N-CSRS 1 d694116dncsrs.htm AQR FUNDS AQR FUNDS
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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

LOGO

 

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

Table of Contents

 

 

 

Schedule of Investments  

AQR Alternative Risk Premia Fund

     2  

AQR Diversified Arbitrage Fund

     24  

AQR Equity Market Neutral Fund

     51  

AQR Global Macro Fund

     66  

AQR Long-Short Equity Fund

     76  

AQR Multi-Strategy Alternative Fund

     100  

AQR Risk-Balanced Commodities Strategy Fund

     143  

AQR Risk Parity Fund

     150  

AQR Risk Parity II HV Fund

     165  

AQR Risk Parity II MV Fund

     174  

AQR Style Premia Alternative Fund

     182  

AQR Style Premia Alternative LV Fund

     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   

 

INVESTMENTS   SHARES     VALUE  
LONG POSITIONS - 176.0%

 

COMMON STOCKS - 99.4%

 

Australia - 1.4%  
AGL Energy Ltd. (2)     4,039     $ 67,204  
Ansell Ltd. (2)     5,743       115,382  
Aurizon Holdings Ltd. (2)     8,222       26,293  
BHP Billiton plc (2)     953       21,388  
Caltex Australia Ltd . (2)     5,178       124,612  
Coca-Cola Amatil Ltd. (2)     7,449       50,665  
Crown Resorts Ltd. (2)     12,084       120,572  
CSL Ltd. (2)     543       77,292  
Flight Centre Travel Group Ltd. (2)     2,464       115,990  
Fortescue Metals Group Ltd. (2)     111,699       362,685  
Harvey Norman Holdings Ltd . (2)     92,335       226,842  
Newcrest Mining Ltd. (2)     10,677       173,364  
Oil Search Ltd. (2)     26,443       173,729  
Santos Ltd. (2)*     17,560       81,332  
South32 Ltd. (2)     71,531       191,011  
Star Entertainment Grp Ltd. (The) (2)     5,191       18,908  
Wesfarmers Ltd. (2)     7,388       269,561  
Woodside Petroleum Ltd. (2)     31,719       831,245  
Woolworths Group Ltd. (2)     4,018       90,741  
   

 

 

  
      3,138,816  
   

 

 

  
Belgium - 0.7%            
Ageas (2)(a)     17,859       899,077  
Colruyt SA (2)     1,368       77,996  
KBC Group NV (2)(a)     2,848       218,727  
Solvay SA (2)(a)     1,726       217,370  
UCB SA (2)(a)     526       41,233  
Umicore SA (2)(a)     696       39,733  
   

 

 

  
      1,494,136  
   

 

 

  
Canada - 2.1%            
Air Canada *(a)     5,190       83,891  
ARC Resources Ltd. (a)     14,134       146,001  
Bank of Montreal (a)     1,080       83,482  
BRP, Inc. (a)     4,964       239,317  
Canadian Imperial Bank of Commerce (a)     2,972       258,531  
Canadian Natural Resources Ltd. (a)     13,380       482,927  
Canadian Tire Corp. Ltd., Class A (a)     911       118,912  
Cenovus Energy, Inc. (a)     2,125       22,064  
CGI Group, Inc., Class A *(a)     4,851       307,410  
Constellation Software, Inc. (a)     102       79,104  
Dollarama, Inc. (a)     3,648       141,408  
Empire Co. Ltd., Class A (a)     6,893       138,369  
Encana Corp. (a)     12,492       163,152  
Fairfax Financial Holdings Ltd. (a)     256       143,449  
Intact Financial Corp. (a)     267       18,939  
Kinross Gold Corp. *     36,410       137,093  
Linamar Corp. (a)     426       18,733  
Magna International, Inc. (a)     3,642       211,819  
Methanex Corp. (a)     1,680       118,794  
National Bank of Canada(a)     2,926       140,485  
Peyto Exploration & Development Corp. (a)     8,502       65,447  
Quebecor, Inc., Class B (a)     4,903       100,398  
Royal Bank of Canada (a)     446       33,583  
INVESTMENTS   SHARES     VALUE  
Canada - 2.1% (continued)            
Seven Generations Energy Ltd., Class A *(a)     2,270     $ 25,020  
Sun Life Financial, Inc. (a)     887       35,645  
Teck Resources Ltd., Class B (a)     4,044       103,019  
Toronto-Dominion Bank (The) (a)     4,702       272,145  
Tourmaline Oil Corp. (a)     13,470       240,680  
West Fraser Timber Co. Ltd. (a)     8,413       579,083  
WestJet Airlines Ltd. (a)     1,386       19,114  
Whitecap Resources, Inc. (a)     12,889       87,355  
   

 

 

  
      4,615,369  
   

 

 

  
Chile - 0.0% (b)            
Lundin Mining Corp. (a)     4,666       25,945  
   

 

 

  
Denmark - 0.6%            
Carlsberg A/S, Class B (2)(a)     848       99,774  
Dfds A/S (2)     792       50,412  
GN Store Nord A/S (2)(a)     2,553       115,999  
Jyske Bank A/S (Registered) (2)(a)     538       29,407  
Orsted A/S (2)(a)(c)     4,693       283,556  
Pandora A/S (2)(a)     4,477       312,036  
Rockwool International A/S, Class B (2)     640       249,476  
Vestas Wind Systems A/S (2)(a)     1,267       78,220  
William Demant Holding A/S (2)*(a)     1,725       69,228  
   

 

 

  
      1,288,108  
   

 

 

  
Finland - 0.8%            
Amer Sports OYJ (2)*     3,617       113,733  
Kesko OYJ, Class B (2)     709       43,305  
Neste OYJ (2)(a)     10,433       816,267  
Sampo OYJ, Class A (2)(a)     4,025       196,020  
Stora Enso OYJ, Class R (2)     3,279       63,881  
UPM-Kymmene OYJ (2)(a)     12,921       460,054  
   

 

 

  
      1,693,260  
   

 

 

  
France - 1.7%            
AXA SA (2)(a)     10,611       259,267  
Capgemini SE (2)(a)     269       36,049  
Dassault Systemes SE (2)(a)     173       24,210  
Electricite de France SA (2)(a)     1,686       23,135  
Engie SA (2)(a)     38,196       584,265  
Faurecia SA (2)(a)     351       24,951  
Peugeot SA (2)(a)     33,857       771,441  
Renault SA (2)(a)     9,926       840,945  
Thales SA (2)(a)     590       75,906  
TOTAL SA (2)(a)     17,441       1,059,119  
   

 

 

  
      3,699,288  
   

 

 

  
Germany - 2.6%            
adidas AG (2)     1,461       318,086  
Aurubis AG (2)(a)     1,495       114,120  
Bayerische Motoren Werke AG (2)(a)     13,950       1,260,975  
Covestro AG (2)(a)(c)     2,720       241,763  
Daimler AG (Registered) (2)(a)     15,961       1,022,415  
Evonik Industries AG (2)(a)     2,709       92,685  
Hannover Rueck SE (2)(a)     1,828       227,260  
HUGO BOSS AG (2)(a)     1,855       168,228  
Infineon Technologies AG (2)(a)     1,841       46,764  
MAN SE (2)(a)     276       31,232  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Germany - 2.6% (continued)            
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (2)(a)     151     $ 31,747  
Rheinmetall AG (2)(a)     529       58,202  
RWE AG (2)     15,573       353,889  
Salzgitter AG (2)(a)     4,822       209,796  
SAP SE (2)(a)     694       80,100  
STADA Arzneimittel AG (2)(a)     212       19,909  
Talanx AG (2)(a)     3,247       118,287  
TUI AG (2)     1,238       27,078  
United Internet AG (Registered) (2)(a)     720       41,106  
Volkswagen AG (Preference) (2)(a)     7,760       1,282,031  
   

 

 

  
      5,745,673  
   

 

 

  
Italy - 1.8%            
A2A SpA (2)     33,965       58,791  
Assicurazioni Generali SpA (2)(a)     57,422       959,979  
Atlantia SpA (2)(a)     647       19,075  
BPER Banca (2)(a)     14,853       81,043  
DiaSorin SpA (2)     239       27,161  
Enel SpA (2)(a)     69,064       382,696  
Eni SpA (2)(a)     48,872       906,154  
Hera SpA (2)     44,510       138,497  
Italgas SpA (2)     9,074       49,943  
Moncler SpA (2)(a)     570       25,864  
Poste Italiane SpA (2)(c)     90,946       759,093  
Terna Rete Elettrica Nazionale SpA (2)(a)     32,688       176,537  
UnipolSai Assicurazioni SpA (2)     206,066       454,446  
   

 

 

  
      4,039,279  
   

 

 

  
Japan - 13.1%            
Alfresa Holdings Corp. (2)(a)     2,800       65,750  
Amada Holdings Co. Ltd. (2)     1,900       18,235  
ANA Holdings, Inc. (2)(a)     1,400       51,370  
Aozora Bank Ltd. (2)(a)     3,600       136,626  
Asahi Glass Co. Ltd. (2)(a)     11,300       439,525  
Astellas Pharma, Inc. (2)(a)     25,000       380,465  
Benesse Holdings, Inc. (2)(a)     800       28,370  
Bridgestone Corp. (2)(a)     5,200       203,127  
Central Japan Railway Co. (2)(a)     3,100       641,791  
Chiba Bank Ltd. (The) (2)(a)     3,200       22,569  
Chubu Electric Power Co., Inc. (2)(a)     28,100       421,342  
Citizen Watch Co. Ltd. (2)(a)     10,600       69,507  
Concordia Financial Group Ltd. (2)(a)     5,200       26,426  
Credit Saison Co. Ltd. (2)(a)     6,700       105,263  
Daicel Corp. (2)(a)     1,800       19,884  
Daiwa Securities Group, Inc. (2)(a)     22,000       127,509  
DeNA Co. Ltd. (2)(a)     3,800       71,158  
East Japan Railway Co. (2)(a)     6,900       660,781  
Electric Power Development Co. Ltd. (2)(a)     16,500       425,870  
Fujitsu Ltd. (2)(a)     13,000       78,670  
GungHo Online Entertainment, Inc. (2)     27,500       69,870  
Gunma Bank Ltd. (The) (2)(a)     7,200       37,690  
Haseko Corp. (2)(a)     25,900       356,982  
Hiroshima Bank Ltd. (The) (2)(a)     2,800       18,570  
Hitachi Capital Corp. (2)(a)     900       23,228  
Hitachi Ltd. (2)(a)     54,000       380,429  
Honda Motor Co. Ltd. (2)(a)     4,900       143,673  
INVESTMENTS   SHARES     VALUE  
Japan - 13.1% (continued)            
Idemitsu Kosan Co. Ltd. (2)(a)     13,800     $ 490,750  
Iida Group Holdings Co. Ltd. (2)(a)     3,800       73,156  
Inpex Corp. (2)(a)     41,600       432,053  
ITOCHU Corp. (2)(a)     61,100       1,105,045  
Japan Airlines Co. Ltd. (2)(a)     18,900       669,647  
Japan Post Holdings Co. Ltd. (2)(a)     10,100       110,532  
JFE Holdings, Inc. (2)(a)     22,900       432,528  
JXTG Holdings, Inc. (2)(a)     232,900       1,615,809  
Kaken Pharmaceutical Co. Ltd. (2)(a)     1,000       51,308  
Kamigumi Co. Ltd. (2)(a)     3,200       66,419  
Kansai Electric Power Co., Inc. (The) (2)(a)     27,600       402,520  
Kao Corp. (2)(a)     300       22,866  
KDDI Corp. (2)(a)     16,700       456,660  
Kirin Holdings Co. Ltd. (2)(a)     3,300       88,456  
Kobe Steel Ltd. (2)(a)     29,200       266,845  
Kyushu Electric Power Co., Inc. (2)(a)     34,500       385,217  
Kyushu Railway Co. (2)(a)     18,300       559,532  
Marubeni Corp. (2)(a)     144,900       1,103,180  
Mazda Motor Corp. (2)(a)     59,000       723,730  
McDonald’s Holdings Co. Japan Ltd. (2)     400       20,397  
Medipal Holdings Corp. (2)(a)     2,700       54,236  
Mitsubishi Chemical Holdings Corp. (2)(a)     33,900       283,092  
Mitsubishi Corp. (2)(a)     41,200       1,142,438  
Mitsubishi Gas Chemical Co., Inc. (2)     800       18,078  
Mitsubishi Heavy Industries Ltd. (2)(a)     3,300       119,959  
Mitsubishi Materials Corp. (2)(a)     800       21,948  
Mitsui & Co. Ltd. (2)(a)     71,100       1,183,978  
Mizuho Financial Group, Inc. (2)     416,600       701,757  
MS&AD Insurance Group Holdings, Inc. (2)(a)     1,400       43,482  
Nexon Co. Ltd. (2)*(a)     7,600       110,271  
NH Foods Ltd. (2)     800       32,341  
NHK Spring Co. Ltd. (2)(a)     23,300       219,325  
Nippon Electric Glass Co. Ltd. (2)(a)     3,200       88,704  
Nippon Express Co. Ltd. (2)(a)     500       36,231  
Nippon Steel & Sumitomo Metal Corp. (2)(a)     11,600       227,443  
Nippon Telegraph & Telephone Corp. (2)(a)     9,600       436,109  
Nissan Motor Co. Ltd. (2)(a)     51,900       504,997  
NOK Corp. (2)(a)     6,600       127,477  
Obayashi Corp. (2)(a)     6,300       65,416  
Oji Holdings Corp. (2)(a)     3,000       18,591  
Oriental Land Co. Ltd. (2)(a)     500       52,423  
ORIX Corp. (2)(a)     14,500       228,551  
Osaka Gas Co. Ltd. (2)(a)     26,700       552,849  
Pola Orbis Holdings, Inc. (2)(a)     800       35,156  
Resona Holdings, Inc. (2)(a)     71,100       378,947  
Sankyo Co. Ltd. (2)     500       19,552  
Sawai Pharmaceutical Co. Ltd. (2)     900       40,929  
Sega Sammy Holdings, Inc. (2)(a)     4,000       68,462  
Sekisui House Ltd. (2)(a)     20,800       367,627  
SG Holdings Co. Ltd. (2)     900       19,689  
Shikoku Electric Power Co., Inc. (2)(a)     16,300       218,014  
Shimamura Co. Ltd. (2)(a)     3,100       272,546  
Shinsei Bank Ltd. (2)(a)     3,500       53,702  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Japan - 13.1% (continued)            
Shionogi & Co. Ltd. (2)(a)     500     $ 25,657  
Sojitz Corp. (2)     214,000       775,028  
Subaru Corp. (2)(a)     600       17,451  
Sumitomo Chemical Co. Ltd. (2)(a)     39,000       220,570  
Sumitomo Corp. (2)(a)     44,700       733,072  
Sumitomo Dainippon Pharma Co. Ltd. (2)(a)     2,000       42,272  
Sumitomo Electric Industries Ltd. (2)(a)     5,500       81,799  
Sumitomo Heavy Industries Ltd. (2)(a)     6,000       202,158  
Sumitomo Mitsui Financial Group, Inc. (2)(a)     10,400       405,662  
Suzuken Co. Ltd. (2)(a)     700       29,603  
Suzuki Motor Corp. (2)(a)     3,800       209,411  
Taiheiyo Cement Corp. (2)(a)     8,000       263,171  
Taisei Corp. (2)(a)     5,200       286,361  
Teijin Ltd. (2)(a)     11,000       201,495  
Toho Gas Co. Ltd. (2)     500       17,321  
Tohoku Electric Power Co., Inc. (2)(a)     30,500       372,653  
Tokyo Electric Power Co. Holdings, Inc. (2)*     218,400       1,016,772  
Tokyo Gas Co. Ltd. (2)(a)     28,100       746,119  
Toppan Printing Co. Ltd. (2)(a)     10,000       78,231  
Tosoh Corp. (2)(a)     12,300       190,185  
Toyota Boshoku Corp. (2)(a)     2,600       47,692  
Toyota Motor Corp. (2)(a)     500       32,335  
Toyota Tsusho Corp. (2)(a)     4,700       157,059  
West Japan Railway Co. (2)(a)     6,300       463,834  
Yamada Denki Co. Ltd. (2)     41,500       206,150  
Yamaguchi Financial Group, Inc. (2)(a)     10,000       112,496  
   

 

 

  
      28,780,207  
   

 

 

  
Luxembourg - 0.2%            
Aperam SA (2)(a)     442       18,945  
ArcelorMittal (2)(a)     15,546       453,567  
   

 

 

  
      472,512  
   

 

 

  
Malta - 0.1%            
Kindred Group plc, SDR (2)     14,397       180,362  
   

 

 

  
Netherlands - 1.6%            
Aegon NV (2)(a)     207,546       1,239,178  
Akzo Nobel NV (2)(a)     257       21,920  
ASM International NV (2)(a)     337       18,570  
ASR Nederland NV (2)(a)     13,206       537,760  
Koninklijke Ahold Delhaize NV (2)(a)     42,597       1,017,114  
Koninklijke DSM NV (2)(a)     515       51,520  
Koninklijke Philips NV (2)(a)     3,068       129,985  
NN Group NV (2)(a)     14,391       583,647  
   

 

 

  
      3,599,694  
   

 

 

  
Norway - 0.9%            
DNB ASA (2)(a)     1,315       25,607  
Equinor ASA (2)(a)     34,733       918,430  
Leroy Seafood Group ASA (2)(a)     27,002       181,893  
Marine Harvest ASA (2)(a)     26,571       528,308  
Norsk Hydro ASA (2)(a)     4,055       24,205  
Salmar ASA (2)(a)     4,677       196,171  
   

 

 

  
      1,874,614  
   

 

 

  
INVESTMENTS   SHARES     VALUE  
Russia - 0.0% (b)            
Evraz plc (2)     6,367     $ 42,496  
   

 

 

  
Singapore - 0.2%            
ComfortDelGro Corp. Ltd. (2)     31,000       53,350  
DBS Group Holdings Ltd. (2)     1,800       35,005  
Genting Singapore Ltd. (2)     21,600       19,341  
Oversea-Chinese Banking Corp. Ltd. (2)     6,900       58,773  
SATS Ltd. (2)     7,500       27,472  
Venture Corp. Ltd. (2)     26,200       342,303  
   

 

 

  
      536,244  
   

 

 

  
South Africa - 0.0% (b)            
Anglo American plc (2)     2,723       60,453  
   

 

 

  
Spain - 1.3%            
Acerinox SA (2)(a)     8,263       109,182  
ACS Actividades de Construccion y Servicios SA (2)(a)     6,637       267,776  
Amadeus IT Group SA (2)(a)     3,605       283,470  
Bankinter SA (2)(a)     11,532       111,895  
Enagas SA (2)(a)     12,437       362,741  
Endesa SA (2)(a)     24,972       549,174  
Gas Natural SDG SA (2)(a)     926       24,480  
Gestamp Automocion SA (2)*(c)     8,215       61,334  
Iberdrola SA (2)(a)     24,966       192,532  
Mapfre SA (2)     53,933       162,109  
Repsol SA (2)(a)     35,521       693,337  
   

 

 

  
      2,818,030  
   

 

 

  
Sweden - 0.7%            
Ahlsell AB (2)(c)     3,770       22,191  
Axfood AB (2)     2,453       47,080  
BillerudKorsnas AB (2)     1,651       23,273  
Boliden AB (2)*(a)     8,072       260,512  
Electrolux AB, Series B (2)(a)     19,330       438,667  
Essity AB, Class B (2)(a)     758       18,648  
Husqvarna AB, Class B (2)     2,892       27,359  
Nordea Bank AB (2)(a)     5,855       56,165  
Sandvik AB (2)(a)     5,961       105,277  
Securitas AB, Class B (2)(a)     2,603       42,684  
SKF AB, Class B (2)     3,130       57,943  
SSAB AB, Class A (2)     72,163       339,371  
Svenska Cellulosa AB SCA, Class B (2)(a)     10,778       116,680  
Swedish Orphan Biovitrum AB (2)*     1,009       21,974  
Volvo AB, Class B (2)(a)     4,531       72,012  
   

 

 

  
      1,649,836  
   

 

 

  
Switzerland - 1.0%            
Baloise Holding AG (Registered) (2)     951       137,949  
Cie Financiere Richemont SA (Registered) (2)     2,078       175,663  
Georg Fischer AG (Registered) (2)     142       181,332  
Helvetia Holding AG (Registered) (2)     391       223,061  
Partners Group Holding AG (2)     207       151,327  
Roche Holding AG (2)(a)     275       61,011  
Sika AG (Registered) (2)(a)     180       24,871  
Sonova Holding AG (Registered) (2)     765       136,846  
Swatch Group AG (The) (2)     338       160,003  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Switzerland - 1.0% (continued)            
Swiss Life Holding AG (Registered) (2)*(a)     1,219     $ 422,689  
Swiss Re AG (2)(a)     1,458       127,296  
Temenos AG (Registered) (2)*     359       53,989  
Zurich Insurance Group AG (2)*(a)     1,213       358,720  
   

 

 

  
      2,214,757  
   

 

 

  
United Kingdom - 1.4%            
Aggreko plc (2)     4,744       42,214  
Barclays plc (2)     11,359       28,076  
Barratt Developments plc (2)     17,603       119,329  
BBA Aviation plc (2)     6,382       28,631  
Bellway plc (2)     5,099       201,440  
Berkeley Group Holdings plc (2)     6,722       334,843  
Britvic plc (2)     4,321       44,307  
Dixons Carphone plc (2)     11,797       28,950  
Fiat Chrysler Automobiles NV (2)*(a)     46,823       883,281  
Greene King plc (2)     5,495       41,625  
Hays plc (2)     10,956       26,905  
Howden Joinery Group plc (2)     4,044       28,518  
Indivior plc (2)*     4,361       21,960  
Janus Henderson Group plc     614       18,868  
Marks & Spencer Group plc (2)     11,820       45,914  
Meggitt plc (2)     5,114       33,186  
Moneysupermarket.com Group plc (2)     6,097       25,309  
nVent Electric plc *     2,912       73,091  
Persimmon plc (2)     2,375       79,111  
Petrofac Ltd. (2)     16,533       127,007  
Royal Mail plc (2)     85,949       571,812  
RPC Group plc (2)     9,291       91,476  
Saga plc (2)     24,762       40,965  
Taylor Wimpey plc (2)     51,865       122,091  
WH Smith plc (2)     1,011       26,612  
Whitbread plc (2)     356       18,557  
William Hill plc (2)     6,688       26,712  
   

 

 

  
      3,130,790  
   

 

 

  
United States - 67.2%            
Aaron’s, Inc. (a)     2,736       118,879  
AbbVie, Inc. (a)     10,580       980,237  
ABIOMED, Inc. *(a)     363       148,485  
Accenture plc, Class A (a)     1,212       198,271  
Accenture plc, Class A     1,014       165,880  
Activision Blizzard, Inc. (a)     1,542       117,685  
Adobe Systems, Inc. *(a)     1,364       332,557  
Adtalem Global Education, Inc. *(a)     3,875       186,388  
Aflac, Inc. (a)     25,803       1,110,045  
Agilent Technologies, Inc. (a)     4,165       257,564  
Air Lease Corp. (a)     5,513       231,381  
Akamai Technologies, Inc. *(a)     12,902       944,813  
Alcoa Corp. *(a)     5,270       247,058  
Alexion Pharmaceuticals, Inc. *(a)     1,031       127,999  
Allison Transmission Holdings, Inc. (a)     663       26,845  
Allstate Corp. (The) (a)     18,569       1,694,792  
Ally Financial, Inc. (a)     3,675       96,542  
Alphabet, Inc., Class A *(a)     1,157       1,306,473  
Amazon.com, Inc. *(a)     777       1,320,745  
AMC Networks, Inc., Class A *(a)     8,733       543,193  
Amdocs Ltd. (a)     6,912       457,505  
AMERCO (a)     1,091       388,560  
INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
Ameren Corp. (a)     1,576     $ 95,900  
American Eagle Outfitters, Inc. (a)     6,081       141,383  
American Financial Group, Inc. (a)     2,029       217,773  
Ameriprise Financial, Inc. (a)     4,311       603,023  
Amgen, Inc. (a)     6,448       1,190,236  
Analog Devices, Inc.     195       18,704  
ANSYS, Inc. *(a)     858       149,446  
Antero Resources Corp. *(a)     4,952       105,725  
Anthem, Inc. (a)     3,533       840,960  
Apple, Inc. (a)     3,926       726,742  
Applied Materials, Inc. (a)     17,456       806,293  
Archer-Daniels-Midland Co. (a)     3,345       153,301  
Arrow Electronics, Inc. *(a)     13,494       1,015,828  
Assurant, Inc. (a)     283       29,288  
Assured Guaranty Ltd. (a)     18,019       643,819  
Athene Holding Ltd., Class A *(a)     17,072       748,436  
Athene Holding Ltd., Class A *     2,917       127,881  
AutoNation, Inc. *(a)     4,702       228,423  
AutoZone, Inc. *(a)     380       254,953  
Avnet, Inc. (a)     4,979       213,549  
Bank of New York Mellon Corp. (The) (a)     9,409       507,427  
Baxter International, Inc. (a)     8,129       600,245  
Becton Dickinson and Co. (a)     355       85,044  
Best Buy Co., Inc. (a)     5,813       433,534  
Big Lots, Inc. (a)     15,188       634,555  
Biogen, Inc. *(a)     6,831       1,982,628  
Bio-Rad Laboratories, Inc., Class A *     119       34,336  
Bio-Techne Corp. (a)     1,362       201,508  
BlackRock, Inc. (a)     417       208,100  
Boeing Co. (The) (a)     1,802       604,589  
Booking Holdings, Inc. *(a)     1,103       2,235,879  
Booz Allen Hamilton Holding Corp. (a)     2,070       90,521  
Boston Beer Co., Inc. (The), Class A *(a)     1,367       409,690  
Brinker International, Inc. (a)     2,125       101,150  
Bristol-Myers Squibb Co.     2,529       139,955  
Broadcom, Inc. (a)     276       66,969  
Broadridge Financial Solutions, Inc. (a)     558       64,226  
Brunswick Corp. (a)     6,903       445,105  
Burlington Stores, Inc. *(a)     686       103,264  
CA, Inc. (a)     25,588       912,212  
Cadence Design Systems, Inc. *(a)     805       34,865  
Capital One Financial Corp. (a)     6,355       584,025  
Cardinal Health, Inc. (a)     1,758       85,843  
Carlisle Cos., Inc.     194       21,012  
Carnival Corp. (a)     8,077       462,893  
Cars.com, Inc. *     3,416       96,980  
Carter’s, Inc. (a)     7,184       778,674  
CDK Global, Inc. (a)     1,010       65,701  
CDW Corp. (a)     9,031       729,614  
Celanese Corp., Series A(a)     804       89,292  
Celgene Corp. *     7,400       587,708  
Centene Corp. *(a)     1,662       204,775  
Cerner Corp. *(a)     3,435       205,379  
CH Robinson Worldwide, Inc. (a)     4,773       399,309  
Charles River Laboratories International, Inc. *(a)     7,284       817,702  
Cheesecake Factory, Inc. (The) (a)     2,042       112,433  
Chesapeake Energy Corp. *(a)     63,801       334,317  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
Chubb Ltd. (a)     496     $ 63,002  
Ciena Corp. *(a)     11,534       305,766  
Cigna Corp. (a)     5,110       868,445  
Cimarex Energy Co.     550       55,957  
Cirrus Logic, Inc. *     9,488       363,675  
Cisco Systems, Inc. (a)     17,901       770,280  
Citrix Systems, Inc. *(a)     2,052       215,132  
Clorox Co. (The)     1,607       217,347  
CME Group, Inc. (a)     1,095       179,492  
CNA Financial Corp. (a)     416       19,003  
CNX Resources Corp. *(a)     13,187       234,465  
Cognizant Technology Solutions Corp., Class A (a)     4,734       373,939  
Coherent, Inc. *(a)     126       19,709  
Commerce Bancshares, Inc. (a)     698       45,168  
Conagra Brands, Inc. (a)     717       25,618  
Consolidated Edison, Inc. (a)     39,471       3,077,948  
Constellation Brands, Inc., Class A (a)     4,597       1,006,145  
Convergys Corp. (a)     7,769       189,874  
Cooper Cos., Inc. (The) (a)     619       145,744  
Copart, Inc. *(a)     369       20,871  
Costco Wholesale Corp. (a)     3,788       791,616  
Cracker Barrel Old Country Store, Inc. (a)     1,679       262,277  
Credit Acceptance Corp. *(a)     183       64,672  
Cummins, Inc.     2,599       345,667  
Curtiss-Wright Corp. (a)     4,343       516,904  
Danaher Corp. (a)     9,372       924,829  
Darden Restaurants, Inc. (a)     2,985       319,574  
Deckers Outdoor Corp. *(a)     6,978       787,746  
Deere & Co. (a)     467       65,287  
Deluxe Corp. (a)     4,015       265,833  
Diamond Offshore Drilling, Inc. *(a)     14,209       296,400  
Dillard’s, Inc., Class A (a)     2,325       219,713  
Discover Financial Services (a)     1,673       117,796  
Dolby Laboratories, Inc., Class A (a)     488       30,105  
Dollar General Corp. (a)     1,225       120,785  
DR Horton, Inc. (a)     673       27,593  
DTE Energy Co. (a)     830       86,013  
Dun & Bradstreet Corp. (The)     160       19,624  
DXC Technology Co. (a)     6,060       488,497  
E*TRADE Financial Corp. *(a)     508       31,069  
Eastman Chemical Co. (a)     1,071       107,057  
Eaton Corp. plc     3,080       230,199  
Eaton Corp. plc(a)     9,107       680,657  
Eaton Vance Corp. (a)     460       24,007  
eBay, Inc. *(a)     34,533       1,252,167  
Electronic Arts, Inc. *(a)     1,688       238,042  
Eli Lilly & Co. (a)     6,743       575,380  
EMCOR Group, Inc. (a)     860       65,515  
Energen Corp. *     263       19,152  
Estee Lauder Cos., Inc. (The), Class A (a)     18,218       2,599,525  
Esterline Technologies Corp. *(a)     1,225       90,405  
Everest Re Group Ltd. (a)     987       227,484  
Exelon Corp. (a)     44,267       1,885,773  
Expedia Group, Inc. (a)     2,989       359,248  
Expeditors International of Washington, Inc. (a)     1,655       120,981  
INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
F5 Networks, Inc. *(a)     4,557     $ 785,855  
Facebook, Inc., Class A *(a)     9,471       1,840,404  
Fair Isaac Corp. *(a)     860       166,255  
Federated Investors, Inc., Class B (a)     15,925       371,371  
FedEx Corp. (a)     6,797       1,543,326  
First American Financial Corp. (a)     4,892       253,014  
First Solar, Inc. *(a)     3,273       172,356  
Fiserv, Inc. *(a)     480       35,563  
Flex Ltd. *     5,163       72,850  
FLIR Systems, Inc. (a)     6,815       354,176  
FNF Group (a)     7,652       287,868  
Ford Motor Co. (a)     5,374       59,490  
Fortive Corp. (a)     1,381       106,489  
Gap, Inc. (The) (a)     7,506       243,119  
Garmin Ltd.     736       44,896  
GATX Corp. (a)     315       23,382  
General Dynamics Corp. (a)     6,309       1,176,061  
General Motors Co. (a)     4,676       184,234  
Genpact Ltd. (a)     3,872       112,017  
Gilead Sciences, Inc. (a)     17,943       1,271,082  
Globus Medical, Inc., Class A *(a)     3,623       182,817  
Goldman Sachs Group, Inc. (The) (a)     400       88,228  
Graham Holdings Co., Class B (a)     347       203,377  
Hanover Insurance Group, Inc. (The) (a)     196       23,434  
Harris Corp. (a)     131       18,935  
Hasbro, Inc. (a)     1,284       118,526  
HCA Healthcare, Inc. (a)     1,479       151,745  
Helen of Troy Ltd. *(a)     836       82,304  
Helen of Troy Ltd. *     62       6,104  
Herman Miller, Inc.     632       21,425  
Hewlett Packard Enterprise Co. (a)     40,254       588,111  
HollyFrontier Corp. (a)     12,352       845,247  
Honeywell International, Inc. (a)     2,139       308,123  
HP, Inc. (a)     25,766       584,631  
Humana, Inc. (a)     2,966       882,771  
Huntington Ingalls Industries, Inc. (a)     6,421       1,392,009  
IAC/InterActiveCorp *(a)     2,283       348,135  
ICU Medical, Inc.*     642       188,523  
Ingredion, Inc. (a)     1,896       209,887  
Integrated Device Technology, Inc. *(a)     869       27,704  
Intel Corp. (a)     43,331       2,153,983  
International Business Machines Corp. (a)     7,180       1,003,046  
Intuit, Inc. (a)     1,612       329,340  
Intuitive Surgical, Inc. *(a)     82       39,235  
IPG Photonics Corp. *(a)     417       92,003  
IQVIA Holdings, Inc. *(a)     11,011       1,099,118  
ITT, Inc. (a)     896       46,834  
j2 Global, Inc. (a)     8,225       712,367  
Jabil, Inc. (a)     18,706       517,408  
Jazz Pharmaceuticals plc *(a)     1,688       290,842  
JetBlue Airways Corp. *(a)     21,299       404,255  
JM Smucker Co. (The)     3,398       365,217  
John Wiley & Sons, Inc., Class A (a)     4,649       290,098  
Johnson & Johnson (a)     3,569       433,062  
JPMorgan Chase & Co. (a)     2,513       261,855  
Juniper Networks, Inc. (a)     9,811       269,018  
Keysight Technologies, Inc. *(a)     1,199       70,777  
KLA-Tencor Corp. (a)     6,637       680,492  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
Kohl’s Corp. (a)     16,854     $ 1,228,657  
Kroger Co. (The) (a)     12,945       368,285  
L3 Technologies, Inc. (a)     4,483       862,171  
Laboratory Corp. of America Holdings *(a)     1,421       255,112  
Lam Research Corp. (a)     8,264       1,428,431  
Landstar System, Inc. (a)     266       29,047  
Laredo Petroleum, Inc. *(a)     27,910       268,494  
Las Vegas Sands Corp.     2,834       216,404  
Lear Corp. (a)     3,247       603,325  
LifePoint Health, Inc. *(a)     748       36,502  
Littelfuse, Inc. (a)     111       25,328  
Lockheed Martin Corp. (a)     572       168,986  
Louisiana-Pacific Corp. (a)     11,180       304,320  
LPL Financial Holdings, Inc. (a)     332       21,759  
Lululemon Athletica, Inc. *(a)     3,813       476,053  
LyondellBasell Industries NV, Class A (a)     9,093       998,866  
LyondellBasell Industries NV, Class A     2,059       226,181  
Macy’s, Inc. (a)     32,208       1,205,545  
Mallinckrodt plc *     4,754       88,710  
Mallinckrodt plc *(a)     25,823       481,857  
Manhattan Associates, Inc. *(a)     461       21,672  
ManpowerGroup, Inc. (a)     218       18,761  
Marathon Petroleum Corp. (a)     6,944       487,191  
Marvell Technology Group Ltd. (a)     20,495       439,413  
Masimo Corp. *(a)     483       47,165  
Match Group, Inc. *(a)     5,742       222,445  
Maxim Integrated Products, Inc. (a)     2,126       124,711  
MAXIMUS, Inc. (a)     3,043       189,001  
McDermott International, Inc. *     21,407       420,648  
McDonald’s Corp. (a)     990       155,123  
McKesson Corp. (a)     3,510       468,234  
Medtronic plc     2,366       202,553  
Medtronic plc(a)     3,104       265,733  
Merck & Co., Inc. (a)     13,114       796,020  
Mettler-Toledo International, Inc. *(a)     55       31,825  
Michael Kors Holdings Ltd. *(a)     20,860       1,389,276  
Michaels Cos., Inc. (The) *     2,742       52,564  
Microchip Technology, Inc. (a)     484       44,020  
Micron Technology, Inc. *(a)     36,549       1,916,629  
Microsoft Corp. (a)     7,330       722,811  
MKS Instruments, Inc. (a)     5,018       480,223  
Molson Coors Brewing Co., Class B     4,165       283,387  
MSCI, Inc. (a)     193       31,928  
Murphy USA, Inc. *(a)     2,630       195,383  
Mylan NV *(a)     10,121       365,773  
Mylan NV *     2,839       102,601  
Nasdaq, Inc. (a)     1,421       129,695  
Navient Corp. (a)     10,519       137,063  
Netflix, Inc. *(a)     1,374       537,825  
New Jersey Resources Corp. (a)     1,870       83,683  
New York Times Co. (The), Class A (a)     874       22,637  
NextEra Energy, Inc. (a)     2,405       401,707  
NIKE, Inc., Class B (a)     2,415       192,427  
Norfolk Southern Corp. (a)     169       25,497  
Northrop Grumman Corp. (a)     3,929       1,208,953  
NorthWestern Corp. (a)     4,805       275,086  
Norwegian Cruise Line Holdings Ltd. *(a)     1,961       92,657  
INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
Norwegian Cruise Line Holdings Ltd. *     1,309     $ 61,850  
NRG Energy, Inc. (a)     13,470       413,529  
Nu Skin Enterprises, Inc., Class A (a)     5,588       436,926  
NVIDIA Corp. (a)     753       178,386  
NVR, Inc. *(a)     21       62,377  
Oceaneering International, Inc. (a)     4,835       123,099  
Old Dominion Freight Line, Inc. (a)     153       22,791  
Old Republic International Corp. (a)     15,201       302,652  
Omnicom Group, Inc. (a)     1,935       147,582  
ON Semiconductor Corp. *(a)     9,801       217,925  
OneMain Holdings, Inc. *(a)     928       30,893  
Oracle Corp. (a)     21,173       932,882  
Oshkosh Corp. (a)     499       35,090  
Parker-Hannifin Corp.     585       91,172  
PBF Energy, Inc., Class A (a)     10,436       437,581  
Penske Automotive Group, Inc. (a)     1,772       83,018  
PerkinElmer, Inc. (a)     2,612       191,277  
Pfizer, Inc. (a)     40,759       1,478,736  
Phillips 66 (a)     2,031       228,102  
Pilgrim’s Pride Corp. *     20,341       409,464  
PNC Financial Services Group, Inc. (The) (a)     421       56,877  
Popular, Inc. (a)     1,439       65,057  
PRA Health Sciences, Inc. *     784       73,194  
Progressive Corp. (The) (a)     466       27,564  
Prudential Financial, Inc. (a)     202       18,889  
Public Service Enterprise Group, Inc. (a)     5,052       273,515  
PulteGroup, Inc. (a)     18,577       534,089  
PVH Corp. (a)     3,594       538,094  
QIAGEN NV *(a)     2,197       79,444  
Qorvo, Inc. *(a)     2,711       217,341  
Quest Diagnostics, Inc. (a)     329       36,170  
Qurate Retail, Inc. *(a)     27,253       578,309  
Ralph Lauren Corp.     4,171       524,378  
Raymond James Financial, Inc. (a)     258       23,052  
Raytheon Co. (a)     11,326       2,187,956  
Regal Beloit Corp. (a)     550       44,990  
Regeneron Pharmaceuticals, Inc. *(a)     187       64,513  
Reinsurance Group of America, Inc. (a)     6,462       862,548  
Reliance Steel & Aluminum Co. (a)     1,493       130,697  
Republic Services, Inc. (a)     2,810       192,092  
Robert Half International, Inc. (a)     12,390       806,589  
Ross Stores, Inc.     289       24,493  
Royal Caribbean Cruises Ltd. (a)     1,003       103,911  
Royal Caribbean Cruises Ltd.     888       91,997  
RPC, Inc. (a)     31,039       452,238  
Ryder System, Inc. (a)     3,831       275,296  
Sally Beauty Holdings, Inc. *(a)     9,017       144,543  
Sanderson Farms, Inc.     5,296       556,874  
Santander Consumer USA Holdings, Inc. (a)     3,090       58,988  
Science Applications International Corp. (a)     1,438       116,377  
Seagate Technology plc (a)     5,541       312,900  
Service Corp. International (a)     3,215       115,065  
Signet Jewelers Ltd. (a)     3,494       194,791  
Silgan Holdings, Inc. (a)     1,607       43,116  
Silicon Laboratories, Inc. *(a)     250       24,900  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
Skechers U.S.A., Inc., Class A *     17,666     $ 530,157  
Skyworks Solutions, Inc. (a)     13,246       1,280,226  
Snap-on, Inc. (a)     3,550       570,556  
Southwestern Energy Co. *(a)     84,972       450,352  
Spirit AeroSystems Holdings, Inc., Class A (a)     9,402       807,726  
SS&C Technologies Holdings, Inc. (a)     964       50,032  
Stanley Black & Decker, Inc. (a)     620       82,342  
State Street Corp. (a)     4,247       395,353  
Stryker Corp. (a)     652       110,097  
SunTrust Banks, Inc. (a)     382       25,220  
Synaptics, Inc. *(a)     523       26,344  
Synchrony Financial (a)     2,873       95,901  
SYNNEX Corp. (a)     3,376       325,818  
Synopsys, Inc. *(a)     1,976       169,086  
T. Rowe Price Group, Inc. (a)     3,793       440,329  
Target Corp. (a)     16,514       1,257,046  
TE Connectivity Ltd.     946       85,197  
TE Connectivity Ltd. (a)     8,558       770,733  
Tech Data Corp. *(a)     9,539       783,343  
TEGNA, Inc.     3,990       43,292  
Teledyne Technologies, Inc. *(a)     1,295       257,783  
Texas Instruments, Inc. (a)     9,885       1,089,821  
Textron, Inc. (a)     2,957       194,896  
Thermo Fisher Scientific, Inc. (a)     5,802       1,201,826  
TJX Cos., Inc. (The) (a)     2,513       239,187  
Toll Brothers, Inc. (a)     3,546       131,167  
Torchmark Corp. (a)     7,053       574,185  
Total System Services, Inc. (a)     384       32,456  
Travelers Cos., Inc. (The) (a)     2,590       316,861  
TRI Pointe Group, Inc. *     1,800       29,448  
Tyson Foods, Inc., Class A (a)     18,044       1,242,329  
United Rentals, Inc. *(a)     330       48,715  
United States Steel Corp. (a)     1,432       49,762  
United Technologies Corp. (a)     3,295       411,974  
United Therapeutics Corp. *(a)     6,182       699,493  
UnitedHealth Group, Inc. (a)     2,257       553,732  
Universal Health Services, Inc., Class B (a)     231       25,743  
Unum Group (a)     3,035       112,265  
Urban Outfitters, Inc. *(a)     3,525       157,039  
US Bancorp (a)     500       25,010  
Valeant Pharmaceuticals International, Inc. *(a)     2,486       57,865  
Valero Energy Corp. (a)     9,522       1,055,323  
Varian Medical Systems, Inc. *(a)     599       68,118  
VeriSign, Inc. *(a)     4,585       630,071  
Verizon Communications, Inc. (a)     15,786       794,194  
Versum Materials, Inc. (a)     2,144       79,650  
VF Corp. (a)     7,512       612,378  
Viacom, Inc., Class B (a)     27,197       820,262  
Vishay Intertechnology, Inc. (a)     7,880       182,816  
Vistra Energy Corp. *(a)     111,986       2,649,588  
VMware, Inc., Class A *(a)     1,145       168,281  
Walmart, Inc. (a)     17,586       1,506,240  
Walt Disney Co. (The) (a)     6,334       663,867  
Waste Management, Inc. (a)     9,329       758,821  
Waters Corp. *(a)     1,109       214,691  
INVESTMENTS   SHARES     VALUE  
United States - 67.2% (continued)            
WellCare Health Plans, Inc. *(a)     499     $ 122,874  
Werner Enterprises, Inc. (a)     7,024       263,751  
WESCO International, Inc. *     334       19,071  
Western Digital Corp. (a)     7,071       547,366  
Westlake Chemical Corp. (a)     2,116       227,745  
Whirlpool Corp. (a)     1,169       170,943  
Williams-Sonoma, Inc. (a)     9,149       561,566  
Woodward, Inc. (a)     2,315       177,931  
WW Grainger, Inc.     386       119,042  
Xilinx, Inc. (a)     1,666       108,723  
Zoetis, Inc. (a)     2,601       221,579  
   

