of forward foreign currency contracts |
(15,825,489 | ) | (13,053,601 | ) | — | (551,713 | ) | |||||||||
| Expiration or closing of futures contracts |
93,160,102 | 8,117,016 | 8,150,019 | 4,361,982 | ||||||||||||
| Closed short positions in securities |
(90,426,983 | ) | (12,946,154 | ) | — | — | ||||||||||
| Expiration or closing of swap contracts |
140,477,320 | 52,430,271 | (780,792 | ) | 599,101 | |||||||||||
| Expiration or closing of option contracts written |
— | 955,603 | — | — | ||||||||||||
| Net realized gain (loss) | 245,563,225 | 53,983,184 | 7,357,495 | 4,459,763 | ||||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investment securities of unaffiliated issuers |
(111,936,638 | ) | 28,534,173 | 41,231 | (3,362,597 | ) | ||||||||||
| Transactions in investment securities of controlled affiliated issuers |
297,487 | 175,918 | — | — | ||||||||||||
| Foreign currency and foreign currency transactions |
1,173,880 | (1,014,766 | ) | — | 491,924 | |||||||||||
| Forward foreign currency exchange contracts |
(18,360,113 | ) | 2,916,266 | — | (1,677,560 | ) | ||||||||||
| Futures contracts |
(52,690,399 | ) | (13,733,990 | ) | (21,494,943 | ) | (3,257,148 | ) | ||||||||
| Short positions in securities |
(62,999,211 | ) | (29,678,019 | ) | — | — | ||||||||||
| Swap contracts |
(513,866,736 | ) | (284,522,011 | ) | (3,050,830 | ) | (7,115,228 | ) | ||||||||
| Option contracts written |
— | 2,457,349 | — | — | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (758,381,730 | ) | (294,865,080 | ) | (24,504,542 | ) | (14,920,609 | ) | ||||||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (512,818,505 | ) | (240,881,896 | ) | (17,147,047 | ) | (10,460,846 | ) | ||||||||
| Net increase (decrease) in net assets resulting from operations | $ | (513,739,503 | ) | $ | (250,383,705 | ) | $ | (16,549,086 | ) | $ | (8,510,592 | ) | ||||
|
† Net of foreign taxes withheld of |
$ | 930,576 | $ | 11,204 | $ | — | $ | 47,972 | ||||||||
| ** | 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 2018 | ||||||||||||||
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| Statements of Operations | June 30, 2018 (Unaudited) |
| AQR RISK PARITY II HV FUND** |
AQR RISK PARITY II MV FUND** |
AQR STYLE PREMIA ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE LV FUND** |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income: |
||||||||||||||||
| Unaffiliated issuers† |
$ | 134,817 | $ | 213,081 | $ | 37,521,315 | $ | 3,707,284 | ||||||||
| Controlled affiliated issuers |
— | — | 8,395,349 | — | ||||||||||||
| Interest income |
500,872 | 523,685 | 7,733,007 | 1,011,515 | ||||||||||||
| Total Income | 635,689 | 736,766 | 53,649,671 | 4,718,799 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees |
248,173 | 286,214 | 33,834,438 | 1,556,308 | ||||||||||||
| Custody fees |
10,765 | 10,398 | 39,350 | 10,342 | ||||||||||||
| Administration & accounting fees |
7,705 | 11,413 | 680,458 | 67,092 | ||||||||||||
| Legal fees |
2,504 | 2,432 | 37,386 | 2,296 | ||||||||||||
| Audit & tax fees |
54,725 | 52,262 | 68,778 | 64,882 | ||||||||||||
| Shareholder reporting fees |
2,174 | 3,012 | 182,628 | 19,009 | ||||||||||||
| Transfer agent fees |
31,985 | 44,058 | 1,356,491 | 191,340 | ||||||||||||
| Trustee fees |
3,823 | 4,179 | 77,839 | 10,558 | ||||||||||||
| Distribution fees—Class N |
16,382 | 3,423 | 220,277 | 40,841 | ||||||||||||
| Dividends and interest on securities sold short and reverse repurchase agreements (Note 4) | 105,245 | — | 19,502,978 | 899,983 | ||||||||||||
| Recoupment of waiver |
— | — | 59,178 | 13,094 | ||||||||||||
| Registration fees |
21,917 | 22,046 | 88,812 | 28,318 | ||||||||||||
| Pricing fee |
11 | 30 | 11,382 | 11,366 | ||||||||||||
| Other expenses |
2,474 | 2,463 | 66,555 | 7,056 | ||||||||||||
| Total Expenses | 507,883 | 441,930 | 56,226,550 | 2,922,485 | ||||||||||||
| Less fee waivers and/or reimbursements |
(87,774 | ) | (77,617 | ) | (58,020 | ) | — | |||||||||
| Net Expenses | 420,109 | 364,313 | 56,168,530 | 2,922,485 | ||||||||||||
| Net Investment Income (Loss) | 215,580 | 372,453 | (2,518,859 | ) | 1,796,314 | |||||||||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Transactions in investment securities of unaffiliated issuers |
92,439 | 72,901 | 294,123,759 | 3,797,954 | ||||||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | — | (128,810 | ) | — | |||||||||||
| Settlement of foreign currency and foreign currency transactions |
(16,181 | ) | (13,263 | ) | (1,543,031 | ) | (717 | ) | ||||||||
| Settlement of forward foreign currency contracts |
206,377 | 251,430 | (1,748,780 | ) | 359,108 | |||||||||||
| Expiration or closing of futures contracts |
828,364 | 1,082,441 | 13,702,353 | 1,091,388 | ||||||||||||
| Closed short positions in securities |
— | — | (200,980,102 | ) | (3,146,050 | ) | ||||||||||
| Expiration or closing of swap contracts |
(302,891 | ) | (357,339 | ) | 140,163,352 | 6,843,556 | ||||||||||
| Net realized gain (loss) | 808,108 | 1,036,170 | 243,588,741 | 8,945,239 | ||||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investment securities of unaffiliated issuers |
(630,582 | ) | (604,433 | ) | (238,913,659 | ) | (7,237,648 | ) | ||||||||
| Transactions in investment securities of controlled affiliated issuers |
— | — | 269,353 | — | ||||||||||||
| Foreign currency and foreign currency transactions |
4,242 | 2,369 | (1,645,294 | ) | (35,494 | ) | ||||||||||
| Forward foreign currency exchange contracts |
187,762 | 182,364 | (9,802,920 | ) | (228,511 | ) | ||||||||||
| Futures contracts |
(605,318 | ) | (532,834 | ) | (11,469,168 | ) | (111,261 | ) | ||||||||
| Short positions in securities |
— | — | (58,571,016 | ) | 2,655,498 | |||||||||||
| Swap contracts |
(403,095 | ) | (427,470 | ) | (311,454,280 | ) | (22,815,222 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) | (1,446,991 | ) | (1,380,004 | ) | (631,586,984 | ) | (27,772,638 | ) | ||||||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (638,883 | ) | (343,834 | ) | (387,998,243 | ) | (18,827,399 | ) | ||||||||
| Net increase (decrease) in net assets resulting from operations | $ | (423,303 | ) | $ | 28,619 | $ | (390,517,102 | ) | $ | (17,031,085 | ) | |||||
|
† Net of foreign taxes withheld of |
$ | 2,351 | $ | 4,006 | $ | 2,121,856 | $ | 208,769 | ||||||||
| ** | 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 2018 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2018 |
| AQR ALTERNATIVE RISK PREMIA FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE PERIOD 9/19/17*- 12/31/17 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | (201,571 | ) | $ | (17,470 | ) | $ | 3,028,055 | $ | 1,001,428 | ||||||
| Net realized gain (loss) |
(16,852,045 | ) | (679,106 | ) | 16,864,950 | (10,574,813 | ) | |||||||||
| Net change in unrealized appreciation (depreciation) |
4,210,787 | 338,951 | (4,159,301 | ) | 37,246,211 | |||||||||||
| Net increase (decrease) in net assets resulting from operations |
(12,842,829 | ) | (357,625 | ) | 15,733,704 | 27,672,826 | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | — | — | (26,664,397 | ) | |||||||||||
| Class N |
— | — | — | (5,145,014 | ) | |||||||||||
| Class R6 |
— | — | — | (558,283 | ) | |||||||||||
| Total |
— | — | — | (32,367,694 | ) | |||||||||||
| Total distributions |
— | — | — | (32,367,694 | ) | |||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
187,001,557 | 29,460,090 | 66,643,831 | 159,039,676 | ||||||||||||
| Reinvestment of distributions |
— | — | — | 15,220,267 | ||||||||||||
| Cost of shares redeemed |
(64,393,387 | ) | (2,476,748 | ) | (98,880,758 | ) | (142,617,620 | ) | ||||||||
| Net increase (decrease) from capital transactions |
122,608,170 | 26,983,342 | (32,236,927 | ) | 31,642,323 | |||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
5,134,067 | 2,408,539 | 17,486,328 | 19,139,174 | ||||||||||||
| Reinvestment of distributions |
— | — | — | 5,124,877 | ||||||||||||
| Cost of shares redeemed |
(1,442,728 | ) | (870,459 | ) | (11,910,917 | ) | (48,486,010 | ) | ||||||||
| Net increase (decrease) from capital transactions |
3,691,339 | 1,538,080 | 5,575,411 | (24,221,959 | ) | |||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
43,040,159 | 51,685,926 | 9,562,645 | 3,691,438 | ||||||||||||
| Reinvestment of distributions |
— | — | — | 558,283 | ||||||||||||
| Cost of shares redeemed |
(14,469,929 | ) | (1,641,920 | ) | (3,380,763 | ) | (830,613 | ) | ||||||||
| Net increase (decrease) from capital transactions |
28,570,230 | 50,044,006 | 6,181,882 | 3,419,108 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions |
154,869,739 | 78,565,428 | (20,479,634 | ) | 10,839,472 | |||||||||||
| Total increase (decrease) in net assets |
142,026,910 | 78,207,803 | (4,745,930 | ) | 6,144,604 | |||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
78,207,803 | — | 472,161,855 | 466,017,251 | ||||||||||||
| End of period |
$ | 220,234,713 | $ | 78,207,803 | $ | 467,415,925 | $ | 472,161,855 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | (259,132 | ) | $ | (57,561 | ) | $ | (19,392,498 | ) | $ | (22,420,553 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 262) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2018 |
| AQR ALTERNATIVE RISK PREMIA FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE PERIOD 9/19/17*- 12/31/17 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
2,682,282 | — | 42,440,083 | 39,012,519 | ||||||||||||
| Shares sold |
19,391,065 | 2,928,020 | 7,229,201 | 16,738,611 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | — | — | 1,674,397 | ||||||||||||
| Shares redeemed |
(6,722,671 | ) | (245,738 | ) | (10,772,697 | ) | (14,985,444 | ) | ||||||||
| Shares outstanding, end of period |
15,350,676 | 2,682,282 | 38,896,587 | 42,440,083 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
153,729 | — | 8,415,812 | 10,932,154 | ||||||||||||
| Shares sold |
532,482 | 240,206 | 1,895,742 | 2,021,912 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | — | — | 563,793 | ||||||||||||
| Shares redeemed |
(149,072 | ) | (86,477 | ) | (1,295,667 | ) | (5,102,047 | ) | ||||||||
| Shares outstanding, end of period |
537,139 | 153,729 | 9,015,887 | 8,415,812 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
4,972,362 | — | 924,895 | 560,186 | ||||||||||||
| Shares sold |
4,437,499 | 5,135,575 | 1,047,785 | 389,979 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | — | — | 61,552 | ||||||||||||
| Shares redeemed |
(1,471,860 | ) | (163,213 | ) | (370,420 | ) | (86,822 | ) | ||||||||
| Shares outstanding, end of period |
7,938,001 | 4,972,362 | 1,602,260 | 924,895 | ||||||||||||
| * | Commencement of operations |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2018 |
| AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL MACRO FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | 494,178 | $ | (11,112,530 | ) | $ | (7,111 | ) | $ | (155,507 | ) | |||||
| Net realized gain (loss) |
(48,412,362 | ) | 35,299,203 | 1,897,244 | (1,675,159 | ) | ||||||||||
| Net change in unrealized appreciation (depreciation) |
(148,959,009 | ) | 65,277,178 | 252,588 | 905,855 | |||||||||||
| Net increase (decrease) in net assets |
(196,877,193 | ) | 89,463,851 | 2,142,721 | (924,811 | ) | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (51,647,198 | ) | — | (4,091 | ) | ||||||||||
| Class N |
— | (11,886,225 | ) | — | — | |||||||||||
| Class R6 |
— | (10,859,269 | ) | — | (16,957 | ) | ||||||||||
| Total |
— | (74,392,692 | ) | — | (21,048 | ) | ||||||||||
| Total distributions |
— | (74,392,692 | ) | — | (21,048 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
431,083,039 | 1,080,261,350 | 9,999,687 | 9,413,713 | ||||||||||||
| Reinvestment of distributions |
— | 40,825,774 | — | 4,091 | ||||||||||||
| Cost of shares redeemed |
(462,979,812 | ) | (376,083,911 | ) | (3,724,513 | ) | (18,482,929 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(31,896,773 | ) | 745,003,213 | 6,275,174 | (9,065,125 | ) | ||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
67,451,883 | 319,225,684 | 2,057,919 | 1,132,109 | ||||||||||||
| Reinvestment of distributions |
— | 11,872,249 | — | — | ||||||||||||
| Cost of shares redeemed |
(112,342,253 | ) | (122,959,941 | ) | (234,335 | ) | (1,354,486 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(44,890,370 | ) | 208,137,992 | 1,823,584 | (222,377 | ) | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
122,351,722 | 215,624,249 | 44,886 | 9,732,823 | ||||||||||||
| Reinvestment of distributions |
— | 3,793,780 | — | 16,957 | ||||||||||||
| Cost of shares redeemed |
(123,740,897 | ) | (72,646,247 | ) | (22,850 | ) | (18,553 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(1,389,175 | ) | 146,771,782 | 22,036 | 9,731,227 | |||||||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(78,176,318 | ) | 1,099,912,987 | 8,120,794 | 443,725 | |||||||||||
| Total increase (decrease) in net assets |
(275,053,511 | ) | 1,114,984,146 | 10,263,515 | (502,134 | ) | ||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
2,237,035,147 | 1,122,051,001 | 26,061,302 | 26,563,436 | ||||||||||||
| End of period |
$ | 1,961,981,636 | $ | 2,237,035,147 | $ | 36,324,817 | $ | 26,061,302 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | (76,502,591 | ) | $ | (76,996,769 | ) | $ | (85,789 | ) | $ | (78,678 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 264) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2018 |
| AQR EQUITY MARKET NEUTRAL FUND |
AQR GLOBAL MACRO FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
126,740,391 | 66,027,774 | 1,051,631 | 2,093,720 | ||||||||||||
| Shares sold |
35,416,910 | 88,121,432 | 1,072,964 | 1,070,707 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 3,276,547 | — | 469 | ||||||||||||
| Shares redeemed |
(38,615,655 | ) | (30,685,362 | ) | (401,437 | ) | (2,113,265 | ) | ||||||||
| Shares outstanding, end of period |
123,541,646 | 126,740,391 | 1,723,158 | 1,051,631 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
29,297,507 | 12,899,700 | 334,118 | 357,773 | ||||||||||||
| Shares sold |
5,574,548 | 25,393,645 | 223,465 | 130,287 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 955,897 | — | — | ||||||||||||
| Shares redeemed |
(9,407,607 | ) | (9,951,735 | ) | (25,376 | ) | (153,942 | ) | ||||||||
| Shares outstanding, end of period |
25,464,448 | 29,297,507 | 532,207 | 334,118 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
26,681,122 | 14,839,955 | 1,597,192 | 482,492 | ||||||||||||
| Shares sold |
9,997,852 | 17,476,921 | 4,766 | 1,114,858 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 304,477 | — | 1,945 | ||||||||||||
| Shares redeemed |
(10,441,040 | ) | (5,940,231 | ) | (2,408 | ) | (2,103 | ) | ||||||||
| Shares outstanding, end of period |
26,237,934 | 26,681,122 | 1,599,550 | 1,597,192 | ||||||||||||
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
235
Table of Contents
| Statements of Changes in Net Assets | June 30, 2018 |
| AQR LONG-SHORT EQUITY FUND |
AQR MULTI-STRATEGY ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | (920,998 | ) | $ | (24,953,313 | ) | $ | (9,501,809 | ) | $ | (25,089,728 | ) | ||||
| Net realized gain (loss) |
245,563,225 | 350,367,220 | 53,983,184 | 165,527,250 | ||||||||||||
| Net change in unrealized appreciation (depreciation) |
(758,381,730 | ) | 299,785,467 | (294,865,080 | ) | (39,445,250 | ) | |||||||||
| Net increase (decrease) in net assets resulting from operations |
(513,739,503 | ) | 625,199,374 | (250,383,705 | ) | 100,992,272 | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (155,690,395 | ) | — | (127,847,201 | ) | ||||||||||
| Class N |
— | (13,887,554 | ) | — | (25,853,587 | ) | ||||||||||
| Class R6 |
— | (36,742,265 | ) | — | (38,661,644 | ) | ||||||||||
| Total |
— | (206,320,214 | ) | — | (192,362,432 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (195,742,211 | ) | — | (31,061,805 | ) | ||||||||||
| Class N |
— | (18,658,669 | ) | — | (6,565,641 | ) | ||||||||||
| Class R6 |
— | (45,336,865 | ) | — | (9,250,786 | ) | ||||||||||
| Total |
— | (259,737,745 | ) | — | (46,878,232 | ) | ||||||||||
| Total distributions |
— | (466,057,959 | ) | — | (239,240,664 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
1,200,910,135 | 2,781,588,310 | 308,834,226 | 592,399,242 | ||||||||||||
| Reinvestment of distributions |
— | 246,544,609 | — | 121,893,204 | ||||||||||||
| Cost of shares redeemed |
(815,041,880 | ) | (798,799,416 | ) | (571,941,829 | ) | (1,041,915,240 | ) | ||||||||
| Net increase (decrease) from capital transactions |
385,868,255 | 2,229,333,503 | (263,107,603 | ) | (327,622,794 | ) | ||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
97,290,169 | 271,303,334 | 86,022,337 | 80,752,855 | ||||||||||||
| Reinvestment of distributions |
— | 32,265,788 | — | 32,408,081 | ||||||||||||
| Cost of shares redeemed |
(173,131,078 | ) | (224,410,842 | ) | (49,311,624 | ) | (129,604,451 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(75,840,909 | ) | 79,158,280 | 36,710,713 | (16,443,515 | ) | ||||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
282,635,243 | 558,911,989 | 75,386,654 | 114,152,756 | ||||||||||||
| Reinvestment of distributions |
— | 38,588,892 | — | 46,123,161 | ||||||||||||
| Cost of shares redeemed |
(287,334,264 | ) | (109,232,039 | ) | (53,036,880 | ) | (144,378,330 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(4,699,021 | ) | 488,268,842 | 22,349,774 | 15,897,587 | |||||||||||
| Net increase (decrease) in net assets resulting from capital transactions |
305,328,325 | 2,796,760,625 | (204,047,116 | ) | (328,168,722 | ) | ||||||||||
| Total increase (decrease) in net assets |
(208,411,178 | ) | 2,955,902,040 | (454,430,821 | ) | (466,417,114 | ) | |||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
5,495,709,686 | 2,539,807,646 | 3,031,434,361 | 3,497,851,475 | ||||||||||||
| End of period |
$ | 5,287,298,508 | $ | 5,495,709,686 | $ | 2,577,003,540 | $ | 3,031,434,361 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | (240,371,764 | ) | $ | (239,450,766 | ) | $ | (185,797,938 | ) | $ | (176,296,129 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 266) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2018 |
| AQR LONG-SHORT EQUITY FUND |
AQR MULTI-STRATEGY ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
298,568,829 | 137,770,452 | 219,604,853 | 253,175,292 | ||||||||||||
| Shares sold |
86,319,870 | 199,716,250 | 34,921,146 | 62,004,170 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 17,485,434 | — | 13,394,858 | ||||||||||||
| Shares redeemed |
(60,373,014 | ) | (56,403,307 | ) | (65,606,058 | ) | (108,969,467 | ) | ||||||||
| Shares outstanding, end of period |
324,515,685 | 298,568,829 | 188,919,941 | 219,604,853 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
27,927,412 | 22,112,585 | 48,119,919 | 49,655,549 | ||||||||||||
| Shares sold |
7,035,205 | 19,567,362 | 9,788,962 | 8,464,360 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 2,303,054 | — | 3,581,003 | ||||||||||||
| Shares redeemed |
(12,797,403 | ) | (16,055,589 | ) | (5,652,882 | ) | (13,580,993 | ) | ||||||||
| Shares outstanding, end of period |
22,165,214 | 27,927,412 | 52,255,999 | 48,119,919 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
69,452,664 | 34,579,765 | 67,398,448 | 65,492,180 | ||||||||||||
| Shares sold |
20,068,170 | 39,728,027 | 8,578,300 | 11,858,560 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 2,730,990 | — | 5,062,916 | ||||||||||||
| Shares redeemed |
(21,277,277 | ) | (7,586,118 | ) | (6,051,211 | ) | (15,015,208 | ) | ||||||||
| Shares outstanding, end of period |
68,243,557 | 69,452,664 | 69,925,537 | 67,398,448 | ||||||||||||
| ** | 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 2018 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2018 |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | 597,961 | $ | (456,433 | ) | $ | 1,950,254 | $ | 836,136 | |||||||
| Net realized gain (loss) |
7,357,495 | 10,837,777 | 4,459,763 | 55,796,887 | ||||||||||||
| Net change in unrealized appreciation (depreciation) |
(24,504,542 | ) | 9,582,029 | (14,920,609 | ) | 10,816,715 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
(16,549,086 | ) | 19,963,373 | (8,510,592 | ) | 67,449,738 | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (7,748 | ) | — | (7,460,646 | ) | ||||||||||
| Class N |
— | (670 | ) | — | (312,807 | ) | ||||||||||
| Class R6 |
— | (9,893 | ) | — | (734,994 | ) | ||||||||||
| Total |
— | (18,311 | ) | — | (8,508,447 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | — | — | (32,756,280 | ) | |||||||||||
| Class N |
— | — | — | (1,571,227 | ) | |||||||||||
| Class R6 |
— | — | — | (3,102,543 | ) | |||||||||||
| Total |
— | — | — | (37,430,050 | ) | |||||||||||
| Total distributions |
— | (18,311 | ) | — | (45,938,497 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
118,553,526 | 30,798,302 | 63,201,397 | 92,782,113 | ||||||||||||
| Reinvestment of distributions |
— | 6,204 | — | 38,834,250 | ||||||||||||
| Cost of shares redeemed |
(57,568,653 | ) | (44,888,455 | ) | (114,111,967 | ) | (84,102,767 | ) | ||||||||
| Net increase (decrease) from capital transactions |
60,984,873 | (14,083,949 | ) | (50,910,570 | ) | 47,513,596 | ||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
30,918,197 | 3,479,417 | 2,226,210 | 8,383,608 | ||||||||||||
| Reinvestment of distributions |
— | 670 | — | 1,884,034 | ||||||||||||
| Cost of shares redeemed |
(2,874,225 | ) | (3,711,574 | ) | (2,615,386 | ) | (11,247,752 | ) | ||||||||
| Net increase (decrease) from capital transactions |
28,043,972 | (231,487 | ) | (389,176 | ) | (980,110 | ) | |||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
58,126,931 | 22,487,772 | 53,458 | 2,890,454 | ||||||||||||
| Reinvestment of distributions |
— | 6,667 | — | 3,837,537 | ||||||||||||
| Cost of shares redeemed |
(2,650,415 | ) | (25,453,423 | ) | (7,257,856 | ) | (2,393,569 | ) | ||||||||
| Net increase (decrease) from capital transactions |
55,476,516 | (2,958,984 | ) | (7,204,398 | ) | 4,334,422 | ||||||||||
| Net increase (decrease) in net assets resulting from capital transactions |
144,505,361 | (17,274,420 | ) | (58,504,144 | ) | 50,867,908 | ||||||||||
| Total increase (decrease) in net assets |
127,956,275 | 2,670,642 | (67,014,736 | ) | 72,379,149 | |||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
205,889,193 | 203,218,551 | 472,727,810 | 400,348,661 | ||||||||||||
| End of period |
$ | 333,845,468 | $ | 205,889,193 | $ | 405,713,074 | $ | 472,727,810 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | 13,647,649 | $ | 13,049,688 | $ | 831,674 | $ | (1,118,580 | ) | |||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 268) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2018 |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
12,725,339 | 15,023,251 | 42,326,766 | 37,411,773 | ||||||||||||
| Shares sold |
16,902,606 | 4,771,225 | 6,476,182 | 9,347,782 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 947 | — | 4,020,109 | ||||||||||||
| Shares redeemed |
(8,375,849 | ) | (7,070,084 | ) | (11,772,433 | ) | (8,452,898 | ) | ||||||||
| Shares outstanding, end of period |
21,252,096 | 12,725,339 | 37,030,515 | 42,326,766 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
1,109,579 | 1,167,206 | 1,701,531 | 1,827,019 | ||||||||||||
| Shares sold |
4,530,247 | 547,782 | 227,936 | 830,983 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 103 | — | 195,439 | ||||||||||||
| Shares redeemed |
(420,946 | ) | (605,512 | ) | (269,096 | ) | (1,151,910 | ) | ||||||||
| Shares outstanding, end of period |
5,218,880 | 1,109,579 | 1,660,371 | 1,701,531 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
15,954,715 | 16,318,860 | 4,096,425 | 3,638,709 | ||||||||||||
| Shares sold |
8,226,918 | 3,585,028 | 5,557 | 303,627 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 1,015 | — | 397,260 | ||||||||||||
| Shares redeemed |
(380,037 | ) | (3,950,188 | ) | (725,860 | ) | (243,171 | ) | ||||||||
| Shares outstanding, end of period |
23,801,596 | 15,954,715 | 3,376,122 | 4,096,425 | ||||||||||||
| ** | 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 2018 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2018 |
| AQR RISK PARITY II HV FUND** | AQR RISK PARITY II MV FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | 215,580 | $ | 64,081 | $ | 372,453 | $ | 181,067 | ||||||||
| Net realized gain (loss) |
808,108 | 7,797,604 | 1,036,170 | 7,925,329 | ||||||||||||
| Net change in unrealized appreciation (depreciation) |
(1,446,991 | ) | 1,618,727 | (1,380,004 | ) | 1,524,621 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
(423,303 | ) | 9,480,412 | 28,619 | 9,631,017 | |||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (167,670 | ) | — | (127,613 | ) | ||||||||||
| Class N |
— | (80,039 | ) | — | (4,594 | ) | ||||||||||
| Class R6 |
— | (2,754 | ) | — | (1,094 | ) | ||||||||||
| Total |
— | (250,463 | ) | — | (133,301 | ) | ||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (4,177,994 | ) | — | (6,262,860 | ) | ||||||||||
| Class N |
— | (1,994,405 | ) | — | (225,476 | ) | ||||||||||
| Class R6 |
— | (68,617 | ) | — | (53,679 | ) | ||||||||||
| Total |
— | (6,241,016 | ) | — | (6,542,015 | ) | ||||||||||
| Total distributions |
— | (6,491,479 | ) | — | (6,675,316 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
5,946,034 | 15,110,513 | 2,988,664 | 7,101,891 | ||||||||||||
| Reinvestment of distributions |
— | 3,036,675 | — | 5,580,145 | ||||||||||||
| Cost of shares redeemed |
(10,114,872 | ) | (28,964,516 | ) | (9,515,997 | ) | (16,281,871 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(4,168,838 | ) | (10,817,328 | ) | (6,527,333 | ) | (3,599,835 | ) | ||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
4,040,750 | 16,904,780 | 544,989 | 208,795 | ||||||||||||
| Reinvestment of distributions |
— | 2,074,444 | — | 230,070 | ||||||||||||
| Cost of shares redeemed |
(12,164,260 | ) | (6,275,267 | ) | (557,085 | ) | (3,521,633 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(8,123,510 | ) | 12,703,957 | (12,096 | ) | (3,082,768 | ) | |||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
129,261 | 166,683 | — | — | ||||||||||||
| Reinvestment of distributions |
— | 62,917 | — | 54,773 | ||||||||||||
| Cost of shares redeemed |
(4,000 | ) | (2,725,155 | ) | — | (5,041 | ) | |||||||||
| Net increase (decrease) from capital transactions |
125,261 | (2,495,555 | ) | — | 49,732 | |||||||||||
| Net increase (decrease) in net assets resulting from capital transactions |
(12,167,087 | ) | (608,926 | ) | (6,539,429 | ) | (6,632,871 | ) | ||||||||
| Total increase (decrease) in net assets |
(12,590,390 | ) | 2,380,007 | (6,510,810 | ) | (3,677,170 | ) | |||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
57,926,006 | 55,545,999 | 81,462,569 | 85,139,739 | ||||||||||||
| End of period |
$ | 45,335,616 | $ | 57,926,006 | $ | 74,951,759 | $ | 81,462,569 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | 185,600 | $ | (29,980 | ) | $ | 521,295 | $ | 148,842 | |||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 270) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Statements of Changes in Net Assets | June 30, 2018 |
| AQR RISK PARITY II HV FUND** | AQR RISK PARITY II MV FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
4,358,862 | 5,479,411 | 8,422,139 | 8,787,446 | ||||||||||||
| Shares sold |
686,363 | 1,691,028 | 324,776 | 762,186 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 352,283 | — | 613,877 | ||||||||||||
| Shares redeemed |
(1,155,861 | ) | (3,163,860 | ) | (1,040,987 | ) | (1,741,370 | ) | ||||||||
| Shares outstanding, end of period |
3,889,364 | 4,358,862 | 7,705,928 | 8,422,139 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
2,086,431 | 780,920 | 302,522 | 632,594 | ||||||||||||
| Shares sold |
473,597 | 1,761,444 | 59,231 | 22,607 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 241,214 | — | 25,478 | ||||||||||||
| Shares redeemed |
(1,415,805 | ) | (697,147 | ) | (60,589 | ) | (378,157 | ) | ||||||||
| Shares outstanding, end of period |
1,144,223 | 2,086,431 | 301,164 | 302,522 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
86,209 | 337,040 | 73,253 | 67,769 | ||||||||||||
| Shares sold |
15,150 | 18,874 | (1 | ) | — | |||||||||||
| Shares issued on reinvestment of distributions |
— | 7,299 | — | 6,026 | ||||||||||||
| Shares redeemed |
(444 | ) | (277,004 | ) | — | (542 | ) | |||||||||
| Shares outstanding, end of period |
100,915 | 86,209 | 73,252 | 73,253 | ||||||||||||
| ** | 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 2018 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2018 |
| AQR STYLE PREMIA ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE LV FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) |
$ | (2,518,859 | ) | $ | (29,302,646 | ) | $ | 1,796,314 | $ | (202,469 | ) | |||||
| Net realized gain (loss) |
243,588,741 | 297,431,846 | 8,945,239 | 17,349,598 | ||||||||||||
| Net change in unrealized appreciation (depreciation) |
(631,586,984 | ) | 214,060,873 | (27,772,638 | ) | 11,371,735 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
(390,517,102 | ) | 482,190,073 | (17,031,085 | ) | 28,518,864 | ||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (198,173,947 | ) | — | (16,573,601 | ) | ||||||||||
| Class N |
— | (11,434,857 | ) | — | (1,709,872 | ) | ||||||||||
| Class R6 |
— | (107,819,061 | ) | — | (4,676,131 | ) | ||||||||||
| Total |
— | (317,427,865 | ) | — | (22,959,604 | ) | ||||||||||
| Total distributions |
— | (317,427,865 | ) | — | (22,959,604 | ) | ||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
828,138,903 | 1,236,903,921 | 86,434,102 | 175,105,320 | ||||||||||||
| Reinvestment of distributions |
— | 173,061,541 | — | 16,205,243 | ||||||||||||
| Cost of shares redeemed |
(515,892,421 | ) | (813,602,935 | ) | (43,519,426 | ) | (109,840,424 | ) | ||||||||
| Net increase (decrease) from capital transactions |
312,246,482 | 596,362,527 | 42,914,676 | 81,470,139 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
37,704,360 | 56,223,970 | 9,106,417 | 10,005,272 | ||||||||||||
| Reinvestment of distributions |
— | 11,321,176 | — | 1,707,961 | ||||||||||||
| Cost of shares redeemed |
(38,512,285 | ) | (87,214,527 | ) | (16,650,905 | ) | (19,255,880 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(807,925 | ) | (19,669,381 | ) | (7,544,488 | ) | (7,542,647 | ) | ||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
348,692,933 | 500,805,412 | 11,533,988 | 11,556,130 | ||||||||||||
| Reinvestment of distributions |
— | 94,724,682 | — | 4,676,131 | ||||||||||||
| Cost of shares redeemed |
(182,700,989 | ) | (391,172,273 | ) | (13,428,094 | ) | (14,732,984 | ) | ||||||||
| Net increase (decrease) from capital transactions |
165,991,944 | 204,357,821 | (1,894,106 | ) | 1,499,277 | |||||||||||
| Net increase (decrease) in net assets resulting from capital transactions |
477,430,501 | 781,050,967 | 33,476,082 | 75,426,769 | ||||||||||||
| Total increase (decrease) in net assets |
86,913,399 | 945,813,175 | 16,444,997 | 80,986,029 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
4,747,427,269 | 3,801,614,094 | 465,566,700 | 384,580,671 | ||||||||||||
| End of period |
$ | 4,834,340,668 | $ | 4,747,427,269 | $ | 482,011,697 | $ | 465,566,700 | ||||||||
| Undistributed accumulated net investment income (loss) |
$ | (171,458,263 | ) | $ | (168,939,404 | ) | $ | (7,425,656 | ) | $ | (9,221,970 | ) | ||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 272) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Statements of Changes in Net Assets | June 30, 2018 |
| AQR STYLE PREMIA ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE LV FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2017 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
284,753,468 | 228,188,253 | 31,798,558 | 24,164,696 | ||||||||||||
| Shares sold |
80,153,348 | 119,718,870 | 8,204,593 | 16,492,368 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 16,403,938 | — | 1,523,049 | ||||||||||||
| Shares redeemed |
(50,374,130 | ) | (79,557,593 | ) | (4,126,078 | ) | (10,381,555 | ) | ||||||||
| Shares outstanding, end of period |
314,532,686 | 284,753,468 | 35,877,073 | 31,798,558 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
17,131,773 | 19,081,538 | 3,367,115 | 4,098,530 | ||||||||||||
| Shares sold |
3,642,756 | 5,470,866 | 863,977 | 947,010 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 1,077,181 | — | 160,977 | ||||||||||||
| Shares redeemed |
(3,780,512 | ) | (8,497,812 | ) | (1,579,865 | ) | (1,839,402 | ) | ||||||||
| Shares outstanding, end of period |
16,994,017 | 17,131,773 | 2,651,227 | 3,367,115 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
155,015,501 | 135,855,853 | 8,884,892 | 8,688,585 | ||||||||||||
| Shares sold |
33,523,299 | 48,436,461 | 1,080,412 | 1,094,697 | ||||||||||||
| Shares issued on reinvestment of distributions |
— | 8,961,654 | — | 438,661 | ||||||||||||
| Shares redeemed |
(17,880,565 | ) | (38,238,467 | ) | (1,271,805 | ) | (1,337,051 | ) | ||||||||
| Shares outstanding, end of period |
170,658,235 | 155,015,501 | 8,693,499 | 8,884,892 | ||||||||||||
| ** | 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 2018 | ||||||||||||||
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| Statements of Cash Flows | June 30, 2018 (Unaudited) |
| AQR ALTERNATIVE FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR EQUITY NEUTRAL FUND |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
$ | (12,842,829 | ) | $ | 15,733,704 | $ | (196,877,193 | ) | ||||
| 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 |
(185,291,772 | ) | (709,801,487 | ) | (283,231,799 | ) | ||||||
| Payments to cover short positions in securities |
(52,202,226 | ) | (394,468,313 | ) | (263,243,269 | ) | ||||||
| Proceeds from short positions in securities |
171,733,464 | 347,559,083 | 252,235,441 | |||||||||
| Proceeds from sale of securities |
38,591,138 | 744,118,541 | 290,773,708 | |||||||||
| Proceeds from option contracts written |
3,955,395 | 716 | — | |||||||||
| Payments to close option contracts written |
(3,115,572 | ) | — | — | ||||||||
| (Purchases) sales of short-term investments, net |
(110,069,211 | ) | 43,310,604 | 239,328,255 | ||||||||
| Realized (gain) loss on investments in securities |
4,528,537 | (31,735,248 | ) | (16,224,939 | ) | |||||||
| Realized (gain) loss on short positions in securities |
8,049,768 | 18,834,107 | 26,429,841 | |||||||||
| Realized (gain) loss on option contracts written |
(393,347 | ) | (718 | ) | — | |||||||
| Realized (gain) loss on paydowns |
— | (1,602 | ) | — | ||||||||
| Change in unrealized (appreciation) depreciation on investments in securities |
(1,701,462 | ) | 14,434,068 | 35,635,953 | ||||||||
| Change in unrealized (appreciation) depreciation on short positions in securities |
(4,441,428 | ) | (9,350,922 | ) | (44,701,575 | ) | ||||||
| Change in unrealized (appreciation) depreciation on option contracts written |
(103,531 | ) | — | — | ||||||||
| Amortization (accretion) of bond premium (discount) |
— | (487,850 | ) | (4,204,656 | ) | |||||||
| (Increases) decreases in operating assets: | ||||||||||||
| Due from brokers |
(6,558,689 | ) | — | (128,050,000 | ) | |||||||
| Deposits with brokers for futures contracts |
(2,059,680 | ) | (301,185 | ) | 3,828,962 | |||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
(655,274 | ) | (93,545 | ) | (905,711 | ) | ||||||
| Unrealized appreciation on OTC swaps |
235,062 | 1,783,008 | 84,186,401 | |||||||||
| Deposits for securities sold short |
(9,861,136 | ) | (13,374,427 | ) | — | |||||||
| Deposits for written options |
(9,531,884 | ) | — | — | ||||||||
| Deposits with brokers for centrally cleared swaps |
— | (7,572 | ) | — | ||||||||
| Variation margin on centrally cleared swaps |
— | (26,558 | ) | — | ||||||||
| Variation margin on futures contracts |
(315,555 | ) | 193,853 | 429,488 | ||||||||
| Receivable for securities sold |
(173,786,404 | ) | (12,393,856 | ) | (28,898,464 | ) | ||||||
| Foreign tax reclaim |
(48,289 | ) | 1,588 | (437,295 | ) | |||||||
| Dividends and interest |
(210,714 | ) | (76,503 | ) | (531,078 | ) | ||||||
| Prepaid expenses |
10,975 | (7,153 | ) | 14,883 | ||||||||
| Increases (decreases) in operating liabilities | ||||||||||||
| Due to broker |
— | (341,507 | ) | 640,000 | ||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
1,557,883 | (95,876 | ) | (702,295 | ) | |||||||
| Unrealized depreciation on OTC swaps |
789,086 | (1,370,871 | ) | 75,463,909 | ||||||||
| Deposits from brokers for futures contracts |
— | — | 2 | |||||||||
| Variation margin on centrally cleared swaps |
— | (11,478 | ) | — | ||||||||
| Variation margin on futures contracts |
49,967 | 85,489 | — | |||||||||
| Payable for securities purchased |
189,064,052 | 12,847,309 | 30,237,198 | |||||||||
| Accrued investment advisory fees |
138,877 | (73,210 | ) | (187,599 | ) | |||||||
| Accrued distribution fees—Class N |
343 | 222 | (12,197 | ) | ||||||||
| Accrued Trustees fees |
220 | 5 | 440 | |||||||||
| Dividends and Interest payable on securities sold short and reverse repurchase agreements |
175,320 | (634 | ) | 32,636 | ||||||||
| Other accrued expenses and liabilities |
(6,317 | ) | 35,051 | (22,048 | ) | |||||||
| Net cash provided by (used in) operating activities |
$ | (154,315,233 | ) | $ | 24,916,833 | $ | 71,006,999 | |||||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
| Proceeds from shares sold |
234,528,209 | 94,295,633 | 627,723,612 | |||||||||
| Payments on shares redeemed |
(80,025,295 | ) | (115,036,441 | ) | (703,403,660 | ) | ||||||
| Net cash provided by (used in) financing activities |
$ | 154,502,914 | $ | (20,740,808 | ) | $ | (75,680,048 | ) | ||||
| Net change in cash and cash denominated in foreign currencies | 187,681 | 4,176,025 | (4,673,049 | ) | ||||||||
| Cash, beginning of period |
789,393 | 687,580 | 8,046,784 | |||||||||
| Cash, end of period** |
$ | 977,074 | $ | 4,863,605 | $ | 3,373,735 | ||||||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $321,319, $692,657 and $1,913,422.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Statements of Cash Flows | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT |
AQR MULTI- |
AQR RISK |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
$ | (513,739,503 | ) | $ | (250,383,705 | ) | $ | (423,303 | ) | |||
| 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 |
(3,429,680,077 | ) | (286,863,873 | ) | (4,648,516 | ) | ||||||
| Payments to cover short positions in securities |
(1,936,884,220 | ) | (339,203,404 | ) | — | |||||||
| Proceeds from short positions in securities |
2,575,945,147 | 179,715,176 | — | |||||||||
| Proceeds from sale of securities |
2,374,199,186 | 491,001,427 | 4,442,400 | |||||||||
| (Purchases) sales of short-term investments, net |
357,310,083 | 98,096,653 | 11,172,146 | |||||||||
| Realized (gain) loss on investments in securities |
(117,651,259 | ) | (19,019,970 | ) | (92,439 | ) | ||||||
| Realized (gain) loss on short positions in securities |
90,426,983 | 12,946,154 | — | |||||||||
| Realized (gain) loss on option contracts written |
— | (955,603 | ) | — | ||||||||
| Change in unrealized (appreciation) depreciation on investments in securities |
111,639,151 | (28,710,091 | ) | 630,582 | ||||||||
| Change in unrealized (appreciation) depreciation on short positions in securities |
62,999,211 | 29,678,019 | — | |||||||||
| Change in unrealized (appreciation) depreciation on option contracts written |
— | (2,457,349 | ) | — | ||||||||
| Amortization (accretion) of bond premium (discount) |
(17,173,530 | ) | (1,160,650 | ) | (542,449 | ) | ||||||
| (Increases) decreases in operating assets: | ||||||||||||
| Due from brokers |
(272,019,454 | ) | 20,129,471 | (368,487 | ) | |||||||
| Deposits with brokers for futures contracts |
51,674,431 | 25,223,133 | 831,081 | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
7,642,918 | 8,829,949 | (80,673 | ) | ||||||||
| Unrealized appreciation on OTC swaps |
219,629,915 | 137,473,786 | 26,750 | |||||||||
| Deposits for securities sold short |
— | 18,834,913 | — | |||||||||
| Deposits with brokers for centrally cleared swaps |
— | (341,621 | ) | — | ||||||||
| Variation margin on centrally cleared swaps |
— | (45,830 | ) | — | ||||||||
| Variation margin on futures contracts |
(6,074,672 | ) | (6,338,901 | ) | (52,701 | ) | ||||||
| Receivable for securities sold |
(133,469,555 | ) | (112,430,197 | ) | (20,516 | ) | ||||||
| Foreign tax reclaim |
135,214 | 44,084 | — | |||||||||
| Dividends and interest |
(1,357,833 | ) | 306,379 | (5,139 | ) | |||||||
| Prepaid expenses |
26,974 | 8,016 | 4,477 | |||||||||
| Increases (decreases) in operating liabilities | ||||||||||||
| Due to broker |
(197,508,832 | ) | (15,861,849 | ) | 56,073 | |||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
10,717,195 | (11,746,215 | ) | (107,089 | ) | |||||||
| Unrealized depreciation on OTC swaps |
294,236,821 | 144,987,817 | 376,345 | |||||||||
| Deposits from brokers for futures contracts |
— | — | — | |||||||||
| Variation margin on centrally cleared swaps |
— | (902,250 | ) | — | ||||||||
| Variation margin on futures contracts |
(5,644,330 | ) | (427,574 | ) | (136,428 | ) | ||||||
| Payable for securities purchased |
128,774,876 | 117,102,240 | 20,409 | |||||||||
| Accrued investment advisory fees |
(46,773 | ) | (928,637 | ) | (23,358 | ) | ||||||
| Accrued distribution fees—Class N |
(21,017 | ) | (2,772 | ) | (1,770 | ) | ||||||
| Accrued Trustees fees |
1,103 | 1,013 | 15 | |||||||||
| Dividends and Interest payable on securities sold short and reverse repurchase agreements |
978,724 | 88,550 | — | |||||||||
| Interest payable for reverse repurchase agreements |
— | — | 6,700 | |||||||||
| Other accrued expenses and liabilities |
36,111 | (212,513 | ) | (20,368 | ) | |||||||
| Net cash provided by (used in) operating activities |
$ | (344,897,012 | ) | $ | 206,473,776 | $ | 11,043,742 | |||||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||
| Proceeds from shares sold |
1,596,261,010 | 475,378,331 | 10,120,315 | |||||||||
| Net change in reverse repurchase agreements |
— | — | 1,023,195 | |||||||||
| Payments on shares redeemed |
(1,267,302,181 | ) | (682,441,178 | ) | (22,283,462 | ) | ||||||
| Due to custodian |
— | — | 99,971 | |||||||||
| Net cash provided by (used in) financing activities |
$ | 328,958,829 | $ | (207,062,847 | ) | $ | (11,039,981 | ) | ||||
| Net change in cash and cash denominated in foreign currencies | (15,938,183 | ) | (589,071 | ) | 3,761 | |||||||
| Cash, beginning of period |
26,985,821 | 29,226,026 | 48,108 | |||||||||
| Cash, end of period** |
$ | 11,047,638 | $ | 28,636,955 | $ | 51,869 | ||||||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $4,616,896, $2,990,932 and $105,245.
