Semi-Annual Report
June 30, 2013 (Unaudited)
AQR Global Equity Fund
AQR International Equity Fund
AQR Emerging Defensive Equity Fund
AQR International Defensive Equity Fund
AQR U.S. Defensive Equity Fund
AQR Diversified Arbitrage Fund
AQR Momentum Fund
AQR Small Cap Momentum Fund
AQR International Momentum Fund
AQR Tax-Managed Momentum Fund
AQR Tax-Managed Small Cap Momentum Fund
AQR Tax-Managed International Momentum Fund
AQR Core Equity Fund
AQR Small Cap Core Equity Fund
AQR International Core Equity Fund
Table of Contents
Schedule of Investments
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
AQR International Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
AQR Diversified Arbitrage Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
AQR Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
AQR Tax-Managed Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
AQR Tax-Managed International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
AQR Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
AQR Small Cap Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
AQR International Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94
Financial Statements and Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
Fund Expense Examples . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 162
Board Approval of Investment Advisory Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
COMMON STOCKS - 90.0%
Australia - 2.9%
Alumina Ltd. †
AMP Ltd.
Arrium Ltd.
ASX Ltd.
Australia & New Zealand Banking Group
Ltd.
Bank of Queensland Ltd.
BHP Billiton Ltd.
Brambles Ltd.
Caltex Australia Ltd.
CFS Retail Property Trust Group REIT
Commonwealth Bank of Australia
Computershare Ltd.
CSL Ltd.
Dexus Property Group REIT
Downer EDI Ltd.
Fortescue Metals Group Ltd.
Goodman Group REIT
GPT Group REIT
GPT Group REIT (3)†(a)
Insurance Australia Group Ltd.
JB Hi-Fi Ltd.
Lend Lease Group
Macquarie Group Ltd.
Mirvac Group REIT
Myer Holdings Ltd.
National Australia Bank Ltd.
Newcrest Mining Ltd.
OZ Minerals Ltd.
Qantas Airways Ltd. †
Rio Tinto Ltd.
Sims Metal Management Ltd.
Sonic Healthcare Ltd.
Stockland REIT
Suncorp Group Ltd.
Telecom Corp of New Zealand Ltd.
Telstra Corp. Ltd.
Transfield Services Ltd.
Wesfarmers Ltd.
Westfield Group REIT
Westfield Retail Trust REIT
Westpac Banking Corp.
Woodside Petroleum Ltd.
Woolworths Ltd.
VALUE
(Note 2)
SHARES
37,995
23,051
230,247
2,722
$
54,632
24,629
51,827
9,380
5,743
36,456
25,719
7,001
12,744
74,910
121,338
19,404
30,110
29,672
96,388
19,934
8,029
8,523
8,614
51,825
108,148
43,696
12,358
5,222
270,985
1,136
10,982
4,827
43,746
44,800
142,455
238,106
120,168
13,236
35,184
46,500
54,471
8,475
30,575
33,814
89,148
162,947
82,084
1,418,212
195,071
1,491,727
79,900
94,462
66,465
1,618,911
65,642
715,914
73,052
395,621
53,416
133,868
104,188
—
98,946
122,994
64,982
328,546
75,872
234,932
1,181,975
114,079
19,598
332,847
54,443
82,944
65,576
139,194
486,577
246,031
1,035,159
84,845
478,959
368,504
131,506
1,430,130
269,911
915,925
15,238,917
Belgium - 0.9%
Anheuser-Busch InBev NV
Solvay SA
41,036
5,684
3,694,603
744,258
4,438,861
Canada - 3.8%
Agrium, Inc. (1)
Alimentation Couche Tard, Inc.,
Class B (1)
ARC Resources Ltd. (1)
Athabasca Oil Corp. (1)†
Bank of Montreal (1)
8,400
728,261
3,400
4,700
4,800
18,380
201,731
123,030
29,712
1,066,065
Canada - 3.8% (continued)
Bank of Nova Scotia (1)
Baytex Energy Corp. (1)
BCE, Inc. (1)
Bonavista Energy Corp. (1)
Brookfield Asset Management, Inc.,
Class A (1)
Brookfield Office Properties, Inc. (1)
Canadian Imperial Bank of Commerce (1)
Canadian National Railway Co. (1)
Canadian Oil Sands Ltd. (1)
Canadian Pacific Railway Ltd. (1)
CI Financial Corp. (1)
Crescent Point Energy Corp. (1)(b)
Eldorado Gold Corp. (1)
Empire Co., Ltd., Class A (1)
Enerplus Corp. (1)
Franco-Nevada Corp. (1)
Goldcorp, Inc. (1)
Great-West Lifeco, Inc. (1)
Husky Energy, Inc. (1)
IGM Financial, Inc. (1)
Imperial Oil Ltd. (1)
Industrial Alliance Insurance & Financial
Services, Inc. (1)
Kinross Gold Corp. (1)
Loblaw Cos., Ltd. (1)
Magna International, Inc. (1)
MEG Energy Corp. (1)†
New Gold, Inc. (1)†
Onex Corp. (1)
Open Text Corp. (1)
Osisko Mining Corp. (1)†
Penn West Petroleum Ltd. (1)
Potash Corp of Saskatchewan, Inc. (1)
Power Corp. of Canada (1)
RioCan Real Estate Investment Trust
REIT (1)
Rogers Communications, Inc.,
Class B (1)
Royal Bank of Canada (1)
Shaw Communications, Inc., Class B (1)
Silver Wheaton Corp. (1)
SNC-Lavalin Group, Inc. (1)
Sun Life Financial, Inc. (1)
Suncor Energy, Inc. (1)
Talisman Energy, Inc. (1)
Teck Resources Ltd., Class B (1)
Toronto-Dominion Bank/The (1)
Tourmaline Oil Corp. (1)†
TransCanada Corp. (1)
Turquoise Hill Resources Ltd. (1)†
Vermilion Energy, Inc. (1)
Yamana Gold, Inc. (1)
AQR Funds
5,799
1,900
7,309
1,300
$
309,993
68,470
299,671
16,873
10,002
2,845
11,400
8,500
21,400
3,800
2,600
6,500
10,600
5,900
2,951
2,100
12,788
3,145
32,300
1,700
19,400
359,490
47,313
809,067
827,612
396,176
460,791
74,833
220,457
65,614
451,153
43,604
75,178
317,603
85,316
860,555
72,885
740,620
15,600
78,900
5,700
12,134
2,000
7,000
14,400
5,400
5,500
7,500
4,900
4,746
617,058
404,365
257,711
863,698
54,826
45,327
653,388
369,174
18,199
79,158
186,924
127,348
2,100
50,458
12,500
25,224
11,800
5,300
11,900
18,400
45,682
51,100
20,193
9,112
1,900
12,300
4,885
1,500
12,000
489,683
1,469,741
283,191
103,863
502,726
544,984
1,346,527
583,056
431,432
731,854
76,112
529,566
28,984
73,324
114,443
19,789,193
China - 0.0% (c)
Foxconn International Holdings Ltd. †
The accompanying notes are an integral part of these financial statements.
2
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
101
54
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
VALUE
(Note 2)
SHARES
Denmark - 0.2%
Coloplast A/S, Class B
Danske Bank A/S †
Novo Nordisk A/S, Class B
11,513
10,597
2,172
$
644,660
180,774
337,664
1,163,098
Finland - 0.5%
Kone OYJ, Class B
Metso OYJ
Orion OYJ, Class B
Sampo OYJ, A Shares
2,052
39,715
26,107
14,982
162,764
1,345,262
611,741
583,397
2,703,164
France - 3.6%
AXA SA
BNP Paribas SA
Christian Dior SA
Cie Generale des Etablissements
Michelin
Danone SA
Essilor International SA
European Aeronautic Defence and Space
Co. NV
Gecina SA REIT
ICADE REIT
Kering
Klepierre REIT
L’Oreal SA
Renault SA
Safran SA
Sanofi
Schneider Electric SA
Societe BIC SA
Societe Generale SA
Total SA
Unibail-Rodamco SE REIT
Vivendi SA
30,119
16,706
242
593,727
914,571
39,096
21,076
39,987
2,904
1,884,531
3,009,758
309,386
5,741
612
655
7,011
1,740
6,515
14,137
7,000
31,534
4,214
4,513
10,937
38,405
1,690
57,639
307,148
67,641
54,030
1,426,649
68,572
1,070,965
952,234
365,445
3,260,004
306,049
452,739
376,402
1,875,823
393,610
1,092,353
Hong Kong - 1.1% (continued)
ASM Pacific Technology Ltd.
Cheung Kong Holdings Ltd.
Cheung Kong Infrastructure Holdings Ltd.
CLP Holdings Ltd.
First Pacific Co., Ltd.
Galaxy Entertainment Group Ltd. †
Hang Lung Group Ltd.
Hang Seng Bank Ltd.
Henderson Land Development Co., Ltd.
HKT Trust/HKT Ltd.
Hong Kong & China Gas Co., Ltd.
Hong Kong Exchanges and Clearing Ltd.
Hopewell Holdings Ltd.
Hutchison Whampoa Ltd.
Hysan Development Co., Ltd.
Li & Fung Ltd.
Link REIT/The REIT
Mongolia Energy Corp. Ltd. †
MTR Corp. Ltd.
New World Development Co., Ltd.
NWS Holdings Ltd.
PCCW Ltd.
Power Assets Holdings Ltd.
Sands China Ltd.
Sino Land Co., Ltd.
SJM Holdings Ltd.
Sun Hung Kai Properties Ltd.
Swire Pacific Ltd., Class A
Swire Properties Ltd.
Television Broadcasts Ltd.
Wharf Holdings Ltd.
Wheelock & Co., Ltd.
Wing Hang Bank Ltd.
Wynn Macau Ltd.
Yue Yuen Industrial Holdings Ltd.
2,982
17,201
5,749
30,511
34,000
49,000
791
14,057
27,500
842
42,020
18,769
9,195
33,489
37,823
1,468
39,329
885
22,500
58,173
19,500
65,406
38,000
35,600
228,000
125,000
12,022
11,818
72
442
46,604
48,844
3,000
38,800
76,123
23,535
14,053
3,527
622
13,686
3,692
41,514
83,272
28,121
1,761
5,066
16,937
16,231
3,187
10,174
2,544,107
1,253,438
307,823
13,502
1,824,469
242,780
840,966
2,066,648
327,625
216,745
364,282
1,134,795
2,468,408
585,493
314,981
14,506,062
Hong Kong - 1.1%
AIA Group Ltd.