 

 

  
      147,783,115  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $216,189,024)

       218,882,984  
   

 

 

  
SHORT-TERM INVESTMENTS - 76.6%  
INVESTMENT COMPANIES - 76.6%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares,
1.80% (2)(d)		     404,326       404,326  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(d)     1,617,302       1,617,302  
Limited Purpose Cash Investment Fund, 1.85% (2)(d)     164,588,671       164,588,671  
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(d)     2,021,628       2,021,628  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS (Cost $168,604,473)

       168,631,927  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $384,793,497)

       387,514,911  
   

 

 

  
SHORT POSITIONS - (84.9)%  
COMMON STOCKS - (84.9)%  
Argentina - (0.6)%        
MercadoLibre, Inc.     (4,136 )      (1,236,374 ) 
   

 

 

  
Australia - (1.3)%            
Alumina Ltd. (2)     (14,086 )      (29,149 ) 
AMP Ltd. (2)     (145,745 )      (383,338 ) 
APA Group (2)     (42,428 )      (309,106 ) 
Challenger Ltd. (2)     (19,936 )      (174,465 ) 
Computershare Ltd. (2)     (1,631 )      (22,218 ) 
Domino’s Pizza Enterprises Ltd. (2)     (8,796 )      (339,707 ) 
Healthscope Ltd. (2)     (115,948 )      (189,193 ) 
Medibank Pvt Ltd. (2)     (30,856 )      (66,625 ) 
QBE Insurance Group Ltd. (2)     (99,838 )      (718,758 ) 
Ramsay Health Care Ltd. (2)     (558 )      (22,283 ) 
SEEK Ltd. (2)     (10,387 )      (167,388 ) 
Tabcorp Holdings Ltd. (2)     (15,742 )      (51,895 ) 
Transurban Group (2)     (23,882 )      (211,483 ) 
Treasury Wine Estates Ltd. (2)     (7,403 )      (95,114 ) 
Vocus Group Ltd. (2)*     (99,168 )      (169,308 ) 
   

 

 

  
      (2,950,030 ) 
   

 

 

  
Austria - (0.1)%            
ams AG (2)*     (2,685 )      (199,120 ) 
   

 

 

  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Belgium - (0.7)%            
Anheuser-Busch InBev SA/NV (2)     (7,171 )    $ (723,303 ) 
Galapagos NV (2)*     (5,319 )      (489,866 ) 
Telenet Group Holding NV (2)*     (5,367 )      (249,868 ) 
   

 

 

  
      (1,463,037 ) 
   

 

 

  
Canada - (1.9)%            
Agnico Eagle Mines Ltd.     (2,310 )      (105,902 ) 
AltaGas Ltd.     (5,857 )      (120,958 ) 
Barrick Gold Corp.     (2,652 )      (34,838 ) 
Cameco Corp.     (25,971 )      (292,177 ) 
Canadian National Railway Co.     (1,335 )      (109,195 ) 
Canadian Utilities Ltd., Class A     (924 )      (23,335 ) 
CCL Industries, Inc., Class B     (1,325 )      (64,957 ) 
Element Fleet Management Corp.     (60,173 )      (282,866 ) 
Enbridge, Inc.     (35,223 )      (1,259,255 ) 
Finning International, Inc.     (1,027 )      (25,350 ) 
Franco-Nevada Corp.     (262 )      (19,122 ) 
Imperial Oil Ltd.     (2,781 )      (92,443 ) 
Inter Pipeline Ltd.     (7,578 )      (142,032 ) 
Keyera Corp.     (5,920 )      (164,723 ) 
Nutrien Ltd.     (1,563 )      (85,031 ) 
Onex Corp.     (1,032 )      (75,745 ) 
Pembina Pipeline Corp.     (9,187 )      (318,171 ) 
PrairieSky Royalty Ltd.     (3,178 )      (62,731 ) 
Restaurant Brands International, Inc.     (1,366 )      (82,397 ) 
Ritchie Bros Auctioneers, Inc.     (1,009 )      (34,415 ) 
SNC-Lavalin Group, Inc.     (2,021 )      (89,255 ) 
TransCanada Corp.     (11,013 )      (476,491 ) 
Wheaton Precious Metals Corp.     (10,005 )      (220,854 ) 
   

 

 

  
      (4,182,243 ) 
   

 

 

  
Colombia - (0.1)%            
Millicom International Cellular SA, SDR (2)     (3,657 )      (214,930 ) 
   

 

 

  
Denmark - (0.6)%            
AP Moller - Maersk A/S, Class B (2)     (624 )      (771,950 ) 
FLSmidth & Co. A/S (2)     (3,066 )      (182,937 ) 
Genmab A/S (2)*     (1,792 )      (275,732 ) 
   

 

 

  
      (1,230,619 ) 
   

 

 

  
Finland - (0.3)%            
Cargotec OYJ, Class B (2)     (487 )      (24,572 ) 
Elisa OYJ (2)     (417 )      (19,264 ) 
Huhtamaki OYJ (2)     (1,946 )      (71,762 ) 
Metso OYJ (2)     (3,872 )      (129,151 ) 
Orion OYJ, Class B (2)     (13,612 )      (366,096 ) 
   

 

 

  
      (610,845 ) 
   

 

 

  
France - (1.5)%            
Airbus SE (2)     (7,244 )      (845,337 ) 
BioMerieux (2)     (372 )      (33,424 ) 
Bollore SA (2)     (4,017 )      (18,655 ) 
Carrefour SA (2)     (1,183 )      (19,083 ) 
Edenred (2)     (686 )      (21,668 ) 
Getlink (2)     (1,712 )      (23,471 ) 
Iliad SA (2)     (5,489 )      (866,084 ) 
Ingenico Group SA (2)     (4,159 )      (372,914 ) 
Ipsen SA (2)     (166 )      (25,964 ) 
INVESTMENTS   SHARES     VALUE  
France - (1.5)% (continued)            
JCDecaux SA (2)     (4,433 )    $ (148,025 ) 
Natixis SA (2)     (4,374 )      (30,948 ) 
Orpea (2)     (578 )      (76,989 ) 
Remy Cointreau SA (2)     (175 )      (22,656 ) 
SCOR SE (2)     (762 )      (28,180 ) 
SPIE SA (2)     (1,414 )      (28,621 ) 
Suez (2)     (7,230 )      (93,527 ) 
Technicolor SA (Registered) (2)*     (109,591 )      (134,649 ) 
Vivendi SA (2)     (18,644 )      (456,086 ) 
   

 

 

  
      (3,246,281 ) 
   

 

 

  
Germany - (1.9)%            
1&1 Drillisch AG (2)     (3,411 )      (193,490 ) 
Brenntag AG (2)     (506 )      (28,114 ) 
Commerzbank AG (2)*     (87,871 )      (838,232 ) 
CTS Eventim AG & Co. KGaA (2)     (1,640 )      (80,520 ) 
Delivery Hero AG (2)*(c)     (1,683 )      (89,207 ) 
Deutsche Bank AG (Registered) (2)     (63,905 )      (683,686 ) 
Deutsche Telekom AG (Registered) (2)*     (51,267 )      (792,301 ) 
E.ON SE (2)     (28,709 )      (305,880 ) 
GEA Group AG (2)     (740 )      (24,922 ) 
LANXESS AG (2)     (600 )      (46,648 ) 
Merck KGaA (2)     (649 )      (63,178 ) 
OSRAM Licht AG (2)     (564 )      (22,969 ) 
ProSiebenSat.1 Media SE (2)     (1,652 )      (41,804 ) 
Rational AG (2)     (37 )      (24,095 ) 
Telefonica Deutschland Holding AG (2)     (103,959 )      (408,971 ) 
thyssenkrupp AG (2)     (19,195 )      (465,285 ) 
Wirecard AG (2)     (382 )      (61,128 ) 
   

 

 

  
      (4,170,430 ) 
   

 

 

  
Ghana - (0.1)%            
Kosmos Energy Ltd. *     (28,101 )      (232,395 ) 
   

 

 

  
Ireland - (0.1)%            
James Hardie Industries plc, CHESS (2)     (9,937 )      (166,605 ) 
   

 

 

  
Italy - (1.2)%            
Brembo SpA (2)     (5,166 )      (69,673 ) 
Buzzi Unicem SpA (2)     (7,124 )      (174,061 ) 
Davide Campari-Milano SpA (2)     (18,342 )      (150,550 ) 
De’ Longhi SpA (2)     (1,126 )      (31,841 ) 
Ferrari NV (2)     (4,005 )      (541,352 ) 
Leonardo SpA (2)     (90,870 )      (894,377 ) 
Recordati SpA (2)     (11,091 )      (439,482 ) 
Saipem SpA (2)*     (30,267 )      (138,810 ) 
Telecom Italia SpA (2)*     (48,454 )      (35,899 ) 
UniCredit SpA (2)     (14,058 )      (233,003 ) 
Unipol Gruppo SpA (2)     (5,317 )      (20,487 ) 
   

 

 

  
      (2,729,535 ) 
   

 

 

  
Japan - (13.1)%            
Acom Co. Ltd. (2)     (4,800 )      (18,427 ) 
Advantest Corp. (2)     (13,100 )      (271,732 ) 
Aeon Co. Ltd. (2)     (3,000 )      (64,177 ) 
Ajinomoto Co., Inc. (2)     (1,000 )      (18,929 ) 
Asahi Intecc Co. Ltd. (2)     (7,100 )      (268,068 ) 
Asahi Kasei Corp. (2)     (2,400 )      (30,435 ) 
Bank of Kyoto Ltd. (The) (2)     (400 )      (18,469 ) 
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Japan - (13.1)% (continued)            
Calbee, Inc. (2)     (500 )    $ (18,809 ) 
Casio Computer Co. Ltd. (2)     (14,900 )      (241,991 ) 
Chiyoda Corp. (2)     (36,300 )      (314,747 ) 
Chugai Pharmaceutical Co. Ltd. (2)     (700 )      (36,652 ) 
Coca-Cola Bottlers Japan Holdings, Inc. (2)     (1,700 )      (68,016 ) 
Cosmos Pharmaceutical Corp. (2)     (1,700 )      (344,980 ) 
CyberAgent, Inc. (2)     (14,400 )      (863,616 ) 
Daifuku Co. Ltd. (2)     (15,800 )      (690,329 ) 
Dai-ichi Life Holdings, Inc. (2)     (9,600 )      (170,857 ) 
Daiichi Sankyo Co. Ltd. (2)     (4,300 )      (164,275 ) 
Daikin Industries Ltd. (2)     (8,800 )      (1,051,715 ) 
Disco Corp. (2)     (1,800 )      (306,437 ) 
Don Quijote Holdings Co. Ltd. (2)     (5,800 )      (278,393 ) 
Eisai Co. Ltd. (2)     (2,200 )      (154,858 ) 
FANUC Corp. (2)     (2,100 )      (416,245 ) 
Fast Retailing Co. Ltd. (2)     (1,900 )      (870,838 ) 
Fuji Electric Co. Ltd. (2)     (23,000 )      (174,711 ) 
FUJIFILM Holdings Corp. (2)     (600 )      (23,402 ) 
Hikari Tsushin, Inc. (2)     (500 )      (87,750 ) 
Hitachi Chemical Co. Ltd. (2)     (1,400 )      (28,184 ) 
Hitachi Construction Machinery Co. Ltd. (2)     (800 )      (25,936 ) 
Hitachi High-Technologies Corp. (2)     (1,000 )      (40,680 ) 
Hokuriku Electric Power Co. (2)*     (1,800 )      (18,079 ) 
Isetan Mitsukoshi Holdings Ltd. (2)     (14,600 )      (182,148 ) 
J Front Retailing Co. Ltd. (2)     (5,900 )      (89,627 ) 
Japan Airport Terminal Co. Ltd. (2)     (4,700 )      (219,807 ) 
JGC Corp. (2)     (15,300 )      (307,760 ) 
Kansai Paint Co. Ltd. (2)     (4,600 )      (95,461 ) 
Keikyu Corp. (2)     (8,300 )      (135,949 ) 
Keio Corp. (2)     (500 )      (24,160 ) 
Keyence Corp. (2)     (1,600 )      (902,423 ) 
Kikkoman Corp. (2)     (1,500 )      (75,733 ) 
Kintetsu Group Holdings Co. Ltd. (2)     (1,100 )      (44,853 ) 
Kobayashi Pharmaceutical Co. Ltd. (2)     (900 )      (77,684 ) 
Kose Corp. (2)     (2,200 )      (473,208 ) 
Lawson, Inc. (2)     (300 )      (18,736 ) 
LINE Corp. (2)*     (12,800 )      (528,474 ) 
Lion Corp. (2)     (6,900 )      (126,258 ) 
M3, Inc. (2)     (13,100 )      (520,964 ) 
Makita Corp. (2)     (6,100 )      (272,872 ) 
Marui Group Co. Ltd. (2)     (23,900 )      (502,738 ) 
MINEBEA MITSUMI, Inc. (2)     (11,700 )      (197,166 ) 
MISUMI Group, Inc. (2)     (11,000 )      (320,043 ) 
Mitsubishi Logistics Corp. (2)     (1,200 )      (25,877 ) 
Mitsubishi Motors Corp. (2)     (3,300 )      (26,305 ) 
MonotaRO Co. Ltd. (2)     (10,600 )      (468,262 ) 
Nabtesco Corp. (2)     (5,800 )      (178,204 ) 
Nankai Electric Railway Co. Ltd. (2)     (800 )      (22,191 ) 
Nidec Corp. (2)     (9,100 )      (1,361,266 ) 
Nifco, Inc. (2)     (1,300 )      (40,175 ) 
Nikon Corp. (2)     (1,600 )      (25,428 ) 
Nintendo Co. Ltd. (2)     (1,700 )      (554,930 ) 
Nippon Paint Holdings Co. Ltd. (2)     (1,400 )      (60,207 ) 
Nippon Shinyaku Co. Ltd. (2)     (5,700 )      (353,731 ) 
Nippon Yusen KK (2)     (4,700 )      (93,115 ) 
Nitto Denko Corp. (2)     (400 )      (30,199 ) 
INVESTMENTS   SHARES     VALUE  
Japan - (13.1)% (continued)            
Nomura Research Institute Ltd. (2)     (3,400 )    $ (164,496 ) 
Obic Co. Ltd. (2)     (1,400 )      (115,663 ) 
Odakyu Electric Railway Co. Ltd. (2)     (1,200 )      (25,735 ) 
Olympus Corp. (2)     (500 )      (18,704 ) 
Ono Pharmaceutical Co. Ltd. (2)     (5,800 )      (135,783 ) 
Orient Corp. (2)     (18,800 )      (25,264 ) 
Panasonic Corp. (2)     (1,700 )      (22,924 ) 
Park24 Co. Ltd. (2)     (9,000 )      (244,760 ) 
PeptiDream, Inc. (2)*     (16,000 )      (664,751 ) 
Persol Holdings Co. Ltd. (2)     (29,000 )      (645,841 ) 
Pigeon Corp. (2)     (4,300 )      (208,968 ) 
Recruit Holdings Co. Ltd. (2)     (9,700 )      (267,901 ) 
Renesas Electronics Corp. (2)*     (83,800 )      (819,213 ) 
Ricoh Co. Ltd. (2)     (12,500 )      (114,472 ) 
Rinnai Corp. (2)     (300 )      (26,439 ) 
Rohm Co. Ltd. (2)     (2,900 )      (242,337 ) 
Ryohin Keikaku Co. Ltd. (2)     (300 )      (105,397 ) 
Santen Pharmaceutical Co. Ltd. (2)     (3,100 )      (53,929 ) 
Secom Co. Ltd. (2)     (300 )      (23,005 ) 
Seibu Holdings, Inc. (2)     (1,400 )      (23,576 ) 
Seiko Epson Corp. (2)     (4,400 )      (76,390 ) 
Seven & i Holdings Co. Ltd. (2)     (600 )      (26,169 ) 
Shimadzu Corp. (2)     (7,400 )      (223,265 ) 
Shimano, Inc. (2)     (2,300 )      (337,513 ) 
Shiseido Co. Ltd. (2)     (2,600 )      (206,326 ) 
SMC Corp. (2)     (100 )      (36,609 ) 
SoftBank Group Corp. (2)     (21,500 )      (1,535,276 ) 
Sohgo Security Services Co. Ltd. (2)     (2,500 )      (117,619 ) 
Sompo Holdings, Inc. (2)     (900 )      (36,315 ) 
Sony Financial Holdings, Inc. (2)     (20,000 )      (381,062 ) 
Sosei Group Corp. (2)*     (3,600 )      (57,839 ) 
Stanley Electric Co. Ltd. (2)     (800 )      (27,240 ) 
SUMCO Corp. (2)     (43,800 )      (879,699 ) 
Sundrug Co. Ltd. (2)     (1,600 )      (64,818 ) 
Sysmex Corp. (2)     (3,600 )      (335,429 ) 
T&D Holdings, Inc. (2)     (15,700 )      (235,470 ) 
TDK Corp. (2)     (1,100 )      (112,005 ) 
Terumo Corp. (2)     (7,300 )      (417,910 ) 
THK Co. Ltd. (2)     (4,200 )      (119,917 ) 
Tokio Marine Holdings, Inc. (2)     (1,000 )      (46,783 ) 
Tokyo Century Corp. (2)     (400 )      (22,644 ) 
Tokyo Electron Ltd. (2)     (3,000 )      (514,960 ) 
TOTO Ltd. (2)     (8,700 )      (402,686 ) 
Trend Micro, Inc. (2)     (600 )      (34,156 ) 
Tsuruha Holdings, Inc. (2)     (2,200 )      (275,558 ) 
Unicharm Corp. (2)     (12,600 )      (378,809 ) 
USS Co. Ltd. (2)     (2,900 )      (55,136 ) 
Welcia Holdings Co. Ltd. (2)     (4,400 )      (233,950 ) 
Yakult Honsha Co. Ltd. (2)     (5,200 )      (347,677 ) 
Yamaha Corp. (2)     (2,500 )      (129,744 ) 
Yamato Holdings Co. Ltd. (2)     (15,900 )      (467,979 ) 
Yaskawa Electric Corp. (2)     (26,600 )      (936,722 ) 
Yokogawa Electric Corp. (2)     (14,500 )      (257,478 ) 
Yokohama Rubber Co. Ltd. (The) (2)     (1,300 )      (26,965 ) 
   

 

 

  
      (28,744,967 ) 
   

 

 

  
Luxembourg - (0.1)%            
Eurofins Scientific SE (2)     (481 )      (266,768 ) 
SES SA, FDR (2)     (2,435 )      (44,511 ) 
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Luxembourg - (0.1)% (continued)            
Tenaris SA (2)     (1,019 )    $ (18,597 ) 
   

 

 

  
      (329,876 ) 
   

 

 

  
Netherlands - (0.9)%            
ALTICE EUROPE NV (2)*     (81,615 )      (331,276 ) 
ASML Holding NV (2)     (303 )      (59,959 ) 
Boskalis Westminster (2)     (7,747 )      (225,124 ) 
Heineken NV (2)     (476 )      (47,690 ) 
Koninklijke KPN NV (2)     (421,778 )      (1,146,889 ) 
OCI NV (2)*     (817 )      (21,939 ) 
SBM Offshore NV (2)     (12,254 )      (190,002 ) 
   

 

 

  
      (2,022,879 ) 
   

 

 

  
Norway - (0.1)%            
Schibsted ASA, Class A (2)     (4,487 )      (136,065 ) 
Telenor ASA (2)     (1,609 )      (32,953 ) 
Yara International ASA (2)     (1,049 )      (43,399 ) 
   

 

 

  
      (212,417 ) 
   

 

 

  
Panama - (0.2)%            
Copa Holdings SA, Class A     (5,732 )      (542,362 ) 
   

 

 

  
Singapore - (0.2)%            
CapitaLand Ltd. (2)     (130,600 )      (302,274 ) 
City Developments Ltd. (2)     (18,800 )      (150,586 ) 
Jardine Cycle & Carriage Ltd. (2)     (3,300 )      (77,098 ) 
   

 

 

  
      (529,958 ) 
   

 

 

  
Spain - (1.3)%            
Bankia SA (2)     (73,451 )      (273,904 ) 
Cellnex Telecom SA (2)(c)     (14,933 )      (375,438 ) 
Distribuidora Internacional de Alimentacion SA (2)     (19,113 )      (55,522 ) 
Ferrovial SA (2)     (11,481 )      (234,931 ) 
Grifols SA (2)     (4,922 )      (147,526 ) 
Industria de Diseno Textil SA (2)     (45,316 )      (1,543,196 ) 
Melia Hotels International SA (2)     (1,941 )      (26,550 ) 
Obrascon Huarte Lain SA (2)     (7,424 )      (23,682 ) 
Telefonica SA (2)     (15,118 )      (128,313 ) 
   

 

 

  
      (2,809,062 ) 
   

 

 

  
Sweden - (0.7)%            
Getinge AB, Class B (2)     (2,051 )      (18,619 ) 
Hennes & Mauritz AB, Class B (2)     (21,702 )      (323,035 ) 
NCC AB, Class B (2)     (3,997 )      (66,276 ) 
Saab AB, Class B (2)     (3,770 )      (156,124 ) 
Svenska Handelsbanken AB, Class A (2)     (20,985 )      (232,418 ) 
Swedish Match AB (2)     (2,008 )      (99,239 ) 
Telefonaktiebolaget LM Ericsson, Class B (2)     (93,311 )      (718,887 ) 
   

 

 

  
      (1,614,598 ) 
   

 

 

  
Switzerland - (1.0)%            
Aryzta AG (2)*     (10,162 )      (152,003 ) 
Credit Suisse Group AG (Registered) (2)*     (55,846 )      (835,070 ) 
Dufry AG (Registered) (2)*     (1,776 )      (225,877 ) 
Glencore plc (2)*     (29,523 )      (140,169 ) 
Idorsia Ltd. (2)*     (6,929 )      (182,828 ) 
LafargeHolcim Ltd. (Registered) (2)*     (2,108 )      (102,496 ) 
INVESTMENTS   SHARES     VALUE  
Switzerland - (1.0)% (continued)            
OC Oerlikon Corp. AG (Registered) (2)*     (4,550 )    $ (69,318 ) 
STMicroelectronics NV (2)     (5,943 )      (131,835 ) 
UBS Group AG (Registered) (2)*     (7,807 )      (119,684 ) 
Vifor Pharma AG (2)     (1,865 )      (297,493 ) 
   

 

 

  
      (2,256,773 ) 
   

 

 

  
United Kingdom - (1.2)%            
AA plc (2)     (58,663 )      (95,980 ) 
Ashtead Group plc (2)     (1,288 )      (38,356 ) 
AstraZeneca plc (2)     (390 )      (26,975 ) 
British American Tobacco plc (2)     (8,505 )      (428,425 ) 
CNH Industrial NV (2)     (33,378 )      (352,588 ) 
Cobham plc (2)*     (35,564 )      (60,136 ) 
ConvaTec Group plc (2)(c)     (55,283 )      (154,337 ) 
easyJet plc (2)     (2,826 )      (62,172 ) 
Imperial Brands plc (2)     (756 )      (28,076 ) 
Inmarsat plc (2)     (3,914 )      (28,303 ) 
International Consolidated Airlines Group SA (2)     (6,672 )      (58,209 ) 
John Wood Group plc (2)     (4,750 )      (39,225 ) 
Micro Focus International plc (2)     (1,271 )      (22,054 ) 
Old Mutual Ltd. (2)*     (72,322 )      (142,978 ) 
Pentair plc     (634 )      (26,679 ) 
Provident Financial plc (2)*     (17,972 )      (141,798 ) 
Prudential plc (2)     (6,781 )      (154,582 ) 
Quilter plc (2)*(c)     (2,645 )      (5,058 ) 
Reckitt Benckiser Group plc (2)     (6,356 )      (522,239 ) 
Rolls-Royce Holdings plc (2)*     (1,702 )      (22,169 ) 
Rolls-Royce plc (Preference) (3)*(e)     (79,307 )      (105 ) 
Severn Trent plc (2)     (1,948 )      (50,792 ) 
Standard Chartered plc (2)     (2,048 )      (18,603 ) 
Subsea 7 SA (2)     (6,222 )      (98,912 ) 
Weir Group plc (The) (2)     (2,130 )      (55,939 ) 
   

 

 

  
      (2,634,690 ) 
   

 

 

  
United States - (55.4)%            
Acadia Healthcare Co., Inc. *     (9,625 )      (393,759 ) 
ACI Worldwide, Inc. *     (1,654 )      (40,804 ) 
Acuity Brands, Inc.     (994 )      (115,175 ) 
Acxiom Corp. *     (2,430 )      (72,779 ) 
Advanced Micro Devices, Inc. *     (130,227 )      (1,952,102 ) 
Agios Pharmaceuticals, Inc. *     (5,241 )      (441,449 ) 
Akorn, Inc. *     (33,295 )      (552,364 ) 
Alaska Air Group, Inc.     (10,758 )      (649,676 ) 
Albemarle Corp.     (10,524 )      (992,729 ) 
Alkermes plc *     (9,679 )      (398,388 ) 
Allegheny Technologies, Inc. *     (6,631 )      (166,571 ) 
Allegion plc     (515 )      (39,840 ) 
Allergan plc     (2,414 )      (402,462 ) 
Alliance Data Systems Corp.     (405 )      (94,446 ) 
Allscripts Healthcare Solutions, Inc. *     (31,466 )      (377,592 ) 
Alnylam Pharmaceuticals, Inc. *     (12,133 )      (1,194,979 ) 
Altria Group, Inc.     (5,992 )      (340,286 ) 
American Airlines Group, Inc.     (46,304 )      (1,757,699 ) 
American International Group, Inc.     (16,840 )      (892,857 ) 
AmerisourceBergen Corp.     (6,824 )      (581,882 ) 
Anadarko Petroleum Corp.     (2,414 )      (176,826 ) 
AO Smith Corp.     (5,184 )      (306,634 ) 
Aon plc     (169 )      (23,182 ) 
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - (55.4)% (continued)            
Apache Corp.     (3,150 )    $ (147,263 ) 
Aqua America, Inc.     (3,265 )      (114,863 ) 
Arconic, Inc.     (21,556 )      (366,668 ) 
Arista Networks, Inc. *     (1,860 )      (478,931 ) 
Ashland Global Holdings, Inc.     (3,504 )      (273,943 ) 
Aspen Insurance Holdings Ltd.     (18,043 )      (734,350 ) 
Atlassian Corp. plc, Class A *     (6,370 )      (398,252 ) 
Autodesk, Inc. *     (3,853 )      (505,090 ) 
Avis Budget Group, Inc. *     (3,234 )      (105,105 ) 
Axalta Coating Systems Ltd. *     (19,079 )      (578,284 ) 
Axis Capital Holdings Ltd.     (7,531 )      (418,874 ) 
Baker Hughes a GE Co.     (17,870 )      (590,246 ) 
Ball Corp.     (18,471 )      (656,644 ) 
BancorpSouth Bank     (832 )      (27,414 ) 
Bank of the Ozarks     (7,391 )      (332,891 ) 
Belden, Inc.     (2,606 )      (159,279 ) 
Bemis Co., Inc.     (1,106 )      (46,684 ) 
Berry Global Group, Inc. *     (2,524 )      (115,953 ) 
BGC Partners, Inc., Class A     (15,944 )      (180,486 ) 
BioMarin Pharmaceutical, Inc. *     (10,999 )      (1,036,106 ) 
Black Hills Corp.     (3,891 )      (238,168 ) 
Black Knight, Inc. *     (376 )      (20,135 ) 
BorgWarner, Inc.     (494 )      (21,321 ) 
Brighthouse Financial, Inc. *     (13,114 )      (525,478 ) 
Brink’s Co. (The)     (3,170 )      (252,808 ) 
Brookdale Senior Living, Inc. *     (65,942 )      (599,413 ) 
Cable One, Inc.     (44 )      (32,265 ) 
Cabot Oil & Gas Corp.     (26,016 )      (619,181 ) 
Campbell Soup Co.     (5,889 )      (238,740 ) 
CarMax, Inc. *     (1,182 )      (86,132 ) 
Carpenter Technology Corp.     (2,189 )      (115,076 ) 
Catalent, Inc. *     (492 )      (20,610 ) 
Cathay General Bancorp     (512 )      (20,731 ) 
Cboe Global Markets, Inc.     (7,024 )      (730,988 ) 
Centennial Resource Development, Inc., Class A *     (9,889 )      (178,595 ) 
CenterPoint Energy, Inc.     (7,105 )      (196,880 ) 
CenturyLink, Inc.     (58,381 )      (1,088,222 ) 
CF Industries Holdings, Inc.     (10,844 )      (481,474 ) 
Charles Schwab Corp. (The)     (2,422 )      (123,764 ) 
Charter Communications, Inc., Class A *     (5,824 )      (1,707,654 ) 
Chemical Financial Corp.     (4,557 )      (253,688 ) 
Chemours Co. (The)     (3,654 )      (162,091 ) 
Cheniere Energy, Inc. *     (11,382 )      (741,993 ) 
Chevron Corp.     (548 )      (69,284 ) 
Cincinnati Financial Corp.     (744 )      (49,744 ) 
CIT Group, Inc.     (937 )      (47,234 ) 
Citigroup, Inc.     (13,636 )      (912,521 ) 
Citizens Financial Group, Inc.     (13,741 )      (534,525 ) 
Clean Harbors, Inc. *     (3,476 )      (193,092 ) 
Coca-Cola Co. (The)     (10,558 )      (463,074 ) 
Cognex Corp.     (10,567 )      (471,394 ) 
Colfax Corp. *     (11,083 )      (339,694 ) 
Colgate-Palmolive Co.     (3,717 )      (240,899 ) 
Comerica, Inc.     (288 )      (26,185 ) 
Commercial Metals Co.     (2,127 )      (44,901 ) 
CommScope Holding Co., Inc. *     (3,905 )      (114,046 ) 
CommVault Systems, Inc. *     (1,832 )      (120,637 ) 
INVESTMENTS   SHARES     VALUE  
United States - (55.4)% (continued)            
Compass Minerals International, Inc.     (601 )    $ (39,516 ) 
Concho Resources, Inc. *     (3,240 )      (448,254 ) 
Corning, Inc.     (999 )      (27,482 ) 
CoStar Group, Inc. *     (122 )      (50,341 ) 
Coty, Inc., Class A     (5,079 )      (71,614 ) 
Cree, Inc. *     (4,570 )      (189,975 ) 
Crown Holdings, Inc. *     (28,667 )      (1,283,135 ) 
Cullen/Frost Bankers, Inc.     (1,465 )      (158,572 ) 
Cypress Semiconductor Corp.     (19,189 )      (298,965 ) 
DaVita, Inc. *     (3,021 )      (209,778 ) 
Dell Technologies, Inc., Class V *     (795 )      (67,241 ) 
Delta Air Lines, Inc.     (12,245 )      (606,617 ) 
DENTSPLY SIRONA, Inc.     (10,861 )      (475,386 ) 
Devon Energy Corp.     (6,065 )      (266,617 ) 
Discovery, Inc., Class A *     (4,839 )      (133,073 ) 
DISH Network Corp., Class A *     (8,092 )      (271,972 ) 
Dollar Tree, Inc. *     (6,305 )      (535,925 ) 
Dominion Energy, Inc.     (15,105 )      (1,029,859 ) 
Domtar Corp.     (4,810 )      (229,629 ) 
Dover Corp.     (2,825 )      (206,790 ) 
DowDuPont, Inc.     (6,188 )      (407,913 ) 
Dril-Quip, Inc. *     (3,716 )      (191,002 ) 
Dycom Industries, Inc. *     (1,782 )      (168,417 ) 
Eagle Materials, Inc.     (359 )      (37,684 ) 
Edgewell Personal Care Co. *     (931 )      (46,978 ) 
Endo International plc *     (19,844 )      (187,129 ) 
Energizer Holdings, Inc.     (1,016 )      (63,967 ) 
Ensco plc, Class A     (17,550 )      (127,413 ) 
Entergy Corp.     (1,231 )      (99,452 ) 
EQT Corp.     (20,829 )      (1,149,344 ) 
Evergy, Inc.     (1,213 )      (68,110 ) 
Eversource Energy     (1,724 )      (101,044 ) 
Extraction Oil & Gas, Inc. *     (30,089 )      (442,007 ) 
Exxon Mobil Corp.     (4,546 )      (376,091 ) 
Fastenal Co.     (5,363 )      (258,121 ) 
FireEye, Inc. *     (69,914 )      (1,075,976 ) 
First Data Corp., Class A *     (7,477 )      (156,494 ) 
First Hawaiian, Inc.     (2,112 )      (61,290 ) 
First Horizon National Corp.     (22,501 )      (401,418 ) 
First Republic Bank     (241 )      (23,326 ) 
FirstEnergy Corp.     (46,047 )      (1,653,547 ) 
Five Below, Inc. *     (2,005 )      (195,909 ) 
Floor & Decor Holdings, Inc., Class A *     (9,567 )      (471,940 ) 
Flowserve Corp.     (16,776 )      (677,750 ) 
Fluor Corp.     (8,746 )      (426,630 ) 
FMC Corp.     (5,000 )      (446,050 ) 
FNB Corp.     (31,734 )      (425,870 ) 
Freeport-McMoRan, Inc.     (29,981 )      (517,472 ) 
Fulton Financial Corp.     (3,089 )      (50,969 ) 
Gardner Denver Holdings, Inc. *     (3,148 )      (92,520 ) 
Gartner, Inc. *     (5,798 )      (770,554 ) 
GCI Liberty, Inc., Class A *     (7,071 )      (318,761 ) 
General Electric Co.     (98,640 )      (1,342,490 ) 
Genesee & Wyoming, Inc., Class A *     (3,682 )      (299,420 ) 
Genuine Parts Co.     (3,357 )      (308,139 ) 
Global Payments, Inc.     (5,024 )      (560,126 ) 
Granite Construction, Inc.     (2,314 )      (128,797 ) 
Graphic Packaging Holding Co.     (58,877 )      (854,305 ) 
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - (55.4)% (continued)            
Hain Celestial Group, Inc. (The) *     (28,410 )    $ (846,618 ) 
Halliburton Co.     (570 )      (25,684 ) 
Hancock Whitney Corp.     (3,611 )      (168,453 ) 
Harley-Davidson, Inc.     (8,908 )      (374,849 ) 
Healthcare Services Group, Inc.     (11,099 )      (479,366 ) 
Hershey Co. (The)     (1,077 )      (100,226 ) 
Home BancShares, Inc.     (9,849 )      (222,193 ) 
Home Depot, Inc. (The)     (377 )      (73,553 ) 
Howard Hughes Corp. (The) *     (3,595 )      (476,338 ) 
Huntington Bancshares, Inc.     (20,561 )      (303,480 ) 
IHS Markit Ltd. *     (4,622 )      (238,449 ) 
Incyte Corp. *     (11,789 )      (789,863 ) 
International Game Technology plc     (52,670 )      (1,224,051 ) 
International Paper Co.     (3,130 )      (163,010 ) 
Ionis Pharmaceuticals, Inc. *     (15,364 )      (640,218 ) 
Jack in the Box, Inc.     (388 )      (33,027 ) 
Jefferies Financial Services, Inc.     (13,752 )      (312,720 ) 
Kansas City Southern     (630 )      (66,755 ) 
KBR, Inc.     (1,367 )      (24,497 ) 
Kellogg Co.     (706 )      (49,328 ) 
Kemper Corp.     (1,112 )      (84,123 ) 
Kennametal, Inc.     (6,541 )      (234,822 ) 
KeyCorp     (20,979 )      (409,930 ) 
Kinder Morgan, Inc.     (91,881 )      (1,623,536 ) 
Kraft Heinz Co. (The)     (23,584 )      (1,481,547 ) 
L Brands, Inc.     (15,939 )      (587,830 ) 
Lancaster Colony Corp.     (208 )      (28,791 ) 
Leggett & Platt, Inc.     (1,959 )      (87,450 ) 
Lennox International, Inc.     (1,434 )      (287,015 ) 
Liberty Broadband Corp., Class C *     (10,415 )      (788,624 ) 
Liberty Expedia Holdings, Inc., Class A *     (3,998 )      (175,672 ) 
Liberty Media Corp.-Liberty SiriusXM, Class C *     (764 )      (34,655 ) 
Lincoln Electric Holdings, Inc.     (1,303 )      (114,351 ) 
Lions Gate Entertainment Corp., Class A     (12,683 )      (314,792 ) 
Live Nation Entertainment, Inc. *     (6,531 )      (317,211 ) 
LKQ Corp. *     (17,007 )      (542,523 ) 
Loews Corp.     (3,692 )      (178,250 ) 
Lowe’s Cos., Inc.     (2,619 )      (250,298 ) 
M&T Bank Corp.     (112 )      (19,057 ) 
Macquarie Infrastructure Corp.     (26,069 )      (1,100,112 ) 
Madison Square Garden Co. (The), Class A *     (535 )      (165,952 ) 
Marathon Oil Corp.     (8,343 )      (174,035 ) 
Markel Corp. *     (23 )      (24,940 ) 
Martin Marietta Materials, Inc.     (6,281 )      (1,402,736 ) 
Masco Corp.     (2,568 )      (96,095 ) 
Matador Resources Co. *     (7,540 )      (226,577 ) 
Mattel, Inc.     (70,629 )      (1,159,728 ) 
MB Financial, Inc.     (254 )      (11,862 ) 
McCormick & Co., Inc. (Non-Voting)     (409 )      (47,481 ) 
MDU Resources Group, Inc.     (11,928 )      (342,095 ) 
Medidata Solutions, Inc. *     (7,482 )      (602,750 ) 
Mercury General Corp.     (4,102 )      (186,887 ) 
MetLife, Inc.     (3,218 )      (140,305 ) 
Middleby Corp. (The) *     (1,804 )      (188,374 ) 
Minerals Technologies, Inc.     (314 )      (23,660 ) 
INVESTMENTS   SHARES     VALUE  
United States - (55.4)% (continued)            
Mohawk Industries, Inc. *     (92 )    $ (19,713 ) 
Mondelez International, Inc., Class A     (3,928 )      (161,048 ) 
Monster Beverage Corp. *     (23,825 )      (1,365,173 ) 
Mosaic Co. (The)     (16,242 )      (455,588 ) 
MSA Safety, Inc.     (365 )      (35,164 ) 
Murphy Oil Corp.     (3,245 )      (109,584 ) 
Nabors Industries Ltd.     (247,561 )      (1,586,866 ) 
National Fuel Gas Co.     (5,380 )      (284,925 ) 
National Oilwell Varco, Inc.     (1,489 )      (64,623 ) 
NCR Corp. *     (1,145 )      (34,327 ) 
Nektar Therapeutics *     (19,704 )      (962,146 ) 
NetScout Systems, Inc. *     (1,566 )      (46,510 ) 
Neurocrine Biosciences, Inc. *     (3,463 )      (340,205 ) 
Newell Brands, Inc.     (26,907 )      (693,932 ) 
Newfield Exploration Co. *     (2,323 )      (70,271 ) 
Newmont Mining Corp.     (10,770 )      (406,137 ) 
News Corp., Class A     (12,882 )      (199,671 ) 
NiSource, Inc.     (9,290 )      (244,141 ) 
Noble Energy, Inc.     (13,975 )      (493,038 ) 
Nordstrom, Inc.     (2,420 )      (125,308 ) 
NOW, Inc. *     (12,644 )      (168,545 ) 
Nuance Communications, Inc. *     (5,518 )      (76,617 ) 
Nucor Corp.     (3,329 )      (208,063 ) 
NuVasive, Inc. *     (716 )      (37,318 ) 
Oasis Petroleum, Inc. *     (8,091 )      (104,940 ) 
Olin Corp.     (1,337 )      (38,399 ) 
ONEOK, Inc.     (10,570 )      (738,103 ) 
OPKO Health, Inc. *     (5,125 )      (24,088 ) 
O’Reilly Automotive, Inc. *     (76 )      (20,791 ) 
Packaging Corp. of America     (688 )      (76,912 ) 
PacWest Bancorp     (4,034 )      (199,360 ) 
Palo Alto Networks, Inc. *     (758 )      (155,746 ) 
Pandora Media, Inc. *     (17,915 )      (141,170 ) 
Papa John’s International, Inc.     (383 )      (19,426 ) 
Parsley Energy, Inc., Class A *     (8,087 )      (244,874 ) 
Patterson Cos., Inc.     (1,008 )      (22,851 ) 
Paychex, Inc.     (307 )      (20,983 ) 
People’s United Financial, Inc.     (2,067 )      (37,392 ) 
Perrigo Co. plc     (494 )      (36,018 ) 
Philip Morris International, Inc.     (21,422 )      (1,729,611 ) 
Pinnacle Financial Partners, Inc.     (2,416 )      (148,222 ) 
Pinnacle Foods, Inc.     (833 )      (54,195 ) 
Pitney Bowes, Inc.     (3,418 )      (29,292 ) 
Platform Specialty Products Corp. *     (18,876 )      (218,962 ) 
Pool Corp.     (1,510 )      (228,765 ) 
Post Holdings, Inc. *     (3,086 )      (265,458 ) 
PPL Corp.     (1,596 )      (45,566 ) 
Premier, Inc., Class A *     (14,983 )      (545,082 ) 
ProAssurance Corp.     (7,955 )      (282,005 ) 
Prosperity Bancshares, Inc.     (4,013 )      (274,329 ) 
QEP Resources, Inc. *     (11,110 )      (136,209 ) 
QIAGEN NV (2)*     (6,405 )      (232,176 ) 
QUALCOMM, Inc.     (6,032 )      (338,516 ) 
Regions Financial Corp.     (8,590 )      (152,730 ) 
RenaissanceRe Holdings Ltd.     (503 )      (60,521 ) 
Rockwell Automation, Inc.     (519 )      (86,273 ) 
Rowan Cos. plc, Class A *     (22,949 )      (372,233 ) 
Royal Gold, Inc.     (7,523 )      (698,435 ) 
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - (55.4)% (continued)            
RPM International, Inc.     (805 )    $ (46,948 ) 
Schlumberger Ltd.     (13,195 )      (884,461 ) 
Scientific Games Corp. *     (5,647 )      (277,550 ) 
Sealed Air Corp.     (22,801 )      (967,902 ) 
Seattle Genetics, Inc. *     (15,078 )      (1,001,028 ) 
Sempra Energy     (12,204 )      (1,417,006 ) 
ServiceNow, Inc. *     (4,137 )      (713,508 ) 
Sherwin-Williams Co. (The)     (159 )      (64,804 ) 
Signature Bank *     (882 )      (112,790 ) 
Six Flags Entertainment Corp.     (880 )      (61,644 ) 
SLM Corp. *     (8,192 )      (93,798 ) 
Sotheby’s *     (4,780 )      (259,745 ) 
Southern Co. (The)     (3,176 )      (147,081 ) 
Southwest Airlines Co.     (32,611 )      (1,659,247 ) 
Southwest Gas Holdings, Inc.     (4,112 )      (313,622 ) 
Spirit Airlines, Inc. *     (20,051 )      (728,854 ) 
Splunk, Inc. *     (3,415 )      (338,461 ) 
Square, Inc., Class A *     (21,080 )      (1,299,371 ) 
Stericycle, Inc. *     (3,324 )      (217,024 ) 
Sterling Bancorp     (13,376 )      (314,336 ) 
Superior Energy Services, Inc. *     (28,328 )      (275,915 ) 
Syneos Health, Inc. *     (20,077 )      (941,611 ) 
Synovus Financial Corp.     (847 )      (44,747 ) 
Tableau Software, Inc., Class A *     (2,187 )      (213,779 ) 
Take-Two Interactive Software, Inc. *     (592 )      (70,069 ) 
Targa Resources Corp.     (45,387 )      (2,246,202 ) 
TCF Financial Corp.     (3,809 )      (93,778 ) 
Telephone & Data Systems, Inc.     (5,945 )      (163,012 ) 
Tempur Sealy International, Inc. *     (10,766 )      (517,306 ) 
Teradata Corp. *     (1,719 )      (69,018 ) 
Terex Corp.     (976 )      (41,177 ) 
Tesla, Inc. *     (8,654 )      (2,967,888 ) 
Texas Capital Bancshares, Inc. *     (2,467 )      (225,731 ) 
Thor Industries, Inc.     (979 )      (95,345 ) 
T-Mobile US, Inc. *     (3,828 )      (228,723 ) 
Transocean Ltd. *     (15,161 )      (203,764 ) 
TreeHouse Foods, Inc. *     (10,941 )      (574,512 ) 
Trimble, Inc. *     (2,572 )      (84,464 ) 
Trinity Industries, Inc.     (658 )      (22,543 ) 
Trustmark Corp.     (2,256 )      (73,613 ) 
Tupperware Brands Corp.     (5,005 )      (206,406 ) 
Twitter, Inc. *     (430 )      (18,778 ) 
Ulta Beauty, Inc. *     (2,237 )      (522,250 ) 
Under Armour, Inc., Class A *     (29,544 )      (664,149 ) 
United Bankshares, Inc.     (14,325 )      (521,430 ) 
United Continental Holdings, Inc. *     (4,704 )      (328,010 ) 
Univar, Inc. *     (15,324 )      (402,102 ) 
Universal Display Corp.     (7,510 )      (645,860 ) 
Valley National Bancorp     (10,253 )      (124,676 ) 
Valmont Industries, Inc.     (271 )      (40,853 ) 
Valvoline, Inc.     (13,349 )      (287,938 ) 
Veeva Systems, Inc., Class A *     (11,406 )      (876,665 ) 
ViaSat, Inc. *     (2,661 )      (174,881 ) 
Voya Financial, Inc.     (424 )      (19,928 ) 
Vulcan Materials Co.     (10,464 )      (1,350,484 ) 
Waste Connections, Inc.     (671 )      (50,513 ) 
Wayfair, Inc., Class A *     (1,519 )      (180,396 ) 
Weatherford International plc *     (87,061 )      (286,431 ) 
INVESTMENTS   SHARES     VALUE  
United States - (55.4)% (continued)            
Webster Financial Corp.     (1,838 )    $ (117,081 ) 
Welbilt, Inc. *     (7,124 )      (158,936 ) 
Wells Fargo & Co.     (353 )      (19,570 ) 
Wendy’s Co. (The)     (8,048 )      (138,265 ) 
WestRock Co.     (1,854 )      (105,715 ) 
WEX, Inc. *     (100 )      (19,048 ) 
Williams Cos., Inc. (The)     (42,715 )      (1,158,004 ) 
Willis Towers Watson plc     (2,448 )      (371,117 ) 
Workday, Inc., Class A *     (9,119 )      (1,104,493 ) 
World Fuel Services Corp.     (11,816 )      (241,165 ) 
Worldpay, Inc. *     (1,847 )      (151,048 ) 
WPX Energy, Inc. *     (31,593 )      (569,622 ) 
WR Grace & Co.     (4,209 )      (308,562 ) 
Zayo Group Holdings, Inc. *     (44,311 )      (1,616,464 ) 
Zions Bancorp     (4,032 )      (212,446 ) 
Zynga, Inc., Class A *     (13,534 )      (55,083 ) 
   