| *** | 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 2018 | ||||||||||||||
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| Statements of Cash Flows | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND*** |
AQR STYLE PREMIA ALTERNATIVE |
|||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||
| Net increase (decrease) in net assets resulting from operations |
$ | (390,517,102 | ) | $ | (17,031,085 | ) | ||
| 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 |
(3,190,574,779 | ) | (36,331,086 | ) | ||||
| Payments to cover short positions in securities |
(2,252,866,858 | ) | (22,622,418 | ) | ||||
| Proceeds from short positions in securities |
2,581,327,433 | 33,472,538 | ||||||
| Proceeds from sale of securities |
2,270,783,895 | 26,964,487 | ||||||
| (Purchases) sales of short-term investments, net |
261,673,957 | (31,506,541 | ) | |||||
| Realized (gain) loss on investments in securities |
(293,994,949 | ) | (3,797,954 | ) | ||||
| Realized (gain) loss on short positions in securities |
200,980,102 | 3,146,050 | ||||||
| Change in unrealized (appreciation) depreciation on investments in securities |
238,644,306 | 7,237,648 | ||||||
| Change in unrealized (appreciation) depreciation on short positions in securities |
58,571,016 | (2,655,498 | ) | |||||
| Amortization (accretion) of bond premium (discount) |
(9,477,125 | ) | (1,107,342 | ) | ||||
| (Increases) decreases in operating assets: | ||||||||
| Due from brokers |
(131,455,679 | ) | (456,109 | ) | ||||
| Deposits with brokers for futures contracts |
68,134,337 | (3,228,094 | ) | |||||
| Unrealized appreciation on forward foreign currency exchange contracts |
(2,749,920 | ) | 10,676 | |||||
| Unrealized appreciation on OTC swaps |
172,600,822 | 10,712,462 | ||||||
| Deposits for securities sold short |
— | (1,798,334 | ) | |||||
| Variation margin on futures contracts |
(3,976,331 | ) | 141,844 | |||||
| Receivable for securities sold |
(14,750,122 | ) | (13,487,533 | ) | ||||
| Foreign tax reclaim |
98,279 | (31,524 | ) | |||||
| Dividends and interest |
(663,782 | ) | (144,228 | ) | ||||
| Prepaid expenses |
5,103 | 7,317 | ||||||
| Increases (decreases) in operating liabilities | ||||||||
| Due to broker |
(195,421,109 | ) | (11,092,457 | ) | ||||
| Unrealized depreciation on forward foreign currency exchange contracts |
12,552,840 | 217,835 | ||||||
| Unrealized depreciation on OTC swaps |
138,853,458 | 12,102,760 | ||||||
| Deposits from brokers for futures contracts |
(492,507 | ) | — | |||||
| Variation margin on futures contracts |
3,748,151 | 1,145,214 | ||||||
| Payable for securities purchased |
27,624,363 | 13,545,594 | ||||||
| Accrued investment advisory fees |
54,361 | 21,867 | ||||||
| Accrued distribution fees—Class N |
(3,345 | ) | (2,108 | ) | ||||
| Accrued Trustees fees |
632 | 119 | ||||||
| Dividends and Interest payable on securities sold short and reverse repurchase agreements |
1,576,761 | 37,170 | ||||||
| Other accrued expenses and liabilities |
(94,556 | ) | 17,603 | |||||
| Net cash provided by (used in) operating activities |
$ | (449,808,348 | ) | $ | (36,511,127 | ) | ||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||
| Proceeds from shares sold |
1,229,603,479 | 106,698,174 | ||||||
| Payments on shares redeemed |
(742,087,165 | ) | (73,445,982 | ) | ||||
| Net cash provided by (used in) financing activities |
$ | 487,516,314 | $ | 33,252,192 | ||||
| Net change in cash and cash denominated in foreign currencies | 37,707,966 | (3,258,935 | ) | |||||
| Cash, beginning of period |
20,982,576 | 5,651,358 | ||||||
| Cash, end of period** |
$ | 58,690,542 | $ | 2,392,423 | ||||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $4,644,536 and $222,165.
| *** | 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 2018 | ||||||||||||||
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Table of Contents
| Statements of Cash Flows | June 30, 2018 (Unaudited) |
| ** | The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities that sum to the total of the same such amounts disclosed in the Statements of Cash Flows: |
| Fund | CASH | CASH DENOMINATED IN FOREIGN CURRENCIES |
TOTAL CASH AND CASH DENOMINATED IN FOREIGN CURRENCIES |
|||||||||
| AQR Alternative Risk Premia Fund |
$492,283 | $484,791 | $977,074 | |||||||||
| AQR Diversified Arbitrage Fund |
3,781,414 | 1,082,191 | 4,863,605 | |||||||||
| AQR Equity Market Neutral Fund |
125,185 | 3,248,550 | 3,373,735 | |||||||||
| AQR Long-Short Equity Fund |
2,697,865 | 8,349,773 | 11,047,638 | |||||||||
| AQR Multi-Strategy Alternative Fund |
10,530,159 | 18,106,796 | 28,636,955 | |||||||||
| AQR Risk Parity II HV Fund |
— | 51,869 | 51,869 | |||||||||
| AQR Style Premia Alternative Fund |
30,302,575 | 28,387,967 | 58,690,542 | |||||||||
| AQR Style Premia Alternative LV Fund |
1,095,595 | 1,296,828 | 2,392,423 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Financial Highlights | June 30, 2018 |
| 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 ALTERNATIVE RISK PREMIA FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $10.01 | (0.01 | ) | (0.76 | ) | (0.77 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD 9/19/177—12/31/17 | $10.00 | (0.01 | ) | 0.02 | 8 | 0.01 | — | — | — | — | ||||||||||||||||||||||
| AQR ALTERNATIVE RISK PREMIA FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $10.01 | (0.04 | ) | (0.74 | ) | (0.78 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD 9/19/177—12/31/17 | $10.00 | (0.01 | ) | 0.02 | 8 | 0.01 | — | — | — | — | ||||||||||||||||||||||
| AQR ALTERNATIVE RISK PREMIA FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $10.02 | (0.02 | ) | (0.75 | ) | (0.77 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD 9/19/177—12/31/17 | $10.00 | (0.01 | ) | 0.03 | 8 | 0.02 | — | — | — | — | ||||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.12 | 0.06 | 0.26 | 0.32 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.23 | 0.02 | 0.52 | 0.54 | (0.65 | ) | — | — | (0.65 | ) | ||||||||||||||||||||||
| 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 | ) | ||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.12 | 0.05 | 0.26 | 0.31 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.23 | 0.00 | 9 | 0.51 | 0.51 | (0.62 | ) | — | — | (0.62 | ) | |||||||||||||||||||||
| 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 | ) | ||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.10 | 0.08 | 0.25 | 0.33 | — | — | — | — | ||||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.21 | 0.03 | 0.52 | 0.55 | (0.66 | ) | — | — | (0.66 | ) | ||||||||||||||||||||||
| 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 9/02/1410—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, 2018 (Unaudited) | $12.25 | 0.00 | 9 | (1.05 | ) | (1.05 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $11.97 | (0.08 | ) | 0.79 | 0.71 | (0.43 | ) | — | — | (0.43 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $11.48 | (0.13 | ) | 0.80 | 0.67 | (0.18 | ) | (0.00 | )9 | — | (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 10/07/147—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )9 | (0.59 | ) | ||||||||||||||||||||
| AQR EQUITY MARKET NEUTRAL FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $12.21 | (0.01 | ) | (1.04 | ) | (1.05 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $11.95 | (0.11 | ) | 0.78 | 0.67 | (0.41 | ) | — | — | (0.41 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $11.47 | (0.15 | ) | 0.77 | 0.62 | (0.14 | ) | (0.00 | )9 | — | (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 10/07/147—12/31/14 | $10.00 | (0.03 | ) | 0.62 | 0.59 | (0.58 | ) | — | (0.00 | )9 | (0.58 | ) | ||||||||||||||||||||
| AQR EQUITY MARKET NEUTRAL FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $12.25 | 0.01 | (1.05 | ) | (1.04 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $11.97 | (0.08 | ) | 0.79 | 0.71 | (0.43 | ) | — | — | (0.43 | ) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $11.49 | (0.14 | ) | 0.81 | 0.67 | (0.19 | ) | (0.00 | )9 | — | (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 10/07/147—12/31/14 | $10.00 | (0.02 | ) | 0.62 | 0.60 | (0.59 | ) | — | (0.00 | )9 | (0.59 | ) | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $9.24 | (7.69 | )% | $141,829 | 3.69 | %6 | 3.57 | % | 1.40 | % | (0.26 | )% | 170 | % | |||||||||||||||||||||
| $10.01 | 0.10 | % | $26,852 | 3.06 | %6 | 2.65 | % | 1.40 | % | (0.25 | )% | 293 | % | |||||||||||||||||||||
| $9.23 | (7.79 | )% | $4,957 | 3.95 | %6 | 3.82 | % | 1.65 | % | (0.73 | )% | 170 | % | |||||||||||||||||||||
| $10.01 | 0.10 | % | $1,538 | 3.70 | %6 | 2.90 | % | 1.65 | % | (0.44 | )% | 293 | % | |||||||||||||||||||||
| $9.25 | (7.68 | )% | $73,449 | 3.59 | %6 | 3.47 | % | 1.30 | % | (0.35 | )% | 170 | % | |||||||||||||||||||||
| $10.02 | 0.20 | % | $49,818 | 3.14 | %6 | 2.55 | % | 1.30 | % | (0.22 | )% | 293 | % | |||||||||||||||||||||
| $9.44 | 3.51 | % | $367,247 | 2.10 | % | 2.04 | % | 1.22 | % | 1.36 | % | 243 | % | |||||||||||||||||||||
| $9.12 | 5.92 | % | $386,972 | 2.08 | % | 2.02 | % | 1.19 | % | 0.25 | % | 205 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $9.43 | 3.40 | % | $85,065 | 2.35 | % | 2.29 | % | 1.47 | % | 1.17 | % | 243 | % | |||||||||||||||||||||
| $9.12 | 5.58 | % | $76,774 | 2.34 | % | 2.28 | % | 1.44 | % | 0.01 | % | 205 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $9.43 | 3.63 | % | $15,104 | 2.01 | % | 1.95 | % | 1.13 | % | 1.67 | % | 243 | % | |||||||||||||||||||||
| $9.10 | 6.02 | % | $8,416 | 1.98 | % | 1.93 | % | 1.10 | % | 0.36 | % | 205 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $11.20 | (8.57 | )% | $1,383,765 | 2.19 | % | 2.19 | % | 1.25 | % | 0.07 | % | 93 | % | |||||||||||||||||||||
| $12.25 | 5.84 | % | $1,552,269 | 2.07 | % | 2.07 | % | 1.27 | % | (0.66 | )% | 237 | % | |||||||||||||||||||||
| $11.97 | 5.85 | % | $790,179 | 2.13 | % | 2.13 | % | 1.28 | % | (1.15 | )% | 227 | % | |||||||||||||||||||||
| $11.48 | 17.60 | % | $179,312 | 2.17 | %6 | 1.90 | % | 1.25 | % | (1.36 | )% | 383 | % | |||||||||||||||||||||
| $10.01 | 5.93 | % | $1,445 | 4.57 | %6 | 1.63 | % | 1.30 | % | (1.04 | )% | 152 | % | |||||||||||||||||||||
| $11.16 | (8.60 | )% | $284,073 | 2.45 | % | 2.45 | % | 1.51 | % | (0.25 | )% | 93 | % | |||||||||||||||||||||
| $12.21 | 5.56 | % | $357,839 | 2.35 | % | 2.35 | % | 1.55 | % | (0.92 | )% | 237 | % | |||||||||||||||||||||
| $11.95 | 5.43 | % | $154,189 | 2.40 | % | 2.40 | % | 1.55 | % | (1.27 | )% | 227 | % | |||||||||||||||||||||
| $11.47 | 17.43 | % | $89,755 | 2.41 | %6 | 2.16 | % | 1.51 | % | (1.69 | )% | 383 | % | |||||||||||||||||||||
| $10.01 | 5.88 | % | $1,233 | 4.83 | %6 | 1.88 | % | 1.55 | % | (1.29 | )% | 152 | % | |||||||||||||||||||||
| $11.21 | (8.49 | )% | $294,144 | 2.11 | % | 2.11 | % | 1.17 | % | 0.23 | % | 93 | % | |||||||||||||||||||||
| $12.25 | 5.91 | % | $326,927 | 2.00 | % | 2.00 | % | 1.20 | % | (0.61 | )% | 237 | % | |||||||||||||||||||||
| $11.97 | 5.82 | % | $177,683 | 2.05 | % | 2.05 | % | 1.20 | % | (1.22 | )% | 227 | % | |||||||||||||||||||||
| $11.49 | 17.72 | % | $148 | 3.05 | %6 | 1.85 | % | 1.20 | % | (1.26 | )% | 383 | % | |||||||||||||||||||||
| $10.01 | 5.95 | % | $3,210 | 4.49 | %6 | 1.53 | % | 1.20 | % | (0.95 | )% | 152 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Financial Highlights | June 30, 2018 |
| 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 GLOBAL MACRO FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $8.75 | (0.00 | )9 | 0.69 | 0.69 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.06 | (0.06 | ) | (0.25 | ) | (0.31 | ) | (0.00 | )9 | — | — | (0.00 | )9 | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.60 | (0.11 | ) | 0.12 | 8 | 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 4/08/147—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, 2018 (Unaudited) | $8.66 | (0.01 | ) | 0.68 | 0.67 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.99 | (0.08 | ) | (0.25 | ) | (0.33 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.55 | (0.13 | ) | 0.12 | 8 | (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 4/08/147—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, 2018 (Unaudited) | $8.75 | 0.00 | 9 | 0.69 | 0.69 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.07 | (0.03 | ) | (0.28 | ) | (0.31 | ) | (0.01 | ) | — | — | (0.01 | ) | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $9.60 | (0.10 | ) | 0.12 | 8 | 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 9/02/1410—12/31/14 | $9.72 | (0.04 | ) | 0.28 | 0.24 | — | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||||
| AQR LONG-SHORT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $13.88 | (0.00 | )9 | (1.14 | ) | (1.14 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $13.07 | (0.08 | ) | 2.15 | 2.07 | (0.56 | ) | (0.70 | ) | — | (1.26 | ) | ||||||||||||||||||||
| 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 7/16/137—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, 2018 (Unaudited) | $13.80 | (0.03 | ) | (1.12 | ) | (1.15 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $13.00 | (0.11 | ) | 2.13 | 2.02 | (0.52 | ) | (0.70 | ) | — | (1.22 | ) | ||||||||||||||||||||
| 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 7/16/137—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, 2018 (Unaudited) | $13.91 | 0.00 | 9 | (1.14 | ) | (1.14 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $13.08 | (0.07 | ) | 2.17 | 2.10 | (0.57 | ) | (0.70 | ) | — | (1.27 | ) | ||||||||||||||||||||
| 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 9/02/1410—12/31/14 | $11.05 | (0.08 | ) | 0.78 | 0.70 | (0.75 | ) | (0.10 | ) | (0.03 | ) | (0.88 | ) | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
250
Table of Contents
| Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $9.44 | 7.89 | % | $16,261 | 2.14 | % | 1.44 | % | 1.44 | % | (0.06 | )% | 0 | % | |||||||||||||||||||||
| $8.75 | (3.38 | )% | $9,199 | 2.30 | % | 1.40 | % | 1.40 | % | (0.65 | )% | 0 | % | |||||||||||||||||||||
| $9.06 | 0.02 | % | $18,972 | 1.98 | % | 1.41 | % | 1.41 | % | (1.12 | )% | 0 | % | |||||||||||||||||||||
| $9.60 | 1.71 | % | $31,453 | 1.78 | %6 | 1.38 | % | 1.38 | % | (1.45 | )% | 0 | % | |||||||||||||||||||||
| $9.94 | (0.42 | )% | $35,466 | 2.24 | %6 | 1.45 | % | 1.45 | % | (1.44 | )% | 0 | % | |||||||||||||||||||||
| $9.33 | 7.74 | % | $4,964 | 2.40 | % | 1.70 | % | 1.70 | % | (0.33 | )% | 0 | % | |||||||||||||||||||||
| $8.66 | (3.67 | )% | $2,892 | 2.63 | % | 1.70 | % | 1.70 | % | (0.89 | )% | 0 | % | |||||||||||||||||||||
| $8.99 | (0.19 | )% | $3,217 | 2.17 | % | 1.65 | % | 1.65 | % | (1.35 | )% | 0 | % | |||||||||||||||||||||
| $9.55 | 1.41 | % | $20,838 | 1.88 | %6 | 1.70 | % | 1.70 | % | (1.56 | )% | 0 | % | |||||||||||||||||||||
| $9.92 | (0.62 | )% | $1,050 | 2.49 | %6 | 1.70 | % | 1.70 | % | (1.69 | )% | 0 | % | |||||||||||||||||||||
| $9.44 | 7.89 | % | $15,100 | 2.06 | % | 1.35 | % | 1.35 | % | 0.05 | % | 0 | % | |||||||||||||||||||||
| $8.75 | (3.41 | )% | $13,970 | 2.32 | % | 1.35 | % | 1.35 | % | (0.34 | )% | 0 | % | |||||||||||||||||||||
| $9.07 | 0.14 | % | $4,374 | 1.95 | % | 1.35 | % | 1.35 | % | (1.09 | )% | 0 | % | |||||||||||||||||||||
| $9.60 | 1.71 | % | $104 | 1.72 | %6 | 1.35 | % | 1.35 | % | (1.41 | )% | 0 | % | |||||||||||||||||||||
| $9.94 | 2.45 | % | $102 | 2.02 | %6 | 1.35 | % | 1.35 | % | (1.37 | )% | 0 | % | |||||||||||||||||||||
| $12.74 | (8.21 | )% | $4,135,233 | 1.74 | % | 1.74 | % | 1.24 | % | (0.01 | )% | 302 | % | |||||||||||||||||||||
| $13.88 | 15.73 | % | $4,144,436 | 2.01 | % | 2.01 | % | 1.27 | % | (0.60 | )% | 249 | % | |||||||||||||||||||||
| $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 | %6 | 1.30 | % | 1.30 | % | (1.29 | )% | 0 | % | |||||||||||||||||||||
| $12.65 | (8.33 | )% | $280,363 | 2.00 | % | 2.00 | % | 1.50 | % | (0.38 | )% | 302 | % | |||||||||||||||||||||
| $13.80 | 15.47 | % | $385,302 | 2.27 | % | 2.27 | % | 1.53 | % | (0.80 | )% | 249 | % | |||||||||||||||||||||
| $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 | %6 | 1.55 | % | 1.55 | % | (1.54 | )% | 0 | % | |||||||||||||||||||||
| $12.77 | (8.20 | )% | $871,703 | 1.65 | % | 1.65 | % | 1.15 | % | 0.02 | % | 302 | % | |||||||||||||||||||||
| $13.91 | 15.95 | % | $965,972 | 1.92 | % | 1.92 | % | 1.17 | % | (0.46 | )% | 249 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Financial Highlights | June 30, 2018 |
| 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 MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.05 | (0.03 | ) | (0.73 | ) | (0.76 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.50 | (0.07 | ) | 0.37 | 0.30 | (0.60 | ) | (0.15 | ) | — | (0.75 | ) | ||||||||||||||||||||
| 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 | ) | ||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.00 | (0.04 | ) | (0.72 | ) | (0.76 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.45 | (0.09 | ) | 0.37 | 0.28 | (0.58 | ) | (0.15 | ) | — | (0.73 | ) | ||||||||||||||||||||
| 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 | ) | ||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.06 | (0.02 | ) | (0.74 | ) | (0.76 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.51 | (0.06 | ) | 0.37 | 0.31 | (0.61 | ) | (0.15 | ) | — | (0.76 | ) | ||||||||||||||||||||
| 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 9/02/1410—12/31/14 | $9.88 | (0.11 | ) | 0.71 | 0.60 | (0.73 | ) | — | — | (0.73 | ) | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $6.90 | 0.01 | (0.27 | ) | (0.26 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $6.25 | (0.02 | ) | 0.67 | 0.65 | (0.00 | )9 | — | — | (0.00 | )9 | |||||||||||||||||||||
| 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 | ) | — | — | — | — | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $6.81 | 0.01 | (0.28 | ) | (0.27 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $6.18 | (0.03 | ) | 0.66 | 0.63 | (0.00 | )9 | — | — | (0.00 | )9 | |||||||||||||||||||||
| 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 | ) | — | — | — | — | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $6.92 | 0.02 | (0.28 | ) | (0.26 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $6.26 | (0.01 | ) | 0.67 | 0.66 | (0.00 | )9 | — | — | (0.00 | )9 | |||||||||||||||||||||
| 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 9/02/1410—12/31/14 | $8.60 | (0.02 | ) | (1.59 | ) | (1.61 | ) | — | — | — | — | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $8.29 | (8.40 | )% | $1,566,088 | 2.40 | % | 2.40 | % | 1.97 | % | (0.66 | )% | 73 | % | |||||||||||||||||||||
| $9.05 | 3.10 | % | $1,987,557 | 2.30 | % | 2.30 | % | 1.97 | % | (0.75 | )% | 110 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $8.24 | (8.44 | )% | $430,354 | 2.65 | % | 2.65 | % | 2.22 | % | (0.85 | )% | 73 | % | |||||||||||||||||||||
| $9.00 | 2.84 | % | $433,225 | 2.56 | % | 2.56 | % | 2.23 | % | (0.96 | )% | 110 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $8.30 | (8.39 | )% | $580,562 | 2.30 | % | 2.30 | % | 1.87 | % | (0.53 | )% | 73 | % | |||||||||||||||||||||
| $9.06 | 3.19 | % | $610,652 | 2.20 | % | 2.20 | % | 1.87 | % | (0.61 | )% | 110 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $6.64 | (3.77 | )% | $141,121 | 1.01 | % | 1.00 | % | 1.00 | % | 0.43 | % | 0 | % | |||||||||||||||||||||
| $6.90 | 10.41 | % | $87,863 | 1.05 | % | 0.99 | % | 0.99 | % | (0.27 | )% | 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 | % | |||||||||||||||||||||
| $6.54 | (3.96 | )% | $34,150 | 1.26 | % | 1.25 | % | 1.25 | % | 0.22 | % | 0 | % | |||||||||||||||||||||
| $6.81 | 10.20 | % | $7,559 | 1.31 | % | 1.25 | % | 1.25 | % | (0.50 | )% | 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 | % | |||||||||||||||||||||
| $6.66 | (3.76 | )% | $158,574 | 0.91 | % | 0.90 | % | 0.90 | % | 0.52 | % | 0 | % | |||||||||||||||||||||
| $6.92 | 10.55 | % | $110,467 | 0.96 | % | 0.90 | % | 0.90 | % | (0.16 | )% | 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 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
253
Table of Contents
| Financial Highlights | June 30, 2018 |
| 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 FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.82 | 0.04 | (0.21 | ) | (0.17 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.34 | 0.02 | 1.49 | 1.51 | (0.19 | ) | (0.84 | ) | — | (1.03 | ) | |||||||||||||||||||||
| 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 | 8 | 0.01 | (0.27 | ) | (0.46 | ) | — | (0.73 | ) | |||||||||||||||||||
| AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.80 | 0.03 | (0.22 | ) | (0.19 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.32 | (0.01 | ) | 1.50 | 1.49 | (0.17 | ) | (0.84 | ) | — | (1.01 | ) | ||||||||||||||||||||
| 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 | 8 | (0.03 | ) | (0.22 | ) | (0.46 | ) | — | (0.68 | ) | ||||||||||||||||||
| AQR RISK PARITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.83 | 0.05 | (0.23 | ) | (0.18 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.34 | 0.02 | 1.51 | 1.53 | (0.20 | ) | (0.84 | ) | — | (1.04 | ) | |||||||||||||||||||||
| 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 9/02/1410—12/31/14 | $12.01 | (0.04 | ) | (0.43 | )8 | (0.47 | ) | (0.30 | ) | (1.10 | ) | — | (1.40 | ) | ||||||||||||||||||
| AQR RISK PARITY II HV FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $8.88 | 0.04 | (0.08 | ) | (0.04 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.42 | (0.02 | ) | 1.59 | 1.57 | (0.04 | ) | (1.07 | ) | — | (1.11 | ) | ||||||||||||||||||||
| 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 | ) | ||||||||||||||||||
| AQR RISK PARITY II HV FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $8.85 | 0.02 | (0.07 | ) | (0.05 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.43 | 0.21 | 1.32 | 1.53 | (0.04 | ) | (1.07 | ) | — | (1.11 | ) | |||||||||||||||||||||
| 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 | ) | ||||||||||||||||||
| AQR RISK PARITY II HV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $8.88 | 0.05 | (0.09 | ) | (0.04 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.41 | (0.13 | ) | 1.71 | 1.58 | (0.04 | ) | (1.07 | ) | — | (1.11 | ) | ||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2016 | $7.78 | (0.00 | )9 | 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 9/02/1410—12/31/14 | $11.37 | (0.05 | ) | (0.53 | )8 | (0.58 | ) | (0.06 | ) | (1.18 | ) | — | (1.24 | ) | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
254
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| Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $9.65 | (1.73 | )% | $ | 357,174 | 0.95 | % | 0.95 | % | 0.95 | % | 0.91 | % | 12 | % | ||||||||||||||||||||
| $9.82 | 16.36 | % | $ | 415,799 | 0.94 | % | 0.93 | % | 0.93 | % | 0.19 | % | 48 | % | ||||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $9.61 | (1.94 | )% | $15,953 | 1.20 | % | 1.20 | % | 1.20 | % | 0.70 | % | 12 | % | |||||||||||||||||||||
| $9.80 | 16.13 | % | $16,673 | 1.21 | % | 1.20 | % | 1.20 | % | (0.06 | )% | 48 | % | |||||||||||||||||||||
| $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 | % | ||||||||||||||||||||
| $9.65 | (1.83 | )% | $32,586 | 0.85 | % | 0.85 | % | 0.85 | % | 1.01 | % | 12 | % | |||||||||||||||||||||
| $9.83 | 16.56 | % | $40,256 | 0.87 | % | 0.85 | % | 0.85 | % | 0.24 | % | 48 | % | |||||||||||||||||||||
| $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 | % | ||||||||||||||||||||
| $8.84 | (0.45 | )% | $34,373 | 1.87 | % | 1.54 | % | 1.14 | % | 0.93 | % | 14 | % | |||||||||||||||||||||
| $8.88 | 19.03 | % | $38,689 | 1.66 | % | 1.34 | % | 1.11 | % | (0.21 | )% | 45 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $8.80 | (0.56 | )% | $10,070 | 2.13 | % | 1.80 | % | 1.40 | % | 0.49 | % | 14 | % | |||||||||||||||||||||
| $8.85 | 18.52 | % | $18,472 | 1.92 | % | 1.63 | % | 1.39 | % | 2.36 | % | 45 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $8.84 | (0.45 | )% | $893 | 1.79 | % | 1.45 | % | 1.05 | % | 1.12 | % | 14 | % | |||||||||||||||||||||
| $8.88 | 19.17 | % | $765 | 1.62 | % | 1.28 | % | 1.05 | % | (1.47 | )% | 45 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
255
Table of Contents
| Financial Highlights | June 30, 2018 |
| 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 MV FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.26 | 0.04 | (0.02 | ) | 0.02 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.98 | 0.02 | 1.08 | 1.10 | (0.02 | ) | (0.80 | ) | — | (0.82 | ) | |||||||||||||||||||||
| 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 | )9 | — | (0.01 | ) | ||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.20 | 0.03 | (0.02 | ) | 0.01 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.95 | (0.05 | ) | 1.12 | 1.07 | (0.02 | ) | (0.80 | ) | — | (0.82 | ) | ||||||||||||||||||||
| 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 | )9 | — | (0.01 | ) | ||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS R6 | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.26 | 0.05 | (0.03 | ) | 0.02 | — | — | — | — | |||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $8.97 | 0.04 | 1.07 | 1.11 | (0.02 | ) | (0.80 | ) | — | (0.82 | ) | |||||||||||||||||||||
| 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 9/02/1410—12/31/14 | $11.00 | (0.04 | ) | (0.33 | )8 | (0.37 | ) | (0.03 | ) | (0.71 | ) | — | (0.74 | ) | ||||||||||||||||||
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $10.38 | (0.01 | ) | (0.75 | ) | (0.76 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.92 | (0.07 | ) | 1.27 | 1.20 | (0.74 | ) | — | — | (0.74 | ) | |||||||||||||||||||||
| 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 10/30/137—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, 2018 (Unaudited) | $10.35 | (0.02 | ) | (0.75 | ) | (0.77 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.89 | (0.13 | ) | 1.30 | 1.17 | (0.71 | ) | — | — | (0.71 | ) | |||||||||||||||||||||
| 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 10/30/137—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, 2018 (Unaudited) | $10.41 | (0.00 | )9 | (0.77 | ) | (0.77 | ) | — | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.94 | (0.07 | ) | 1.28 | 1.21 | (0.74 | ) | — | — | (0.74 | ) | |||||||||||||||||||||
| 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 9/02/1410—12/31/14 | $10.35 | (0.07 | ) | 0.86 | 0.79 | (1.16 | ) | (0.11 | ) | — | (1.27 | ) | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
256
Table of Contents
| Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $9.28 | 0.22 | % | $71,499 | 1.15 | % | 0.95 | % | 0.95 | % | 0.98 | % | 5 | % | |||||||||||||||||||||
| $9.26 | 12.36 | % | $78,000 | 1.15 | % | 0.93 | % | 0.93 | % | 0.26 | % | 39 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $9.21 | 0.11 | % | $2,773 | 1.41 | % | 1.20 | % | 1.20 | % | 0.76 | % | 5 | % | |||||||||||||||||||||
| $9.20 | 12.07 | % | $2,784 | 1.43 | % | 1.20 | % | 1.20 | % | (0.55 | )% | 39 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $9.28 | 0.22 | % | $680 | 1.06 | % | 0.85 | % | 0.85 | % | 1.09 | % | 5 | % | |||||||||||||||||||||
| $9.26 | 12.49 | % | $679 | 1.07 | % | 0.85 | % | 0.85 | % | 0.42 | % | 39 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| $9.62 | (7.32 | )% | $3,025,751 | 2.26 | % | 2.26 | % | 1.48 | % | (0.11 | )% | 259 | % | |||||||||||||||||||||
| $10.38 | 11.94 | % | $2,956,926 | 2.22 | % | 2.21 | % | 1.49 | % | (0.70 | )% | 140 | % | |||||||||||||||||||||
| $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 | %6 | 2.07 | % | 1.50 | % | (1.77 | )% | 133 | % | |||||||||||||||||||||
| $9.58 | (7.44 | )% | $162,725 | 2.53 | % | 2.53 | % | 1.75 | % | (0.45 | )% | 259 | % | |||||||||||||||||||||
| $10.35 | 11.67 | % | $177,319 | 2.49 | % | 2.47 | % | 1.75 | % | (1.23 | )% | 140 | % | |||||||||||||||||||||
| $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 | %6 | 2.44 | % | 1.75 | % | (2.05 | )% | 133 | % | |||||||||||||||||||||
| $9.64 | (7.40 | )% | $1,645,865 | 2.18 | % | 2.18 | % | 1.40 | % | (0.04 | )% | 259 | % | |||||||||||||||||||||
| $10.41 | 12.10 | % | $1,613,182 | 2.14 | % | 2.12 | % | 1.40 | % | (0.65 | )% | 140 | % | |||||||||||||||||||||
| $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 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
257
Table of Contents
| Financial Highlights | June 30, 2018 |
| 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 LV FUND CLASS I | ||||||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $10.57 | 0.04 | (0.40 | ) | (0.36 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $10.41 | (0.00 | )9 | 0.71 | 0.71 | (0.55 | ) | — | — | (0.55 | ) | |||||||||||||||||||||
| 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 9/17/147—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, 2018 (Unaudited) | $10.53 | 0.02 | (0.39 | ) | (0.37 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $10.37 | (0.05 | ) | 0.72 | 0.67 | (0.51 | ) | — | — | (0.51 | ) | |||||||||||||||||||||
| 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 9/17/147—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, 2018 (Unaudited) | $10.59 | 0.04 | (0.40 | ) | (0.36 | ) | — | — | — | — | ||||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $10.42 | (0.00 | )9 | 0.72 | 0.72 | (0.55 | ) | — | — | (0.55 | ) | |||||||||||||||||||||
| 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 9/17/147—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. |
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| Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $10.21 | (3.41 | )% | $366,161 | 1.22 | % | 1.22 | % | 0.84 | % | 0.76 | % | 76 | % | |||||||||||||||||||||
| $10.57 | 6.74 | % | $336,047 | 1.23 | % | 1.22 | % | 0.83 | % | — | % | 136 | % | |||||||||||||||||||||
| $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 | %6 | 1.01 | % | 0.85 | % | (0.68 | )% | 191 | % | |||||||||||||||||||||
| $10.16 | (3.51 | )% | $26,934 | 1.48 | % | 1.48 | % | 1.10 | % | 0.44 | % | 76 | % | |||||||||||||||||||||
| $10.53 | 6.46 | % | $35,465 | 1.50 | % | 1.49 | % | 1.10 | % | (0.48 | )% | 136 | % | |||||||||||||||||||||
| $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 | %6 | 1.32 | % | 1.10 | % | (0.91 | )% | 191 | % | |||||||||||||||||||||
| $10.23 | (3.40 | )% | $88,917 | 1.13 | % | 1.13 | % | 0.75 | % | 0.81 | % | 76 | % | |||||||||||||||||||||
| $10.59 | 6.90 | % | $94,055 | 1.15 | % | 1.14 | % | 0.75 | % | (0.01 | )% | 136 | % | |||||||||||||||||||||
| $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 | %6 | 1.00 | % | 0.75 | % | (0.32 | )% | 191 | % | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
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| Financial Highlights | June 30, 2018 |
| * | 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 | Certain expenses incurred by the Fund were not annualized for the period. |
| 7 | Commencement of operations. |
| 8 | 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. |
| 9 | Amount is less than $.005 per share |
| 10 | Commencement of offering of shares. |
| The accompanying notes are an integral part of these financial statements. |
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260
Table of Contents
| Notes to Financial Statements | June 30, 2018 (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, 2018, the Trust consists of thirty-nine active series, twelve of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Alternative Risk Premia 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 Alternative Risk Premia Fund, 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.
| SUBSIDIARY NET ASSETS AT JUNE 30, 2018 |
% OF TOTAL NET ASSETS AT JUNE 30, 2018 |
|||||||
| AQR Global Macro Offshore Fund Ltd |
$ | 8,410,418 | 23.2 | % | ||||
| AQR Multi-Strategy Alternative Offshore Fund Ltd |
417,605,790 | 16.2 | % | |||||
| AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd |
79,288,756 | 23.8 | % | |||||
| AQR Risk Parity Offshore Fund Ltd |
81,452,812 | 20.1 | % | |||||
| AQR Risk Parity II HV Offshore Fund Ltd |
10,524,145 | 23.2 | % | |||||
| AQR Risk Parity II MV Offshore Fund Ltd |
11,379,551 | 15.2 | % | |||||
| AQR Style Premia Alternative Offshore Fund Ltd |
1,116,548,544 | 23.1 | % | |||||
| AQR Style Premia Alternative LV Offshore Fund Ltd |
112,745,265 | 23.4 | % | |||||
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.
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) from settlement of 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 translations 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). Realized gains and losses on investment transactions 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. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. 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.
Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. 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
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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, 2018, 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, if applicable.
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 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
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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 commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the commitment 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 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, 2018, AQR Diversified Arbitrage Fund’s unfunded commitments were as follows:
| BORROWER | COMMITMENT AMOUNT | |
| DEMC, Ltd Class A-2 |
$322,225 | |
| Nationstar Bridge Loan |
5,000,000 | |
| Centene Corp. |
5,000,000 | |
| Alberstsons Bridge Loan |
2,500,000 | |
| Energizer |
2,500,000 |
The fund has no unrealized gain or loss on the unfunded commitments.