227,000
956,351
Italy - 0.5%
Assicurazioni Generali SpA
Enel SpA
Eni SpA
Intesa Sanpaolo SpA
Prysmian SpA
UniCredit SpA
32,736
231,946
38,308
246,646
36,346
238,014
4,237
207,012
163,319
805
102,531
281,899
30,518
350,371
163,287
2,001
193,014
26
82,683
79,905
29,895
30,525
327,104
166,361
318,784
303,352
154,387
142,387
212
3,025
388,976
243,700
26,833
104,363
196,723
18,525
359,271
11,135
181,257
17,946
67,592
323,811
1,127,382
228,535
290,109
334,781
315,985
2,620,603
Japan - 8.5%
Asahi Glass Co., Ltd.
Astellas Pharma, Inc.
Bank of Yokohama Ltd./The
Bridgestone Corp.
Canon, Inc.
Central Japan Railway Co.
Chiba Bank Ltd./The
Chubu Electric Power Co., Inc.
Chugai Pharmaceutical Co., Ltd.
Citizen Holdings Co., Ltd.
Credit Saison Co., Ltd.
The accompanying notes are an integral part of these financial statements.
AQR Funds
$
5,878,582
18,820,733
Germany - 2.8%
Adidas AG
BASF SE
Bayerische Motoren Werke AG
Celesio AG
Continental AG
Deutsche Boerse AG
Deutsche Lufthansa AG †
Deutsche Post AG
Deutsche Telekom AG
Fresenius SE & Co. KGaA
Hannover Rueckversicherung SE
HeidelbergCement AG
Merck KGaA
Muenchener Rueckversicherungs AG
Suedzucker AG
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
236
10,600
53,000
23,400
15,145
7,800
87,000
14,554
29,900
19,700
75
1,530
575,836
273,409
797,945
496,351
950,664
593,594
206,158
618,910
109,881
1,885
(Continued)
3
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
VALUE
(Note 2)
SHARES
Japan - 8.5% (continued)
Dai Nippon Printing Co., Ltd.
Daicel Corp.
Dai-ichi Life Insurance Co., Ltd./The
Daiichi Sankyo Co., Ltd.
Daito Trust Construction Co., Ltd.
Daiwa House Industry Co., Ltd.
Daiwa Securities Group, Inc.
Denki Kagaku Kogyo KK
Denso Corp.
DIC Corp.
East Japan Railway Co.
Fuji Electric Co., Ltd.
Fuji Heavy Industries Ltd.
FUJIFILM Holdings Corp.
Fujitsu Ltd.
Fukuoka Financial Group, Inc.
Hino Motors Ltd.
Hitachi High-Technologies Corp.
Honda Motor Co., Ltd.
Hoya Corp.
IHI Corp.
Isuzu Motors Ltd.
ITOCHU Corp.
J Front Retailing Co., Ltd.
Japan Real Estate Investment Corp. REIT
Japan Retail Fund Investment Corp. REIT
Japan Tobacco, Inc.
JFE Holdings, Inc.
JGC Corp.
JSR Corp.
JTEKT Corp.
JX Holdings, Inc.
Kaneka Corp.
Kao Corp.
KDDI Corp.
Keisei Electric Railway Co., Ltd.
Kinden Corp.
Kirin Holdings Co., Ltd.
Kobe Steel Ltd. †
Koito Manufacturing Co., Ltd.
Konica Minolta, Inc.
Kubota Corp.
Makita Corp.
Marubeni Corp.
Marui Group Co., Ltd.
Mazda Motor Corp. †
Medipal Holdings Corp.
Miraca Holdings, Inc.
Mitsubishi Corp.
Mitsubishi Estate Co., Ltd.
Mitsubishi Heavy Industries, Ltd.
Mitsubishi UFJ Financial Group, Inc.
Mitsubishi UFJ Lease & Finance Co., Ltd.
Mitsui & Co., Ltd.
Mitsui Fudosan Co., Ltd.
Mitsumi Electric Co., Ltd. †
Mizuho Financial Group, Inc.
21,000
38,000
150
28,100
1,586
8,151
27,000
71,000
4,800
495
13,112
179,000
32,733
19,444
115
15,000
17,975
58
13,197
6
70,000
95,000
35,188
52,000
12
38
35,800
26,100
19,000
19,600
88
14
354
9,600
2,400
31,461
284
26,000
759
22,000
72,500
343
46
44,000
11,500
203,000
39,100
3,228
36
22,764
144,000
205,149
80
13,789
17,598
40
690,141
$
191,620
332,119
215,332
468,281
149,432
151,829
226,123
257,012
225,663
1,236
1,020,540
629,378
808,316
427,644
476
63,797
263,764
1,399
490,261
123
264,846
649,415
406,910
414,683
134,049
79,388
1,263,652
571,798
684,237
396,579
986
68
2,334
326,799
124,976
294,747
2,444
407,272
939
419,384
545,687
4,992
2,473
294,068
114,559
802,548
530,106
148,336
615
606,066
800,577
1,266,974
380
172,917
517,382
278
1,433,211
Japan - 8.5% (continued)
MS&AD Insurance Group Holdings
Namco Bandai Holdings, Inc.
NEC Corp.
Nippon Building Fund, Inc. REIT
Nippon Express Co., Ltd.
Nippon Kayaku Co., Ltd.
Nippon Meat Packers, Inc.
Nippon Steel & Sumitomo Metal
Nippon Telegraph & Telephone Corp.
Nishi-Nippon City Bank Ltd./The
Nitto Denko Corp.
NKSJ Holdings, Inc.
Nomura Holdings, Inc.
Nomura Real Estate Holdings, Inc.
North Pacific Bank Ltd.
NTT DOCOMO, Inc.
Oji Holdings Corp.
Omron Corp.
ORIX Corp.
Osaka Gas Co., Ltd.
Pacific Metals Co., Ltd.
Panasonic Corp. †
Rengo Co., Ltd.
Resona Holdings, Inc.
Ricoh Co., Ltd.
Rohm Co., Ltd.
Secom Co., Ltd.
Seino Holdings Co., Ltd.
Sekisui Chemical Co., Ltd.
Sekisui House Ltd.
Seven & I Holdings Co., Ltd.
Shimamura Co., Ltd.
Shin-Etsu Chemical Co., Ltd.
Shionogi & Co., Ltd.
Softbank Corp.
Sojitz Corp.
Sony Corp.
Sumitomo Heavy Industries Ltd.
Sumitomo Metal Mining Co., Ltd.
Sumitomo Mitsui Financial Group, Inc.
Sumitomo Realty & Development Co.,
Ltd.
Sumitomo Rubber Industries Ltd.
Suruga Bank Ltd.
Suzuken Co., Ltd.
Suzuki Motor Corp.
Taisei Corp.
Takashimaya Co., Ltd.
Takeda Pharmaceutical Co., Ltd.
Tohoku Electric Power Co., Inc. †
Tokai Rika Co., Ltd.
Tokio Marine Holdings, Inc.
Tokyo Electric Power Co., Inc †
Tokyo Gas Co., Ltd.
Tokyu Corp.
Tokyu Land Corp.
TOTO Ltd.
The accompanying notes are an integral part of these financial statements.
4
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
33,500
29,400
198,000
13
25,000
546
97
822
7,948
363
94
10,900
58,800
1,700
68
461
682
14,831
21,490
129,446
720
47,800
884
148,300
19,000
5,900
5,400
100
32,000
9,000
10,330
1,800
1,700
17,900
20,300
16
17,517
14,000
19,000
33,849
5,624
8,100
16,000
5,900
31,300
162,000
52,000
669
6,900
65
16,600
26,870
148,000
17,000
5,000
16,000
$
848,561
476,499
433,591
150,560
118,715
6,802
1,484
2,215
414,257
947
6,029
259,034
432,813
37,552
250
717,180
2,749
442,157
293,268
546,574
2,989
384,888
4,242
722,250
225,156
239,606
293,601
878
339,793
130,036
378,319
218,506
112,515
373,276
1,181,662
27
370,068
58,788
211,635
1,549,372
224,139
132,225
290,152
198,565
721,475
584,816
527,037
30,168
86,153
1,295
523,812
138,713
816,524
111,312
45,770
162,689
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
VALUE
(Note 2)
SHARES
Japan - 8.5% (continued)
Toyo Seikan Kaisha Ltd.
Toyota Boshoku Corp.
Toyota Motor Corp.
Ushio, Inc.
USS Co., Ltd.
West Japan Railway Co.
Yahoo Japan Corp.
20,900
6,900
39,741
31,300
1,255
6,300
301
$
321,710
99,213
2,397,091
413,276
159,102
267,185
148,217
Sweden - 1.3% (continued)
Investor AB, B Shares
Nordea Bank AB
Svenska Cellulosa AB, B Shares
Swedish Match AB
Telefonaktiebolaget LM Ericsson, B
Shares
TeliaSonera AB
9,034
119,471
73,651
18,328
26,472
34,247
44,626,666
Netherlands - 1.4%
Aegon NV
Corio NV REIT
Gemalto NV
Heineken Holding NV
ING Groep NV CVA †
Koninklijke Ahold NV
Koninklijke Philips NV
Unilever NV CVA
90,581
1,041
5,274
9,915
60,387
86,537
105,737
25,851
607,713
41,430
477,523
555,703
551,882
1,287,062
2,882,509
1,017,607
7,421,429
New Zealand - 0.1%
Fletcher Building Ltd.
42,620
Singapore - 0.6%
Ascendas Real Estate Investment Trust
REIT
CapitaCommercial Trust REIT (b)
CapitaMall Trust REIT
ComfortDelGro Corp. Ltd.
DBS Group Holdings Ltd.
Global Logistic Properties Ltd.
Hutchison Port Holdings Trust, Class U
Jardine Cycle & Carriage Ltd.
Keppel Corp. Ltd.
Keppel Land Ltd.
Keppel REIT
Noble Group Ltd.