 

 

  
      (122,055,646 ) 
   

 

 

  
Zambia - (0.3)%            
First Quantum Minerals Ltd.     (42,250 )      (622,510 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(190,658,442))

       (187,008,182 ) 
   

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(190,658,442))

       (187,008,182 ) 
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.1%
(Cost $194,135,055)

       200,506,729  
   

 

 

  
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.9% (f)       19,727,984  
   

 

 

  

NET ASSETS - 100.0%

     $ 220,234,713  
   

 

 

  

 

SECTOR   VALUE     % OF NET
ASSETS		  
Consumer Discretionary   $ 14,084,186       6.4 % 
Consumer Staples     22,357       0.0 (b) 
Energy     (5,327,657 )      (2.4 )
Financials     5,519,537       2.5
Health Care     5,230,876       2.4
Industrials     2,196,429       1.0
Information Technology     16,401,447       7.4
Materials     (7,555,344 )      (3.4 )
Real Estate     (929,198 )      (0.4 )
Telecommunication Services     (7,356,876 )      (3.3 )
Utilities     9,589,045       4.3
Short-Term Investments     168,631,927       76.6  
 

 

 

    

 

 

  

Total Investments In Securities At Value

     200,506,729       91.1  
Other Assets in Excess of Liabilities (f)     19,727,984       8.9  
 

 

 

    

 

 

  

Net Assets

   $ 220,234,713       100.0 % 
 

 

 

    

 

 

  

 

*

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 $139,245,763. In addition, $9,861,136 of cash collateral was pledged.

 

 

  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   

 

(b)

Represents less than 0.05% of net assets.

(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 $743,897, which represents approximately 0.34% of net assets of the fund.

(d)

Represents 7-day effective yield as of June 30, 2018.

(e)

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 $(105), which represents approximately (0.00)% of net assets of the fund.

(f)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap and written option 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).

Abbreviations

CHESS - Clearing House Electronic Subregister System Depository Interest

OYJ - Public Traded Company

Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.

SCA - Limited partnership with share capital

SDR - Swedish Depositary Receipt

 

 

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   

 

INVESTMENTS   SHARES         
VALUE		  
LONG POSITIONS - 120.6%            
COMMON STOCKS - 36.7%            
Aerospace & Defense - 0.0% (a)            
KLX, Inc. *     2,968     $ 213,399  
   

 

 

  
Automobiles - 0.0% (a)            
Tesla, Inc. *     127       43,555  
   

 

 

  
Banks - 0.6%            
CoBiz Financial, Inc.     7,346       157,792  
First Connecticut Bancorp, Inc.     13,147       402,298  
Guaranty Bancorp     5,078       151,324  
MB Financial, Inc.     10,161       474,519  
Patriot National Bancorp, Inc.     32,947       675,414  
State Bank Financial Corp.     23,367       780,458  
   

 

 

  
      2,641,805  
   

 

 

  
Biotechnology - 0.4%            
Eidos Therapeutics, Inc. *     1,000       20,340  
Foundation Medicine, Inc. *     7,341       1,003,514  
Kiniksa Pharmaceuticals Ltd., Class A *     1,000       17,350  
MeiraGTx Holdings plc *     1,000       11,460  
Shire plc, ADR     3,976       671,149  
Surface Oncology, Inc. *     2,600       42,406  
Translate Bio, Inc. *     1,000       12,650  
   

 

 

  
      1,778,869  
   

 

 

  
Building Products - 0.3%            
USG Corp. *     28,674       1,236,423  
   

 

 

  
Capital Markets - 26.3%            
Alignvest Acquisition II Corp., Class A (Canada) *     350,000       2,595,748  
Big Rock Partners Acquisition Corp. (2) *     200,000       1,978,000  
Bison Capital Acquisition Corp. (China) *     150,000       1,503,000  
Black Ridge Acquisition Corp. (2)*     210,000       2,051,700  
Cannabis Strategies Acquisition Corp., Class A (Canada) *     250,000       1,892,139  
CM Seven Star Acquisition Corp. (Hong Kong) *     250,000       2,462,500  
Constellation Alpha Capital Corp. (2)*     349,500       3,477,525  
DFB Healthcare Acquisitions Corp. *(b)     399,999       3,859,990  
Draper Oakwood Technology Acquisition, Inc., Class A (2)*(b)     150,000       1,497,000  
Far Point Acquisition Corp. *     2       20  
Far Point Acquisition Corp., Class A *     199,998       1,949,981  
Financial Engines, Inc.     12,933       580,692  
FinTech Acquisition Corp. II *     150,000       1,507,500  
GigCapital, Inc. *     275,000       2,711,500  
Gordon Pointe Acquisition Corp. (2)*     122,980       1,195,366  
Gordon Pointe Acquisition Corp. (2)*     122,980       1,264,234  
GS Acquisition Holdings Corp. (2)*     300,000       3,060,000  
Haymaker Acquisition Corp., Class A *     399,960       3,927,607  
Hennessy Capital Acquisition Corp. III *     400,000       4,056,000  
HL Acquisitions Corp. *     54,000       542,700  
I-AM Capital Acquisition Co. *     225,000       2,274,750  
Industrea Acquisition Corp., Class A (2)*     400,000       3,944,000  
Jensyn Acquisition Corp. (2)*     69,000       728,640  
Kayne Anderson Acquisition Corp., Class A (2)*     250,000       2,452,500  
INVESTMENTS   SHARES         
VALUE		  
Capital Markets - 26.3% (continued)            
Legacy Acquisition Corp., Class A *     500,000     $ 4,810,000  
Leisure Acquisition Corp. (2)*     450,000       4,347,000  
Leo Holdings Corp., Class A (United Kingdom) (2)*     500,000       4,825,000  
LF Capital Acquisition Corp. *     240,000       2,416,800  
Modern Media Acquisition Corp. *(c)     595,031       5,932,459  
MTech Acquisition Corp. *     125,000       1,220,000  
Mudrick Capital Acquisition Corp., Class A (2)*     500,000       4,810,000  
Nebula Acquisition Corp., Class A (2)*     139,998       1,341,181  
New Frontier Corp. (Hong Kong) *     200,000       2,010,000  
One Madison Corp., Class A (2)*     250,000       2,422,500  
Opes Acquisition Corp. (Mexico) (2)*     250,000       2,427,500  
Pensare Acquisition Corp. *     250,000       2,477,500  
Platinum Eagle Acquisition Corp. (2)*     159,999       1,555,190  
PROMECAP Acquisition Co. SAB de CV (Mexico) (3)*(d)     400,000       3,786,458  
Pure Acquisition Corp.*     345,000       3,325,800  
Regalwood Global Energy Ltd., Class A *     150,001       1,464,010  
Sentinel Energy Services, Inc., Class A (2)*     133,320       1,301,203  
Stellar Acquisition III, Inc. (Greece) (2)*(c)     198,700       2,062,506  
Thunder Bridge Acquisition Ltd. *     360,000       3,614,400  
Tiberius Acquisition Corp. (2)*     235,000       2,246,600  
Trinity Merger Corp., Class A (2)*     500,000       4,880,000  
Twelve Seas Investment Co. (United Kingdom) *     240,000       2,414,400  
Union Acquisition Corp. (2)*     250,000       2,407,500  
VectoIQ Acquisition Corp. (2)*     360,000       3,434,400  
   

 

 

  
      123,045,499  
   

 

 

  
Commercial Services & Supplies - 0.0% (a)        
BrightView Holdings, Inc. *     1,000       21,950  
   

 

 

  
Communications Equipment - 0.3%            
Mitel Networks Corp. *     109,349       1,199,558  
   

 

 

  
Diversified Consumer Services - 0.0% (a)        
Education Management Corp. (2)*(b)(c)     8,615,228       25,846  
   

 

 

  
Diversified Financial Services - 0.5%            
PNBK Holdings LLC, Class A (3)*(d)     2,090,900       1,692,541  
PNBK Holdings LLC, Class B (3)*(d)     3,218       —  
Rescap Liquidating Trust *     125,811       786,319  
   

 

 

  
          2,478,860  
   

 

 

  
Diversified Telecommunication Services - 0.5%        
AT&T, Inc.     69,601       2,234,888  
   

 

 

  
Electrical Equipment - 0.1%            
nVent Electric plc (United Kingdom) *     24,677       619,393  
   

 

 

  
Energy Equipment & Services - 0.3%            
Apergy Corp. *     17,544       732,462  
Oil States International, Inc. *(b)     24,725       793,672  
   

 

 

  
          1,526,134  
   

 

 

  
 

 

  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   

 

INVESTMENTS   SHARES         
VALUE		  
Equity Real Estate Investment Trusts (REITs) - 1.0%        
CorePoint Lodging, Inc. *     12,125     $ 314,037  
DCT Industrial Trust, Inc.     4,330       288,941  
Education Realty Trust, Inc.     20,300       842,450  
Gramercy Property Trust     25,665       701,168  
JBG SMITH Properties     13,274       484,103  
LaSalle Hotel Properties     15,030       514,477  
Park Hotels & Resorts, Inc.     15,579       477,185  
Quality Care Properties, Inc.     35,598       765,713  
Spirit MTA REIT *     9,900       101,970  
   

 

 

  
          4,490,044  
   

 

 

  
Food Products - 0.4%            
Pinnacle Foods, Inc.     26,294       1,710,688  
   

 

 

  
Health Care Equipment & Supplies - 0.0% (a)        
Abaxis, Inc.     2,329       193,330  
China Medical Technologies, Inc., ADR (China) (3)*(d)     4,931       —  
   

 

 

  
          193,330  
   

 

 

  
Health Care Providers & Services - 0.8%        
Envision Healthcare Corp. *     51,417       2,262,862  
Kindred Healthcare, Inc. *     136,743       1,230,687  
Rotech Healthcare, Inc. (3)*(d)     16,828       —  
   

 

 

  
          3,493,549  
   

 

 

  
Health Care Technology - 0.3%            
athenahealth, Inc. *     2,396       381,300  
Cotiviti Holdings, Inc. *     17,486       771,657  
   

 

 

  
          1,152,957  
   

 

 

  
Hotels, Restaurants & Leisure - 0.3%        
ILG, Inc.     20,814       687,487  
Panera Bread Co., Class A (3)*(d)     10,533       110,424  
Wyndham Hotels & Resorts, Inc.     11,027       648,718  
Yum China Holdings, Inc. (China) (b)     3,948       151,840  
   

 

 

  
          1,598,469  
   

 

 

  
Household Durables - 0.0% (a)            
GoPro, Inc., Class A *(b)     10,956       70,557  
   

 

 

  
Internet & Direct Marketing Retail - 0.2%        
Booking Holdings, Inc. *(b)     291       589,883  
Expedia Group, Inc. (b)     1,764       212,015  
   

 

 

  
          801,898  
   

 

 

  
Internet Software & Services - 0.5%        
Akamai Technologies, Inc. *(b)     7,425       543,733  
DocuSign, Inc. *(b)     2,000       105,900  
FriendFinder Networks, Inc. (3)*(d)     6,483       1,823  
Okta, Inc. *(b)     12,935       651,536  
Q2 Holdings, Inc. *(b)     16,547       944,006  
Web.com Group, Inc. *     4,526       116,997  
Zillow Group, Inc., Class C *     793       46,835  
   

 

 

  
          2,410,830  
   

 

 

  
IT Services - 0.2%            
Adyen NV (Netherlands) (2)*(e)     1,000       550,910  
Black Knight, Inc. *     4,415       236,423  
INVESTMENTS   SHARES         
VALUE		  
IT Services - 0.2% (continued)            
Convergys Corp.     6,217     $ 151,943  
Evo Payments, Inc., Class A *(b)     5,000       102,900  
GreenSky, Inc., Class A *     5,000       105,750  
   

 

 

  
          1,147,926  
   

 

 

  
Life Sciences Tools & Services - 0.0% (a)        
Illumina, Inc. *(b)     265       74,012  
   

 

 

  
Machinery - 0.1%        
Fortive Corp. (b)     3,790       292,247  
Pentair plc (United Kingdom)     6,302       265,188  
   

 

 

  
          557,435  
   

 

 

  
Media - 0.0% (a)            
China Networks International Holdings Ltd. (3)*(d)     2,287,278       10,499  
Discovery, Inc., Class C *     1,024       26,112  
   

 

 

  
          36,611  
   

 

 

  
Metals & Mining - 0.1%            
Arizona Mining, Inc. (Canada) *     66,473       311,470  
   

 

 

  
Mortgage Real Estate Investment Trusts (REITs) - 0.2%  
CYS Investments, Inc.     51,697       387,727  
MTGE Investment Corp.     12,103       237,219  
Starwood Property Trust, Inc. (b)     3,850       83,584  
   

 

 

  
          708,530  
   

 

 

  
Multiline Retail - 0.1%            
BJ’s Wholesale Club Holdings, Inc. *     10,000       236,500  
   

 

 

  
Multi-Utilities - 0.4%        
Vectren Corp.     26,716       1,908,858  
   

 

 

  
Oil, Gas & Consumable Fuels - 1.0%        
Amyris, Inc. *(b)     41,195       263,236  
Andeavor     21,237       2,785,869  
Quicksilver Resources, Inc. (3)*(d)     14,730       197,925  
Raging River Exploration, Inc. (Canada) *     10,480       45,439  
Vermilion Energy, Inc. (Canada)     38,241       1,379,079  
   

 

 

  
          4,671,548  
   

 

 

  
Pharmaceuticals - 0.0% (a)            
Tricida, Inc.*     1,000       29,900  
   

 

 

  
Road & Rail - 0.0%        
Jack Cooper Holdings Corp. (Non-Voting), Class B (3)*(d)     2,223       —  
   

 

 

  
Semiconductors & Semiconductor Equipment - 0.5%  
NXP Semiconductors NV (Netherlands) *     16,048       1,753,565  
Xcerra Corp. *     26,696       372,943  
   

 

 

  
          2,126,508  
   

 

 

  
Software - 1.1%            
Avalara, Inc. *     1,000       53,370  
Carbon Black, Inc. *     2,000       52,000  
Ceridian HCM Holding, Inc. *(b)     1,000       33,190  
Domo, Inc., Class B *     5,000       136,500  
 

 

  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   

 

INVESTMENTS   SHARES         
VALUE		  
Software - 1.1% (continued)            
Guidewire Software, Inc. *(b)     2,077     $ 184,396  
Micro Focus International plc, ADR (United Kingdom)     37,665       650,475  
Pivotal Software, Inc., Class A *     5,000       121,350  
Proofpoint, Inc. *(b)     29,092       3,354,598  
Smartsheet, Inc., Class A *     5,000       129,850  
Zendesk, Inc. *(b)     6,754       368,025  
Zuora, Inc., Class A*     2,000       54,400  
   

 

 

  
          5,138,154  
   

 

 

  
Specialty Retail - 0.1%            
Rent-A-Center, Inc. *     33,764       497,006  
Vivo Energy plc (Morocco) (2)*(e)     25,000       48,857  
   

 

 

  
          545,863  
   

 

 

  
Technology Hardware, Storage & Peripherals - 0.0% (a)  
Borqs Technologies, Inc. (China) *     10,569       55,487  
Western Digital Corp. (b)     1,146       88,712  
   

 

 

  
          144,199  
   

 

 

  
Trading Companies & Distributors - 0.0% (a)        
AM Castle & Co. (3)*(b)(d)     8,695       34,272  
   

 

 

  
Water Utilities - 0.0% (a)        
Connecticut Water Service, Inc.     1,214       79,299  
SJW Group     1,938       128,334  
   

 

 

  
          207,633  
   

 

 

  
Wireless Telecommunication Services - 0.1%  
Cleveland Unlimited (3)*(d)     2       277,550  
Sprint Corp. *     61,782       336,094  
   

 

 

  
      613,644  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $173,691,247)

       171,481,564  
   

 

 

  
PREFERRED STOCKS - 0.5%            
Banks - 0.1%            
First Banks, Inc., Series C (3)*(d)     2,458       671,996  
   

 

 

  
Thrifts & Mortgage Finance - 0.4%        
FHLMC, Series V, 5.57%, 8/2/2018 *(b)(f)     83,409       441,234  
FHLMC, Series W, 5.66%, 8/2/2018 (2)*(f)     29,460       147,594  
FHLMC, Series X, 6.02%, 8/2/2018 (2)*(f)     47,843       253,568  
FHLMC, Series Z, 8.38%, 12/31/2022 *(f)(g)     45,876       286,725  
FNMA, Series S, 8.25%, 12/31/2020 *(f)(g)     77,876       492,176  
   

 

 

  
          1,621,297  
   

 

 

  

TOTAL PREFERRED STOCKS
(Cost $3,488,136)

       2,293,293  
   

 

 

  
INVESTMENTS   SHARES         
VALUE		  
CONVERTIBLE PREFERRED STOCKS - 5.8%  
Capital Markets - 2.9%  
Mandatory Exchangeable Trust (China) $100 par, 5.75%, 6/1/2019 (2)(b)(e)     56,586     $ 11,805,600  
Virtus Investment Partners, Inc. Series D, $100 par, 7.25%, 2/1/2020 (2)(b)     17,975       1,943,996  
   

 

 

  
          13,749,596  
   

 

 

  
Diversified Financial Services - 0.5%        
2017 Mandatory Exchangeable Trust $100 par, 5.19%, 12/1/2020 (2)(b)(e)     18,425       2,388,862  
   

 

 

  
Equity Real Estate Investment Trusts (REITs) - 0.2%        
QTS Realty Trust, Inc. Series B, $100 par, 6.50%, 12/31/2049 (2)*(b)(f)     9,525       957,358  
   

 

 

  
Food Products - 1.0%        
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (2)(b)(f)     42,625       4,582,537  
   

 

 

  
Gas Utilities - 0.2%        
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (2)(b)     12,425       676,417  
   

 

 

  
Insurance - 0.4%        
Assurant, Inc. Series D, $100 par, 6.50%, 3/15/2021 (2)(b)     17,525       1,964,552  
   

 

 

  
Machinery - 0.3%        
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 (2)*     875       882,201  
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (2)(b)     4,975       309,144  
   

 

 

  
          1,191,345  
   

 

 

  
Multi-Utilities - 0.1%        
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (2)(b)     5,500       572,715  
   

 

 

  
Technology Hardware, Storage & Peripherals - 0.2%        
NCR Corp. Series A, $1,602.990000 par, 5.50%, 12/31/2049 (2)*(b)(f)(h)     855       1,032,440  
   

 

 

  

TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $19,737,998)

 

     27,115,822  
   

 

 

  
CLOSED END FUNDS - 4.8%        
Adams Natural Resources Fund, Inc.     4,800       96,432  
Alliance California Municipal Income Fund, Inc.     25,727       338,053  
AllianceBernstein Global High Income Fund, Inc.     12,292       141,850  
AllianceBernstein National Municipal Income Fund, Inc.     23,217       292,998  
Bancroft Fund Ltd.     622       13,609  
BlackRock California Municipal Income Trust     26,742       348,448  
BlackRock Credit Allocation Income Trust     14,189       171,403  
 

 

  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   

 

INVESTMENTS   SHARES         
VALUE		  
CLOSED END FUNDS - 4.8% (continued)        
BlackRock Investment Quality Municipal Trust, Inc.     17,259     $ 242,834  
BlackRock Long-Term Municipal Advantage Trust     7,223       81,259  
BlackRock Muni Intermediate Duration Fund, Inc.     29,380       388,110  
BlackRock MuniAssets Fund, Inc.     5,871       77,673  
BlackRock Municipal 2030 Target Term Trust     15,930       343,451  
BlackRock Municipal Bond Trust     14,076       201,709  
BlackRock Municipal Income Investment Quality Trust     3,119       43,011  
BlackRock Municipal Income Investment Trust     705       9,271  
BlackRock Municipal Income Quality Trust     19,700       255,903  
BlackRock Municipal Income Trust     15,880       204,693  
BlackRock Municipal Income Trust II     2,199       31,358  
BlackRock MuniEnhanced Fund, Inc.     15,901       167,437  
BlackRock MuniHoldings California Quality Fund, Inc.     20,152       265,805  
BlackRock MuniHoldings Fund II, Inc.     8,479       117,265  
BlackRock MuniHoldings Fund, Inc.     4,269       66,639  
BlackRock MuniHoldings Investment Quality Fund     15,672       202,639  
BlackRock MuniHoldings New Jersey Quality Fund, Inc.     20,404       269,129  
BlackRock MuniHoldings New York Quality Fund, Inc.     21,488       267,311  
BlackRock MuniHoldings Quality Fund II, Inc.     15,238       186,361  
BlackRock MuniHoldings Quality Fund, Inc.     7,701       95,338  
BlackRock MuniVest Fund, Inc.     20,681       181,166  
BlackRock MuniYield California Fund, Inc.     16,071       214,066  
BlackRock MuniYield California Quality Fund, Inc.     20,134       268,588  
BlackRock MuniYield Fund, Inc.     17,911       238,574  
BlackRock MuniYield Investment Quality Fund     1,446       18,914  
BlackRock MuniYield Michigan Quality Fund, Inc.     15,742       206,378  
BlackRock MuniYield New Jersey Fund, Inc.     8,822       121,655  
BlackRock MuniYield New York Quality Fund, Inc.     28,547       341,993  
BlackRock MuniYield Pennsylvania Quality Fund     13,316       178,967  
BlackRock MuniYield Quality Fund II, Inc.     17,142       207,590  
BlackRock MuniYield Quality Fund III, Inc.     21,284       268,178  
BlackRock MuniYield Quality Fund, Inc.     13,114       183,203  
BlackRock New York Municipal Income Trust     8,148       104,710  
BlackRock Taxable Municipal Bond Trust     12,223       270,128  
Brookfield Global Listed Infrastructure Income Fund, Inc.     378       4,570  
INVESTMENTS   SHARES         
VALUE		  
CLOSED END FUNDS - 4.8% (continued)        
Delaware Investments Minnesota Municipal Income Fund II, Inc.     12,175     $ 150,726  
Deutsche Municipal Income Trust     24,105       265,637  
Deutsche Strategic Municipal Income Trust     12,150       132,192  
Dividend and Income Fund     22,006       271,334  
Dreyfus Municipal Bond Infrastructure Fund, Inc.     20,120       251,098  
Dreyfus Municipal Income, Inc. (b)     10,923       89,022  
Dreyfus Strategic Municipal Bond Fund, Inc. (b)     23,617       178,781  
Dreyfus Strategic Municipals, Inc. (b)     28,887       221,563  
DTF Tax-Free Income, Inc.     17,149       228,939  
Eaton Vance California Municipal Bond Fund     18,618       192,324  
Eaton Vance Ltd. Duration Income Fund (b)     20,865       262,482  
Eaton Vance Municipal Bond Fund     21,601       255,108  
Eaton Vance Municipal Bond Fund II     12,498       147,976  
Eaton Vance Municipal Income Trust (b)     26,601       314,956  
Eaton Vance New York Municipal Bond Fund     15,611       176,560  
Federated Premier Municipal Income Fund     14,515       192,179  
First Trust Aberdeen Global Opportunity Income Fund (b)     1,910       19,157  
First Trust High Income Long/Short Fund     7,007       103,213  
Gabelli Healthcare & WellnessRx Trust (The)     6,481       64,940  
GDL Fund (The)     232       2,130  
Guggenheim Taxable Municipal Managed Duration Trust     3,455       74,939  
Invesco Advantage Municipal Income Trust II     21,358       227,676  
Invesco California Value Municipal Income Trust     19,956       235,481  
Invesco High Income Trust II     832       11,224  
Invesco Municipal Opportunity Trust     34,071       399,993  
Invesco Municipal Trust     19,159       226,459  
Invesco Pennsylvania Value Municipal Income Trust     27,335       327,200  
Invesco Quality Municipal Income Trust     26,609       317,179  
Invesco Trust for Investment Grade Municipals     14,922       184,585  
Invesco Trust for Investment Grade New York Municipals     7,690       98,047  
Invesco Value Municipal Income Trust     28,379       400,995  
Ivy High Income Opportunities Fund     1,065       15,261  
MFS High Income Municipal Trust     1,285       6,399  
MFS Investment Grade Municipal Trust     4,518       41,791  
MFS Municipal Income Trust     29,026       191,281  
Neuberger Berman High Yield Strategies Fund, Inc.     17,628       190,735  
Neuberger Berman Intermediate Municipal Fund, Inc.     8,920       121,580  
New America High Income Fund, Inc. (The)     631       5,439  
 

 

  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   

 

INVESTMENTS   SHARES         
VALUE		  
CLOSED END FUNDS - 4.8% (continued)        
Nuveen AMT-Free Municipal Credit Income Fund     12,174     $ 177,619  
Nuveen AMT-Free Quality Municipal Income Fund     25,085       326,356  
Nuveen Arizona Quality Municipal Income Fund     1,905       24,327  
Nuveen Build America Bond Fund     4,760       98,104  
Nuveen Build America Bond Opportunity Fund     100       2,197  
Nuveen California AMT-Free Quality Municipal Income Fund     18,797       255,263  
Nuveen California Municipal Value Fund, Inc.     13,963       132,230  
Nuveen California Quality Municipal Income Fund     29,080       388,509  
Nuveen Connecticut Quality Municipal Income Fund     26,387       313,478  
Nuveen Enhanced Municipal Value Fund     13,163       179,675  
Nuveen Georgia Quality Municipal Income Fund     11,844       134,429  
Nuveen Intermediate Duration Municipal Term Fund     21,403       266,253  
Nuveen Intermediate Duration Quality Municipal Term Fund     10,586       133,066  
Nuveen Maryland Quality Municipal Income Fund     21,074       255,628  
Nuveen Massachusetts Quality Municipal Income Fund     1,830       22,763  
Nuveen Michigan Quality Municipal Income Fund     20,184       255,529  
Nuveen Municipal Credit Income Fund     13,022       186,605  
Nuveen Municipal High Income Opportunity Fund     3,100       39,277  
Nuveen Municipal Value Fund, Inc.     5,000       47,800  
Nuveen New Jersey Quality Municipal Income Fund     25,011       326,394  
Nuveen New York AMT-Free Quality Municipal Income Fund     26,229       320,781  
Nuveen New York Municipal Value Fund, Inc.     2,392       22,030  
Nuveen New York Quality Municipal Income Fund     20,347       256,169  
Nuveen North Carolina Quality Municipal Income Fund     19,152       236,336  
Nuveen Ohio Quality Municipal Income Fund     18,059       251,020  
Nuveen Pennsylvania Quality Municipal Income Fund     22,620       285,691  
Nuveen Quality Municipal Income Fund     30,150       400,995  
Nuveen Select Maturities Municipal Fund     3,998       39,020  
Nuveen Select Tax-Free Income Portfolio     3,134       44,816  
Nuveen Select Tax-Free Income3 Portfolio     2,497       36,157  
Nuveen Texas Quality Municipal Income Fund     5,062       64,692  
INVESTMENTS   SHARES         
VALUE		  
CLOSED END FUNDS - 4.8% (continued)        
Nuveen Virginia Quality Municipal Income Fund     26,595     $ 331,374  
PGIM Global Short Duration High Yield Fund, Inc.     19,469       265,947  
PGIM Short Duration High Yield Fund, Inc.     18,376       257,264  
Pioneer Diversified High Income Trust     946       13,783  
Pioneer Municipal High Income Advantage Trust     7,069       77,406  
Pioneer Municipal High Income Trust     20,346       232,351  
Putnam Managed Municipal Income Trust     36,153       255,963  
Putnam Municipal Opportunities Trust     20,745       242,302  
Templeton Global Income Fund     14,966       91,891  
Western Asset Global High Income Fund, Inc.     2,914       26,576  
Western Asset Intermediate Muni Fund, Inc.     24,079       208,645  
Western Asset Managed Municipals Fund, Inc.     13,644       173,006  
Western Asset Municipal High Income Fund, Inc.     10,786       77,983  
Western Asset Municipal Partners Fund, Inc.     14,354       202,678  
   

 

 

  

TOTAL CLOSED END FUNDS
(Cost $23,070,837)

       22,305,628  
   

 

 

  
   
 PRINCIPAL
AMOUNT		  
 		  
CORPORATE BONDS - 10.5%            
Aerospace & Defense - 0.8%            
KLX, Inc. 5.88%, 12/1/2022 (2)(e)   $ 2,149,000       2,232,274  
Northrop Grumman Innovation Systems, Inc. 5.25%, 10/1/2021 (2)     1,550,000       1,591,850  
   

 

 

  
      3,824,124  
   

 

 

  
Airlines - 0.2%            
United Continental Holdings, Inc. 6.00%, 12/1/2020 (2)     1,000,000       1,043,800  
   

 

 

  
Auto Components - 0.0%        
Exide Technologies 8.63%, 2/1/2028 (3)(d)(i)     33,550,000       —  
   

 

 

  
Automobiles - 0.2%        
General Motors Co. 3.50%, 10/2/2018 (2)     725,000       726,373  
   

 

 

  
Banks - 0.5%        
Bank of America Corp. (ICE LIBOR USD 3 Month + 0.65%), 2.99%, 6/25/2022 (2)(j)     2,000,000       1,997,860  
CIT Group, Inc. 3.88%, 2/19/2019 (2)     500,000       501,375  
Washington Mutual, Inc. Escrow 0.00%, 9/29/2017 (3)(d)     5,000,000       47,500  
   

 

 

  
      2,546,735  
   

 

 

  
 

 

  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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
Biotechnology - 0.7%            
AMAG Pharmaceuticals, Inc. 7.88%, 9/1/2023 (2)(e)   $ 2,910,000     $ 3,086,419  
   

 

 

  
Capital Markets - 0.2%        
Goldman Sachs Group, Inc. (The) 2.60%, 4/23/2020 (2)     1,000,000       990,564  
   

 

 

  
Chemicals - 1.1%        
Momentive Performance Materials USA, Inc. 8.88%, 10/15/2020 (3)(d)(i)     13,550,000       —  
Momentive Performance Materials, Inc.    
3.88%, 10/24/2021 (3)(d)     5,000,000       5,250,000  
   

 

 

  
      5,250,000  
   

 

 

  
Consumer Finance - 0.7%            
Ally Financial, Inc. 3.25%, 11/5/2018 (2)     1,000,000       1,000,000  
General Motors Financial Co., Inc. 3.10%, 1/15/2019 (2)     1,250,000       1,251,175  
2.40%, 5/9/2019 (2)     1,000,000       995,340  
   

 

 

  
      3,246,515  
   

 

 

  
Diversified Financial Services - 0.8%            
Nationstar Mortgage LLC 7.88%, 10/1/2020 (2)     967,000       970,626  
6.50%, 7/1/2021 (2)     2,600,000       2,593,500  
   

 

 

  
      3,564,126  
   

 

 

  
Diversified Telecommunication Services - 0.2%        
CenturyLink, Inc. Series V, 5.63%, 4/1/2020 (2)     1,000,000       1,011,250  
   

 

 

  
Equity Real Estate Investment Trusts (REITs) - 0.4%        
American Tower Corp. 3.40%, 2/15/2019 (2)     947,000       949,549  
iStar, Inc. 5.00%, 7/1/2019 (2)     1,000,000       997,500  
   

 

 

  
      1,947,049  
   

 

 

  
Food & Staples Retailing - 0.3%            
Rite Aid Corp. 6.13%, 4/1/2023 (2)(e)     1,546,000       1,567,644  
   

 

 

  
Food Products - 0.2%        
Viterra, Inc. (Switzerland) 5.95%, 8/1/2020 (2)(e)     923,000       965,347  
   

 

 

  
Health Care Providers & Services - 0.2%        
HCA, Inc. 3.75%, 3/15/2019 (2)     1,000,000       1,003,750  
   

 

 

  
Household Durables - 0.2%        
DR Horton, Inc. 3.75%, 3/1/2019 (2)     500,000       501,561  
Steinhoff Europe AG (Austria) 1.88%, 1/24/2025 (2)(k)     EUR400,000       324,648  
   

 

 

  
      826,209  
   

 

 

  
Independent Power and Renewable Electricity Producers - 0.0% (a)  
Energy Future Holdings 0.00%, 12/1/2018 (3)(d)(i)     1,000,000       180,000  
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
Internet & Direct Marketing Retail - 0.1%        
QVC, Inc. 3.13%, 4/1/2019 (2)   $ 317,000     $ 316,632  
   

 

 

  
Media - 0.0% (a)        
iHeartCommunications, Inc. 14.00%, 2/1/2021 (2)(i)     1,010,000       124,988  
   

 

 

  
Oil, Gas & Consumable Fuels - 0.7%        
Black Elk Energy Escrow 13.75%, 12/1/2015 (3)(d)     2,833,436       —  
Comstock Resources, Inc. 10.00%, 3/15/2020 (2)(h)     443,000       462,935  
NSA Bondco Ltd. (Norway) 12.00%, 8/31/2020 (3)(d)(h)(i)     2,857,687       687,176  
Penn Virginia Corp. Escrow 7.25%, 4/15/2019 (3)(d)(i)     13,829,000       2  
8.50%, 5/1/2020 (3)(d)(i)     43,585,000       4  
RSP Permian, Inc. 6.63%, 10/1/2022 (2)     1,300,000       1,365,910  
Targa Resources Partners LP 4.13%, 11/15/2019 (2)     1,000,000       1,000,000  
   

 

 

  
      3,516,027  
   

 

 

  
Pharmaceuticals - 0.2%            
Concordia International Corp. (Canada) 9.00%, 4/1/2022 (3)(d)(e)     850,000       760,750  
   

 

 

  
Professional Services - 0.1%        
Verisk Analytics, Inc. 4.88%, 1/15/2019 (2)     271,000       273,442  
   

 

 

  
Semiconductors & Semiconductor Equipment - 2.0%  
QUALCOMM, Inc. 2.10%, 5/20/2020 (2)     9,000,000       8,992,652  
SunEdison, Inc. 2.00%, 10/1/2018 (3)(d)(i)     16,350,000       355,787  
2.75%, 1/1/2021 (3)(d)(i)     4,400,000       95,747  
   

 

 

  
      9,444,186  
   

 

 

  
Specialty Retail - 0.0%            
RS Legacy Corp. 6.75%, 5/15/2019 (3)(d)(i)     6,230,000       —  
   

 

 

  
Wireless Telecommunication Services - 0.7%  
Hughes Satellite Systems Corp. 6.50%, 6/15/2019 (2)     1,000,000       1,023,450  
T-Mobile USA, Inc. 4.75%, 2/1/2028 (3)(d)(i)     2,301,000       —  
4.75%, 2/1/2028(2)     2,301,000       2,131,301  
   

 

 

  
      3,154,751  
   

 

 

  

TOTAL CORPORATE BONDS
(Cost $82,908,375)

       49,370,681  
   

 

 

  
CONVERTIBLE BONDS - 25.7%  
Air Freight & Logistics - 0.3%        
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (2)(b)     1,175,000       1,557,727  
   

 

 

  
 

 

  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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
Auto Components - 0.0% (a)  
Exide Technologies (ICE LIBOR USD 3 Month - 1.50%), 0.00%, 9/18/2013 (3)(d)(i)(j)   $ 650,000     $ 1  
   

 

 

  
Automobiles - 0.2%  
Tesla, Inc. 2.38%, 3/15/2022 (2)(b)     725,000       879,639  
   

 

 

  
Banks - 0.3%  
BofA Finance LLC 0.25%, 5/1/2023 (2)(b)     1,450,000       1,356,852  
   

 

 

  
Biotechnology - 1.1%  
Clovis Oncology, Inc. 1.25%, 5/1/2025 (2)(b)     1,075,000       989,970  
Exact Sciences Corp. 1.00%, 1/15/2025 (2)(b)     475,000       499,573  
Intrexon Corp. 3.50%, 7/1/2023(2)     2,550,000       2,550,000  
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (2)(b)(e)     825,000       853,298  
   

 

 

  
      4,892,841  
   

 

 

  
Capital Markets - 2.0%  
Deutsche Bank AG (Germany) 1.00%, 5/1/2023 (2)(b)     1,975,000       1,825,196  
GAIN Capital Holdings, Inc. 5.00%, 8/15/2022 (2)(b)(e)     1,775,000       2,046,625  
Hercules Capital, Inc. 4.38%, 2/1/2022 (2)(b)     1,350,000       1,344,635  
Prospect Capital Corp. 4.95%, 7/15/2022 (2)(b)     1,450,000       1,406,795  
TPG Specialty Lending, Inc. 4.50%, 8/1/2022 (2)(b)     2,750,000       2,740,163  
   

 

 

  
      9,363,414  
   

 

 

  
Communications Equipment - 0.0% (a)  
Nortel Networks Corp. (Canada) 1.75%, 12/31/2018 (3)(d)(i)     3,000,000       90,000  
   

 

 

  
Consumer Finance - 1.2%  
Encore Capital Group, Inc. 3.25%, 3/15/2022 (2)(b)     1,975,000       1,999,687  
EZCORP, Inc. 2.13%, 6/15/2019 (2)(b)(l)     2,250,000       2,277,612  
2.38%, 5/1/2025 (2)(b)(e)     1,025,000       1,000,994  
PRA Group, Inc. 3.50%, 6/1/2023 (2)(b)     500,000       531,428  
   

 

 

  
      5,809,721  
   

 

 

  
Diversified Financial Services - 0.4%  
Element Fleet Management Corp. (Canada) 5.13%, 6/30/2019 (2)(b)(e)     CAD2,783,000       2,086,366  
   