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 may engage in short sales, which is when a Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security. 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 incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
| FUND | ||||
| AQR Alternative Risk Premia Fund |
$ | 187,197 | ||
| AQR Diversified Arbitrage Fund |
248,460 | |||
| AQR Equity Market Neutral Fund |
1,132,804 | |||
| AQR Long-Short Equity Fund |
2,547,841 | |||
| AQR Multi-Strategy Alternative Fund |
1,424,664 | |||
| AQR Style Premia Alternative Fund |
2,377,645 | |||
| AQR Style Premia Alternative LV Fund |
128,334 | |||
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 centrally cleared swaps, the Schedules of Investments includes the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date or closing of 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) from the expiration or closing of 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.
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Total Return Basket Swaps: Certain Funds may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and/or 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 absolute notional value of the total return basket swap represents the accumulated notional value of the underlying long components and absolute notional value of the short components held within the total return basket swap at period end. The notional value of each component represents the market value at period end. 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, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior
to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). 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. The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. 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) from expiration or closing of 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
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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 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 $12,219,366 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.
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 i) 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, ii) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
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 cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts 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 centrally cleared swaps and
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Variation margin on futures contracts. 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 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).
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 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. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. 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. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 Adviser has established a Valuation Committee (the “VC”) to assist the board with oversight and monitoring of the valuation of the Funds’ investments. This includes administering, implementing and overseeing the continual appropriateness of valuation approaches 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 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 ready 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. 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.
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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 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 their 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.
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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 ALTERNATIVE RISK PREMIA FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 152,516,388 | $ | 66,366,596 | $ | — | $ | 218,882,984 | ||||||||
| Short-Term Investments |
— | 168,631,927 | — | 168,631,927 | ||||||||||||
| Futures Contracts* |
1,434,419 | — | — | 1,434,419 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 1,379,260 | — | 1,379,260 | ||||||||||||
| Total Return Swaps Contracts* |
— | 80,847 | — | 80,847 | ||||||||||||
| Total Assets |
$ | 153,950,807 | $ | 236,458,630 | $ | — | $ | 390,409,437 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (128,666,033 | ) | $ | (58,342,044 | ) | $ | (105 | ) | $ | (187,008,182 | ) | ||||
| Written Options (Sold Short) |
(582,371 | ) | — | — | (582,371 | ) | ||||||||||
| Futures Contracts* |
(1,849,534 | ) | — | — | (1,849,534 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (2,200,172 | ) | — | (2,200,172 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (813,977 | ) | — | (813,977 | ) | ||||||||||
| Total Liabilities |
$ | (131,097,938 | ) | $ | (61,356,193 | ) | $ | (105 | ) | $ | (192,454,236 | ) | ||||
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| AQR DIVERSIFIED ARBITRAGE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks |
$ | 105,034,914 | $ | 60,335,158 | $ | 6,111,492 | $ | 171,481,564 | ||||||||
| Convertible Preferred Stocks |
— | 27,115,822 | — | 27,115,822 | ||||||||||||
| Corporate Bonds |
— | 41,993,715 | 7,376,966 | 49,370,681 | ||||||||||||
| Convertible Bonds |
— | 119,699,413 | 188,573 | 119,887,986 | ||||||||||||
| Closed End Funds |
22,305,628 | — | — | 22,305,628 | ||||||||||||
| Loan Participations |
— | 6,589,047 | — | 6,589,047 | ||||||||||||
| Preferred Stocks |
1,220,135 | 401,162 | 671,996 | 2,293,293 | ||||||||||||
| Rights |
1,716,192 | 1,211,399 | 499,357 | 3,426,948 | ||||||||||||
| Securities in Litigation |
— | — | 515,450 | 515,450 | ||||||||||||
| Warrants |
17,809,268 | 4,773,334 | 2,021,277 | 24,603,879 | ||||||||||||
| Short-Term Investments |
— | 136,059,681 | — | 136,059,681 | ||||||||||||
| Futures Contracts* |
1,089,853 | — | — | 1,089,853 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 94,325 | — | 94,325 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 10,131,549 | — | 10,131,549 | ||||||||||||
| Total Assets |
$ | 149,175,990 | $ | 408,404,605 | $ | 17,385,111 | $ | 574,965,706 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short) |
$ | (107,525,723 | ) | $ | (422,237 | ) | $ | — | (a) | $ | (107,947,960 | ) | ||||
| Convertible Bonds (Sold Short) |
— | (11,773,114 | ) | — | (11,773,114 | ) | ||||||||||
| Futures Contracts* |
(331,074 | ) | — | — | (331,074 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (14,964 | ) | — | (14,964 | ) | ||||||||||
| Credit Default Swap Contracts* |
— | (836,698 | ) | — | (836,698 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (828,741 | ) | — | (828,741 | ) | ||||||||||
| Total Liabilities |
$ | (107,856,797 | ) | $ | (13,875,754 | ) | $ | — | (a) | $ | (121,732,551 | ) | ||||
| AQR EQUITY MARKET NEUTRAL FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 72,914,746 | $ | 473,979,822 | $ | — | $ | 546,894,568 | ||||||||
| Short-Term Investments |
— | 1,554,772,092 | — | 1,554,772,092 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 1,278,012 | — | 1,278,012 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 1,170,641 | — | 1,170,641 | ||||||||||||
| Total Assets |
$ | 72,914,746 | $ | 2,031,200,567 | $ | — | $ | 2,104,115,313 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (71,612,046 | ) | $ | (379,736,089 | ) | $ | — | $ | (451,348,135 | ) | |||||
| Rights† |
— | — | — | (a) | — | (a) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (544,975 | ) | — | (544,975 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (79,375,211 | ) | — | (79,375,211 | ) | ||||||||||
| Total Liabilities |
$ | (71,612,046 | ) | $ | (459,656,275 | ) | $ | — | (a) | $ | (531,268,321 | ) | ||||
| AQR GLOBAL MACRO FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Short-Term Investments |
$ | — | $ | 32,731,936 | $ | — | $ | 32,731,936 | ||||||||
| Futures Contracts* |
1,137,959 | — | — | 1,137,959 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 794,342 | — | 794,342 | ||||||||||||
| Interest Rate Swap Contracts* |
— | 2,061,026 | — | 2,061,026 | ||||||||||||
| Total Return Swaps Contracts* |
— | 38,548 | — | 38,548 | ||||||||||||
| Total Assets |
$ | 1,137,959 | $ | 35,625,852 | $ | — | $ | 36,763,811 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (816,771 | ) | $ | — | $ | — | $ | (816,771 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (702,932 | ) | — | (702,932 | ) | ||||||||||
| Interest Rate Swap Contracts* |
— | (1,448,901 | ) | — | (1,448,901 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (64,990 | ) | — | (64,990 | ) | ||||||||||
| Total Liabilities |
$ | (816,771 | ) | $ | (2,216,823 | ) | $ | — | $ | (3,033,594 | ) | |||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
| AQR LONG-SHORT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 2,099,000,619 | $ | 281,729,825 | $ | — | $ | 2,380,730,444 | ||||||||
| Short-Term Investments |
— | 4,675,394,391 | — | 4,675,394,391 | ||||||||||||
| Futures Contracts* |
1,332,588 | — | — | 1,332,588 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 1,287,463 | — | 1,287,463 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 40,992,150 | — | 40,992,150 | ||||||||||||
| Total Return Swaps Contracts* |
— | 33,123 | — | 33,123 | ||||||||||||
| Total Assets |
$ | 2,100,333,207 | $ | 4,999,436,952 | $ | — | $ | 7,099,770,159 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (1,742,011,876 | ) | $ | (194,418,105 | ) | $ | — | $ | (1,936,429,981 | ) | |||||
| Rights† |
— | — | — | (a) | –(a | ) | ||||||||||
| Futures Contracts* |
(44,967,338 | ) | — | — | (44,967,338 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (12,543,799 | ) | — | (12,543,799 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (305,328,583 | ) | — | (305,328,583 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (4,429,217 | ) | — | (4,429,217 | ) | ||||||||||
| Total Liabilities |
$ | (1,786,979,214 | ) | $ | (516,719,704 | ) | $ | — | (a) | $ | (2,303,698,918 | ) | ||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 22,531,318 | $ | — | $ | 406,135 | $ | 22,937,453 | ||||||||
| Convertible Preferred Stocks† |
— | 215,627,091 | — | 215,627,091 | ||||||||||||
| Corporate Bonds† |
— | — | 236,648 | 236,648 | ||||||||||||
| Convertible Bonds† |
— | 511,559,667 | 181,158 | 511,740,825 | ||||||||||||
| Short-Term Investments |
— | 2,312,563,752 | — | 2,312,563,752 | ||||||||||||
| Futures Contracts* |
26,345,730 | — | — | 26,345,730 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 33,986,679 | — | 33,986,679 | ||||||||||||
| Credit Default Swap Contracts* |
— | 17,877,742 | — | 17,877,742 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 25,085,789 | — | 25,085,789 | ||||||||||||
| Total Return Swaps Contracts* |
— | 5,528,470 | — | 5,528,470 | ||||||||||||
| Total Assets |
$ | 48,877,048 | $ | 3,122,229,190 | $ | 823,941 | $ | 3,171,930,179 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Common Stocks (Sold Short)† |
$ | (580,918,080 | ) | $ | — | $ | — | $ | (580,918,080 | ) | ||||||
| Convertible Bonds (Sold Short)† |
— | (14,620,689 | ) | — | (14,620,689 | ) | ||||||||||
| Futures Contracts* |
(25,820,578 | ) | — | — | (25,820,578 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (35,429,881 | ) | — | (35,429,881 | ) | ||||||||||
| Credit Default Swap Contracts* |
— | (5,742,101 | ) | — | (5,742,101 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (158,680,801 | ) | — | (158,680,801 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (3,766,883 | ) | — | (3,766,883 | ) | ||||||||||
| Total Liabilities |
$ | (606,738,658 | ) | $ | (218,240,355 | ) | $ | — | $ | (824,979,013 | ) | |||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Short-Term Investments |
$ | — | $ | 303,032,830 | $ | — | $ | 303,032,830 | ||||||||
| Futures Contracts* |
18,855,601 | — | — | 18,855,601 | ||||||||||||
| Total Return Swaps Contracts* |
— | 959,730 | — | 959,730 | ||||||||||||
| Total Assets |
$ | 18,855,601 | $ | 303,992,560 | $ | — | $ | 322,848,161 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (31,935,920 | ) | $ | — | $ | — | $ | (31,935,920 | ) | ||||||
| Total Return Swaps Contracts* |
— | (4,924,993 | ) | — | (4,924,993 | ) | ||||||||||
| Total Liabilities |
$ | (31,935,920 | ) | $ | (4,924,993 | ) | $ | — | $ | (36,860,913 | ) | |||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
| AQR RISK PARITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Foreign Government Securities |
$ | — | $ | 63,052,467 | $ | — | $ | 63,052,467 | ||||||||
| U.S. Treasury Obligations |
— | 104,915,971 | — | 104,915,971 | ||||||||||||
| Short-Term Investments |
— | 209,933,711 | — | 209,933,711 | ||||||||||||
| Futures Contracts* |
6,778,575 | — | — | 6,778,575 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 1,653,580 | — | 1,653,580 | ||||||||||||
| Interest Rate Swap Contracts* |
— | 960,604 | — | 960,604 | ||||||||||||
| Credit Default Swap Contracts* |
— | 12,444,006 | — | 12,444,006 | ||||||||||||
| Total Return Swaps Contracts* |
— | 453,231 | — | 453,231 | ||||||||||||
| Total Assets |
$ | 6,778,575 | $ | 393,413,570 | $ | — | $ | 400,192,145 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (5,238,293 | ) | $ | — | $ | — | $ | (5,238,293 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (2,346,273 | ) | — | (2,346,273 | ) | ||||||||||
| Interest Rate Swap Contracts* |
— | (2,198,340 | ) | — | (2,198,340 | ) | ||||||||||
| Credit Default Swap Contracts* |
— | (581,405 | ) | — | (581,405 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (2,305,786 | ) | — | (2,305,786 | ) | ||||||||||
| Total Liabilities |
$ | (5,238,293 | ) | $ | (7,431,804 | ) | $ | — | $ | (12,670,097 | ) | |||||
| AQR RISK PARITY II HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Foreign Government Securities |
$ | — | $ | 11,792,176 | $ | — | $ | 11,792,176 | ||||||||
| U.S. Treasury Obligations |
— | 18,917,884 | — | 18,917,884 | ||||||||||||
| Short-Term Investments |
— | 22,989,104 | — | 22,989,104 | ||||||||||||
| Futures Contracts* |
1,491,369 | — | — | 1,491,369 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 81,453 | — | 81,453 | ||||||||||||
| Total Return Swaps Contracts* |
— | 97,709 | — | 97,709 | ||||||||||||
| Total Assets |
$ | 1,491,369 | $ | 53,878,326 | $ | — | $ | 55,369,695 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Reverse Repurchase Agreements (Sold Short) |
$ | — | $ | (12,053,090 | ) | $ | — | $ | (12,053,090 | ) | ||||||
| Futures Contracts* |
(1,097,394 | ) | — | — | (1,097,394 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (11,464 | ) | — | (11,464 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (545,920 | ) | — | (545,920 | ) | ||||||||||
| Total Liabilities |
$ | (1,097,394 | ) | $ | (12,610,474 | ) | $ | — | $ | (13,707,868 | ) | |||||
| AQR RISK PARITY II MV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Foreign Government Securities |
$ | — | $ | 11,881,287 | $ | — | $ | 11,881,287 | ||||||||
| U.S. Treasury Obligations |
— | 19,826,269 | — | 19,826,269 | ||||||||||||
| Short-Term Investments |
— | 40,078,843 | — | 40,078,843 | ||||||||||||
| Futures Contracts* |
1,575,258 | — | — | 1,575,258 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 87,428 | — | 87,428 | ||||||||||||
| Total Return Swaps Contracts* |
— | 92,673 | — | 92,673 | ||||||||||||
| Total Assets |
$ | 1,575,258 | $ | 71,966,500 | $ | — | $ | 73,541,758 | ||||||||
| LIABILITIES |
| |||||||||||||||
| Futures Contracts* |
$ | (1,161,315 | ) | $ | — | $ | — | $ | (1,161,315 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (11,187 | ) | — | (11,187 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (547,881 | ) | — | (547,881 | ) | ||||||||||
| Total Liabilities |
$ | (1,161,315 | ) | $ | (559,068 | ) | $ | — | $ | (1,720,383 | ) | |||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
| AQR STYLE PREMIA ALTERNATIVE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 2,222,865,704 | $ | 217,319,863 | $ | — | $ | 2,440,185,567 | ||||||||
| Rights† |
— | — | — | (a) | — | (a) | ||||||||||
| Short-Term Investments |
— | 3,774,077,749 | — | 3,774,077,749 | ||||||||||||
| Futures Contracts* |
120,579,123 | — | — | 120,579,123 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 56,934,057 | — | 56,934,057 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 26,274,528 | — | 26,274,528 | ||||||||||||
| Total Return Swaps Contracts* |
— | 10,486,986 | — | 10,486,986 | ||||||||||||
| Total Assets |
$ | 2,343,444,827 | $ | 4,085,093,183 | $ | — | (a) | $ | 6,428,538,010 | |||||||
| LIABILITIES |
| |||||||||||||||
| Common Stocks (Sold Short)† |
$ | (1,600,807,849 | ) | $ | (100,696,504 | ) | $ | (3 | ) | $ | (1,701,504,356 | ) | ||||
| Futures Contracts* |
(86,826,751 | ) | — | — | (86,826,751 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (72,884,683 | ) | — | (72,884,683 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (133,063,237 | ) | — | (133,063,237 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (18,971,916 | ) | — | (18,971,916 | ) | ||||||||||
| Total Liabilities |
$ | (1,687,634,600 | ) | $ | (325,616,340 | ) | $ | (3 | ) | $ | (2,013,250,943 | ) | ||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Common Stocks† |
$ | 4,047,759 | $ | 74,995,371 | $ | — | $ | 79,043,130 | ||||||||
| Rights† |
— | — | — | (a) | — | (a) | ||||||||||
| Short-Term Investments |
— | 458,792,985 | — | 458,792,985 | ||||||||||||
| Futures Contracts* |
6,726,039 | — | — | 6,726,039 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 2,738,325 | — | 2,738,325 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 82,297 | — | 82,297 | ||||||||||||
| Total Return Swaps Contracts* |
— | 467,360 | — | 467,360 | ||||||||||||
| Total Assets |
$ | 10,773,798 | $ | 537,076,338 | $ | — | (a) | $ | 547,850,136 | |||||||
| LIABILITIES |
| |||||||||||||||
| Common Stocks (Sold Short)† |
$ | (5,031,909 | ) | $ | (61,414,775 | ) | $ | — | $ | (66,446,684 | ) | |||||
| Futures Contracts* |
(4,386,907 | ) | — | — | (4,386,907 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (3,315,483 | ) | — | (3,315,483 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (11,801,496 | ) | — | (11,801,496 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (899,811 | ) | — | (899,811 | ) | ||||||||||
| Total Liabilities |
$ | (9,418,816 | ) | $ | (77,431,565 | ) | $ | — | $ | (86,850,381 | ) | |||||
| * | 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. |
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, 2018, the amount of securities that transferred from Level 1 into Level 2 for AQR Diversified Arbitrage Fund, AQR Long Short Equity Fund and AQR Equity Market Neutral Fund was $9,802,110, $(782,212) and $(278,843) and the amount of securities transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund was $15,048,342. There were no transfers between level 1 and 2 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 Alternative Risk Premia Fund, AQR Long Short Equity Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund .
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
274
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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 STOCKS |
LOAN PARTICIPATIONS/ CORPORATE |
CONVERTIBLE BONDS |
PREFERRED STOCKS |
RIGHTS | WARRANTS | SECURITIES IN LITIGATION |
SHORT COMMON STOCKS |
||||||||||||||||||||||||
| Balance as of December 31, 2017 |
$ | 7,262,232 | $ | 5,913,087 | $ | 5,185,257 | $ | 633,976 | $ | 407,271 | $ | 860,044 | $ | 459,054 | $ | — | (a) | |||||||||||||||
| Accrued discounts/(premiums) |
— | 56,744 | — | — | — | — | — | — | ||||||||||||||||||||||||
| Realized gain/(loss) |
(11,740 | ) | (1,891,736 | ) | 86,478 | — | 79,371 | (240 | ) | — | — | |||||||||||||||||||||
| Change in unrealized |
(1,830,864 | ) | (32,517,483 | ) | 30,687,217 | 38,020 | 241,086 | (627,121 | ) | (11,435 | ) | — | ||||||||||||||||||||
| Purchases1 |
4,009,759 | 67,512,078 | 1,155,043 | — | — | — | 67,831 | — | ||||||||||||||||||||||||
| Sales2 |
(3,317,895 | ) | (31,774,393 | ) | (32,402,722 | ) | — | (79,371 | ) | — | — | — | ||||||||||||||||||||
| Transfers in to Level 3 |
— | 5,951,750 | — | — | — | 2,041,972 | — | — | ||||||||||||||||||||||||
| Transfers out of Level 3 |
— | (5,873,081 | ) | (4,522,700 | ) | — | (149,000 | ) | (253,378 | ) | — | — | ||||||||||||||||||||
| Balance as of June 30, 2018 |
$ | 6,111,492 | $ | 7,376,966 | $ | 188,573 | $ | 671,996 | $ | 499,357 | $ | 2,021,277 | $ | 515,450 | $ | — | (a) | |||||||||||||||
| Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2018 |
$ | (5,160,488 | ) | $ | (28,848,898 | ) | $ | (627,523 | ) | $ | 38,020 | $ | 242,066 | $ | (621,125 | ) | $ | (15,505 | ) | $ | — | |||||||||||
| 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. |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | COMMON STOCKS |
CORPORATE BONDS |
CONVERTIBLE BONDS |
|||||||||
| Balance as of December 31, 2017 |
$ | 12,197,736 | $ | — | $ | 384,000 | ||||||
| Accrued discounts/(premiums) |
— | — | (157,618 | ) | ||||||||
| Realized gain/(loss) |
10,678 | — | (69 | ) | ||||||||
| Change in unrealized appreciation/(depreciation) |
400,821 | (15,319,099 | ) | 15,439,323 | ||||||||
| Purchases1 |
— | 31,071,166 | 18,047,316 | |||||||||
| Sales2 |
(12,203,100 | ) | (15,515,419 | ) | (33,531,794 | ) | ||||||
| Transfers in to Level 3 |
— | — | — | |||||||||
| Transfers out of Level 3 |
— | — | — | |||||||||
| Balance as of June 30, 2018 |
$ | 406,135 | $ | 236,648 | $ | 181,158 | ||||||
| Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2018 |
$ | (11,791,601 | ) | $ | (15,319,099 | ) | $ | (8,857,936 | ) | |||
| 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. |
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. 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.
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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, 2018 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 | $1,892,289 | Enterprise Value Waterfall Analysis | Discount for Lack of Marketability** | 18.64%—42.51% | 20.12% | |||||||
| EBITDA Multiple | 5.0x to 6.75x | N/A | ||||||||||
| Revenue Multiple | 1.05x to 1.15x | N/A | ||||||||||
| $387,974 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 8.68%—30.00% | 23.93% | ||||||||
| Discount Rate | 7.50% | N/A | ||||||||||
| Equity Cost of Capital | 45.00% | N/A | ||||||||||
| Legal Fees (% of potential proceeds) | -9.15% | N/A | ||||||||||
| Scenario Probability | 5.00%—90.00% | 33.33% | ||||||||||
| Term | 1.05 to 2 years | N/A | ||||||||||
| $44,771 | Public Price Adjusted for Lack of Marketability | Discount for Lack of Marketability** | 12.41%—25.91% | 15.58% | ||||||||
| Convertible Bonds | $12,513 | Liquidation Analysis | Discount Rate | 9.50% | N/A | |||||||
| Term | 3.51 years | N/A | ||||||||||
| Corporate Bonds | $451,534 | Liquidation Analysis | Discount Rate | 9.50% | N/A | |||||||
| Term | 3.51 years | N/A | ||||||||||
| Preferred Stocks | $671,996 | Enterprise Value Waterfall Analysis | Equity Cost of Capital | 16.41% | N/A | |||||||
| Term | 10 years | N/A | ||||||||||
| Rights | $302,423 | Probability Weighted Expected Return | Discount for Lack of Marketability** | 19.97%—30.52% | 27.50% | |||||||
| Equity Cost of Capital | 19.50% | N/A | ||||||||||
| Scenario Probability | 26.25%—75.00% | 48.40% | ||||||||||
| Weighted Average Cost of Capital | 29.00% | N/A | ||||||||||
| Securities in Litigation | $514,936 | Liquidation Analysis | Discount for Lack of Marketability** | 30.00% | N/A | |||||||
| Discount Rate | 6.00% | N/A | ||||||||||
| Future Fundings as % of Expected Proceeds | 34.77% | N/A | ||||||||||
| Term | 2.25 years | N/A | ||||||||||
| Recovery Probability | 50.00% | N/A | ||||||||||
| * | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2018, the value of these securities for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund were $18,106,675 and $823,941, respectively. 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. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
6. Federal Income Tax Matters
At June 30, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:
| FUND | COST OF INVESTMENTS |
GROSS UNREALIZED APPRECIATION |
GROSS UNREALIZED DEPRECIATION |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| AQR Alternative Risk Premia Fund |
$ | 193,413,616 | $ | 18,366,485 | $ | (14,546,339 | ) | $ | 3,820,146 | |||||||
| AQR Diversified Arbitrage Fund |
476,305,669 | 65,018,063 | (83,090,577 | ) | (18,072,514 | ) | ||||||||||
| AQR Equity Market Neutral Fund |
1,573,924,142 | 120,772,515 | (121,849,665 | ) | (1,077,150 | ) | ||||||||||
| AQR Global Macro Fund |
32,845,239 | 2,854,368 | (1,969,390 | ) | 884,978 | |||||||||||
| AQR Long-Short Equity Fund |
5,151,506,031 | 252,700,938 | (608,135,728 | ) | (355,434,790 | ) | ||||||||||
| AQR Multi-Strategy Alternative Fund |
2,480,439,544 | 256,577,672 | (407,792,050 | ) | (151,214,378 | ) | ||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
303,000,686 | 19,852,160 | (36,865,598 | ) | (17,013,438 | ) | ||||||||||
| AQR Risk Parity Fund |
392,679,945 | 11,401,837 | (16,559,734 | ) | (5,157,897 | ) | ||||||||||
| AQR Risk Parity II HV Fund |
41,577,243 | 2,113,571 | (2,028,987 | ) | 84,584 | |||||||||||
| AQR Risk Parity II MV Fund |
71,827,330 | 2,165,474 | (2,171,429 | ) | (5,955 | ) | ||||||||||
| AQR Style Premia Alternative Fund |
4,596,373,844 | 404,423,336 | (585,510,113 | ) | (181,086,777 | ) | ||||||||||
| AQR Style Premia Alternative LV Fund |
464,783,192 | 25,098,627 | (28,882,064 | ) | (3,783,437 | ) | ||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
As of December 31, 2017, 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 Alternative Risk Premia Fund |
$ | 63,197 | $ | 28,368 | ||||
| AQR Diversified Arbitrage Fund |
57,066,072 | 222,329,184 | ||||||
| AQR Equity Market Neutral Fund |
24,696,851 | — | ||||||
| AQR Global Macro Fund |
1,533,147 | 248,740 | ||||||
| AQR Multi-Strategy Alternative Fund |
— | 97,744,155 | ||||||
| AQR Risk-Balanced Commodities Strategy Fund |
12,630 | — | ||||||
| AQR Style Premia Alternative Fund |
61,106,702 | — | ||||||
| AQR Style Premia Alternative LV Fund |
4,544,386 | — | ||||||
7. Investment Transactions
During the period ended June 30, 2018, 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 Alternative Risk Premia Fund. |
$ | 181,222,394 | $ | 34,201,744 | $ | 171,733,464 | $ | 52,061,698 | ||||||||
| AQR Diversified Arbitrage Fund |
688,009,975 | 725,394,543 | 347,559,083 | 393,165,269 | ||||||||||||
| AQR Equity Market Neutral Fund |
282,326,593 | 288,139,695 | 252,235,441 | 261,397,238 | ||||||||||||
| AQR Long-Short Equity Fund |
3,402,879,929 | 2,365,942,340 | 2,575,945,147 | 1,930,850,428 | ||||||||||||
| AQR Multi-Strategy Alternative Fund. |
277,828,215 | 488,620,364 | 179,540,301 | 339,022,238 | ||||||||||||
| AQR Risk Parity Fund. |
27,882,029 | 19,404,432 | — | — | ||||||||||||
| AQR Risk Parity II HV Fund. |
4,645,086 | 4,356,317 | — | — | ||||||||||||
| AQR Risk Parity II MV Fund. |
4,041,561 | 1,648,109 | — | — | ||||||||||||
| AQR Style Premia Alternative Fund |
3,188,698,660 | 2,268,883,866 | 2,581,327,433 | 2,252,866,858 | ||||||||||||
| AQR Style Premia Alternative LV Fund |
36,249,014 | 26,883,426 | 33,472,538 | 22,619,155 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
During the period ended June 30, 2018, 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 |
$ | 3,704,845 | $ | 3,663,281 | $ | 245,248,580 | $ | 245,166,487 | ||||||||
| AQR Risk Parity Fund |
18,754,104 | 10,981,010 | — | — | ||||||||||||
| AQR Risk Parity II HV Fund |
3,174,241 | 2,335,557 | — | — | ||||||||||||
| AQR Risk Parity II MV Fund |
2,741,648 | 909,358 | — | — | ||||||||||||
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, 2018.
| 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 Alternative Risk Premia Fund |
$ | 700,845 | $ | 80,847 | $ | — | $ | 785,742 | $ | 813,977 | $ | — | $ | 504,989 | ||||||||||||||
| AQR Diversified Arbitrage Fund |
1,089,853 | 9,872,447 | — | — | 828,741 | — | — | |||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | 1,170,641 | — | — | 79,375,211 | — | — | |||||||||||||||||||||
| AQR Global Macro Fund |
311,959 | 17,173 | — | 128,738 | 36,465 | — | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
1,332,588 | 41,025,273 | — | 44,967,338 | 309,757,800 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
2,814,274 | 24,440,075 | — | 11,110,335 | 161,053,516 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
62,405 | 21,123 | — | 2,510,159 | 272,814 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
11,407 | 2,485 | — | 547,911 | 74,033 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
12,860 | 6,527 | — | 610,429 | 80,963 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
32,411,434 | 30,172,819 | — | 32,131,779 | 140,654,026 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
1,999,220 | 217,471 | — | 1,718,387 | 12,165,247 | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: |
|
|||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
— | — | 1,379,260 | — | — | 2,200,172 | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 94,325 | — | — | 14,964 | — | |||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | — | 1,278,012 | — | — | 544,975 | — | |||||||||||||||||||||
| AQR Global Macro Fund |
— | — | 794,342 | — | — | 702,932 | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
— | — | 1,287,463 | — | — | 12,543,799 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | 33,986,679 | — | — | 35,429,881 | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | 1,653,580 | — | — | 2,346,273 | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | 81,453 | — | — | 11,464 | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | 87,428 | — | — | 11,187 | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
— | — | 56,934,057 | — | — | 72,884,683 | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
— | — | 2,738,325 | — | — | 3,315,483 | — | |||||||||||||||||||||
| Interest Rate Risk Exposure: |
|
|||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
733,574 | — | — | 1,063,792 | — | — | 77,382 | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | 259,102 | — | 331,074 | — | — | — | |||||||||||||||||||||
| AQR Global Macro Fund |
351,424 | 2,061,026 | — | 478,808 | 1,455,316 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
7,488,976 | 1,760,709 | — | 9,262,247 | — | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
2,367,502 | 960,604 | — | — | 2,198,340 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
590,927 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
647,256 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
28,921,411 | — | — | 38,149,653 | — | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
1,539,772 | — | — | 2,133,301 | — | — | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (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 |
$ | — | $ | — | $ | — | $ | — | $ | 836,698 | $ | — | $ | — | ||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 17,877,742 | — | — | 5,742,101 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | 12,444,006 | — | — | 581,405 | — | — | |||||||||||||||||||||
| Commodity Risk Exposure: |
|
|||||||||||||||||||||||||||
| AQR Global Macro Fund |
474,576 | 21,375 | — | 209,225 | 22,110 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
16,042,480 | 4,413,475 | — | 5,447,996 | 1,394,168 | — | — | |||||||||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
18,855,601 | 959,730 | — | 31,935,920 | 4,924,993 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
4,348,668 | 432,108 | — | 2,728,134 | 2,032,972 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
889,035 | 95,224 | — | 549,483 | 471,887 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
915,142 | 86,146 | — | 550,886 | 466,918 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
59,246,278 | 6,588,695 | — | 16,545,319 | 11,381,127 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
3,187,047 | 332,186 | — | 535,219 | 536,060 | — | — | |||||||||||||||||||||
| Netting: |
|
|||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
(1,434,419 | ) | (80,847 | ) | (1,379,260 | ) | (1,434,419 | ) | (80,847 | ) | (1,379,260 | ) | — | |||||||||||||||
| AQR Diversified Arbitrage Fund |
(331,074 | ) | (1,665,439 | ) | (14,964 | ) | (331,074 | ) | (1,665,439 | ) | (14,964 | ) | — | |||||||||||||||
| AQR Equity Market Neutral Fund |
— | (1,170,641 | ) | (544,975 | ) | — | (1,170,641 | ) | (544,975 | ) | — | |||||||||||||||||
| AQR Global Macro Fund |
(816,771 | ) | (1,513,891 | ) | (702,932 | ) | (816,771 | ) | (1,513,891 | ) | (702,932 | ) | — | |||||||||||||||
| AQR Long-Short Equity Fund |
(1,332,588 | ) | (41,025,273 | ) | (1,287,463 | ) | (1,332,588 | ) | (41,025,273 | ) | (1,287,463 | ) | — | |||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(25,820,578 | ) | (48,492,001 | ) | (33,986,679 | ) | (25,820,578 | ) | (48,492,001 | ) | (33,986,679 | ) | — | |||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
(18,855,601 | ) | (959,730 | ) | — | (18,855,601 | ) | (959,730 | ) | — | — | |||||||||||||||||
| AQR Risk Parity Fund |
(5,238,293 | ) | (5,085,531 | ) | (1,653,580 | ) | (5,238,293 | ) | (5,085,531 | ) | (1,653,580 | ) | — | |||||||||||||||
| AQR Risk Parity II HV Fund |
(1,097,394 | ) | (97,709 | ) | (11,464 | ) | (1,097,394 | ) | (97,709 | ) | (11,464 | ) | — | |||||||||||||||
| AQR Risk Parity II MV Fund |
(1,161,315 | ) | (92,673 | ) | (11,187 | ) | (1,161,315 | ) | (92,673 | ) | (11,187 | ) | — | |||||||||||||||
| AQR Style Premia Alternative Fund |
(86,826,751 | ) | (36,761,514 | ) | (56,934,057 | ) | (86,826,751 | ) | (36,761,514 | ) | (56,934,057 | ) | — | |||||||||||||||
| AQR Style Premia Alternative LV Fund |
(4,386,907 | ) | (549,657 | ) | (2,738,325 | ) | (4,386,907 | ) | (549,657 | ) | (2,738,325 | ) | — | |||||||||||||||
| Net Fair Value of Derivative Contracts: |
|
|||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
— | — | — | 415,115 | 733,130 | 820,912 | 582,371 | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
758,779 | 8,466,110 | 79,361 | — | — | — | — | |||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | — | 733,037 | — | 78,204,570 | — | — | |||||||||||||||||||||
| AQR Global Macro Fund |
321,188 | 585,683 | 91,410 | — | — | — | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
— | — | — | 43,634,750 | 268,732,527 | 11,256,336 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
525,152 | — | — | 119,697,784 | 1,443,202 | — | ||||||||||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
— | — | — | 13,080,319 | 3,965,263 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
1,540,282 | 8,772,310 | — | — | — | 692,693 | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
393,975 | — | 69,989 | — | 448,211 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
413,943 | — | 76,241 | — | 455,208 | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
33,752,372 | — | — | — | 115,273,639 | 15,950,626 | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
2,339,132 | — | — | — | 12,151,650 | 577,158 | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (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, 2018:
| 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 Alternative Risk Premia Fund |
$ | (2,152,176 | ) | $ | (186,686 | ) | $ | — | $ | 355,697 | $ | 87,910 | $ | (1,024,148 | ) | $ | — | $ | 5,093 | |||||||||||||
| AQR Diversified Arbitrage Fund |
(2,605,951 | ) | 10,102,480 | — | 718 | 1,421,750 | (609,410 | ) | — | — | ||||||||||||||||||||||
| AQR Equity Market Neutral Fund |
(4,679,326 | ) | (34,991,089 | ) | — | — | (130,738 | ) | (159,650,310 | ) | — | — | ||||||||||||||||||||
| AQR Global Macro Fund |
(413,274 | ) | (169,588 | ) | — | — | 257,579 | (65,977 | ) | — | — | |||||||||||||||||||||
| AQR Long-Short Equity Fund |
93,160,102 | 140,477,320 | — | — | (52,690,399 | ) | (513,866,736 | ) | — | — | ||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(35,207,335 | ) | 62,510,998 | — | 955,603 | (6,293,529 | ) | (285,530,332 | ) | — | 2,457,349 | |||||||||||||||||||||
| AQR Risk Parity Fund |
1,181,713 | (318,129 | ) | — | — | (3,585,374 | ) | (715,346 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
483,380 | (150,873 | ) | — | — | (759,939 | ) | (161,192 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
673,308 | (197,329 | ) | — | — | (818,860 | ) | (163,773 | ) | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
(82,788,041 | ) | 162,567,798 | — | — | (7,464,917 | ) | (301,369,586 | ) | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
(4,041,984 | ) | 7,881,530 | — | — | (35,439 | ) | (22,344,685 | ) | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: |
|
|||||||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
— | — | (1,309,402 | ) | — | — | — | (902,609 | ) | — | ||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 75,849 | — | — | — | 189,421 | — | ||||||||||||||||||||||||
| AQR Equity Market Neutral Fund |
— | — | 1,414,634 | — | — | — | 1,608,006 | — | ||||||||||||||||||||||||
| AQR Global Macro Fund |
— | — | (95,292 | ) | — | — | — | 229,847 | — | |||||||||||||||||||||||
| AQR Long-Short Equity Fund |
— | — | (15,825,489 | ) | — | — | — | (18,360,113 | ) | — | ||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | (13,053,601 | ) | — | — | — | 2,916,266 | — | |||||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | (551,713 | ) | — | — | — | (1,677,560 | ) | — | ||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | 206,377 | — | — | — | 187,762 | — | ||||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | 251,430 | — | — | — | 182,364 | — | ||||||||||||||||||||||||
| AQR Style Premia Alternative Fund |
— | — | (1,748,780 | ) | — | — | — | (9,802,920 | ) | — | ||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
— | — | 359,108 | — | — | — | (228,511 | ) | — | |||||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
(935,812 | ) | — | — | 37,650 | (211,278 | ) | — | — | 98,438 | ||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
1,093,328 | (4,277,896 | ) | — | — | (490,769 | ) | 197,273 | — | — | ||||||||||||||||||||||
| AQR Global Macro Fund |
996,763 | 989,125 | — | — | (198,659 | ) | (39,500 | ) | — | — | ||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
12,597,516 | (2,334,347 | ) | — | — | (2,333,377 | ) | 1,341,385 | — | — | ||||||||||||||||||||||
| AQR Risk Parity Fund |
(6,151,034 | ) | (1,836,178 | ) | — | — | 3,976,272 | 471,710 | — | — | ||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
(1,716,819 | ) | — | — | — | 986,683 | — | — | — | |||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
(1,542,476 | ) | — | — | — | 1,027,287 | — | — | — | |||||||||||||||||||||||
| AQR Style Premia Alternative Fund |
7,498,588 | — | — | — | (17,655,623 | ) | — | — | — | |||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
762,263 | — | — | — | (1,030,873 | ) | — | — | — | |||||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | (348,482 | ) | — | — | — | 238,442 | — | — | |||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | (938,075 | ) | — | — | — | (2,060,408 | ) | — | — | ||||||||||||||||||||||
| AQR Risk Parity Fund |
— | 3,393,952 | — | — | — | (5,955,647 | ) | — | — | |||||||||||||||||||||||
| Commodity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Alternative Risk Premia Fund |
— | — | — | — | 5,417 | — | — | — | ||||||||||||||||||||||||
| AQR Global Macro Fund |
594,977 | 10,127 | — | — | 66,969 | 2,030 | — | — | ||||||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (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 |
||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
$ | 30,726,835 | $ | (6,808,305 | ) | $ | — | $ | — | $ | (5,107,084 | ) | $ | 1,727,344 | $ | — | $ | — | ||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
8,150,019 | (780,792 | ) | — | — | (21,494,943 | ) | (3,050,830 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
9,331,303 | (640,544 | ) | — | — | (3,648,046 | ) | (915,945 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
2,061,803 | (152,018 | ) | — | — | (832,062 | ) | (241,903 | ) | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
1,951,609 | (160,010 | ) | — | — | (741,261 | ) | (263,697 | ) | — | — | |||||||||||||||||||||
| AQR Style Premia Alternative Fund |
88,991,806 | (22,404,446 | ) | — | — | 13,651,372 | (10,084,694 | ) | — | — | ||||||||||||||||||||||
| AQR Style Premia Alternative LV Fund |
4,371,109 | (1,037,974 | ) | — | — | 955,051 | (470,537 | ) | — | — | ||||||||||||||||||||||
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, 2018:
AQR ALTERNATIVE RISK PREMIA FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 52,750 | $ | (52,750 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 547,869 | (547,869 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 831,391 | (831,391 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 16,134 | — | 16,134 | — | — | 16,134 | |||||||||||||||||||
| MSCS | Total Return Swap Contracts | 11,963 | — | 11,963 | — | — | 11,963 | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 1,460,107 | (1,432,010 | ) | 28,097 | — | — | 28,097 | |||||||||||||||||||
AQR ALTERNATIVE RISK PREMIA FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 813,977 | $ | (52,750 | ) | $ | 761,227 | $ | — | $ | — | $ | 761,227 | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 880,442 | (547,869 | ) | 332,573 | — | (332,573 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 1,319,730 | (831,391 | ) | 488,339 | — | (488,339 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 3,014,149 | (1,432,010 | ) | 1,582,139 | — | (820,912 | ) | 761,227 | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 8,487,909. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Basket Swaps Contracts | $ | 568,176 | $ | — | $ | 568,176 | $ | — | $ | (300,000 | ) | $ | 268,176 | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 41,413 | (14,783 | ) | 26,630 | — | — | 26,630 | ||||||||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 48,192 | (48,192 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Basket Swaps Contracts | 4,166,599 | (240,479 | ) | 3,926,120 | — | (3,803,307 | ) | 122,813 | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 52,912 | (181 | ) | 52,731 | |||||||||||||||||||||
| Total Return Basket Swaps Contracts | 5,348,582 | (9,884 | ) | 5,338,698 | ||||||||||||||||||||||
| Total JPMC | 5,401,494 | (10,065 | ) | 5,391,429 | — | (2,707,240 | ) | 2,684,189 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 10,225,874 | (313,519 | ) | 9,912,355 | — | (6,810,547 | ) | 3,101,808 | ||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 14,783 | $ | (14,783 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 380,050 | (48,192 | ) | 331,858 | — | (331,858 | ) | — | |||||||||||||||||
| GSIN | Total Return Basket Swaps Contracts | 240,479 | (240,479 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 181 | (181 | ) | — | |||||||||||||||||||||
| Total Return Basket Swaps Contracts | 9,884 | (9,884 | ) | — | ||||||||||||||||||||||