Oversea-Chinese Banking Corp. Ltd.
Sembcorp Industries Ltd.
Singapore Exchange Ltd.
Singapore Technologies Engineering Ltd.
Singapore Telecommunications Ltd.
StarHub Ltd.
United Overseas Bank Ltd.
UOL Group Ltd.
Wilmar International Ltd.
Yangzijiang Shipbuilding Holdings Ltd.
35,478
33,000
34,494
138,000
43,054
29,000
83,000
291
20,000
94,000
400
262,000
31,422
11,777
14,967
25,103
138,635
7,476
29,201
10,340
56,000
404
3,163,127
Spain - 0.8%
Banco Bilbao Vizcaya Argentaria SA
Banco Santander SA
Gas Natural SDG SA
Repsol SA
68,218
143,502
111,475
14,217
573,295
918,305
2,245,949
300,050
4,037,599
Sweden - 1.3%
Electrolux AB, Series B
89,346
2,254,627
Switzerland - 3.8%
Givaudan SA †
Nestle SA
Novartis AG
Roche Holding AG
Schindler Holding AG
STMicroelectronics NV
Sulzer AG
Swiss Prime Site AG †
Transocean Ltd.
UBS AG †
Wolseley PLC
242,480
1,334,165
1,847,074
650,544
300,188
223,178
1,157
47,204
69,916
22,180
2,217
102,175
6,593
1,485
6,407
21,921
42,685
1,490,881
3,097,545
4,952,189
5,505,017
308,470
917,909
1,052,790
109,168
307,645
372,084
1,969,467
20,083,165
United Kingdom - 7.4%
3i Group PLC
Antofagasta PLC
ARM Holdings PLC
Associated British Foods PLC
AstraZeneca PLC
Aviva PLC
Babcock International Group PLC
BAE Systems PLC
Barclays PLC
BHP Billiton PLC
BP PLC
British Land Co. PLC REIT
British Sky Broadcasting Group PLC
BT Group PLC
Centrica PLC
Experian PLC
Glencore Xstrata PLC
Hammerson PLC REIT
HSBC Holdings PLC
Intu Properties PLC REIT
ITV PLC
Kazakhmys PLC
Land Securities Group PLC REIT
Lloyds Banking Group PLC †
Next PLC
Prudential PLC
Randgold Resources Ltd.
Reckitt Benckiser Group PLC
Reed Elsevier PLC
Resolution Ltd.
Rio Tinto PLC
Royal Dutch Shell PLC, A Shares
Royal Dutch Shell PLC, B Shares
Sage Group PLC/The
The accompanying notes are an integral part of these financial statements.
AQR Funds
$
6,852,256
277,194
62,175
38,069
54,128
198,321
523,877
62,729
60,781
9,729
163,587
247,186
408
199,260
247,013
45,818
82,729
82,693
410,611
24,581
456,006
54,661
138,501
264
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
210,603
42,386
170,468
82,074
33,542
50,620
59,581
109,069
523,877
35,178
46,177
13,261
69,738
609,179
254,638
9,936
172,942
10,329
366,214
6,502
240,490
78,848
12,541
1,773,757
13,849
58,324
1,514
19,006
20,306
76,598
21,503
59,129
28,248
80,359
1,081,386
513,595
2,062,165
2,165,118
1,585,827
260,903
1,000,419
635,162
2,231,059
896,963
320,466
114,238
840,130
2,859,945
1,392,797
172,685
715,890
76,586
3,791,102
30,908
512,738
311,222
168,435
1,703,361
959,323
952,010
95,937
1,344,418
230,924
331,797
874,505
1,888,818
935,544
415,315
(Continued)
5
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
VALUE
(Note 2)
SHARES
United Kingdom - 7.4% (continued)
Segro PLC REIT
Smith & Nephew PLC
Smiths Group PLC
Standard Life PLC
TUI Travel PLC
Tullow Oil PLC
Unilever PLC
Vodafone Group PLC
13,080
143,851
28,355
84,218
194,118
14,217
21,107
250,556
$
55,489
1,611,112
564,117
443,212
1,052,465
216,423
854,458
718,013
38,986,980
United States - 49.8%
3M Co. (1)
Abbott Laboratories (1)
Accenture PLC, Class A (1)
ACE Ltd. (1)
Activision Blizzard, Inc. (1)
Allstate Corp./The (1)
Altria Group, Inc. (1)
Amazon.com, Inc. (1)†
American Electric Power Co., Inc. (1)
American International Group, Inc. (1)†
American Tower Corp. REIT (1)
Ameriprise Financial, Inc. (1)
AmerisourceBergen Corp. (1)
Amgen, Inc. (1)
Anadarko Petroleum Corp. (1)
Annaly Capital Management, Inc.
REIT (1)
Aon PLC (1)
Apple, Inc. (1)
Archer-Daniels-Midland Co. (1)
Assurant, Inc. (1)
AT&T, Inc. (1)
AvalonBay Communities, Inc. REIT (1)
Avery Dennison Corp. (1)
Avnet, Inc. (1)†
Axis Capital Holdings Ltd. (1)
Bank of America Corp. (1)
Baxter International, Inc. (1)
Becton Dickinson and Co. (1)
Berkshire Hathaway, Inc., Class B (1)†
Best Buy Co., Inc. (1)
Biogen Idec, Inc. (1)†
BlackRock, Inc. (1)
Boeing Co./The (1)
Boston Properties, Inc. REIT (1)
Boston Scientific Corp. (1)†
Bunge Ltd. (1)
CA, Inc. (1)
Cardinal Health, Inc. (1)
CareFusion Corp. (1)†
CBRE Group, Inc., Class A (1)†
Celgene Corp. (1)†
CF Industries Holdings, Inc. (1)
Chevron Corp. (1)
Cimarex Energy Co. (1)
Cisco Systems, Inc. (1)
Citigroup, Inc. (1)
11,900
101,184
33,574
1,196
170,200
38,500
29,696
1,100
24,700
18,200
8,600
3,500
25,400
35,149
5,800
1,301,265
3,529,298
2,415,985
107,018
2,427,052
1,852,620
1,039,063
305,459
1,106,066
813,540
629,262
283,080
1,418,082
3,467,800
498,394
14,918
4,000
9,228
42,400
18,400
107,397
2,411
30,100
7,300
49,800
131,938
23,000
1,086
13,150
32,300
2,300
500
10,600
2,763
230,800
10,200
40,900
600
53,200
6,700
15,700
8,200
43,500
17,500
77,689
95,719
187,519
257,400
3,655,026
1,437,784
936,744
3,801,854
325,268
1,287,076
245,280
2,279,844
1,696,723
1,593,210
107,329
1,471,748
882,759
494,960
128,425
1,085,864
291,414
2,139,516
721,854
1,170,967
28,320
1,960,420
156,512
1,835,487
1,406,300
5,147,790
1,137,325
1,888,620
4,591,640
United States - 49.8% (continued)
Coca-Cola Co./The (1)
Colgate-Palmolive Co. (1)
Comcast Corp., Class A (1)
Comerica, Inc. (1)
Computer Sciences Corp. (1)
ConocoPhillips (1)
CVS Caremark Corp. (1)
Deere & Co. (1)
DIRECTV (1)†
Discover Financial Services (1)
DISH Network Corp., Class A (1)
DTE Energy Co. (1)
Duke Energy Corp. (1)
Edison International (1)
Electronic Arts, Inc. (1)†
Eli Lilly & Co. (1)
Emerson Electric Co. (1)
EOG Resources, Inc. (1)
Equifax, Inc. (1)
Equity Residential REIT (1)
Everest Re Group Ltd. (1)
Express Scripts Holding Co. (1)†
Exxon Mobil Corp. (1)
Fidelity National Information Services,
Inc. (1)
Flextronics International Ltd. (1)†
Flowserve Corp. (1)
Ford Motor Co. (1)
Frontier Communications Corp. (1)
GameStop Corp., Class A (1)
Gap, Inc./The (1)
General Electric Co. (1)
Goldman Sachs Group, Inc./The (1)
Google, Inc., Class A (1)†
H&R Block, Inc. (1)
HCP, Inc. REIT (1)
Health Care REIT, Inc. REIT (1)
Hershey Co./The (1)
Hess Corp. (1)
HollyFrontier Corp. (1)
Home Depot, Inc./The (1)
Honeywell International, Inc. (1)
Hormel Foods Corp. (1)
Host Hotels & Resorts, Inc. REIT (1)(b)
Humana, Inc. (1)
Ingersoll-Rand PLC (1)
Intel Corp. (1)
International Business Machines
Corp. (1)
International Paper Co. (1)
Invesco Ltd. (1)
JM Smucker Co./The (1)
Johnson & Johnson (1)
JPMorgan Chase & Co. (1)
KeyCorp (1)
Kimberly-Clark Corp. (1)
Kimco Realty Corp. REIT (1)
The accompanying notes are an integral part of these financial statements.