 

 

  
Electrical Equipment - 0.2%  
Plug Power, Inc. 5.50%, 3/15/2023 (2)(b)(e)     1,100,000       1,141,690  
   

 

 

  
Energy Equipment & Services - 0.8%  
Helix Energy Solutions Group, Inc. 4.13%, 9/15/2023 (2)(b)     1,125,000       1,323,338  
INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
Energy Equipment & Services - 0.8% (continued)  
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(b)   $ 1,150,000     $ 1,256,531  
Weatherford International Ltd. 5.88%, 7/1/2021 (2)(b)     1,225,000       1,205,559  
   

 

 

  
      3,785,428  
   

 

 

  
Equity Real Estate Investment Trusts (REITs) - 0.7%  
iStar, Inc. 3.13%, 9/15/2022 (2)(b)(e)     375,000       364,655  
Spirit Realty Capital, Inc.    
2.88%, 5/15/2019 (2)(b)     2,675,000       2,660,601  
   

 

 

  
          3,025,256  
   

 

 

  
Health Care Equipment & Supplies - 0.0%  
China Medical Technologies, Inc. (China)    
4.00%, 8/15/2013 (3)(d)(i)     250,000       —  
6.25%, 12/15/2016(3) (d)(e)(i)     2,625,000       —  
   

 

 

  
          —  
   

 

 

  
Health Care Providers & Services - 0.9%        
Anthem, Inc. 2.75%, 10/15/2042 (2)(b)     1,279,000       4,179,189  
   

 

 

  
Household Durables - 0.2%            
GoPro, Inc. 3.50%, 4/15/2022 (2)(b)     1,000,000       912,528  
   

 

 

  
Independent Power and Renewable Electricity Producers - 0.7%  
NRG Energy, Inc. 2.75%, 6/1/2048 (2)(b)(e)     900,000       869,310  
NRG Yield, Inc. 3.50%, 2/1/2019 (2)(b)(e)     2,250,000       2,238,514  
   

 

 

  
          3,107,824  
   

 

 

  
Insurance - 0.8%            
AmTrust Financial Services, Inc. 2.75%, 12/15/2044 (2)(b)     1,875,000       1,818,748  
AXA SA (France) 7.25%, 5/15/2021 (2)(b)(e)     900,000       940,633  
HCI Group, Inc. 4.25%, 3/1/2037 (2)(b)     1,175,000       1,148,574  
   

 

 

  
          3,907,955  
   

 

 

  
Internet Software & Services - 2.8%            
Akamai Technologies, Inc. 0.13%, 5/1/2025 (2)(b)(e)     250,000       250,339  
Alteryx, Inc. 0.50%, 6/1/2023 (2)(b)(e)     625,000       677,216  
Envestnet, Inc. 1.75%, 6/1/2023 (2)(b)(e)     450,000       462,060  
Five9, Inc. 0.13%, 5/1/2023 (2)(b)(e)     625,000       652,757  
MongoDB, Inc. 0.75%, 6/15/2024 (2)(b)(e)     2,825,000       2,756,369  
Quotient Technology, Inc. 1.75%, 12/1/2022 (2)(b)(e)     800,000       826,230  
Twitter, Inc. 0.25%, 6/15/2024 (2)(b)(e)     1,150,000       1,187,978  
Zillow Group, Inc. 2.00%, 12/1/2021 (2)(b)     3,700,000       4,687,175  
1.50%, 7/1/2023 (2)     1,375,000       1,375,000  
   

 

 

  
          12,875,124  
   

 

 

  
 

 

  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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
IT Services - 0.7%            
Blackhawk Network Holdings, Inc. 1.50%, 1/15/2022 (2)   $ 1,325,000     $ 1,478,700  
Square, Inc. 0.50%, 5/15/2023 (2)(b)(e)     1,450,000       1,550,594  
   

 

 

  
          3,029,294  
   

 

 

  
Media - 0.3%            
GCI Liberty, Inc. 1.75%, 9/30/2046 (2)(b)(e)     900,000       926,051  
Liberty Media Corp. 2.13%, 3/31/2048 (2)(b)(e)     675,000       663,909  
   

 

 

  
          1,589,960  
   

 

 

  
Metals & Mining - 1.4%            
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(b)     2,700,000       5,117,850  
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (2)(b)     850,000       1,041,845  
Endeavour Mining Corp. (Ivory Coast) 3.00%, 2/15/2023 (2)(b)(e)     350,000       355,460  
Jaguar Mining, Inc. 10.00%, 6/1/2018 (3)(d)(i)     310,000       —  
   

 

 

  
          6,515,155  
   

 

 

  
Mortgage Real Estate Investment Trusts (REITs) - 2.5%  
Apollo Commercial Real Estate Finance, Inc. 4.75%, 8/23/2022 (2)(b)     2,250,000       2,227,275  
Blackstone Mortgage Trust, Inc. 4.38%, 5/5/2022 (2)(b)     1,250,000       1,225,470  
4.75%, 3/15/2023 (2)(b)     1,800,000       1,744,519  
Exantas Capital Corp. 4.50%, 8/15/2022 (2)(b)     600,000       599,280  
KKR Real Estate Finance Trust, Inc. 6.13%, 5/15/2023 (2)(b)(e)     1,950,000       1,952,435  
New York Mortgage Trust, Inc. 6.25%, 1/15/2022 (2)(b)     1,350,000       1,335,439  
Redwood Trust, Inc.    
4.75%, 8/15/2023 (2)(b)     1,900,000       1,842,240  
5.63%, 7/15/2024 (2)(b)     950,000       939,917  
   

 

 

  
          11,866,575  
   

 

 

  
Oil, Gas & Consumable Fuels - 2.6%            
Aegean Marine Petroleum Network, Inc. (Greece) 4.25%, 12/15/2021 (2)     375,000       127,500  
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(d)(i)     800,000       —  
Amyris, Inc. 9.50%, 4/15/2019 (2)(b)     6,461,000       6,436,823  
Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(b)     1,300,000       1,321,170  
Emerald Oil, Inc. 2.00%, 4/1/2019 (3)(d)(e)(i)     1,600,000       —  
Scorpio Tankers, Inc. (Monaco) 3.00%, 5/15/2022 (2)(b)     1,650,000       1,671,886  
Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)(b)     2,600,000       2,674,633  
   

 

 

  
          12,232,012  
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
Personal Products - 0.1%            
Herbalife Nutrition Ltd. 2.63%, 3/15/2024 (2)(b)(e)   $ 300,000     $ 317,680  
   

 

 

  
Semiconductors & Semiconductor Equipment - 3.7%  
GT Advanced Technologies, Inc. 3.00%, 10/1/2017 (3)(d)(i)     2,650,000       —  
Inphi Corp. 1.13%, 12/1/2020 (2)(b)     900,000       962,550  
Microchip Technology, Inc. 2.25%, 2/15/2037 (2)(b)     1,851,000       2,202,540  
Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(b)     2,500,000       12,969,800  
SunEdison, Inc. 0.25%, 1/15/2020 (3)(d)(i)     575,000       12,513  
Synaptics, Inc. 0.50%, 6/15/2022 (2)(b)     925,000       913,602  
   

 

 

  
          17,061,005  
   

 

 

  
Software - 0.9%            
Atlassian, Inc. 0.63%, 5/1/2023 (2)(b)(e)     650,000       672,472  
Avaya Holdings Corp.    
2.25%, 6/15/2023 (2)(b)(e)     350,000       340,255  
Citrix Systems, Inc. 0.50%, 4/15/2019 (2)(b)     350,000       508,198  
FireEye, Inc. 0.88%, 6/1/2024 (2)(b)(e)     975,000       918,676  
PROS Holdings, Inc. 2.00%, 6/1/2047 (2)(b)(e)     1,875,000       1,845,795  
   

 

 

  
          4,285,396  
   

 

 

  
Specialty Retail - 0.7%            
RH 0.00%, 7/15/2020 (2)(b)(e)     725,000       920,327  
0.00%, 6/15/2023 (2)(b)(e)     2,275,000       2,121,073  
   

 

 

  
          3,041,400  
   

 

 

  
Technology Hardware, Storage & Peripherals - 0.2%  
Pure Storage, Inc. 0.13%, 4/15/2023 (2)(b)(e)     800,000       891,895  
   

 

 

  
Trading Companies & Distributors - 0.0% (a)  
AM Castle & Co. 5.00%, 8/31/2022 (3)(b)(d)(e)(h)(i)     94,317       86,059  
   

 

 

  

TOTAL CONVERTIBLE BONDS
(Cost $112,783,002)

       119,887,986  
   

 

 

  
LOAN PARTICIPATIONS - 1.4%            
Distributors - 0.1%        
American Tire Distributors, Inc. (ICE LIBOR USD 1 Month + 4.25%), 6.34%, 9/1/2021 (2)(j)     997,423       644,893  
   

 

 

  
Oil, Gas & Consumable Fuels - 1.3%        
Southcross Energy Partners LP (ICE LIBOR USD 3 Month + 4.25%), 6.58%, 8/4/2021 (2)(j)     6,295,639       5,944,154  
   

 

 

  

TOTAL LOAN PARTICIPATIONS
(Cost $7,046,043)

       6,589,047  
   

 

 

  
 

 

  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   

 

INVESTMENTS   NO. OF
RIGHTS		         
VALUE		  
RIGHTS - 0.7%            
Banks - 0.0% (a)            
EFG International Finance Guernsey Ltd. (Switzerland) (3)*(d)     283,523     $ 2,835  
   

 

 

  
Biotechnology - 0.1%            
Ambit Biosciences Corp., CVR (3)*(d)     146,272       215,893  
Tobira Therapeutics, Inc., CVR (3)*(d)     11,880       86,530  
   

 

 

  
          302,423  
   

 

 

  
Capital Markets - 0.6%  
Barington/Hilco Acquisition Corp. (2)*(c)     487,260       92,579  
Big Rock Partners Acquisition Corp., expiring 12/1/2022 *     200,000       90,000  
Bison Capital Acquisition Corp., expiring 12/31/2049 (China) *     150,000       49,500  
Black Ridge Acquisition Corp., expiring 11/16/2020 (2)*     210,000       73,500  
Cannabis Strategies Acquisition Corp., expiring 12/29/2018 (Canada) (3)*(d)     250,000       114,099  
CM Seven Star Acquisition Corp., expiring 12/31/2019 (Hong Kong) (2)*     250,000       80,000  
Constellation Alpha Capital Corp., expiring 12/31/2049 *     700,000       294,000  
Draper Oakwood Technology Acquisition, Inc., expiring 9/30/2022 *(b)     150,000       87,765  
GigCapital, Inc., expiring 2/15/2018 *     375,000       168,750  
I-AM Capital Acquisition Co., expiring 5/22/2019 (2)*     225,000       85,500  
Jensyn Acquisition Corp., expiring 3/7/2021 (2)*     174,000       31,320  
KBL Merger Corp. IV, expiring 3/6/2019 (2)*(c)     1,000,000       358,500  
Modern Media Acquisition Corp., expiring 12/31/2022 *(c)     1,700,000       884,000  
Origo Acquisition Corp. *(c)     315,500       56,790  
Pensare Acquisition Corp., expiring 8/8/2022 (2)*     1,000,000       490,000  
Union Acquisition Corp., expiring 12/2/2018 (3)*(d)     250,000       80,000  
   

 

 

  
          3,036,303  
   

 

 

  
Health Care Providers & Services - 0.0% (a)  
Community Health Systems, Inc., CVR *(c)     7,762,436       85,387  
   

 

 

  

TOTAL RIGHTS
(Cost $111,420)

       3,426,948  
   

 

 

  
   
 NO. OF
WARRANTS		  
 		  
WARRANTS - 5.3%            
Aerospace & Defense - 0.0% (a)  
Ability, Inc., expiring 12/17/2018 (Israel) (2)*(c)     144,956       7,393  
Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 (2)*     614,551       11,676  
   

 

 

  
          19,069  
   

 

 

  
INVESTMENTS   NO. OF
WARRANTS		         
VALUE		  
Banks - 0.0%(a)            
Valley National Bancorp, expiring 11/14/2018 *     48,657     $ 4,379  
   

 

 

  
Capital Markets - 3.4%        
Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) *     579,085       6,607  
Alignvest Acquisition II Corp., expiring 7/4/2022 (Canada) *     175,000       71,882  
Avista Healthcare Public Acquisition Corp., expiring 12/2/2021 *     1,000,000       460,000  
Barington/Hilco Acquisition Corp., expiring 2/11/2018 *(c)     487,260       77,962  
Big Rock Partners Acquisition Corp., expiring 12/1/2022 (2)*     100,000       38,000  
Bison Capital Acquisition Corp., expiring 7/18/2022 (China) (2)*     75,000       27,750  
Black Ridge Acquisition Corp., expiring 10/25/2022 (2)*     210,000       90,300  
Cannabis Strategies Acquisition Corp., expiring 12/21/2025 (Canada) *     250,000       161,640  
Capitol Investment Corp. IV, expiring 1/1/2025 *     166,667       233,334  
CM Seven Star Acquisition Corp., expiring 11/6/2018 (Hong Kong) *     125,000       49,375  
Constellation Alpha Capital Corp., expiring 3/23/2024 *     700,000       252,000  
DFB Healthcare Acquisitions Corp., expiring 4/3/2023 *     133,333       173,333  
Draper Oakwood Technology Acquisition, Inc., expiring 9/30/2024 *(b)     75,000       54,750  
Easterly Acquisition Corp., expiring 7/29/2020 *(b)     573,250       716,563  
Far Point Acquisition Corp., expiring 6/1/2025 *     66,666       92,706  
Federal Street Acquisition Corp., expiring 7/24/2022 (2)*     375,000       487,500  
FinTech Acquisition Corp. II, expiring 3/13/2022 *     700,000       1,085,000  
GigCapital, Inc., expiring 1/17/2023 *     281,250       126,563  
Gordon Pointe Acquisition Corp., expiring 3/12/2019 (2)*     122,980       67,639  
Gores Holdings II, Inc., expiring 3/6/2022 (2)*     133,333       246,666  
Haymaker Acquisition Corp., expiring 11/16/2022 (2)*     199,980       165,983  
Hennessy Capital Acquisition Corp. III, expiring 6/15/2024 *     375,000       540,000  
Hunter Maritime Acquisition Corp., expiring 10/11/2021 (2)*     470,000       202,100  
I-AM Capital Acquisition Co., expiring 10/9/2022 (2)*     225,000       94,860  
Industrea Acquisition Corp., expiring 8/1/2024 (2)*     500,000       300,000  
Jensyn Acquisition Corp., expiring 4/26/2021 (2)*     174,000       29,580  
Kayne Anderson Acquisition Corp., expiring 6/30/2022 *     250,000       300,000  
 

 

  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   

 

INVESTMENTS   NO. OF
WARRANTS		         
VALUE		  
Capital Markets - 3.4% (continued)        
KBL Merger Corp. IV, expiring 7/1/2023 *(c)     1,000,000     $ 238,000  
Landcadia Holdings, Inc., expiring 6/1/2023 (2)*     500,000       415,000  
Legacy Acquisition Corp., expiring 11/30/2022 *     500,000       215,000  
Leisure Acquisition Corp., expiring 12/28/2022 (2)*     250,000       177,500  
Leo Holdings Corp., expiring 4/5/2023 (United Kingdom) *     250,000       267,500  
M I Acquisitions, Inc., expiring 11/14/2020 *     250,000       377,500  
Matlin and Partners Acquisition Corp., expiring 5/28/2021 *(c)     2,500,000       1,625,000  
Modern Media Acquisition Corp., expiring 6/7/2022 *(c)     850,000       552,500  
MTech Acquisition Corp., expiring 8/1/2024 *     125,000       81,250  
Mudrick Capital Acquisition Corp., expiring 3/12/2019 *     500,000       320,000  
National Energy Services Reunited Corp., expiring 6/5/2022 *     950,000       1,140,000  
Nebula Acquisition Corp., expiring 1/12/2023 *     46,666       116,665  
One Madison Corp., expiring 2/22/2023 (2)*     250,000       255,000  
Opes Acquisition Corp., expiring 1/15/2023 (2)*     250,000       88,750  
Origo Acquisition Corp., expiring 12/17/2021 *(c)     300,000       90,000  
Osprey Energy Acquisition Corp., expiring 8/15/2022 *     500,000       800,000  
Pensare Acquisition Corp., expiring 8/8/2022 *     500,000       320,000  
Platinum Eagle Acquisition Corp., expiring 3/5/2025 *     53,333       74,666  
PROMECAP Acquisition Co. SAB de CV, expiring 3/23/2023 (Mexico) (2)*     400,000       1,208  
Pure Acquisition Corp., expiring 4/17/2023 (3)*(d)     172,500       220,800  
Regalwood Global Energy Ltd., expiring 1/22/2022 (2)*     166,667       207,834  
Saban Capital Acquisition Corp., expiring 9/21/2021 (2)*     42,000       52,500  
Sentinel Energy Services, Inc., expiring 12/22/2022 (3)*(d)     44,440       46,662  
Social Capital Hedosophia Holdings Corp., expiring 9/25/2022 *     83,334       150,001  
Stellar Acquisition III, Inc., expiring 3/22/2022 *(c)     600,000       156,000  
Tiberius Acquisition Corp., expiring 4/10/2023 *     235,000       129,250  
TPG Pace Energy Holdings Corp., expiring 6/21/2022 *     166,667       458,334  
TPG Pace Holdings Corp., expiring 8/18/2022 (3)*(d)     66,666       113,332  
Trinity Merger Corp., expiring 5/31/2023 *     500,000       200,000  
INVESTMENTS   NO. OF
WARRANTS		         
VALUE		  
Capital Markets - 3.4% (continued)        
Union Acquisition Corp., expiring 7/1/2025 (2)*     250,000     $ 87,500  
Vantage Energy Acquisition Corp., expiring 4/12/2024 (3)*(d)     500,000       650,000  
VectoIQ Acquisition Corp., expiring 6/11/2023 (2)*     360,000       183,600  
   

 

 

  
          15,963,445  
   

 

 

  
Commercial Services & Supplies - 0.1%        
Estre Ambiental, Inc., expiring 12/22/2022 *(b)     1,323,740       529,496  
   

 

 

  
Construction & Engineering - 0.6%        
Infrastructure and Energy Alternatives, Inc., expiring 3/26/2023 *     808,712       768,276  
Limbach Holdings, Inc., expiring 7/20/2021 *     336,504       673,008  
Willscot Corp., expiring 11/29/2022 *     537,067       1,213,772  
   

 

 

  
      2,655,056  
   

 

 

  
Consumer Finance - 0.0%(a)        
China Lending Corp., expiring 7/6/2021 (China) *     142,386       7,119  
   

 

 

  
Diversified Consumer Services - 0.0% (a)        
Education Management Corp., expiring 1/5/2022 (3)*(c)(d)     16,528,497       17  
   

 

 

  
Diversified Financial Services - 0.1%        
FGL Holdings, expiring 12/1/2022 *     300,000       360,000  
   

 

 

  
Energy Equipment & Services - 0.0% (a)        
Glori Energy, Inc., expiring 7/25/2019 (3)*(d)     287,100       57  
   

 

 

  
Hotels, Restaurants & Leisure - 0.1%        
Inspired Entertainment, Inc., expiring 12/23/2021 (3)*(d)     1,273,972       394,931  
   

 

 

  
Household Durables - 0.1%        
Purple Innovation, Inc., expiring 2/2/2023 *     768,000       526,080  
   

 

 

  
Internet & Direct Marketing Retail - 0.0% (a)        
LXRandCo, Inc., expiring 6/9/2022 (Canada) (2)*     1,274,000       9,691  
   

 

 

  
IT Services - 0.1%        
Exela Technologies, Inc., expiring 1/1/2023 (3)*(b)(d)     1,860,708       595,427  
   

 

 

  
Machinery - 0.1%        
Blue Bird Corp., expiring 2/24/2020 *     107,684       590,108  
Jason Industries, Inc., expiring 6/30/2019 (2)*(c)     1,933,070       19,331  
   

 

 

  
      609,439  
   

 

 

  
 

 

  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   

 

INVESTMENTS   NO. OF
WARRANTS		         
VALUE		  
Media - 0.0% (a)        
Kew Media Group, Inc., expiring 3/20/2022 (Canada) (2)*     150,000     $ 91,279  
   

 

 

  
Oil, Gas & Consumable Fuels - 0.4%        
Alta Mesa Resources, Inc., expiring 2/9/2023 *     308,333       431,666  
NextDecade Corp., expiring 7/24/2022 (2)*     1,095,541       569,682  
Rosehill Resources, Inc., expiring 9/16/2022 *(c)     489,600       587,520  
   

 

 

  
      1,588,868  
   

 

 

  
Road & Rail - 0.1%        
Daseke, Inc., expiring 2/27/2022 *     378,003       404,463  
   

 

 

  
Semiconductors & Semiconductor Equipment - 0.0%  
GT Advanced Technologies, Inc., expiring 3/17/2019 (3)*(d)     2,101       —
   

 

 

  
Software - 0.2%        
Rimini Street, Inc., expiring 9/30/2022 (2)*     943,380       726,308  
   

 

 

  
Technology Hardware, Storage & Peripherals - 0.0% (a)  
Borqs Technologies, Inc., expiring 8/21/2022 (China) (2)*     373,500       74,700  
   

 

 

  
Textiles, Apparel & Luxury Goods - 0.0% (a)        
KBS Fashion Group Ltd., expiring 8/1/2019 (3)*(d)     50,869       51  
   

 

 

  
Wireless Telecommunication Services - 0.0% (a)  
Trilogy International Partners, Inc., expiring 2/7/2022 (Canada) (2)*     445,000       44,004  
   

 

 

  

TOTAL WARRANTS
(Cost $1,669,820)

       24,603,879  
   

 

 

  
   
 NO. OF
UNITS		  
 		  
SECURITIES IN LITIGATION - 0.1%  
Health Care Equipment & Supplies - 0.1%  
DEMC, Ltd., Class A-1 (3)*(d)     12,969       —  
DEMC, Ltd., Class A-2 (3)*(d)     310,099,470       313,201  
DEMC, Ltd., Class B-1 (3)*(d)     10,488       —  
DEMC, Ltd., Class B-2 (3)*(d)     513,897,326       514  
   

 

 

  
      313,715  
   

 

 

  
Software - 0.0% (a)            
TimeGate Studios, Inc. (3)*(d)(i)     3,591,250       201,735  
   

 

 

  

TOTAL SECURITIES IN LITIGATION
(Cost $4,027,924)

       515,450  
   

 

 

  
INVESTMENTS       
SHARES		         
VALUE		  
SHORT-TERM INVESTMENTS - 29.1%  
INVESTMENT COMPANIES - 19.9%            
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(m)     4,010,552     $ 4,010,552  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(m)     16,042,210       16,042,210  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (2)(m)(n)     5,822,095       5,822,095  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (2)(m)(n)     15,718,868       15,718,868  
Limited Purpose Cash Investment Fund, 1.85% (2)(m)     31,401,884       31,401,884  
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(m)     20,052,761       20,052,761  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $93,041,040)

 

     93,048,370  
   

 

 

  
   
 PRINCIPAL
AMOUNT		  
 		  
U.S. TREASURY OBLIGATIONS - 9.2%        
U.S. Treasury Bills 1.61%, 7/19/2018 (2)(o)   $ 36,941,000       36,910,690  
1.85%, 9/6/2018 (2)(b)(o)     2,182,000       2,174,489  
1.91%, 9/27/2018 (2)(b)(o)     1,734,000       1,726,101  
1.90%, 10/11/2 018 (2)(o)     2,212,000       2,200,031  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $43,012,234)

 

     43,011,311  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $136,053,274)

 

     136,059,681  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $564,588,076)

       563,649,979  
   

 

 

  
    SHARES    
SHORT POSITIONS - (25.6)%            
COMMON STOCKS - (23.1)%            
Air Freight & Logistics - (0.2)%            
Atlas Air Worldwide Holdings, Inc. *     (16,351 )      (1,172,367 ) 
   

 

 

  
Automobiles - (0.1)%            
Tesla, Inc. *     (1,853 )      (635,486 ) 
   

 

 

  
Banks - (0.4)%            
BOK Financial Corp.     (1,262 )      (118,640 ) 
Cadence Bancorp     (27,094 )      (782,204 ) 
Fifth Third Bancorp     (14,731 )      (422,780 ) 
Independent Bank Group, Inc.     (2,284 )      (152,571 ) 
People’s United Financial, Inc.     (22,688 )      (410,426 ) 
   

 

 

  
      (1,886,621 ) 
   

 

 

  
Biotechnology - (0.2)%            
Clovis Oncology, Inc. *     (9,985 )      (454,018 ) 
Ligand Pharmaceuticals, Inc. *     (2,241 )      (464,268 ) 
   

 

 

  
          (918,286)  
   

 

 

  
 

 

  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   

 

INVESTMENTS       
SHARES		         
VALUE		  
Capital Markets - (0.7)%            
CME Group, Inc.     (233 )    $ (38,193 ) 
GAIN Capital Holdings, Inc.     (139,669 )      (1,054,501 ) 
Hercules Capital, Inc.     (12,950 )      (163,818 ) 
Penson Worldwide, Inc. (3)*(d)     (217,523 )      —
Prospect Capital Corp.     (15,260 )      (102,395 ) 
TPG Specialty Lending, Inc.     (12,400 )      (222,456 ) 
Virtus Investment Partners, Inc.     (12,011 )      (1,536,807 ) 
   

 

 

  
          (3,118,170)  
   

 

 

  
Construction & Engineering - (0.7)%            
Willscot Corp. *     (217,000 )      (3,211,600 ) 
   

 

 

  
Consumer Finance - (0.5)%            
Encore Capital Group, Inc. *     (29,041 )      (1,062,901 ) 
EZCORP, Inc., Class A *     (76,938 )      (927,103 ) 
PRA Group, Inc. *     (7,948 )      (306,395 ) 
   

 

 

  
          (2,296,399)  
   

 

 

  
Diversified Financial Services - (0.6)%        
AXA Equitable Holdings, Inc. *     (34,200 )      (704,862 ) 
FGL Holdings *     (150,000 )      (1,258,500 ) 
Voya Financial, Inc.     (23,450 )      (1,102,150 ) 
   

 

 

  
          (3,065,512)  
   

 

 

  
Electrical Equipment - (0.1)%        
Plug Power, Inc. *     (311,955 )      (630,149 ) 
   

 

 

  
Electronic Equipment, Instruments & Components - 0.0% (a)  
SYNNEX Corp.     (625 )      (60,319 ) 
   

 

 

  
Energy Equipment & Services - (0.4)%        
Helix Energy Solutions Group, Inc. *     (87,923 )      (732,399 ) 
SEACOR Holdings, Inc. *     (17,515 )      (1,003,084 ) 
Weatherford International plc *     (58,873 )      (193,692 ) 
   

 

 

  
          (1,929,175)  
   

 

 

  
Equity Real Estate Investment Trusts (REITs) - (0.1)%  
iStar, Inc. *     (10,915 )      (117,773 ) 
Prologis, Inc.     (4,417 )      (290,153 ) 
Spirit MTA REIT *     (725 )      (7,468 ) 
Spirit Realty Capital, Inc.     (4,647 )      (37,315 ) 
   

 

 

  
          (452,709)  
   

 

 

  
Food Products - (0.5)%            
Bunge Ltd.     (22,107 )      (1,541,079 ) 
Conagra Brands, Inc.     (17,076 )      (610,125 ) 
   

 

 

  
          (2,151,204)  
   

 

 

  
Gas Utilities - (0.1)%            
South Jersey Industries, Inc.     (14,110 )      (472,262 ) 
   

 

 

  
Health Care Equipment & Supplies - 0.0%        
China Medical Technologies, Inc., ADR (China) (3)*(d)     (40,234 )      —  
   

 

 

  
Health Care Providers & Services - (0.9)%        
Anthem, Inc.     (17,212 )      (4,096,972 ) 
   

 

 

  
INVESTMENTS       
SHARES		         
VALUE		  
Hotels, Restaurants & Leisure - (0.1)%  
Marriott Vacations Worldwide Corp.     (5,688 )    $ (642,516 ) 
   

 

 

  
Independent Power and Renewable Electricity Producers - (0.1)%  
NRG Energy, Inc.     (10,935 )      (335,705 ) 
   

 

 

  
Insurance - (0.4)%            
Assurant, Inc.     (13,574 )      (1,404,773 ) 
HCI Group, Inc.     (8,441 )      (350,893 ) 
   

 

 

  
          (1,755,666)  
   

 

 

  
Internet Software & Services - (8.2)%  
Akamai Technologies, Inc. *     (9,134 )      (668,883 ) 
Alibaba Group Holding Ltd., ADR (China) *     (165,691 )      (30,740,651 ) 
Alteryx, Inc., Class A *     (10,433 )      (398,123 ) 
Envestnet, Inc. *     (4,018 )      (220,789 ) 
Five9, Inc. *     (10,718 )      (370,521 ) 
Quotient Technology, Inc. *     (30,184 )      (395,410 ) 
Weibo Corp., ADR (China) *     (26,394 )      (2,342,732 ) 
Zillow Group, Inc., Class A *     (793 )      (47,382 ) 
Zillow Group, Inc., Class C *     (52,394 )      (3,094,390 ) 
   

 

 

  
          (38,278,881)  
   

 

 

  
IT Services - (0.2)%            
Square, Inc., Class A *     (12,293 )      (757,741 ) 
   

 

 

  
Machinery - (0.3)%            
Blue Bird Corp. *     (45,043 )      (1,006,711 ) 
Rexnord Corp. *     (8,947 )      (260,000 ) 
   

 

 

  
          (1,266,711)  
   

 

 

  
Media - (0.6)%            
Discovery, Inc., Class A *     (1,024 )      (28,160 ) 
New York Times Co. (The), Class A     (79,409 )      (2,056,693 ) 
News Corp., Class B     (17,930 )      (284,190 ) 
Sirius XM Holdings, Inc.     (44,606 )      (301,983 ) 
   

 

 

  
          (2,671,026)  
   

 

 

  
Metals & Mining - (1.1)%            
Allegheny Technologies, Inc. *     (170,035 )      (4,271,279 ) 
Cleveland-Cliffs, Inc. *     (86,899 )      (732,559 ) 
Endeavour Mining Corp. (Ivory Coast) *     (8,200 )      (147,140 ) 
   

 

 

  
          (5,150,978)  
   

 

 

  
Mortgage Real Estate Investment Trusts (REITs) - (0.7)%  
Annaly Capital Management, Inc.     (11,065 )      (113,859 ) 
Apollo Commercial Real Estate Finance, Inc.     (36,919 )      (674,879 ) 
Blackstone Mortgage Trust, Inc., Class A     (19,415 )      (610,214 ) 
Exantas Capital Corp.     (24,413 )      (248,524 ) 
KKR Real Estate Finance Trust, Inc.     (10,930 )      (216,195 ) 
New York Mortgage Trust, Inc.     (44,313 )      (266,321 ) 
Redwood Trust, Inc.     (41,941 )      (690,768 ) 
Two Harbors Investment Corp.     (25,162 )      (397,560 ) 
   

 

 

  
          (3,218,320)  
   

 

 

  
Multi-Utilities - (0.1)%            
Sempra Energy     (3,289 )      (381,886 ) 
   

 

 

  
 

 

  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   

 

INVESTMENTS       
SHARES		         
VALUE		  
Oil, Gas & Consumable Fuels - (1.3)%        
Baytex Energy Corp. (Canada) *     (14,253 )    $ (47,378 ) 
Chesapeake Energy Corp. *     (77,381 )      (405,476 ) 
Marathon Petroleum Corp.     (34,085 )      (2,391,404 ) 
Penn Virginia Corp. *     (565 )      (47,963 ) 
Scorpio Tankers, Inc. (Monaco)     (289,688 )      (814,023 ) 
Ship Finance International Ltd. (Norway)     (76,723 )      (1,147,009 ) 
Vermilion Energy, Inc. (Canada)     (38,244 )      (1,379,187 ) 
   

 

 

  
      (6,232,440 ) 
   

 

 

  
Personal Products - 0.0% (a)        
Herbalife Nutrition Ltd. *     (3,343 )      (179,586 ) 
   

 

 

  
Pharmaceuticals - (0.1)%            
Takeda Pharmaceutical Co. Ltd. (Japan) (2)     (10,037 )      (422,237 ) 
   

 

 

  
Semiconductors & Semiconductor Equipment - (3.5)%  
Cohu, Inc.     (5,633 )      (138,065 ) 
Inphi Corp. *     (13,767 )      (448,942 ) 
Lam Research Corp.     (75,340 )      (13,022,519 ) 
Microchip Technology, Inc.     (25,122 )      (2,284,846 ) 
Synaptics, Inc. *     (6,223 )      (313,452 ) 
   

 

 

  
      (16,207,824 ) 
   

 

 

  
Software - (0.5)%            
Atlassian Corp. plc, Class A *     (4,927 )      (308,036 ) 
Citrix Systems, Inc. *     (4,672 )      (489,812 ) 
FireEye, Inc. *     (26,515 )      (408,066 ) 
PROS Holdings, Inc. *     (22,169 )      (810,720 ) 
VMware, Inc., Class A *     (1,547 )      (227,363 ) 
   

 

 

  
      (2,243,997 ) 
   

 

 

  
Specialty Retail - (0.1)%        
RH *     (4,787 )      (668,744 ) 
   

 

 

  
Technology Hardware, Storage & Peripherals - (0.2)%  
NCR Corp. *     (17,812 )      (534,004 ) 
Pure Storage, Inc., Class A *     (21,941 )      (523,951 ) 
   

 

 

  
      (1,057,955 ) 
   

 

 

  
Wireless Telecommunication Services - (0.1)%        
T-Mobile US, Inc. *     (6,335 )      (378,516 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(85,851,708))

       (107,947,960 ) 
   

 

 

  
   
 PRINCIPAL
AMOUNT		  
 		  
CONVERTIBLE BONDS - (2.5)%        
Energy Equipment & Services - (0.4)%  
Oil States International, Inc.    
1.50%, 2/15/2023 (2)(e)   $ (1,850,000 )      (1,924,603 ) 
   

 

 

  
Internet & Direct Marketing Retail - (0.4)%  
Booking Holdings, Inc. 0.90%, 9/15/2021 (2)     (900,000 )      (1,075,235 ) 
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (2)(e)     (950,000 )      (938,160 ) 
   

 

 

  
      (2,013,395 ) 
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
Internet Software & Services - (0.5)%        
Okta, Inc.    
0.25%, 2/15/2023 (2)(e)   $ (800,000 )    $ (987,475 ) 
Q2 Holdings, Inc.    
0.75%, 2/15/2023 (2)(e)     (1,225,000 )      (1,388,975 ) 
   

 

 

  
      (2,376,450 ) 
   

 

 

  
Life Sciences Tools & Services - 0.0% (a)        
Illumina, Inc. 0.00%, 6/15/2019 (2)     (100,000 )      (117,746 ) 
   

 

 

  
Mortgage Real Estate Investment Trusts (REITs) - (0.1)%  
Starwood Property Trust, Inc. 4.38%, 4/1/2023 (2)     (525,000 )      (525,473 ) 
   

 

 

  
Software - (1.0)%            
Guidewire Software, Inc. 1.25%, 3/15/2025 (2)     (350,000 )      (355,324 ) 
Proofpoint, Inc. 0.75%, 6/15/2020 (2)     (2,375,000 )      (3,483,434 ) 
Zendesk, Inc. 0.25%, 3/15/2023 (2)(e)     (600,000 )      (648,107 ) 
   

 

 

  
      (4,486,865 ) 
   

 

 

  
Technology Hardware, Storage & Peripherals - (0.1)%  
Western Digital Corp. 1.50%, 2/1/2024 (2)(e)     (325,000 )      (328,582 ) 
   

 

 

  

TOTAL CONVERTIBLE BONDS
(Proceeds $(11,267,659))

       (11,773,114 ) 
   

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(97,119,367))

       (119,721,074 ) 
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.0%
(Cost $467,468,709)

       443,928,905  
   

 

 

  
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0% (p)       23,487,020  
   

 

 

  

NET ASSETS - 100.0%

     $ 467,415,925  
   

 

 

  

 

SECTOR   VALUE     % OF NET
ASSETS		  
Consumer Discretionary   $ 6,812,802       1.4 % 
Consumer Staples     6,813,106       1.5  
Energy     23,178,011       5.0  
Financials     219,823,369       47.0  
Health Care     15,791,848       3.4  
Industrials     9,737,754       2.1  
Information Technology     (3,323,927 )      (0.8 ) 
Materials     6,925,647       1.5  
Real Estate     9,966,998       2.2  
Telecommunication Services     6,680,021       1.4  
Utilities     5,463,595       1.2  
Short-Term Investments     136,059,681       29.1  
 

 

 

    

 

 

  

Total Investments In Securities At Value

     443,928,905       95.0  
Other Assets in Excess of Liabilities (p)     23,487,020       5.0  
 

 

 

    

 

 

  

Net Assets

   $ 467,415,925       100.0 % 
 

 

 

    

 

 

  
 

 

  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
(Cost $8,368,071)

 

     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
(Cost $111,420)

 

     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   
   

 

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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
(Cost $1,322,280)

 

     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

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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   
   

 

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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   

 

INVESTMENTS   SHARES     VALUE  
LONG POSITIONS - 107.1%            
COMMON STOCKS - 27.9%            
Belgium - 1.6%            
Ageas (a)     204,898     $ 10,315,196  
bpost SA (a)     114,541       1,807,912  
KBC Group NV (a)     40,384       3,101,495  
Proximus SADP     14,289       321,390  
Solvay SA (a)     61,096       7,694,341  
UCB SA (a)     101,723       7,974,097  
   

 

 

  
      31,214,431  
   

 

 

  
Canada - 3.5%            
Agnico Eagle Mines Ltd. (1)     1,992       91,323  
Air Canada (1)*(a)     548,595       8,867,489  
Atco Ltd., Class I (1)     9,647       297,779  
Barrick Gold Corp. (1)     17,100       224,635  
BlackBerry Ltd. (1)*     72,003       694,480  
Bombardier, Inc., Class B (1)*     84,343       333,612  
Canadian Imperial Bank of Commerce (1)(a)     60,588       5,270,485  
Canadian Tire Corp. Ltd., Class A (1)(a)     35,065       4,577,001  
CGI Group, Inc., Class A (1)*(a)     23,894       1,514,174  
Constellation Software, Inc. (1)(a)     3,769       2,922,971  
Dollarama, Inc. (1)(a)     296,114       11,478,318  
Empire Co. Ltd., Class A (1)     27,704       556,124  
Encana Corp. (1)     41,146       537,388  
Finning International, Inc. (1)(a)     66,908       1,651,515  
Franco-Nevada Corp. (1)     9,986       728,830  
George Weston Ltd. (1)     4,059       331,167  
Industrial Alliance Insurance & Financial Services, Inc. (1)     16,711       645,102  
Linamar Corp. (1)(a)     70,787       3,112,765  
Magna International, Inc. (1)(a)     161,677       9,403,129  
Manulife Financial Corp. (1)(a)     66,728       1,198,886  
Methanex Corp. (1)(a)     59,597       4,214,154  
National Bank of Canada (1)(a)     69,786       3,350,620  
Ritchie Bros Auctioneers, Inc. (1)     6,926       236,232  
Seven Generations Energy Ltd.,
Class A (1)*		     3,100       34,168  
Teck Resources Ltd., Class B (1)(a)     135,488       3,451,484  
Tourmaline Oil Corp. (1)     2,200       39,309  
West Fraser Timber Co. Ltd. (1)(a)     46,549       3,204,061  
WestJet Airlines Ltd. (1)     24,763       341,500  
Whitecap Resources, Inc. (1)     5,157       34,951  
   

 

 

  
      69,343,652  
   

 

 

  
Chile - 0.1%            
Lundin Mining Corp. (1)(a)     508,403       2,826,932  
   

 

 

  
Denmark - 1.9%            
Carlsberg A/S, Class B (a)     28,903       3,400,684  
Coloplast A/S, Class B     2,764       275,964  
Danske Bank A/S (a)     53,047       1,652,621  
DSV A/S (a)     32,433       2,610,912  
GN Store Nord A/S (a)     206,519       9,383,439  
H Lundbeck A/S (a)     88,559       6,206,790  
Jyske Bank A/S (Registered) (a)     29,617       1,618,863  
Novo Nordisk A/S, Class B (a)     181,451       8,381,324  
Orsted A/S (a)(b)     42,527       2,569,530  
Vestas Wind Systems A/S     5,243       323,684  
   

 

 

  
      36,423,811  
   

 

 

  
INVESTMENTS   SHARES     VALUE  
Finland - 1.4%            
Cargotec OYJ, Class B     7,202     $ 363,388  
Fortum OYJ (a)     248,574       5,920,815  
Kesko OYJ, Class B     19,939       1,217,853  
Neste OYJ (a)     179,025       14,006,713  
UPM-Kymmene OYJ (a)     166,037       5,911,764  
   

 

 

  
      27,420,533  
   

 

 

  
Germany - 0.8%            
Aurubis AG (a)     62,705       4,786,543  
Deutsche Lufthansa AG (Registered) (a)     366,453       8,779,346  
OSRAM Licht AG (a)     49,039       1,997,106  
   

 

 

  
      15,562,995  
   

 

 

  
Italy - 2.7%            
A2A SpA (a)     3,994,981       6,915,045  
Autogrill SpA     168,174       2,077,212  
DiaSorin SpA     11,419       1,297,709  
Enel SpA (a)     1,745,342       9,671,257  
Eni SpA (a)     879,130       16,300,279  
Hera SpA (a)     800,000       2,489,280  
Italgas SpA     59,814       329,213  
Moncler SpA (a)     208,968       9,481,932  
Pirelli & C SpA *(b)     23,386       194,741  
Poste Italiane SpA (b)     194,013       1,619,355  
Prysmian SpA (a)     72,875       1,808,234  
Snam SpA (a)     199,883       832,993  
   

 

 

  
      53,017,250  
   

 

 

  
Luxembourg - 0.4%            
Aperam SA     47,391       2,026,575  
Aperam SA (a)     11,261       482,677  
ArcelorMittal (a)     182,709       5,330,676  
   

 

 

  
      7,839,928  
   

 

 

  
Malta - 0.3%            
Kindred Group plc, SDR (a)     447,386       5,604,747  
   

 

 

  
Netherlands - 2.6%            
Aalberts Industries NV     9,239       441,351  
Aegon NV     32,238       192,481  
Akzo Nobel NV (a)     43,713       3,728,381  
ASM International NV (a)     98,321       5,417,755  
ASR Nederland NV (a)     119,906       4,882,680  
Koninklijke Ahold Delhaize NV (a)     622,380       14,860,938  
Koninklijke DSM NV (a)     54,092       5,411,312  
NN Group NV (a)     186,424       7,560,690  
Randstad NV (a)     17,975       1,055,046  
Signify NV (a)(b)     188,592       4,879,168  
Wolters Kluwer NV (a)     54,643       3,069,665  
   