| Total JPMC | 10,065 | (10,065 | ) | — | — | — | — | |||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 198,328 | — | 198,328 | — | (198,328 | ) | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 843,705 | (313,519 | ) | 530,186 | — | (530,186 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $30,802. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 9,750,607. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR EQUITY MARKET NEUTRAL FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 511,252 | $ | (217,966 | ) | $ | 293,286 | $ | — | $ | (293,286 | ) | $ | — | |||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 766,760 | (327,009 | ) | 439,751 | — | — | 439,751 | ||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 1,170,641 | (1,170,641 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,448,653 | (1,715,616 | ) | 733,037 | — | (293,286 | ) | 439,751 | ||||||||||||||||||
AQR EQUITY MARKET NEUTRAL FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 217,966 | $ | (217,966 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 327,009 | (327,009 | ) | — | — | — | — | ||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 79,375,211 | (1,170,641 | ) | 78,204,570 | — | (78,204,570 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 79,920,186 | (1,715,616 | ) | 78,204,570 | — | (78,204,570 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 346,714. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 318,236,882. |
AQR GLOBAL MACRO FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 320,096 | $ | (281,165 | ) | $ | 38,931 | $ | — | $ | — | $ | 38,931 | ||||||||||||
| GSIN | Total Return Swap Contracts | 12,127 | (12,127 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 474,246 | (421,767 | ) | 52,479 | — | — | 52,479 | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 5,046 | (5,046 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 811,515 | (720,105 | ) | 91,410 | — | — | 91,410 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR GLOBAL MACRO FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 6,415 | $ | — | $ | 6,415 | $ | — | $ | — | $ | 6,415 | |||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 281,165 | (281,165 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 29,140 | (12,127 | ) | 17,013 | — | (17,013 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 421,767 | (421,767 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 7,325 | (5,046 | ) | 2,279 | — | (2,279 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 745,812 | (720,105 | ) | 25,707 | — | (19,292 | ) | 6,415 | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,626,110. |
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 |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 4,979 | $ | (2,602 | ) | $ | 2,377 | $ | — | $ | — | $ | 2,377 | ||||||||||||
| GSIN | Total Return Swap Contracts | 13,849 | (2,153 | ) | 11,696 | — | — | 11,696 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 2,147 | (2,147 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 400 | (400 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 21,375 | (7,302 | ) | 14,073 | — | — | 14,073 | |||||||||||||||||||
| 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 | $ | 2,602 | $ | (2,602 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 2,153 | (2,153 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 10,670 | (2,147 | ) | 8,523 | — | — | 8,523 | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 6,685 | (400 | ) | 6,285 | — | — | 6,285 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 22,110 | (7,302 | ) | 14,808 | — | — | 14,808 | |||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 60,922. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR LONG-SHORT EQUITY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 514,226 | $ | (514,226 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 2,569,415 | (2,569,415 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 773,237 | (773,237 | ) | — | |||||||||||||||||||||
| Total Return Swaps Contracts | 33,123 | (33,123 | ) | — | ||||||||||||||||||||||
| Total JPMC | 806,360 | (806,360 | ) | — | — | — | — | |||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 38,422,735 | (38,422,735 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 42,312,736 | (42,312,736 | ) | — | — | — | — | |||||||||||||||||||
| 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 | $ | 5,017,183 | $ | (514,226 | ) | $ | 4,502,957 | $ | — | $ | (4,502,957 | ) | $ | — | |||||||||||
| DTBK | Total Return Basket Swaps Contracts | 51,990,170 | (2,569,415 | ) | 49,420,755 | — | (49,420,755 | ) | — | |||||||||||||||||
| GSIN | Total Return Swaps Contracts | 24,464 | — | 24,464 | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 214,411,035 | — | 214,411,035 | |||||||||||||||||||||||
| Total GSIN | 214,435,499 | — | 214,435,499 | — | (214,435,499 | ) | — | |||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 7,526,616 | (773,237 | ) | 6,753,379 | |||||||||||||||||||||
| Total Return Swaps Contracts | 4,404,753 | (33,123 | ) | 4,371,630 | ||||||||||||||||||||||
| Total JPMC | 11,931,369 | (806,360 | ) | 11,125,009 | — | (11,125,009 | ) | — | ||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 38,927,378 | (38,422,735 | ) | 504,643 | — | (504,643 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 322,301,599 | (42,312,736 | ) | 279,988,863 | — | (279,988,863 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 918,642,230. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
285
Table of Contents
| Notes to Financial Statements | June 30, 2018 (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 Basket Swaps Contracts | $ | 2,569,236 | $ | — | $ | 2,569,236 | $ | — | $ | (2,569,236 | ) | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 13,588,345 | (13,588,345 | ) | — | — | — | — | ||||||||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 729,929 | (729,929 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 222,185 | (45,130 | ) | 177,055 | |||||||||||||||||||||
| Total Return Basket Swaps Contracts | 6,043,419 | (6,043,419 | ) | — | ||||||||||||||||||||||
| Total GSIN | 6,265,604 | (6,088,549 | ) | 177,055 | — | — | 177,055 | |||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 20,398,334 | (20,398,334 | ) | — | |||||||||||||||||||||
| Total Return Swap Contracts | 53,847 | (53,847 | ) | — | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 15,604,936 | (15,604,936 | ) | — | ||||||||||||||||||||||
| Total JPMC | 36,057,117 | (36,057,117 | ) | — | — | — | — | |||||||||||||||||||
| MLIN | Total Return Swap Contracts | 36,390 | (36,390 | ) | — | — | — | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 802,573 | (802,573 | ) | — | — | — | — | ||||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 138,269 | (138,269 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 60,187,463 | (57,441,172 | ) | 2,746,291 | — | (2,569,236 | ) | 177,055 | ||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
286
Table of Contents
| Notes to Financial Statements | June 30, 2018 (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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts |
$ | 14,213,815 | $ | (13,588,345 | ) | $ | 625,470 | $ | — | $ | — | $ | 625,470 | ||||||||||||
| DTBK | Total Return Basket Swaps Contracts | 2,375,837 | (729,929 | ) | 1,645,908 | — | (1,645,908 | ) | — | |||||||||||||||||
| GSIN | Total Return Swap Contracts | 45,130 | (45,130 | ) | — | |||||||||||||||||||||
| Total Return Basket Swaps Contracts | 23,484,880 | (6,043,419 | ) | 17,441,461 | ||||||||||||||||||||||
| Total GSIN | 23,530,010 | (6,088,549 | ) | 17,441,461 | — | (17,441,461 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts |
21,216,066 | (20,398,334 | ) | 817,732 | |||||||||||||||||||||
| Total Return Swap Contracts | 544,629 | (53,847 | ) | 490,782 | ||||||||||||||||||||||
| Total Return Basket Swaps Contracts | 132,526,607 | (15,604,936 | ) | 116,921,671 | ||||||||||||||||||||||
| Total JPMC | 154,287,302 | (36,057,117 | ) | 118,230,185 | — | (118,230,185 | ) | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 46,993 | (36,390 | ) | 10,603 | — | (10,603 | ) | — | |||||||||||||||||
| MSCS | Total Return Swap Contracts | 1,735,963 | (802,573 | ) | 933,390 | — | (933,390 | ) | — | |||||||||||||||||
| MSIP | Total Return Basket Swaps Contracts | 293,477 | (138,269 | ) | 155,208 | — | — | 155,208 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 196,483,397 | (57,441,172 | ) | 139,042,225 | — | (138,261,547 | ) | 780,678 | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 874,890. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 669,264,134. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
287
Table of Contents
| Notes to Financial Statements | June 30, 2018 (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 | $ | 1,063,569 | $ | (82,545 | ) | $ | 981,024 | $ | — | $ | (981,024 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 2,068,416 | (561,059 | ) | 1,507,357 | — | — | 1,507,357 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 762,084 | (209,978 | ) | 552,106 | — | — | 552,106 | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 157,692 | (80,745 | ) | 76,947 | — | — | 76,947 | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 361,714 | (361,714 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,413,475 | (1,296,041 | ) | 3,117,434 | — | (981,024 | ) | 2,136,410 | ||||||||||||||||||
| 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 | $ | 82,545 | $ | (82,545 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 561,059 | (561,059 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 209,978 | (209,978 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 80,745 | (80,745 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 459,841 | (361,714 | ) | 98,127 | — | (98,127 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 1,394,168 | (1,296,041 | ) | 98,127 | — | (98,127 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 128,976. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 5,202,199. |
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 | $ | 404,608 | $ | (404,608 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 46,113 | (46,113 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 99,002 | (99,002 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 410,007 | (410,007 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 959,730 | (959,730 | ) | — | — | — | — | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
288
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR RISK-BALANCED COMMODITIES 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 (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 2,242,559 | $ | (404,608 | ) | $ | 1,837,951 | $ | — | $ | (1,837,951 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 409,803 | (46,113 | ) | 363,690 | — | (363,690 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 1,523,966 | (99,002 | ) | 1,424,964 | — | (1,424,964 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 748,665 | (410,007 | ) | 338,658 | — | (338,658 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,924,993 | (959,730 | ) | 3,965,263 | — | (3,965,263 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 3,165,644. |
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 |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 660,342 | $ | (660,342 | ) | $ | — | ||||||||||||||||||
| Interest Rate Swap Contracts | 522,903 | (522,903 | ) | — | ||||||||||||||||||||||
| Total CITI | 1,183,245 | (1,183,245 | ) | — | $ | — | $ | — | $ | — | ||||||||||||||||
| GSIN | Total Return Swap Contracts | 611 | — | 611 | — | — | 611 | |||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 993,238 | (993,238 | ) | — | |||||||||||||||||||||
| Total Return Swap Contracts | 4,806 | (1,354 | ) | 3,452 | ||||||||||||||||||||||
| Total JPMC | 998,044 | (994,592 | ) | 3,452 | — | — | 3,452 | |||||||||||||||||||
| MLIN | Total Return Swap Contracts | 7,677 | (7,677 | ) | — | — | — | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 8,029 | (8,029 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,197,606 | (2,193,543 | ) | 4,063 | — | — | 4,063 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
289
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR RISK PARITY 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 | $ | 938,563 | $ | (660,342 | ) | $ | 278,221 | ||||||||||||||||||
| Interest Rate Swap Contracts | 948,005 | (522,903 | ) | 425,102 | ||||||||||||||||||||||
| Total CITI | 1,886,568 | (1,183,245 | ) | 703,323 | $ | — | $ | (703,323 | ) | $ | — | |||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 1,407,710 | (993,238 | ) | 414,472 | |||||||||||||||||||||
| Total Return Swap Contracts | 1,354 | (1,354 | ) | — | ||||||||||||||||||||||
| Total JPMC | 1,409,064 | (994,592 | ) | 414,472 | — | (414,472 | ) | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 46,038 | (7,677 | ) | 38,361 | — | (38,361 | ) | — | |||||||||||||||||
| MSCS | Total Return Swap Contracts | 225,422 | (8,029 | ) | 217,393 | — | (217,393 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 3,567,092 | (2,193,543 | ) | 1,373,549 | — | (1,373,549 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 12,756,229. |
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 | $ | 92,223 | $ | (92,223 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 45,477 | (45,477 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 72,588 | (72,588 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 133,580 | (133,580 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 88,240 | (88,240 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 432,108 | (432,108 | ) | — | — | — | — | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
290
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR RISK PARITY 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 | $ | 201,232 | $ | (92,223 | ) | $ | 109,009 | $ | — | $ | (109,009 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 402,251 | (45,477 | ) | 356,774 | — | (356,774 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 436,981 | (72,588 | ) | 364,393 | — | (364,393 | ) | — | |||||||||||||||||
| MLIN | Total Return Swap Contracts | 379,811 | (133,580 | ) | 246,231 | — | (246,231 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 612,697 | (88,240 | ) | 524,457 | — | (524,457 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,032,972 | (432,108 | ) | 1,600,864 | — | (1,600,864 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 2,234,849. |
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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 32,584 | $ | (4,585 | ) | $ | 27,999 | $ | — | $ | (27,999 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 2,097 | (2,097 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 48,869 | (6,879 | ) | 41,990 | — | — | 41,990 | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 388 | (388 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 83,938 | (13,949 | ) | 69,989 | — | (27,999 | ) | 41,990 | ||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
291
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR RISK PARITY II HV 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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 4,585 | $ | (4,585 | ) | $ | — | ||||||||||||||||||
| Reverse Repurchase Agreements | 3,146,003 | — | 3,146,003 | |||||||||||||||||||||||
| Total CITI | 3,150,588 | (4,585 | ) | 3,146,003 | $ | (3,146,003 | ) | $ | — | $ | — | |||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 6,879 | (6,879 | ) | — | — | — | — | ||||||||||||||||||
| GSIN | Total Return Swap Contracts | 29,606 | (2,097 | ) | 27,509 | — | (27,509 | ) | — | |||||||||||||||||
| MLIN | Total Return Swap Contracts | 44,427 | (388 | ) | 44,039 | — | (44,039 | ) | — | |||||||||||||||||
| MPFS | Reverse Repurchase Agreements | 5,398,075 | — | 5,398,075 | (5,398,075 | ) | — | — | ||||||||||||||||||
| MSCL | Reverse Repurchase Agreements | 3,509,012 | — | 3,509,012 | (3,509,012 | ) | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 12,138,587 | (13,949 | ) | 12,124,638 | (12,053,090 | ) | (71,548 | ) | — | |||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 22,001. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,072,522. |
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 | $ | 8,912 | $ | (8,912 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 17,515 | (17,515 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 25,849 | (25,849 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 42,948 | (42,948 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 95,224 | (95,224 | ) | — | — | — | — | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
292
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR RISK PARITY II HV 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 | $ | 113,899 | $ | (8,912 | ) | $ | 104,987 | $ | — | $ | (104,987 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 77,565 | (17,515 | ) | 60,050 | — | (60,050 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 179,832 | (25,849 | ) | 153,983 | — | (153,983 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 100,591 | (42,948 | ) | 57,643 | — | (57,643 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 471,887 | (95,224 | ) | 376,663 | — | (376,663 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 404,996. |
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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 34,974 | $ | (4,475 | ) | $ | 30,499 | $ | — | $ | (30,499 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 4,694 | (4,694 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 52,454 | (6,712 | ) | 45,742 | — | — | 45,742 | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 1,833 | (1,833 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 93,955 | (17,714 | ) | 76,241 | — | (30,499 | ) | 45,742 | ||||||||||||||||||
| 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 | $ | 4,475 | $ | (4,475 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 15,909 | (4,694 | ) | 11,215 | — | (11,215 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 6,712 | (6,712 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 65,054 | (1,833 | ) | 63,221 | — | (63,221 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 92,150 | (17,714 | ) | 74,436 | — | (74,436 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 19,501. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 921,520. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
293
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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 | $ | 11,609 | $ | (11,609 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 18,404 | (18,404 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 33,085 | (33,085 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 23,048 | (23,048 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 86,146 | (86,146 | ) | — | — | — | — | |||||||||||||||||||
| 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 | $ | 111,634 | $ | (11,609 | ) | $ | 100,025 | $ | — | $ | (100,025 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 82,660 | (18,404 | ) | 64,256 | — | (64,256 | ) | — | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 166,927 | (33,085 | ) | 133,842 | — | (133,842 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 105,697 | (23,048 | ) | 82,649 | — | (82,649 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 466,918 | (86,146 | ) | 380,772 | — | (380,772 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 551,179. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
294
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 22,774,200 | $ | (22,774,200 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 1,341,242 | (1,054,937 | ) | 286,305 | |||||||||||||||||||||
| Total Return Basket Swap Contracts | 1,574,412 | (1,574,412 | ) | — | ||||||||||||||||||||||
| Total GSIN | 2,915,654 | (2,629,349 | ) | 286,305 | — | (286,305 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 34,159,857 | (34,159,857 | ) | — | |||||||||||||||||||||
| Total Return Basket Swap Contracts | 1,258,115 | — | 1,258,115 | |||||||||||||||||||||||
| Total JPMC | 35,417,972 | (34,159,857 | ) | 1,258,115 | — | — | 1,258,115 | |||||||||||||||||||
| MLIN | Total Return Swap Contracts | 2,557,049 | (2,557,049 | ) | — | — | — | — | ||||||||||||||||||
| MSIP | Total Return Basket Swap Contracts | 23,442,001 | (23,442,001 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 87,106,876 | (85,562,456 | ) | 1,544,420 | — | (286,305 | ) | 1,258,115 | ||||||||||||||||||
| 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 | $ | 29,152,650 | $ | (22,774,200 | ) | $ | 6,378,450 | $ | — | $ | (6,378,450 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 1,054,937 | (1,054,937 | ) | — | |||||||||||||||||||||
| Total Return Basket Swap Contracts | 98,946,281 | (1,574,412 | ) | 97,371,869 | ||||||||||||||||||||||
| Total GSIN | 100,001,218 | (2,629,349 | ) | 97,371,869 | — | (97,371,869 | ) | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 43,732,033 | (34,159,857 | ) | 9,572,176 | |||||||||||||||||||||
| Total Return Swap Contracts | 84,040 | — | 84,040 | |||||||||||||||||||||||
| Total JPMC | 43,816,073 | (34,159,857 | ) | 9,656,216 | — | (9,656,216 | ) | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 6,451,812 | (2,557,049 | ) | 3,894,763 | — | (3,894,763 | ) | — | |||||||||||||||||
| MSIP | Total Return Basket Swap Contracts | 34,116,956 | (23,442,001 | ) | 10,674,955 | — | (10,674,955 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 213,538,709 | (85,562,456 | ) | 127,976,253 | — | (127,976,253 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 763,695. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 835,045,230. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
295
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
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 | $ | 364,486 | $ | (364,486 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 4,142,398 | (3,574,351 | ) | 568,047 | — | (470,000 | ) | 98,047 | |||||||||||||||||
| MACQ | Total Return Swap Contracts | 813,538 | — | 813,538 | — | — | 813,538 | |||||||||||||||||||
| SOCG | Total Return Swap Contracts | 1,268,273 | (1,050,870 | ) | 217,403 | — | — | 217,403 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 6,588,695 | (4,989,707 | ) | 1,598,988 | — | (470,000 | ) | 1,128,988 | ||||||||||||||||||
| 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 | $ | 6,755,906 | $ | (364,486 | ) | $ | 6,391,420 | $ | — | $ | (6,391,420 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 3,574,351 | (3,574,351 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 1,050,870 | (1,050,870 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 11,381,127 | (4,989,707 | ) | 6,391,420 | — | (6,391,420 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 10,972,763. |
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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 1,095,029 | $ | (1,095,029 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 5,776 | — | 5,776 | ||||||||||||||||||||||
| Total Return Basket Swap Contracts | 82,297 | (82,297 | ) | — | ||||||||||||||||||||||
| Total GSIN | 88,073 | (82,297 | ) | 5,776 | — | — | 5,776 | |||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 1,643,296 | (1,643,296 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 101,311 | (7,790 | ) | 93,521 | — | — | 93,521 | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 28,087 | (28,087 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 2,955,796 | (2,856,499 | ) | 99,297 | — | — | 99,297 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
296
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE LV 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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 1,326,259 | $ | (1,095,029 | ) | $ | 231,230 | $ | — | $ | (231,230 | ) | $ | — | |||||||||||
| GSIN | Total Return Basket Swap Contracts | 11,801,496 | (82,297 | ) | 11,719,199 | — | (11,719,199 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 1,989,224 | (1,643,296 | ) | 345,928 | |||||||||||||||||||||
| Total Return Swap Contracts | 9,039 | — | 9,039 | |||||||||||||||||||||||
| Total JPMC | 1,998,263 | (1,643,296 | ) | 354,967 | — | (354,967 | ) | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 7,790 | (7,790 | ) | — | — | — | — | ||||||||||||||||||
| MSCS | Total Return Swap Contracts | 346,922 | (28,087 | ) | 318,835 | — | (318,835 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 15,480,730 | (2,856,499 | ) | 12,624,231 | — | (12,624,231 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 26,166. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 45,634,966. |
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 |
NET AMOUNT |
|||||||||||||||||||
| GSIN | Total Return Swap Contracts | $ | 164,109 | $ | (164,109 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| MACQ | Total Return Swap Contracts | 63,414 | — | 63,414 | — | — | 63,414 | |||||||||||||||||||
| SOCG | Total Return Swap Contracts | 104,663 | (85,569 | ) | 19,094 | — | — | 19,094 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 332,186 | (249,678 | ) | 82,508 | — | — | 82,508 | |||||||||||||||||||
| 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 | $ | 285,064 | $ | — | $ | 285,064 | $ | — | $ | (285,064 | ) | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 165,427 | (164,109 | ) | 1,318 | — | (1,318 | ) | — | |||||||||||||||||
| SOCG | Total Return Swap Contracts | 85,569 | (85,569 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 536,060 | (249,678 | ) | 286,382 | — | (286,382 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 518,804. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
297
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
For the period ended June 30, 2018, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| AQR ALTERNATIVE RISK PREMIA 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 |
||||||||||||||||||||||
| Futures Contracts: |
| |||||||||||||||||||||||||||
| Average Notional Balance—Long | $ | 120,436,135 | $ | — | $ | 84,331,501 | $ | 42,911,209 | $ | 2,320,154,273 | $ | 4,580,600,063 | $ | 519,007,358 | ||||||||||||||
| Average Notional Balance—Short | 119,844,556 | 118,908,329 | 14,334,880 | 83,875,007 | 4,861,648 | 5,588,249,782 | 115,345,984 | |||||||||||||||||||||
| Ending Notional Balance—Long | 243,164,031 | — | — | 71,602,481 | 2,174,309,065 | 4,366,086,860 | 715,866,230 | |||||||||||||||||||||
| Ending Notional Balance—Short | 164,019,897 | 126,184,553 | — | 122,170,383 | — | 4,606,951,259 | 177,058,801 | |||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||
| Average Settlement Value—Purchased | 102,923,485 | 664,421 | 47,623,992 | 33,689,419 | 1,087,426,807 | 2,269,129,082 | — | |||||||||||||||||||||
| Average Settlement Value—Sold | 107,465,374 | 6,002,088 | 141,970,317 | 39,087,204 | 93,608,038 | 2,354,917,698 | — | |||||||||||||||||||||
| Ending Value—Purchased | 151,439,756 | 1,069,086 | 66,735,679 | 33,873,814 | 1,152,915,810 | 2,034,670,895 | — | |||||||||||||||||||||
| Ending Value—Sold | 189,440,533 | 6,532,306 | 170,183,218 | 44,868,304 | 183,616,856 | 2,383,050,055 | — | |||||||||||||||||||||
| Exchange-Traded Options: | ||||||||||||||||||||||||||||
| Average Number of Contracts— Written | 453 | — | — | — | — | 183 | — | |||||||||||||||||||||
| Ending Number of Contracts— Written | 565 | — | — | — | — | — | — | |||||||||||||||||||||
| Credit Default Swaps: | ||||||||||||||||||||||||||||
| Average Notional Balance—Buy Protection | — | 14,950,000 | — | — | — | 315,067,991 | — | |||||||||||||||||||||
| Average Notional Balance—Sell Protection | — | — | — | — | — | 226,707,010 | — | |||||||||||||||||||||
| Ending Notional Balance—Buy Protection | — | 15,850,000 | — | — | — | 395,064,976 | — | |||||||||||||||||||||
| Ending Notional Balance—Sell Protection | — | — | — | — | — | 266,907,617 | — | |||||||||||||||||||||
| Total Return Swaps: | ||||||||||||||||||||||||||||
| Average Notional Balance—Long | 19,753,394 | — | — | 4,974,724 | 166,251,809 | 250,669,521 | 73,443,505 | |||||||||||||||||||||
| Average Notional Balance—Short | 1,032,390 | — | — | 742,592 | 488,811 | 340,843,224 | 30,300,418 | |||||||||||||||||||||
| Ending Notional Balance—Long | 25,037,340 | — | — | 4,448,582 | 183,758,328 | 108,145,917 | 54,838,212 | |||||||||||||||||||||
| Ending Notional Balance—Short | 8,057,399 | — | — | 907,746 | 402,936 | 271,923,374 | 19,771,295 | |||||||||||||||||||||
| Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||||||||||
| Average Notional Balance—Pays Fixed rate | — | — | — | 239,875,741 | — | — | — | |||||||||||||||||||||
| Average Notional Balance—Receives Fixed rate | — | — | — | 160,211,730 | — | — | — | |||||||||||||||||||||
| Ending Notional Balance—Pays Fixed Rate | — | — | — | 243,276,184 | — | — | — | |||||||||||||||||||||
| Ending Notional Balance—Receives Fixed Rate | — | — | — | 164,331,070 | — | — | — | |||||||||||||||||||||
| Total Return Basket Swaps: | ||||||||||||||||||||||||||||
| Average Notional of Underlying Positions—Long | — | 190,964,128 | 2,591,300,029 | — | 6,887,753,460 | 4,897,175,480 | — | |||||||||||||||||||||
| Average Notional of Underlying Positions—Short | — | 69,753,345 | 2,431,379,883 | — | 6,482,266,143 | 4,089,608,786 | — | |||||||||||||||||||||
| Ending Notional Balance—Long | — | 205,431,923 | 2,285,226,721 | — | 5,347,017,931 | 4,473,644,740 | — | |||||||||||||||||||||
| Ending Notional Balance—Short | — | 95,320,624 | 2,176,867,468 | — | 5,234,297,986 | 3,756,057,135 | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
298
Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
| 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 |
||||||||||||||||
| Futures Contracts: | ||||||||||||||||||||
| Average Notional Balance—Long | $ | 576,584,066 | $ | 135,901,849 | $ | 135,627,290 | $ | 19,450,763,505 | $ | 1,003,750,871 | ||||||||||
| Average Notional Balance—Short | 21,602,279 | 3,867,705 | 2,554,612 | 13,700,117,722 | 711,600,449 | |||||||||||||||
| Ending Notional Balance—Long | 537,694,630 | 121,547,168 | 133,358,263 | 23,054,085,574 | 1,213,905,323 | |||||||||||||||
| Ending Notional Balance—Short | 16,540,522 | 2,986,340 | 2,740,058 | 14,086,406,485 | 783,214,788 | |||||||||||||||
| Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||
| Average Settlement Value—Purchased | 144,033,501 | 686,959 | 339,206 | 3,844,070,972 | 183,939,309 | |||||||||||||||
| Average Settlement Value—Sold | 144,295,924 | 12,864,583 | 12,188,479 | 4,006,449,241 | 197,303,730 | |||||||||||||||
| Ending Value— Purchased | 97,891,608 | 178,741 | 179,916 | 4,186,807,941 | 191,865,615 | |||||||||||||||
| Ending Value—Sold | 123,639,039 | 12,075,564 | 12,268,117 | 4,508,213,511 | 216,718,164 | |||||||||||||||
| Credit Default Swaps: | ||||||||||||||||||||
| Average Notional Balance—Buy Protection | — | — | — | — | — | |||||||||||||||
| Average Notional Balance—Sell Protection | 356,454,796 | — | — | — | — | |||||||||||||||
| Ending Notional Balance—Buy Protection | — | — | — | — | — | |||||||||||||||
| Ending Notional Balance—Sell Protection | 355,559,007 | — | — | — | — | |||||||||||||||
| Total Return Swaps: | ||||||||||||||||||||
| Average Notional Balance—Long | 61,252,986 | 13,384,311 | 13,675,090 | 767,665,795 | 39,206,175 | |||||||||||||||
| Average Notional Balance—Short | 11,620,185 | 2,486,478 | 2,344,876 | 665,039,929 | 32,178,968 | |||||||||||||||
| Ending Notional Balance—Long | 45,088,544 | 10,445,076 | 11,089,711 | 601,551,617 | 31,312,790 | |||||||||||||||
| Ending Notional Balance—Short | 6,838,591 | 1,571,254 | 1,178,475 | 597,404,324 | 35,353,396 | |||||||||||||||
| Interest Rate-Related Swaps (Interest Rate Swaps): |
||||||||||||||||||||
| Average Notional Balance—Pays Fixed rate | 43,639,574 | — | — | — | — | |||||||||||||||
| Average Notional Balance—Receives Fixed rate | 189,805,890 | — | — | — | — | |||||||||||||||
| Ending Notional Balance—Pays Fixed Rate | 69,757,593 | — | — | — | — | |||||||||||||||
| Ending Notional Balance—Receives Fixed Rate | 187,827,117 | — | — | — | — | |||||||||||||||
| Total Return Basket Swaps: | ||||||||||||||||||||
| Average Notional of Underlying Positions—Long | — | — | — | 4,816,835,249 | 246,041,776 | |||||||||||||||
| Average Notional of Underlying Positions—Short | — | — | — | 4,266,402,347 | 212,598,153 | |||||||||||||||
| Ending Notional Balance—Long | — | — | — | 3,812,704,177 | 248,710,175 | |||||||||||||||
| Ending Notional Balance—Short | — | — | — | 3,684,738,442 | 215,374,040 | |||||||||||||||
| * | 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 the Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of certain Funds (the “Investment Management Agreement”) and the Investment Management Agreement II, dated November 13, 2015, as amended, entered into by the Trust, on behalf of certain Funds (the “Investment Management Agreement II,” together with the Investment Management Agreement, 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.
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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 Alternative Risk Premia Fund |
1.20 | % | ||
| 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. |
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, 2019 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 Alternative Risk Premia Fund |
1.40 | % | 1.65 | % | 1.30 | % | ||||||
| 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, 2018 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 Alternative Risk Premia Fund |
$ | 73,308 | $ | 2,667 | $ | 75,975 | ||||||
| AQR Diversified Arbitrage Fund |
138,116 | 1,404 | 139,520 | |||||||||
| AQR Global Macro Fund |
107,176 | 1,079 | 108,255 | |||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
7,397 | 4,789 | 12,186 | |||||||||
| AQR Risk Parity Fund |
7,100 | — | 7,100 | |||||||||
| AQR Risk Parity II HV Fund |
86,453 | 1,321 | 87,774 | |||||||||
| AQR Risk Parity II MV Fund |
77,610 | 7 | 77,617 | |||||||||
| AQR Style Premia Alternative Fund |
58,020 | — | 58,020 | |||||||||
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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, 2018, 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, 2018 are as follows:
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2018 |
TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2018 |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30 |
||||||||||||||||||||||
| 2018 | 2019 | 2020 | 2021 | |||||||||||||||||||||
| AQR ALTERNATIVE RISK PREMIA FUND | |
|||||||||||||||||||||||
| Class I |
$ | 39,251 | $ | 59,799 | $ | — | $ | — | $ | 20,548 | $ | 39,251 | ||||||||||||
| Class N |
1,811 | 8,466 | — | — | 6,655 | 1,811 | ||||||||||||||||||
| Class R6 |
34,913 | 100,086 | — | — | 65,173 | 34,913 | ||||||||||||||||||
| Totals | $ | 75,975 | $ | 168,351 | $ | — | $ | — | $ | 92,376 | $ | 75,975 | ||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 111,450 | $ | 855,454 | $ | 141,836 | $ | 388,597 | $ | 213,571 | $ | 111,450 | ||||||||||||
| Class N |
24,325 | 244,164 | 43,173 | 122,406 | 54,260 | 24,325 | ||||||||||||||||||
| Class R6 |
3,745 | 9,777 | — | 2,251 | 3,781 | 3,745 | ||||||||||||||||||
| Totals | $ | 139,520 | $ | 1,109,395 | $ | 185,009 | $ | 513,254 | $ | 271,612 | $ | 139,520 | ||||||||||||
| AQR GLOBAL MACRO FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 41,240 | $ | 384,221 | $ | 45,712 | $ | 152,972 | $ | 144,297 | $ | 41,240 | ||||||||||||
| Class N |
14,738 | 143,620 | 67,097 | 35,782 | 26,003 | 14,738 | ||||||||||||||||||
| Class R6 |
52,277 | 154,064 | 113 | 25,395 | 76,279 | 52,277 | ||||||||||||||||||
| Totals | $ | 108,255 | $ | 681,905 | $ | 112,922 | $ | 214,149 | $ | 246,579 | $ | 108,255 | ||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 5,230 | $ | 174,852 | $ | 60,863 | $ | 55,960 | $ | 52,799 | $ | 5,230 | ||||||||||||
| Class N |
609 | 10,111 | 2,067 | 3,059 | 4,376 | 609 | ||||||||||||||||||
| Class R6 |
6,347 | 162,182 | 18,424 | 70,491 | 66,920 | 6,347 | ||||||||||||||||||
| Totals | $ | 12,186 | $ | 347,145 | $ | 81,354 | $ | 129,510 | $ | 124,095 | $ | 12,186 | ||||||||||||
| AQR RISK PARITY FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 6,362 | $ | 154,872 | $ | 20,193 | $ | 74,115 | $ | 54,202 | $ | 6,362 | ||||||||||||
| Class N |
272 | 8,516 | 2,485 | 3,459 | 2,300 | 272 | ||||||||||||||||||
| Class R6 |
466 | 4,527 | — | — | 4,061 | 466 | ||||||||||||||||||
| Totals | $ | 7,100 | $ | 167,915 | $ | 22,678 | $ | 77,574 | $ | 60,563 | $ | 7,100 | ||||||||||||
| AQR RISK PARITY II HV FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 64,682 | $ | 470,239 | $ | 82,852 | $ | 172,084 | $ | 150,621 | $ | 64,682 | ||||||||||||
| Class N |
21,679 | 83,469 | 14,623 | 22,048 | 25,119 | 21,679 | ||||||||||||||||||
| Class R6 |
1,413 | 23,874 | 4,428 | 8,791 | 9,242 | 1,413 | ||||||||||||||||||
| Totals | $ | 87,774 | $ | 577,582 | $ | 101,903 | $ | 202,923 | $ | 184,982 | $ | 87,774 | ||||||||||||
| AQR RISK PARITY II MV FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 74,151 | $ | 509,258 | $ | 92,088 | $ | 174,716 | $ | 168,303 | $ | 74,151 | ||||||||||||
| Class N |
2,787 | 30,528 | 5,538 | 13,156 | 9,047 | 2,787 | ||||||||||||||||||
| Class R6 |
679 | 3,310 | 79 | 1,181 | 1,371 | 679 | ||||||||||||||||||
| Totals | $ | 77,617 | $ | 543,096 | $ | 97,705 | $ | 189,053 | $ | 178,721 | $ | 77,617 | ||||||||||||
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| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2018 |
TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2018 |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING JUNE 30 |
||||||||||||||||||||||
| 2018 | 2019 | 2020 | 2021 | |||||||||||||||||||||
| AQR STYLE PREMIA ALTERNATIVE FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 36,207 | $ | 1,144,726 | $ | 252,215 | $ | 499,572 | $ | 356,732 | $ | 36,207 | ||||||||||||
| Class N |
2,030 | 81,943 | 9,022 | 44,692 | 26,199 | 2,030 | ||||||||||||||||||
| Class R6 |
19,783 | 545,243 | 50,188 | 270,123 | 205,149 | 19,783 | ||||||||||||||||||
| Totals | $ | 58,020 | $ | 1,771,912 | $ | 311,425 | $ | 814,387 | $ | 588,080 | $ | 58,020 | ||||||||||||
| AQR STYLE PREMIA ALTERNATIVE LV FUND |
|
|||||||||||||||||||||||
| Class I |
$ | — | $ | 267,040 | $ | 137,578 | $ | 79,631 | $ | 49,831 | $ | — | ||||||||||||
| Class N |
— | 41,026 | 22,896 | 11,465 | 6,665 | — | ||||||||||||||||||
| Class R6 |
— | 46,345 | 10,604 | 18,973 | 16,768 | — | ||||||||||||||||||
| Totals | $ | — | $ | 354,411 | $ | 171,078 | $ | 110,069 | $ | 73,264 | $ | — | ||||||||||||
During the period ended June 30, 2018, the Funds recouped amounts as follows:
| FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
| AQR Diversified Arbitrage Fund |
$ | 10,750 | $ | 2,324 | $ | 403 | ||||||
| AQR Equity Market Neutral Fund |
— | 8,883 | 15,107 | |||||||||
| AQR Multi-Strategy Alternative Fund |
24,508 | — | — | |||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
329 | 52 | 478 | |||||||||
| AQR Risk Parity Fund |
12,975 | 558 | 1,265 | |||||||||
| AQR Style Premia Alternative Fund |
36,725 | 2,103 | 20,350 | |||||||||
| AQR Style Premia Alternative LV Fund |
9,619 | 907 | 2,568 | |||||||||
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.
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
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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.
12. Interfund Lending
Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Funds may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with each Fund’s investment objective and investment policies. This program allows the Funds to borrow money from and lend money to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board.
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No Fund may borrow or lend money through the Interfund Lending Program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.
A lending Fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must (i) repay all of its outstanding loans through the Interfund Lending Program, (ii) reduce its outstanding indebtedness to 10% or less of its total assets, or (iii) secure each of its outstanding borrowings through the Interfund Lending Program with collateral with a market value at least equal to 102% of the outstanding principal value of the loan.
The Funds are not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in a Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program.
During the reporting period, the Funds did not utilize the Interfund Lending Program.
13. Line of Credit
Effective February 23, 2018 and terminating on February 22, 2019, 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 available to a Fund 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 $350,000,000, prior to February 23, 2018 the line of credit available was $300,000,000 at substantially similar terms. The Funds did not have any borrowings for the period ended June 30, 2018.
14. Principal Ownership
As of June 30, 2018, 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 Alternative Risk Premia Fund |
3 | 90.39 | % | |||||
| AQR Diversified Arbitrage Fund |
5 | 87.73 | % | |||||
| AQR Equity Market Neutral Fund |
4 | 63.38 | % | |||||
| AQR Global Macro Fund* |
7 | 92.13 | % | |||||
| AQR Long-Short Equity Fund |
8 | 75.77 | % | |||||
| AQR Multi-Strategy Alternative Fund |
3 | 78.59 | % | |||||
| AQR Risk Balanced Commodities Strategy Fund |
6 | 84.71 | % | |||||
| AQR Risk Parity Fund |
4 | 76.82 | % | |||||
| AQR Risk Parity II HV Fund |
6 | 90.86 | % | |||||
| AQR Risk Parity II MV Fund |
5 | 90.06 | % | |||||
| AQR Style Premia Alternative Fund |
6 | 82.72 | % | |||||
| AQR Style Premia Alternative LV Fund |
7 | 91.36 | % | |||||
| * | The percentage held by the Adviser and/or affiliates is 40.82%. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
15. 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 in conjunction with Final Rule Release No. 33-10233, Investment Company Liquidity Risk Management Programs and Final Rule Release No. 33-10234, Investment Company Swing Pricing. Collectively, these rules modernize and enhance the reporting and disclosure of information by registered investment companies. 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. The amendments to Regulation S-X were applied to the Funds’ financial statements with a reporting period date after August 1, 2018. The adoption had no effect on the Funds’ net assets or results of operations.
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Financial Statements | June 30, 2018 (Unaudited) |
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”), which shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, non-contingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU 2017-08 for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of these changes on the financial statements, if any.
16. 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 those noted above.