6
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
65,760
3,656
53,600
35,100
33,600
3,375
68,800
6,600
13,869
26,400
16,974
17,600
11,600
10,456
74,800
69,400
12,400
2,300
3,800
6,948
20,800
36,600
77,889
$
2,637,634
209,452
2,244,768
1,398,033
1,470,672
204,187
3,933,984
536,250
854,608
1,257,696
721,734
1,179,376
783,000
503,561
1,718,156
3,408,928
676,296
302,864
223,934
403,401
2,667,808
2,257,854
7,037,271
47,500
51,200
9,900
47,100
28,000
50,000
27,119
180,402
20,100
5,002
25,400
8,272
6,100
7,100
36,900
31,600
12,206
9,800
6,300
9,300
15,600
30,200
35,067
2,034,900
396,288
534,699
728,637
113,400
2,101,500
1,131,676
4,183,522
3,040,125
4,403,611
704,850
375,880
408,883
633,888
2,453,481
1,351,848
945,599
777,532
243,054
156,891
1,316,328
1,676,704
849,323
14,723
13,200
6,100
10,600
57,216
111,273
231,200
25,563
6,500
2,813,712
584,892
193,980
1,093,390
4,912,566
5,874,102
2,552,448
2,483,190
139,295
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
VALUE
(Note 2)
SHARES
United States - 49.8% (continued)
KLA-Tencor Corp. (1)
Leucadia National Corp. (1)
Life Technologies Corp. (1)†
Lincoln National Corp. (1)
Lowe’s Cos., Inc. (1)
LSI Corp. (1)†
LyondellBasell Industries NV, Class A (1)
M&T Bank Corp. (1)
Macerich Co./The REIT (1)
Macy’s, Inc. (1)
Manpowergroup, Inc. (1)
Marathon Oil Corp. (1)
Marvell Technology Group Ltd. (1)
McDonald’s Corp. (1)
McKesson Corp. (1)
Medtronic, Inc. (1)
Merck & Co., Inc. (1)
MetLife, Inc. (1)
Microsoft Corp. (1)
Mondelez International, Inc., Class A (1)
Monsanto Co. (1)
Mylan, Inc. (1)†
Nabors Industries Ltd. (1)
Newfield Exploration Co. (1)†
Newmont Mining Corp. (1)
News Corp., Class A (1)(b)
Northrop Grumman Corp. (1)
NVIDIA Corp. (1)
Occidental Petroleum Corp. (1)
Omnicare, Inc. (1)
Oracle Corp. (1)
Owens-Illinois, Inc. (1)†
Parker Hannifin Corp. (1)
PepsiCo, Inc. (1)
PetSmart, Inc. (1)
Pfizer, Inc. (1)
Philip Morris International, Inc. (1)
Pinnacle West Capital Corp. (1)
PPG Industries, Inc. (1)
Procter & Gamble Co./The (1)
Prologis, Inc. REIT (1)
Prudential Financial, Inc. (1)
Public Storage REIT (1)
Raytheon Co. (1)
Seagate Technology PLC (1)
Sherwin-Williams Co./The (1)
Simon Property Group, Inc. REIT (1)
SLM Corp. (1)
Southwest Airlines Co. (1)
Sprint Nextel Corp. (1)†
SPX Corp. (1)
Stryker Corp. (1)
Symantec Corp. (1)
TE Connectivity Ltd. (1)
Time Warner Cable, Inc. (1)
Time Warner, Inc. (1)
Travelers Cos., Inc./The (1)
29,500
26,900
5,200
23,700
11,200
37,500
49,600
8,900
2,100
36,700
4,800
45,429
71,900
2,025
9,800
73,182
75,319
38,800
101,950
55,621
13,500
28,900
88,500
11,900
5,161
13,800
35,479
104,800
11,090
8,700
51,100
38,700
2,800
20,772
23,500
130,794
20,793
9,800
12,797
60,808
10,680
15,800
3,169
17,567
52,800
1,500
6,742
75,200
19,200
95,700
10,400
21,900
69,600
24,500
18,000
16,600
32,101
$
1,644,035
705,318
384,852
864,339
458,080
267,750
3,286,496
994,575
128,037
1,761,600
263,040
1,570,935
841,949
200,475
1,122,100
3,766,677
3,498,567
1,775,488
3,520,333
1,586,867
1,333,800
896,767
1,354,935
284,291
154,572
449,880
2,937,661
1,470,344
989,561
415,077
1,569,792
1,075,473
267,120
1,698,942
1,574,265
3,663,540
1,801,090
543,606
1,873,609
4,681,608
402,850
1,153,874
485,903
1,161,530
2,367,024
264,900
1,064,697
1,719,072
247,488
671,814
748,592
1,416,492
1,563,912
1,115,730
2,024,640
959,812
2,565,512
United States - 49.8% (continued)
Tyson Foods, Inc., Class A (1)
Union Pacific Corp. (1)
United States Steel Corp. (1)
Unum Group (1)
Valeant Pharmaceuticals International,
Inc. (1)†
Valero Energy Corp. (1)
Ventas, Inc. REIT (1)
Verizon Communications, Inc. (1)
Viacom, Inc., Class B (1)
Visa, Inc., Class A (1)
Vornado Realty Trust REIT (1)
Walgreen Co. (1)
Wal-Mart Stores, Inc. (1)
Walt Disney Co./The (1)
Waste Management, Inc. (1)
Wells Fargo & Co. (1)
Western Digital Corp. (1)
Whiting Petroleum Corp. (1)†
Xerox Corp. (1)
Yahoo!, Inc. (1)†
Zimmer Holdings, Inc. (1)
Zoetis, Inc. (1)
116,200
1,700
39,400
57,900
4,574
15,300
4,800
49,612
20,737
7,100
2,748
49,400
51,705
7,500
2,373
123,470
40,900
10,900
61,900
100,100
1,700
—
$
2,984,016
262,276
690,682
1,700,523
394,381
531,981
333,408
2,497,468
1,411,153
1,297,525
227,672
2,183,480
3,851,505
473,625
95,703
5,095,607
2,539,481
502,381
561,433
2,513,511
127,398
5
261,273,125
TOTAL COMMON STOCKS
(cost $394,792,265)
471,880,808
PREFERRED STOCKS - 0.9%
Germany - 0.9%
Henkel AG & Co. KGaA
Porsche Automobil Holding SE
ProSiebenSat.1 Media AG †
25,082
25,771
17,271
TOTAL PREFERRED STOCKS
(cost $4,441,756)
2,355,445
1,990,104
740,759
5,086,308
RIGHTS - 0.0% (c)
Australia - 0.0% (c)
ASX Ltd. †
286
813
Hong Kong - 0.0% (c)
New World Development Co., Ltd. (3)†(a)
727
—
TOTAL RIGHTS
(cost $-)
MONEY MARKET FUNDS - 6.5%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (d)(e)
(cost $33,862,851)
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
813
33,862,851
33,862,851
(Continued)
7
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES ON LOAN - 0.1%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (d)(f)
(cost $278,805)
SHARES
278,805
$
TOTAL INVESTMENTS - 97.5%
(cost $433,375,677)
VALUE
(Note 2)
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(1) Level 1 security (See Note 4).
(3) Level 3 security (See Note 4).
278,805
The following abbreviations are used in portfolio
descriptions:
511,109,585
OTHER ASSETS IN EXCESS OF
LIABILITIES - 2.5% (g)
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
13,227,367
NET ASSETS - 100.0%
$524,336,952
† Non income-producing security.
(a) Security fair valued at $0 as of June 30, 2013 using procedures
approved by the Board of Trustees.
(b) All or a portion of the security on loan. The aggregate market value
of such securities is $265,338; cash collateral of $278,805 was
received with which the Fund purchased a money market fund.
(c) Represents less than 0.05 percent of net assets.
(d) Represents annualized seven-day yield as of June 30, 2013.
(e) A portion of the security is pledged as collateral to the brokers for
forward foreign currency exchange and swap contracts.
(f) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
(g) Includes appreciation/depreciation on forward foreign currency
exchange, futures and swap contracts.
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Money Market Funds
VALUE
$ 50,703,484
61,307,588
35,047,078
106,661,107
69,397,179
44,961,102
54,473,685
25,745,467
17,280,792
11,390,447
34,141,656
Total Investments
Other Assets in Excess of Liabilities (g)
Net Assets
% OF NET
ASSETS
9.7%
11.6
6.7
20.3
13.2
8.6
10.4
4.9
3.3
2.2
6.6
511,109,585
13,227,367
97.5
2.5
$524,336,952
100.0%
Total return swap contract outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY
UNDERLYING REFERENCE
INSTRUMENT
The Royal Bank of Scotland
Swiss Market Index Futures
TERMINATION
DATE
CURRENCY
NOTIONAL
VALUE
UNREALIZED
APPRECIATION
9/20/2013
CHF
(4,409,465)
$49,037
Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign
currency exchange contracts.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF
CONTRACTS
DESCRIPTION
Long Contracts:
19
250
55
223
51
96
7
49
Amsterdam Index Futures
CAC40 10 Euro Futures
DAX Index Futures
FTSE 100 Index Futures
Hang Seng Index Futures
IBEX 35 Index Futures
MSCI Singapore Index Futures
S&P 500 E-Mini Futures
EXPIRATION
DATE
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
July 19, 2013
July 19, 2013
September 20, 2013
September 20, 2013
July 30, 2013
July 19, 2013
July 30, 2013
September 20, 2013
$1,735,719
12,503,462
14,689,333
21,440,225
6,528,998
10,084,303
382,253
3,970,032
$1,705,474
12,152,529
14,258,193
20,898,073
6,815,189
9,582,935
390,343
3,918,285
$(30,245)
(350,933)
(431,140)
(542,152)
286,191
(501,368)
8,090
(51,747)
The accompanying notes are an integral part of these financial statements.