 

 

  
      51,499,467  
   

 

 

  
Norway - 1.5%            
Equinor ASA (a)     156,937       4,149,815  
Leroy Seafood Group ASA (a)     542,347       3,653,400  
Marine Harvest ASA (a)     364,699       7,251,269  
Norsk Hydro ASA (a)     1,217,249       7,266,064  
Orkla ASA     80,464       703,970  
Salmar ASA (a)     139,531       5,852,457  
   

 

 

  
      28,876,975  
   

 

 

  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
Portugal - 0.0% (c)            
Galp Energia SGPS SA     20,276     $ 385,724  
   

 

 

  
Singapore - 0.2%            
Genting Singapore Ltd.     4,910,000       4,396,477  
StarHub Ltd.     225,100       273,845  
   

 

 

  
      4,670,322  
   

 

 

  
Spain - 3.4%            
Acerinox SA (a)     210,428       2,780,461  
ACS Actividades de Construccion y Servicios SA (a)     64,396       2,598,117  
Amadeus IT Group SA (a)     122,101       9,601,102  
Bankinter SA     29,350       284,783  
Enagas SA (a)     77,795       2,268,989  
Endesa SA (a)     654,046       14,383,521  
Iberdrola SA (a)     490,007       3,778,815  
Mapfre SA (a)     1,340,407       4,028,916  
Mediaset Espana Comunicacion SA     43,661       367,002  
Red Electrica Corp. SA (a)     36,222       735,887  
Repsol SA (a)     1,276,248       24,911,195  
   

 

 

  
      65,738,788  
   

 

 

  
Sweden - 3.0%            
Alfa Laval AB     24,402       576,079  
BillerudKorsnas AB     177,864       2,507,183  
Boliden AB *(a)     514,049       16,590,153  
Electrolux AB, Series B (a)     329,061       7,467,584  
Essity AB, Class B (a)     234,498       5,769,022  
Holmen AB, Class B     54,231       1,228,325  
Husqvarna AB, Class B     102,622       970,819  
NCC AB, Class B     41,940       695,427  
Nibe Industrier AB, Class B     33,974       363,352  
Saab AB, Class B     9,148       378,838  
Sandvik AB (a)     196,256       3,466,074  
Securitas AB, Class B     25,722       421,791  
SKF AB, Class B     35,876       664,147  
SSAB AB, Class A (a)     701,800       3,300,454  
Svenska Cellulosa AB SCA, Class B (a)     492,875       5,335,732  
Swedish Match AB     15,596       770,781  
Tele2 AB, Class B     22,960       268,917  
Trelleborg AB, Class B     27,054       575,268  
Volvo AB, Class B (a)     512,982       8,152,886  
   

 

 

  
      59,502,832  
   

 

 

  
Switzerland - 4.2%            
Adecco Group AG (Registered) (a)     185,412       10,941,922  
Barry Callebaut AG (Registered)     611       1,094,862  
Bucher Industries AG (Registered)     3,784       1,262,224  
Cie Financiere Richemont SA (Registered)     5,594       472,886  
dormakaba Holding AG *     1,788       1,249,057  
Flughafen Zurich AG (Registered)     2,722       553,832  
GAM Holding AG *     53,348       733,578  
Georg Fischer AG (Registered) (a)     6,128       7,825,362  
Givaudan SA (Registered)     224       507,319  
Helvetia Holding AG (Registered)     1,246       710,828  
OC Oerlikon Corp. AG (Registered) *     55,510       845,680  
Partners Group Holding AG     2,307       1,686,523  
Roche Holding AG (a)     28,415       6,304,100  
INVESTMENTS   SHARES     VALUE  
Switzerland - 4.2% (continued)            
Schindler Holding AG     1,819     $ 390,545  
Sika AG (Registered) (a)     68,886       9,517,952  
Sonova Holding AG (Registered)     6,266       1,120,884  
STMicroelectronics NV (a)     562,734       12,483,310  
Sunrise Communications Group AG *(b)     7,452       605,514  
Swatch Group AG (The) (a)     1,634       773,505  
Swiss Life Holding AG (Registered) *(a)     15,963       5,535,196  
Temenos AG (Registered) *(a)     101,467       15,259,274  
   

 

 

  
      79,874,353  
   

 

 

  
United Kingdom - 0.3%            
Fiat Chrysler Automobiles NV *(a)     336,492       6,347,666  
   

 

 

  
United States - 0.0% (c)            
Valeant Pharmaceuticals International, Inc. (1)*     31,971       744,162  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $489,968,974)

 

     546,894,568  
   

 

 

  
SHORT-TERM INVESTMENTS - 79.2%        
INVESTMENT COMPANIES - 54.1%        
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)     15,281,765       15,281,765  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)     61,127,060       61,127,060  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)     4,923,901       4,923,901  
Limited Purpose Cash Investment Fund, 1.85% (d)(f)     904,482,994       904,482,994  
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)     76,408,826       76,408,826  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $1,062,081,213)

       1,062,224,546  
   

 

 

  
   

 PRINCIPAL

AMOUNT

  

  
U.S. TREASURY OBLIGATIONS - 25.1%        
U.S. Treasury Bills    
1.59%, 7/5/2018 (g)   $ 22,223,000       22,219,926  
1.59%, 7/12/2018 (g)     29,519,000       29,505,255  
1.61%, 7/19/2018 (g)     89,833,000       89,759,292  
1.63%, 7/26/2018 (g)     33,302,000       33,263,647  
1.64%, 8/2/2018 (g)     3,623,000       3,617,354  
1.66%, 8/9/2018 (g)     21,467,000       21,425,703  
1.79%, 8/16/2018 (g)     10,746,000       10,721,486  
1.84%, 8/23/2018 (g)     3,302,000       3,293,302  
1.85%, 8/30/2018 (g)     17,236,000       17,183,459  
1.85%, 9/6/2018 (g)     30,855,000       30,748,795  
1.97%, 9/20/2018 (g)     13,844,000       13,786,317  
1.91%, 9/27/2018 (g)     19,530,000       19,441,033  
1.92%, 10/4/2018 (g)     12,018,000       11,957,919  
1.90%, 10/11/2018 (g)     49,812,000       49,542,455  
1.96%, 10/18/2018 (g)     48,456,000       48,174,349  
2.01%, 10/25/2018 (g)     6,299,000       6,259,964  
 

 

  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   

 

INVESTMENTS  

PRINCIPAL

AMOUNT

     VALUE  
U.S. TREASURY OBLIGATIONS - 25.1% (continued)  
2.01%, 11/1/2018 (g)   $ 33,002,000     $ 32,781,675  
2.02%, 11/8/2018 (g)     17,160,000       17,037,789  
2.06%, 11/15/2018 (g)     2,906,000       2,884,016  
2.08%, 12/13/2018 (g)     25,158,000       24,924,915  
2.10%, 12/20/2018 (g)     4,058,000       4,018,895  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $492,535,871)

 

     492,547,546  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $1,554,617,084)

 

     1,554,772,092  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $2,044,586,058)

       2,101,666,660  
   

 

 

  
    SHARES    
SHORT POSITIONS - (23.0)%            
COMMON STOCKS - (23.0)%            
Austria - (0.3)%            
ams AG *     (68,329 )      (5,067,288 ) 
   

 

 

  
Belgium - (1.4)%            
Anheuser-Busch InBev SA/NV     (202,634 )      (20,438,676 ) 
Galapagos NV *     (46,073 )      (4,243,206 ) 
Telenet Group Holding NV *     (57,813 )      (2,691,564 ) 
Umicore SA     (1,118 )      (63,824 ) 
   

 

 

  
      (27,437,270 ) 
   

 

 

  
Brazil - 0.0% (c)            
Yamana Gold, Inc. (1)     (96,101 )      (279,973 ) 
   

 

 

  
Canada - (2.9)%            
AltaGas Ltd. (1)     (86,898 )      (1,794,607 ) 
Cameco Corp. (1)     (412,414 )      (4,639,716 ) 
Canadian Utilities Ltd., Class A (1)     (20,419 )      (515,659 ) 
Cenovus Energy, Inc. (1)     (5,631 )      (58,467 ) 
Eldorado Gold Corp. (1)*     (365,527 )      (369,795 ) 
Element Fleet Management Corp. (1)     (446,592 )      (2,099,371 ) 
Emera, Inc. (1)     (20,875 )      (679,611 ) 
Enbridge, Inc. (1)     (529,397 )      (18,926,450 ) 
Goldcorp, Inc. (1)     (98,765 )      (1,356,033 ) 
Imperial Oil Ltd. (1)     (146,150 )      (4,858,141 ) 
Inter Pipeline Ltd. (1)     (7,600 )      (142,444 ) 
Keyera Corp. (1)     (44,550 )      (1,239,599 ) 
Pembina Pipeline Corp. (1)     (13,495 )      (467,370 ) 
Peyto Exploration & Development Corp. (1)     (100,544 )      (773,974 ) 
Stantec, Inc. (1)     (28,818 )      (741,138 ) 
TransCanada Corp. (1)     (289,211 )      (12,513,081 ) 
Wheaton Precious Metals Corp. (1)     (245,876 )      (5,427,545 ) 
WSP Global, Inc. (1)     (3,200 )      (168,489 ) 
   

 

 

  
      (56,771,490 ) 
   

 

 

  
Denmark - (1.6)%            
AP Moller - Maersk A/S, Class B     (5,510 )      (6,816,420 ) 
Chr Hansen Holding A/S     (31,464 )      (2,896,604 ) 
Genmab A/S *     (89,335 )      (13,745,812 ) 
Novozymes A/S, Class B     (50,438 )      (2,551,065 ) 
Pandora A/S     (71,779 )      (5,002,812 ) 
   

 

 

  
      (31,012,713 ) 
   

 

 

  
INVESTMENTS   SHARES         
VALUE		  
Finland - (0.5)%            
Amer Sports OYJ *     (111,213 )    $ (3,496,997 ) 
Huhtamaki OYJ     (55,190 )      (2,035,219 ) 
Metso OYJ     (42,494 )      (1,417,393 ) 
Orion OYJ, Class B     (93,544 )      (2,515,868 ) 
Outokumpu OYJ     (52,124 )      (322,835 ) 
   

 

 

  
      (9,788,312 ) 
   

 

 

  
Hong Kong - 0.0% (c)            
Hutchison Port Holdings Trust     (1,010,300 )      (278,843 ) 
   

 

 

  
Italy - (2.4)%            
Banco BPM SpA *     (1,562,094 )      (4,537,734 ) 
BPER Banca     (540,974 )      (2,951,736 ) 
Brembo SpA     (18,859 )      (254,347 ) 
Buzzi Unicem SpA     (255,372 )      (6,239,520 ) 
Davide Campari-Milano SpA     (69,702 )      (572,109 ) 
Ferrari NV     (39,861 )      (5,387,979 ) 
FinecoBank Banca Fineco SpA     (26,120 )      (294,034 ) 
Intesa Sanpaolo SpA     (891,187 )      (2,578,446 ) 
Leonardo SpA     (925,111 )      (9,105,299 ) 
Recordati SpA     (31,173 )      (1,235,235 ) 
Saipem SpA *     (756,057 )      (3,467,406 ) 
Telecom Italia SpA *     (3,820,418 )      (2,830,477 ) 
UniCredit SpA     (83,197 )      (1,378,941 ) 
Unione di Banche Italiane SpA     (1,401,008 )      (5,366,284 ) 
   

 

 

  
      (46,199,547 ) 
   

 

 

  
Luxembourg - (1.1)%            
Tenaris SA     (1,191,269 )      (21,740,682 ) 
   

 

 

  
Netherlands - (1.6)%            
ABN AMRO Group NV, CVA (b)     (30,755 )      (795,379 ) 
ALTICE EUROPE NV *     (1,096,409 )      (4,450,327 ) 
ASML Holding NV     (324 )      (64,115 ) 
Boskalis Westminster     (210,663 )      (6,121,753 ) 
Heineken NV     (17,937 )      (1,797,081 ) 
Koninklijke KPN NV     (1,489,427 )      (4,050,019 ) 
Koninklijke Vopak NV     (102,664 )      (4,731,981 ) 
OCI NV *     (147,742 )      (3,967,392 ) 
SBM Offshore NV     (354,070 )      (5,489,968 ) 
   

 

 

  
      (31,468,015 ) 
   

 

 

  
Norway - (0.4)%            
Gjensidige Forsikring ASA     (68,868 )      (1,127,472 ) 
Schibsted ASA, Class A     (92,664 )      (2,809,953 ) 
Yara International ASA     (109,309 )      (4,522,354 ) 
   

 

 

  
      (8,459,779 ) 
   

 

 

  
Portugal - 0.0% (c)            
Banco Comercial Portugues SA, Class R *     (1,124,484 )      (336,256 ) 
   

 

 

  
Singapore - (0.2)%            
CapitaLand Ltd.     (563,000 )      (1,303,064 ) 
Singapore Post Ltd.     (332,300 )      (306,847 ) 
Singapore Press Holdings Ltd.     (1,015,400 )      (1,935,010 ) 
Singapore Telecommunications Ltd.     (251,200 )      (567,159 ) 
   

 

 

  
      (4,112,080 ) 
   

 

 

  
 

 

  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   

 

INVESTMENTS   SHARES         
VALUE		  
Spain - (3.1)%            
Atresmedia Corp. de Medios de Comunicacion SA     (32,791 )    $ (275,071 ) 
Banco de Sabadell SA     (171,918 )      (287,070 ) 
Banco Santander SA     (209,941 )      (1,122,023 ) 
Bankia SA     (2,452,293 )      (9,144,773 ) 
Cellnex Telecom SA (b)     (367,058 )      (9,228,377 ) 
Ferrovial SA     (236,799 )      (4,845,525 ) 
Grifols SA     (310,342 )      (9,301,832 ) 
Industria de Diseno Textil SA     (688,419 )      (23,443,504 ) 
Telefonica SA     (571,141 )      (4,847,523 ) 
   

 

 

  
      (62,495,698 ) 
   

 

 

  
Sweden - (3.1)%            
Elekta AB, Class B     (18,006 )      (236,664 ) 
Getinge AB, Class B     (245,551 )      (2,229,120 ) 
Hennes & Mauritz AB, Class B     (525,068 )      (7,815,664 ) 
Hexagon AB, Class B     (52,149 )      (2,897,772 ) 
Hexpol AB     (185,452 )      (1,918,233 ) 
Nordea Bank AB     (129,452 )      (1,241,780 ) 
Svenska Handelsbanken AB, Class A     (1,116,620 )      (12,367,068 ) 
Swedbank AB, Class A     (50,942 )      (1,085,383 ) 
Swedish Orphan Biovitrum AB *     (26,954 )      (587,007 ) 
Telefonaktiebolaget LM Ericsson, Class B     (3,890,265 )      (29,971,393 ) 
   

 

 

  
      (60,350,084 ) 
   

 

 

  
Switzerland - (2.9)%            
Aryzta AG *     (137,236 )      (2,052,768 ) 
Chocoladefabriken Lindt & Spruengli AG     (1,058 )      (6,857,558 ) 
Credit Suisse Group AG (Registered) *     (1,842,754 )      (27,554,844 ) 
Dufry AG (Registered) *     (4,793 )      (609,588 ) 
Lonza Group AG (Registered) *     (3,782 )      (999,380 ) 
Straumann Holding AG (Registered)     (596 )      (451,998 ) 
UBS Group AG (Registered) *     (68,885 )      (1,056,032 ) 
Vifor Pharma AG     (106,314 )      (16,958,537 ) 
   

 

 

  
      (56,540,705 ) 
   

 

 

  
United Kingdom - (0.7)%            
CNH Industrial NV     (36,931 )      (390,120 ) 
Subsea 7 SA     (218,343 )      (3,471,021 ) 
Unilever NV, CVA     (190,026 )      (10,587,676 ) 
   

 

 

  
      (14,448,817 ) 
   

 

 

  
United States - (0.4)%            
Altice USA, Inc., Class A (1)     (447,841 )      (7,640,160 ) 
   

 

 

  
Zambia - (0.4)%            
First Quantum Minerals Ltd. (1)     (469,692 )      (6,920,423 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(479,619,383))

 

     (451,348,135 ) 
   

 

 

  
INVESTMENTS   NO. OF
RIGHTS		     VALUE  
RIGHTS - 0.0%            
Italy - 0.0%            
Intesa Sanpaolo SpA (3)*(h)
(Proceeds $—)		     (1,081,534 )    $ —  
   

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(479,619,383))

 

     (451,348,135 ) 
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 84.1%
(Cost $1,564,966,675)

 

     1,650,318,525  
   

 

 

  
OTHER ASSETS IN EXCESS OF
LIABILITIES - 15.9% (i)		         311,663,111  
   

 

 

  

NET ASSETS - 100.0%

 

   $ 1,961,981,636  
   

 

 

  

 

SECTOR    VALUE      % OF NET
ASSETS		  
Consumer Discretionary    $ 912,808        0.1 % 
Consumer Staples      3,156,660        0.2
Energy      (20,813,383 )       (1.1 )
Financials      (20,936,332 )       (1.1 )
Health Care      (10,816,189 )       (0.5 )
Industrials      49,334,934        2.5
Information Technology      9,892,499        0.5
Materials      60,276,517        3.1
Real Estate      (1,303,064 )       (0.1 )
Telecommunication Services      (20,053,889 )       (1.0 )
Utilities      45,895,872        2.3
Short-Term Investments      1,554,772,092        79.2  
  

 

 

     

 

 

  
Total Investments In Securities
At Value		    1,650,318,525      84.1  

Other Assets in Excess of
Liabilities (i)

      311,663,111        15.9  
  

 

 

     

 

 

  

Net Assets

    $ 1,961,981,636        100.0 % 
  

 

 

     

 

 

  
 

 

  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
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 - 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   
   

 

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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
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 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
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.   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
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 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   

 

INVESTMENTS   SHARES     VALUE  
SHORT-TERM INVESTMENTS - 90.1%

 

INVESTMENT COMPANIES - 50.5%  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)     5,464,317     $ 5,464,317  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (a)(b)     564,969       564,969  
Limited Purpose Cash Investment Fund, 1.85% (a)     12,298,799       12,298,799  
   

 

 

  

TOTAL INVESTMENT COMPANIES (Cost $18,325,737)

       18,328,085  
   

 

 

  
    PRINCIPAL
AMOUNT		        
U.S. TREASURY OBLIGATIONS - 39.6%  
U.S. Treasury Bills    
1.97%, 9/20/2018 (c)   $ 1,649,000       1,642,129  
2.06%, 11/15/2018 (c)     12,859,000       12,761,722  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS (Cost $14,401,181)

       14,403,851  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS (Cost $32,726,918)

       32,731,936  
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.1%
(Cost $32,726,918)

       32,731,936  
   

 

 

  
OTHER ASSETS IN EXCESS OF
LIABILITIES - 9.9% (d)		         3,592,881  
   

 

 

  

NET ASSETS - 100.0%

     $ 36,324,817  
   

 

 

  
(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)

The rate shown was the effective yield at the date of purchase.

(d)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 with respect to ASC 820 (See Note 5).

 

 

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   
   

 

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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   
   

 

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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.

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

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   
   

 

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   

 

INVESTMENTS   SHARES     VALUE  
LONG POSITIONS - 133.5%            
COMMON STOCKS - 45.0%            
Canada - 3.3%            
Air Canada *(a)     1,627,471     $ 26,306,438  
ARC Resources Ltd.     8,764       90,530  
Atco Ltd., Class I     28,051       865,865  
Barrick Gold Corp.     34,100       447,957  
BlackBerry Ltd. *     128,812       1,242,411  
Bombardier, Inc., Class B *     230,840       913,070  
BRP, Inc.     4,900       236,232  
Canadian Imperial Bank of Commerce (a)     137,749       11,982,638  
Canadian Tire Corp. Ltd., Class A (a)     74,369       9,707,314  
CGI Group, Inc., Class A *     64,137       4,064,392  
Constellation Software, Inc. (a)     8,350       6,475,672  
Dollarama, Inc. (a)     822,639       31,888,096  
Empire Co. Ltd., Class A     73,878       1,483,011  
Encana Corp.     24,397       318,637  
Finning International, Inc. (a)     177,347       4,377,523  
Franco-Nevada Corp.     3,300       240,851  
George Weston Ltd.     11,601       946,505  
Industrial Alliance Insurance & Financial Services, Inc.     29,290       1,130,694  
Linamar Corp. (a)     165,934       7,296,729  
Magna International, Inc. (a)     358,192       20,832,435  
Manulife Financial Corp.     142,610       2,562,240  
Methanex Corp. (a)     156,457       11,063,205  
National Bank of Canada (a)     202,720       9,733,151  
Quebecor, Inc., Class B     81,779       1,674,583  
Seven Generations Energy Ltd., Class A *     8,900       98,095  
Teck Resources Ltd., Class B (a)     391,632       9,976,614  
West Fraser Timber Co. Ltd. (a)     125,491       8,637,798  
WestJet Airlines Ltd.     63,691       878,346  
   

 

 

  
      175,471,032  
   

 

 

  
Chile - 0.1%            
Lundin Mining Corp. (a)     1,367,132       7,601,822  
   

 

 

  
Italy - 2.4%            
A2A SpA (2)(a)     8,011,414       13,867,221  
DiaSorin SpA (2)     8,497       965,639  
Enel SpA (2)(a)     5,192,286       28,771,401  
Eni SpA (2)(a)     2,075,985       38,491,615  
Hera SpA (2)(a)     1,792,230       5,576,702  
Italgas SpA (2)     167,591       922,411  
Mediobanca Banca di Credito Finanziario SpA (2)     79,164       732,269  
Moncler SpA (2)(a)     593,829       26,945,017  
Pirelli & C SpA (2)*(b)     68,314       568,867  
Poste Italiane SpA (2)(b)     434,270       3,624,692  
Prysmian SpA (2)     122,418       3,037,536  
Snam SpA (2)(a)     616,599       2,569,618  
   

 

 

  
      126,072,988  
   

 

 

  
Singapore - 0.2%            
Genting Singapore Ltd. (2)(a)     11,899,300       10,654,786  
StarHub Ltd. (2)     687,700       836,621  
   

 

 

  
      11,491,407  
   

 

 

  
INVESTMENTS   SHARES     VALUE  
Spain - 1.1%            
Repsol SA (2)(a)     3,115,086     $ 60,803,631  
   

 

 

  
Switzerland - 1.2%            
STMicroelectronics NV (2)(a)     1,354,405       30,045,202  
Temenos AG (Registered) (2)*(a)     229,858       34,567,559  
   

 

 

  
      64,612,761  
   

 

 

  
United Kingdom - 0.4%            
Fiat Chrysler Automobiles NV (2)*(a)     993,893       18,749,038  
   

 

 

  
United States - 36.3%            
AbbVie, Inc. (a)     117,343       10,871,829  
ABIOMED, Inc. *(a)     20,754       8,489,424  
AGCO Corp. (a)     106,461       6,464,312  
Agilent Technologies, Inc. (a)     255,871       15,823,063  
Align Technology, Inc. *(a)     44,794       15,325,819  
Amgen, Inc. (a)     61,478       11,348,224  
Anadarko Petroleum Corp.     25,900       1,897,175  
Antero Resources Corp. *     181,692       3,879,124  
Anthem, Inc. (a)     42,263       10,059,862  
AO Smith Corp.     15,200       899,080  
Apache Corp.     67,759       3,167,733  
Apple, Inc. (a)     196,770       36,424,095  
Arista Networks, Inc. *(a)     71,915       18,517,393  
Armstrong World Industries, Inc. *     33,613       2,124,342  
Arrow Electronics, Inc. *(a)     279,576       21,046,481  
Avnet, Inc. (a)     308,664       13,238,599  
Baxter International, Inc. (a)     666,949       49,247,513  
Biogen, Inc. *(a)     154,024       44,703,925  
Bio-Rad Laboratories, Inc., Class A *     4,967       1,433,178  
Boeing Co. (The) (a)     124,434       41,748,851  
Boston Scientific Corp. *(a)     154,142       5,040,443  
Bristol-Myers Squibb Co.     34,110       1,887,647  
Bruker Corp. (a)     136,622       3,967,503  
Cabot Oil & Gas Corp. (a)     421,325       10,027,535  
Cardinal Health, Inc.     19,200       937,536  
Caterpillar, Inc. (a)     78,676       10,673,973  
CDW Corp. (a)     343,553       27,755,647  
Celgene Corp. *(a)     401,123       31,857,189  
Centene Corp. *(a)     138,279       17,037,356  
Cerner Corp. *(a)     134,670       8,051,919  
Charles River Laboratories International, Inc. *(a)     235,782       26,468,887  
Chevron Corp. (a)     161,698       20,443,478  
Cigna Corp.     172,209       29,266,920  
Cimarex Energy Co. (a)     151,211       15,384,207  
Cisco Systems, Inc. (a)     467,101       20,099,356  
CNX Resources Corp. *(a)     404,417       7,190,534  
Coherent, Inc. *(a)     62,056       9,706,800  
Comcast Corp., Class A     124,089       4,071,360  
Concho Resources, Inc. *     5,600       774,760  
ConocoPhillips (a)     436,246       30,371,447  
CONSOL Energy, Inc. *     74,506       2,857,305  
Crane Co. (a)     93,799       7,516,114  
Cummins, Inc. (a)     240,931       32,043,823  
Curtiss-Wright Corp. (a)     95,067       11,314,874  
Danaher Corp. (a)     113,923       11,241,922  
DENTSPLY SIRONA, Inc.     5,800       253,866  
Devon Energy Corp. (a)     528,619       23,238,091  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - 36.3% (continued)            
Dolby Laboratories, Inc., Class A (a)     113,975     $ 7,031,118  
Dover Corp.     46,569       3,408,851  
Eaton Corp. plc (a)     115,570       8,637,702  
Edwards Lifesciences Corp. *     4,500       655,065  
EMCOR Group, Inc. (a)     88,257       6,723,418  
Emerson Electric Co. (a)     189,712       13,116,688  
Endo International plc *     50,100       472,443  
Energen Corp. *(a)     175,331       12,767,603  
EnerSys     12,882       961,512  
EOG Resources, Inc. (a)     91,137       11,340,177  
Esterline Technologies Corp. *(a)     137,638       10,157,684  
Exelixis, Inc. *(a)     964,399       20,753,866  
Exxon Mobil Corp. (a)     232,097       19,201,385  
F5 Networks, Inc. *(a)     110,946       19,132,638  
Flex Ltd. *(a)     709,101       10,005,415  
FLIR Systems, Inc. (a)     353,832       18,388,649  
General Dynamics Corp. (a)     232,764       43,389,537  
Gilead Sciences, Inc. (a)     383,151       27,142,417  
Globus Medical, Inc., Class A *(a)     214,786       10,838,102  
Halliburton Co. (a)     225,348       10,154,181  
Harris Corp. (a)     66,945       9,676,230  
HD Supply Holdings, Inc. *(a)     721,783       30,957,273  
Helmerich & Payne, Inc.     22,710       1,447,990  
Hewlett Packard Enterprise Co. (a)     1,389,962       20,307,345  
Hill-Rom Holdings, Inc.     6,000       524,040  
HollyFrontier Corp. (a)     101,927       6,974,865  
Honeywell International, Inc. (a)     313,011       45,089,234  
HP, Inc. (a)     619,391       14,053,982  
Hubbell, Inc.     7,851       830,165  
Humana, Inc. (a)     114,146       33,973,274  
Huntington Ingalls Industries, Inc. (a)     126,553       27,435,425  
ICU Medical, Inc. *     6,150       1,805,948  
Illinois Tool Works, Inc.     17,536       2,429,437  
Ingersoll-Rand plc (a)     256,773       23,040,241  
Intuitive Surgical, Inc. *(a)     40,295       19,280,352  
IPG Photonics Corp. *(a)     95,038       20,968,234  
IQVIA Holdings, Inc. *(a)     116,962       11,675,147  
ITT, Inc. (a)     214,692       11,221,951  
John Wiley & Sons, Inc., Class A     45,115       2,815,176  
Johnson & Johnson (a)     85,427       10,365,712  
Juniper Networks, Inc. (a)     689,343       18,901,785  
KBR, Inc.     121,833       2,183,247  
L3 Technologies, Inc. (a)     88,562       17,032,244  
Laredo Petroleum, Inc. *     95,600       919,672  
Lockheed Martin Corp. (a)     34,094       10,072,390  
Marathon Oil Corp. (a)     317,888       6,631,144  
Marathon Petroleum Corp. (a)     102,820       7,213,851  
Masimo Corp. *     9,949       971,520  
McKesson Corp. (a)     125,445       16,734,363  
Medtronic plc     21,530       1,843,183  
Merck & Co., Inc. (a)     115,159       6,990,151  
Mettler-Toledo International, Inc. *(a)     8,489       4,911,990  
Molina Healthcare, Inc. *     20,964       2,053,214  
MSC Industrial Direct Co., Inc., Class A (a)     74,737       6,341,434  
Murphy Oil Corp.     38,300       1,293,391  
National Instruments Corp.     37,847       1,588,817  
NetApp, Inc.     60,989       4,789,466  
Newfield Exploration Co. *     51,790       1,566,648  
INVESTMENTS   SHARES     VALUE  
United States - 36.3% (continued)            
Northrop Grumman Corp. (a)     96,429     $ 29,671,203  
Oasis Petroleum, Inc. *     103,246       1,339,101  
Occidental Petroleum Corp.     37,692       3,154,067  
Oceaneering International, Inc.     77,583       1,975,263  
Omnicom Group, Inc.     16,180       1,234,049  
Oshkosh Corp. (a)     273,606       19,239,974  
Owens Corning (a)     166,925       10,578,037  
PACCAR, Inc.     33,824       2,095,735  
Palo Alto Networks, Inc. *(a)     44,762       9,197,248  
Patterson Cos., Inc.     20,500       464,735  
Patterson-UTI Energy, Inc. (a)     456,351       8,214,318  
Pfizer, Inc. (a)     170,477       6,184,906  
Phillips 66 (a)     77,603       8,715,593  
QEP Resources, Inc. *(a)     594,359       7,286,841  
QIAGEN NV *(a)     666,329       24,094,457  
Range Resources Corp.     60,790       1,017,017  
Raytheon Co. (a)     381,552       73,708,214  
Regeneron Pharmaceuticals, Inc. *(a)     25,468       8,786,205  
Rockwell Automation, Inc.     6,323       1,051,072  
Seagate Technology plc (a)     239,782       13,540,490  
Snap-on, Inc. (a)     80,577       12,950,335  
Southwestern Energy Co. *(a)     1,754,030       9,296,359  
Spirit AeroSystems Holdings, Inc., Class A (a)     386,005       33,161,690  
Stanley Black & Decker, Inc. (a)     144,195       19,150,538  
Star Group, Inc. (The) *     23,355       847,044  
Superior Energy Services, Inc. *     241,541       2,352,609  
SYNNEX Corp. (a)     103,789       10,016,676  
TE Connectivity Ltd. (a)     157,060       14,144,824  
TEGNA, Inc. (a)     528,476       5,733,965  
Teledyne Technologies, Inc. *     13,672       2,721,548  
Terex Corp.     26,822       1,131,620  
Thermo Fisher Scientific, Inc.     6,868       1,422,638  
Toro Co. (The)     24,463       1,473,896  
United Technologies Corp. (a)     69,529       8,693,211  
United Therapeutics Corp. *(a)     143,499       16,236,912  
UnitedHealth Group, Inc. (a)     109,200       26,791,128  
Valeant Pharmaceuticals International, Inc. *     66,640       1,551,123  
Valero Energy Corp. (a)     360,466       39,950,447  
Varian Medical Systems, Inc. *(a)     37,659       4,282,581  
Veeva Systems, Inc., Class A *     31,376       2,411,559  
Vertex Pharmaceuticals, Inc. *(a)     86,081       14,630,327  
Viacom, Inc., Class B (a)     401,717       12,115,785  
Walt Disney Co. (The)     8,260       865,731  
Waters Corp. *     9,454       1,830,200  
WellCare Health Plans, Inc. *(a)     48,990       12,063,298  
WESCO International, Inc. *(a)     166,670       9,516,857  
Western Digital Corp. (a)     405,124       31,360,649  
Whiting Petroleum Corp. *     21,400       1,128,208  
Woodward, Inc.     35,296       2,712,851  
World Fuel Services Corp. (a)     233,259       4,760,816  
WW Grainger, Inc. (a)     70,093       21,616,681  
Zebra Technologies Corp., Class A *(a)     70,350       10,077,638  
   

 

 

  
      1,915,927,765  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $2,291,197,430)

       2,380,730,444  
   

 

 

  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
SHORT-TERM INVESTMENTS - 88.5%        
INVESTMENT COMPANIES - 47.4%        
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(c)     347,734     $ 347,734  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(c)     1,390,934       1,390,934  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (2)(c)(d)     84,809,417       84,809,417  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (2)(c)(d)     711,328,520       711,328,520  
Limited Purpose Cash Investment Fund, 1.85% (2)(c)(e)     1,703,560,950       1,703,560,950  
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(c)     1,738,668       1,738,668  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $2,502,878,736)

       2,503,176,223  
   

 

 

  
   
 PRINCIPAL
AMOUNT		  
 		  
U.S. TREASURY OBLIGATIONS - 41.1%  
U.S. Treasury Bills    
1.59%, 7/5/2018 (2)(f)   $ 148,844,000       148,823,410  
1.59%, 7/12/2018 (2)(f)     104,599,000       104,550,296  
1.61%, 7/19/2018 (2)(f)     209,714,000       209,541,931  
1.63%, 7/26/2018 (2)(f)     136,146,000       135,989,205  
1.64%, 8/2/2018 (2)(f)     46,668,000       46,595,279  
1.66%, 8/9/2018 (2)(f)     118,755,000       118,526,545  
1.84%, 8/23/2018 (2)(f)     146,011,000       145,626,362  
1.85%, 9/6/2018 (2)(f)     134,001,000       133,539,758  
1.87%, 9/13/2018 (2)(f)     102,692,000       102,300,516  
1.97%, 9/20/2018 (2)(f)     83,393,000       83,045,529  
1.91%, 9/27/2018 (2)(f)     98,977,000       98,526,118  
1.92%, 10/4/2018 (2)(f)     42,242,000       42,030,823  
1.90%, 10/11/2018 (2)(f)     93,813,000       93,305,357  
1.96%, 10/18/2018 (2)(f)     35,279,000       35,073,941  
2.01%, 10/25/2018 (2)(f)     142,046,000       141,165,710  
2.01%, 11/1/2018 (2)(f)     29,582,000       29,384,507  
2.02%, 11/8/2018 (2)(f)     26,680,000       26,489,988  
2.06%, 11/15/2018 (2)(f)     21,510,000       21,347,277  
2.10%, 11/23/2018 (2)(f)     83,561,000       82,890,005  
2.05%, 11/29/2018 (2)(f)     127,562,000       126,484,366  
2.09%, 12/6/2018 (2)(f)     105,594,000       104,659,170  
2.08%, 12/13/2018 (2)(f)(g)     143,653,000       142,322,075  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $2,172,091,498)

 

     2,172,218,168  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $4,674,970,234)

 

     4,675,394,391  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $6,966,167,664)

       7,056,124,835  
   

 

 

  
    SHARES    
SHORT POSITIONS - (36.6)%            
COMMON STOCKS - (36.6)%            
Brazil - 0.0% (h)            
Yamana Gold, Inc.     (288,868 )      (841,566 ) 
   

 

 

  
INVESTMENTS   SHARES     VALUE  
Canada - (2.8)%            
AltaGas Ltd.     (272,626 )    $ (5,630,241 ) 
Cameco Corp.     (1,201,373 )      (13,515,618 ) 
Cenovus Energy, Inc.     (131,600 )      (1,366,402 ) 
Eldorado Gold Corp. *     (427,458 )      (432,449 ) 
Element Fleet Management Corp.     (1,297,687 )      (6,100,259 ) 
Emera, Inc.     (52,279 )      (1,702,005 ) 
Enbridge, Inc.     (1,362,227 )      (48,700,923 ) 
Goldcorp, Inc.     (211,177 )      (2,899,437 ) 
Imperial Oil Ltd.     (319,997 )      (10,636,952 ) 
Inter Pipeline Ltd.     (77,122 )      (1,445,469 ) 
Keyera Corp.     (116,366 )      (3,237,872 ) 
Kinross Gold Corp. *     (248,915 )      (937,230 ) 
Pembina Pipeline Corp.     (68,268 )      (2,364,311 ) 
Peyto Exploration & Development Corp.     (190,548 )      (1,466,813 ) 
PrairieSky Royalty Ltd.     (50,930 )      (1,005,312 ) 
TransCanada Corp.     (791,429 )      (34,242,180 ) 
Wheaton Precious Metals Corp.     (561,715 )      (12,399,475 ) 
   

 

 

  
      (148,082,948 ) 
   

 

 

  
Ghana - (0.1)%            
Kosmos Energy Ltd. *     (662,745 )      (5,480,901 ) 
   

 

 

  
Hong Kong - 0.0% (h)            
Hutchison Port Holdings Trust (2)     (2,834,100 )      (782,212 ) 
   

 

 

  
Italy - (2.1)%            
Banco BPM SpA (2)*     (3,952,610 )      (11,481,956 ) 
BPER Banca (2)     (1,082,345 )      (5,905,637 ) 
Brembo SpA (2)     (51,727 )      (697,630 ) 
Buzzi Unicem SpA (2)     (630,740 )      (15,410,909 ) 
Davide Campari-Milano SpA (2)     (202,482 )      (1,661,957 ) 
Ferrari NV (2)     (86,927 )      (11,749,853 ) 
Intesa Sanpaolo SpA (2)     (480,879 )      (1,391,313 ) 
Leonardo SpA (2)     (2,265,993 )      (22,302,776 ) 
Recordati SpA (2)     (151,442 )      (6,000,912 ) 
Saipem SpA (2) *     (2,819,747 )      (12,931,840 ) 
Telecom Italia SpA (2)*     (10,889,792 )      (8,068,046 ) 
UniCredit SpA (2)     (139,500 )      (2,312,130 ) 
Unione di Banche Italiane SpA (2)     (3,520,138 )      (13,483,193 ) 
   

 

 

  
      (113,398,152 ) 
   

 

 

  
Luxembourg - (1.1)%            
Tenaris SA (2)     (3,133,001 )      (57,177,327 ) 
   

 

 

  
Netherlands - (0.2)%            
Koninklijke Vopak NV (2)     (275,809 )      (12,712,567 ) 
   

 

 

  
Singapore - (0.2)%            
CapitaLand Ltd. (2)     (1,479,600 )      (3,424,534 ) 
Singapore Post Ltd. (2)     (773,200 )      (713,977 ) 
Singapore Press Holdings Ltd. (2)     (1,519,500 )      (2,895,655 ) 
Singapore Telecommunications Ltd. (2)     (1,244,100 )      (2,808,926 ) 
   

 

 

  
      (9,843,092 ) 
   

 

 

  
United Kingdom - 0.0% (h)            
CNH Industrial NV (2)     (47,783 )      (504,755 ) 
   

 

 