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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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 06/30/18” 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 6/30/18 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/18 |
|||||||||||||
| AQR Alternative Risk Premia Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $923.10 | 3.57 | % | $17.02 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,007.09 | 3.57 | % | $17.77 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $922.10 | 3.82 | % | $18.21 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,005.85 | 3.82 | % | $19.00 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $923.20 | 3.47 | % | $16.55 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,007.59 | 3.47 | % | $17.27 | |||||||||||
| AQR Diversified Arbitrage Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,035.10 | 2.04 | % | $10.29 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,014.68 | 2.04 | % | $10.19 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,034.00 | 2.29 | % | $11.55 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.44 | 2.29 | % | $11.43 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,036.30 | 1.95 | % | $9.85 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,015.12 | 1.95 | % | $9.74 | |||||||||||
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| Fund Expense Examples (Unaudited) |
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/18 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/18 |
|||||||||||||
| AQR Equity Market Neutral Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $914.30 | 2.19 | % | $10.39 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.93 | 2.19 | % | $10.94 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $914.00 | 2.45 | % | $11.63 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.65 | 2.45 | % | $12.23 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $915.10 | 2.11 | % | $10.02 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,014.33 | 2.11 | % | $10.54 | |||||||||||
| AQR Global Macro Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,078.90 | 1.44 | % | $7.42 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.65 | 1.44 | % | $7.20 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,077.40 | 1.70 | % | $8.76 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.36 | 1.70 | % | $8.50 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,078.90 | 1.35 | % | $6.96 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.10 | 1.35 | % | $6.76 | |||||||||||
| AQR Long-Short Equity Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $917.90 | 1.74 | % | $8.27 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.17 | 1.74 | % | $8.70 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $916.70 | 2.00 | % | $9.50 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,014.88 | 2.00 | % | $9.99 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $918.00 | 1.65 | % | $7.85 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.61 | 1.65 | % | $8.25 | |||||||||||
| AQR Multi-Strategy Alternative Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $916.00 | 2.40 | % | $11.40 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.89 | 2.40 | % | $11.98 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $915.60 | 2.65 | % | $12.59 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,011.65 | 2.65 | % | $13.22 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $916.10 | 2.30 | % | $10.93 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.39 | 2.30 | % | $11.48 | |||||||||||
| AQR Risk-Balanced Commodities Strategy Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $962.30 | 1.00 | % | $4.87 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.84 | 1.00 | % | $5.01 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $960.40 | 1.25 | % | $6.08 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.60 | 1.25 | % | $6.26 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $962.40 | 0.90 | % | $4.38 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90 | % | $4.51 | |||||||||||
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Table of Contents
| Fund Expense Examples (Unaudited) |
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/18 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/18 |
|||||||||||||
| AQR Risk Parity Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $981.70 | 0.95 | % | $4.67 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95 | % | $4.76 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $980.60 | 1.20 | % | $5.89 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $981.70 | 0.85 | % | $4.18 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
| AQR Risk Parity II HV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $995.50 | 1.54 | % | $7.62 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.16 | 1.54 | % | $7.70 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $994.40 | 1.80 | % | $8.90 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,015.87 | 1.80 | % | $9.00 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $995.50 | 1.45 | % | $7.17 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.60 | 1.45 | % | $7.25 | |||||||||||
| AQR Risk Parity II MV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,002.20 | 0.95 | % | $4.72 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95 | % | $4.76 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,001.10 | 1.20 | % | $5.95 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,002.20 | 0.85 | % | $4.22 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.58 | 0.85 | % | $4.26 | |||||||||||
| AQR Style Premia Alternative Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $926.80 | 2.26 | % | $10.80 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.59 | 2.26 | % | $11.28 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $925.60 | 2.53 | % | $12.08 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,012.25 | 2.53 | % | $12.62 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $926.00 | 2.18 | % | $10.41 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.98 | 2.18 | % | $10.89 | |||||||||||
| AQR Style Premia Alternative LV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $965.90 | 1.22 | % | $5.95 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.74 | 1.22 | % | $6.11 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $964.90 | 1.48 | % | $7.21 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.46 | 1.48 | % | $7.40 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $966.00 | 1.13 | % | $5.51 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.19 | 1.13 | % | $5.66 | |||||||||||
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, 2018
AQR Managed Futures Strategy Fund
AQR Managed Futures Strategy HV Fund
Table of Contents
| Consolidated Schedule of Investments | ||||
| 2 | ||||
| 19 | ||||
| Consolidated Financial Statements and Notes | 33 | |||
| Fund Expense Examples (unaudited) | 55 | |||
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| (a) | Represents 7-day effective yield as of June 30, 2018. |
| (b) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (c) | 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, 2018, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| AFFILIATE | SHARES HELD AT |
SHARES PURCHASED |
SHARES SOLD |
SHARES HELD AT |
VALUE AT 06/30/18 |
DIVIDEND INCOME |
NET REALIZED GAIN (LOSS) |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Other Controlled Affiliates: | ||||||||||||||||||||||||||||
| SHORT-TERM INVESTMENTS - 4.0% | ||||||||||||||||||||||||||||
| INVESTMENT COMPANIES - 4.0% | ||||||||||||||||||||||||||||
| Limited Purpose Cash Investment Fund, 1.85% (a) (Cost $366,699,608) | 452,535,642 | 5,174,891,809 | (5,260,680,528 | ) | 366,746,923 | $366,746,923 | $4,775,036 | $21,808 | $47,315 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (d) | The rate shown was the effective yield at the date of purchase. |
| (e) | All or a portion of the security pledged as collateral for futures contracts. |
| (f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All Securities are Level 2 with respect to ASC820 (See Note 5).
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
2
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 08/10/2018 | USD | (25,768,013 | ) | $904,687 | |||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 08/10/2018 | USD | (36,990,263 | ) | 1,322,653 | |||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | SOCG | 08/10/2018 | USD | (13,812,000 | ) | 488,069 | |||||||||||
| Corn September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | CITI | 08/24/2018 | USD | (15,152,925 | ) | 290,118 | |||||||||||
| Corn September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 08/24/2018 | USD | (32,103,350 | ) | 342,082 | |||||||||||
| Corn September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 08/24/2018 | USD | (66,201,925 | ) | 1,903,381 | |||||||||||
| Corn September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MLIN | 08/24/2018 | USD | (30,305,850 | ) | 158,063 | |||||||||||
| Corn September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | SOCG | 08/24/2018 | USD | (30,557,500 | ) | 321,330 | |||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | GSIN | 07/30/2018 | HKD | 117,776,600 | 80,845 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | GSIN | 07/16/2018 | USD | 12,464,400 | 520,832 | ||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | MACQ | 07/16/2018 | USD | 12,298,650 | 553,025 | ||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 08/14/2018 | USD | (11,222,860) | 29,360 | ||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 08/14/2018 | USD | (9,846,760 | ) | 39,104 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
3
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | SOCG | 08/03/2018 | USD | 7,897,650 | $ 170,842 | ||||||||||||
| Soybean November Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | CITI | 10/26/2018 | USD | (137,808,000 | ) | 8,936,279 | |||||||||||
| Soybean November Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 10/26/2018 | USD | (102,652,000 | ) | 7,070,168 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 11/23/2018 | USD | (13,954,770 | ) | 194,190 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 11/23/2018 | USD | (3,167,040 | ) | 57,739 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MLIN | 11/23/2018 | USD | (3,991,790 | ) | 73,810 | |||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | SOCG | 11/23/2018 | USD | (53,476,790 | ) | 2,679,181 | |||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 11/23/2018 | USD | (33,368,280 | ) | 1,889,336 | |||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MLIN | 11/23/2018 | USD | (19,342,896 | ) | 1,151,208 | |||||||||||
|
|
|
|||||||||||||||||||
| 29,176,302 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Canada 10 Year Bond September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | BANA | 09/19/2018 | CAD | (11,210,220 | ) | (250,654 | ) | ||||||||||
| Cocoa September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 08/03/2018 | USD | (6,857,760 | ) | (265,800 | ) | ||||||||||
| Cocoa September Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | CITI | 08/03/2018 | USD | 15,725,120 | (300,906 | ) | |||||||||||
| Cocoa September Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | MACQ | 08/03/2018 | USD | 5,350,560 | (122,860 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
4
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Cocoa September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 08/03/2018 | USD | (5,350,560 | ) | $(128,723 | ) | ||||||||||
| Cocoa September Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | SOCG | 08/03/2018 | USD | 1,657,920 | (37,395 | ) | |||||||||||
| Cocoa September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | CITI | 08/03/2018 | USD | (15,272,960 | ) | (51,703 | ) | ||||||||||
| Cocoa September Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | GSIN | 08/03/2018 | USD | 8,164,000 | (158,545 | ) | |||||||||||
| Corn September Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | MACQ | 08/24/2018 | USD | 16,824,600 | (1,248,418 | ) | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | SOCG | 11/09/2018 | USD | 6,126,160 | (578,956 | ) | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | GSIN | 11/09/2018 | USD | 13,511,120 | (1,490,860 | ) | |||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | CITI | 11/09/2018 | USD | 5,664,600 | (614,250 | ) | |||||||||||
| HSCEI July Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MLIN | 07/30/2018 | HKD | (230,966,250 | ) | (133,007 | ) | ||||||||||
| HSCEI July Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MSCS | 07/30/2018 | HKD | (551,058,300 | ) | (599,794 | ) | ||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | GSIN | 07/16/2018 | USD | (12,464,400 | ) | (846,328 | ) | ||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 07/16/2018 | USD | (12,298,650 | ) | (842,694 | ) | ||||||||||
| Lean Hogs August Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | GSIN | 08/14/2018 | USD | 61,160 | (1,832 | ) | |||||||||||
| Live Cattle August Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | SOCG | 08/03/2018 | USD | (23,479,500 | ) | (605,770 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
5
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
| Live Cattle August Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 08/03/2018 | USD | (47,129,760 | ) | $ (1,194,741 | ) | ||||||||||
| MSCI Taiwan Index July Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MLIN | 07/30/2018 | USD | (46,899,600 | ) | (480,743 | ) | ||||||||||
| Soybean November Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | CITI | 10/26/2018 | USD | 11,792,000 | (1,343,602 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | MACQ | 11/23/2018 | USD | 3,167,040 | (276,506 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | GSIN | 11/23/2018 | USD | 7,026,870 | (587,020 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | SOCG | 11/23/2018 | USD | 53,476,790 | (4,635,991 | ) | |||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity |
Increases in total return of reference entity |
At termination | MLIN | 11/23/2018 | USD | 3,991,790 | (351,240 | ) | |||||||||||
| Wheat September Futures | Increases in total return of reference entity |
Decreases in total return of reference entity |
At termination | MACQ | 08/24/2018 | USD | (2,531,313 | ) | (36,713 | ) | ||||||||||
|
|
|
|||||||||||||||||||
| (17,185,051 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| $11,991,251 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
6
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 711 | 7/2018 | EUR | $91,599,336 | $(2,006,113 | ) | ||||||||||
| Brent Crude Oil | 5,551 | 7/2018 | USD | 439,805,730 | 17,688,503 | |||||||||||
| CAC 40 10 Euro Index | 3,856 | 7/2018 | EUR | 239,584,074 | 258,325 | |||||||||||
| LME Aluminum Base Metal | 11 | 7/2018 | USD | 588,305 | (24,361 | ) | ||||||||||
| LME Aluminum Base Metal | 12 | 7/2018 | USD | 642,642 | (27,429 | ) | ||||||||||
| LME Aluminum Base Metal | 13 | 7/2018 | USD | 697,125 | (29,486 | ) | ||||||||||
| LME Aluminum Base Metal | 13 | 7/2018 | USD | 696,660 | (27,593 | ) | ||||||||||
| LME Aluminum Base Metal | 24 | 7/2018 | USD | 1,290,300 | (189,062 | ) | ||||||||||
| LME Aluminum Base Metal | 40 | 7/2018 | USD | 2,147,750 | (248,816 | ) | ||||||||||
| LME Aluminum Base Metal | 70 | 7/2018 | USD | 3,777,812 | (26,930 | ) | ||||||||||
| LME Aluminum Base Metal | 101 | 7/2018 | USD | 5,464,100 | (850,669 | ) | ||||||||||
| LME Aluminum Base Metal | 103 | 7/2018 | USD | 5,551,056 | 421,352 | |||||||||||
| LME Aluminum Base Metal | 114 | 7/2018 | USD | 6,137,475 | 374,781 | |||||||||||
| LME Aluminum Base Metal | 116 | 7/2018 | USD | 6,271,540 | (552,817 | ) | ||||||||||
| LME Aluminum Base Metal | 116 | 7/2018 | USD | 6,273,570 | (663,839 | ) | ||||||||||
| LME Aluminum Base Metal | 124 | 7/2018 | USD | 6,697,550 | (467,839 | ) | ||||||||||
| LME Aluminum Base Metal | 124 | 7/2018 | USD | 6,696,775 | (211,440 | ) | ||||||||||
| LME Aluminum Base Metal | 126 | 7/2018 | USD | 6,802,425 | (276,220 | ) | ||||||||||
| LME Aluminum Base Metal | 228 | 7/2018 | USD | 12,283,500 | 912,040 | |||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,388 | (7,802 | ) | ||||||||||
| LME Copper Base Metal | 4 | 7/2018 | USD | 663,633 | (19,329 | ) | ||||||||||
| LME Copper Base Metal | 5 | 7/2018 | USD | 829,125 | (21,845 | ) | ||||||||||
| LME Copper Base Metal | 8 | 7/2018 | USD | 1,326,766 | (45,258 | ) | ||||||||||
| LME Copper Base Metal | 11 | 7/2018 | USD | 1,825,222 | (58,705 | ) | ||||||||||
| LME Copper Base Metal | 11 | 7/2018 | USD | 1,825,450 | (98,489 | ) | ||||||||||
| LME Copper Base Metal | 20 | 7/2018 | USD | 3,315,750 | (174,407 | ) | ||||||||||
| LME Copper Base Metal | 21 | 7/2018 | USD | 3,478,125 | (99,812 | ) | ||||||||||
| LME Copper Base Metal | 26 | 7/2018 | USD | 4,310,911 | (208,848 | ) | ||||||||||
| LME Copper Base Metal | 26 | 7/2018 | USD | 4,310,365 | (190,439 | ) | ||||||||||
| LME Copper Base Metal | 26 | 7/2018 | USD | 4,307,440 | (105,336 | ) | ||||||||||
| LME Copper Base Metal | 30 | 7/2018 | USD | 4,972,680 | (237,543 | ) | ||||||||||
| LME Copper Base Metal | 30 | 7/2018 | USD | 4,972,590 | (270,870 | ) | ||||||||||
| LME Copper Base Metal | 30 | 7/2018 | USD | 4,973,033 | (145,614 | ) | ||||||||||
| LME Copper Base Metal | 31 | 7/2018 | USD | 5,138,250 | (299,030 | ) | ||||||||||
| LME Copper Base Metal | 35 | 7/2018 | USD | 5,801,250 | (277,949 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,992 | 5,259 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,987 | 6,589 | |||||||||||
| LME Nickel Base Metal | 4 | 7/2018 | USD | 356,018 | 15,927 | |||||||||||
| LME Nickel Base Metal | 5 | 7/2018 | USD | 445,226 | 10,814 | |||||||||||
| LME Nickel Base Metal | 11 | 7/2018 | USD | 978,496 | 114,914 | |||||||||||
| LME Nickel Base Metal | 13 | 7/2018 | USD | 1,157,114 | 57,544 | |||||||||||
| LME Nickel Base Metal | 13 | 7/2018 | USD | 1,157,169 | (24,753 | ) | ||||||||||
| LME Nickel Base Metal | 16 | 7/2018 | USD | 1,423,008 | 120,421 | |||||||||||
| LME Nickel Base Metal | 20 | 7/2018 | USD | 1,779,624 | 131,259 | |||||||||||
| LME Nickel Base Metal | 22 | 7/2018 | USD | 1,956,874 | 218,419 | |||||||||||
| LME Nickel Base Metal | 24 | 7/2018 | USD | 2,136,620 | 26,733 | |||||||||||
| LME Nickel Base Metal | 27 | 7/2018 | USD | 2,402,347 | 190,588 | |||||||||||
| LME Nickel Base Metal | 29 | 7/2018 | USD | 2,582,868 | 151,843 | |||||||||||
| LME Nickel Base Metal | 29 | 7/2018 | USD | 2,582,682 | 147,205 | |||||||||||
| LME Nickel Base Metal | 30 | 7/2018 | USD | 2,671,547 | 104,404 | |||||||||||
| LME Nickel Base Metal | 34 | 7/2018 | USD | 3,029,065 | 198,465 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
7
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | $ 72,111 | $ (7,767 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,005 | (7,297 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,146 | (8,769 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,151 | (11,279 | ) | ||||||||||
| LME Zinc Base Metal | 7 | 7/2018 | USD | 505,270 | (59,213 | ) | ||||||||||
| LME Zinc Base Metal | 13 | 7/2018 | USD | 943,637 | (101,276 | ) | ||||||||||
| LME Zinc Base Metal | 14 | 7/2018 | USD | 1,017,275 | (133,384 | ) | ||||||||||
| LME Zinc Base Metal | 14 | 7/2018 | USD | 1,014,650 | (124,641 | ) | ||||||||||
| LME Zinc Base Metal | 15 | 7/2018 | USD | 1,086,562 | (90,232 | ) | ||||||||||
| LME Zinc Base Metal | 23 | 7/2018 | USD | 1,670,375 | (189,368 | ) | ||||||||||
| LME Zinc Base Metal | 31 | 7/2018 | USD | 2,240,912 | (239,179 | ) | ||||||||||
| LME Zinc Base Metal | 31 | 7/2018 | USD | 2,238,727 | (283,214 | ) | ||||||||||
| LME Zinc Base Metal | 39 | 7/2018 | USD | 2,820,675 | (233,335 | ) | ||||||||||
| LME Zinc Base Metal | 43 | 7/2018 | USD | 3,111,587 | (259,094 | ) | ||||||||||
| LME Zinc Base Metal | 45 | 7/2018 | USD | 3,258,000 | (271,820 | ) | ||||||||||
| LME Zinc Base Metal | 46 | 7/2018 | USD | 3,335,575 | (372,161 | ) | ||||||||||
| NY Harbor ULSD | 1,216 | 7/2018 | USD | 112,853,798 | 2,192,657 | |||||||||||
| OMXS30 Index | 6,387 | 7/2018 | SEK | 111,313,892 | 1,772,934 | |||||||||||
| RBOB Gasoline | 1,504 | 7/2018 | USD | 135,887,002 | 3,962,663 | |||||||||||
| WTI Crude Oil | 6,131 | 7/2018 | USD | 454,613,650 | 51,764,269 | |||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,216 | (3,486 | ) | ||||||||||
| LME Aluminum Base Metal | 4 | 8/2018 | USD | 213,056 | (17,656 | ) | ||||||||||
| LME Aluminum Base Metal | 4 | 8/2018 | USD | 213,144 | (23,393 | ) | ||||||||||
| LME Aluminum Base Metal | 5 | 8/2018 | USD | 265,875 | (22,521 | ) | ||||||||||
| LME Aluminum Base Metal | 6 | 8/2018 | USD | 319,183 | (24,647 | ) | ||||||||||
| LME Aluminum Base Metal | 7 | 8/2018 | USD | 373,625 | (21,896 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 8/2018 | USD | 479,176 | (39,147 | ) | ||||||||||
| LME Aluminum Base Metal | 10 | 8/2018 | USD | 533,527 | (45,425 | ) | ||||||||||
| LME Aluminum Base Metal | 10 | 8/2018 | USD | 534,107 | (26,556 | ) | ||||||||||
| LME Aluminum Base Metal | 13 | 8/2018 | USD | 691,415 | (48,933 | ) | ||||||||||
| LME Aluminum Base Metal | 14 | 8/2018 | USD | 744,653 | (43,955 | ) | ||||||||||
| LME Aluminum Base Metal | 14 | 8/2018 | USD | 744,544 | (52,529 | ) | ||||||||||
| LME Aluminum Base Metal | 14 | 8/2018 | USD | 744,275 | (69,575 | ) | ||||||||||
| LME Aluminum Base Metal | 15 | 8/2018 | USD | 797,902 | (56,374 | ) | ||||||||||
| LME Aluminum Base Metal | 28 | 8/2018 | USD | 1,488,655 | (131,129 | ) | ||||||||||
| LME Aluminum Base Metal | 40 | 8/2018 | USD | 2,128,820 | (154,548 | ) | ||||||||||
| LME Copper Base Metal | 7 | 8/2018 | USD | 1,160,457 | (41,183 | ) | ||||||||||
| LME Copper Base Metal | 8 | 8/2018 | USD | 1,326,134 | (51,454 | ) | ||||||||||
| LME Copper Base Metal | 8 | 8/2018 | USD | 1,326,000 | (41,145 | ) | ||||||||||
| LME Copper Base Metal | 9 | 8/2018 | USD | 1,492,200 | (63,775 | ) | ||||||||||
| LME Copper Base Metal | 9 | 8/2018 | USD | 1,491,989 | (44,982 | ) | ||||||||||
| LME Copper Base Metal | 15 | 8/2018 | USD | 2,484,375 | (83,880 | ) | ||||||||||
| LME Copper Base Metal | 16 | 8/2018 | USD | 2,649,968 | (116,336 | ) | ||||||||||
| LME Copper Base Metal | 18 | 8/2018 | USD | 2,981,174 | (121,060 | ) | ||||||||||
| LME Copper Base Metal | 19 | 8/2018 | USD | 3,147,588 | (89,185 | ) | ||||||||||
| LME Copper Base Metal | 23 | 8/2018 | USD | 3,809,421 | (147,312 | ) | ||||||||||
| LME Copper Base Metal | 29 | 8/2018 | USD | 4,807,432 | (101,028 | ) | ||||||||||
| LME Copper Base Metal | 36 | 8/2018 | USD | 5,962,050 | (204,299 | ) | ||||||||||
| LME Copper Base Metal | 51 | 8/2018 | USD | 8,447,729 | (274,446 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,193 | 2,535 | |||||||||||
| LME Nickel Base Metal | 2 | 8/2018 | USD | 178,527 | (2,204 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 8/2018 | USD | 178,373 | 5,975 | |||||||||||
| LME Nickel Base Metal | 5 | 8/2018 | USD | 446,177 | 5,940 | |||||||||||
| LME Nickel Base Metal | 5 | 8/2018 | USD | 445,772 | 30,257 | |||||||||||
| LME Nickel Base Metal | 5 | 8/2018 | USD | 446,154 | 8,589 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
8
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Nickel Base Metal | 5 | 8/2018 | USD | $ 445,740 | $ 26,625 | |||||||||||
| LME Nickel Base Metal | 6 | 8/2018 | USD | 535,328 | 6,781 | |||||||||||
| LME Nickel Base Metal | 6 | 8/2018 | USD | 535,356 | 7,200 | |||||||||||
| LME Nickel Base Metal | 6 | 8/2018 | USD | 534,965 | 34,585 | |||||||||||
| LME Nickel Base Metal | 7 | 8/2018 | USD | 624,384 | 15,959 | |||||||||||
| LME Nickel Base Metal | 14 | 8/2018 | USD | 1,248,834 | 15,786 | |||||||||||
| LME Nickel Base Metal | 33 | 8/2018 | USD | 2,940,399 | 247,304 | |||||||||||
| LME Nickel Base Metal | 38 | 8/2018 | USD | 3,386,158 | 210,253 | |||||||||||
| LME Nickel Base Metal | 38 | 8/2018 | USD | 3,392,200 | (69,522 | ) | ||||||||||
| LME Nickel Base Metal | 77 | 8/2018 | USD | 6,861,920 | 405,465 | |||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,547 | (5,674 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,562 | (5,472 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 8/2018 | USD | 143,798 | (11,207 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 8/2018 | USD | 143,869 | (11,237 | ) | ||||||||||
| LME Zinc Base Metal | 3 | 8/2018 | USD | 215,592 | (11,791 | ) | ||||||||||
| Low Sulphur Gasoil | 1,851 | 8/2018 | USD | 125,266,425 | 2,393,210 | |||||||||||
| Cocoa | 46 | 9/2018 | USD | 1,155,520 | 40,139 | |||||||||||
| Copper | 1,544 | 9/2018 | USD | 114,487,600 | (3,528,193 | ) | ||||||||||
| Corn | 24 | 9/2018 | USD | 431,400 | (33,057 | ) | ||||||||||
| DAX Index | 322 | 9/2018 | EUR | 115,709,624 | (2,073,823 | ) | ||||||||||
| DJIA CBOT E-Mini Index | 1,094 | 9/2018 | USD | 132,729,550 | (218,415 | ) | ||||||||||
| EURO STOXX 50 Index | 1,316 | 9/2018 | EUR | 52,113,729 | (299,206 | ) | ||||||||||
| Euro-Bobl | 25,437 | 9/2018 | EUR | 3,926,153,291 | 8,562,541 | |||||||||||
| Euro-Bund | 19,442 | 9/2018 | EUR | 3,690,594,963 | 22,522,224 | |||||||||||
| Euro-Buxl | 3,229 | 9/2018 | EUR | 670,075,817 | 10,555,180 | |||||||||||
| Euro-OAT | 5,120 | 9/2018 | EUR | 924,015,680 | 7,363,102 | |||||||||||
| Euro-Schatz | 15,210 | 9/2018 | EUR | 1,990,880,451 | 582,527 | |||||||||||
| FTSE 100 Index | 9,821 | 9/2018 | GBP | 985,250,507 | (5,025,554 | ) | ||||||||||
| FTSE/JSE Top 40 Index | 1 | 9/2018 | ZAR | 37,679 | 165 | |||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,275 | (3,353 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,812 | (10,672 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,743 | (14,979 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,800 | (13,759 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,788 | (12,721 | ) | ||||||||||
| LME Aluminum Base Metal | 6 | 9/2018 | USD | 319,908 | (7,457 | ) | ||||||||||
| LME Aluminum Base Metal | 8 | 9/2018 | USD | 426,488 | (2,136 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 9/2018 | USD | 479,419 | (10,105 | ) | ||||||||||
| LME Aluminum Base Metal | 9 | 9/2018 | USD | 479,925 | (4,266 | ) | ||||||||||
| LME Aluminum Base Metal | 11 | 9/2018 | USD | 586,190 | (21,977 | ) | ||||||||||
| LME Aluminum Base Metal | 18 | 9/2018 | USD | 958,964 | (17,838 | ) | ||||||||||
| LME Aluminum Base Metal | 19 | 9/2018 | USD | 1,011,626 | (97,555 | ) | ||||||||||
| LME Aluminum Base Metal | 20 | 9/2018 | USD | 1,064,795 | (99,264 | ) | ||||||||||
| LME Aluminum Base Metal | 709 | 9/2018 | USD | 37,785,269 | (2,332,067 | ) | ||||||||||
| LME Copper Base Metal | 5 | 9/2018 | USD | 828,503 | (70,700 | ) | ||||||||||
| LME Copper Base Metal | 6 | 9/2018 | USD | 994,115 | (93,178 | ) | ||||||||||
| LME Copper Base Metal | 6 | 9/2018 | USD | 994,160 | (86,080 | ) | ||||||||||
| LME Copper Base Metal | 8 | 9/2018 | USD | 1,325,664 | (110,860 | ) | ||||||||||
| LME Copper Base Metal | 8 | 9/2018 | USD | 1,325,250 | (126,174 | ) | ||||||||||
| LME Copper Base Metal | 9 | 9/2018 | USD | 1,490,738 | (18,467 | ) | ||||||||||
| LME Copper Base Metal | 9 | 9/2018 | USD | 1,490,625 | (19,919 | ) | ||||||||||
| LME Copper Base Metal | 10 | 9/2018 | USD | 1,657,375 | (92,626 | ) | ||||||||||
| LME Copper Base Metal | 10 | 9/2018 | USD | 1,656,375 | (45,863 | ) | ||||||||||
| LME Copper Base Metal | 12 | 9/2018 | USD | 1,987,800 | (2,819 | ) | ||||||||||
| LME Copper Base Metal | 19 | 9/2018 | USD | 3,146,875 | (85,793 | ) | ||||||||||
| LME Copper Base Metal | 25 | 9/2018 | USD | 4,141,300 | (240,899 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
9
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Copper Base Metal | 26 | 9/2018 | USD | $ 4,307,011 | $ (343,816 | ) | ||||||||||
| LME Copper Base Metal | 825 | 9/2018 | USD | 136,702,500 | (5,642,563 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,659 | (5,295 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,648 | (6,158 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,670 | (3,736 | ) | ||||||||||
| LME Nickel Base Metal | 3 | 9/2018 | USD | 268,200 | 419 | |||||||||||
| LME Nickel Base Metal | 3 | 9/2018 | USD | 268,189 | 1,996 | |||||||||||
| LME Nickel Base Metal | 3 | 9/2018 | USD | 267,908 | (12,319 | ) | ||||||||||
| LME Nickel Base Metal | 3 | 9/2018 | USD | 268,178 | 3,299 | |||||||||||
| LME Nickel Base Metal | 3 | 9/2018 | USD | 268,021 | (6,979 | ) | ||||||||||
| LME Nickel Base Metal | 6 | 9/2018 | USD | 536,224 | 732 | |||||||||||
| LME Nickel Base Metal | 6 | 9/2018 | USD | 536,170 | (9,810 | ) | ||||||||||
| LME Nickel Base Metal | 8 | 9/2018 | USD | 714,995 | (12,413 | ) | ||||||||||
| LME Nickel Base Metal | 18 | 9/2018 | USD | 1,607,256 | (65,177 | ) | ||||||||||
| LME Nickel Base Metal | 19 | 9/2018 | USD | 1,696,649 | (96,627 | ) | ||||||||||
| LME Nickel Base Metal | 475 | 9/2018 | USD | 42,449,325 | 484,127 | |||||||||||
| Long Gilt | 210 | 9/2018 | GBP | 34,105,770 | 37,309 | |||||||||||
| NASDAQ 100 Emini Index | 4,885 | 9/2018 | USD | 690,421,475 | (15,221,622 | ) | ||||||||||
| Nikkei 225 Index | 853 | 9/2018 | JPY | 171,732,557 | 45,566 | |||||||||||
| Palladium | 275 | 9/2018 | USD | 26,149,750 | (623,748 | ) | ||||||||||
| Russell 2000 E-Mini Index | 9,436 | 9/2018 | USD | 777,290,500 | (15,217,905 | ) | ||||||||||
| S&P 500 E-Mini Index | 10,116 | 9/2018 | USD | 1,376,585,280 | (24,517,670 | ) | ||||||||||
| S&P Midcap 400 E-Mini Index | 580 | 9/2018 | USD | 113,453,800 | (1,077,754 | ) | ||||||||||
| S&P/TSX 60 Index | 1,492 | 9/2018 | CAD | 218,650,378 | 1,556,606 | |||||||||||
| SPI 200 Index | 2,397 | 9/2018 | AUD | 272,648,397 | 2,983,638 | |||||||||||
| TOPIX Index | 3,239 | 9/2018 | JPY | 506,262,882 | (2,598,720 | ) | ||||||||||
| 3 Month Euroswiss | 612 | 12/2018 | CHF | 155,626,477 | (14,306 | ) | ||||||||||
| 3 Month Sterling | 291 | 12/2018 | GBP | 47,588,253 | (3,087 | ) | ||||||||||
| Cotton No. 2 | 124 | 12/2018 | USD | 5,203,040 | (174,594 | ) | ||||||||||
| 3 Month Euroswiss | 449 | 3/2019 | CHF | 114,154,271 | (8,790 | ) | ||||||||||
| 3 Month Euro Euribor | 4,674 | 6/2019 | EUR | 1,368,190,425 | 51,804 | |||||||||||
| 3 Month Euroswiss | 326 | 6/2019 | CHF | 82,841,462 | 35,947 | |||||||||||
| 3 Month Euro Euribor | 5,641 | 9/2019 | EUR | 1,650,183,734 | 1,644,583 | |||||||||||
| 3 Month Euro Euribor | 4,382 | 12/2019 | EUR | 1,280,988,026 | 1,704,667 | |||||||||||
| 3 Month Euro Euribor | 4,137 | 3/2020 | EUR | 1,208,401,052 | 1,752,601 | |||||||||||
| 3 Month Euro Euribor | 3,357 | 6/2020 | EUR | 979,782,130 | 927,423 | |||||||||||
|
|
|
|||||||||||||||
| 52,078,469 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts | ||||||||||||||||
| Hang Seng Index | (1,167 | ) | 7/2018 | HKD | (213,643,584 | ) | (1,959,932 | ) | ||||||||
| HSCEI | (3,723 | ) | 7/2018 | HKD | (257,885,229 | ) | 1,104,953 | |||||||||
| LME Aluminum Base Metal | (11 | ) | 7/2018 | USD | (588,305 | ) | 22,713 | |||||||||
| LME Aluminum Base Metal | (12 | ) | 7/2018 | USD | (642,642 | ) | 20,398 | |||||||||
| LME Aluminum Base Metal | (13 | ) | 7/2018 | USD | (697,125 | ) | 45,575 | |||||||||
| LME Aluminum Base Metal | (13 | ) | 7/2018 | USD | (696,660 | ) | 18,308 | |||||||||
| LME Aluminum Base Metal | (24 | ) | 7/2018 | USD | (1,290,300 | ) | 201,529 | |||||||||
| LME Aluminum Base Metal | (40 | ) | 7/2018 | USD | (2,147,750 | ) | 348,132 | |||||||||
| LME Aluminum Base Metal | (70 | ) | 7/2018 | USD | (3,777,812 | ) | 10,731 | |||||||||
| LME Aluminum Base Metal | (101 | ) | 7/2018 | USD | (5,464,100 | ) | 759,727 | |||||||||
| LME Aluminum Base Metal | (103 | ) | 7/2018 | USD | (5,551,056 | ) | (414,764 | ) | ||||||||
| LME Aluminum Base Metal | (114 | ) | 7/2018 | USD | (6,137,475 | ) | (380,379 | ) | ||||||||
| LME Aluminum Base Metal | (116 | ) | 7/2018 | USD | (6,273,570 | ) | 673,038 | |||||||||
| LME Aluminum Base Metal | (116 | ) | 7/2018 | USD | (6,271,540 | ) | 464,818 | |||||||||
| LME Aluminum Base Metal | (124 | ) | 7/2018 | USD | (6,697,550 | ) | 534,384 | |||||||||
| LME Aluminum Base Metal | (124 | ) | 7/2018 | USD | (6,696,775 | ) | 209,659 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
10
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Aluminum Base Metal | (126 | ) | 7/2018 | USD | $ (6,802,425 | ) | $ 347,703 | |||||||||
| LME Aluminum Base Metal | (228 | ) | 7/2018 | USD | (12,283,500 | ) | (936,123 | ) | ||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,388 | ) | 6,607 | |||||||||
| LME Copper Base Metal | (4 | ) | 7/2018 | USD | (663,633 | ) | 24,015 | |||||||||
| LME Copper Base Metal | (5 | ) | 7/2018 | USD | (829,125 | ) | 21,592 | |||||||||
| LME Copper Base Metal | (8 | ) | 7/2018 | USD | (1,326,766 | ) | 43,065 | |||||||||
| LME Copper Base Metal | (11 | ) | 7/2018 | USD | (1,825,450 | ) | 81,643 | |||||||||
| LME Copper Base Metal | (11 | ) | 7/2018 | USD | (1,825,222 | ) | 54,371 | |||||||||
| LME Copper Base Metal | (20 | ) | 7/2018 | USD | (3,315,750 | ) | 172,191 | |||||||||
| LME Copper Base Metal | (21 | ) | 7/2018 | USD | (3,478,125 | ) | 93,371 | |||||||||
| LME Copper Base Metal | (26 | ) | 7/2018 | USD | (4,307,440 | ) | 106,930 | |||||||||
| LME Copper Base Metal | (26 | ) | 7/2018 | USD | (4,310,911 | ) | 213,013 | |||||||||
| LME Copper Base Metal | (26 | ) | 7/2018 | USD | (4,310,365 | ) | 203,386 | |||||||||
| LME Copper Base Metal | (30 | ) | 7/2018 | USD | (4,972,590 | ) | 263,072 | |||||||||
| LME Copper Base Metal | (30 | ) | 7/2018 | USD | (4,973,033 | ) | 152,979 | |||||||||
| LME Copper Base Metal | (30 | ) | 7/2018 | USD | (4,972,680 | ) | 247,622 | |||||||||
| LME Copper Base Metal | (31 | ) | 7/2018 | USD | (5,138,250 | ) | 280,459 | |||||||||
| LME Copper Base Metal | (35 | ) | 7/2018 | USD | (5,801,250 | ) | 301,772 | |||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,987 | ) | (6,918 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,992 | ) | (4,917 | ) | ||||||||
| LME Nickel Base Metal | (4 | ) | 7/2018 | USD | (356,018 | ) | (18,108 | ) | ||||||||
| LME Nickel Base Metal | (5 | ) | 7/2018 | USD | (445,226 | ) | (18,595 | ) | ||||||||
| LME Nickel Base Metal | (11 | ) | 7/2018 | USD | (978,496 | ) | (116,173 | ) | ||||||||
| LME Nickel Base Metal | (13 | ) | 7/2018 | USD | (1,157,169 | ) | (11,056 | ) | ||||||||
| LME Nickel Base Metal | (13 | ) | 7/2018 | USD | (1,157,114 | ) | (66,323 | ) | ||||||||
| LME Nickel Base Metal | (16 | ) | 7/2018 | USD | (1,423,008 | ) | (121,583 | ) | ||||||||
| LME Nickel Base Metal | (20 | ) | 7/2018 | USD | (1,779,624 | ) | (126,683 | ) | ||||||||
| LME Nickel Base Metal | (22 | ) | 7/2018 | USD | (1,956,874 | ) | (223,589 | ) | ||||||||
| LME Nickel Base Metal | (24 | ) | 7/2018 | USD | (2,136,620 | ) | (19,756 | ) | ||||||||
| LME Nickel Base Metal | (27 | ) | 7/2018 | USD | (2,402,347 | ) | (198,011 | ) | ||||||||
| LME Nickel Base Metal | (29 | ) | 7/2018 | USD | (2,582,682 | ) | (131,679 | ) | ||||||||
| LME Nickel Base Metal | (29 | ) | 7/2018 | USD | (2,582,868 | ) | (141,390 | ) | ||||||||
| LME Nickel Base Metal | (30 | ) | 7/2018 | USD | (2,671,547 | ) | (100,186 | ) | ||||||||
| LME Nickel Base Metal | (34 | ) | 7/2018 | USD | (3,029,065 | ) | (212,787 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,146 | ) | 9,263 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,005 | ) | 7,371 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,111 | ) | 6,854 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,151 | ) | 11,480 | |||||||||
| LME Zinc Base Metal | (7 | ) | 7/2018 | USD | (505,270 | ) | 63,109 | |||||||||
| LME Zinc Base Metal | (13 | ) | 7/2018 | USD | (943,637 | ) | 104,147 | |||||||||
| LME Zinc Base Metal | (14 | ) | 7/2018 | USD | (1,014,650 | ) | 119,147 | |||||||||
| LME Zinc Base Metal | (14 | ) | 7/2018 | USD | (1,017,275 | ) | 131,304 | |||||||||
| LME Zinc Base Metal | (15 | ) | 7/2018 | USD | (1,086,562 | ) | 80,195 | |||||||||
| LME Zinc Base Metal | (23 | ) | 7/2018 | USD | (1,670,375 | ) | 190,493 | |||||||||
| LME Zinc Base Metal | (31 | ) | 7/2018 | USD | (2,238,727 | ) | 279,354 | |||||||||
| LME Zinc Base Metal | (31 | ) | 7/2018 | USD | (2,240,912 | ) | 259,178 | |||||||||
| LME Zinc Base Metal | (39 | ) | 7/2018 | USD | (2,820,675 | ) | 240,243 | |||||||||
| LME Zinc Base Metal | (43 | ) | 7/2018 | USD | (3,111,587 | ) | 260,402 | |||||||||
| LME Zinc Base Metal | (45 | ) | 7/2018 | USD | (3,258,000 | ) | 247,776 | |||||||||
| LME Zinc Base Metal | (46 | ) | 7/2018 | USD | (3,335,575 | ) | 385,018 | |||||||||
| MSCI Singapore Index | (753 | ) | 7/2018 | SGD | (20,227,376 | ) | (2,221 | ) | ||||||||
| MSCI Taiwan Index | (2,411 | ) | 7/2018 | USD | (93,450,360 | ) | (955,018 | ) | ||||||||
| 100 oz Gold | (4,492 | ) | 8/2018 | USD | (563,521,400 | ) | 4,778,063 | |||||||||
| Lean Hogs | (90 | ) | 8/2018 | USD | (2,752,200 | ) | (16,944 | ) | ||||||||
| Live Cattle | (189 | ) | 8/2018 | USD | (8,068,410 | ) | (239,801 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