8
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
NUMBER OF
CONTRACTS
EXPIRATION
DATE
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
September 12, 2013
$17,996,733
$18,473,685
$476,952
89,331,058
88,194,706
(1,136,352)
September 20, 2013
July 19, 2013
(5,055,355)
(11,091,227)
(4,767,787)
(10,685,880)
287,568
405,347
September 19, 2013
September 19, 2013
(16,359,619)
(14,681,670)
(16,205,077)
(14,610,987)
154,542
70,683
(47,187,871)
(46,269,731)
918,140
$42,143,187
$41,924,975
$(218,212)
DESCRIPTION
Long Contracts: (continued)
162
TOPIX Index Futures
Short Contracts:
48
FTSE/MIB Index Futures
623
OMXS30 Index Futures
S&P/Toronto Stock Exchange 60
123
Index Futures
134
SPI 200 Index Futures
Cash held as collateral with broker for futures contracts was $9,142,825 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE
CONTRACTS
Australian Dollar,
Expiring 09/18/13
Canadian Dollar,
Expiring 09/18/13
Swiss Franc,
Expiring 09/18/13
Danish Krone,
Expiring 09/18/13
Euro,
Expiring 09/18/13
British Pound,
Expiring 09/18/13
Hong Kong Dollar,
Expiring 09/18/13
Israeli Shekel,
Expiring 09/18/13
Japanese Yen,
Expiring 09/18/13
Norwegian Krone,
Expiring 09/18/13
New Zealand Dollar,
Expiring 09/18/13
Swedish Krona,
Expiring 09/18/13
Singapore Dollar,
Expiring 09/18/13
CURRENCY
AMOUNT
PURCHASED
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
COUNTERPARTY
CURRENCY
The Royal Bank of Scotland
AUD
14,507,000
$13,585,109
$13,190,184
$(394,925)
The Royal Bank of Scotland
CAD
2,406,000
2,306,956
2,283,313
(23,643)
The Royal Bank of Scotland
CHF
29,321,000
31,168,651
31,064,561
(104,090)
The Royal Bank of Scotland
DKK
7,619,000
1,361,700
1,330,789
(30,911)
The Royal Bank of Scotland
EUR
18,145,000
24,207,689
23,626,750
(580,939)
The Royal Bank of Scotland
GBP
499,000
782,908
758,553
(24,355)
The Royal Bank of Scotland
HKD
5,410,000
697,194
697,733
539
The Royal Bank of Scotland
ILS
4,218,000
1,157,337
1,157,513
176
The Royal Bank of Scotland
JPY
3,050,413,000
30,999,919
30,767,768
(232,151)
The Royal Bank of Scotland
NOK
173,396,000
29,677,162
28,464,625
(1,212,537)
The Royal Bank of Scotland
NZD
4,576,000
3,613,535
3,526,073
(87,462)
The Royal Bank of Scotland
SEK
108,922,000
16,570,029
16,213,233
(356,796)
The Royal Bank of Scotland
SGD
544,000
433,534
429,256
(4,278)
$156,561,723
$153,510,351
$(3,051,372)
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
9
Schedule of Investments
June 30, 2013 (Unaudited)
AQR GLOBAL EQUITY FUND
SALES
CONTRACTS
Australian Dollar,
Expiring 09/18/13
Canadian Dollar,
Expiring 09/18/13
Swiss Franc,
Expiring 09/18/13
Danish Krone,
Expiring 09/18/13
Euro,
Expiring 09/18/13
British Pound,
Expiring 09/18/13
Hong Kong Dollar,
Expiring 09/18/13
Israeli Shekel,
Expiring 09/18/13
Japanese Yen,
Expiring 09/18/13
Norwegian Krone,
Expiring 09/18/13
New Zealand Dollar,
Expiring 09/18/13
Swedish Krona,
Expiring 09/18/13
Singapore Dollar,
Expiring 09/18/13
COUNTERPARTY
CURRENCY
CURRENCY
AMOUNT
SOLD
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
The Royal Bank of Scotland
AUD
(12,761,000)
$(12,092,756)
$(11,602,670)
$490,086
The Royal Bank of Scotland
CAD
(23,460,000)
(22,548,553)
(22,263,728)
284,825
The Royal Bank of Scotland
CHF
(22,647,000)
(24,154,399)
(23,993,695)
160,704
The Royal Bank of Scotland
DKK
(720,000)
(126,494)
(125,760)
734
The Royal Bank of Scotland
EUR
(4,658,000)
(6,125,834)
(6,065,219)
60,615
The Royal Bank of Scotland
GBP
(15,496,000)
(23,840,084)
(23,556,197)
283,887
The Royal Bank of Scotland
HKD
(522,000)
(67,268)
(67,323)
(55)
The Royal Bank of Scotland
ILS
(305,000)
(83,776)
(83,699)
77
The Royal Bank of Scotland
JPY
(578,506,000)
(5,955,253)
(5,835,059)
120,194
The Royal Bank of Scotland
NOK
(82,807,000)
(13,952,097)
(13,593,567)
358,530
The Royal Bank of Scotland
NZD
(33,092,000)
(26,112,433)
(25,499,302)
613,131
The Royal Bank of Scotland
SEK
(27,190,000)
(4,058,328)
(4,047,280)
11,048
The Royal Bank of Scotland
SGD
(30,000)
(23,536)
(23,672)
(136)
(139,140,811)
(136,757,171)
2,383,640
$17,420,912
$16,753,180
$(667,732)
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $970,092.
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
The accompanying notes are an integral part of these financial statements.
10
AQR Funds
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
COMMON STOCKS - 87.6%
Australia - 6.9%
Alumina Ltd. †
Arrium Ltd.
ASX Ltd.
Australia & New Zealand Banking Group
Ltd.
BHP Billiton Ltd.
Caltex Australia Ltd.
CFS Retail Property Trust Group REIT
Commonwealth Bank of Australia
Computershare Ltd.
CSL Ltd.
Dexus Property Group REIT
Downer EDI Ltd.
Flight Centre Ltd.
Fortescue Metals Group Ltd.
Goodman Group REIT
GPT Group REIT (3)†(a)
GPT Group REIT
Insurance Australia Group Ltd.
JB Hi-Fi Ltd.
Leighton Holdings Ltd.
Lend Lease Group
Macquarie Group Ltd.
Mirvac Group REIT
Myer Holdings Ltd.
National Australia Bank Ltd.
Newcrest Mining Ltd.
OZ Minerals Ltd.
Pacific Brands Ltd.
Qantas Airways Ltd. †
Rio Tinto Ltd.
Sonic Healthcare Ltd.
Stockland REIT
Suncorp Group Ltd.
Tabcorp Holdings Ltd.
Telecom Corp of New Zealand Ltd.
Telstra Corp. Ltd.
Transfield Services Ltd.
Wesfarmers Ltd.
Westfield Group REIT
Westfield Retail Trust REIT
Westpac Banking Corp.
Woodside Petroleum Ltd.
Woolworths Ltd.
VALUE
(Note 2)
SHARES
85,028
831,705
10,285
$
148,683
200,049
17,704
103,020
107,223
15,439
46,664
283,799
433,086
3,171
71,153
96,905
143,427
79,625
101,172
10,196
61,230
21,131
50,417
214,560
218,459
128,578
41,734
11,735
148,976
278,746
3,297
24,364
127,919
166,755
41,102
720,358
808,296
142,570
38,833
128,208
166,603
192,446
22,161
99,879
75,673
588,604
310,152
3,859,715
5,757,975
291,199
187,823
6,749,269
144,756
2,621,422
276,761
1,412,072
113,546
195,873
430,837
—
279,589
502,187
156,190
858,073
161,108
1,922,950
314,115
474,562
3,478,030
385,255
44,041
95,433
342,380
158,010
330,991
407,021
1,811,141
114,467
1,244,113
3,514,045
100,662
1,405,215
1,342,803
471,168
5,052,648
705,781
2,992,041
51,679,696
Belgium - 1.6%
Anheuser-Busch InBev NV
Delhaize Group SA
Groupe Bruxelles Lambert SA
Solvay SA
UCB SA
88,424
17,991
2,641
13,354
19,228
7,961,097
1,112,247
198,917
1,748,562
1,032,175
12,052,998
China - 0.0% (b)
Foxconn International Holdings Ltd. †
406
219
Denmark - 1.5%
Coloplast A/S, Class B
Danske Bank A/S †
DSV A/S
Novo Nordisk A/S, Class B
TDC A/S
72,130
31,768
27,819
30,008
199,538
$
4,038,851
541,929
677,674
4,665,117
1,615,611
11,539,182
Finland - 1.1%
Kone OYJ, Class B
Metso OYJ
Sampo OYJ, A Shares
22,443
152,331
31,158
1,780,167
5,159,894
1,213,288
8,153,349
France - 8.2%
Arkema SA
AtoS
AXA SA
BNP Paribas SA
Christian Dior SA
Cie Generale des Etablissements
Michelin
Credit Agricole SA †
Dassault Systemes SA
European Aeronautic Defence and Space
Co. NV
Kering
Klepierre REIT
Publicis Groupe SA
Remy Cointreau SA
Renault SA
Safran SA
Sanofi
SES SA FDR
Societe BIC SA
Societe Generale SA
Sodexo
Suez Environnement Co.
Total SA
Unibail-Rodamco SE REIT
Vivendi SA
9,104
22,659
78,177
44,081
5,059
834,522
1,683,976
1,541,081
2,413,217
817,299
72,913
59,088
8,002
6,519,587
508,561
978,062
126,706
16,828
3,675
39,203
5,653
23,098
2,056
81,981
22,845
16,433
45,655
19,090
95,423
186,489
5,764
253,443
6,778,870
3,424,283
144,830
2,792,005
599,844
1,555,824
107,336
8,475,245
654,546
1,648,541
1,571,240
1,589,433
1,233,294
9,108,720
1,342,466
4,803,156
61,125,938
Germany - 7.2%
Adidas AG
BASF SE
Bayer AG
Beiersdorf AG
Continental AG
Deutsche Bank AG
Deutsche Boerse AG
Deutsche Lufthansa AG †
Deutsche Post AG
GEA Group AG
Hannover Rueckversicherung SE
HeidelbergCement AG
Merck KGaA
Salzgitter AG
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
63,173
54,079
39,394
18,763
38,664
146,433
12,335
157,143
186,112
81,968
23,595
50,858
47,577
30,161
6,828,930
4,823,500
4,194,305
1,634,426
5,154,264
6,140,353
811,129
3,183,311
4,618,936
2,902,261
1,696,651
3,407,533
7,235,504
992,606
(Continued)
11
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
VALUE
(Note 2)
SHARES
Germany - 7.2% (continued)
Suedzucker AG
19,032
$
589,219
Italy - 1.4% (continued)
UniCredit SpA
181,238
54,212,928
Hong Kong - 2.7%
AIA Group Ltd.
ASM Pacific Technology Ltd.
BOC Hong Kong Holdings Ltd.
Cheung Kong Holdings Ltd.
Cheung Kong Infrastructure Holdings Ltd.
CLP Holdings Ltd.
First Pacific Co., Ltd.
Galaxy Entertainment Group Ltd. †
Hang Lung Group Ltd.
Hang Seng Bank Ltd.
Henderson Land Development Co. Ltd.
HKT Trust/HKT Ltd.
Hong Kong & China Gas Co., Ltd.
Hong Kong Exchanges and Clearing Ltd.
Hopewell Holdings Ltd.
Hutchison Whampoa Ltd.
Hysan Development Co., Ltd.
Kerry Properties Ltd.
Li & Fung Ltd.
Link REIT/The REIT
Mongolia Energy Corp. Ltd. †
MTR Corp. Ltd.
New World Development Co., Ltd.
NWS Holdings Ltd.
Orient Overseas International Ltd.
PCCW Ltd.