  
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - (29.8)%            
Acadia Healthcare Co., Inc. *     (380,286 )    $ (15,557,500 ) 
AECOM *     (177,520 )      (5,863,486 ) 
Agios Pharmaceuticals, Inc. *     (236,474 )      (19,918,205 ) 
Akorn, Inc. *     (346,487 )      (5,748,219 ) 
Alexion Pharmaceuticals, Inc. *     (10,900 )      (1,353,235 ) 
Alkermes plc *     (804,640 )      (33,118,982 ) 
Allergan plc     (218,105 )      (36,362,466 ) 
Allscripts Healthcare Solutions, Inc. *     (429,973 )      (5,159,676 ) 
Alnylam Pharmaceuticals, Inc. *     (175,923 )      (17,326,656 ) 
AmerisourceBergen Corp.     (62,193 )      (5,303,197 ) 
Arconic, Inc.     (627,570 )      (10,674,966 ) 
ARRIS International plc *     (291,811 )      (7,133,320 ) 
Baker Hughes a GE Co.     (165,210 )      (5,456,886 ) 
Becton Dickinson and Co.     (6,205 )      (1,486,470 ) 
Belden, Inc.     (298,091 )      (18,219,322 ) 
BioMarin Pharmaceutical, Inc. *     (533,976 )      (50,300,539 ) 
Brookdale Senior Living, Inc. *     (858,109 )      (7,800,211 ) 
Cable One, Inc.     (4,062 )      (2,978,624 ) 
Callon Petroleum Co. *     (840,015 )      (9,021,761 ) 
Catalent, Inc. *     (264,710 )      (11,088,702 ) 
Centennial Resource Development, Inc., Class A *     (210,434 )      (3,800,438 ) 
Charter Communications, Inc., Class A *     (167,753 )      (49,186,857 ) 
Cheniere Energy, Inc. *     (695,813 )      (45,360,049 ) 
Chesapeake Energy Corp. *     (279,887 )      (1,466,608 ) 
Ciena Corp. *     (239,035 )      (6,336,818 ) 
Cinemark Holdings, Inc.     (54,954 )      (1,927,786 ) 
Cognex Corp.     (249,908 )      (11,148,396 ) 
Colfax Corp. *     (119,853 )      (3,673,494 ) 
CommScope Holding Co., Inc. *     (98,837 )      (2,886,535 ) 
Corning, Inc.     (73,221 )      (2,014,310 ) 
DaVita, Inc. *     (134,548 )      (9,343,013 ) 
DexCom, Inc. *     (362,428 )      (34,423,411 ) 
Diebold Nixdorf, Inc.     (97,054 )      (1,159,795 ) 
Discovery, Inc., Class A *     (1,589,824 )      (43,720,160 ) 
DISH Network Corp., Class A *     (554,609 )      (18,640,408 ) 
Donaldson Co., Inc.     (15,592 )      (703,511 ) 
Dril-Quip, Inc. *     (9,885 )      (508,089 ) 
Dycom Industries, Inc. *     (20,048 )      (1,894,736 ) 
EchoStar Corp., Class A *     (28,855 )      (1,281,162 ) 
Encompass Health Corp.     (52,980 )      (3,587,806 ) 
Ensco plc, Class A     (2,215,350 )      (16,083,441 ) 
Envision Healthcare Corp. *     (1,188,095 )      (52,288,061 ) 
EQT Corp.     (45,085 )      (2,487,790 ) 
Extraction Oil & Gas, Inc. *     (368,298 )      (5,410,298 ) 
Flowserve Corp.     (418,930 )      (16,924,772 ) 
Fluor Corp.     (37,021 )      (1,805,884 ) 
General Electric Co.     (1,846,500 )      (25,130,865 ) 
Granite Construction, Inc.     (231,525 )      (12,886,682 ) 
Halyard Health, Inc. *     (157,906 )      (9,040,119 ) 
HEICO Corp.     (344,371 )      (25,114,995 ) 
Henry Schein, Inc. *     (283,115 )      (20,565,474 ) 
Hess Corp.     (772,318 )      (51,660,351 ) 
Hologic, Inc. *     (24,080 )      (957,180 ) 
Illumina, Inc. *     (29,677 )      (8,288,489 ) 
Incyte Corp. *     (91,233 )      (6,112,611 ) 
Intrexon Corp. *     (139,909 )      (1,950,331 ) 
INVESTMENTS   SHARES     VALUE  
United States - (29.8)% (continued)  
Ionis Pharmaceuticals, Inc. *     (443,066 )    $ (18,462,560 ) 
Johnson Controls International plc     (526,873 )      (17,623,902 ) 
Kennametal, Inc.     (219,863 )      (7,893,082 ) 
Kinder Morgan, Inc.     (2,068,534 )      (36,550,996 ) 
KLX, Inc. *     (36,008 )      (2,588,975 ) 
Knowles Corp. *     (441,336 )      (6,752,441 ) 
Liberty Broadband Corp., Class C *     (283,843 )      (21,492,592 ) 
Liberty Media Corp.-Liberty SiriusXM, Class C *     (12,210 )      (553,846 ) 
LifePoint Health, Inc. *     (279,045 )      (13,617,396 ) 
Lions Gate Entertainment Corp., Class A     (148,481 )      (3,685,298 ) 
Littelfuse, Inc.     (14,812 )      (3,379,802 ) 
LivaNova plc *     (77,316 )      (7,717,683 ) 
Live Nation Entertainment, Inc. *     (48,374 )      (2,349,525 ) 
Lumentum Holdings, Inc. *     (9,600 )      (555,840 ) 
Madison Square Garden Co. (The), Class A *     (2,093 )      (649,228 ) 
Mallinckrodt plc *     (627,349 )      (11,706,332 ) 
Matador Resources Co. *     (325,809 )      (9,790,560 ) 
McDermott International, Inc. *     (92,091 )      (1,809,588 ) 
Medidata Solutions, Inc. *     (228,484 )      (18,406,671 ) 
Meredith Corp.     (194,446 )      (9,916,746 ) 
Middleby Corp. (The) *     (152,766 )      (15,951,826 ) 
Mylan NV *     (48,000 )      (1,734,720 ) 
Nabors Industries Ltd.     (11,700 )      (74,997 ) 
National Oilwell Varco, Inc.     (130,425 )      (5,660,445 ) 
NCR Corp. *     (200,205 )      (6,002,146 ) 
Nektar Therapeutics *     (474,156 )      (23,153,037 ) 
NetScout Systems, Inc. *     (526,395 )      (15,633,932 ) 
Neurocrine Biosciences, Inc. *     (247,299 )      (24,294,654 ) 
New York Times Co. (The), Class A     (754,671 )      (19,545,979 ) 
News Corp., Class A     (44,500 )      (689,750 ) 
Noble Energy, Inc.     (217,760 )      (7,682,573 ) 
NOW, Inc. *     (719,684 )      (9,593,388 ) 
NuVasive, Inc. *     (263,156 )      (13,715,691 ) 
ONEOK, Inc.     (209,971 )      (14,662,275 ) 
OPKO Health, Inc. *     (1,978,081 )      (9,296,981 ) 
Parsley Energy, Inc., Class A *     (16,200 )      (490,536 ) 
PBF Energy, Inc., Class A     (125,442 )      (5,259,783 ) 
PerkinElmer, Inc.     (12,128 )      (888,133 ) 
Perrigo Co. plc     (364,875 )      (26,603,036 ) 
Premier, Inc., Class A *     (568,204 )      (20,671,262 ) 
Prestige Brands Holdings, Inc. *     (433,309 )      (16,630,399 ) 
Quest Diagnostics, Inc.     (11,238 )      (1,235,506 ) 
Roper Technologies, Inc.     (16,032 )      (4,423,389 ) 
Rowan Cos. plc, Class A *     (712,022 )      (11,548,997 ) 
Seattle Genetics, Inc. *     (442,375 )      (29,369,276 ) 
Sensata Technologies Holding plc *     (484,634 )      (23,058,886 ) 
SM Energy Co.     (771,362 )      (19,816,290 ) 
STERIS plc     (47,688 )      (5,007,717 ) 
Syneos Health, Inc. *     (210,722 )      (9,882,862 ) 
Targa Resources Corp.     (849,084 )      (42,021,167 ) 
Tenet Healthcare Corp. *     (256,179 )      (8,599,929 ) 
TransDigm Group, Inc.     (189,101 )      (65,266,319 ) 
Transocean Ltd. *     (422,437 )      (5,677,553 ) 
Univar, Inc. *     (176,671 )      (4,635,847 ) 
Universal Display Corp.     (128,736 )      (11,071,296 ) 
 

 

  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   

 

INVESTMENTS   SHARES     VALUE  
United States - (29.8)% (continued)  
VeriFone Systems, Inc. *     (80,652 )    $ (1,840,479 ) 
ViaSat, Inc. *     (336,814 )      (22,135,416 ) 
Wabtec Corp.     (467,210 )      (46,057,562 ) 
Weatherford International plc *     (4,325,150 )      (14,229,744 ) 
Welbilt, Inc. *     (452,645 )      (10,098,510 ) 
Williams Cos., Inc. (The)     (692,177 )      (18,764,918 ) 
WPX Energy, Inc. *     (633,352 )      (11,419,337 ) 
Zimmer Biomet Holdings, Inc.     (6,015 )      (670,312 ) 
   

 

 

  
      (1,570,213,066 ) 
   

 

 

  
Zambia - (0.3)%            
First Quantum Minerals Ltd.     (1,180,497 )      (17,393,395 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(1,836,909,055))

       (1,936,429,981 ) 
   

 

 

  
   

 NO. OF

RIGHTS

  

 

  
RIGHTS - 0.0%        
Italy - 0.0%            
Intesa Sanpaolo SpA (3)*(i)
(Proceeds $—)		     (641,173 )      —  
   

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(1,836,909,055))

       (1,936,429,981 ) 
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.9%
(Cost $5,129,258,609)

       5,119,694,854  
   

 

 

  
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% (j)       167,603,654  
   

 

 

  

NET ASSETS - 100.0%

     $ 5,287,298,508  
   

 

 

  
SECTOR   VALUE     % OF NET
ASSETS		  
Consumer Discretionary   $ (35,290,778 )    $ (0.7 )% 
Consumer Staples     767,559       0.0 (h) 
Energy     (168,325,139 )      (3.2 ) 
Financials     (10,908,804 )      (0.2 ) 
Health Care     (28,725,103 )      (0.5 ) 
Industrials     335,154,659       6.4  
Information Technology     329,137,572       6.2  
Materials     (12,346,213 )      (0.2 ) 
Real Estate     (3,424,535 )      (0.1 ) 
Telecommunication Services     (10,040,350 )      (0.2 ) 
Utilities     48,301,595       0.9  
Short-Term Investments     4,675,394,391       88.5  
 

 

 

    

 

 

  

Total Investments In Securities At Value

     5,119,694,854       96.9  
Other Assets in Excess of Liabilities (j)     167,603,654       3.1  
 

 

 

    

 

 

  

Net Assets

   $ 5,287,298,508       100.0 % 
 

 

 

    

 

 

  
 

 

*

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)

 

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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)

 

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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)

 

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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)

 

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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   
   

 

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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   
   

 

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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   
   

 

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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

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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   

 

INVESTMENTS   SHARES         
Value		  
LONG POSITIONS - 118.9%            
COMMON STOCKS - 0.9%            
United States - 0.9%            
Akamai Technologies, Inc. (1)*(a)     29,309     $ 2,146,298  
Booking Holdings, Inc. (1)*(a)     1,682       3,409,565  
Evergy, Inc. (1)     139,444       7,829,781  
Expedia Group, Inc. (1)     2,413       290,019  
Genworth Financial, Inc., Class A (1)*     328,165       1,476,743  
Greenbrier Cos., Inc. (The) (1)(a)     2,944       155,296  
Guidewire Software, Inc. (1)*(a)     1,780       158,028  
Illumina, Inc. (1)*(a)     796       222,315  
Kindred Healthcare, Inc. (1)*(a)     173,260       1,559,340  
Oil States International, Inc. (1)*(a)     9,355       300,295  
Okta, Inc. (1)*     9,298       468,340  
Panera Bread Co., Class A (3)*(b)     38,740       406,135  
Proofpoint, Inc. (1)*(a)     8,574       988,668  
Q2 Holdings, Inc. (1)*(a)     3,715       211,941  
Starwood Property Trust, Inc., REIT (1)(a)     4,033       87,556  
Tesla, Inc. (1)*(a)     433       148,497  
Western Digital Corp. (1)(a)     4,938       382,250  
WGL Holdings, Inc. (1)(a)     21,742       1,929,603  
Zendesk, Inc. (1)*(a)     14,072       766,783  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $21,272,465)

       22,937,453  
   

 

 

  
CONVERTIBLE PREFERRED STOCKS - 8.4%  
China - 5.0%            
Mandatory Exchangeable Trust $100 par, 5.75%, 6/1/2019 (a)(c)     610,168       127,300,021  
   

 

 

  
United States - 3.4%            
2017 Mandatory Exchangeable Trust $100 par, 5.19%, 12/1/2020 (a)(c)     25,225       3,270,504  
Assurant, Inc. Series D, $100 par, 6.50%, 3/15/2021 (a)     23,600       2,645,560  
Black Hills Corp. $50 par, 7.75%, 11/1/2018 (a)     134,716       8,865,485  
Bunge Ltd. $100 par, 4.88%, 12/31/2049 (a)(d)     59,900       6,439,741  
Fortive Corp. Series A, $1,000 par, 5.00%, 7/1/2021 *     3,475       3,503,599  
NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 *(a)(d)(e)     3,665       4,425,604  
Post Holdings, Inc. $100 par, 2.50%, 12/31/2049 (a)(d)     244,502       39,548,566  
QTS Realty Trust, Inc., REIT Series B, $100 par, 6.50%, 12/31/2049 *(a)(d)     7,650       768,901  
Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (a)     35,625       2,213,716  
Sempra Energy Series A, $100 par, 6.00%, 1/15/2021 (a)     24,575       2,558,995  
South Jersey Industries, Inc. $50 par, 7.25%, 4/15/2021 (a)     16,500       898,260  
Welltower, Inc., REIT Series I, $50 par, 6.50%, 12/31/2049 (a)(d)     221,875       13,188,139  
   

 

 

  
      88,327,070  
   

 

 

  

TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $160,930,398)

 

     215,627,091  
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
CORPORATE BONDS - 0.0% (f)            
United States - 0.0% (f)            
SunEdison, Inc.    
2.00%, 10/1/2018 (3)(b)(g)   $ 5,950,000     $ 129,476  
2.75%, 1/1/2021(3)(b)(g)     4,925,000       107,172  
   

 

 

  

TOTAL CORPORATE BONDS
(Cost $15,555,747)

       236,648  
   

 

 

  
CONVERTIBLE BONDS - 19.9%            
Canada - 0.2%            
Element Fleet Management Corp.    
5.13%, 6/30/2019 (a)(c)     1,022,000       766,175  
4.25%, 6/30/2020 (a)     6,521,000       4,670,081  
   

 

 

  
      5,436,256  
   

 

 

  
France - 0.4%            
AXA SA    
7.25%, 5/15/2021 (a)(c)     8,825,000       9,223,422  
   

 

 

  
Germany - 0.1%            
Deutsche Bank AG    
1.00%, 5/1/2023 (a)     3,250,000       3,003,488  
   

 

 

  
Ivory Coast - 0.0% (f)            
Endeavour Mining Corp.    
3.00%, 2/15/2023 (a)(c)     625,000       634,750  
   

 

 

  
Monaco - 0.0% (f)            
Scorpio Tankers, Inc.    
2.38%, 7/1/2019 (a)(c)     1,025,000       993,172  
   

 

 

  
Norway - 0.1%            
Ship Finance International Ltd.    
5.75%, 10/15/2021 (a)     3,600,000       3,703,338  
   

 

 

  
United States - 19.1%  
Acorda Therapeutics, Inc. 1.75%, 6/15/2021 (a)     2,425,000       2,343,554  
Akamai Technologies, Inc. 0.13%, 5/1/2025 (a)(c)     1,450,000       1,451,965  
Allegheny Technologies, Inc. 4.75%, 7/1/2022 (a)     6,750,000       12,794,625  
Allscripts Healthcare Solutions, Inc. 1.25%, 7/1/2020     125,000       126,439  
Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(b)(g)     200,000       -
Alteryx, Inc. 0.50%, 6/1/2023 (a)(c)     2,175,000       2,356,713  
AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022     2,450,000       2,501,127  
Anthem, Inc. 2.75%, 10/15/2042 (a)     13,475,000       44,030,154  
Apollo Commercial Real Estate Finance, Inc., REIT 5.50%, 3/15/2019     5,175,000       5,519,138  
4.75%, 8/23/2022 (a)     1,350,000       1,336,365  
Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024     1,775,000       2,353,162  
Atlassian, Inc. 0.63%, 5/1/2023 (a)(c)     7,625,000       7,888,619  
 

 

  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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
United States - 19.1% (continued)  
Avaya Holdings Corp. 2.25%, 6/15/2023 (a)(c)   $ 600,000     $ 583,294  
Blackstone Mortgage Trust, Inc., REIT    
4.38%, 5/5/2022     2,350,000       2,303,884  
4.75%, 3/15/2023 (a)     2,300,000       2,229,107  
BofA Finance LLC 0.25%, 5/1/2023 (a)     950,000       888,972  
Caesars Entertainment Corp. 5.00%, 10/1/2024 (a)     8,625,000       14,751,217  
Chesapeake Energy Corp. 5.50%, 9/15/2026 (a)(h)     9,800,000       9,959,593  
Citrix Systems, Inc. 0.50%, 4/15/2019 (a)     625,000       907,497  
Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (a)     1,300,000       1,593,410  
Clovis Oncology, Inc. 1.25%, 5/1/2025 (a)     1,100,000       1,012,992  
Dycom Industries, Inc. 0.75%, 9/15/2021 (a)     1,220,000       1,412,806  
Echo Global Logistics, Inc. 2.50%, 5/1/2020 (a)     275,000       284,346  
Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (a)     275,000       255,376  
Envestnet, Inc. 1.75%, 6/1/2023 (a)(c)     700,000       718,760  
Exact Sciences Corp. 1.00%, 1/15/2025 (a)     8,900,000       9,360,424  
EZCORP, Inc. 2.13%, 6/15/2019 (a)(h)     2,500,000       2,530,680  
FireEye, Inc. 0.88%, 6/1/2024 (a)(c)     4,250,000       4,004,486  
Five9, Inc. 0.13%, 5/1/2023 (a)(c)     525,000       548,316  
Gannett Co., Inc. 4.75%, 4/15/2024 (a)(c)     2,250,000       2,436,750  
GCI Liberty, Inc. 1.75%, 9/30/2046 (a)(c)     1,775,000       1,826,379  
Herbalife Nutrition Ltd. 2.63%, 3/15/2024 (a)(c)     1,425,000       1,508,981  
Hope Bancorp, Inc. 2.00%, 5/15/2038 (a)(c)     2,450,000       2,383,605  
Huron Consulting Group, Inc. 1.25%, 10/1/2019 (a)     3,000,000       2,815,650  
IH Merger Sub LLC, REIT 3.50%, 1/15/2022 (a)     400,000       445,442  
Innoviva, Inc. 2.13%, 1/15/2023 (a)     2,175,000       2,110,111  
Inphi Corp.    
1.13%, 12/1/2020 (a)     536,000       573,252  
0.75%, 9/1/2021 (a)     4,500,000       4,204,967  
Intel Corp. 3.25%, 8/1/2039 (a)     30,250,000       72,402,557  
Intrexon Corp. 3.50%, 7/1/2023     2,025,000       2,025,000  
Ironwood Pharmaceuticals, Inc.    
2.25%, 6/15/2022 (a)     2,575,000       3,414,795  
iStar, Inc., REIT 3.13%, 9/15/2022 (c)     575,000       559,138  
LendingTree, Inc. 0.63%, 6/1/2022     1,775,000       2,138,538  
Liberty Media Corp. 2.13%, 3/31/2048 (a)(c)     1,450,000       1,426,175  
INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
United States - 19.1% (continued)  
Ligand Pharmaceuticals, Inc. 0.75%, 5/15/2023 (a)(c)   $ 4,375,000     $ 4,525,067  
Meritor, Inc. 3.25%, 10/15/2037 (a)(c)     825,000       817,370  
Microchip Technology, Inc. 2.25%, 2/15/2037 (a)     10,865,000       12,928,470  
Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (a)     7,175,000       34,348,159  
Molina Healthcare, Inc. 1.13%, 1/15/2020 (a)     10,525,000       25,485,434  
MongoDB, Inc. 0.75%, 6/15/2024 (a)(c)     2,700,000       2,634,406  
Novellus Systems, Inc. 2.63%, 5/15/2041 (a)     13,650,000       70,815,107  
NRG Energy, Inc. 2.75%, 6/1/2048 (a)(c)     3,775,000       3,646,273  
Palo Alto Networks, Inc. 0.00%, 7/1/2019 (a)     900,000       1,673,296  
Pattern Energy Group, Inc. 4.00%, 7/15/2020 (h)     975,000       972,521  
PRA Group, Inc. 3.50%, 6/1/2023 (a)     325,000       345,428  
Prospect Capital Corp. 4.95%, 7/15/2022 (a)     3,025,000       2,934,864  
Pure Storage, Inc. 0.13%, 4/15/2023 (a)(c)     2,000,000       2,229,738  
Redwood Trust, Inc., REIT    
4.75%, 8/15/2023     2,750,000       2,666,400  
5.63%, 7/15/2024(a)     1,125,000       1,113,059  
RH    
0.00%, 7/15/2020 (a)(c)     100,000       126,942  
0.00%, 6/15/2023 (a)(c)     3,900,000       3,636,126  
SEACOR Holdings, Inc. 2.50%, 12/15/2027 (a)     5,575,000       6,091,446  
Spirit Realty Capital, Inc., REIT    
2.88%, 5/15/2019 (a)     3,575,000       3,555,756  
Square, Inc.    
0.38%, 3/1/2022 (a)     5,390,000       14,552,089  
0.50%, 5/15/2023(a)(c)     6,375,000       6,817,266  
SunEdison, Inc. 0.25%, 1/15/2020 (3)(b)(g)     8,325,000       181,158  
Synaptics, Inc. 0.50%, 6/15/2022     8,125,000       8,024,884  
Teradyne, Inc. 1.25%, 12/15/2023 (a)     2,600,000       3,460,868  
Tesla, Inc. 2.38%, 3/15/2022     2,175,000       2,638,917  
TTM Technologies, Inc. 1.75%, 12/15/2020 (a)     5,725,000       10,667,782  
Twitter, Inc. 0.25%, 6/15/2024 (a)(c)     7,300,000       7,541,075  
Unisys Corp. 5.50%, 3/1/2021 (a)     1,250,000       1,875,336  
Vector Group Ltd.    
2.50%, 1/15/2019 (a)(i)     1,750,000       2,328,998  
1.75%, 4/15/2020 (a)(i)     1,075,000       1,131,348  
VEREIT, Inc., REIT 3.00%, 8/1/2018 (a)     4,000,000       4,000,068  
Weatherford International Ltd. 5.88%, 7/1/2021 (a)     5,350,000       5,265,096  
Workday, Inc. 0.25%, 10/1/2022 (a)(c)     950,000       997,291  
 

 

  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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		         
VALUE		  
United States - 19.1% (continued)  
Zillow Group, Inc. 1.50%, 7/1/2023   $ 2,400,000     $ 2,400,000  
   

 

 

  
      488,746,399  
   

 

 

  

TOTAL CONVERTIBLE BONDS
(Cost $387,721,108)

 

     511,740,825  
   

 

 

  
    SHARES    
SHORT-TERM INVESTMENTS - 89.7%  
INVESTMENT COMPANIES - 84.7%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (j)     21,619,821       21,619,821  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (j)     86,479,285       86,479,285  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (j)(k)     848,321,005       848,321,005  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (j)(k)     201,507,968       201,507,968  
Limited Purpose Cash Investment Fund, 1.85% (j)(l)     917,074,447       917,074,447  
UBS Select Treasury Preferred Fund, Class I, 1.76% (j)     108,099,169       108,099,169  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $2,182,925,776)

 

     2,183,101,695  
   

 

 

  
   
 PRINCIPAL
AMOUNT		  
 		  
U.S. TREASURY OBLIGATIONS - 5.0%  
U.S. Treasury Bills    
1.59%, 7/12/2018 (m)   $ 300,000       299,860  
1.61%, 7/19/2018 (m)     1,465,000       1,463,798  
1.63%, 7/26/2018 (m)     24,167,000       24,139,167  
1.64%, 8/2/2018 (m)     19,720,000       19,689,271  
1.66%, 8/9/2018 (m)     7,773,000       7,758,047  
1.79%, 8/16/2018 (m)     1,299,000       1,296,037  
1.84%, 8/23/2018 (m)     15,615,000       15,573,865  
1.85%, 8/30/2018 (m)     3,953,000       3,940,950  
1.87%, 9/13/2018 (m)     3,934,000       3,919,003  
1.97%, 9/20/2018 (m)     1,355,000       1,349,354  
1.91%, 9/27/2018 (m)     10,102,000       10,055,981  
1.92%, 10/4/2018 (m)(n)     10,473,000       10,420,643  
1.96%, 10/18/2018 (m)(n)     1,844,000       1,833,282  
2.01%, 10/25/2018 (m)(n)     1,339,000       1,330,702  
2.06%, 11/15/2018 (m)(n)     18,332,000       18,193,318  
2.10%, 11/23/2018 (m)(n)     3,871,000       3,839,916  
2.05%, 11/29/2018 (m)(n)     4,396,000       4,358,863  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $129,458,778)

 

     129,462,057  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $2,312,384,554)

 

     2,312,563,752  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $2,897,864,272)

 

     3,063,105,769  
   

 

 

  
INVESTMENTS       
SHARES		         
VALUE		  
SHORT POSITIONS - (23.1)%            
COMMON STOCKS - (22.5)%            
China - (4.9)%            
Alibaba Group Holding Ltd., ADR (1)*     (684,266 )    $ (126,951,871 ) 
   

 

 

  
Ivory Coast - 0.0% (f)            
Endeavour Mining Corp. (1)*     (14,643 )      (262,753 ) 
   

 

 

  
Monaco - 0.0% (f)            
Scorpio Tankers, Inc. (1)     (2,040 )      (5,732 ) 
   

 

 

  
Norway - (0.1)%            
Ship Finance International Ltd. (1)     (106,231 )      (1,588,154 ) 
   

 

 

  
United States - (17.5)%            
Acorda Therapeutics, Inc. (1)*     (25,520 )      (732,424 ) 
Akamai Technologies, Inc. (1)*     (39,219 )      (2,872,007 ) 
Allegheny Technologies, Inc. (1)*     (425,087 )      (10,678,185 ) 
Allscripts Healthcare Solutions, Inc. (1)*     (2,549 )      (30,588 ) 
Alteryx, Inc., Class A (1)*     (36,306 )      (1,385,437 ) 
AMAG Pharmaceuticals, Inc. (1)*     (60,992 )      (1,189,344 ) 
Anthem, Inc. (1)     (181,335 )      (43,163,170 ) 
Apollo Commercial Real Estate Finance, Inc., REIT (1)     (226,793 )      (4,145,776 ) 
Assurant, Inc. (1)     (18,279 )      (1,891,694 ) 
Atlas Air Worldwide Holdings, Inc. (1)*     (24,700 )      (1,770,990 ) 
Atlassian Corp. plc, Class A (1)*     (57,802 )      (3,613,781 ) 
AXA Equitable Holdings, Inc. (1)*     (340,200 )      (7,011,522 ) 
Black Hills Corp. (1)     (138,059 )      (8,450,591 ) 
Blackstone Mortgage Trust, Inc., Class A, REIT (1)     (29,767 )      (935,577 ) 
Bunge Ltd. (1)     (31,066 )      (2,165,611 ) 
Caesars Entertainment Corp. (1)*     (1,007,043 )      (10,775,360 ) 
Chesapeake Energy Corp. (1)*     (583,334 )      (3,056,670 ) 
Citrix Systems, Inc. (1)*     (8,344 )      (874,785 ) 
Cleveland-Cliffs, Inc. (1)*     (132,905 )      (1,120,389 ) 
Clovis Oncology, Inc. (1)*     (10,218 )      (464,613 ) 
Dycom Industries, Inc. (1)*     (8,940 )      (844,919 ) 
Echo Global Logistics, Inc. (1)*     (3,235 )      (94,624 ) 
Ensco plc, Class A (1)     (11,574 )      (84,027 ) 
Envestnet, Inc. (1)*     (6,250 )      (343,438 ) 
Evergy, Inc. (1)     (139,481 )      (7,831,858 ) 
Exact Sciences Corp. (1)*     (72,815 )      (4,353,609 ) 
EZCORP, Inc., Class A (1)*     (34,991 )      (421,642 ) 
FireEye, Inc. (1)*     (115,579 )      (1,778,761 ) 
Five9, Inc. (1)*     (9,003 )      (311,234 ) 
Gannett Co., Inc.(1)     (100,049 )      (1,070,524 ) 
Herbalife Nutrition Ltd. (1)*     (15,881 )      (853,127 ) 
Hope Bancorp, Inc. (1)     (53,119 )      (947,112 ) 
Huron Consulting Group, Inc. (1)*     (2,065 )      (84,459 ) 
Innoviva, Inc. (1)*     (67,659 )      (933,694 ) 
Inphi Corp. (1)*     (46,980 )      (1,532,018 ) 
Intel Corp. (1)     (1,443,403 )      (71,751,562 ) 
Invitation Homes, Inc., REIT (1)     (11,643 )      (268,488 ) 
Ironwood Pharmaceuticals, Inc. (1)*     (126,053 )      (2,410,133 ) 
iStar, Inc., REIT (1)*     (16,731 )      (180,528 ) 
Lam Research Corp. (1)     (411,358 )      (71,103,229 ) 
 

 

  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 MULTI-STRATEGY ALTERNATIVE FUND   

 

INVESTMENTS       
SHARES		         
VALUE		  
United States - (17.5)% (continued)            
LendingTree, Inc. (1)*     (6,455 )    $ (1,380,079 ) 
Ligand Pharmaceuticals, Inc. (1)*     (11,885 )      (2,462,216 ) 
Meritor, Inc. (1)*     (12,295 )      (252,908 ) 
Microchip Technology, Inc. (1)     (147,462 )      (13,411,669 ) 
Micron Technology, Inc. (1)*     (656,375 )      (34,420,305 ) 
Molina Healthcare, Inc. (1)*     (255,573 )      (25,030,820 ) 
NCR Corp. (1)*     (76,354 )      (2,289,092 ) 
New York Times Co. (The), Class A (1)     (108,715 )      (2,815,719 ) 
NRG Energy, Inc. (1)     (45,865 )      (1,408,056 ) 
Palo Alto Networks, Inc. (1)*     (8,020 )      (1,647,869 ) 
Pattern Energy Group, Inc., Class A (1)     (3,580 )      (67,125 ) 
Post Holdings, Inc. (1)*     (407,759 )      (35,075,429 ) 
PRA Group, Inc. (1)*     (5,166 )      (199,149 ) 
Prospect Capital Corp. (1)     (31,835 )      (213,613 ) 
Pure Storage, Inc., Class A (1)*     (54,854 )      (1,309,914 ) 
Redwood Trust, Inc., REIT (1)     (60,704 )      (999,795 ) 
Rexnord Corp. (1)*     (64,071 )      (1,861,903 ) 
RH (1)*     (660 )      (92,202 ) 
SEACOR Holdings, Inc. (1)*     (84,910 )      (4,862,796 ) 
Sempra Energy (1)     (14,698 )      (1,706,585 ) 
Sirius XM Holdings, Inc. (1)     (95,822 )      (648,715 ) 
South Jersey Industries, Inc. (1)     (18,737 )      (627,127 ) 
Spirit MTA REIT (1)*     (969 )      (9,981 ) 
Spirit Realty Capital, Inc., REIT (1)     (6,211 )      (49,874 ) 
Square, Inc., Class A (1)*     (279,522 )      (17,229,736 ) 
Synaptics, Inc. (1)*     (54,656 )      (2,753,023 ) 
Teradyne, Inc. (1)     (64,232 )      (2,445,312 ) 
Tesla, Inc. (1)*     (5,613 )      (1,924,978 ) 
TTM Technologies, Inc. (1)*     (555,421 )      (9,792,072 ) 
Unisys Corp. (1)*     (109,565 )      (1,413,389 ) 
Vector Group Ltd. (1)     (125,757 )      (2,399,444 ) 
Voya Financial, Inc. (1)     (29,088 )      (1,367,136 ) 
Weatherford International plc (1)*     (257,118 )      (845,918 ) 
Welltower, Inc., REIT (1)     (81,084 )      (5,083,156 ) 
Workday, Inc., Class A (1)*     (4,004 )      (484,965 ) 
   

 

 

  
      (452,109,570 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(439,682,846))

 

     (580,918,080 ) 
   

 

 

  
    PRINCIPAL
AMOUNT		        
CONVERTIBLE BONDS - (0.6)%  
United States - (0.6)%            
Booking Holdings, Inc. 0.90%, 9/15/2021   $ (5,200,000 )      (6,212,466 ) 
Greenbrier Cos., Inc. (The) 2.88%, 2/1/2024     (325,000 )      (373,992 ) 
INVESTMENTS   PRINCIPAL
AMOUNT		        
United States - (0.6)% (continued)            
Guidewire Software, Inc. 1.25%, 3/15/2025   $ (300,000 )    $ (304,564 ) 
Illumina, Inc. 0.00%, 6/15/2019     (300,000 )      (353,239 ) 
Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (c)     (1,300,000 )      (1,283,798 ) 
Oil States International, Inc. 1.50%, 2/15/2023 (c)     (700,000 )      (728,228 ) 
Okta, Inc. 0.25%, 2/15/2023 (c)     (575,000 )      (709,748 ) 
Proofpoint, Inc. 0.75%, 6/15/2020     (700,000 )      (1,026,696 ) 
Q2 Holdings, Inc. 0.75%, 2/15/2023 (c)     (275,000 )      (311,811 ) 
Starwood Property Trust, Inc., REIT    
4.38%, 4/1/2023     (550,000 )      (550,495 ) 
Western Digital Corp. 1.50%, 2/1/2024 (c)     (1,400,000 )      (1,415,429 ) 
Zendesk, Inc. 0.25%,
3/15/2023 (c)		     (1,250,000 )      (1,350,223 ) 
   

 

 

  

TOTAL CONVERTIBLE BONDS
(Proceeds $(13,931,144))

 

     (14,620,689 ) 
   

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(453,613,990))

 

     (595,538,769 ) 
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 95.8%
(Cost $2,444,250,282)

 

     2,467,567,000  
   

 

 

  
OTHER ASSETS IN EXCESS OF
LIABILITIES - 4.2%(o)		     109,436,540  
   

 

 

  

NET ASSETS - 100.0%

 

   $ 2,577,003,540  
   

 

 

  

 

SECTOR   VALUE     % OF NET
ASSETS		  
Consumer Discretionary   $ 6,272,959       0.2 % 
Consumer Staples     10,464,023       0.4  
Energy     15,396,789       0.6  
Financials     158,770,000       6.2  
Health Care     17,592,905       0.7  
Industrials     8,272,150       0.3  
Information Technology     (88,262,028 )      (3.4 ) 
Materials     2,961,457       0.1  
Real Estate     16,925,419       0.7  
Utilities     6,609,574       0.3  
Short-Term Investments     2,312,563,752       89.7  
 

 

 

    

 

 

  

Total Investments In Securities At Value

     2,467,567,000       95.8  
Other Assets in Excess of Liabilities(o)     109,436,540       4.2  
 

 

 

    

 

 

  

Net Assets

   $ 2,577,003,540       100.0 % 
 

 

 

    

 

 

  
 

 

*

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

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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

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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

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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

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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

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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

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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

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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.

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 

 

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)

 

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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
07/13/2022

     $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)

 

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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)

 

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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)

 

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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
SWAP

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
ranging from
12/19/2018 - 05/18/2022

     $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)

 

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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   
   

 

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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   
   

 

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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   
   

 

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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   
   

 

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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   
   

 

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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

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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

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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)

 

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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.  

 

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AQR RISK-BALANCED COMMODITIES STRATEGY FUND   

 

INVESTMENTS       
SHARES		     VALUE  
SHORT-TERM INVESTMENTS - 90.8%    
INVESTMENT COMPANIES - 46.7%            
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (a)     2,279,982     $ 2,279,982  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (a)     9,119,928       9,119,928  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)     35,225,596       35,225,596  
Limited Purpose Cash Investment Fund, 1.85% (a)     97,695,279       97,695,279  
UBS Select Treasury Preferred Fund, Class I, 1.76% (a)     11,399,911       11,399,911  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $155,696,756)

       155,720,696  
   

 

 

  
    PRINCIPAL
AMOUNT		        
U.S. TREASURY OBLIGATIONS - 44.1%  
U.S. Treasury Bills    
1.59%, 7/5/2018 (c)   $ 2,767,000       2,766,617  
1.59%, 7/12/2018 (c)     5,839,000       5,836,281  
1.61%, 7/19/2018 (c)     7,239,000       7,233,061  
1.64%, 8/2/2018 (c)     6,565,000       6,554,770  
1.66%, 8/9/2018 (c)     27,452,000       27,399,189  
1.84%, 8/23/2018 (c)     12,006,000       11,974,372  
1.85%, 8/30/2018 (c)     2,972,000       2,962,940  
1.85%, 9/6/2018 (c)     602,000       599,928  
1.87%, 9/13/2018 (c)     2,200,000       2,191,613  
1.96%, 10/18/2018 (c)     1,093,000       1,086,647  
2.01%, 10/25/2018 (c)     9,646,000       9,586,222  
INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
U.S. TREASURY OBLIGATIONS - 44.1% (continued)  
2.01%, 11/1/2018 (c)   $ 11,711,000     $ 11,632,816  
2.02%, 11/8/2018 (c)     1,200,000       1,191,454  
2.06%, 11/15/2018 (c)     26,511,000       26,310,444  
2.10%, 11/23/2018 (c)     1,031,000       1,022,721  
2.05%, 11/29/2018 (c)     17,497,000       17,349,187  
2.09%, 12/6/2018 (c)     3,680,000       3,647,421  
2.08%, 12/13/2018 (c)     6,911,000       6,846,971  
2.10%, 12/27/2018 (c)     1,131,000       1,119,480  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS (Cost $147,303,930)

       147,312,134  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS (Cost $303,000,686)

       303,032,830  
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES AT VALUE - 90.8%
(Cost $303,000,686)

       303,032,830  
   

 

 

  
OTHER ASSETS IN EXCESS OF
LIABILITIES - 9.2% (d)		         30,812,638  
   

 

 

  

NET ASSETS - 100.0%

     $ 333,845,468  
   

 

 

  

 

(a)

Represents 7-day effective yield as of June 30, 2018.

(b)

All or a portion of the security pledged as collateral for swap contracts.

(c)

The rate shown was the effective yield at the date of purchase.

(d)

Includes appreciation/(depreciation) on futures and swap contracts.

All securities are Level 2 with respect to ASC 820 (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)		  
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)

 

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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   
   

 

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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)

 

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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)

 

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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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
FOREIGN GOVERNMENT SECURITIES - 15.5%  
Deutsche Bundesrepublik Inflation Linked Bond

 

  
0.10%, 4/15/2023 (a)(b)   EUR  8,634,114     $ 10,920,274  
0.10%, 4/15/2026 (a)(b)   EUR 9,544,724       12,426,195  
France Government Bond OAT    
1.10%, 7/25/2022 (a)(b)   EUR 4,880,067       6,380,182  
0.25%, 7/25/2024 (a)(b)   EUR 3,440,550       4,440,692  
0.10%, 3/1/2025   EUR 2,671,500       3,400,445  
1.85%, 7/25/2027 (a)(b)   EUR 2,311,029       3,442,290  
0.10%, 3/1/2028 (a)(b)   EUR  923,211       1,182,661  
0.70%, 7/25/2030 (a)(b)   EUR 722,624       997,838  
United Kingdom Index Linked Treasury Gilt

 

  
0.13%, 3/22/2024 (a)(b)   GBP 115,392       170,670  
0.13%, 3/22/2024   GBP 7,615,872       11,264,208  
0.13%, 3/22/2026   GBP 5,524,422       8,427,012  
   

 

 

  

TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $61,825,906)

       63,052,467  
   

 

 

  
U.S. TREASURY OBLIGATIONS - 25.9%  
U.S. Treasury Inflation Linked Notes

 

0.13%, 4/15/2020   $ 19,180,000       20,301,491  
0.13%, 4/15/2021 (c)     28,400,000       29,554,870  
0.13%, 4/15/2022     16,750,000       16,901,129  
0.38%, 7/15/2025     6,180,000       6,413,173  
0.63%, 1/15/2026     11,530,000       12,091,552  
0.13%, 7/15/2026     12,980,000       12,997,586  
0.38%, 7/15/2027     6,680,000       6,656,170  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $106,177,895)

 

     104,915,971  
   

 

 

  
    SHARES        
SHORT-TERM INVESTMENTS - 51.7%  
INVESTMENT COMPANIES - 37.3%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)     6,394,562       6,394,562  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)     25,578,249       25,578,249  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)     32,320,587       32,320,587  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (d)(e)     2,086,310       2,086,310  
Limited Purpose Cash Investment Fund, 1.85% (d)     53,010,533       53,010,533  
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)     31,973,657       31,973,657  
   

 

 

  

TOTAL INVESTMENT COMPANIES (Cost $151,350,867)

       151,363,898  
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
U.S. TREASURY OBLIGATIONS - 14.4%  
U.S. Treasury Bills 1.59%, 7/5/2018 (f)   $ 1,288,000     $ 1,287,822  
1.61%, 7/19/2018 (f)     3,544,000       3,541,092  
1.63%, 7/26/2018 (f)     3,964,000       3,959,435  
1.66%, 8/9/2018 (f)     23,499,000       23,453,794  
1.85%, 8/30/2018 (f)     20,528,000       20,465,424  
2.06%, 11/15/2018 (f)     1,901,000       1,886,619  
2.05%, 11/29/2018 (f)     1,093,000       1,083,766  
2.10%, 12/20/2018 (f)     2,920,000       2,891,861  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $58,571,905)

 

     58,569,813  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $209,922,772)

 

     209,933,711  
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 93.1%
(Cost $377,926,573)

 

     377,902,149  
   

 

 

  

OTHER ASSETS IN EXCESS OF

LIABILITIES - 6.9% (g)

       27,810,925  
   

 

 

  

NET ASSETS - 100.0%

     $ 405,713,074  
   

 

 

  

 

(a)

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 $39,960,802 or 9.85% of net assets.

(b)

Inflation protected security.

(c)

All or a portion of the security pledged as collateral for futures contracts.

(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)

The rate shown was the effective yield at the date of purchase.

(g)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 with respect to ASC 820 (See Note 5).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

 

 

  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
APPRECIATION

(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

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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)

 

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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.

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

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   
   

 

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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.  

 

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AQR RISK PARITY II HV FUND   

 

INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
FOREIGN GOVERNMENT SECURITIES - 26.0%  
Deutsche Bundesrepublik Inflation Linked Bond    
0.10%, 4/15/2023 (a)(b)   EUR  1,705,504     $ 2,157,091  
0.10%, 4/15/2026 (a)(b)   EUR 1,763,699       2,296,145  
France Government Bond OAT    
1.10%, 7/25/2022 (a)(b)   EUR 915,710       1,197,197  
0.25%, 7/25/2024 (a)(b)   EUR 637,914       823,350  
0.10%, 3/1/2025   EUR 513,750       653,932  
1.85%, 7/25/2027 (a)(b)   EUR 440,196       655,674  
0.10%, 3/1/2028 (a)(b)   EUR 205,158       262,814  
0.70%, 7/25/2030 (a)(b)   EUR 103,232       142,548  
United Kingdom Index Linked Treasury Gilt    
0.13%, 3/22/2024   GBP 1,430,861       2,116,306  
0.13%, 3/22/2026   GBP 974,898       1,487,119  
   

 

 

  

TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $11,414,584)

       11,792,176  
   

 

 

  
U.S. TREASURY OBLIGATIONS - 41.7%        
U.S. Treasury Inflation Linked Notes    
0.13%, 4/15/2020 (c)   $ 3,370,000       3,567,050  
0.13%, 4/15/2021 (c)     5,260,000       5,473,895  
0.13%, 4/15/2022 (c)     3,150,000       3,178,421  
0.38%, 7/15/2025     1,120,000       1,162,258  
0.63%, 1/15/2026     2,000,000       2,097,407  
0.13%, 7/15/2026     2,260,000       2,263,062  
0.38%, 7/15/2027     1,180,000       1,175,791  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $19,154,951)

 

     18,917,884  
   

 

 

  
    SHARES        
SHORT-TERM INVESTMENTS - 50.7%  
INVESTMENT COMPANIES - 33.1%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)     243,086       243,086  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)     972,342       972,342  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)     4,212,895       4,212,895  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (d)(e)     296,522       296,522  
Limited Purpose Cash Investment Fund, 1.85% (d)     8,089,883       8,089,883  
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)     1,215,428       1,215,428  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $15,027,921)

 

     15,030,156  
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
U.S. TREASURY OBLIGATIONS - 17.6%  
U.S. Treasury Bills

 

  
1.63%, 7/26/2018 (f)   $ 3,837,000     $ 3,832,581  
1.64%, 8/2/2018 (f)     1,148,000       1,146,211  
1.85%, 8/30/2018 (f)     1,510,000       1,505,397  
2.06%, 11/15/2018 (f)     1,486,000       1,474,759  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,958,925)

       7,958,948  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $22,986,846)

       22,989,104  
   

 

 

  

TOTAL INVESTMENTS IN
SECURITIES AT VALUE - 118.4%
(Cost $53,556,381)

       53,699,164  
   

 

 

  

LIABILITIES IN EXCESS OF OTHER

ASSETS - (18.4)% (g)

       (8,363,548 ) 
   

 

 

  

NET ASSETS - 100.0%

     $ 45,335,616  
   

 

 

  

 

(a)

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 $7,534,819 or 16.62% of net assets.

(b)

Inflation protected security.

(c)

On 6/30/2018, securities valued at $12,219,366 were pledged as collateral for reverse repurchase agreements outstanding.

(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)

The rate shown was the effective yield at the date of purchase.