11
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | $ (53,216 | ) | $ 3,393 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 8/2018 | USD | (213,056 | ) | 19,527 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 8/2018 | USD | (213,144 | ) | 22,333 | |||||||||
| LME Aluminum Base Metal | (5 | ) | 8/2018 | USD | (265,875 | ) | 22,610 | |||||||||
| LME Aluminum Base Metal | (6 | ) | 8/2018 | USD | (319,183 | ) | 20,624 | |||||||||
| LME Aluminum Base Metal | (7 | ) | 8/2018 | USD | (373,625 | ) | 21,089 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 8/2018 | USD | (479,176 | ) | 35,725 | |||||||||
| LME Aluminum Base Metal | (10 | ) | 8/2018 | USD | (534,107 | ) | 24,738 | |||||||||
| LME Aluminum Base Metal | (10 | ) | 8/2018 | USD | (533,527 | ) | 48,117 | |||||||||
| LME Aluminum Base Metal | (13 | ) | 8/2018 | USD | (691,415 | ) | 51,334 | |||||||||
| LME Aluminum Base Metal | (14 | ) | 8/2018 | USD | (744,275 | ) | 71,184 | |||||||||
| LME Aluminum Base Metal | (14 | ) | 8/2018 | USD | (744,653 | ) | 46,656 | |||||||||
| LME Aluminum Base Metal | (14 | ) | 8/2018 | USD | (744,544 | ) | 51,314 | |||||||||
| LME Aluminum Base Metal | (15 | ) | 8/2018 | USD | (797,902 | ) | 57,541 | |||||||||
| LME Aluminum Base Metal | (28 | ) | 8/2018 | USD | (1,488,655 | ) | 119,904 | |||||||||
| LME Aluminum Base Metal | (40 | ) | 8/2018 | USD | (2,128,820 | ) | 152,905 | |||||||||
| LME Copper Base Metal | (7 | ) | 8/2018 | USD | (1,160,457 | ) | 46,261 | |||||||||
| LME Copper Base Metal | (8 | ) | 8/2018 | USD | (1,326,134 | ) | 47,612 | |||||||||
| LME Copper Base Metal | (8 | ) | 8/2018 | USD | (1,326,000 | ) | 50,376 | |||||||||
| LME Copper Base Metal | (9 | ) | 8/2018 | USD | (1,491,989 | ) | 44,847 | |||||||||
| LME Copper Base Metal | (9 | ) | 8/2018 | USD | (1,492,200 | ) | 60,786 | |||||||||
| LME Copper Base Metal | (15 | ) | 8/2018 | USD | (2,484,375 | ) | 87,331 | |||||||||
| LME Copper Base Metal | (16 | ) | 8/2018 | USD | (2,649,968 | ) | 127,385 | |||||||||
| LME Copper Base Metal | (18 | ) | 8/2018 | USD | (2,981,174 | ) | 117,032 | |||||||||
| LME Copper Base Metal | (19 | ) | 8/2018 | USD | (3,147,588 | ) | 84,741 | |||||||||
| LME Copper Base Metal | (23 | ) | 8/2018 | USD | (3,809,421 | ) | 149,486 | |||||||||
| LME Copper Base Metal | (29 | ) | 8/2018 | USD | (4,807,432 | ) | 81,339 | |||||||||
| LME Copper Base Metal | (36 | ) | 8/2018 | USD | (5,962,050 | ) | 211,844 | |||||||||
| LME Copper Base Metal | (51 | ) | 8/2018 | USD | (8,447,729 | ) | 285,326 | |||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,193 | ) | (1,896 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 8/2018 | USD | (178,527 | ) | 627 | |||||||||
| LME Nickel Base Metal | (2 | ) | 8/2018 | USD | (178,373 | ) | (5,807 | ) | ||||||||
| LME Nickel Base Metal | (5 | ) | 8/2018 | USD | (445,772 | ) | (30,137 | ) | ||||||||
| LME Nickel Base Metal | (5 | ) | 8/2018 | USD | (446,154 | ) | (6,518 | ) | ||||||||
| LME Nickel Base Metal | (5 | ) | 8/2018 | USD | (446,177 | ) | (6,542 | ) | ||||||||
| LME Nickel Base Metal | (5 | ) | 8/2018 | USD | (445,740 | ) | (25,938 | ) | ||||||||
| LME Nickel Base Metal | (6 | ) | 8/2018 | USD | (534,965 | ) | (35,141 | ) | ||||||||
| LME Nickel Base Metal | (6 | ) | 8/2018 | USD | (535,356 | ) | (4,356 | ) | ||||||||
| LME Nickel Base Metal | (6 | ) | 8/2018 | USD | (535,328 | ) | (6,145 | ) | ||||||||
| LME Nickel Base Metal | (7 | ) | 8/2018 | USD | (624,384 | ) | (16,917 | ) | ||||||||
| LME Nickel Base Metal | (14 | ) | 8/2018 | USD | (1,248,834 | ) | (17,645 | ) | ||||||||
| LME Nickel Base Metal | (33 | ) | 8/2018 | USD | (2,940,399 | ) | (232,959 | ) | ||||||||
| LME Nickel Base Metal | (38 | ) | 8/2018 | USD | (3,392,200 | ) | 81,815 | |||||||||
| LME Nickel Base Metal | (38 | ) | 8/2018 | USD | (3,386,158 | ) | (212,383 | ) | ||||||||
| LME Nickel Base Metal | (77 | ) | 8/2018 | USD | (6,861,920 | ) | (412,134 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,547 | ) | 5,633 | |||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,562 | ) | 5,272 | |||||||||
| LME Zinc Base Metal | (2 | ) | 8/2018 | USD | (143,798 | ) | 11,637 | |||||||||
| LME Zinc Base Metal | (2 | ) | 8/2018 | USD | (143,869 | ) | 10,575 | |||||||||
| LME Zinc Base Metal | (3 | ) | 8/2018 | USD | (215,592 | ) | 11,449 | |||||||||
| Canada 10 Year Bond | (1,366 | ) | 9/2018 | CAD | (142,049,869 | ) | (3,115,250 | ) | ||||||||
| Coffee ‘C’ | (388 | ) | 9/2018 | USD | (16,747,050 | ) | 416,282 | |||||||||
| Euro-BTP | (3,919 | ) | 9/2018 | EUR | (582,327,629 | ) | (7,298,890 | ) | ||||||||
| KC HRW Wheat | (1,400 | ) | 9/2018 | USD | (34,195,000 | ) | 793,197 | |||||||||
| KOSPI 200 Index | (4,867 | ) | 9/2018 | KRW | (327,523,553 | ) | 6,831,911 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
12
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | $ (53,274 | ) | $ 3,398 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,811 | ) | 10,961 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,800 | ) | 13,600 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,788 | ) | 13,640 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,742 | ) | 13,842 | |||||||||
| LME Aluminum Base Metal | (6 | ) | 9/2018 | USD | (319,908 | ) | 4,074 | |||||||||
| LME Aluminum Base Metal | (8 | ) | 9/2018 | USD | (426,488 | ) | 1,708 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 9/2018 | USD | (479,419 | ) | 10,065 | |||||||||
| LME Aluminum Base Metal | (9 | ) | 9/2018 | USD | (479,925 | ) | 6,616 | |||||||||
| LME Aluminum Base Metal | (11 | ) | 9/2018 | USD | (586,190 | ) | 23,453 | |||||||||
| LME Aluminum Base Metal | (18 | ) | 9/2018 | USD | (958,964 | ) | 18,788 | |||||||||
| LME Aluminum Base Metal | (19 | ) | 9/2018 | USD | (1,011,626 | ) | 94,315 | |||||||||
| LME Aluminum Base Metal | (20 | ) | 9/2018 | USD | (1,064,795 | ) | 97,285 | |||||||||
| LME Aluminum Base Metal | (92 | ) | 9/2018 | USD | (4,903,025 | ) | 401,611 | |||||||||
| LME Copper Base Metal | (5 | ) | 9/2018 | USD | (828,503 | ) | 74,554 | |||||||||
| LME Copper Base Metal | (6 | ) | 9/2018 | USD | (994,115 | ) | 97,000 | |||||||||
| LME Copper Base Metal | (6 | ) | 9/2018 | USD | (994,160 | ) | 89,298 | |||||||||
| LME Copper Base Metal | (8 | ) | 9/2018 | USD | (1,325,250 | ) | 133,635 | |||||||||
| LME Copper Base Metal | (8 | ) | 9/2018 | USD | (1,325,664 | ) | 104,435 | |||||||||
| LME Copper Base Metal | (9 | ) | 9/2018 | USD | (1,490,738 | ) | 18,986 | |||||||||
| LME Copper Base Metal | (9 | ) | 9/2018 | USD | (1,490,625 | ) | 23,261 | |||||||||
| LME Copper Base Metal | (10 | ) | 9/2018 | USD | (1,656,375 | ) | 46,096 | |||||||||
| LME Copper Base Metal | (10 | ) | 9/2018 | USD | (1,657,375 | ) | 92,346 | |||||||||
| LME Copper Base Metal | (12 | ) | 9/2018 | USD | (1,987,800 | ) | 13,285 | |||||||||
| LME Copper Base Metal | (19 | ) | 9/2018 | USD | (3,146,875 | ) | 86,369 | |||||||||
| LME Copper Base Metal | (25 | ) | 9/2018 | USD | (4,141,300 | ) | 249,026 | |||||||||
| LME Copper Base Metal | (26 | ) | 9/2018 | USD | (4,307,011 | ) | 359,466 | |||||||||
| LME Copper Base Metal | (135 | ) | 9/2018 | USD | (22,369,500 | ) | 1,355,127 | |||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,648 | ) | 6,426 | |||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,670 | ) | 6,724 | |||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,659 | ) | 4,785 | |||||||||
| LME Nickel Base Metal | (3 | ) | 9/2018 | USD | (268,178 | ) | (4,370 | ) | ||||||||
| LME Nickel Base Metal | (3 | ) | 9/2018 | USD | (267,908 | ) | 12,673 | |||||||||
| LME Nickel Base Metal | (3 | ) | 9/2018 | USD | (268,021 | ) | 7,010 | |||||||||
| LME Nickel Base Metal | (3 | ) | 9/2018 | USD | (268,200 | ) | 291 | |||||||||
| LME Nickel Base Metal | (3 | ) | 9/2018 | USD | (268,189 | ) | (6,118 | ) | ||||||||
| LME Nickel Base Metal | (6 | ) | 9/2018 | USD | (536,170 | ) | 10,148 | |||||||||
| LME Nickel Base Metal | (6 | ) | 9/2018 | USD | (536,224 | ) | (3,442 | ) | ||||||||
| LME Nickel Base Metal | (8 | ) | 9/2018 | USD | (714,995 | ) | 11,552 | |||||||||
| LME Nickel Base Metal | (18 | ) | 9/2018 | USD | (1,607,256 | ) | 73,981 | |||||||||
| LME Nickel Base Metal | (19 | ) | 9/2018 | USD | (1,696,649 | ) | 93,633 | |||||||||
| LME Nickel Base Metal | (89 | ) | 9/2018 | USD | (7,953,663 | ) | 267,860 | |||||||||
| MSCI EAFE E-Mini Index | (898 | ) | 9/2018 | USD | (87,797,460 | ) | (211,010 | ) | ||||||||
| MSCI Emerging Markets E-Mini Index | (4,179 | ) | 9/2018 | USD | (222,176,535 | ) | (2,494,529 | ) | ||||||||
| Silver | (794 | ) | 9/2018 | USD | (64,306,060 | ) | (1,484 | ) | ||||||||
| Sugar No. 11 | (8,722 | ) | 9/2018 | USD | (119,665,840 | ) | 2,389,850 | |||||||||
| U.S. Treasury 10 Year Note | (23,286 | ) | 9/2018 | USD | (2,798,686,125 | ) | (22,082,699 | ) | ||||||||
| U.S. Treasury 2 Year Note | (6,733 | ) | 9/2018 | USD | (1,426,238,766 | ) | 220,264 | |||||||||
| U.S. Treasury 5 Year Note | (52,675 | ) | 9/2018 | USD | (5,984,785,352 | ) | (33,346,589 | ) | ||||||||
| Wheat | (2,386 | ) | 9/2018 | USD | (59,799,125 | ) | (113,037 | ) | ||||||||
| Platinum | (1,213 | ) | 10/2018 | USD | (52,019,505 | ) | 813,660 | |||||||||
| Soybean | (418 | ) | 11/2018 | USD | (18,392,000 | ) | 439,042 | |||||||||
| 3 Month Canadian Bankers Acceptance | (45 | ) | 12/2018 | CAD | (8,375,994 | ) | (5,888 | ) | ||||||||
| 3 Month Euro Euribor | (3,863 | ) | 12/2018 | EUR | (1,131,017,091 | ) | (184,515 | ) | ||||||||
| 3 Month Eurodollar | (13,010 | ) | 12/2018 | USD | (3,166,634,000 | ) | 9,250,503 | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
13
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| ASX 90 Day Bank Accepted Bill | (2,140 | ) | 12/2018 | AUD | $ (1,575,935,201 | ) | $ (107,190 | ) | ||||||||
| Soybean Meal | (1,504 | ) | 12/2018 | USD | (49,616,960 | ) | 1,150,220 | |||||||||
| Soybean Oil | (816 | ) | 12/2018 | USD | (14,560,704 | ) | 452,194 | |||||||||
| 3 Month Canadian Bankers Acceptance | (1,005 | ) | 3/2019 | CAD | (186,786,740 | ) | (71,370 | ) | ||||||||
| 3 Month Eurodollar | (12,256 | ) | 3/2019 | USD | (2,979,433,600 | ) | 6,852,730 | |||||||||
| 3 Month Sterling | (1 | ) | 3/2019 | GBP | (163,418 | ) | (33 | ) | ||||||||
| ASX 90 Day Bank Accepted Bill | (1,755 | ) | 3/2019 | AUD | (1,292,350,728 | ) | (99,461 | ) | ||||||||
| 3 Month Eurodollar | (11,932 | ) | 6/2019 | USD | (2,897,835,350 | ) | 5,328,734 | |||||||||
| 3 Month Sterling | (29 | ) | 6/2019 | GBP | (4,736,253 | ) | (1,082 | ) | ||||||||
| 3 Month Eurodollar | (11,889 | ) | 9/2019 | USD | (2,885,460,300 | ) | 4,111,485 | |||||||||
| 3 Month Eurodollar | (11,984 | ) | 12/2019 | USD | (2,907,168,600 | ) | 2,664,861 | |||||||||
| 3 Month Eurodollar | (12,181 | ) | 3/2020 | USD | (2,954,501,550 | ) | 89,580 | |||||||||
| 3 Month Eurodollar | (10,952 | ) | 6/2020 | USD | (2,656,407,600 | ) | (948,583 | ) | ||||||||
|
|
|
|||||||||||||||
| (15,285,637 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| $36,792,832 | ||||||||||||||||
|
|
|
|||||||||||||||
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| AUD | 117,936,000 | USD | 86,918,175 | CITI | 9/19/2018 | $381,351 | ||||||||||||||
| AUD | 176,904,000 | USD | 130,377,426 | JPMC | 9/19/2018 | 571,863 | ||||||||||||||
| BRL | 2,635,600 | USD | 669,327 | CITI** | 9/19/2018 | 5,128 | ||||||||||||||
| BRL | 3,953,400 | USD | 1,003,992 | JPMC** | 9/19/2018 | 7,691 | ||||||||||||||
| CHF | 3,881,600 | USD | 3,922,370 | CITI | 9/19/2018 | 24,338 | ||||||||||||||
| CHF | 5,822,400 | USD | 5,883,562 | JPMC | 9/19/2018 | 36,500 | ||||||||||||||
| COP | 3,089,693,594 | USD | 1,046,553 | CITI** | 9/19/2018 | 3,705 | ||||||||||||||
| COP | 4,634,540,390 | USD | 1,569,832 | JPMC** | 9/19/2018 | 5,555 | ||||||||||||||
| EUR | 693,428,520 | USD | 809,622,725 | CITI | 9/19/2018 | 5,041,365 | ||||||||||||||
| EUR | 1,040,142,781 | USD | 1,214,435,606 | JPMC | 9/19/2018 | 7,560,530 | ||||||||||||||
| GBP | 24,237,600 | USD | 31,980,000 | CITI | 9/19/2018 | 121,173 | ||||||||||||||
| GBP | 36,356,400 | USD | 47,970,060 | JPMC | 9/19/2018 | 181,699 | ||||||||||||||
| IDR | 30,286,266,368 | USD | 2,073,849 | CITI** | 9/19/2018 | 17,478 | ||||||||||||||
| IDR | 45,429,399,552 | USD | 3,110,777 | JPMC** | 9/19/2018 | 26,215 | ||||||||||||||
| JPY | 7,724,639,027 | USD | 70,148,367 | CITI | 9/19/2018 | 11,386 | ||||||||||||||
| JPY | 11,586,958,541 | USD | 105,222,682 | JPMC | 9/19/2018 | 16,947 | ||||||||||||||
| MXN | 347 | USD | 17 | CITI | 9/19/2018 | — | ||||||||||||||
| MXN | 573 | USD | 28 | JPMC | 9/19/2018 | — | ||||||||||||||
| NOK | 4 | USD | — | JPMC | 9/19/2018 | — | ||||||||||||||
| TRY | 67,601,600 | USD | 14,064,589 | CITI | 9/19/2018 | 160,951 | ||||||||||||||
| TRY | 101,402,400 | USD | 21,096,720 | JPMC | 9/19/2018 | 241,590 | ||||||||||||||
| USD | 571,825,995 | AUD | 756,652,748 | CITI | 9/19/2018 | 11,730,469 | ||||||||||||||
| USD | 857,737,921 | AUD | 1,134,979,124 | JPMC | 9/19/2018 | 17,594,631 | ||||||||||||||
| USD | 82,123,345 | BRL | 308,449,700 | CITI** | 9/19/2018 | 3,190,408 | ||||||||||||||
| USD | 123,184,861 | BRL | 462,674,542 | JPMC** | 9/19/2018 | 4,785,458 | ||||||||||||||
| USD | 4,224,301 | CAD | 5,482,418 | CITI | 9/19/2018 | 48,404 | ||||||||||||||
| USD | 6,336,478 | CAD | 8,223,631 | JPMC | 9/19/2018 | 72,629 | ||||||||||||||
| USD | 3,439,495 | CHF | 3,364,054 | CITI | 9/19/2018 | 19,015 | ||||||||||||||
| USD | 5,159,236 | CHF | 5,046,080 | JPMC | 9/19/2018 | 28,517 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
14
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 7,264,419 | COP | 21,145,353,369 | CITI** | 9/19/2018 | $ 76,626 | ||||||||||||||
| USD | 10,896,615 | COP | 31,718,030,055 | JPMC** | 9/19/2018 | 114,927 | ||||||||||||||
| USD | 1,585,531,950 | EUR | 1,342,649,984 | CITI | 9/19/2018 | 8,139,766 | ||||||||||||||
| USD | 2,378,294,952 | EUR | 2,013,974,976 | JPMC | 9/19/2018 | 12,206,676 | ||||||||||||||
| USD | 21 | GBP | 16 | JPMC | 9/19/2018 | — | ||||||||||||||
| USD | 138,656 | HKD | 1,085,600 | CITI | 9/19/2018 | 101 | ||||||||||||||
| USD | 207,984 | HKD | 1,628,400 | JPMC | 9/19/2018 | 150 | ||||||||||||||
| USD | 48,285,702 | HUF | 13,094,399,877 | CITI | 9/19/2018 | 1,632,410 | ||||||||||||||
| USD | 72,427,542 | HUF | 19,641,599,825 | JPMC | 9/19/2018 | 2,447,606 | ||||||||||||||
| USD | 23,284,462 | IDR | 330,558,906,734 | CITI** | 9/19/2018 | 458,708 | ||||||||||||||
| USD | 34,926,649 | IDR | 495,838,360,104 | JPMC** | 9/19/2018 | 688,019 | ||||||||||||||
| USD | 37,345,354 | INR | 2,573,151,950 | CITI** | 9/19/2018 | 171,683 | ||||||||||||||
| USD | 56,018,453 | INR | 3,859,727,922 | JPMC** | 9/19/2018 | 257,944 | ||||||||||||||
| USD | 638,308,004 | JPY | 69,798,298,460 | CITI | 9/19/2018 | 4,358,467 | ||||||||||||||
| USD | 957,460,809 | JPY | 104,697,447,684 | JPMC | 9/19/2018 | 6,536,504 | ||||||||||||||
| USD | 124,983,626 | KRW | 137,837,963,302 | CITI** | 9/19/2018 | 903,683 | ||||||||||||||
| USD | 187,475,204 | KRW | 206,756,944,954 | JPMC** | 9/19/2018 | 1,355,290 | ||||||||||||||
| USD | 660,371,224 | NZD | 955,848,828 | CITI | 9/19/2018 | 12,926,132 | ||||||||||||||
| USD | 990,555,598 | NZD | 1,433,773,242 | JPMC | 9/19/2018 | 19,387,961 | ||||||||||||||
| USD | 10,683,142 | PHP | 566,942,480 | CITI** | 9/19/2018 | 128,683 | ||||||||||||||
| USD | 16,024,694 | PHP | 850,413,712 | JPMC** | 9/19/2018 | 193,005 | ||||||||||||||
| USD | 180,714,216 | PLN | 664,678,793 | CITI | 9/19/2018 | 3,034,218 | ||||||||||||||
| USD | 271,070,985 | PLN | 997,018,191 | JPMC | 9/19/2018 | 4,550,989 | ||||||||||||||
| USD | 229,934,374 | SEK | 1,998,551,103 | CITI | 9/19/2018 | 5,436,451 | ||||||||||||||
| USD | 344,901,129 | SEK | 2,997,826,648 | JPMC | 9/19/2018 | 8,154,246 | ||||||||||||||
| USD | 50,010,185 | SGD | 67,600,000 | CITI | 9/19/2018 | 310,583 | ||||||||||||||
| USD | 75,015,218 | SGD | 101,400,000 | JPMC | 9/19/2018 | 465,814 | ||||||||||||||
| USD | 5,159,901 | TRY | 24,159,200 | CITI | 9/19/2018 | 76,032 | ||||||||||||||
| USD | 7,739,842 | TRY | 36,238,800 | JPMC | 9/19/2018 | 114,039 | ||||||||||||||
| USD | 109,655,060 | TWD | 3,264,369,209 | CITI** | 9/19/2018 | 2,005,308 | ||||||||||||||
| USD | 164,482,279 | TWD | 4,896,553,808 | JPMC** | 9/19/2018 | 3,007,650 | ||||||||||||||
| USD | 220,696,608 | ZAR | 2,955,708,786 | CITI | 9/19/2018 | 7,444,252 | ||||||||||||||
| USD | 331,044,498 | ZAR | 4,433,563,182 | JPMC | 9/19/2018 | 11,165,964 | ||||||||||||||
| USD | 45,980,867 | CLP | 29,524,443,068 | CITI** | 9/20/2018 | 796,600 | ||||||||||||||
| USD | 68,971,214 | CLP | 44,286,664,604 | JPMC** | 9/20/2018 | 1,194,814 | ||||||||||||||
| USD | 23,870,904 | ILS | 85,920,001 | CITI | 9/20/2018 | 250,198 | ||||||||||||||
| USD | 35,806,184 | ILS | 128,879,999 | JPMC | 9/20/2018 | 375,126 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 172,251,621 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 1,027,321,194 | USD | 777,584,263 | CITI | 9/19/2018 | (17,132,383 | ) | |||||||||||||
| AUD | 1,540,981,790 | USD | 1,166,377,851 | JPMC | 9/19/2018 | (25,700,032 | ) | |||||||||||||
| BRL | 40,986,800 | USD | 10,821,603 | CITI** | 9/19/2018 | (332,993 | ) | |||||||||||||
| BRL | 61,480,200 | USD | 16,232,425 | JPMC** | 9/19/2018 | (499,510 | ) | |||||||||||||
| CAD | 925,834,412 | USD | 717,598,883 | CITI | 9/19/2018 | (12,401,070 | ) | |||||||||||||
| CAD | 1,388,751,620 | USD | 1,076,399,671 | JPMC | 9/19/2018 | (18,602,950 | ) | |||||||||||||
| COP | 55,106,343,831 | USD | 19,118,694 | CITI** | 9/19/2018 | (386,781 | ) | |||||||||||||
| COP | 82,659,515,745 | USD | 28,678,077 | JPMC** | 9/19/2018 | (580,206 | ) | |||||||||||||
| EUR | 892,951,899 | USD | 1,057,518,020 | CITI | 9/19/2018 | (8,446,882 | ) | |||||||||||||
| EUR | 1,339,427,844 | USD | 1,586,279,007 | JPMC | 9/19/2018 | (12,672,306 | ) | |||||||||||||
| GBP | 47,125,200 | USD | 62,734,482 | CITI | 9/19/2018 | (320,126 | ) | |||||||||||||
| GBP | 70,687,800 | USD | 94,101,840 | JPMC | 9/19/2018 | (480,306 | ) | |||||||||||||
| HKD | 13,886,800 | USD | 1,773,776 | CITI | 9/19/2018 | (1,400 | ) | |||||||||||||
| HKD | 20,830,200 | USD | 2,660,668 | JPMC | 9/19/2018 | (2,103 | ) | |||||||||||||
| HUF | 1,486,977,194 | USD | 5,487,902 | CITI | 9/19/2018 | (190,036 | ) | |||||||||||||
| HUF | 2,230,465,790 | USD | 8,231,864 | JPMC | 9/19/2018 | (285,065 | ) | |||||||||||||
| IDR | 402,436,381,082 | USD | 28,286,451 | CITI** | 9/19/2018 | (497,414 | ) | |||||||||||||
| IDR | 603,654,571,622 | USD | 42,429,730 | JPMC** | 9/19/2018 | (746,175 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
15
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| INR | 4,558,260,848 | USD | 66,811,169 | CITI** | 9/19/2018 | $ (959,132 | ) | |||||||||||||
| INR | 6,837,391,272 | USD | 100,217,914 | JPMC** | 9/19/2018 | (1,439,859 | ) | |||||||||||||
| JPY | 106,817,030,554 | USD | 979,495,718 | CITI | 9/19/2018 | (9,320,105 | ) | |||||||||||||
| JPY | 160,225,545,830 | USD | 1,469,245,414 | JPMC | 9/19/2018 | (13,981,993 | ) | |||||||||||||
| KRW | 4,701,128 | USD | 4,394 | CITI** | 9/19/2018 | (162 | ) | |||||||||||||
| KRW | 7,051,696 | USD | 6,591 | JPMC** | 9/19/2018 | (243 | ) | |||||||||||||
| MXN | 131,380,098 | USD | 6,594,448 | CITI | 9/19/2018 | (61,403 | ) | |||||||||||||
| MXN | 197,070,094 | USD | 9,891,682 | JPMC | 9/19/2018 | (92,116 | ) | |||||||||||||
| NZD | 487,467,603 | USD | 337,833,812 | CITI | 9/19/2018 | (7,647,178 | ) | |||||||||||||
| NZD | 731,201,405 | USD | 506,751,228 | JPMC | 9/19/2018 | (11,471,277 | ) | |||||||||||||
| PHP | 567,214,400 | USD | 10,698,842 | CITI** | 9/19/2018 | (139,321 | ) | |||||||||||||
| PHP | 850,821,600 | USD | 16,048,284 | JPMC** | 9/19/2018 | (209,002 | ) | |||||||||||||
| PLN | 313,511,200 | USD | 86,165,940 | CITI | 9/19/2018 | (2,359,040 | ) | |||||||||||||
| PLN | 470,266,800 | USD | 129,249,072 | JPMC | 9/19/2018 | (3,538,721 | ) | |||||||||||||
| SEK | 3,463,200 | USD | 400,474 | CITI | 9/19/2018 | (11,451 | ) | |||||||||||||
| SEK | 5,194,800 | USD | 600,711 | JPMC | 9/19/2018 | (17,178 | ) | |||||||||||||
| SGD | 115,973,200 | USD | 86,455,127 | CITI | 9/19/2018 | (1,191,489 | ) | |||||||||||||
| SGD | 173,959,800 | USD | 129,682,852 | JPMC | 9/19/2018 | (1,787,395 | ) | |||||||||||||
| TRY | 48,254,400 | USD | 10,217,505 | CITI | 9/19/2018 | (63,236 | ) | |||||||||||||
| TRY | 72,381,600 | USD | 15,325,070 | JPMC | 9/19/2018 | (93,665 | ) | |||||||||||||
| TWD | 451,368,394 | USD | 15,251,640 | CITI** | 9/19/2018 | (366,775 | ) | |||||||||||||
| TWD | 677,052,590 | USD | 22,877,489 | JPMC** | 9/19/2018 | (550,191 | ) | |||||||||||||
| USD | 402,908,475 | AUD | 545,851,609 | CITI | 9/19/2018 | (1,146,153 | ) | |||||||||||||
| USD | 604,361,958 | AUD | 818,777,415 | JPMC | 9/19/2018 | (1,719,984 | ) | |||||||||||||
| USD | 5,574,455 | BRL | 21,844,700 | CITI** | 9/19/2018 | (15,650 | ) | |||||||||||||
| USD | 8,361,673 | BRL | 32,767,050 | JPMC** | 9/19/2018 | (23,486 | ) | |||||||||||||
| USD | 914,355,200 | CAD | 1,212,529,606 | CITI | 9/19/2018 | (9,215,165 | ) | |||||||||||||
| USD | 1,371,531,086 | CAD | 1,818,794,410 | JPMC | 9/19/2018 | (13,824,462 | ) | |||||||||||||
| USD | 525,086 | CHF | 517,546 | CITI | 9/19/2018 | (1,141 | ) | |||||||||||||
| USD | 787,629 | CHF | 776,320 | JPMC | 9/19/2018 | (1,713 | ) | |||||||||||||
| USD | 6,279,059 | COP | 18,525,338,419 | CITI** | 9/19/2018 | (18,129 | ) | |||||||||||||
| USD | 9,418,577 | COP | 27,788,007,629 | JPMC** | 9/19/2018 | (27,206 | ) | |||||||||||||
| USD | 401,588,477 | EUR | 343,179,987 | CITI | 9/19/2018 | (1,591,381 | ) | |||||||||||||
| USD | 602,381,963 | EUR | 514,769,981 | JPMC | 9/19/2018 | (2,387,824 | ) | |||||||||||||
| USD | 115,412,891 | GBP | 87,520,800 | CITI | 9/19/2018 | (502,890 | ) | |||||||||||||
| USD | 173,119,120 | GBP | 131,281,200 | JPMC | 9/19/2018 | (754,551 | ) | |||||||||||||
| USD | 6,036,871 | HKD | 47,314,400 | CITI | 9/19/2018 | (1,881 | ) | |||||||||||||
| USD | 9,055,295 | HKD | 70,971,600 | JPMC | 9/19/2018 | (2,832 | ) | |||||||||||||
| USD | 1,032,551 | HUF | 291,305,603 | CITI | 9/19/2018 | (5,325 | ) | |||||||||||||
| USD | 1,548,824 | HUF | 436,958,405 | JPMC | 9/19/2018 | (7,990 | ) | |||||||||||||
| USD | 13,308,495 | IDR | 193,023,156,798 | CITI** | 9/19/2018 | (20,140 | ) | |||||||||||||
| USD | 19,962,718 | IDR | 289,534,735,196 | JPMC** | 9/19/2018 | (30,235 | ) | |||||||||||||
| USD | 117,228,800 | INR | 8,130,749,190 | CITI** | 9/19/2018 | (234,069 | ) | |||||||||||||
| USD | 175,842,981 | INR | 12,196,123,786 | JPMC** | 9/19/2018 | (351,321 | ) | |||||||||||||
| USD | 40,975,397 | JPY | 4,520,152,269 | CITI | 9/19/2018 | (79,307 | ) | |||||||||||||
| USD | 61,463,018 | JPY | 6,780,228,403 | JPMC | 9/19/2018 | (119,037 | ) | |||||||||||||
| USD | 73,546,747 | KRW | 82,043,236,940 | CITI** | 9/19/2018 | (307,508 | ) | |||||||||||||
| USD | 110,319,983 | KRW | 123,064,855,412 | JPMC** | 9/19/2018 | (461,400 | ) | |||||||||||||
| USD | 254,829,243 | MXN | 5,313,017,216 | CITI | 9/19/2018 | (9,367,424 | ) | |||||||||||||
| USD | 382,243,386 | MXN | 7,969,525,824 | JPMC | 9/19/2018 | (14,051,614 | ) | |||||||||||||
| USD | 38,761,229 | NZD | 57,253,600 | CITI | 9/19/2018 | (19,550 | ) | |||||||||||||
| USD | 58,141,771 | NZD | 85,880,400 | JPMC | 9/19/2018 | (29,398 | ) | |||||||||||||
| USD | 5,041 | PHP | 271,600 | CITI** | 9/19/2018 | (15 | ) | |||||||||||||
| USD | 7,561 | PHP | 407,400 | JPMC** | 9/19/2018 | (23 | ) | |||||||||||||
| USD | 16,728,085 | PLN | 62,915,200 | CITI | 9/19/2018 | (90,223 | ) | |||||||||||||
| USD | 25,092,096 | PLN | 94,372,800 | JPMC | 9/19/2018 | (135,366 | ) | |||||||||||||
| USD | 4,617,356 | SEK | 41,248,800 | CITI | 9/19/2018 | (16,136 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
16
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 6,926,025 | SEK | 61,873,200 | JPMC | 9/19/2018 | $ (24,213 | ) | |||||||||||||
| USD | 28,582,887 | SGD | 38,948,000 | CITI | 9/19/2018 | (51,730 | ) | |||||||||||||
| USD | 42,874,277 | SGD | 58,422,000 | JPMC | 9/19/2018 | (77,648 | ) | |||||||||||||
| USD | 194,726,942 | TRY | 952,829,621 | CITI | 9/19/2018 | (5,778,899 | ) | |||||||||||||
| USD | 292,090,049 | TRY | 1,429,244,435 | JPMC | 9/19/2018 | (8,668,714 | ) | |||||||||||||
| USD | 6,723,833 | TWD | 204,378,406 | CITI** | 9/19/2018 | (15,995 | ) | |||||||||||||
| USD | 10,085,736 | TWD | 306,567,610 | JPMC** | 9/19/2018 | (24,005 | ) | |||||||||||||
| USD | 45,727,200 | ZAR | 637,986,800 | CITI | 9/19/2018 | (303,108 | ) | |||||||||||||
| USD | 68,590,715 | ZAR | 956,980,200 | JPMC | 9/19/2018 | (454,748 | ) | |||||||||||||
| ZAR | 1,953,326,822 | USD | 153,255,940 | CITI | 9/19/2018 | (12,324,753 | ) | |||||||||||||
| ZAR | 2,929,990,234 | USD | 229,884,197 | JPMC | 9/19/2018 | (18,487,417 | ) | |||||||||||||
| CLP | 24,713,004,177 | USD | 39,365,055 | CITI** | 9/20/2018 | (1,544,224 | ) | |||||||||||||
| CLP | 37,069,506,263 | USD | 59,047,657 | JPMC** | 9/20/2018 | (2,316,410 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation | (261,211,063 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation | $ | (88,959,442 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
** Non-deliverable forward.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
17
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BANA | ||||||||||||
| Investment Companies | $412,098 | $— | $412,098 | |||||||||
|
|
||||||||||||
| BARC | ||||||||||||
| Cash | — | 258,813,467 | 258,813,467 | |||||||||
| U.S. Treasury Bills | — | 133,736,600 | 133,736,600 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Investment Companies | 99,797,378 | — | 99,797,378 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | (37,998,057 | ) | (37,998,057 | ) | |||||||
| U.S. Treasury Bills | — | 123,108,781 | 123,108,781 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 3,980,577 | — | 3,980,577 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 263,382,336 | — | 263,382,336 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | (14,685,601 | ) | (14,685,601 | ) | |||||||
| U.S. Treasury Bills | — | 44,081,130 | 44,081,130 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | (500,000 | ) | — | (500,000 | ) | |||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 56,696,916 | 56,696,916 | |||||||||
| U.S. Treasury Bills | — | 70,859,930 | 70,859,930 | |||||||||
|
|
||||||||||||
| MSCS | ||||||||||||
| Investment Companies | 13,356,963 | — | 13,356,963 | |||||||||
|
|
||||||||||||
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $8,595,836 | $— | $8,595,836 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | (9,115,947 | ) | (9,115,947 | ) | |||||||
| U.S. Treasury Bills | — | 25,107,672 | 25,107,672 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 30,672,459 | — | 30,672,459 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 1,983,495 | 1,983,495 | |||||||||
| U.S. Treasury Bills | — | 17,712,358 | 17,712,358 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 7,600,000 | — | 7,600,000 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 12,450,000 | — | 12,450,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (60,332,998 | ) | (60,332,998 | ) | |||||||
| U.S. Treasury Bills | — | 60,966,679 | 60,966,679 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 14,322,430 | — | 14,322,430 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
18
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Total return swap contracts outstanding as of June 30, 2018:
Over the Counter
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/10/2018 | USD | (863,250 | ) | $29,070 | |||||||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/10/2018 | USD | (2,287,613 | ) | 80,644 | |||||||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity |
At termination | MACQ | 08/10/2018 | USD | (4,316,250 | ) | 154,335 | |||||||||||||||
| Coffee ‘C’ September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/10/2018 | USD | (906,413 | ) | 32,048 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/24/2018 | USD | (1,455,975 | ) | 27,876 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/24/2018 | USD | (3,109,675 | ) | 33,163 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
19
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (9,382,950 | ) | $ 200,695 | |||||||||||||||
| Corn September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/24/2018 | USD | (2,840,050 | ) | 29,865 | |||||||||||||||
| Cotton No. 2 December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | (83,920 | ) | 8,319 | |||||||||||||||
| Hang Seng Index July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | 14,363,000 | 9,874 | ||||||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 07/16/2018 | USD | 1,458,600 | 61,776 | ||||||||||||||||
| Lean Hogs July Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | 1,060,800 | 44,337 | ||||||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/14/2018 | USD | (1,253,780 | ) | 3,280 | |||||||||||||||
| Lean Hogs August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/14/2018 | USD | (917,400 | ) | 3,643 | |||||||||||||||
| Live Cattle August Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | 811,110 | 20,318 | ||||||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | (12,672,000 | ) | 970,674 | |||||||||||||||
| Soybean November Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 10/26/2018 | USD | (11,000,000 | ) | 783,796 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | (1,187,640 | ) | 17,610 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (824,750 | ) | 15,263 | |||||||||||||||
| Soybean Meal December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | (5,806,240 | ) | 289,545 | |||||||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | (3,479,580 | ) | 197,016 | |||||||||||||||
| Soybean Oil December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | (1,784,400 | ) | 101,280 | |||||||||||||||
| Wheat September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | (401,000 | ) | 18,444 | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| 3,132,871 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
20
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Cocoa September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 08/03/2018 | USD | (1,607,680 | ) | $ (5,456 | ) | ||||||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 08/03/2018 | USD | 803,840 | (15,397 | ) | |||||||||||||||
| Cocoa September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (502,400 | ) | (12,955 | ) | ||||||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 08/03/2018 | USD | 1,858,880 | (34,744 | ) | |||||||||||||||
| Cocoa September Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 08/03/2018 | USD | (703,360 | ) | (27,300 | ) | ||||||||||||||
| Cocoa September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | 502,400 | (11,613 | ) | |||||||||||||||
| Coffee ‘C’ September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/10/2018 | USD | 129,487 | (3,521 | ) | |||||||||||||||
| Corn September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 1,402,050 | (104,035 | ) | |||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 11/09/2018 | USD | 713,320 | (77,350 | ) | |||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/09/2018 | USD | 713,320 | (67,413 | ) | |||||||||||||||
| Cotton No. 2 December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/09/2018 | USD | 1,258,800 | (138,900 | ) | |||||||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 07/30/2018 | HKD | (48,367,050 | ) | (50,551 | ) | ||||||||||||||
| HSCEI July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/30/2018 | HKD | (17,390,400 | ) | (10,015 | ) | ||||||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 07/16/2018 | USD | (1,060,800 | ) | (72,473 | ) | ||||||||||||||
| Lean Hogs July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | GSIN | 07/16/2018 | USD | (1,458,600 | ) | (98,904 | ) | ||||||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | SOCG | 08/03/2018 | USD | (2,219,880 | ) | (57,427 | ) | ||||||||||||||
| Live Cattle August Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MACQ | 08/03/2018 | USD | (5,080,110 | ) | (128,894 | ) | ||||||||||||||
| MSCI Taiwan Index July Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | MLIN | 07/30/2018 | USD | (2,751,960 | ) | (38,416 | ) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
21
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| REFERENCE ENTITY |
PAYMENTS MADE BY FUND |
PAYMENTS RECEIVED BY FUND |
PAYMENT FREQUENCY |
COUNTERPARTY | MATURITY DATE |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Soybean November Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | CITI | 10/26/2018 | USD | 1,188,000 | $ (134,444 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 11/23/2018 | USD | 659,800 | (54,522 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | SOCG | 11/23/2018 | USD | 5,806,240 | (503,055 | ) | |||||||||||||||
| Soybean Meal December Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 11/23/2018 | USD | 824,750 | (71,642 | ) | |||||||||||||||
| Wheat September Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | MACQ | 08/24/2018 | USD | 150,375 | (10,381 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||||
| (1,729,408 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $1,403,463 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Futures contracts outstanding as of June 30, 2018:
Exchange Traded
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts | ||||||||||||||||
| Amsterdam Exchange Index | 69 | 7/2018 | EUR | $8,889,387 | $(196,087 | ) | ||||||||||
| Brent Crude Oil | 542 | 7/2018 | USD | 42,942,660 | 1,716,517 | |||||||||||
| CAC 40 10 Euro Index | 376 | 7/2018 | EUR | 23,361,932 | 27,268 | |||||||||||
| LME Aluminum Base Metal | 5 | 7/2018 | USD | 268,469 | (31,102 | ) | ||||||||||
| LME Aluminum Base Metal | 5 | 7/2018 | USD | 268,812 | (39,388 | ) | ||||||||||
| LME Aluminum Base Metal | 7 | 7/2018 | USD | 377,781 | (2,693 | ) | ||||||||||
| LME Aluminum Base Metal | 10 | 7/2018 | USD | 541,000 | (84,225 | ) | ||||||||||
| LME Aluminum Base Metal | 10 | 7/2018 | USD | 538,937 | 40,908 | |||||||||||
| LME Aluminum Base Metal | 12 | 7/2018 | USD | 646,050 | 39,451 | |||||||||||
| LME Aluminum Base Metal | 12 | 7/2018 | USD | 648,780 | (57,188 | ) | ||||||||||
| LME Aluminum Base Metal | 12 | 7/2018 | USD | 648,075 | (20,462 | ) | ||||||||||
| LME Aluminum Base Metal | 12 | 7/2018 | USD | 648,990 | (68,673 | ) | ||||||||||
| LME Aluminum Base Metal | 13 | 7/2018 | USD | 702,162 | (49,048 | ) | ||||||||||
| LME Aluminum Base Metal | 13 | 7/2018 | USD | 701,837 | (28,499 | ) | ||||||||||
| LME Aluminum Base Metal | 23 | 7/2018 | USD | 1,239,125 | 91,976 | |||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,825 | (4,369 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,950 | (8,953 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,929 | (5,337 | ) | ||||||||||
| LME Copper Base Metal | 1 | 7/2018 | USD | 165,846 | (5,657 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,512 | (15,836 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,609 | (16,065 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,500 | (19,292 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,506 | (18,058 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,250 | (9,506 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,536 | (9,708 | ) | ||||||||||
| LME Copper Base Metal | 2 | 7/2018 | USD | 331,575 | (17,441 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
22
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Copper Base Metal | 3 | 7/2018 | USD | $ 497,250 | $ (23,824 | ) | ||||||||||
| LME Copper Base Metal | 3 | 7/2018 | USD | 497,350 | (21,974 | ) | ||||||||||
| LME Copper Base Metal | 4 | 7/2018 | USD | 662,683 | (14,895 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,938 | 7,526 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,009 | 4,426 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,013 | (1,904 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 89,045 | 2,163 | |||||||||||
| LME Nickel Base Metal | 1 | 7/2018 | USD | 88,954 | 10,447 | |||||||||||
| LME Nickel Base Metal | 2 | 7/2018 | USD | 177,962 | 13,126 | |||||||||||
| LME Nickel Base Metal | 2 | 7/2018 | USD | 177,898 | 20,084 | |||||||||||
| LME Nickel Base Metal | 2 | 7/2018 | USD | 178,052 | 2,228 | |||||||||||
| LME Nickel Base Metal | 3 | 7/2018 | USD | 266,927 | 21,176 | |||||||||||
| LME Nickel Base Metal | 3 | 7/2018 | USD | 267,155 | 10,440 | |||||||||||
| LME Nickel Base Metal | 3 | 7/2018 | USD | 267,193 | 15,708 | |||||||||||
| LME Nickel Base Metal | 4 | 7/2018 | USD | 356,361 | 23,349 | |||||||||||
| LME Nickel Base Metal | 4 | 7/2018 | USD | 356,232 | 20,304 | |||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,587 | (7,790 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,076 | (5,640 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 7/2018 | USD | 72,475 | (8,903 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 145,325 | (19,055 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 145,250 | (16,506 | ) | ||||||||||