Power Assets Holdings Ltd.
Shanghai Industrial Urban Development
Group Ltd. †
Sino Land Co., Ltd.
SJM Holdings Ltd.
Sun Hung Kai Properties Ltd.
Swire Pacific Ltd., Class A
Swire Properties Ltd.
Television Broadcasts Ltd.
Wharf Holdings Ltd.
Wheelock & Co., Ltd.
Wing Hang Bank Ltd.
Wynn Macau Ltd.
Yue Yuen Industrial Holdings Ltd.
776,400
6,404
53
55,278
25,827
75,009
104,000
150,000
276
93,535
174,900
694
480,260
61,954
29,500
78,832
117,000
36,000
1,336
134,882
406
34,500
202,896
89,000
36,000
131,000
11,000
3,270,974
70,302
162
745,392
172,095
606,360
111,175
728,615
1,478
1,377,454
1,038,710
663
1,171,862
930,511
97,909
824,761
505,105
140,344
1,821
661,957
12
126,781
278,694
136,445
230,601
61,139
94,688
8
734,000
492,000
45,046
38,030
71
403
162,243
174,621
7,000
204,400
259,609
2
1,026,260
1,193,992
578,483
458,196
209
2,758
1,354,148
871,247
62,611
549,790
670,901
20,154,607
Ireland - 0.0% (b)
James Hardie Industries PLC CDI
Italy - 1.4%
Assicurazioni Generali SpA
Enel SpA
Eni SpA
Fiat Industrial SpA
Intesa Sanpaolo SpA
Prysmian SpA
14,326
123,016
52,361
334,175
4,906
278,683
450,059
190,332
915,254
1,048,631
100,691
3,102,264
720,338
3,550,626
AQR Funds
$
847,267
10,285,071
Japan - 20.2%
Aisin Seiki Co., Ltd.
Ajinomoto Co., Inc.
Alfresa Holdings Corp.
Asahi Glass Co., Ltd.
Astellas Pharma, Inc.
Azbil Corp.
Brother Industries Ltd.
Canon, Inc.
Central Japan Railway Co.
Chiyoda Corp.
Chubu Electric Power Co., Inc.
Chugai Pharmaceutical Co., Ltd.
Credit Saison Co., Ltd.
Daicel Corp.
Daiichi Sankyo Co., Ltd.
Daito Trust Construction Co., Ltd.
Daiwa House Industry Co., Ltd.
Daiwa Securities Group, Inc.
Denki Kagaku Kogyo KK
East Japan Railway Co.
FamilyMart Co., Ltd.
Fuji Electric Co., Ltd.
Fuji Heavy Industries Ltd.
FUJIFILM Holdings Corp.
Fujitsu Ltd.
Fukuoka Financial Group, Inc.
Hino Motors Ltd.
Hitachi Ltd.
Honda Motor Co., Ltd.
IHI Corp.
Isuzu Motors Ltd.
ITOCHU Corp.
J Front Retailing Co., Ltd.
Japan Real Estate Investment Corp. REIT
Japan Retail Fund Investment Corp. REIT
Japan Tobacco, Inc.
JFE Holdings, Inc.
JGC Corp.
JSR Corp.
JTEKT Corp.
JX Holdings, Inc.
Kaneka Corp.
Kansai Electric Power Co., Inc./The †
Kao Corp.
Keisei Electric Railway Co., Ltd.
Kinden Corp.
Kirin Holdings Co., Ltd.
Koito Manufacturing Co., Ltd.
Komatsu Ltd.
Konica Minolta, Inc.
Marubeni Corp.
Mazda Motor Corp. †
Medipal Holdings Corp.
Miraca Holdings, Inc.
The accompanying notes are an integral part of these financial statements.
12
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
12,600
160,000
14,500
413
55,900
37
98,500
33,815
28,100
153,000
138,197
52,200
12
193,000
62,300
3,987
17,295
87,000
137,000
50,313
7,200
669,000
144,721
43
38,000
266,046
149,000
298,000
33,697
722,000
126,000
38,144
76,000
40
93
115,600
18,500
98,000
16,400
70
95
625
31,732
27,985
100,000
564
23,000
133,000
38
303,000
974
353,000
111,500
6
481,098
2,347,082
776,404
2,677
3,036,718
794
1,105,273
1,108,229
3,424,829
1,804,454
1,957,562
1,080,505
301
1,686,813
1,038,217
375,654
322,155
728,618
495,924
3,915,989
307,213
2,352,255
3,573,774
946
157,206
1,131,538
2,186,415
1,909,435
1,251,824
2,731,701
861,330
441,093
606,075
446,830
194,291
4,080,397
405,297
3,529,221
331,832
785
459
4,121
434,357
952,652
936,864
4,853
360,279
2,535,368
875
2,280,597
6,510
1,395,563
1,511,685
276
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
VALUE
(Note 2)
SHARES
Japan - 20.2% (continued)
Mitsubishi Chemical Holdings Corp.
Mitsubishi Estate Co., Ltd.
Mitsubishi Heavy Industries, Ltd.
Mitsubishi Logistics Corp.
Mitsubishi UFJ Financial Group, Inc.
Mitsubishi UFJ Lease & Finance Co., Ltd.
Mitsui & Co., Ltd.
Mitsui Fudosan Co., Ltd.
Mitsumi Electric Co., Ltd. †
Mizuho Financial Group, Inc.
MS&AD Insurance Group Holdings
Namco Bandai Holdings, Inc.
NEC Corp.
Nippon Building Fund, Inc. REIT
Nippon Steel & Sumitomo Metal
Nippon Telegraph & Telephone Corp.
Nishi-Nippon City Bank Ltd./The
Nisshin Seifun Group, Inc.
Nitto Denko Corp.
Nomura Holdings, Inc.
Nomura Real Estate Holdings, Inc.
NSK Ltd.
NTT DOCOMO, Inc.
Obayashi Corp.
Omron Corp.
ORIX Corp.
Osaka Gas Co., Ltd.
Otsuka Holdings Co., Ltd.
Panasonic Corp. †
Rengo Co., Ltd.
Resona Holdings, Inc.
Seino Holdings Co., Ltd.
Sekisui Chemical Co., Ltd.
Sekisui House Ltd.
Seven & I Holdings Co., Ltd.
Sharp Corp. †
Shimamura Co., Ltd.
Shinsei Bank Ltd.
Shionogi & Co., Ltd.
Softbank Corp.
Sojitz Corp.
Sony Corp.
Sumitomo Corp.
Sumitomo Heavy Industries Ltd.
Sumitomo Metal Mining Co., Ltd.
Sumitomo Mitsui Financial Group, Inc.
Sumitomo Mitsui Trust Holdings, Inc.
Sumitomo Realty & Development Co.,
Ltd.
Suzuken Co., Ltd.
Suzuki Motor Corp.
T&D Holdings, Inc.
Taisei Corp.
Takashimaya Co., Ltd.
Takeda Pharmaceutical Co., Ltd.
Toho Co., Ltd.
Tohoku Electric Power Co., Inc. †
68,500
77,020
580,000
8,000
876,691
267,300
175,943
51,205
89
1,476,910
61,400
116,600
721,000
42
405
19,019
737
20,084
83
191,200
8,000
80,000
1,108
100,000
29,600
59,390
389,802
23,600
50,500
299
556,400
837
144,000
32,000
106,239
245
6,400
288,000
124,900
63,800
609,162
71
47,200
161,000
140,000
133,436
11,341
$
20,261
28,700
97,200
112,300
568,000
91,000
5,981
4,000
15,700
321,039
2,050,571
3,224,544
111,632
5,414,329
1,268,215
2,206,362
1,505,429
619
3,067,089
1,555,274
1,889,789
1,578,885
486,423
1,091
991,287
1,922
240,664
5,323
1,407,379
176,718
763,188
1,723,721
518,510
882,465
810,479
1,645,903
779,247
406,629
1,435
2,709,777
7,346
1,529,067
462,352
3,890,828
986
776,910
654,005
2,604,590
3,713,795
1,010,706
1,500
588,282
676,059
1,559,414
6,107,773
52,915
807,484
965,903
2,240,492
1,502,189
2,050,467
922,314
269,707
82,272
196,029
Japan - 20.2% (continued)
Tokai Rika Co., Ltd.
Tokio Marine Holdings, Inc.
Tokyo Electric Power Co., Inc †
Tokyo Gas Co., Ltd.
Tokyu Land Corp.
Toyo Seikan Kaisha Ltd.
Toyo Suisan Kaisha Ltd.
Toyota Boshoku Corp.
Toyota Motor Corp.
Toyota Tsusho Corp.
USS Co., Ltd.
West Japan Railway Co.
Yahoo Japan Corp.
Yamaha Corp.
99
20,300
62,373
178,071
26,483
28,400
11,000
104,500
119,378
38,500
13,174
48,900
3,641
4,900
$
1,972
640,566
321,992
982,427
242,424
437,157
366,000
1,502,572
7,200,624
989,947
1,670,133
2,073,863
1,792,883
56,142
151,311,238
Luxembourg - 0.1%
Millicom International Cellular SA SDR
Netherlands - 3.5%
Aegon NV
Corio NV REIT
Gemalto NV
ING Groep NV CVA †
Koninklijke Ahold NV
Koninklijke Philips NV
Unilever NV CVA
8,418
606,284
429,566
2,205
36,693
247,726
339,927
361,391
75,159
2,881,984
87,755
3,322,286
2,263,991
5,055,722
9,851,922
2,958,583
26,422,243
New Zealand - 0.1%
Fletcher Building Ltd.
125,778
818,043
Singapore - 1.4%
Ascendas Real Estate Investment Trust
REIT
CapitaCommercial Trust REIT (c)
CapitaLand Ltd.
CapitaMall Trust REIT
ComfortDelGro Corp. Ltd.
DBS Group Holdings Ltd.
Global Logistic Properties Ltd.
Golden Agri-Resources Ltd.
Hutchison Port Holdings Trust, Class U
Jardine Cycle & Carriage Ltd.
Keppel Corp. Ltd.
Keppel Land Ltd.
Keppel REIT
Noble Group Ltd.
Olam International Ltd.
Oversea-Chinese Banking Corp. Ltd.