(g)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 with respect to ASC 820 (See Note 5).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

 

 

  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 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   
   

 

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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   
   

 

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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)

 

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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)

 

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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)

 

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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)

 

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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)

 

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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.  

 

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INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
FOREIGN GOVERNMENT SECURITIES - 15.8%  
Deutsche Bundesrepublik Inflation Linked Bond    
0.10%, 4/15/2023 (a)(b)   EUR 1,598,910     $ 2,022,273  
0.10%, 4/15/2026 (a)(b)   EUR 1,867,446       2,431,212  
France Government Bond OAT    
1.10%, 7/25/2022 (a)(b)   EUR 882,209       1,153,397  
0.25%, 7/25/2024 (a)(b)   EUR 533,337       688,375  
0.10%, 3/1/2025   EUR 513,750       653,932  
1.85%, 7/25/2027 (a)(b)   EUR 440,196       655,674  
0.10%, 3/1/2028 (a)(b)   EUR 205,158       262,813  
0.70%, 7/25/2030(a)(b)   EUR 103,232       142,548  
United Kingdom Index Linked Treasury Gilt    
0.13%, 3/22/2024   GBP 1,500,096       2,218,708  
0.13%, 3/22/2026   GBP 1,083,220       1,652,355  
   

 

 

  

TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $11,636,393)

       11,881,287  
   

 

 

  
U.S. TREASURY OBLIGATIONS - 26.5%  
U.S. Treasury Inflation Linked Notes    
0.13%, 4/15/2020 (c)   $ 3,870,000       4,096,286  
0.13%, 4/15/2021 (c)     5,160,000       5,369,828  
0.13%, 4/15/2022     3,050,000       3,077,519  
0.38%, 7/15/2025     1,210,000       1,255,654  
0.63%, 1/15/2026     2,220,000       2,328,122  
0.13%, 7/15/2026     2,450,000       2,453,319  
0.38%, 7/15/2027     1,250,000       1,245,541  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $20,061,910)

       19,826,269  
   

 

 

  
    SHARES        
SHORT-TERM INVESTMENTS - 53.5%  
INVESTMENT COMPANIES - 37.1%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (d)     666,907       666,907  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (d)     2,667,628       2,667,628  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (d)(e)     3,567,480       3,567,480  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (d)(e)     345,648       345,648  
Limited Purpose Cash Investment Fund, 1.85% (d)     17,181,977       17,181,977  
UBS Select Treasury Preferred Fund, Class I, 1.76% (d)     3,334,536       3,334,536  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $27,761,057)

 

     27,764,176  
   

 

 

  
INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
U.S. TREASURY OBLIGATIONS - 16.4%  
U.S. Treasury Bills

 

  
1.59%, 7/5/2018 (f)   $ 1,034,000     $ 1,033,857  
1.61%, 7/19/2018 (f)     1,275,000       1,273,954  
1.63%, 7/26/2018 (f)     5,410,000       5,403,769  
1.64%, 8/2/2018 (f)     3,821,000       3,815,046  
1.92%, 10/4/2018 (f)     792,000       788,041  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $12,315,232)

       12,314,667  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $40,076,289)

       40,078,843  
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 95.8%
(Cost $71,774,592)

       71,786,399  
   

 

 

  
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.2% (g)       3,165,360  
   

 

 

  

NET ASSETS - 100.0%

     $ 74,951,759  
   

 

 

  

 

(a)

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 $7,356,292 or 9.81% of net assets.

(b)

Inflation protected security.

(c)

All or a portion of the security pledged as collateral for futures contracts.

(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)

The rate shown was the effective yield at the date of purchase.

(g)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 with respect to ASC 820 (See Note 5).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

 

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

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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   
   

 

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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   
   

 

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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   
   

 

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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   
   

 

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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

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Consolidated Schedule of Investments   June 30, 2018 (Unaudited)

 

AQR RISK PARITY II MV FUND   

 

 

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

 

 

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   

 

INVESTMENTS       
SHARES		     VALUE  
LONG POSITIONS - 128.5%            
COMMON STOCKS - 50.5%            
Brazil - 0.0% (a)            
Yamana Gold, Inc.     385,613     $ 1,123,415  
   

 

 

  
Canada - 1.8%  
Air Canada *(b)     844,183       13,645,372  
ARC Resources Ltd.     228,500       2,360,347  
BRP, Inc.     20,742       999,983  
Canadian Imperial Bank of Commerce     71,718       6,238,672  
Canadian Natural Resources Ltd.     111,691       4,031,292  
Canadian Tire Corp. Ltd., Class A     26,203       3,420,252  
CGI Group, Inc., Class A *     79,096       5,012,351  
CI Financial Corp.     43,544       782,676  
Constellation Software, Inc.     1,014       786,387  
Dollarama, Inc.     164,262       6,367,316  
Fairfax Financial Holdings Ltd.     2,699       1,512,376  
Fortis, Inc.     29,280       935,873  
Franco-Nevada Corp.     44,285       3,232,150  
Goldcorp, Inc.     68,424       939,454  
Intact Financial Corp.     42,916       3,044,093  
Kinross Gold Corp. *     1,339,015       5,041,741  
Linamar Corp.     49,073       2,157,920  
Magna International, Inc.     50,035       2,910,034  
National Bank of Canada     63,675       3,057,214  
Peyto Exploration & Development Corp.     206,653       1,590,787  
Seven Generations Energy Ltd., Class A *     101,756       1,121,549  
Sun Life Financial, Inc.     36,261       1,457,170  
Teck Resources Ltd., Class B     23,066       587,594  
Toronto-Dominion Bank (The)     204,648       11,844,724  
Tourmaline Oil Corp.     196,307       3,507,589  
West Fraser Timber Co. Ltd.     41,313       2,843,657  
   

 

 

  
      89,428,573  
   

 

 

  
Chile - 0.0% (a)  
Lundin Mining Corp.     180,468       1,003,477  
   

 

 

  
China - 0.0% (a)  
Yangzijiang Shipbuilding Holdings Ltd. (2)     1,405,600       930,323  
   

 

 

  
Italy - 2.8%  
A2A SpA (2)     5,052,414       8,745,390  
Assicurazioni Generali SpA (2)     564,908       9,444,115  
Autogrill SpA (2)     188,189       2,324,429  
DiaSorin SpA (2)     7,918       899,839  
Enel SpA (2)(b)     7,159,948       39,674,574  
Eni SpA (2)(b)     1,155,641       21,427,172  
Hera SpA (2)     1,055,878       3,285,470  
Intesa Sanpaolo SpA (2)(b)     5,897,510       17,063,096  
Italgas SpA (2)     361,941       1,992,101  
Mediobanca Banca di Credito Finanziario SpA (2)     203,451       1,881,928  
Poste Italiane SpA (2)(b)(c)     1,836,069       15,324,993  
INVESTMENTS       
SHARES		     VALUE  
Italy - 2.8% (continued)  
Terna Rete Elettrica Nazionale SpA (2)     1,533,228     $ 8,280,465  
UnipolSai Assicurazioni SpA (2)     665,237       1,467,074  
   

 

 

  
      131,810,646  
   

 

 

  
Singapore - 0.0% (a)  
DBS Group Holdings Ltd. (2)     28,600       556,185  
Genting Singapore Ltd. (2)     744,500       666,635  
Venture Corp. Ltd. (2)     66,000       862,290  
   

 

 

  
      2,085,110  
   

 

 

  
Spain - 1.3%  
Repsol SA (2)(b)     3,139,846       61,286,923  
   

 

 

  
Switzerland - 0.2%  
Temenos AG (Registered) (2)*     73,581       11,065,595  
   

 

 

  
United Kingdom - 0.2%  
Fiat Chrysler Automobiles NV (2)*     537,592       10,141,266  
   

 

 

  
United States - 44.2%  
Aaron’s, Inc.     35,525       1,543,561  
Accenture plc, Class A     38,202       6,249,465  
Adobe Systems, Inc. *(b)     62,296       15,188,388  
AGCO Corp.     19,501       1,184,101  
Air Lease Corp.     142,239       5,969,771  
Akamai Technologies, Inc. *(b)     241,009       17,649,089  
Alphabet, Inc., Class A *(b)     12,570       14,193,918  
Amazon.com, Inc. *(b)     22,727       38,631,355  
Amdocs Ltd. (b)     300,008       19,857,530  
ANSYS, Inc. *     19,933       3,471,930  
Antero Resources Corp. *     521,340       11,130,609  
Anthem, Inc. (b)     204,653       48,713,554  
Apache Corp.     6,500       303,875  
Applied Materials, Inc. (b)     461,084       21,297,470  
AutoNation, Inc. *     48,327       2,347,726  
AutoZone, Inc. *     918       615,914  
Baxter International, Inc. (b)     369,488       27,282,994  
Best Buy Co., Inc. (b)     517,599       38,602,533  
Big Lots, Inc. (b)     326,556       13,643,510  
Boeing Co. (The) (b)     72,414       24,295,621  
Booking Holdings, Inc. *(b)     30,946       62,730,326  
Booz Allen Hamilton Holding Corp.     55,574       2,430,251  
Broadridge Financial Solutions, Inc.     96,116       11,062,952  
CA, Inc. (b)     604,527       21,551,388  
Cadence Design Systems, Inc. *(b)     363,712       15,752,367  
Cardinal Health, Inc.     10,278       501,875  
CDK Global, Inc.     119,582       7,778,809  
Centene Corp. *(b)     143,530       17,684,331  
Chesapeake Energy Corp. *(b)     3,419,566       17,918,526  
Cigna Corp. (b)     152,315       25,885,934  
Cimarex Energy Co.     4,016       408,588  
Cirrus Logic, Inc. *(b)     517,546       19,837,538  
Citrix Systems, Inc. *     62,949       6,599,573  
CNX Resources Corp. *     466,830       8,300,237  
Cognizant Technology Solutions Corp., Class A     26,652       2,105,241  
Concho Resources, Inc. *     1,000       138,350  
ConocoPhillips     4,700       327,214  
 

 

  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   

 

INVESTMENTS  

SHARES

     VALUE  
United States - 44.2% (continued)  
CONSOL Energy, Inc. *     49,562     $ 1,900,703  
Convergys Corp.     338,363       8,269,592  
Cooper Cos., Inc. (The)     29,886       7,036,659  
CoreLogic, Inc. *     25,803       1,339,176  
Cummins, Inc.     30,258       4,024,314  
Curtiss-Wright Corp.     13,758       1,637,477  
Danaher Corp. (b)     169,943       16,769,975  
Diamond Offshore Drilling, Inc. *     127,522       2,660,109  
Dillard’s, Inc., Class A     84,857       8,018,987  
DXC Technology Co.     76,672       6,180,530  
Eaton Corp. plc (b)     276,080       20,634,219  
eBay, Inc. *(b)     1,202,047       43,586,224  
Electronic Arts, Inc. *     48,634       6,858,367  
EMCOR Group, Inc.     12,938       985,617  
Energen Corp. *     19,533       1,422,393  
EOG Resources, Inc.     1,100       136,873  
Esterline Technologies Corp. *     20,863       1,539,689  
Euronet Worldwide, Inc. *     11,469       960,758  
Expedia Group, Inc.     54,627       6,565,619  
Facebook, Inc., Class A *(b)     268,608       52,195,907  
Fair Isaac Corp. *     45,982       8,889,240  
GameStop Corp., Class A     151,365       2,205,388  
Gap, Inc. (The)     74,786       2,422,319  
GATX Corp.     84,150       6,246,455  
General Dynamics Corp. (b)     93,508       17,430,826  
Genpact Ltd.     304,345       8,804,701  
Globus Medical, Inc., Class A *     203,848       10,286,170  
Harris Corp.     13,105       1,894,197  
Helmerich & Payne, Inc.     48,504       3,092,615  
HollyFrontier Corp. (b)     512,968       35,102,400  
Honeywell International, Inc.     21,629       3,115,657  
Humana, Inc. (b)     128,757       38,321,946  
Huntington Ingalls Industries, Inc. (b)     177,556       38,492,365  
IAC/InterActiveCorp *(b)     130,672       19,926,173  
Intel Corp. (b)     1,271,964       63,229,329  
International Business Machines Corp. (b)     391,214       54,652,596  
Intuitive Surgical, Inc. *     9,774       4,676,664  
ITT, Inc.     50,145       2,621,079  
j2 Global, Inc.     113,403       9,821,834  
Jack Henry & Associates, Inc.     42,813       5,581,103  
KLA-Tencor Corp.     81,795       8,386,441  
Kohl’s Corp. (b)     596,384       43,476,394  
L3 Technologies, Inc. (b)     99,376       19,111,992  
Laboratory Corp. of America Holdings *(b)     108,934       19,556,921  
Lam Research Corp. (b)     150,964       26,094,127  
Laredo Petroleum, Inc. *     938,756       9,030,833  
Liberty Expedia Holdings, Inc., Class A *     27,000       1,186,380  
Lockheed Martin Corp. (b)     71,983       21,265,938  
Macy’s, Inc. (b)     782,935       29,305,257  
Manhattan Associates, Inc. *     151,717       7,132,216  
Marathon Oil Corp.     16,642       347,152  
Marathon Petroleum Corp. (b)     272,812       19,140,490  
Marvell Technology Group Ltd.     138,335       2,965,902  
Match Group, Inc. *     153,657       5,952,672  
Maxim Integrated Products, Inc.     35,952       2,108,944  
INVESTMENTS       
SHARES		     VALUE  
United States - 44.2% (continued)  
McDermott International, Inc. *     62,182     $ 1,221,876  
McKesson Corp. (b)     210,335       28,058,689  
Medtronic plc     130,038       11,132,553  
Micron Technology, Inc. *(b)     638,782       33,497,728  
Microsoft Corp. (b)     345,895       34,108,706  
MKS Instruments, Inc.     31,360       3,001,152  
Murphy Oil Corp.     8,677       293,022  
Murphy USA, Inc. *(b)     154,679       11,491,103  
Netflix, Inc. *(b)     55,411       21,689,528  
Newfield Exploration Co. *     63,861       1,931,795  
Northrop Grumman Corp. (b)     149,781       46,087,614  
NVIDIA Corp.     36,246       8,586,677  
Oasis Petroleum, Inc. *     12,400       160,828  
Oceaneering International, Inc.     262,990       6,695,725  
ON Semiconductor Corp. *     330,296       7,344,132  
Oracle Corp. (b)     1,321,838       58,240,182  
Oshkosh Corp.     35,725       2,512,182  
Owens Corning (b)     296,556       18,792,754  
Patterson-UTI Energy, Inc.     7,100       127,800  
PBF Energy, Inc., Class A (b)     609,093       25,539,269  
Penske Automotive Group, Inc.     54,655       2,560,587  
Phillips 66     51,507       5,784,751  
Qorvo, Inc. *     114,580       9,185,879  
Qurate Retail, Inc. *(b)     1,193,854       25,333,582  
Range Resources Corp.     450,753       7,541,098  
Raytheon Co. (b)     326,460       63,065,542  
Red Hat, Inc. *     16,045       2,155,967  
Rowan Cos. plc, Class A *     508,496       8,247,805  
RPC, Inc.     310,817       4,528,604  
Sally Beauty Holdings, Inc. *     70,640       1,132,359  
Science Applications International Corp.     13,106       1,060,669  
Signet Jewelers Ltd.     205,214       11,440,681  
Skyworks Solutions, Inc. (b)     552,267       53,376,606  
SM Energy Co.     4,965       127,551  
Snap-on, Inc.     76,232       12,252,007  
Southwestern Energy Co. *(b)     2,838,141       15,042,147  
Spirit AeroSystems Holdings, Inc., Class A (b)     436,698       37,516,725  
SS&C Technologies Holdings, Inc.     27,032       1,402,961  
Star Group, Inc. (The) *     24,891       902,752  
Symantec Corp.     50,278       1,038,241  
Synopsys, Inc. *(b)     147,782       12,645,706  
Target Corp. (b)     357,680       27,226,602  
Texas Instruments, Inc. (b)     285,867       31,516,837  
Textron, Inc. (b)     248,971       16,409,679  
Total System Services, Inc.     6,926       585,386  
Trinity Industries, Inc.     57,259       1,961,693  
United Rentals, Inc. *(b)     117,360       17,324,683  
UnitedHealth Group, Inc.     18,907       4,638,643  
Universal Health Services, Inc., Class B     7,943       885,168  
Valeant Pharmaceuticals International, Inc. *     152,417       3,547,682  
Valero Energy Corp. (b)     452,121       50,108,570  
Varian Medical Systems, Inc. *     26,009       2,957,743  
VeriSign, Inc. *(b)     111,508       15,323,429  
Versum Materials, Inc.     18,152       674,347  
 

 

  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   

 

INVESTMENTS       
SHARES		     VALUE  
United States - 44.2% (continued)  
VMware, Inc., Class A *(b)     137,155     $ 20,157,670  
WellCare Health Plans,
Inc. *(b)		     119,191       29,349,592  
Whiting Petroleum Corp. *     2,724       143,609  
Williams-Sonoma, Inc. (b)     442,715       27,173,847  
Woodward, Inc.     86,979       6,685,206  
   

 

 

  
      2,131,310,239  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $2,386,589,817)

 

     2,440,185,567  
 

 

 

  
   
 NO. OF
RIGHTS
 		  
RIGHTS - 0.0%  
Italy - 0.0%  

Intesa Sanpaolo SpA (3)*(d)

(Cost $—)

     11,550,677       —  
   

 

 

  
    SHARES    
SHORT-TERM INVESTMENTS - 78.0%  
INVESTMENT COMPANIES - 55.7%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (2)(e)     12,430,998       12,430,998  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (2)(e)     49,723,992       49,723,992  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (2)(e)(f)     847,182,909       847,182,909  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
1.75% (2)(e)(f)		     591,122,238       591,122,238  
Limited Purpose Cash Investment Fund,
1.85% (2)(e)(g)		     1,133,076,465       1,133,076,465  
UBS Select Treasury Preferred Fund, Class I, 1.76% (2)(b)(e)     62,154,990       62,154,990  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $2,695,422,239)

 

     2,695,691,592  
   

 

 

  
   

 PRINCIPAL

AMOUNT

  

 

  
U.S. TREASURY OBLIGATIONS - 22.3%        
U.S. Treasury Bills 1.59%, 7/12/2018 (2)(h)   $ 37,360,000       37,342,604  
1.61%, 7/19/2018 (2)(h)     398,281,000       397,954,215  
1.63%, 7/26/2018 (2)(h)(i)     45,655,000       45,602,421  
1.64%, 8/2/2018 (2)(h)(i)     76,102,000       75,983,413  
1.66%, 8/9/2018 (2)(h)     22,089,000       22,046,506  
1.79%, 8/16/2018 (2)(h)     75,611,000       75,438,512  
1.84%, 8/23/2018 (2)(h)     79,554,000       79,344,431  
1.85%, 8/30/2018 (2)(h)     47,770,000       47,624,381  
1.85%, 9/6/2018 (2)(h)(i)     17,775,000       17,713,817  
1.87%, 9/13/2018 (2)(h)(i)     4,246,000       4,229,813  
1.97%, 9/20/2018 (2)(h)     31,540,000       31,408,583  
1.91%, 9/27/2018 (2)(h)     77,929,000       77,574,001  
1.92%, 10/4/2018 (2)(h)     5,068,000       5,042,664  
1.90%, 10/11/2018 (2)(h)     2,059,000       2,047,858  
1.96%, 10/18/2018 (2)(h)(i)     66,521,000       66,134,347  
INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
U.S. TREASURY OBLIGATIONS - 22.3% (continued)  
2.01%, 10/25/2018 (2)(h)   $ 4,912,000     $ 4,881,559  
2.02%, 11/8/2018 (2)(h)     4,082,000       4,052,928  
2.06%, 11/15/2018 (2)(h)     49,430,000       49,056,062  
2.10%, 11/23/2018 (2)(h)     6,186,000       6,136,326  
2.05%, 11/29/2018 (2)(h)     7,835,000       7,768,811  
2.08%, 12/13/2018 (2)(h)     1,409,000       1,395,946  
2.10%, 12/20/2018 (2)(h)     6,711,000       6,646,329  
2.10%, 12/27/2018 (2)(h)     13,094,000       12,960,630  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,078,369,957)

 

     1,078,386,157  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $3,773,792,196)

 

     3,774,077,749  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $6,160,382,013)

       6,214,263,316  
   

 

 

  
    SHARES    
SHORT POSITIONS - (35.2)%            
COMMON STOCKS - (35.2)%            
Argentina - (0.2)%            
MercadoLibre, Inc.     (32,094 )      (9,593,859 ) 
   

 

 

  
Canada - (1.5)%  
AltaGas Ltd.     (92,268 )      (1,905,508 ) 
Bombardier, Inc., Class B *     (1,007,166 )      (3,983,770 ) 
Cameco Corp.     (417,449 )      (4,696,361 ) 
Element Fleet Management Corp.     (648,666 )      (3,049,295 ) 
Enbridge, Inc.     (618,831 )      (22,123,803 ) 
Imperial Oil Ltd.     (45,973 )      (1,528,179 ) 
Inter Pipeline Ltd.     (75,995 )      (1,424,346 ) 
Keyera Corp.     (53,089 )      (1,477,196 ) 
Nutrien Ltd.     (62,339 )      (3,391,386 ) 
Pembina Pipeline Corp.     (149,836 )      (5,189,239 ) 
Shopify, Inc., Class A *     (49,674 )      (7,243,755 ) 
TransCanada Corp.     (265,935 )      (11,506,015 ) 
Wheaton Precious Metals Corp.     (246,678 )      (5,445,248 ) 
   

 

 

  
      (72,964,101 ) 
   

 

 

  
Ghana - (0.1)%  
Kosmos Energy Ltd. *     (733,243 )      (6,063,920 ) 
   

 

 

  
Italy - (1.2)%  
Brembo SpA (2)     (53,523 )      (721,852 ) 
Buzzi Unicem SpA (2)     (300,137 )      (7,333,266 ) 
Ferrari NV (2)     (214,915 )      (29,049,889 ) 
Leonardo SpA (2)     (1,320,435 )      (12,996,230 ) 
Recordati SpA (2)     (16,777 )      (664,791 ) 
Saipem SpA (2)*     (140,250 )      (643,210 ) 
UniCredit SpA (2)     (120,645 )      (1,999,620 ) 
Unipol Gruppo SpA (2)     (1,183,101 )      (4,558,630 ) 
   

 

 

  
      (57,967,488 ) 
   

 

 

  
Luxembourg - (0.4)%  
Tenaris SA (2)     (942,238 )      (17,195,861 ) 
   

 

 

  
Netherlands - (0.1)%  
Koninklijke Vopak NV (2)     (120,353 )      (5,547,301 ) 
   

 

 

  
 

 

  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   

 

INVESTMENTS       
SHARES		     VALUE  
Portugal - 0.0% (a)  
Banco Espirito Santo SA (Registered) (3)*(d)     (216,618 )    $ (3 ) 
   

 

 

  
Singapore - 0.0% (a)  
CapitaLand Ltd. (2)     (573,600 )      (1,327,597 ) 
City Developments Ltd. (2)     (94,900 )      (760,141 ) 
   

 

 

  
      (2,087,738 ) 
   

 

 

  
Switzerland - (0.2)%  
STMicroelectronics NV (2)     (447,037 )      (9,916,766 ) 
   

 

 

  
United Kingdom - (0.2)%  
CNH Industrial NV (2)     (755,560 )      (7,981,350 ) 
Pentair plc     (80,602 )      (3,391,732 ) 
   

 

 

  
      (11,373,082 ) 
   

 

 

  
United States - (30.9)%  
Acadia Healthcare Co., Inc. *     (320,193 )      (13,099,096 ) 
Acxiom Corp. *     (134,761 )      (4,036,092 ) 
Advance Auto Parts, Inc.     (127,395 )      (17,287,502 ) 
Advanced Micro Devices, Inc. *     (2,345,418 )      (35,157,816 ) 
Alliance Data Systems Corp.     (24,761 )      (5,774,265 ) 
Allscripts Healthcare Solutions, Inc. *     (659,322 )      (7,911,864 ) 
AmerisourceBergen Corp.     (171,260 )      (14,603,340 ) 
Anadarko Petroleum Corp.     (369,647 )      (27,076,643 ) 
AO Smith Corp.     (23,221 )      (1,373,522 ) 
Arconic, Inc.     (767,923 )      (13,062,370 ) 
athenahealth, Inc. *     (23,981 )      (3,816,336 ) 
Atlassian Corp. plc, Class A *     (325,263 )      (20,335,443 ) 
Autodesk, Inc. *     (202,782 )      (26,582,692 ) 
Baker Hughes a GE Co.     (420,946 )      (13,903,846 ) 
Brookdale Senior Living, Inc. *     (1,254,715 )      (11,405,359 ) 
Cabot Oil & Gas Corp.     (575,460 )      (13,695,948 ) 
CarMax, Inc. *     (299,164 )      (21,800,081 ) 
Cheniere Energy, Inc. *     (762,923 )      (49,734,950 ) 
Colfax Corp. *     (143,096 )      (4,385,892 ) 
CommVault Systems, Inc. *     (119,670 )      (7,880,270 ) 
Conduent, Inc. *     (615,194 )      (11,178,075 ) 
Cree, Inc. *     (165,455 )      (6,877,964 ) 
Cypress Semiconductor Corp.     (1,405,816 )      (21,902,613 ) 
DaVita, Inc. *     (241,649 )      (16,780,107 ) 
DENTSPLY SIRONA, Inc.     (91,327 )      (3,997,383 ) 
DexCom, Inc. *     (335,498 )      (31,865,600 ) 
Dollar Tree, Inc. *     (166,869 )      (14,183,865 ) 
Donaldson Co., Inc.     (110,724 )      (4,995,867 ) 
Dover Corp.     (14,767 )      (1,080,944 ) 
Ensco plc, Class A     (444,439 )      (3,226,627 ) 
Envision Healthcare Corp. *     (821,189 )      (36,140,528 ) 
EQT Corp.     (250,378 )      (13,815,858 ) 
Extraction Oil & Gas, Inc. *     (156,996 )      (2,306,271 ) 
Fastenal Co.     (556,198 )      (26,769,810 ) 
FireEye, Inc. *     (872,760 )      (13,431,776 ) 
First Data Corp., Class A *     (2,378,834 )      (49,788,996 ) 
Floor & Decor Holdings, Inc., Class A *     (16,445 )      (811,232 ) 
Flowserve Corp.     (402,093 )      (16,244,557 ) 
Fluor Corp.     (11,293 )      (550,873 ) 
Gartner, Inc. *     (226,892 )      (30,153,947 ) 
General Electric Co.     (4,357,672 )      (59,307,916 ) 
Genuine Parts Co.     (47,151 )      (4,327,990 ) 
Global Payments, Inc.     (18,609 )      (2,074,717 ) 
INVESTMENTS       
SHARES		     VALUE  
United States - (30.9)% (continued)  
GoDaddy, Inc., Class A *     (114,715 )    $ (8,098,879 ) 
Graco, Inc.     (105,947 )      (4,790,923 ) 
Granite Construction, Inc.     (58,702 )      (3,267,353 ) 
Guidewire Software, Inc. *     (101,574 )      (9,017,740 ) 
Halliburton Co.     (12,039 )      (542,477 ) 
Halyard Health, Inc. *     (17,074 )      (977,487 ) 
Henry Schein, Inc. *     (12,360 )      (897,830 ) 
Hess Corp.     (1,084,234 )      (72,524,412 ) 
IDEXX Laboratories, Inc. *     (53,806 )      (11,726,480 ) 
KBR, Inc.     (117,743 )      (2,109,955 ) 
Kennametal, Inc.     (213,229 )      (7,654,921 ) 
Kinder Morgan, Inc.     (1,773,825 )      (31,343,488 ) 
KLX, Inc. *     (41,030 )      (2,950,057 ) 
L Brands, Inc.     (669,060 )      (24,674,933 ) 
Lennox International, Inc.     (28,626 )      (5,729,494 ) 
Lincoln Electric Holdings, Inc.     (28,887 )      (2,535,123 ) 
LKQ Corp. *     (217,596 )      (6,941,312 ) 
Lowe’s Cos., Inc.     (102,830 )      (9,827,463 ) 
Masco Corp.     (105,638 )      (3,952,974 ) 
Medidata Solutions, Inc. *     (118,721 )      (9,564,164 ) 
Middleby Corp. (The) *     (68,679 )      (7,171,461 ) 
Nabors Industries Ltd.     (1,753,325 )      (11,238,813 ) 
National Oilwell Varco, Inc.     (306,486 )      (13,301,492 ) 
Noble Energy, Inc.     (915,071 )      (32,283,705 ) 
Nordson Corp.     (6,957 )      (893,348 ) 
Nordstrom, Inc.     (25,161 )      (1,302,837 ) 
NOW, Inc. *     (337,016 )      (4,492,423 ) 
NuVasive, Inc. *     (46,151 )      (2,405,390 ) 
Occidental Petroleum Corp.     (96,165 )      (8,047,087 ) 
Office Depot, Inc.     (528,553 )      (1,347,810 ) 
ONEOK, Inc.     (852,130 )      (59,504,238 ) 
Owens & Minor, Inc.     (17,748 )      (296,569 ) 
Pandora Media, Inc. *     (1,110,330 )      (8,749,400 ) 
Patterson Cos., Inc.     (153,447 )      (3,478,643 ) 
Pool Corp.     (29,679 )      (4,496,369 ) 
Premier, Inc., Class A *     (405,144 )      (14,739,139 ) 
PTC, Inc. *     (59,607 )      (5,591,733 ) 
QUALCOMM, Inc.     (33,230 )      (1,864,868 ) 
Sabre Corp.     (63,890 )      (1,574,250 ) 
Schlumberger Ltd.     (577,951 )      (38,740,056 ) 
Sensata Technologies Holding plc *     (50,257 )      (2,391,228 ) 
ServiceNow, Inc. *     (53,435 )      (9,215,934 ) 
Splunk, Inc. *     (241,329 )      (23,918,117 ) 
Square, Inc., Class A *     (343,115 )      (21,149,609 ) 
Superior Energy Services, Inc. *     (874,615 )      (8,518,750 ) 
Tableau Software, Inc., Class A *     (229,967 )      (22,479,274 ) 
Targa Resources Corp.     (847,413 )      (41,938,469 ) 
Tenet Healthcare Corp. *     (809,718 )      (27,182,233 ) 
Terex Corp.     (56,624 )      (2,388,967 ) 
Tiffany & Co.     (71,392 )      (9,395,187 ) 
TJX Cos., Inc. (The)     (22,976 )      (2,186,856 ) 
Transocean Ltd. *     (908,083 )      (12,204,636 ) 
Twitter, Inc. *     (16,438 )      (717,847 ) 
Tyler Technologies, Inc. *     (4,380 )      (972,798 ) 
Ulta Beauty, Inc. *     (89,789 )      (20,962,140 ) 
Ultimate Software Group, Inc. (The) *     (64,092 )      (16,491,513 ) 
Univar, Inc. *     (356,265 )      (9,348,394 ) 
Veeva Systems, Inc., Class A *     (52,349 )      (4,023,544 ) 
WABCO Holdings, Inc. *     (34,027 )      (3,981,840 ) 
Wayfair, Inc., Class A *     (115,231 )      (13,684,834 ) 
Weatherford International plc *     (5,522,722 )      (18,169,755 ) 
 

 

  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   

 

INVESTMENTS       
SHARES		     VALUE  
United States - (30.9)% (continued)  
Welbilt, Inc. *     (532,901 )    $ (11,889,021 ) 
Williams Cos., Inc. (The)     (1,499,047 )      (40,639,164 ) 
Workday, Inc., Class A *     (262,709 )      (31,819,314 ) 
WPX Energy, Inc. *     (586,319 )      (10,571,332 ) 
   

 

 

  
      (1,491,624,695 ) 
   

 

 

  
Zambia - (0.4)%            
First Quantum Minerals Ltd.     (1,165,304 )      (17,169,542 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(1,565,755,880))

       (1,701,504,356 ) 
   

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(1,565,755,880))

       (1,701,504,356 ) 
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 93.3%
(Cost $4,594,626,133)

 

     4,512,758,960  
   

 

 

  

OTHER ASSETS IN EXCESS OF

LIABILITIES - 6.7% (j)

       321,581,708  
   

 

 

  

NET ASSETS - 100.0%

     $ 4,834,340,668  
   

 

 

  
SECTOR   VALUE     % OF NET
ASSETS		  
Consumer Discretionary   $ 225,329,240       4.7 % 
Energy     (268,447,879 )      (5.6 ) 
Financials     64,066,768       1.3  
Health Care     82,611,049       1.7  
Industrials     176,863,535       3.7  
Information Technology     416,000,317       8.6  
Materials     (18,567,954 )      (0.4 ) 
Real Estate     (2,087,738 )      0.0 (a) 
Utilities     62,913,873       1.3  
Short-Term Investments     3,774,077,749       78.0  
 

 

 

    

 

 

  

Total Investments In Securities
At Value

     4,512,758,960       93.3  
Other Assets in Excess of Liabilities (j)     321,581,708       6.7  
 

 

 

    

 

 

  

Net Assets

   $ 4,834,340,668       100.0 % 
 

 

 

    

 

 

  
 

 

*

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
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 (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   
   

 

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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.

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

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   
   

 

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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)

 

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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   
   

 

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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)

 

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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)

 

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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)

 

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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)

 

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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.  

 

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Consolidated Schedule of Investments   June 30, 2018 (Unaudited)

 

AQR STYLE PREMIA ALTERNATIVE LV FUND   

 

INVESTMENTS       
SHARES		     VALUE  
LONG POSITIONS - 111.6%

 

COMMON STOCKS - 16.4%  
Belgium - 0.4%  
Ageas (a)     7,470     $ 376,063  
bpost SA (a)     13,429       211,963  
KBC Group NV (a)     10,876       835,277  
Solvay SA (a)     1,391       175,181  
UCB SA (a)     3,077       241,207  
   

 

 

  
      1,839,691  
   

 

 

  
Brazil - 0.0% (b)  
Yamana Gold, Inc. (1)(a)     15,346       44,708  
   

 

 

  
Canada - 0.8%  
Agnico Eagle Mines Ltd. (1)(a)     400       18,338  
Air Canada (1)*(a)     38,327       619,517  
ARC Resources Ltd. (1)(a)     7,893       81,533  
Bank of Nova Scotia (The ) (1)(a)     707       40,033  
Canadian Imperial Bank of Commerce (1)(a)     2,448       212,949  
Canadian Natural Resources Ltd. (1)(a)     6,081       219,483  
Canadian Tire Corp. Ltd., Class A (1)(a)     1,199       156,504  
CGI Group, Inc., Class A (1)*(a)     4,054       256,904  
CI Financial Corp. (1)(a)     2,029       36,470  
Constellation Software, Inc. (1)(a)     80       62,042  
Dollarama, Inc. (1)(a)     6,285       243,627  
Empire Co. Ltd., Class A (1)(a)     2,526       50,706  
Fairfax Financial Holdings Ltd. (1)(a)     111       62,199  
Fortis, Inc. (1)(a)     2,023       64,661  
Franco-Nevada Corp. (1)(a)     2,095       152,904  
Intact Financial Corp. (1)(a)     1,820       129,095  
Kinross Gold Corp. (1)*(a)     55,830       210,215  
Linamar Corp. (1)(a)     1,753       77,086  
Magna International, Inc. (1)(a)     1,209       70,315  
National Bank of Canada (1)(a)     1,842       88,440  
Onex Corp. (1)(a)     493       36,184  
Peyto Exploration & Development Corp. (1)(a)     9,136       70,328  
Seven Generations Energy Ltd., Class A (1)*(a)     4,513       49,742  
Sun Life Financial, Inc. (1)(a)     1,424       57,224  
Toronto-Dominion Bank (The) (1)(a)     7,988       462,334  
Tourmaline Oil Corp. (1)(a)     8,780       156,880  
West Fraser Timber Co. Ltd. (1)(a)     1,671       115,018  
   

 

 

  
      3,800,731  
   

 

 

  
Chile - 0.0% (b)  
Lundin Mining Corp. (1)(a)     7,163       39,829  
   

 

 

  
China - 0.0% (b)  
Yangzijiang Shipbuilding Holdings Ltd.     39,900       26,409  
   

 

 

  
Denmark - 0.4%  
Danske Bank A/S (a)     22,454       699,529  
GN Store Nord A/S (a)     3,034       137,853  
H Lundbeck A/S (a)     6,368       446,311  
Jyske Bank A/S (Registered) (a)     2,158       117,956  
Orsted A/S (a)(c)     3,480       210,266  
INVESTMENTS       
SHARES		     VALUE  
Denmark - 0.4% (continued)  
William Demant Holding A/S *(a)     11,923     $ 478,495  
   

 

 

  
      2,090,410  
   

 

 

  
Finland - 0.5%  
Cargotec OYJ, Class B (a)     1,729       87,239  
Fortum OYJ (a)     8,190       195,079  
Kesko OYJ, Class B (a)     1,574       96,138  
Neste OYJ (a)     17,087       1,336,867  
Outokumpu OYJ (a)     27,352       169,407  
Sampo OYJ, Class A     251       12,224  
UPM-Kymmene OYJ (a)     17,664       628,929  
   

 

 

  
      2,525,883  
   

 

 

  
Germany - 0.4%  
Aurubis AG (a)     5,515       420,984  
Deutsche Lufthansa AG (Registered) (a)     63,684       1,525,718  
   

 

 

  
      1,946,702  
   

 

 

  
Italy - 1.4%  
A2A SpA     290,550       502,923  
Assicurazioni Generali SpA (a)     26,390       441,187  
Autogrill SpA     9,749       120,415  
DiaSorin SpA     370       42,049  
Enel SpA (a)     312,901       1,733,840  
Eni SpA (a)     52,642       976,055  
Hera SpA     47,114       146,600  
Intesa Sanpaolo SpA (a)     445,314       1,288,413  
Italgas SpA     20,815       114,565  
Mediobanca Banca di Credito Finanziario SpA (a)     7,346       67,951  
Poste Italiane SpA (c)     101,095       843,803  
Terna Rete Elettrica Nazionale SpA (a)     75,617       408,383  
UnipolSai Assicurazioni SpA     3,126       6,894  
   

 

 

  
      6,693,078  
   

 

 

  
Japan - 8.5%  
Alfresa Holdings Corp. (a)     10,200       239,520  
Amada Holdings Co. Ltd. (a)     20,400       195,786  
ANA Holdings, Inc. (a)     12,200       447,651  
Aozora Bank Ltd. (a)     15,700       595,840  
Asahi Glass Co. Ltd. (a)     3,500       136,136  
Astellas Pharma, Inc. (a)     41,300       628,527  
Central Japan Railway Co. (a)     2,400       496,870  
Chubu Electric Power Co., Inc. (a)     14,500       217,419  
Citizen Watch Co. Ltd. (a)     5,400       35,409  
Daiwa Securities Group, Inc. (a)     17,600       102,007  
East Japan Railway Co. (a)     4,500       430,944  
Ezaki Glico Co. Ltd. (a)     800       38,429  
Fujitsu Ltd. (a)     43,000       260,215  
GungHo Online Entertainment, Inc. (a)     48,300       122,717  
Hakuhodo DY Holdings, Inc. (a)     2,800       44,895  
Haseko Corp. (a)     50,900       701,560  
Hino Motors Ltd. (a)     4,300       45,852  
Hisamitsu Pharmaceutical Co., Inc. (a)     900       75,834  
Hitachi Ltd. (a)     32,000       225,439  
Hitachi Metals Ltd. (a)     3,500       36,291  
Honda Motor Co. Ltd. (a)     6,900       202,315  
Idemitsu Kosan Co. Ltd. (a)     24,500       871,259  
Inpex Corp. (a)     151,500       1,573,462  
 

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

  AQR Funds       Semi-Annual Report       June 2018   
   

 

206

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Consolidated Schedule of Investments   June 30, 2018 (Unaudited)

 

AQR STYLE PREMIA ALTERNATIVE LV FUND   

 