| LME Zinc Base Metal | 2 | 7/2018 | USD | 144,875 | (12,031 | ) | ||||||||||
| LME Zinc Base Metal | 3 | 7/2018 | USD | 216,862 | (23,146 | ) | ||||||||||
| LME Zinc Base Metal | 4 | 7/2018 | USD | 289,600 | (24,162 | ) | ||||||||||
| LME Zinc Base Metal | 4 | 7/2018 | USD | 289,300 | (23,932 | ) | ||||||||||
| LME Zinc Base Metal | 5 | 7/2018 | USD | 362,562 | (40,452 | ) | ||||||||||
| LME Zinc Base Metal | 5 | 7/2018 | USD | 361,812 | (30,127 | ) | ||||||||||
| NY Harbor ULSD | 119 | 7/2018 | USD | 11,044,081 | 209,981 | |||||||||||
| OMXS30 Index | 626 | 7/2018 | SEK | 10,910,051 | 173,950 | |||||||||||
| RBOB Gasoline | 148 | 7/2018 | USD | 13,371,859 | 387,218 | |||||||||||
| WTI Crude Oil | 599 | 7/2018 | USD | 44,415,850 | 5,053,767 | |||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,197 | (4,108 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,242 | (3,956 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,186 | (3,764 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,162 | (4,970 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,193 | (3,624 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,175 | (4,504 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 8/2018 | USD | 53,182 | (3,752 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 8/2018 | USD | 106,332 | (9,366 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 8/2018 | USD | 106,379 | (6,279 | ) | ||||||||||
| LME Aluminum Base Metal | 4 | 8/2018 | USD | 212,882 | (15,455 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,625 | (5,592 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,800 | (7,426 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,623 | (7,271 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,750 | (5,143 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,767 | (6,432 | ) | ||||||||||
| LME Copper Base Metal | 1 | 8/2018 | USD | 165,627 | (6,208 | ) | ||||||||||
| LME Copper Base Metal | 2 | 8/2018 | USD | 331,325 | (9,388 | ) | ||||||||||
| LME Copper Base Metal | 2 | 8/2018 | USD | 331,242 | (13,451 | ) | ||||||||||
| LME Copper Base Metal | 2 | 8/2018 | USD | 331,553 | (9,996 | ) | ||||||||||
| LME Copper Base Metal | 3 | 8/2018 | USD | 496,838 | (17,501 | ) | ||||||||||
| LME Copper Base Metal | 3 | 8/2018 | USD | 497,321 | (10,451 | ) | ||||||||||
| LME Copper Base Metal | 5 | 8/2018 | USD | 828,898 | (27,048 | ) | ||||||||||
| LME Copper Base Metal | 6 | 8/2018 | USD | 993,851 | (32,242 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,198 | 2,280 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
23
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | $ 89,221 | $ 1,130 | |||||||||||
| LME Nickel Base Metal | 1 | 8/2018 | USD | 89,187 | 2,988 | |||||||||||
| LME Nickel Base Metal | 2 | 8/2018 | USD | 178,405 | 2,255 | |||||||||||
| LME Nickel Base Metal | 4 | 8/2018 | USD | 356,412 | 29,976 | |||||||||||
| LME Nickel Base Metal | 4 | 8/2018 | USD | 357,074 | (7,318 | ) | ||||||||||
| LME Nickel Base Metal | 4 | 8/2018 | USD | 356,438 | 22,132 | |||||||||||
| LME Nickel Base Metal | 8 | 8/2018 | USD | 712,927 | 42,067 | |||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,864 | (4,451 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,934 | (5,618 | ) | ||||||||||
| LME Zinc Base Metal | 1 | 8/2018 | USD | 71,547 | (5,674 | ) | ||||||||||
| Low Sulphur Gasoil | 181 | 8/2018 | USD | 12,249,175 | 230,555 | |||||||||||
| Cocoa | 4 | 9/2018 | USD | 100,480 | (44 | ) | ||||||||||
| Copper | 152 | 9/2018 | USD | 11,270,800 | (346,773 | ) | ||||||||||
| Corn | 3 | 9/2018 | USD | 53,925 | (4,132 | ) | ||||||||||
| DAX Index | 31 | 9/2018 | EUR | 11,139,746 | (199,654 | ) | ||||||||||
| DJIA CBOT E-Mini Index | 133 | 9/2018 | USD | 16,136,225 | (30,441 | ) | ||||||||||
| EURO STOXX 50 Index | 114 | 9/2018 | EUR | 4,514,411 | (25,919 | ) | ||||||||||
| Euro-Bobl | 2,506 | 9/2018 | EUR | 386,796,405 | 847,420 | |||||||||||
| Euro-Bund | 1,944 | 9/2018 | EUR | 369,021,531 | 2,210,878 | |||||||||||
| Euro-Buxl | 317 | 9/2018 | EUR | 65,783,225 | 1,025,860 | |||||||||||
| Euro-OAT | 515 | 9/2018 | EUR | 92,942,983 | 733,196 | |||||||||||
| Euro-Schatz | 1,502 | 9/2018 | EUR | 196,601,081 | 55,703 | |||||||||||
| FTSE 100 Index | 960 | 9/2018 | GBP | 96,307,961 | (490,986 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,325 | (342 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,270 | (3,557 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,276 | (958 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,269 | (1,123 | ) | ||||||||||
| LME Aluminum Base Metal | 1 | 9/2018 | USD | 53,290 | (1,998 | ) | ||||||||||
| LME Aluminum Base Metal | 2 | 9/2018 | USD | 106,487 | (10,269 | ) | ||||||||||
| LME Aluminum Base Metal | 3 | 9/2018 | USD | 159,719 | (14,890 | ) | ||||||||||
| LME Aluminum Base Metal | 70 | 9/2018 | USD | 3,730,562 | (234,357 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (4,586 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,701 | (14,140 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,638 | (2,052 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,625 | (2,213 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,738 | (9,263 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,708 | (14,495 | ) | ||||||||||
| LME Copper Base Metal | 1 | 9/2018 | USD | 165,650 | (147 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,250 | (9,056 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,313 | (31,543 | ) | ||||||||||
| LME Copper Base Metal | 2 | 9/2018 | USD | 331,309 | (26,447 | ) | ||||||||||
| LME Copper Base Metal | 3 | 9/2018 | USD | 496,956 | (28,908 | ) | ||||||||||
| LME Copper Base Metal | 83 | 9/2018 | USD | 13,753,100 | (570,934 | ) | ||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,396 | 665 | |||||||||||
| LME Nickel Base Metal | 1 | 9/2018 | USD | 89,374 | (2,507 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,584 | (7,242 | ) | ||||||||||
| LME Nickel Base Metal | 2 | 9/2018 | USD | 178,595 | (10,171 | ) | ||||||||||
| LME Nickel Base Metal | 46 | 9/2018 | USD | 4,110,882 | 49,020 | |||||||||||
| Long Gilt | 10 | 9/2018 | GBP | 1,624,084 | 2,496 | |||||||||||
| NASDAQ 100 Emini Index | 481 | 9/2018 | USD | 67,982,135 | (1,485,219 | ) | ||||||||||
| Nikkei 225 Index | 75 | 9/2018 | JPY | 15,099,580 | (421 | ) | ||||||||||
| Palladium | 9 | 9/2018 | USD | 855,810 | (22,523 | ) | ||||||||||
| Russell 2000 E-Mini Index | 928 | 9/2018 | USD | 76,444,000 | (1,492,027 | ) | ||||||||||
| S&P 500 E-Mini Index | 987 | 9/2018 | USD | 134,310,960 | (2,334,431 | ) | ||||||||||
| S&P Midcap 400 E-Mini Index | 58 | 9/2018 | USD | 11,345,380 | (131,721 | ) | ||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
24
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts (continued) | ||||||||||||||||
| S&P/TSX 60 Index | 147 | 9/2018 | CAD | $ 21,542,631 | $ 153,655 | |||||||||||
| SPI 200 Index | 236 | 9/2018 | AUD | 26,843,981 | 287,519 | |||||||||||
| TOPIX Index | 330 | 9/2018 | JPY | 51,579,732 | (268,037 | ) | ||||||||||
| 3 Month Euroswiss | 60 | 12/2018 | CHF | 15,257,498 | (1,405 | ) | ||||||||||
| 3 Month Sterling | 29 | 12/2018 | GBP | 4,742,472 | (308 | ) | ||||||||||
| Cotton No. 2 | 9 | 12/2018 | USD | 377,640 | (4,255 | ) | ||||||||||
| 3 Month Euroswiss | 44 | 3/2019 | CHF | 11,186,610 | (872 | ) | ||||||||||
| 3 Month Euro Euribor | 455 | 6/2019 | EUR | 133,189,269 | 5,181 | |||||||||||
| 3 Month Euroswiss | 32 | 6/2019 | CHF | 8,131,677 | 3,666 | |||||||||||
| 3 Month Euro Euribor | 551 | 9/2019 | EUR | 161,186,179 | 165,291 | |||||||||||
| 3 Month Euro Euribor | 429 | 12/2019 | EUR | 125,409,371 | 168,196 | |||||||||||
| 3 Month Euro Euribor | 404 | 3/2020 | EUR | 118,006,774 | 170,806 | |||||||||||
| 3 Month Euro Euribor | 328 | 6/2020 | EUR | 95,730,872 | 91,947 | |||||||||||
|
|
|
|||||||||||||||
| 5,133,613 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts | ||||||||||||||||
| Hang Seng Index | (107 | ) | 7/2018 | HKD | (19,588,572 | ) | (176,363 | ) | ||||||||
| HSCEI | (399 | ) | 7/2018 | HKD | (27,637,982 | ) | 134,578 | |||||||||
| LME Aluminum Base Metal | (5 | ) | 7/2018 | USD | (268,812 | ) | 41,985 | |||||||||
| LME Aluminum Base Metal | (5 | ) | 7/2018 | USD | (268,469 | ) | 43,516 | |||||||||
| LME Aluminum Base Metal | (7 | ) | 7/2018 | USD | (377,781 | ) | 1,073 | |||||||||
| LME Aluminum Base Metal | (10 | ) | 7/2018 | USD | (538,937 | ) | (40,268 | ) | ||||||||
| LME Aluminum Base Metal | (10 | ) | 7/2018 | USD | (541,000 | ) | 75,220 | |||||||||
| LME Aluminum Base Metal | (12 | ) | 7/2018 | USD | (648,075 | ) | 20,290 | |||||||||
| LME Aluminum Base Metal | (12 | ) | 7/2018 | USD | (648,990 | ) | 69,625 | |||||||||
| LME Aluminum Base Metal | (12 | ) | 7/2018 | USD | (646,050 | ) | (40,040 | ) | ||||||||
| LME Aluminum Base Metal | (12 | ) | 7/2018 | USD | (648,780 | ) | 48,085 | |||||||||
| LME Aluminum Base Metal | (13 | ) | 7/2018 | USD | (701,837 | ) | 35,874 | |||||||||
| LME Aluminum Base Metal | (13 | ) | 7/2018 | USD | (702,162 | ) | 56,024 | |||||||||
| LME Aluminum Base Metal | (23 | ) | 7/2018 | USD | (1,239,125 | ) | (94,435 | ) | ||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,825 | ) | 4,318 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,929 | ) | 4,943 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,950 | ) | 7,422 | |||||||||
| LME Copper Base Metal | (1 | ) | 7/2018 | USD | (165,846 | ) | 5,383 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,512 | ) | 16,508 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,535 | ) | 10,199 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,506 | ) | 17,538 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,500 | ) | 18,094 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,250 | ) | 8,892 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,608 | ) | 16,386 | |||||||||
| LME Copper Base Metal | (2 | ) | 7/2018 | USD | (331,575 | ) | 17,219 | |||||||||
| LME Copper Base Metal | (3 | ) | 7/2018 | USD | (497,350 | ) | 23,468 | |||||||||
| LME Copper Base Metal | (3 | ) | 7/2018 | USD | (497,250 | ) | 25,866 | |||||||||
| LME Copper Base Metal | (4 | ) | 7/2018 | USD | (662,683 | ) | 14,818 | |||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,013 | ) | (851 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,045 | ) | (3,719 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,954 | ) | (10,561 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (89,009 | ) | (5,102 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 7/2018 | USD | (88,938 | ) | (7,599 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 7/2018 | USD | (178,052 | ) | (1,646 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 7/2018 | USD | (177,962 | ) | (12,668 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 7/2018 | USD | (177,898 | ) | (20,703 | ) | ||||||||
| LME Nickel Base Metal | (3 | ) | 7/2018 | USD | (266,927 | ) | (22,001 | ) | ||||||||
| LME Nickel Base Metal | (3 | ) | 7/2018 | USD | (267,193 | ) | (14,627 | ) | ||||||||
| LME Nickel Base Metal | (3 | ) | 7/2018 | USD | (267,155 | ) | (10,019 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
25
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| LME Nickel Base Metal | (4 | ) | 7/2018 | USD | $ (356,361 | ) | $ (25,034 | ) | ||||||||
| LME Nickel Base Metal | (4 | ) | 7/2018 | USD | (356,232 | ) | (18,163 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,587 | ) | 8,011 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,475 | ) | 8,510 | |||||||||
| LME Zinc Base Metal | (1 | ) | 7/2018 | USD | (72,076 | ) | 5,740 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (145,250 | ) | 16,623 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (144,875 | ) | 10,693 | |||||||||
| LME Zinc Base Metal | (2 | ) | 7/2018 | USD | (145,325 | ) | 18,758 | |||||||||
| LME Zinc Base Metal | (3 | ) | 7/2018 | USD | (216,862 | ) | 25,082 | |||||||||
| LME Zinc Base Metal | (4 | ) | 7/2018 | USD | (289,300 | ) | 24,640 | |||||||||
| LME Zinc Base Metal | (4 | ) | 7/2018 | USD | (289,600 | ) | 22,024 | |||||||||
| LME Zinc Base Metal | (5 | ) | 7/2018 | USD | (361,812 | ) | 30,279 | |||||||||
| LME Zinc Base Metal | (5 | ) | 7/2018 | USD | (362,562 | ) | 41,850 | |||||||||
| MSCI Singapore Index | (74 | ) | 7/2018 | SGD | (1,987,817 | ) | (268 | ) | ||||||||
| MSCI Taiwan Index | (267 | ) | 7/2018 | USD | (10,348,920 | ) | (101,004 | ) | ||||||||
| 100 oz Gold | (441 | ) | 8/2018 | USD | (55,323,450 | ) | 448,223 | |||||||||
| Lean Hogs | (7 | ) | 8/2018 | USD | (214,060 | ) | (3,177 | ) | ||||||||
| Live Cattle | (11 | ) | 8/2018 | USD | (469,590 | ) | (11,731 | ) | ||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,197 | ) | 3,437 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,242 | ) | 3,501 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,193 | ) | 3,716 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,186 | ) | 3,949 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,182 | ) | 3,665 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,162 | ) | 5,085 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 8/2018 | USD | (53,175 | ) | 4,522 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 8/2018 | USD | (106,379 | ) | 6,665 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 8/2018 | USD | (106,332 | ) | 8,565 | |||||||||
| LME Aluminum Base Metal | (4 | ) | 8/2018 | USD | (212,882 | ) | 15,290 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,750 | ) | 6,297 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,627 | ) | 6,195 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,800 | ) | 6,747 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,767 | ) | 5,952 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,625 | ) | 5,822 | |||||||||
| LME Copper Base Metal | (1 | ) | 8/2018 | USD | (165,623 | ) | 7,962 | |||||||||
| LME Copper Base Metal | (2 | ) | 8/2018 | USD | (331,553 | ) | 9,966 | |||||||||
| LME Copper Base Metal | (2 | ) | 8/2018 | USD | (331,325 | ) | 8,920 | |||||||||
| LME Copper Base Metal | (2 | ) | 8/2018 | USD | (331,242 | ) | 13,004 | |||||||||
| LME Copper Base Metal | (3 | ) | 8/2018 | USD | (496,838 | ) | 18,404 | |||||||||
| LME Copper Base Metal | (3 | ) | 8/2018 | USD | (497,321 | ) | 8,414 | |||||||||
| LME Copper Base Metal | (5 | ) | 8/2018 | USD | (828,898 | ) | 29,802 | |||||||||
| LME Copper Base Metal | (6 | ) | 8/2018 | USD | (993,851 | ) | 33,534 | |||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,198 | ) | (2,417 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,187 | ) | (2,904 | ) | ||||||||
| LME Nickel Base Metal | (1 | ) | 8/2018 | USD | (89,221 | ) | (1,024 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 8/2018 | USD | (178,405 | ) | (2,521 | ) | ||||||||
| LME Nickel Base Metal | (4 | ) | 8/2018 | USD | (357,074 | ) | 8,612 | |||||||||
| LME Nickel Base Metal | (4 | ) | 8/2018 | USD | (356,412 | ) | (28,237 | ) | ||||||||
| LME Nickel Base Metal | (4 | ) | 8/2018 | USD | (356,438 | ) | (22,356 | ) | ||||||||
| LME Nickel Base Metal | (8 | ) | 8/2018 | USD | (712,927 | ) | (42,774 | ) | ||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,934 | ) | 5,287 | |||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,864 | ) | 4,203 | |||||||||
| LME Zinc Base Metal | (1 | ) | 8/2018 | USD | (71,547 | ) | 5,633 | |||||||||
| Canada 10 Year Bond | (70 | ) | 9/2018 | CAD | (7,279,276 | ) | (152,705 | ) | ||||||||
| Coffee ‘C’ | (16 | ) | 9/2018 | USD | (690,600 | ) | 8,703 | |||||||||
| Euro-BTP | (349 | ) | 9/2018 | EUR | (51,858,214 | ) | (690,963 | ) | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
26
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts (continued) | ||||||||||||||||
| KC HRW Wheat | (139 | ) | 9/2018 | USD | $ (3,395,075 | ) | $ 77,639 | |||||||||
| KOSPI 200 Index | (475 | ) | 9/2018 | KRW | (31,965,007 | ) | 691,256 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,290 | ) | 2,132 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,269 | ) | 1,118 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,276 | ) | 972 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,270 | ) | 3,654 | |||||||||
| LME Aluminum Base Metal | (1 | ) | 9/2018 | USD | (53,325 | ) | 518 | |||||||||
| LME Aluminum Base Metal | (2 | ) | 9/2018 | USD | (106,487 | ) | 9,928 | |||||||||
| LME Aluminum Base Metal | (3 | ) | 9/2018 | USD | (159,719 | ) | 14,593 | |||||||||
| LME Aluminum Base Metal | (10 | ) | 9/2018 | USD | (532,937 | ) | 43,582 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,708 | ) | 14,044 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,738 | ) | 9,235 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 4,610 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,650 | ) | 387 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,701 | ) | 14,911 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,638 | ) | 2,110 | |||||||||
| LME Copper Base Metal | (1 | ) | 9/2018 | USD | (165,625 | ) | 2,585 | |||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | (331,313 | ) | 33,409 | |||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | (331,309 | ) | 27,651 | |||||||||
| LME Copper Base Metal | (2 | ) | 9/2018 | USD | (331,250 | ) | 9,094 | |||||||||
| LME Copper Base Metal | (3 | ) | 9/2018 | USD | (496,956 | ) | 29,883 | |||||||||
| LME Copper Base Metal | (15 | ) | 9/2018 | USD | (2,485,500 | ) | 148,804 | |||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,374 | ) | 1,823 | |||||||||
| LME Nickel Base Metal | (1 | ) | 9/2018 | USD | (89,396 | ) | (2,039 | ) | ||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,584 | ) | 8,220 | |||||||||
| LME Nickel Base Metal | (2 | ) | 9/2018 | USD | (178,595 | ) | 9,856 | |||||||||
| LME Nickel Base Metal | (8 | ) | 9/2018 | USD | (714,936 | ) | 24,729 | |||||||||
| MSCI EAFE E-Mini Index | (88 | ) | 9/2018 | USD | (8,603,760 | ) | (20,601 | ) | ||||||||
| MSCI Emerging Markets E-Mini Index | (409 | ) | 9/2018 | USD | (21,744,485 | ) | (244,828 | ) | ||||||||
| Silver | (78 | ) | 9/2018 | USD | (6,317,220 | ) | (1,161 | ) | ||||||||
| Sugar No. 11 | (851 | ) | 9/2018 | USD | (11,675,720 | ) | 235,276 | |||||||||
| U.S. Treasury 10 Year Note | (2,303 | ) | 9/2018 | USD | (276,791,812 | ) | (2,154,070 | ) | ||||||||
| U.S. Treasury 2 Year Note | (822 | ) | 9/2018 | USD | (174,122,719 | ) | 8,754 | |||||||||
| U.S. Treasury 5 Year Note | (5,216 | ) | 9/2018 | USD | (592,627,250 | ) | (3,260,765 | ) | ||||||||
| Wheat | (236 | ) | 9/2018 | USD | (5,914,750 | ) | (18,359 | ) | ||||||||
| Platinum | (118 | ) | 10/2018 | USD | (5,060,430 | ) | 78,037 | |||||||||
| Soybean | (55 | ) | 11/2018 | USD | (2,420,000 | ) | 54,522 | |||||||||
| 3 Month Canadian Bankers Acceptance | (5 | ) | 12/2018 | CAD | (930,666 | ) | (939 | ) | ||||||||
| 3 Month Euro Euribor | (377 | ) | 12/2018 | EUR | (110,378,836 | ) | (18,321 | ) | ||||||||
| 3 Month Eurodollar | (1,271 | ) | 12/2018 | USD | (309,361,400 | ) | 965,612 | |||||||||
| ASX 90 Day Bank Accepted Bill | (208 | ) | 12/2018 | AUD | (153,175,010 | ) | (10,560 | ) | ||||||||
| Soybean Meal | (170 | ) | 12/2018 | USD | (5,608,300 | ) | 126,589 | |||||||||
| Soybean Oil | (74 | ) | 12/2018 | USD | (1,320,456 | ) | 39,659 | |||||||||
| 3 Month Canadian Bankers Acceptance | (103 | ) | 3/2019 | CAD | (19,143,318 | ) | (8,189 | ) | ||||||||
| 3 Month Eurodollar | (1,198 | ) | 3/2019 | USD | (291,233,800 | ) | 832,523 | |||||||||
| ASX 90 Day Bank Accepted Bill | (171 | ) | 3/2019 | AUD | (125,921,353 | ) | (9,749 | ) | ||||||||
| 3 Month Eurodollar | (1,166 | ) | 6/2019 | USD | (283,177,675 | ) | 654,096 | |||||||||
| 3 Month Sterling | (4 | ) | 6/2019 | GBP | (653,276 | ) | (331 | ) | ||||||||
| 3 Month Eurodollar | (1,162 | ) | 9/2019 | USD | (282,017,400 | ) | 513,728 | |||||||||
| 3 Month Eurodollar | (1,171 | ) | 12/2019 | USD | (284,069,962 | ) | 357,551 | |||||||||
| 3 Month Eurodollar | (1,190 | ) | 3/2020 | USD | (288,634,500 | ) | 37,074 | |||||||||
| 3 Month Eurodollar | (1,070 | ) | 6/2020 | USD | (259,528,500 | ) | (63,307 | ) | ||||||||
|
|
|
|||||||||||||||
| (659,326 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| $4,474,287 | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
27
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Forward foreign currency contracts outstanding as of June 30, 2018:
Over the Counter
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| AUD | 11,684,000 | USD | 8,611,044 | CITI | 9/19/2018 | $37,780 | ||||||||||||||
| AUD | 17,526,000 | USD | 12,916,582 | JPMC | 9/19/2018 | 56,654 | ||||||||||||||
| BRL | 347,200 | USD | 88,174 | CITI** | 9/19/2018 | 676 | ||||||||||||||
| BRL | 520,800 | USD | 132,261 | JPMC** | 9/19/2018 | 1,013 | ||||||||||||||
| CHF | 99,600 | USD | 100,640 | CITI | 9/19/2018 | 631 | ||||||||||||||
| CHF | 149,400 | USD | 150,960 | JPMC | 9/19/2018 | 946 | ||||||||||||||
| COP | 212,897,600 | USD | 72,113 | CITI** | 9/19/2018 | 256 | ||||||||||||||
| COP | 319,346,400 | USD | 108,169 | JPMC** | 9/19/2018 | 384 | ||||||||||||||
| EUR | 68,026,800 | USD | 79,426,975 | CITI | 9/19/2018 | 493,291 | ||||||||||||||
| EUR | 102,040,199 | USD | 119,140,610 | JPMC | 9/19/2018 | 739,786 | ||||||||||||||
| GBP | 2,367,600 | USD | 3,123,900 | CITI | 9/19/2018 | 11,837 | ||||||||||||||
| GBP | 3,551,400 | USD | 4,685,856 | JPMC | 9/19/2018 | 17,749 | ||||||||||||||
| HKD | 5,532,000 | USD | 705,882 | CITI | 9/19/2018 | 169 | ||||||||||||||
| HKD | 8,298,000 | USD | 1,058,809 | JPMC | 9/19/2018 | 268 | ||||||||||||||
| IDR | 3,101,529,702 | USD | 212,377 | CITI** | 9/19/2018 | 1,790 | ||||||||||||||
| IDR | 4,652,294,554 | USD | 318,566 | JPMC** | 9/19/2018 | 2,685 | ||||||||||||||
| JPY | 750,438,810 | USD | 6,814,824 | CITI | 9/19/2018 | 1,106 | ||||||||||||||
| JPY | 1,125,658,214 | USD | 10,222,249 | JPMC | 9/19/2018 | 1,646 | ||||||||||||||
| KRW | 1,307 | USD | 1 | CITI** | 9/19/2018 | — | ||||||||||||||
| NOK | 2,373,000 | USD | 290,396 | CITI | 9/19/2018 | 1,898 | ||||||||||||||
| NOK | 3,559,500 | USD | 435,595 | JPMC | 9/19/2018 | 2,846 | ||||||||||||||
| TRY | 9,363,600 | USD | 1,948,033 | CITI | 9/19/2018 | 22,369 | ||||||||||||||
| TRY | 14,045,400 | USD | 2,925,469 | JPMC | 9/19/2018 | 30,133 | ||||||||||||||
| USD | 59,097,010 | AUD | 78,182,400 | CITI | 9/19/2018 | 1,224,211 | ||||||||||||||
| USD | 88,645,405 | AUD | 117,273,600 | JPMC | 9/19/2018 | 1,836,207 | ||||||||||||||
| USD | 8,105,406 | BRL | 30,461,431 | CITI** | 9/19/2018 | 310,262 | ||||||||||||||
| USD | 12,158,096 | BRL | 45,692,151 | JPMC** | 9/19/2018 | 465,377 | ||||||||||||||
| USD | 639,583 | CAD | 830,400 | CITI | 9/19/2018 | 7,077 | ||||||||||||||
| USD | 959,374 | CAD | 1,245,600 | JPMC | 9/19/2018 | 10,613 | ||||||||||||||
| USD | 88,256 | CHF | 86,320 | CITI | 9/19/2018 | 488 | ||||||||||||||
| USD | 132,384 | CHF | 129,480 | JPMC | 9/19/2018 | 732 | ||||||||||||||
| USD | 757,428 | COP | 2,203,240,383 | CITI** | 9/19/2018 | 8,495 | ||||||||||||||
| USD | 1,136,140 | COP | 3,304,860,577 | JPMC** | 9/19/2018 | 12,742 | ||||||||||||||
| USD | 159,359,734 | EUR | 134,944,800 | CITI | 9/19/2018 | 821,861 | ||||||||||||||
| USD | 239,039,302 | EUR | 202,417,200 | JPMC | 9/19/2018 | 1,232,493 | ||||||||||||||
| USD | 3 | GBP | 2 | JPMC | 9/19/2018 | — | ||||||||||||||
| USD | 316,821 | HKD | 2,480,400 | CITI | 9/19/2018 | 246 | ||||||||||||||
| USD | 475,231 | HKD | 3,720,600 | JPMC | 9/19/2018 | 369 | ||||||||||||||
| USD | 4,762,368 | HUF | 1,290,768,414 | CITI | 9/19/2018 | 163,563 | ||||||||||||||
| USD | 7,143,542 | HUF | 1,936,152,618 | JPMC | 9/19/2018 | 245,334 | ||||||||||||||
| USD | 2,366,687 | IDR | 33,602,583,740 | CITI** | 9/19/2018 | 46,362 | ||||||||||||||
| USD | 3,550,027 | IDR | 50,403,875,606 | JPMC** | 9/19/2018 | 69,538 | ||||||||||||||
| USD | 3,543,457 | INR | 244,146,000 | CITI** | 9/19/2018 | 16,342 | ||||||||||||||
| USD | 5,315,227 | INR | 366,219,000 | JPMC** | 9/19/2018 | 24,555 | ||||||||||||||
| USD | 63,694,637 | JPY | 6,965,512,867 | CITI | 9/19/2018 | 429,718 | ||||||||||||||
| USD | 95,541,836 | JPY | 10,448,269,305 | JPMC | 9/19/2018 | 644,458 | ||||||||||||||
| USD | 12,064,828 | KRW | 13,305,094,200 | CITI** | 9/19/2018 | 87,757 | ||||||||||||||
| USD | 18,097,220 | KRW | 19,957,641,304 | JPMC** | 9/19/2018 | 131,612 | ||||||||||||||
| USD | 1 | MXN | 16 | JPMC | 9/19/2018 | — | ||||||||||||||
| USD | 789,641 | NOK | 6,377,600 | CITI | 9/19/2018 | 4,083 | ||||||||||||||
| USD | 1,184,461 | NOK | 9,566,400 | JPMC | 9/19/2018 | 6,122 | ||||||||||||||
| USD | 65,032,688 | NZD | 94,122,800 | CITI | 9/19/2018 | 1,278,523 | ||||||||||||||
| USD | 97,548,911 | NZD | 141,184,200 | JPMC | 9/19/2018 | 1,917,662 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
28
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| USD | 1,023,185 | PHP | 54,299,200 | CITI** | 9/19/2018 | $ 12,326 | ||||||||||||||
| USD | 1,534,775 | PHP | 81,448,800 | JPMC** | 9/19/2018 | 18,487 | ||||||||||||||
| USD | 17,117,935 | PLN | 62,916,400 | CITI | 9/19/2018 | 299,306 | ||||||||||||||
| USD | 27,118,058 | PLN | 99,748,799 | JPMC | 9/19/2018 | 453,500 | ||||||||||||||
| USD | 23,897,699 | SEK | 207,702,800 | CITI | 9/19/2018 | 566,373 | ||||||||||||||
| USD | 35,846,504 | SEK | 311,554,200 | JPMC | 9/19/2018 | 849,515 | ||||||||||||||
| USD | 4,961,452 | SGD | 6,704,400 | CITI | 9/19/2018 | 32,369 | ||||||||||||||
| USD | 7,523,767 | SGD | 10,166,400 | JPMC | 9/19/2018 | 49,417 | ||||||||||||||
| USD | 381,505 | TRY | 1,789,600 | CITI | 9/19/2018 | 4,916 | ||||||||||||||
| USD | 572,257 | TRY | 2,684,400 | JPMC | 9/19/2018 | 7,373 | ||||||||||||||
| USD | 10,825,233 | TWD | 322,208,800 | CITI** | 9/19/2018 | 199,690 | ||||||||||||||
| USD | 16,237,819 | TWD | 483,313,200 | JPMC** | 9/19/2018 | 299,503 | ||||||||||||||
| USD | 21,866,549 | ZAR | 292,631,600 | CITI | 9/19/2018 | 753,380 | ||||||||||||||
| USD | 32,799,782 | ZAR | 438,947,400 | JPMC | 9/19/2018 | 1,130,030 | ||||||||||||||
| USD | 4,635,597 | CLP | 2,975,238,042 | CITI** | 9/20/2018 | 82,287 | ||||||||||||||
| USD | 6,953,387 | CLP | 4,462,857,070 | JPMC** | 9/20/2018 | 123,422 | ||||||||||||||
| USD | 2,748,878 | ILS | 9,895,196 | CITI | 9/20/2018 | 28,539 | ||||||||||||||
| USD | 4,123,314 | ILS | 14,842,804 | JPMC | 9/20/2018 | 42,803 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized appreciation | 17,375,951 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| AUD | 103,430,800 | USD | 78,273,575 | CITI | 9/19/2018 | (1,711,204 | ) | |||||||||||||
| AUD | 155,146,200 | USD | 117,410,509 | JPMC | 9/19/2018 | (2,566,953 | ) | |||||||||||||
| BRL | 4,444,800 | USD | 1,171,639 | CITI** | 9/19/2018 | (34,206 | ) | |||||||||||||
| BRL | 6,667,200 | USD | 1,757,461 | JPMC** | 9/19/2018 | (51,310 | ) | |||||||||||||
| CAD | 95,245,200 | USD | 73,824,871 | CITI | 9/19/2018 | (1,277,657 | ) | |||||||||||||
| CAD | 142,867,800 | USD | 110,737,444 | JPMC | 9/19/2018 | (1,916,624 | ) | |||||||||||||
| COP | 5,585,630,323 | USD | 1,938,570 | CITI** | 9/19/2018 | (39,886 | ) | |||||||||||||
| COP | 8,378,445,485 | USD | 2,907,859 | JPMC** | 9/19/2018 | (59,832 | ) | |||||||||||||
| EUR | 90,551,600 | USD | 107,238,233 | CITI | 9/19/2018 | (855,046 | ) | |||||||||||||
| EUR | 135,827,398 | USD | 160,857,549 | JPMC | 9/19/2018 | (1,282,769 | ) | |||||||||||||
| GBP | 4,514,800 | USD | 6,009,500 | CITI | 9/19/2018 | (29,933 | ) | |||||||||||||
| GBP | 6,772,200 | USD | 9,015,461 | JPMC | 9/19/2018 | (46,109 | ) | |||||||||||||
| HUF | 166,367,200 | USD | 613,539 | CITI | 9/19/2018 | (20,798 | ) | |||||||||||||
| HUF | 249,550,800 | USD | 920,309 | JPMC | 9/19/2018 | (31,199 | ) | |||||||||||||
| IDR | 41,212,247,653 | USD | 2,896,727 | CITI** | 9/19/2018 | (50,939 | ) | |||||||||||||
| IDR | 61,818,371,483 | USD | 4,345,096 | JPMC** | 9/19/2018 | (76,414 | ) | |||||||||||||
| INR | 448,369,609 | USD | 6,571,805 | CITI** | 9/19/2018 | (94,323 | ) | |||||||||||||
| INR | 672,554,415 | USD | 9,857,826 | JPMC** | 9/19/2018 | (141,603 | ) | |||||||||||||
| JPY | 10,544,366,412 | USD | 96,702,182 | CITI | 9/19/2018 | (931,994 | ) | |||||||||||||
| JPY | 15,816,549,620 | USD | 145,053,455 | JPMC | 9/19/2018 | (1,398,172 | ) | |||||||||||||
| KRW | 157,581,787 | USD | 147,543 | CITI** | 9/19/2018 | (5,690 | ) | |||||||||||||
| KRW | 236,374,635 | USD | 221,317 | JPMC** | 9/19/2018 | (8,536 | ) | |||||||||||||
| MXN | 10,841,600 | USD | 544,333 | CITI | 9/19/2018 | (5,221 | ) | |||||||||||||
| MXN | 16,262,400 | USD | 816,501 | JPMC | 9/19/2018 | (7,832 | ) | |||||||||||||
| NOK | 7,119,000 | USD | 882,690 | CITI | 9/19/2018 | (5,809 | ) | |||||||||||||
| NOK | 10,678,500 | USD | 1,324,037 | JPMC | 9/19/2018 | (8,715 | ) | |||||||||||||
| NZD | 48,092,400 | USD | 33,326,744 | CITI | 9/19/2018 | (751,312 | ) | |||||||||||||
| NZD | 72,138,600 | USD | 49,990,411 | JPMC | 9/19/2018 | (1,127,264 | ) | |||||||||||||
| PHP | 54,299,200 | USD | 1,024,196 | CITI** | 9/19/2018 | (13,337 | ) | |||||||||||||
| PHP | 81,448,800 | USD | 1,536,295 | JPMC** | 9/19/2018 | (20,008 | ) | |||||||||||||
| PLN | 32,970,800 | USD | 9,044,313 | CITI | 9/19/2018 | (230,655 | ) | |||||||||||||
| PLN | 49,456,200 | USD | 13,583,832 | JPMC | 9/19/2018 | (363,345 | ) | |||||||||||||
| SEK | 9,469,600 | USD | 1,102,999 | CITI | 9/19/2018 | (39,275 | ) | |||||||||||||
| SEK | 14,204,400 | USD | 1,654,500 | JPMC | 9/19/2018 | (58,915 | ) | |||||||||||||
| SGD | 11,475,200 | USD | 8,553,928 | CITI | 9/19/2018 | (117,347 | ) | |||||||||||||
| SGD | 17,212,800 | USD | 12,830,908 | JPMC | 9/19/2018 | (176,036 | ) | |||||||||||||
| TRY | 5,224,800 | USD | 1,109,486 | CITI | 9/19/2018 | (10,022 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
29
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
| CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| TRY | 7,837,200 | USD | 1,660,072 | JPMC | 9/19/2018 | $ (10,874 | ) | |||||||||||||
| TWD | 47,668,000 | USD | 1,610,167 | CITI** | 9/19/2018 | (38,210 | ) | |||||||||||||
| TWD | 71,502,000 | USD | 2,415,254 | JPMC** | 9/19/2018 | (57,318 | ) | |||||||||||||
| USD | 38,759,932 | AUD | 52,510,800 | CITI | 9/19/2018 | (110,031 | ) | |||||||||||||
| USD | 58,139,825 | AUD | 78,766,200 | JPMC | 9/19/2018 | (165,120 | ) | |||||||||||||
| USD | 571,557 | BRL | 2,239,767 | CITI** | 9/19/2018 | (1,605 | ) | |||||||||||||
| USD | 857,334 | BRL | 3,359,651 | JPMC** | 9/19/2018 | (2,408 | ) | |||||||||||||
| USD | 92,603,066 | CAD | 122,781,600 | CITI | 9/19/2018 | (918,319 | ) | |||||||||||||
| USD | 138,901,440 | CAD | 184,172,400 | JPMC | 9/19/2018 | (1,380,635 | ) | |||||||||||||
| USD | 13,473 | CHF | 13,280 | CITI | 9/19/2018 | (29 | ) | |||||||||||||
| USD | 20,210 | CHF | 19,920 | JPMC | 9/19/2018 | (44 | ) | |||||||||||||
| USD | 609,301 | COP | 1,797,643,571 | CITI** | 9/19/2018 | (1,759 | ) | |||||||||||||
| USD | 913,951 | COP | 2,696,465,357 | JPMC** | 9/19/2018 | (2,640 | ) | |||||||||||||
| USD | 38,944,307 | EUR | 33,278,800 | CITI | 9/19/2018 | (152,792 | ) | |||||||||||||
| USD | 58,416,388 | EUR | 49,918,200 | JPMC | 9/19/2018 | (229,261 | ) | |||||||||||||
| USD | 11,156,731 | GBP | 8,460,400 | CITI | 9/19/2018 | (48,535 | ) | |||||||||||||
| USD | 16,735,076 | GBP | 12,690,600 | JPMC | 9/19/2018 | (72,824 | ) | |||||||||||||
| USD | 599,735 | HKD | 4,700,400 | CITI | 9/19/2018 | (178 | ) | |||||||||||||
| USD | 899,601 | HKD | 7,050,600 | JPMC | 9/19/2018 | (269 | ) | |||||||||||||
| USD | 108,205 | HUF | 30,533,200 | CITI | 9/19/2018 | (581 | ) | |||||||||||||
| USD | 162,307 | HUF | 45,799,800 | JPMC | 9/19/2018 | (870 | ) | |||||||||||||
| USD | 1,380,026 | IDR | 20,015,782,807 | CITI** | 9/19/2018 | (2,104 | ) | |||||||||||||
| USD | 2,070,037 | IDR | 30,023,674,207 | JPMC** | 9/19/2018 | (3,158 | ) | |||||||||||||
| USD | 11,573,257 | INR | 802,678,403 | CITI** | 9/19/2018 | (22,834 | ) | |||||||||||||
| USD | 17,359,864 | INR | 1,204,017,605 | JPMC** | 9/19/2018 | (34,273 | ) | |||||||||||||
| USD | 4,167,525 | JPY | 459,735,603 | CITI | 9/19/2018 | (8,066 | ) | |||||||||||||
| USD | 6,251,280 | JPY | 689,603,405 | JPMC | 9/19/2018 | (12,107 | ) | |||||||||||||
| USD | 7,189,154 | KRW | 8,019,769,421 | CITI** | 9/19/2018 | (30,139 | ) | |||||||||||||
| USD | 10,783,718 | KRW | 12,029,654,131 | JPMC** | 9/19/2018 | (45,222 | ) | |||||||||||||
| USD | 24,585,363 | MXN | 512,777,603 | CITI | 9/19/2018 | (913,168 | ) | |||||||||||||
| USD | 36,877,998 | MXN | 769,166,405 | JPMC | 9/19/2018 | (1,369,798 | ) | |||||||||||||
| USD | 381,838 | NOK | 3,114,400 | CITI | 9/19/2018 | (1,778 | ) | |||||||||||||
| USD | 572,756 | NOK | 4,671,600 | JPMC | 9/19/2018 | (2,667 | ) | |||||||||||||
| USD | 3,778,254 | NZD | 5,580,800 | CITI | 9/19/2018 | (1,906 | ) | |||||||||||||
| USD | 5,667,375 | NZD | 8,371,200 | JPMC | 9/19/2018 | (2,866 | ) | |||||||||||||
| USD | 2,710,075 | PLN | 10,186,800 | CITI | 9/19/2018 | (13,030 | ) | |||||||||||||
| USD | 2,634,101 | PLN | 9,906,000 | JPMC | 9/19/2018 | (13,942 | ) | |||||||||||||
| USD | 570,898 | SEK | 5,100,800 | CITI | 9/19/2018 | (2,077 | ) | |||||||||||||
| USD | 856,346 | SEK | 7,651,200 | JPMC | 9/19/2018 | (3,116 | ) | |||||||||||||
| USD | 2,838,591 | SGD | 3,870,000 | CITI | 9/19/2018 | (6,638 | ) | |||||||||||||
| USD | 4,179,470 | SGD | 5,695,200 | JPMC | 9/19/2018 | (7,648 | ) | |||||||||||||
| USD | 19,774,870 | TRY | 96,755,600 | CITI | 9/19/2018 | (585,604 | ) | |||||||||||||
| USD | 29,662,268 | TRY | 145,133,400 | JPMC | 9/19/2018 | (878,442 | ) | |||||||||||||
| USD | 654,957 | TWD | 19,912,000 | CITI** | 9/19/2018 | (1,685 | ) | |||||||||||||
| USD | 982,435 | TWD | 29,868,000 | JPMC** | 9/19/2018 | (2,528 | ) | |||||||||||||
| USD | 4,422,039 | ZAR | 61,694,400 | CITI | 9/19/2018 | (29,169 | ) | |||||||||||||
| USD | 6,633,051 | ZAR | 92,541,600 | JPMC | 9/19/2018 | (43,763 | ) | |||||||||||||
| ZAR | 196,099,200 | USD | 15,391,458 | CITI | 9/19/2018 | (1,243,036 | ) | |||||||||||||
| ZAR | 294,148,800 | USD | 23,085,365 | JPMC | 9/19/2018 | (1,862,732 | ) | |||||||||||||
| CLP | 2,496,160,048 | USD | 3,976,919 | CITI** | 9/20/2018 | (156,791 | ) | |||||||||||||
| CLP | 3,744,240,072 | USD | 5,965,386 | JPMC** | 9/20/2018 | (235,194 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total unrealized depreciation | (26,296,073 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Net unrealized depreciation | $ | (8,920,122 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| ** | Non-deliverable forward. |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
30
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Collateral pledged to, or (received from), each counterparty at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| BARC | ||||||||||||
| Cash | $— | $38,438,499 | $38,438,499 | |||||||||
|
|
||||||||||||
| CITI | ||||||||||||
| Cash | (610,000 | ) | — | (610,000 | ) | |||||||
| Investment Companies | 9,808,463 | — | 9,808,463 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 7,133,148 | 7,133,148 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Investment Companies | 835,498 | — | 835,498 | |||||||||
|
|
||||||||||||
| JPMC | ||||||||||||
| Investment Companies | 25,800,288 | — | 25,800,288 | |||||||||
|
|
||||||||||||
| JPMS | ||||||||||||
| Cash | — | 2,141,232 | 2,141,232 | |||||||||
|
|
||||||||||||
| MLIN | ||||||||||||
| Cash | 30,093 | — | 30,093 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | 12,589,955 | 12,589,955 | |||||||||
|
|
||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
31
Table of Contents
| Consolidated Schedule of Investments | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY HV FUND |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at June 30, 2018 was as follows:
| COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ CENTRALLY CLEARED |
TOTAL | |||||||||
| CITI | ||||||||||||
| Investment Companies | $1,484,654 | $— | $1,484,654 | |||||||||
|
|
||||||||||||
| GSCO | ||||||||||||
| Cash | — | 1,571,707 | 1,571,707 | |||||||||
|
|
||||||||||||
| GSIN | ||||||||||||
| Cash | 3,010,180 | — | 3,010,180 | |||||||||
|
|
||||||||||||
| JPPC | ||||||||||||
| Cash | — | 1,914,666 | 1,914,666 | |||||||||
|
|
||||||||||||
| MACQ | ||||||||||||
| Cash | 1,040,000 | — | 1,040,000 | |||||||||
|
|
||||||||||||
| MSCL | ||||||||||||
| Cash | — | (5,932,021 | ) | (5,932,021 | ) | |||||||
| U.S. Treasury Bills | — | 5,859,394 | 5,859,394 | |||||||||
|
|
||||||||||||
| SOCG | ||||||||||||
| Cash | 1,380,276 | — | 1,380,276 | |||||||||
|
|
||||||||||||
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 2018 | ||||||||||||||
32
Table of Contents
| Consolidated Statements of Assets and Liabilities | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY |
AQR MANAGED FUTURES STRATEGY HV FUND** |
|||||||
| ASSETS: |
| |||||||
| Investments in securities of unaffiliated issuers, at cost | $ | 8,659,596,343 | $ | 556,868,617 | ||||
| Investments in securities of controlled affiliated issuers, at cost | 366,699,608 | — | ||||||
| Investments in securities of unaffiliated issuers, at value | $ | 8,659,764,905 | $ | 556,870,119 | ||||