Sembcorp Industries Ltd.
Singapore Airlines Ltd.
Singapore Exchange Ltd.
Singapore Technologies Engineering Ltd.
Singapore Telecommunications Ltd.
StarHub Ltd.
United Overseas Bank Ltd.
UOL Group Ltd.
121,637
111,000
74,000
116,994
495,000
82,128
89,000
44,000
253,000
66
95,728
336,000
17,145
933,000
355,000
173,479
48,017
11,000
40,472
91,265
485,524
23,988
73,097
18,000
213,167
128,050
178,783
183,589
711,369
999,325
192,513
19,370
185,272
2,207
782,992
883,558
17,478
709,579
456,947
1,363,742
186,810
87,801
223,705
300,641
1,438,033
78,872
1,141,491
95,155
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
(Continued)
13
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
VALUE
(Note 2)
SHARES
Singapore - 1.4% (continued)
Yangzijiang Shipbuilding Holdings Ltd. (c)
319
$
208
10,580,657
Spain - 2.4%
Banco Bilbao Vizcaya Argentaria SA
Banco Santander SA
Distribuidora Internacional de
Alimentacion SA
Enagas SA
Ferrovial SA
Gas Natural SDG SA
Iberdrola SA
307,779
625,818
2,586,533
4,004,765
366,093
53,884
154,595
169,065
244,898
2,765,567
1,331,801
2,468,115
3,406,248
1,294,189
17,857,218
Sweden - 2.9%
Electrolux AB, Series B
Investor AB, B Shares
Nordea Bank AB
Scania AB, B Shares
SKF AB, B Shares
Svenska Cellulosa AB, B Shares
Swedish Match AB
TeliaSonera AB
307,833
19,364
207,665
48,897
40,839
164,814
130,080
90,089
7,768,099
519,746
2,319,051
978,278
956,741
4,133,327
4,617,129
587,085
21,879,456
Switzerland - 8.7%
Adecco SA †
Aryzta AG †
Compagnie Financiere Richemont SA,
Class A
Givaudan SA †
Nestle SA
Novartis AG
Roche Holding AG
Schindler Holding AG
STMicroelectronics NV
Sulzer AG
Syngenta AG
Transocean Ltd.
Wolseley PLC
Zurich Insurance Group AG †
60,012
7,955
3,417,800
446,541
553
2,919
176,041
129,652
70,900
9,488
446,786
11,721
11,356
11,824
120,561
6,339
48,768
3,761,350
11,551,881
9,183,322
17,597,192
1,320,144
4,015,200
1,871,645
4,428,372
567,754
5,562,631
1,643,127
65,415,727
United Kingdom - 17.7%
AMEC PLC
Antofagasta PLC
ARM Holdings PLC
Associated British Foods PLC
AstraZeneca PLC
Aviva PLC
Babcock International Group PLC
BAE Systems PLC
Barclays PLC
BHP Billiton PLC
British American Tobacco PLC
British Land Co. PLC REIT
British Sky Broadcasting Group PLC
BT Group PLC
39,348
119,972
227,752
146,586
171,603
280,251
48,590
442,521
2,236,606
107,199
148,481
29,205
210,761
1,511,481
601,796
1,453,712
2,755,134
3,866,950
8,113,193
1,444,455
815,870
2,577,015
9,525,135
2,733,343
7,615,529
251,589
2,539,027
7,096,030
United Kingdom - 17.7% (continued)
Centrica PLC
Experian PLC
GKN PLC
GlaxoSmithKline PLC
Glencore Xstrata PLC
Hammerson PLC REIT
HSBC Holdings PLC
Imperial Tobacco Group PLC
Investec PLC
ITV PLC
J Sainsbury PLC
Johnson Matthey PLC
Kazakhmys PLC
Kingfisher PLC
Land Securities Group PLC REIT
Legal & General Group PLC
Lloyds Banking Group PLC †
National Grid PLC
Next PLC
Randgold Resources Ltd.
Reckitt Benckiser Group PLC
Reed Elsevier PLC
Rio Tinto PLC
Royal Bank of Scotland Group PLC †
Royal Dutch Shell PLC, A Shares
Royal Dutch Shell PLC, B Shares
RSA Insurance Group PLC
Sage Group PLC/The
Segro PLC REIT
Smith & Nephew PLC
Tate & Lyle PLC
TUI Travel PLC
Tullow Oil PLC
Unilever PLC
Vodafone Group PLC
AQR Funds
198,410
97,933
159,668
156,645
525,750
28,872
1,273,881
107,121
16,924
1,842,919
140,391
37,338
317,087
133,348
51,528
1,238,241
2,358,746
42,987
57,753
3,761
45,801
49,673
65,621
333,629
220,771
114,217
1,325,063
56,052
49,428
245,173
124,842
469,786
33,537
67,483
1,171,928
$
1,085,246
1,702,053
730,864
3,915,535
2,176,333
214,077
13,187,407
3,714,380
106,505
3,929,206
758,792
1,491,838
1,251,579
695,252
692,059
3,227,293
2,265,133
487,285
4,000,563
238,321
3,239,804
564,890
2,668,738
1,384,487
7,052,312
3,782,747
2,403,923
289,690
209,688
2,745,904
1,566,352
2,547,075
510,528
2,731,860
3,358,368
132,314,865
TOTAL COMMON STOCKS
(cost $577,847,522)
656,532,735
PREFERRED STOCKS - 1.4%
Germany - 1.4%
Henkel AG & Co. KGaA
Porsche Automobil Holding SE
ProSiebenSat.1 Media AG †
Volkswagen AG
50,844
52,860
30,763
229
TOTAL PREFERRED STOCKS
(cost $8,911,999)
4,774,749
4,081,988
1,319,434
46,254
10,222,425
RIGHTS - 0.0% (b)
Australia - 0.0% (b)
ASX Ltd. †
1,082
3,078
Hong Kong - 0.0% (b)
New World Development Co., Ltd. (3)†(a)
2,536
—
TOTAL RIGHTS
(cost $-)
The accompanying notes are an integral part of these financial statements.
14
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
3,078
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
MONEY MARKET FUNDS - 6.8%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (d)(e)
(cost $50,840,755)
INVESTMENTS OF CASH
COLLATERAL FOR SECURITIES ON
LOAN - 0.0% (b)
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (d)(f)
(cost $60,848)
VALUE
(Note 2)
SHARES
50,840,755
$ 50,840,755
(g) Includes appreciation on forward foreign currency exchange,
futures and swap contracts.
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(3) Level 3 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
60,848
60,848
TOTAL INVESTMENTS - 95.8%
(cost $637,661,124)
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
REIT - Real Estate Investment Trust
SDR - Swedish Depository Receipt
717,659,841
OTHER ASSETS IN EXCESS OF
LIABILITIES - 4.2% (g)
31,817,251
NET ASSETS - 100.0%
$749,477,092
† Non income-producing security.
(a) Security fair valued at $0 as of June 30, 2013 using procedures
approved by the Board of Trustees.
(b) Represents less than 0.05 percent of net assets.
(c) All or a portion of the security on loan. The aggregate market value
of such securities is $55,655; cash collateral of $60,848 was
received with which the Fund purchased a money market fund.
(d) Represents annualized seven-day yield as of June 30, 2013.
(e) A portion of the security is pledged as collateral to the brokers for
forward foreign currency exchange and swap contracts.
(f) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Money Market Funds
VALUE
$ 91,160,659
89,112,685
22,721,998
152,079,638
86,212,008
107,685,878
24,076,956
45,406,244
30,832,203
17,469,969
50,901,603
Total Investments
Other Assets in Excess of Liabilities (g)
Net Assets
% OF NET
ASSETS
12.2%
11.9
3.0
20.3
11.5
14.4
3.2
6.1
4.1
2.3
6.8
717,659,841
31,817,251
95.8
4.2
$749,477,092
100.0%
Total return swap contract outstanding as of June 30, 2013:
Over the Counter
COUNTERPARTY
UNDERLYING REFERENCE
INSTRUMENT
The Royal Bank of Scotland
Swiss Market Index Futures
TERMINATION
DATE
9/20/2013
CURRENCY
NOTIONAL
VALUE
UNREALIZED
APPRECIATION
(DEPRECIATION)
CHF
(14,852,936)
$165,178
Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign
currency exchange contracts.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF
CONTRACTS
DESCRIPTION
Long Contracts:
481
CAC40 10 Euro Futures
84
DAX Index Futures
EXPIRATION
DATE
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
July 19, 2013
September 20, 2013
$24,056,747
22,410,685
$23,381,468
21,776,148
$(675,279)
(634,537)
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
15
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
NUMBER OF
CONTRACTS
EXPIRATION
DATE
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
September 20, 2013
July 30, 2013
July 19, 2013
July 30, 2013
September 12, 2013
$30,288,458
9,345,690
15,861,823
1,636,383
44,205,881
$29,519,700
9,755,075
15,073,157
1,672,900
45,385,965
$(768,758)
409,385
(788,666)
36,517
1,180,084
147,805,667
146,564,413
(1,241,254)
(1,394,613)
(8,952,192)
(19,975,011)
(44,462,708)
(1,436,189)
(8,442,957)
(19,244,874)
(44,269,110)
(41,576)
509,235
730,137
193,598
(74,784,524)
(73,393,130)
1,391,394
$73,021,143
$73,171,283
$150,140
DESCRIPTION
Long Contracts: (continued)
315
FTSE 100 Index Futures
73
Hang Seng Index Futures
151
IBEX 35 Index Futures
30
MSCI Singapore Index Futures
398
TOPIX Index Futures
Short Contracts:
16
Amsterdam Index Futures
85
FTSE/MIB Index Futures
1,122
OMXS30 Index Futures
406
SPI 200 Index Futures
July 19, 2013
September 20, 2013
July 19, 2013
September 19, 2013
Cash held as collateral with broker for futures contracts was $15,264,703 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE
CONTRACTS
Australian Dollar,
Expiring 09/18/13
Swiss Franc,
Expiring 09/18/13
Danish Krone,
Expiring 09/18/13
Euro,
Expiring 09/18/13
British Pound,
Expiring 09/18/13
Hong Kong Dollar,
Expiring 09/18/13
Israeli Shekel,
Expiring 09/18/13
Japanese Yen,
Expiring 09/18/13
Norwegian Krone,
Expiring 09/18/13
Swedish Krona,
Expiring 09/18/13
Singapore Dollar,
Expiring 09/18/13
CURRENCY
AMOUNT
PURCHASED
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
COUNTERPARTY
CURRENCY
The Royal Bank of Scotland
AUD
19,131,000
$17,741,919
$17,394,458
$(347,461)
The Royal Bank of Scotland
CHF
51,686,000
54,665,099
54,759,487
94,388
The Royal Bank of Scotland
DKK
2,189,000
385,584
382,346
(3,238)
The Royal Bank of Scotland
EUR
39,586,400
52,515,221
51,545,767
(969,454)
The Royal Bank of Scotland
GBP
5,550,000
8,566,757
8,436,816
(129,941)
The Royal Bank of Scotland
HKD
20,080,000
2,587,685
2,589,738
2,053
The Royal Bank of Scotland
ILS
14,611,000
4,008,973
4,009,583
610
The Royal Bank of Scotland
JPY
6,111,130,800
61,793,112
61,639,475
(153,637)
The Royal Bank of Scotland
NOK
367,462,000
62,892,047
60,322,430
(2,569,617)
The Royal Bank of Scotland
SEK
120,503,000
18,313,357
17,937,086
(376,271)
The Royal Bank of Scotland
SGD
2,272,300
1,813,700
1,793,012
(20,688)
$285,283,454
$280,810,198
$(4,473,256)
The accompanying notes are an integral part of these financial statements.