INVESTMENTS       
SHARES		     VALUE  
Japan - 8.5% (continued)  
Isuzu Motors Ltd. (a)     17,800     $ 235,978  
Ito En Ltd. (a)     900       41,724  
ITOCHU Corp. (a)     70,100       1,267,817  
Itochu Techno-Solutions Corp. (a)     11,100       191,472  
Izumi Co. Ltd. (a)     500       30,856  
Japan Airlines Co. Ltd. (a)     29,300       1,038,130  
JFE Holdings, Inc. (a)     38,600       729,065  
JXTG Holdings, Inc. (a)     518,100       3,594,464  
Kajima Corp. (a)     82,000       633,586  
Kaken Pharmaceutical Co. Ltd. (a)     700       35,916  
Kamigumi Co. Ltd. (a)     4,500       93,401  
Kansai Electric Power Co., Inc. (The) (a)     28,900       421,480  
KDDI Corp. (a)     20,400       557,836  
Keihan Holdings Co. Ltd.     1,000       35,854  
Kirin Holdings Co. Ltd. (a)     4,000       107,220  
Kobe Steel Ltd. (a)     7,500       68,539  
Konami Holdings Corp. (a)     2,800       142,273  
Kuraray Co. Ltd. (a)     12,500       171,918  
Kyushu Electric Power Co., Inc. (a)     22,600       252,345  
Kyushu Railway Co. (a)     9,800       299,640  
Marubeni Corp. (a)     217,100       1,652,867  
Maruichi Steel Tube Ltd. (a)     1,000       33,888  
Mazda Motor Corp. (a)     55,300       678,343  
McDonald’s Holdings Co. Japan Ltd.     1,200       61,192  
Mebuki Financial Group, Inc. (a)     11,200       37,569  
Medipal Holdings Corp. (a)     10,200       204,890  
Mitsubishi Chemical Holdings Corp. (a)     3,600       30,063  
Mitsubishi Corp. (a)     55,700       1,544,510  
Mitsubishi Gas Chemical Co., Inc. (a)     17,800       402,239  
Mitsubishi Heavy Industries Ltd. (a)     1,000       36,351  
Mitsubishi Materials Corp. (a)     2,000       54,870  
Mitsubishi Tanabe Pharma Corp. (a)     17,000       293,507  
Mitsubishi UFJ Lease & Finance Co. Ltd. (a)     27,800       170,424  
Mitsui & Co. Ltd. (a)     56,100       934,194  
Mitsui Chemicals, Inc. (a)     7,700       204,656  
Mitsui OSK Lines Ltd. (a)     900       21,643  
Mixi, Inc.     6,000       151,685  
Mizuho Financial Group, Inc. (a)     533,800       899,178  
Nankai Electric Railway Co. Ltd. (a)     1,200       33,287  
Nexon Co. Ltd. *(a)     15,800       229,248  
NH Foods Ltd. (a)     1,000       40,426  
NHK Spring Co. Ltd. (a)     34,200       321,928  
Nippon Electric Glass Co. Ltd. (a)     3,800       105,336  
Nippon Express Co. Ltd. (a)     4,700       340,574  
Nippon Shokubai Co. Ltd. (a)     1,300       93,886  
Nippon Steel & Sumitomo Metal Corp. (a)     16,800       329,400  
Nippon Telegraph & Telephone Corp. (a)     19,400       881,303  
Nissan Motor Co. Ltd. (a)     107,400       1,045,023  
Nisshin Seifun Group, Inc. (a)     1,800       38,140  
Nomura Holdings, Inc. (a)     9,600       46,455  
Obayashi Corp. (a)     75,300       781,872  
Oracle Corp. Japan (a)     3,300       268,967  
Osaka Gas Co. Ltd. (a)     20,500       424,472  
Otsuka Corp. (a)     5,300       207,481  
Otsuka Holdings Co. Ltd. (a)     4,200       203,165  
Pola Orbis Holdings, Inc. (a)     16,200       711,917  
INVESTMENTS       
SHARES		     VALUE  
Japan - 8.5% (continued)  
Resona Holdings, Inc. (a)     86,200     $ 459,427  
Sekisui House Ltd. (a)     7,500       132,558  
Shimamura Co. Ltd. (a)     4,100       360,464  
Shimizu Corp. (a)     5,600       57,960  
Sojitz Corp. (a)     223,100       807,984  
Square Enix Holdings Co. Ltd. (a)     9,200       451,095  
Subaru Corp. (a)     9,500       276,308  
Sugi Holdings Co. Ltd. (a)     700       40,498  
Sumitomo Corp. (a)     42,200       692,073  
Sumitomo Dainippon Pharma Co. Ltd. (a)     9,100       192,337  
Sumitomo Heavy Industries Ltd. (a)     1,200       40,432  
Sumitomo Mitsui Financial Group, Inc. (a)     6,000       234,036  
Suzuken Co. Ltd. (a)     2,970       125,600  
Suzuki Motor Corp. (a)     11,500       633,743  
Taiheiyo Cement Corp. (a)     900       29,607  
Taisei Corp. (a)     16,500       908,646  
Taisho Pharmaceutical Holdings Co. Ltd. (a)     300       35,095  
Toho Gas Co. Ltd. (a)     5,900       204,388  
Tohoku Electric Power Co., Inc. (a)     14,000       171,054  
Tokyo Broadcasting System Holdings, Inc. (a)     7,800       174,916  
Tokyo Electric Power Co. Holdings, Inc. *(a)     243,400       1,133,160  
Tokyo Gas Co. Ltd. (a)     14,500       385,008  
Tosoh Corp. (a)     21,900       338,622  
Toyo Suisan Kaisha Ltd. (a)     4,200       149,850  
Toyoda Gosei Co. Ltd. (a)     3,200       80,991  
Toyota Motor Corp. (a)     4,500       291,010  
Toyota Tsusho Corp. (a)     1,800       60,150  
West Japan Railway Co. (a)     6,000       441,746  
Yamada Denki Co. Ltd. (a)     61,300       304,506  
Yamaguchi Financial Group, Inc. (a)     33,000       371,238  
Yamaha Motor Co. Ltd. (a)     1,000       25,104  
Yamazaki Baking Co. Ltd. (a)     3,900       102,260  
   

 

 

  
      40,900,706  
   

 

 

  
Luxembourg - 0.0% (b)  
Aperam SA (a)     670       28,718  
ArcelorMittal (a)     2,115       61,707  
   

 

 

  
      90,425  
   

 

 

  
Malta - 0.0% (b)  
Kindred Group plc, SDR     7,772       97,366  
   

 

 

  
Netherlands - 0.9%  
ABN AMRO Group NV, CVA (a)(c)     3,823       98,870  
Aegon NV (a)     159,281       951,006  
Akzo Nobel NV (a)     1,416       120,774  
ASM International NV (a)     5,826       321,028  
ASR Nederland NV (a)     9,783       398,373  
Koninklijke Ahold Delhaize NV (a)     13,033       311,197  
NN Group NV (a)     25,772       1,045,219  
Signify NV (a)(c)     10,675       276,179  
Wolters Kluwer NV (a)     13,235       743,499  
   

 

 

  
      4,266,145  
   

 

 

  
 

 

  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   

 

INVESTMENTS       
SHARES		     VALUE  
Norway - 0.4%  
DNB ASA (a)     16,441     $ 320,157  
Equinor ASA (a)     14,842       392,460  
Gjensidige Forsikring ASA (a)     2,285       37,409  
Leroy Seafood Group ASA (a)     27,578       185,773  
Marine Harvest ASA (a)     43,754       869,956  
Norsk Hydro ASA (a)     9,100       54,320  
Salmar ASA (a)     1,995       83,678  
   

 

 

  
      1,943,753  
   

 

 

  
Singapore - 0.0% (b)  
Genting Singapore Ltd.     34,700       31,071  
Venture Corp. Ltd.     600       7,839  
   

 

 

  
      38,910  
   

 

 

  
Spain - 1.1%  
Acerinox SA (a)     2,348       31,025  
ACS Actividades de Construccion y Servicios SA (a)     1,006       40,588  
Almirall SA (a)     2,237       29,899  
Amadeus IT Group SA (a)     5,268       414,236  
Bankinter SA (a)     12,004       116,475  
Ebro Foods SA (a)     13,078       304,844  
Endesa SA (a)     39,660       872,186  
Gas Natural SDG SA (a)     4,181       110,528  
Iberdrola SA (a)     78,317       603,962  
Red Electrica Corp. SA (a)     1,876       38,113  
Repsol SA (a)     135,869       2,652,038  
   

 

 

  
      5,213,894  
   

 

 

  
Sweden - 0.6%  
Boliden AB *     40,791       1,316,469  
Electrolux AB, Series B     15,585       353,680  
Essity AB, Class B     5,474       134,669  
Husqvarna AB, Class B     4,025       38,077  
Nordea Bank AB     25,356       243,230  
Saab AB, Class B     858       35,532  
Sandvik AB     403       7,117  
Securitas AB, Class B     9,457       155,076  
Skandinaviska Enskilda Banken AB, Class A     10,178       96,328  
SSAB AB, Class A     39,671       186,566  
Swedbank AB, Class A     3,756       80,026  
Swedish Match AB     143       7,067  
Telia Co. AB     1,783       8,127  
Volvo AB, Class B     4,979       79,132  
   

 

 

  
      2,741,096  
   

 

 

  
Switzerland - 0.8%  
Adecco Group AG (Registered) (a)     687       40,543  
Baloise Holding AG (Registered)     227       32,928  
Cie Financiere Richemont SA (Registered)     118       9,975  
DKSH Holding AG     453       31,848  
Flughafen Zurich AG (Registered)     179       36,420  
Georg Fischer AG (Registered)     349       445,668  
Helvetia Holding AG (Registered)     161       91,849  
Kuehne + Nagel International AG (Registered)     465       69,806  
Lonza Group AG (Registered) *(a)     817       215,889  
INVESTMENTS       
SHARES		     VALUE  
Switzerland - 0.8% (continued)  
Nestle SA (Registered)     591     $ 45,803  
Partners Group Holding AG     609       445,207  
Roche Holding AG (a)     1,438       319,032  
Sika AG (Registered) (a)     803       110,950  
Sonova Holding AG (Registered)     839       150,083  
Swatch Group AG (The)     15       7,101  
Swiss Life Holding AG (Registered) *(a)     1,816       629,701  
Swiss Re AG (a)     1,760       153,664  
Swisscom AG (Registered) (a)     83       37,046  
Temenos AG (Registered) *     5,019       754,789  
Zurich Insurance Group AG *(a)     309       91,381  
   

 

 

  
      3,719,683  
   

 

 

  
United Kingdom - 0.2%  
Fiat Chrysler Automobiles NV *     29,353       553,722  
Subsea 7 SA (a)     19,343       307,498  
   

 

 

  
      861,220  
   

 

 

  
United States - 0.0% (b)  
Valeant Pharmaceuticals International, Inc. (1)*     6,981       162,491  
   

 

 

  

TOTAL COMMON STOCKS
(Cost $70,834,511)

       79,043,130  
 

 

 

  
    NO. OF
RIGHTS		        
RIGHTS - 0.0%  
Italy - 0.0%  

Intesa Sanpaolo SpA (3)*(d)

(Cost $—)

     510,287       —  
   

 

 

  
    SHARES        
SHORT-TERM INVESTMENTS - 95.2%

 

INVESTMENT COMPANIES - 65.5%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (e)     2,349,731       2,349,731  
Dreyfus Treasury & Agency Cash Management, Institutional Shares,
1.76% (e)		     9,398,925       9,398,925  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (e)(f)     78,187,602       78,187,602  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
1.75% (e)(f)		     48,919,631       48,919,631  
Limited Purpose Cash Investment Fund, 1.85% (e)     165,171,426       165,171,427  
UBS Select Treasury Preferred Fund, Class I, 1.76% (e)     11,748,656       11,748,656  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $315,750,960)

       315,775,972  
 

 

 

  
 

 

  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   

 

INVESTMENTS   PRINCIPAL
AMOUNT		     VALUE  
U.S. TREASURY OBLIGATIONS - 29.7%

 

U.S. Treasury Bills 1.61%, 7/19/2018 (g)   $ 28,699,000     $ 28,675,452  
1.63%, 7/26/2018 (g)     4,972,000       4,966,274  
1.79%, 8/16/2018 (g)     13,224,000       13,193,833  
1.84%, 8/23/2018 (g)     3,885,000       3,874,766  
1.85%, 8/30/2018 (g)     2,855,000       2,846,297  
1.97%, 9/20/2018 (g)     1,826,000       1,818,392  
1.91%, 9/27/2018 (g)     8,740,000       8,700,186  
1.92%, 10/4/2018 (g)     5,771,000       5,742,149  
1.90%, 10/11/2018 (g)     2,058,000       2,046,864  
1.96%, 10/18/2018 (g)     17,989,000       17,884,439  
2.01%, 10/25/2018 (g)     1,806,000       1,794,808  
2.01%, 11/1/2018 (g)     3,754,000       3,728,938  
2.02%, 11/8/2018 (g)     20,810,000       20,661,793  
2.06%, 11/15/2018 (g)     17,846,000       17,710,995  
2.10%, 11/23/2018 (g)     4,562,000       4,525,367  
2.08%, 12/13/2018 (g)     3,582,000       3,548,813  
2.10%, 12/27/2018 (g)     1,311,000       1,297,647  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $143,006,746)

 

     143,017,013  
 

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $458,757,706)

       458,792,985  
   

 

 

  

TOTAL LONG POSITIONS
(Cost $529,592,217)

 

     537,836,115  
 

 

 

  
    SHARES        
SHORT POSITIONS - (13.8)%

 

COMMON STOCKS - (13.8)%  
Austria - (0.1)%  
ams AG *     (7,136 )      (529,207 ) 
   

 

 

  
Belgium - (0.3)%  
Anheuser-Busch InBev SA/NV     (4,747 )      (478,806 ) 
Galapagos NV *     (6,588 )      (606,738 ) 
Telenet Group Holding NV *     (5,637 )      (262,438 ) 
   

 

 

  
      (1,347,982 ) 
   

 

 

  
Canada - (0.7)%  
AltaGas Ltd. (1)     (3,486 )      (71,992 ) 
Bombardier, Inc., Class B (1)*     (43,961 )      (173,884 ) 
Cameco Corp. (1)     (15,902 )      (178,900 ) 
Element Fleet Management Corp. (1)     (28,148 )      (132,320 ) 
Enbridge, Inc. (1)     (26,260 )      (938,821 ) 
Imperial Oil Ltd. (1)     (2,715 )      (90,249 ) 
Inter Pipeline Ltd. (1)     (2,328 )      (43,633 ) 
Keyera Corp. (1)     (2,339 )      (65,082 ) 
Nutrien Ltd. (1)     (3,008 )      (163,642 ) 
Pembina Pipeline Corp. (1)     (5,182 )      (179,467 ) 
Shopify, Inc., Class A (1)*     (2,503 )      (365,002 ) 
TransCanada Corp. (1)     (11,194 )      (484,323 ) 
Wheaton Precious Metals Corp. (1)     (12,554 )      (277,121 ) 
   

 

 

  
      (3,164,436 ) 
   

 

 

  
INVESTMENTS       
SHARES		     VALUE  
Colombia - (0.1)%  
Millicom International Cellular SA, SDR     (4,323 )    $ (254,072 ) 
   

 

 

  
Denmark - (0.3)%  
AP Moller - Maersk A/S, Class B     (240 )      (296,904 ) 
Chr Hansen Holding A/S     (325 )      (29,920 ) 
FLSmidth & Co. A/S     (2,554 )      (152,388 ) 
Genmab A/S *     (6,180 )      (950,904 ) 
Novozymes A/S, Class B     (1,886 )      (95,391 ) 
   

 

 

  
      (1,525,507 ) 
   

 

 

  
Finland - (0.2)%  
Amer Sports OYJ *     (988 )      (31,067 ) 
Huhtamaki OYJ     (2,007 )      (74,011 ) 
Kone OYJ, Class B     (428 )      (21,762 ) 
Metso OYJ     (4,830 )      (161,105 ) 
Nokia OYJ     (98,110 )      (562,747 ) 
Nokian Renkaat OYJ     (735 )      (28,943 ) 
Orion OYJ, Class B     (5,099 )      (137,138 ) 
Wartsila OYJ Abp     (1,494 )      (29,248 ) 
   

 

 

  
      (1,046,021 ) 
   

 

 

  
Germany - 0.0% (b)  
OSRAM Licht AG     (147 )      (5,987 ) 
   

 

 

  
Italy - (0.5)%  
Banco BPM SpA *     (7,697 )      (22,359 ) 
Brembo SpA     (2,734 )      (36,873 ) 
Buzzi Unicem SpA     (9,566 )      (233,727 ) 
Ferrari NV     (10,353 )      (1,399,407 ) 
Leonardo SpA     (60,982 )      (600,208 ) 
Recordati SpA     (342 )      (13,552 ) 
Saipem SpA *     (3,960 )      (18,161 ) 
UniCredit SpA     (2,918 )      (48,364 ) 
Unipol Gruppo SpA     (60,718 )      (233,954 ) 
   

 

 

  
      (2,606,605 ) 
   

 

 

  
Japan - (8.3)%  
Acom Co. Ltd.     (80,400 )      (308,655 ) 
Advantest Corp.     (46,200 )      (958,322 ) 
Aeon Co. Ltd.     (37,400 )      (800,070 ) 
AEON Financial Service Co. Ltd.     (9,500 )      (202,483 ) 
Asahi Intecc Co. Ltd.     (2,200 )      (83,063 ) 
Asics Corp.     (29,000 )      (489,552 ) 
Bank of Kyoto Ltd. (The)     (7,700 )      (355,520 ) 
Benesse Holdings, Inc.     (1,100 )      (39,008 ) 
Brother Industries Ltd.     (2,000 )      (39,402 ) 
Calbee, Inc.     (17,800 )      (669,593 ) 
Casio Computer Co. Ltd.     (9,500 )      (154,290 ) 
Chiyoda Corp.     (27,500 )      (238,444 ) 
Chugai Pharmaceutical Co. Ltd.     (8,700 )      (455,537 ) 
Chugoku Electric Power Co., Inc. (The)     (16,100 )      (207,981 ) 
Cosmos Pharmaceutical Corp.     (800 )      (162,344 ) 
CyberAgent, Inc.     (8,500 )      (509,773 ) 
Daifuku Co. Ltd.     (12,600 )      (550,515 ) 
Dai-ichi Life Holdings, Inc.     (10,800 )      (192,215 ) 
Daiichi Sankyo Co. Ltd.     (200 )      (7,641 ) 
Daikin Industries Ltd.     (6,100 )      (729,030 ) 
Dentsu, Inc.     (5,200 )      (246,157 ) 
Disco Corp.     (2,400 )      (408,583 ) 
 

 

  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   

 

INVESTMENTS       
SHARES		     VALUE  
Japan - (8.3)% (continued)  
Don Quijote Holdings Co. Ltd.     (2,400 )    $ (115,197 ) 
Eisai Co. Ltd.     (4,700 )      (330,833 ) 
FANUC Corp.     (700 )      (138,748 ) 
Fast Retailing Co. Ltd.     (5,300 )      (2,429,180 ) 
Fuji Electric Co. Ltd.     (25,000 )      (189,903 ) 
Hachijuni Bank Ltd. (The)     (7,000 )      (29,826 ) 
Hamamatsu Photonics KK     (2,300 )      (98,733 ) 
Hokuriku Electric Power Co. *     (20,400 )      (204,898 ) 
Ibiden Co. Ltd.     (16,600 )      (265,245 ) 
IHI Corp.     (4,000 )      (139,136 ) 
Isetan Mitsukoshi Holdings Ltd.     (47,400 )      (591,357 ) 
Iyo Bank Ltd. (The)     (32,100 )      (211,516 ) 
J Front Retailing Co. Ltd.     (2,900 )      (44,054 ) 
Japan Airport Terminal Co. Ltd.     (4,100 )      (191,746 ) 
JGC Corp.     (19,800 )      (398,277 ) 
Kakaku.com, Inc.     (32,500 )      (731,834 ) 
Kansai Paint Co. Ltd.     (19,400 )      (402,598 ) 
Keikyu Corp.     (18,399 )      (301,365 ) 
Keio Corp.     (800 )      (38,656 ) 
Keyence Corp.     (900 )      (507,613 ) 
Kikkoman Corp.     (16,400 )      (828,014 ) 
Kobayashi Pharmaceutical Co. Ltd.     (300 )      (25,895 ) 
Kose Corp.     (2,100 )      (451,698 ) 
Kyushu Financial Group, Inc.     (5,700 )      (27,431 ) 
LINE Corp. *     (6,600 )      (272,494 ) 
LIXIL Group Corp.     (1,800 )      (35,974 ) 
M3, Inc.     (13,200 )      (524,941 ) 
Mabuchi Motor Co. Ltd.     (900 )      (42,717 ) 
Makita Corp.     (200 )      (8,947 ) 
Marui Group Co. Ltd.     (14,700 )      (309,216 ) 
Matsumotokiyoshi Holdings Co. Ltd.     (1,000 )      (44,874 ) 
MINEBEA MITSUMI, Inc.     (3,000 )      (50,555 ) 
MISUMI Group, Inc.     (9,800 )      (285,129 ) 
Mitsubishi Logistics Corp.     (4,800 )      (103,506 ) 
Mitsubishi Motors Corp.     (30,900 )      (246,313 ) 
MonotaRO Co. Ltd.     (4,200 )      (185,538 ) 
Nabtesco Corp.     (3,400 )      (104,465 ) 
NGK Spark Plug Co. Ltd.     (21,500 )      (611,219 ) 
Nidec Corp.     (20,200 )      (3,021,713 ) 
Nintendo Co. Ltd.     (5,300 )      (1,730,074 ) 
Nippon Paint Holdings Co. Ltd.     (19,300 )      (829,999 ) 
Nippon Shinyaku Co. Ltd.     (1,900 )      (117,910 ) 
Nippon Yusen KK     (13,800 )      (273,402 ) 
Odakyu Electric Railway Co. Ltd.     (4,900 )      (105,085 ) 
Ono Pharmaceutical Co. Ltd.     (18,800 )      (440,124 ) 
Orient Corp.     (22,600 )      (30,370 ) 
Park24 Co. Ltd.     (800 )      (21,756 ) 
PeptiDream, Inc. *     (16,100 )      (668,906 ) 
Persol Holdings Co. Ltd.     (6,100 )      (135,849 ) 
Pigeon Corp.     (14,100 )      (685,220 ) 
Recruit Holdings Co. Ltd.     (10,100 )      (278,948 ) 
Renesas Electronics Corp. *     (54,800 )      (535,714 ) 
Ricoh Co. Ltd.     (34,900 )      (319,605 ) 
Rohm Co. Ltd.     (2,500 )      (208,911 ) 
Santen Pharmaceutical Co. Ltd.     (8,900 )      (154,828 ) 
Shikoku Electric Power Co., Inc.     (11,800 )      (157,826 ) 
Shimadzu Corp.     (1,600 )      (48,274 ) 
Shimano, Inc.     (3,500 )      (513,606 ) 
INVESTMENTS       
SHARES		     VALUE  
Japan - (8.3)% (continued)  
Shiseido Co. Ltd.     (9,500 )    $ (753,882 ) 
SoftBank Group Corp.     (12,100 )      (864,039 ) 
Sompo Holdings, Inc.     (200 )      (8,070 ) 
Sony Financial Holdings, Inc.     (41,100 )      (783,082 ) 
Stanley Electric Co. Ltd.     (3,400 )      (115,770 ) 
Start Today Co. Ltd.     (500 )      (18,090 ) 
SUMCO Corp.     (89,300 )      (1,793,542 ) 
Sundrug Co. Ltd.     (900 )      (36,460 ) 
Sysmex Corp.     (2,600 )      (242,254 ) 
T&D Holdings, Inc.     (29,900 )      (448,442 ) 
Taiyo Nippon Sanso Corp.     (15,200 )      (217,591 ) 
TDK Corp.     (200 )      (20,365 ) 
Terumo Corp.     (2,500 )      (143,120 ) 
THK Co. Ltd.     (5,400 )      (154,180 ) 
Tokio Marine Holdings, Inc.     (12,500 )      (584,791 ) 
Tokyo Electron Ltd.     (3,600 )      (617,952 ) 
TOTO Ltd.     (4,400 )      (203,657 ) 
Tsuruha Holdings, Inc.     (500 )      (62,627 ) 
Unicharm Corp.     (5,400 )      (162,347 ) 
USS Co. Ltd.     (2,300 )      (43,729 ) 
Yakult Honsha Co. Ltd.     (5,200 )      (347,677 ) 
Yamaha Corp.     (3,300 )      (171,262 ) 
Yamato Holdings Co. Ltd.     (15,900 )      (467,979 ) 
Yaskawa Electric Corp.     (73,700 )      (2,595,354 ) 
Yokogawa Electric Corp.     (3,500 )      (62,150 ) 
   

 

 

  
      (40,524,351 ) 
   

 

 

  
Luxembourg - (0.1)%  
Tenaris SA     (36,310 )      (662,658 ) 
   

 

 

  
Netherlands - (0.5)%  
ALTICE EUROPE NV *     (159,626 )      (647,923 ) 
ASML Holding NV     (803 )      (158,902 ) 
Boskalis Westminster     (6,867 )      (199,551 ) 
Koninklijke KPN NV     (230,769 )      (627,502 ) 
Koninklijke Vopak NV     (7,389 )      (340,573 ) 
OCI NV *     (7,298 )      (195,977 ) 
SBM Offshore NV     (2,324 )      (36,034 ) 
   

 

 

  
      (2,206,462 ) 
   

 

 

  
Norway - (0.1)%  
Schibsted ASA, Class A     (9,546 )      (289,474 ) 
   

 

 

  
Singapore - 0.0% (b)  
CapitaLand Ltd.     (22,700 )      (52,539 ) 
   

 

 

  
Spain - (0.8)%  
Atresmedia Corp. de Medios de Comunicacion SA     (3,398 )      (28,504 ) 
Banco Bilbao Vizcaya Argentaria SA     (2,880 )      (20,311 ) 
Banco de Sabadell SA     (4,546 )      (7,591 ) 
Banco Santander SA     (12,313 )      (65,806 ) 
Bankia SA     (102,842 )      (383,505 ) 
Cellnex Telecom SA (c)     (36,083 )      (907,180 ) 
Distribuidora Internacional de Alimentacion SA     (17,551 )      (50,985 ) 
Ferrovial SA     (8,847 )      (181,033 ) 
Grifols SA     (5,462 )      (163,712 ) 
Industria de Diseno Textil SA     (59,642 )      (2,031,056 ) 
 

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

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AQR STYLE PREMIA ALTERNATIVE LV FUND   

 

INVESTMENTS       
SHARES		     VALUE  
Spain - (0.8)% (continued)  
Melia Hotels International SA     (2,293 )    $ (31,365 ) 
   

 

 

  
      (3,871,048 ) 
   

 

 

  
Sweden - (0.6)%  
Hennes & Mauritz AB, Class B     (8,192 )      (121,938 ) 
Telefonaktiebolaget LM Ericsson, Class B     (355,502 )      (2,738,860 ) 
   

 

 

  
      (2,860,798 ) 
   

 

 

  
Switzerland - (0.7)%  
Aryzta AG *     (9,103 )      (136,162 ) 
Chocoladefabriken Lindt & Spruengli AG     (8 )      (51,853 ) 
Credit Suisse Group AG (Registered) *     (129,585 )      (1,937,694 ) 
Dufry AG (Registered) *     (54 )      (6,868 ) 
OC Oerlikon Corp. AG (Registered) *     (14,240 )      (216,943 ) 
STMicroelectronics NV     (20,587 )      (456,688 ) 
Sunrise Communications Group AG *(c)     (470 )      (38,190 ) 
Vifor Pharma AG     (2,239 )      (357,151 ) 
   

 

 

  
      (3,201,549 ) 
   

 

 

  
United Kingdom - (0.1)%  
CNH Industrial NV     (40,755 )      (430,515 ) 
   

 

 

  
United States - (0.2)%  
Altice USA, Inc., Class A (1)     (61,123 )      (1,042,754 ) 
   

 

 

  
Zambia - (0.2)%  
First Quantum Minerals Ltd. (1)     (55,974 )      (824,719 ) 
   

 

 

  

TOTAL COMMON STOCKS
(Proceeds $(65,118,689))

       (66,446,684 ) 
 

 

 

  

TOTAL SHORT POSITIONS
(Proceeds $(65,118,689))

       (66,446,684 ) 
 

 

 

  

TOTAL INVESTMENTS IN
SECURITIES AT VALUE - 97.8%
(Cost $464,473,528)

       471,389,431  
 

 

 

  
OTHER ASSETS IN EXCESS OF
LIABILITIES - 2.2% (H)		       10,622,266  
 

 

 

  

NET ASSETS - 100.0%

 

   $ 482,011,697  
 

 

 

  
SECTOR   VALUE     % OF NET
ASSETS		  
Consumer Discretionary   $ (5,245,756 )      (1.1 )% 
Consumer Staples     (2,388,210 )      (0.5 ) 
Energy     9,172,175       1.9  
Financials     7,527,917       1.6  
Health Care     (1,140,653 )      (0.2 ) 
Industrials     7,043,462       1.5  
Information Technology     (11,817,394 )      (2.5 ) 
Materials     3,064,389       0.6  
Real Estate     (52,539 )      0.0  (b) 
Telecommunication Services     (1,206,670 )      (0.3 ) 
Utilities     7,639,726       1.6  
Short-Term Investments     458,792,984       95.2  
 

 

 

    

 

 

  

Total Investments In Securities At Value

     471,389,431       97.8  
 

 

 

    

 

 

  
Other Assets in Excess of Liabilities (h)     10,622,266       2.2  
 

 

 

    

 

 

  

Net Assets

   $ 482,011,697       100.0 % 
 

 

 

    

 

 

  

 

*

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 $71,262,394. In addition, $1,798,334 of cash collateral was pledged.

(b)

Represents less than 0.05% of net assets.

(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 $483,748, which represents approximately 0.10% 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 $0, 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)

The rate shown was the effective yield at the date of purchase.

(h)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.

(1)

Level 1 security (See Note 5).

(3)

Level 3 security (See Note 5).

Abbreviations

CVA - Dutch Certification

OYJ - Public Traded Company

SDR - Swedish Depositary Receipt

 

 

  The accompanying notes are an integral part of these financial statements.   (Continued)

 

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AQR STYLE PREMIA ALTERNATIVE LV 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   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)

 

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REFERENCE
ENTITY		   PAYMENTS
MADE BY
FUND		  

PAYMENTS
RECEIVED BY

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)

 

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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   
   

 

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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.

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CNY - Chinese Renminbi

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thai Baht

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 

 

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   
   

 

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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		  
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

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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		  
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   
   

 

223

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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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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
ARBITRAGE

FUND

     

AQR

EQUITY

MARKET

NEUTRAL

FUND

     

AQR

GLOBAL
MACRO

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
RISK

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   
   

 

230

Table of Contents
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   
   

 

231

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   
   

 

232

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		  
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   
   

 

233

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
resulting from operations

     (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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     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   
   

 

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     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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     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.  

 

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     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)

 

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     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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     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)

 

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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.  

 

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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)

 

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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.  

 

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Table of Contents
Statements of Cash Flows   June 30, 2018 (Unaudited)

 

    

AQR

ALTERNATIVE
RISK PREMIA

FUND

     

AQR

DIVERSIFIED

ARBITRAGE

FUND

     

AQR

EQUITY
MARKET

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.  

 

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Statements of Cash Flows   June 30, 2018 (Unaudited)

 

    

AQR

LONG-SHORT
EQUITY
FUND

     

AQR

MULTI-
STRATEGY
ALTERNATIVE
FUND***

     

AQR

RISK
PARITY II
HV FUND***

  
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   
   

 

245

Table of Contents
Statements of Cash Flows   June 30, 2018 (Unaudited)

 

    

AQR

STYLE

PREMIA

ALTERNATIVE

FUND***

     

AQR

STYLE

PREMIA

ALTERNATIVE
LV FUND***

  
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   
   

 

246

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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   
   

 

247

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   
   

 

249

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 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

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            RATIOS/SUPPLEMENTAL DATA  
                  Ratios to Average Net Assets of:*              

Net

Asset

Value,

End of

Period

     Total
Return2,3		     Net Assets,
End of Period
(000’s)		     Expenses, Before
Reimbursements
and/or Waivers4		     Expenses, Net of
Reimbursements
and/or Waivers4		     Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4		     Net Investment
Income (Loss)		     Portfolio
Turnover
Rate5		         
               
  $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   
   

 

251

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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   
   

 

252

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            RATIOS/SUPPLEMENTAL DATA  
                  Ratios to Average Net Assets of:*              

Net

Asset

Value,

End of

Period

     Total
Return2,3		     Net Assets,
End of Period
(000’s)		     Expenses, Before
Reimbursements
and/or Waivers4		     Expenses, Net of
Reimbursements
and/or Waivers4		     Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4		     Net Investment
Income (Loss)		     Portfolio
Turnover
Rate5		         
               
  $8.29       (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

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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 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.  

 

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            RATIOS/SUPPLEMENTAL DATA  
                  Ratios to Average Net Assets of:*              

Net

Asset

Value,

End of

Period

     Total
Return2,3		     Net Assets,
End of Period
(000’s)		     Expenses, Before
Reimbursements
and/or Waivers4		     Expenses, Net of
Reimbursements
and/or Waivers4		     Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4		     Net Investment
Income (Loss)		     Portfolio
Turnover
Rate5		         
               
  $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.  

 

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    PER SHARE OPERATING PERFORMANCE  
          Change in Net Assets Resulting from
Operations1		     Less Dividends and Distributions  
     Net Asset
Value,
Beginning
of Period		     Net
Investment
Income
(Loss)		     Net
Realized
and
Unrealized
Gain (Loss)		     Net
Increase
(Decrease)
in Net
Asset
Value from
Operations		     Distributions
from Net
Investment
Income		     Distributions
from Net
Realized
Gains		     Return of
Capital		     Total
Distributions		  
AQR STYLE PREMIA ALTERNATIVE 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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            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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  *   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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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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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 ) 
       

 

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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 ) 
       

 

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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 ) 
       

 

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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 .

 

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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
BONDS

     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
appreciation/(depreciation)

     (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.

 

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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.

 

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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  

 

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Table of Contents
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   
   

 

278

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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   
   

 

279

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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   
   

 

280

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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
ASSETS
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES

     GROSS
AMOUNTS
OFFSET		     NET AMOUNTS
OF ASSETS		     FINANCIAL
INSTRUMENTS		     COLLATERAL
RECEIVED		     NET
AMOUNT		  
BANA   Total Return Swap Contracts   $ 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
LIABILITIES
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES

     GROSS
AMOUNTS
OFFSET		     NET AMOUNTS
OF LIABILITIES		     FINANCIAL
INSTRUMENTS		     COLLATERAL
PLEDGED (a)		     NET
AMOUNT		  
BANA   Total Return Swap Contracts   $ 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
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   $ 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
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   $ 14,783     $ (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   
   

 

282

Table of Contents
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
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   $ 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
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   $ 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
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   $ 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   
   

 

283

Table of Contents
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
LIABILITIES
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES

     GROSS
AMOUNTS
OFFSET		     NET AMOUNTS
OF LIABILITIES		     FINANCIAL
INSTRUMENTS		     COLLATERAL
PLEDGED (a)		     NET
AMOUNT		  
BANA   Total Return Swap Contracts   $ 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   
   

 

284

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
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   $ 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  

 

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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.

 

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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       —  

 

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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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Notes to 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 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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Notes to Financial Statements   June 30, 2018 (Unaudited)

 

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.

 

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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 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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     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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     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).

 

  AQR Funds       Semi-Annual Report       June 2018   
   

 

308

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

LOGO

 

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  |  p: +1.866.290.2688  |  w: https://funds.aqr.com

Table of Contents

LOGO

 

Semi-Annual Report

 

 

June 30, 2018

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

Table of Contents

Table of Contents

 

 

 

Consolidated Schedule of Investments  

AQR Managed Futures Strategy Fund

     2  

AQR Managed Futures Strategy HV Fund

     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   

 

INVESTMENTS   SHARES     VALUE ($)  
SHORT-TERM INVESTMENTS - 97.6%  
INVESTMENT COMPANIES - 11.3%  
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.80% (a)     21,842,450       21,842,450  
Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.76% (a)     87,369,799       87,369,799  
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)     439,762,363       439,762,363  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (a)(b)     17,337,540       17,337,540  
Limited Purpose Cash Investment Fund, 1.85% (a)(c)     366,746,923       366,746,923  
UBS Select Treasury Preferred Fund, Class I, 1.76% (a)     109,212,249       109,212,249  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $1,042,224,009)

       1,042,271,324  
   

 

 

  
   

PRINCIPAL

AMOUNT ($)

        
U.S. TREASURY OBLIGATIONS - 86.3%  
U.S. Treasury Bills 1.59%, 7/5/2018 (d)     133,201,000       133,182,574  
1.59%, 7/12/2018 (d)(e)     104,774,000       104,725,214  
1.61%, 7/19/2018 (d)     231,315,000       231,125,208  
1.63%, 7/26/2018 (d)(e)     1,057,777,000       1,056,558,790  
1.64%, 8/2/2018 (d)(e)     1,547,445,000       1,545,033,663  
1.66%, 8/9/2018 (d)(e)     369,196,000       368,485,759  
INVESTMENTS  

PRINCIPAL

AMOUNT ($)

     VALUE ($)  
U.S. TREASURY OBLIGATIONS - 86.3% (continued)  
1.84%, 8/23/2018 (d)     162,833,000       162,404,047  
1.85%, 8/30/2018 (d)     414,717,000       413,452,806  
1.87%, 9/13/2018 (d)     1,013,332,000       1,009,468,956  
1.97%, 9/20/2018 (d)(e)     143,186,000       142,589,391  
1.91%, 9/27/2018 (d)     879,238,000       875,232,702  
1.92%, 10/4/2018 (d)     294,816,000       293,342,147  
1.90%, 10/11/2018 (d)(e)     65,960,000       65,603,076  
1.96%, 10/18/2018 (d)(e)     197,463,000       196,315,246  
2.01%, 10/25/2018 (d)(e)     280,100,000       278,364,159  
2.06%, 11/15/2018 (d)(e)     47,599,000       47,238,914  
2.10%, 11/23/2018 (d)     5,281,000       5,238,594  
2.09%, 12/6/2018 (d)(e)     517,077,000       512,499,286  
2.08%, 12/13/2018 (d)(e)     304,375,000       301,555,008  
2.10%, 12/20/2018 (d)(e)     244,178,000       241,824,964  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,984,071,942)

       7,984,240,504  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $9,026,295,951)

       9,026,511,828  
   

 

 

  

TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.6%
(Cost $9,026,295,951)

       9,026,511,828  
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES - 2.4%(f)

       218,079,909  
   

 

 

  

NET ASSETS - 100.0%

       9,244,591,737  
   

 

 

  
 

 

(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
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 - 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
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   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
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   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
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   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
RECEIVED

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.

 

AUD

- Australian Dollar

BRL

- Brazilian Real

CAD

- Canadian Dollar

CHF

- Swiss Franc

CLP

- Chilean Peso

COP

- Colombian Peso

EUR

- Euro

GBP

- British Pound

HKD

- Hong Kong Dollar

HUF

- Hungarian Forint

IDR

- Indonesian Rupiah

ILS

- Israeli Shekel

INR

- Indian Rupee

JPY

- Japanese Yen

KRW

- Korean Won

MXN

- Mexican Peso

NOK

- Norwegian Krone

NZD

- New Zealand Dollar

PHP

- Philippine Peso

PLN

- Poland Zloty

SEK

- Swedish Krona

SGD

- Singapore Dollar

TRY

- Turkish Lira

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   
   

 

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   

 

INVESTMENTS   SHARES     VALUE ($)  
SHORT-TERM INVESTMENTS - 90.5%            
INVESTMENT COMPANIES - 16.8%            
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.82% (a)(b)     60,198,371       60,198,371  
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.75% (a)(b)     835,498       835,498  
Limited Purpose Cash Investment Fund, 1.85% (a)     42,611,781       42,611,782  
   

 

 

  

TOTAL INVESTMENT COMPANIES
(Cost $103,640,141)

       103,645,651  
   

 

 

  
   

Principal

Amount ($)

        
U.S. TREASURY OBLIGATIONS - 73.7%        
U.S. Treasury Bills    
1.59%, 7/5/2018 (c)     73,116,000       73,105,886  
1.59%, 7/12/2018 (c)(d)     32,227,000       32,211,994  
1.63%, 7/26/2018 (c)     64,637,000       64,562,560  
1.64%, 8/2/2018 (c)(d)     26,867,000       26,825,134  
1.66%, 8/9/2018 (c)(d)     125,694,000       125,452,196  
1.84%, 8/23/2018 (c)     4,731,000       4,718,537  
1.85%, 8/30/2018 (c)(d)     26,036,000       25,956,634  
1.91%, 9/27/2018 (c)(d)     6,207,000       6,178,725  
1.90%, 10/11/2018 (c)(d)     8,803,000       8,755,365  
1.96%, 10/18/2018 (c)(d)     14,687,000       14,601,632  
2.01%, 10/25/2018 (c)     18,004,000       17,892,425  
INVESTMENTS  

PRINCIPAL

AMOUNT ($)

     VALUE ($)  
U.S. TREASURY OBLIGATIONS - 73.7% (continued)        
2.06%, 11/15/2018 (c)(d)     7,111,000       7,057,205  
2.10%, 12/20/2018 (c)     11,841,000       11,726,893  
2.10%, 12/27/2018 (c)     34,531,000       34,179,282  
   

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS
(Cost $453,228,476)

       453,224,468  
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $556,868,617)

       556,870,119  
   

 

 

  

TOTAL INVESTMENTS IN
SECURITIES AT VALUE - 90.5%
(Cost $556,868,617)

       556,870,119  

OTHER ASSETS IN EXCESS OF

LIABILITIES - 9.5% (e)

       58,237,850  
   

 

 

  

NET ASSETS - 100.0%

       615,107,969  
   

 

 

  

 

(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)

The rate shown was the effective yield at the date of purchase.

(d)

All or a portion of the security pledged as collateral for futures contracts.

(e)

Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 with respect to ASC 820 (See Note 5).

 

 

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   

 

 

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian Peso

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

 

 

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:

 

BANA - Bank of America, NA

BARC - Barclays Capital, Inc.

CITI - Citibank NA

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

MSCL - Morgan Stanley & Co. LLC

MSCS - Morgan Stanley Capital Services LLC

SOCG - Societe Generale

 

 

  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
FUND**

     

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

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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
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)

     $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
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)4

     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.  

 

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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.

 

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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.

 

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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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Table of Contents
Notes to Consolidated Financial Statements   June 30, 2018 (Unaudited)

 

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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Notes to Consolidated Financial Statements   June 30, 2018 (Unaudited)

 

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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Notes to Consolidated Financial Statements   June 30, 2018 (Unaudited)

 

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

 

AQR MANAGED FUTURES STRATEGY FUND   LEVEL 1     LEVEL 2     LEVEL 3     TOTALS  

ASSETS

 

Short-Term Investments

   $ —     $ 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
ON FUTURES
CONTRACTS

     SWAPS
AT VALUE		    

UNREALIZED

APPRECIATION
ON FORWARD

CURRENCY

EXCHANGE

CONTRACTS

    

UNREALIZED

DEPRECIATION

ON FUTURES

CONTRACTS

     SWAPS
AT VALUE		    

UNREALIZED

DEPRECIATION

ON FORWARD

CURRENCY

EXCHANGE

CONTRACTS

  
Equity Risk Exposure:              

AQR Managed Futures Strategy Fund

   $ 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
RESULT FROM OPERATIONS

  
FUND  

FUTURES

CONTRACTS

    

SWAPS

CONTRACTS

    

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

    

FUTURES

CONTRACTS

    

SWAPS

CONTRACTS

    

FORWARD

CURRENCY

EXCHANGE

CONTRACTS

  
Equity Risk Exposure:              

AQR Managed Futures Strategy Fund

   $ (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
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   $ 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  

 

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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
LIABILITIES
PRESENTED IN THE

STATEMENT OF

ASSETS &
LIABILITIES

     GROSS
AMOUNTS
OFFSET		     NET AMOUNTS
OF LIABILITIES		     FINANCIAL
INSTRUMENTS		     COLLATERAL
PLEDGED (b)		     NET
AMOUNT		  
BANA   Total Return Swap Contracts   $ 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
ASSETS
PRESENTED IN THE

STATEMENT OF
ASSETS &
LIABILITIES

     GROSS
AMOUNTS
OFFSET		     NET
AMOUNTS
OF ASSETS		     FINANCIAL
INSTRUMENTS		     COLLATERAL
RECEIVED		     NET
AMOUNT		  
CITI   Total Return Swap Contracts   $ 9,226,397     $ (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  

 

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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
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   $ 2,310,461     $ (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 )      —       —       —       —  

 

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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  
             

 

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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
OFFSET

    

NET

AMOUNTS OF
LIABILITIES

     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
FUTURES
STRATEGY
FUND

     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.

 

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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/
REIMBURSED
FOR THE
PERIOD ENDED
JUNE 30,

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.

 

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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

 

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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
INDIVIDUAL
SHAREHOLDERS
AND/OR

OMNIBUS
ACCOUNTS

       

TOTAL
PERCENTAGE
INTEREST

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.

 

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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).

 

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Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

JPMorgan Chase Bank, N.A.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.

Table of Contents

LOGO

 

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248  |  p: +1.866.290.2688  |  w: https://funds.aqr.com

Table of Contents

Item 2. Code of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

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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
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Heather Bonner,
Principal Financial Officer
August 31, 2018