| Investments in securities of controlled affiliated issuers, at value | 366,746,923 | — | ||||||
| Cash | 26,166,872 | — | ||||||
| Cash denominated in foreign currencies‡ | 8,435,088 | 490,776 | ||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 172,251,621 | 17,375,951 | ||||||
| Unrealized appreciation on OTC swaps | 29,176,302 | 3,132,871 | ||||||
| Due from broker | 65,074,025 | 5,576,705 | ||||||
| Deposits with brokers for futures contracts | 224,693,482 | 61,303,970 | ||||||
| Variation margin on futures contracts | 18,037,149 | 1,687,533 | ||||||
| Receivables: | ||||||||
| Securities sold |
3,621,436,380 | 337,980,041 | ||||||
| Dividends and interest |
1,998,283 | 162,147 | ||||||
| Capital shares sold |
5,649,894 | 479,581 | ||||||
| Prepaid expenses | 252,467 | 54,250 | ||||||
| Total Assets | 13,199,683,391 | 985,113,944 | ||||||
| LIABILITIES: |
| |||||||
| Due to custodian | — | 1,168,076 | ||||||
| Due to broker | 2,720,597 | 813,683 | ||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 261,211,063 | 26,296,073 | ||||||
| Unrealized depreciation on OTC swaps | 17,185,051 | 1,729,408 | ||||||
| Deposits from brokers for futures contracts | 4,025,111 | — | ||||||
| Variation margin on futures contracts | 6,551,413 | 660,030 | ||||||
| Payables: | — | — | ||||||
| Securities purchased |
3,621,901,224 | 338,027,724 | ||||||
| Accrued investment advisory fees |
8,358,779 | 747,580 | ||||||
| Accrued distribution fees—Class N |
606,920 | 16,310 | ||||||
| Accrued Trustee fees |
4,122 | 569 | ||||||
| Capital shares redeemed |
29,111,373 | 421,090 | ||||||
| Other accrued expenses and liabilities | 3,416,001 | 125,432 | ||||||
| Total Liabilities | 3,955,091,654 | 370,005,975 | ||||||
| Net Assets | $ | 9,244,591,737 | $ | 615,107,969 | ||||
| NET ASSETS CONSIST OF: |
| |||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 10,228,091,075 | $ | 708,182,894 | ||||
| Undistributed accumulated net investment income (loss) | (13,913,197 | ) | (3,581,781 | ) | ||||
| Undistributed accumulated net realized gain (loss) | (930,733,618 | ) | (86,548,412 | ) | ||||
| Net unrealized appreciation (depreciation) | (38,852,523 | ) | (2,944,732 | ) | ||||
| Net Assets | $ | 9,244,591,737 | $ | 615,107,969 | ||||
| NET ASSETS: | ||||||||
| Class I | $ | 4,966,241,034 | $ | 301,838,555 | ||||
| Class N | 2,707,916,639 | 78,537,325 | ||||||
| Class R6 | 1,570,434,064 | 234,732,089 | ||||||
| SHARES OUTSTANDING: | ||||||||
| Class I | 570,113,530 | 36,336,923 | ||||||
| Class N | 315,715,795 | 9,552,646 | ||||||
| Class R6 | 180,031,925 | 28,197,047 | ||||||
| NET ASSET VALUE: | ||||||||
| Class I | $ | 8.71 | $ | 8.31 | ||||
| Class N | $ | 8.58 | $ | 8.22 | ||||
| Class R6 | $ | 8.72 | $ | 8.32 | ||||
| ‡ Cash denominated in foreign currencies at cost |
$ | 8,394,085 | $ | 490,256 | ||||
| ** | 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 2018 | ||||||||||||||
33
Table of Contents
| Consolidated Statements of Operations | June 30, 2018 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR MANAGED FUTURES STRATEGY HV FUND** |
|||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
|||||||
| INVESTMENT INCOME: | ||||||||
| Dividend income: |
||||||||
| Unaffiliated issuers† |
$7,866,814 | $1,030,327 | ||||||
| Controlled affiliated issuers |
4,775,036 | — | ||||||
| Interest income |
67,791,535 | 4,259,922 | ||||||
| Total Income | 80,433,385 | 5,290,249 | ||||||
| EXPENSES: | ||||||||
| Investment advisory fees |
55,466,498 | 5,295,825 | ||||||
| Custody fees |
285,243 | 77,318 | ||||||
| Administration & accounting fees |
1,635,648 | 101,869 | ||||||
| Legal fees |
104,334 | 7,168 | ||||||
| Audit & tax fees |
54,551 | 54,899 | ||||||
| Shareholder reporting fees |
389,427 | 28,755 | ||||||
| Transfer agent fees |
4,033,644 | 231,353 | ||||||
| Trustee fees |
172,416 | 15,120 | ||||||
| Distribution fees—Class N |
4,114,576 | 111,833 | ||||||
| Recoupment of waiver |
— | 38,975 | ||||||
| Registration fees |
118,514 | 57,545 | ||||||
| Other expenses |
160,514 | 11,034 | ||||||
| Total Expenses | 66,535,365 | 6,031,694 | ||||||
| Less fee waivers and/or reimbursements |
— | (37,259 | ) | |||||
| Net Expenses | 66,535,365 | 5,994,435 | ||||||
| Net Investment Income (Loss) | 13,898,020 | (704,186 | ) | |||||
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
||||||||
| Net realized gain (loss) from: | ||||||||
| Transactions in investment securities of unaffiliated issuers |
(11,483 | ) | (1,851 | ) | ||||
| Transactions in investment securities of controlled affiliated issuers |
21,808 | — | ||||||
| Settlement of foreign currency and foreign currency transactions |
(11,443,978 | ) | (1,074,518 | ) | ||||
| Settlement of forward foreign currency contracts |
(331,779,844 | ) | (33,649,055 | ) | ||||
| Expiration or closing of futures contracts |
20,343,047 | (2,509,178 | ) | |||||
| Expiration or closing of swap contracts |
(132,944,379 | ) | (14,172,813 | ) | ||||
| Net realized gain (loss) | (455,814,829 | ) | (51,407,415 | ) | ||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||
| Investment securities of unaffiliated issuers |
1,645,634 | 47,763 | ||||||
| Transactions in investment securities of controlled affiliated issuers |
47,315 | — | ||||||
| Foreign currency and foreign currency transactions |
1,077,569 | 128,229 | ||||||
| Forward foreign currency exchange contracts |
(46,819,913 | ) | (4,823,656 | ) | ||||
| Futures contracts |
(148,910,399 | ) | (13,528,166 | ) | ||||
| Swap contracts |
8,095,663 | 1,063,011 | ||||||
| Net change in unrealized appreciation (depreciation) | (184,864,131 | ) | (17,112,819 | ) | ||||
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (640,678,960 | ) | (68,520,234 | ) | ||||
| Net increase (decrease) in net assets resulting from operations | ($626,780,940 | ) | ($69,224,420 | ) | ||||
|
† Net of foreign taxes withheld of |
$204,106 | $— | ||||||
| ** | 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 2018 | ||||||||||||||
34
Table of Contents
| Consolidated Statements of Changes in Net Assets | June 30, 2018 |
| AQR MANAGED FUTURES STRATEGY FUND ** |
AQR MANAGED FUTURES STRATEGY HV FUND ** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED |
FOR THE YEAR ENDED |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 |
FOR THE YEAR ENDED |
|||||||||||||
| OPERATIONS: |
| |||||||||||||||
| Net investment income (loss) |
$13,898,020 | $(53,053,526 | ) | $(704,186 | ) | $(6,269,361 | ) | |||||||||
| Net realized gain (loss) |
(455,814,829 | ) | (286,092,542 | ) | (51,407,415 | ) | (21,492,358 | ) | ||||||||
| Net change in unrealized appreciation (depreciation) |
(184,864,131 | ) | 175,069,336 | (17,112,819 | ) | 16,127,707 | ||||||||||
| Net increase (decrease) in net assets resulting from operations |
(626,780,940 | ) | (164,076,732 | ) | (69,224,420 | ) | (11,634,012 | ) | ||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold |
1,082,801,337 | 2,926,054,708 | 75,366,305 | 412,207,460 | ||||||||||||
| Cost of shares redeemed |
(1,737,267,275 | ) | (4,509,138,890 | ) | (202,732,783 | ) | (355,005,253 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(654,465,938 | ) | (1,583,084,182 | ) | (127,366,478 | ) | 57,202,207 | |||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold |
519,871,598 | 1,361,742,244 | 22,396,880 | 51,469,716 | ||||||||||||
| Cost of shares redeemed |
(937,346,622 | ) | (1,329,701,417 | ) | (33,524,557 | ) | (65,942,623 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(417,475,024 | ) | 32,040,827 | (11,127,677 | ) | (14,472,907 | ) | |||||||||
| CLASS R6 | ||||||||||||||||
| Proceeds from shares sold |
316,505,880 | 1,164,399,126 | 56,924,318 | 106,785,812 | ||||||||||||
| Cost of shares redeemed |
(496,535,929 | ) | (484,097,033 | ) | (56,297,644 | ) | (47,165,170 | ) | ||||||||
| Net increase (decrease) from capital transactions |
(180,030,049 | ) | 680,302,093 | 626,674 | 59,620,642 | |||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | (1,251,971,011 | ) | (870,741,262 | ) | (137,867,481 | ) | 102,349,942 | |||||||||
| Total increase (decrease) in net assets |
(1,878,751,951 | ) | (1,034,817,994 | ) | (207,091,901 | ) | 90,715,930 | |||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period |
11,123,343,688 | 12,158,161,682 | 822,199,870 | 731,483,940 | ||||||||||||
| End of period |
$9,244,591,737 | $11,123,343,688 | $615,107,969 | $822,199,870 | ||||||||||||
| Undistributed accumulated net investment income (loss) |
$(13,913,197 | ) | $(27,811,217 | ) | $(3,581,781 | ) | $(2,877,595 | ) | ||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period |
645,147,269 | 821,325,811 | 50,683,732 | 44,297,366 | ||||||||||||
| Shares sold |
118,643,046 | 320,666,048 | 8,608,149 | 46,169,310 | ||||||||||||
| Shares redeemed |
(193,676,785 | ) | (496,844,590 | ) | (22,954,958 | ) | (39,782,944 | ) | ||||||||
| Shares outstanding, end of period |
570,113,530 | 645,147,269 | 36,336,923 | 50,683,732 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period |
365,313,253 | 361,866,517 | 10,760,367 | 12,612,500 | ||||||||||||
| Shares sold |
58,273,892 | 151,983,418 | 2,584,709 | 5,702,778 | ||||||||||||
| Shares redeemed |
(107,871,350 | ) | (148,536,682 | ) | (3,792,430 | ) | (7,554,911 | ) | ||||||||
| Shares outstanding, end of period |
315,715,795 | 365,313,253 | 9,552,646 | 10,760,367 | ||||||||||||
| CLASS R6 | ||||||||||||||||
| Shares outstanding, beginning of period |
199,171,371 | 125,447,820 | 28,585,910 | 21,880,192 | ||||||||||||
| Shares sold |
34,639,666 | 126,885,629 | 6,184,887 | 12,000,063 | ||||||||||||
| Shares redeemed |
(53,779,112 | ) | (53,162,078 | ) | (6,573,750 | ) | (5,294,345 | ) | ||||||||
| Shares outstanding, end of period |
180,031,925 | 199,171,371 | 28,197,047 | 28,585,910 | ||||||||||||
| ** | 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 2018 | ||||||||||||||
35
Table of Contents
| Consolidated Financial Highlights | June 30, 2018 |
| 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, 2018 (Unaudited) | $9.23 | 0.01 | (0.53 | ) | (0.52 | ) | — | — | — | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.32 | (0.03 | ) | (0.06 | ) | (0.09 | ) | — | — | — | ||||||||||||||||||
| 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 | ) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS N |
| |||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.10 | 0.00 | 5 | (0.52 | ) | (0.52 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.21 | (0.06 | ) | (0.05 | ) | (0.11 | ) | — | — | — | ||||||||||||||||||
| 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 | ) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS R6 |
| |||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2018 (Unaudited) | $9.24 | 0.02 | (0.54 | ) | (0.52 | ) | — | — | — | |||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.32 | (0.02 | ) | (0.06 | ) | (0.08 | ) | — | — | — | ||||||||||||||||||
| 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, 2018 (Unaudited) | $9.14 | (0.01 | ) | (0.82 | ) | (0.83 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.29 | (0.08 | ) | (0.07 | ) | (0.15 | ) | — | — | — | ||||||||||||||||||
| 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, 2018 (Unaudited) | $9.06 | (0.02 | ) | (0.82 | ) | (0.84 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.23 | (0.10 | ) | (0.07 | ) | (0.17 | ) | — | — | — | ||||||||||||||||||
| 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, 2018 (Unaudited) | $9.15 | (0.00 | )5 | (0.83 | ) | (0.83 | ) | — | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2017 | $9.30 | (0.07 | ) | (0.08 | ) | (0.15 | ) | — | — | — | ||||||||||||||||||
| 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 2018 | ||||||||||||||
36
Table of Contents
| Consolidated Financial Highlights | June 30, 2018 |
| 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 |
|||||||||||||||||||||||||||
| $8.71 | (5.63 | )% | $4,966,241 | 1.19 | % | 1.19 | % | 1.19 | % | 0.33 | % | 0 | % | |||||||||||||||||||||
| $9.23 | (0.97 | )% | $5,956,726 | 1.19 | % | 1.19 | % | 1.19 | % | (0.38 | )% | 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 | % | |||||||||||||||||||||
| $8.58 | (5.71 | )% | $2,707,917 | 1.46 | % | 1.46 | % | 1.46 | % | 0.07 | % | 0 | % | |||||||||||||||||||||
| $9.10 | (1.19 | )% | $3,325,717 | 1.46 | % | 1.46 | % | 1.46 | % | (0.63 | )% | 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 | % | |||||||||||||||||||||
| $8.72 | (5.63 | )% | $1,570,434 | 1.11 | % | 1.11 | % | 1.11 | % | 0.42 | % | 0 | % | |||||||||||||||||||||
| $9.24 | (0.86 | )% | $1,840,901 | 1.11 | % | 1.11 | % | 1.11 | % | (0.27 | )% | 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 | % | |||||||||||||||||||||
| $8.31 | (9.08 | )% | $301,839 | 1.64 | % | 1.64 | % | 1.64 | % | (0.20 | )% | 0 | % | |||||||||||||||||||||
| $9.14 | (1.61 | )% | $463,124 | 1.64 | % | 1.64 | % | 1.64 | % | (0.85 | )% | 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 | % | |||||||||||||||||||||
| $8.22 | (9.27 | )% | $78,537 | 1.91 | % | 1.90 | % | 1.90 | % | (0.45 | )% | 0 | % | |||||||||||||||||||||
| $9.06 | (1.84 | )% | $97,440 | 1.90 | % | 1.90 | % | 1.90 | % | (1.13 | )% | 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 | % | |||||||||||||||||||||
| $8.32 | (9.07 | )% | $234,732 | 1.56 | % | 1.55 | % | 1.55 | % | (0.10 | )% | 0 | % | |||||||||||||||||||||
| $9.15 | (1.61 | )% | $261,636 | 1.55 | % | 1.55 | % | 1.55 | % | (0.75 | )% | 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 2018 | ||||||||||||||
37
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (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, 2018, the Trust consists of thirty-nine 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.
| SUBSIDIARY NET ASSETS AT JUNE 30, 2018 |
% OF TOTAL NET ASSETS AT JUNE 30, 2018 |
|||||||
| AQR Managed Futures Strategy Offshore Fund Ltd |
$ | 2,187,119,659 | 23.7 | % | ||||
| AQR Managed Futures Strategy HV Offshore Fund Ltd |
143,662,152 | 23.4 | % | |||||
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) from transactions in investment 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 2018 | ||||||||||||||
38
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
Realized gains (losses) from settlement of 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 translations 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). Realized gains and losses on investment transactions 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. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. 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 of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. 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, 2018, 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 (“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 2018 | ||||||||||||||
39
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (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, if applicable.
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 centrally cleared swaps, the Schedules of Investments includes the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and 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. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date or closing of 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
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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) from the expiration or closing of 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 i) 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, ii) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
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 centrally cleared swaps and Deposits with brokers for futures contracts 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 centrally cleared swaps and Variation margin on futures contracts. 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 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).
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 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. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. 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
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liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 Adviser has established a Valuation Committee (the “VC”) to assist the board with oversight and monitoring of the valuation of the Funds’ investments. This includes administering, implementing and overseeing the continual appropriateness of valuation approaches 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 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 ready 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. 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
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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 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 their 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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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 |
$ | — | $ | 9,026,511,828 | $ | — | $ | 9,026,511,828 | ||||||||
| Futures Contracts* |
207,368,324 | — | — | 207,368,324 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 172,251,621 | — | 172,251,621 | ||||||||||||
| Total Return Swaps Contracts* |
— | 29,176,302 | — | 29,176,302 | ||||||||||||
| Total Assets |
$ | 207,368,324 | $ | 9,227,939,751 | $ | — | $ | 9,435,308,075 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (170,575,492 | ) | $ | — | $ | — | $ | (170,575,492 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (261,211,063 | ) | — | (261,211,063 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (17,185,051 | ) | — | (17,185,051 | ) | ||||||||||
| Total Liabilities |
$ | (170,575,492 | ) | $ | (278,396,114 | ) | $ | — | $ | (448,971,606 | ) | |||||
| AQR MANAGED FUTURES STRATEGY HV FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Short-Term Investments |
$ | — | $ | 556,870,119 | $ | — | $ | 556,870,119 | ||||||||
| Futures Contracts* |
20,916,668 | — | — | 20,916,668 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 17,375,951 | — | 17,375,951 | ||||||||||||
| Total Return Swaps Contracts* |
— | 3,132,871 | — | 3,132,871 | ||||||||||||
| Total Assets |
$ | 20,916,668 | $ | 577,378,941 | $ | — | $ | 598,295,609 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (16,442,381 | ) | $ | — | $ | — | $ | (16,442,381 | ) | ||||||
| Forward Foreign Currency Exchange Contracts* |
— | (26,296,073 | ) | — | (26,296,073 | ) | ||||||||||
| Total Return Swaps Contracts* |
— | (1,729,408 | ) | — | (1,729,408 | ) | ||||||||||
| Total Liabilities |
$ | (16,442,381 | ) | $ | (28,025,481 | ) | $ | — | $ | (44,467,862 | ) | |||||
| * | 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, 2018, there were no transfers 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, 2018, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments 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 |
$ | 9,026,295,951 | $ | 409,290,545 | $ | (449,250,027 | ) | $ | (39,959,482 | ) | ||||||
| AQR Managed Futures Strategy HV Fund |
556,868,617 | 4,090,819 | (7,131,689 | ) | (3,040,870 | ) | ||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to differences in the tax treatment of mark to market gain/loss on regulated futures contracts and forward foreign currency contracts.
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| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
As of December 31, 2017, 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 |
$ | 120,619,343 | $ | 366,849,923 | ||||
| AQR Managed Futures Strategy HV Fund |
6,382,439 | 30,194,458 | ||||||
7. Investment Transactions
During the period ended June 30, 2018, 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, 2018.
| ASSETS | LIABILITIES | |||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION |
SWAPS AT VALUE |
UNREALIZED APPRECIATION 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 |
$ | 16,743,827 | $ | 80,845 | $ | — | $ | 73,879,492 | $ | 1,213,544 | $ | — | ||||||||||||
| AQR Managed Futures Strategy HV Fund |
1,468,226 | 9,874 | — | 7,199,168 | 98,982 | — | ||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | 172,251,621 | — | — | 261,211,063 | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
— | — | 17,375,951 | — | — | 26,296,073 | ||||||||||||||||||
| Interest Rate Risk Exposure: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
84,258,065 | — | — | 67,287,733 | 250,654 | — | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
8,976,567 | — | — | 4,227,645 | — | — | ||||||||||||||||||
| Commodity Risk Exposure: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
106,366,432 | 29,095,457 | — | 29,408,267 | 15,720,853 | — | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund | 10,471,875 | 3,122,997 | — | 5,015,568 | 1,630,426 | — | ||||||||||||||||||
| Netting: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
$ | (170,575,492 | ) | $ | (17,185,051 | ) | $ | (172,251,621 | ) | $ | (170,575,492 | ) | $ | (17,185,051 | ) | $ | (172,251,621 | ) | ||||||
| AQR Managed Futures Strategy HV Fund | (16,442,381 | ) | (1,729,408 | ) | (17,375,951 | ) | (16,442,381 | ) | (1,729,408 | ) | (17,375,951 | ) | ||||||||||||
| Net Fair Value of Derivative Contracts: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
36,792,832 | 11,991,251 | — | — | — | 88,959,442 | ||||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
4,474,287 | 1,403,463 | — | — | — | 8,920,122 | ||||||||||||||||||
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| Notes to Consolidated Financial Statements | June 30, 2018 (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, 2018:
| REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A |
|||||||||||||||||||||||
| 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 |
$ | (186,478,937 | ) | $ | (53,647,277 | ) | $ | — | $ | (82,431,397 | ) | $ | (10,504,428 | ) | $ | — | ||||||||
| AQR Managed Futures Strategy HV Fund |
(21,846,822 | ) | (5,822,811 | ) | — | (8,176,898 | ) | (1,033,987 | ) | — | ||||||||||||||
| Foreign Exchange Rate Risk Exposure: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | (331,779,844 | ) | — | — | (46,819,913 | ) | ||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
— | — | (33,649,055 | ) | — | — | (4,823,656 | ) | ||||||||||||||||
| Interest Rate Risk Exposure: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
26,267,873 | 48,974 | — | 3,196,056 | (250,654 | ) | — | |||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
2,902,968 | — | — | 3,659,964 | — | — | ||||||||||||||||||
| Commodity Risk Exposure: |
|
|||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
180,554,111 | (79,346,076 | ) | — | (69,675,058 | ) | 18,850,745 | — | ||||||||||||||||
| AQR Managed Futures Strategy HV Fund |
16,434,676 | (8,350,002 | ) | — | (9,011,232 | ) | 2,096,998 | — | ||||||||||||||||
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, 2018:
AQR MANAGED FUTURES STRATEGY FUND
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED STATEMENT OF ASSETS & |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 68,905,072 | $ | (68,905,072 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 80,845 | — | 80,845 | — | — | 80,845 | |||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 103,346,549 | (103,346,549 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 172,332,466 | (172,251,621 | ) | 80,845 | — | — | 80,845 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND (continued)
| GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
||||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED STATEMENT OF ASSETS & |
GROSS AMOUNTS OFFSET |
NET AMOUNTS OF LIABILITIES |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (b) |
NET AMOUNT |
|||||||||||||||||||
| BANA | Total Return Swap Contracts | $ | 250,654 | $ | — | $ | 250,654 | $ | — | $ | (250,654 | ) | $ | — | ||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | 104,479,173 | (68,905,072 | ) | 35,574,101 | — | (35,574,101 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 156,731,890 | (103,346,549 | ) | 53,385,341 | — | (53,385,341 | ) | — | |||||||||||||||||
| MLIN | Total Return Swap Contracts | 613,750 | — | 613,750 | — | — | 613,750 | |||||||||||||||||||
| MSCS | Total Return Swap Contracts | 599,794 | — | 599,794 | — | (599,794 | ) | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 262,675,261 | (172,251,621 | ) | 90,423,640 | — | (89,809,890 | ) | 613,750 | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $500,000. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $291,119,462. |
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 OF ASSETS |
FINANCIAL INSTRUMENTS |
COLLATERAL RECEIVED |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 9,226,397 | $ | (2,310,461 | ) | $ | 6,915,936 | $ | — | $ | — | $ | 6,915,936 | ||||||||||||
| GSIN | Total Return Swap Contracts | 9,061,319 | (3,350,385 | ) | 5,710,934 | — | — | 5,710,934 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 5,765,238 | (3,850,655 | ) | 1,914,583 | — | — | 1,914,583 | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 1,383,081 | (351,240 | ) | 1,031,841 | — | — | 1,031,841 | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 3,659,422 | (3,659,422 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 29,095,457 | (13,522,163 | ) | 15,573,294 | — | — | 15,573,294 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
47
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD. (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 (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 2,310,461 | $ | (2,310,461 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 3,350,385 | (3,350,385 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 3,850,655 | (3,850,655 | ) | — | — | — | — | ||||||||||||||||||
| MLIN | Total Return Swap Contracts | 351,240 | (351,240 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 5,858,112 | (3,659,422 | ) | 2,198,690 | — | (2,198,690 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 15,720,853 | (13,522,163 | ) | 2,198,690 | — | (2,198,690 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 71,442,035. |
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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 6,949,977 | $ | (6,949,977 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 9,874 | (9,874 | ) | — | — | — | — | ||||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 10,425,974 | (10,425,974 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 17,385,825 | (17,385,825 | ) | — | — | — | — | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV 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 |
|||||||||||||||||||
| CITI | Forward Foreign Currency Exchange Contracts | $ | 10,514,718 | $ | (6,949,977 | ) | $ | 3,564,741 | $ | — | $ | (3,564,741 | ) | $ | — | |||||||||||
| GSIN | Total Return Swap Contracts | 50,551 | (9,874 | ) | 40,677 | — | (40,677 | ) | — | |||||||||||||||||
| JPMC | Forward Foreign Currency Exchange Contracts | 15,781,355 | (10,425,974 | ) | 5,355,381 | — | (5,355,381 | ) | — | |||||||||||||||||
| MLIN | Total Return Swap Contracts | 48,431 | — | 48,431 | — | (30,093 | ) | 18,338 | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 26,395,055 | (17,385,825 | ) | 9,009,230 | — | (8,990,892 | ) | 18,338 | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $610,000. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $27,483,450. |
AQR MANAGED FUTURES STRATEGY 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 | $ | 1,035,939 | $ | (251,994 | ) | $ | 783,945 | $ | — | $ | — | $ | 783,945 | ||||||||||||
| GSIN | Total Return Swap Contracts | 980,269 | (335,023 | ) | 645,246 | — | — | 645,246 | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 633,733 | (415,514 | ) | 218,219 | — | — | 218,219 | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 473,056 | (473,056 | ) | — | — | — | — | ||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 3,122,997 | (1,475,587 | ) | 1,647,410 | — | — | 1,647,410 | |||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
49
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV 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 |
NET AMOUNTS OF |
FINANCIAL INSTRUMENTS |
COLLATERAL PLEDGED (a) |
NET AMOUNT |
|||||||||||||||||||
| CITI | Total Return Swap Contracts | $ | 251,994 | $ | (251,994 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
| GSIN | Total Return Swap Contracts | 335,023 | (335,023 | ) | — | — | — | — | ||||||||||||||||||
| MACQ | Total Return Swap Contracts | 415,514 | (415,514 | ) | — | — | — | — | ||||||||||||||||||
| SOCG | Total Return Swap Contracts | 627,895 | (473,056 | ) | 154,839 | — | (154,839 | ) | — | |||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 1,630,426 | (1,475,587 | ) | 154,839 | — | (154,839 | ) | — | ||||||||||||||||||
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 6,760,271. |
For the period ended June 30, 2018, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| AQR MANAGED |
AQR MANAGED FUTURES STRATEGY HV FUND |
|||||||
| Futures Contracts: | ||||||||
| Average Notional Balance—Long | $ | 21,942,340,915 | $ | 2,213,195,993 | ||||
| Average Notional Balance—Short | 43,121,663,453 | 4,400,608,822 | ||||||
| Ending Notional Balance—Long | 25,897,278,158 | 2,548,598,237 | ||||||
| Ending Notional Balance—Short | 38,127,990,389 | 3,763,227,802 | ||||||
| Forward Foreign Currency Exchange Contracts: | ||||||||
| Average Settlement Value—Purchased | 15,120,158,239 | 1,516,622,897 | ||||||
| Average Settlement Value—Sold | 14,139,764,497 | 1,408,252,725 | ||||||
| Ending Value— Purchased | 13,734,810,089 | 1,383,391,747 | ||||||
| Ending Value—Sold | 18,383,250,919 | 1,838,683,384 | ||||||
| Total Return Swaps: | ||||||||
| Average Notional Balance—Long | 1,506,616,420 | 154,088,483 | ||||||
| Average Notional Balance— Short | 1,183,458,816 | 118,097,283 | ||||||
| Ending Notional Balance— Long | 200,212,233 | 21,172,480 | ||||||
| Ending Notional Balance—Short | 920,211,496 | 88,339,117 | ||||||
| * | 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 the 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.
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
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, 2019 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 | |||||||||
For the period ended June 30, 2018 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 |
$ | 37,259 | $ | — | $ | 37,259 | ||||||
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, 2018, 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, 2018 are as follows:
| FEES WAIVED/ 2018 |
TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2018 |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING | ||||||||||||||||||||||
| 2018 | 2019 | 2020 | 2021 | |||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY HV FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 18,307 | $ | 150,988 | $ | 52,994 | $ | 59,386 | $ | 20,301 | $ | 18,307 | ||||||||||||
| Class N |
4,781 | 41,833 | 11,368 | 19,395 | 6,289 | 4,781 | ||||||||||||||||||
| Class R6 |
14,171 | 59,406 | 5,748 | 28,571 | 10,916 | 14,171 | ||||||||||||||||||
| Totals | $ | 37,259 | $ | 252,227 | $ | 70,110 | $ | 107,352 | $ | 37,506 | $ | 37,259 | ||||||||||||
During the period ended June 30, 2018, the Funds recouped amounts as follows:
| FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
| AQR Managed Futures Strategy HV Fund |
$ | 20,150 | $ | 4,731 | $ | 14,094 | ||||||
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.
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
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.
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
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
52
Table of Contents
| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
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. Interfund Lending
Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Funds may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with each Fund’s investment objective and investment policies. This program allows the Funds to borrow money from and lend money to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board. No Fund may borrow or lend money through the Interfund Lending Program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.
A lending Fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must (i) repay all of its outstanding loans through the Interfund Lending Program, (ii) reduce its outstanding indebtedness to 10% or less of its total assets, or (iii) secure each of its outstanding borrowings through the Interfund Lending Program with collateral with a market value at least equal to 102% of the outstanding principal value of the loan.
The Funds are not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in a Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program.
During the reporting period, the Funds did not utilize the Interfund Lending Program.
13. Line of Credit
Effective February 23, 2018 and terminating on February 22, 2019, 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 $350,000,000, prior to February 23, 2018 the line of credit available was $300,000,000 at substantially similar terms. The Funds did not have any borrowings for the period ended June 30, 2018.
14. Principal Ownership
As of June 30, 2018, 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 OMNIBUS |
TOTAL HELD |
||||||
| AQR Managed Futures Strategy Fund |
7 | 76.19 | % | |||||
| AQR Managed Futures Strategy HV Fund |
5 | 86.42 | % | |||||
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
| AQR Funds | Semi-Annual Report | June 2018 | ||||||||||||||
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| Notes to Consolidated Financial Statements | June 30, 2018 (Unaudited) |
15. 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 in conjunction with Final Rule Release No. 33-10233, Investment Company Liquidity Risk Management Programs and Final Rule Release No. 33-10234, Investment Company Swing Pricing. Collectively, these rules modernize and enhance the reporting and disclosure of information by registered investment companies. 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. The amendments to Regulation S-X were applied to the Funds’ financial statements with a reporting period date after August 1, 2018. The adoption had no effect on the Funds’ net assets or results of operations.
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”), which shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, non-contingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU 2017-08 for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the impact of these changes on the financial statements, if any.
16. 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 those 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 06/30/18” 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 6/30/18 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/18 |
|||||||||||||
| AQR Managed Futures Strategy Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $943.70 | 1.19 | % | $5.73 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.89 | 1.19 | % | $5.96 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $942.90 | 1.46 | % | $7.03 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.55 | 1.46 | % | $7.30 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $943.70 | 1.11 | % | $5.35 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.29 | 1.11 | % | $5.56 | |||||||||||
| AQR Managed Futures Strategy HV Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $909.20 | 1.64 | % | $7.76 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,016.66 | 1.64 | % | $8.20 | |||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $907.30 | 1.90 | % | $8.99 | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,015.37 | 1.90 | % | $9.49 | |||||||||||
| Class R6 | ||||||||||||||||
| Actual Return |
$1,000.00 | $909.30 | 1.55 | % | $7.34 | |||||||||||
| 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 2018 | ||||||||||||||
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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.
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AQR Funds
P.O. Box 2248, Denver, CO 80201-2248 | p: +1.866.290.2688 | w: https://funds.aqr.com
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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.
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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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. 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. | |
| (a)(4) | Change in the Registrant’s Independent Public Accountant – Not Applicable. | |
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| (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 31, 2018 |
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 31, 2018 |
| By: /s/ Heather Bonner |
| ------------------------------------ |
| Heather Bonner, |
| Principal Financial Officer |
| August 31, 2018 |