16
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL EQUITY FUND
SALES CONTRACTS
Australian Dollar,
Expiring 09/18/13
Swiss Franc,
Expiring 09/18/13
Danish Krone,
Expiring 09/18/13
Euro,
Expiring 09/18/13
British Pound,
Expiring 09/18/13
Hong Kong Dollar,
Expiring 09/18/13
Israeli Shekel,
Expiring 09/18/13
Japanese Yen,
Expiring 09/18/13
Norwegian Krone,
Expiring 09/18/13
Swedish Krona,
Expiring 09/18/13
Singapore Dollar,
Expiring 09/18/13
COUNTERPARTY
CURRENCY
CURRENCY
AMOUNT
SOLD
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
The Royal Bank of Scotland
AUD
(41,196,900)
$(38,931,668)
$(37,457,413)
$1,474,255
The Royal Bank of Scotland
CHF
(52,717,800)
(56,185,406)
(55,852,642)
332,764
The Royal Bank of Scotland
DKK
(19,893,000)
(3,546,125)
(3,474,653)
71,472
The Royal Bank of Scotland
EUR
(10,660,000)
(13,849,977)
(13,880,471)
(30,494)
The Royal Bank of Scotland
GBP
(29,889,700)
(46,167,221)
(45,436,737)
730,484
The Royal Bank of Scotland
HKD
(3,786,000)
(487,907)
(488,284)
(377)
The Royal Bank of Scotland
ILS
(1,250,000)
(342,845)
(343,028)
(183)
The Royal Bank of Scotland
JPY
(1,052,540,000)
(10,809,093)
(10,616,368)
192,725
The Royal Bank of Scotland
NOK
(272,346,000)
(46,486,667)
(44,708,221)
1,778,446
The Royal Bank of Scotland
SEK
(6,694,000)
(1,016,430)
(996,414)
20,016
The Royal Bank of Scotland
SGD
(243,000)
(191,544)
(191,745)
(201)
(218,014,883)
(213,445,976)
4,568,907
$67,268,571
$67,364,222
$95,651
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $1,040,063.
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
17
Schedule of Investments
June 30, 2013 (Unaudited)
AQR EMERGING DEFENSIVE EQUITY FUND
COMMON STOCKS - 93.8%
Brazil - 12.9%
ALL - America Latina Logistica SA (1)
CCR SA (1)
Cia Brasileira de Distribuicao Grupo Pao de
Acucar ADR (1)
Cia de Bebidas das Americas ADR (1)
Cia de Saneamento Basico do Estado de Sao
Paulo ADR (1)
Cia Energetica de Minas Gerais ADR (1)
Cia Hering (1)
Cia Paranaense de Energia ADR (1)
Cielo SA (1)
CPFL Energia SA ADR (1)
Diagnosticos da America SA (1)
EcoRodovias Infraestrutura e Logistica SA (1)
EDP - Energias do Brasil SA (1)
Light SA (1)
Localiza Rent a Car SA (1)
Lojas Renner SA (1)
Natura Cosmeticos SA (1)
Souza Cruz SA (1)
Telefonica Brasil SA ADR (1)
Tim Participacoes SA ADR (1)
Tractebel Energia SA (1)
VALUE
(Note 2)
SHARES
1,300
13,900
$
5,529
110,697
1,181
3,461
53,688
129,268
2,642
8,863
1,199
1,118
240
4,084
4,600
6,600
26,100
6,100
2,310
900
4,800
11,500
2,735
1,544
6,000
27,503
79,501
16,932
13,886
6,017
74,696
23,873
46,172
131,357
42,428
32,672
25,778
104,998
142,091
62,413
28,718
93,280
1,251,497
Chile - 5.4%
Banco Santander Chile ADR (1)
Cencosud SA (1)
Enersis SA ADR (1)
SACI Falabella (1)
Sociedad Quimica y Minera de Chile SA
ADR (1)
4,593
27,375
8,647
8,654
978
112,299
136,323
141,465
93,685
39,511
523,283
China - 2.4%
China Petroleum & Chemical Corp. ADR (1)
PetroChina Co., Ltd. ADR (1)
Sun Art Retail Group Ltd.
Tencent Holdings Ltd.
Tsingtao Brewery Co. Ltd., H Shares †
Want Want China Holdings Ltd.
ZHuzhou CSR Times Electric Co., Ltd.,
H Shares (a)
Zijin Mining Group Co. Ltd., H Shares
135
376
32,500
200
12,000
5,000
12,353
41,612
46,874
7,809
85,510
7,008
10,000
62,000
25,046
11,089
237,301
Hong Kong - 1.8%
Belle International Holdings Ltd.
China Mengniu Dairy Co., Ltd.
China Merchants Holdings International Co.
Ltd.
China Mobile Ltd. ADR (1)
China Resources Power Holdings Co. Ltd.
China Unicom Hong Kong Ltd. ADR (1)
GOME Electrical Appliances Holding Ltd. †
India - 0.4%
Dr Reddy’s Laboratories Ltd. ADR (1)†
Indonesia - 5.2%
Bank Central Asia Tbk PT
Bank Mandiri Persero Tbk PT
Bank Negara Indonesia Persero Tbk PT
Gudang Garam Tbk PT
Indo Tambangraya Megah Tbk PT
Perusahaan Gas Negara Persero Tbk PT
Semen Indonesia Persero Tbk PT
Telekomunikasi Indonesia Persero Tbk PT
ADR (1)
893
$
33,773
84,500
35,500
17,000
13,000
20,500
132,500
49,500
84,709
32,019
7,317
66,094
57,917
76,597
85,016
2,139
91,421
501,090
Korea, Republic of - 11.9%
Amorepacific Corp.
Cheil Industries, Inc.
Daelim Industrial Co., Ltd.
Daewoo International Corp.
E-Mart Co., Ltd.
Hyundai Department Store Co., Ltd.
Hyundai Glovis Co. Ltd.
Hyundai Mobis
Hyundai Wia Corp.
Kangwon Land, Inc.
Kia Motors Corp.
Korea Aerospace Industries Ltd.
KT Corp. ADR (1)
KT&G Corp.
LG Chem Ltd.
LG Display Co. Ltd. †
LG Household & Health Care Ltd.
LG Uplus Corp. †
Lotte Shopping Co., Ltd.
NHN Corp.
Orion Corp.
POSCO ADR (1)
Samsung C&T Corp.
Samsung Electro-Mechanics Co. Ltd.
Samsung Electronics Co. Ltd. GDR
Samsung Engineering Co., Ltd.
Samsung Fire & Marine Insurance Co. Ltd.
Samsung Life Insurance Co., Ltd.
Samsung Techwin Co. Ltd.
SK Telecom Co., Ltd. ADR (1)
42
1,105
270
530
61
195
457
106
34
2,870
486
640
4,821
1,256
160
1,630
92
6,880
174
190
10
133
181
466
132
118
25
329
122
4,728
33,648
86,296
20,352
16,304
10,713
25,517
77,273
25,236
5,026
79,093
26,245
17,044
74,822
81,497
35,235
38,891
44,813
71,935
53,893
48,238
8,332
8,656
8,494
35,374
77,555
7,599
5,091
31,053
6,932
96,120
1,157,277
40,000
8,000
54,683
28,557
4,000
432
2,000
1,261
425,000
12,373
22,365
4,779
16,570
38,090
177,417
Malaysia - 14.2%
AMMB Holdings Bhd
Axiata Group Bhd
CIMB Group Holdings Bhd
DiGi.Com Bhd
Kuala Lumpur Kepong Bhd
Malayan Banking Bhd
Maxis Bhd
Petronas Chemicals Group Bhd
Public Bank Bhd
Sime Darby Bhd
The accompanying notes are an integral part of these financial statements.
18
VALUE
(Note 2)
SHARES
AQR Funds
Semi-Annual Report
June 2013
49,000
45,100
42,600
74,600
7,000
40,700
63,000
44,800
11,800
43,800
113,588
94,455
111,051
112,197
48,073
133,530
136,939
93,816
63,600
132,438
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR EMERGING DEFENSIVE EQUITY FUND
Malaysia - 14.2% (continued)
Telekom Malaysia Bhd
Tenaga Nasional Bhd
UMW Holdings Bhd
SHARES
VALUE
(Note 2)
74,200
52,100
16,800
$ 126,782
136,707
77,421
1,380,597
Mexico - 3.9%
Alfa SAB de CV, Class A (1)
America Movil SAB de CV, Series L ADR (1)
Coca-Cola Femsa SAB de CV ADR (1)
Grupo Televisa SAB ADR (1)
Wal-Mart de Mexico SAB de CV, Series V (1)
16,400
1,876
852
2,109
46,300
39,540
40,803
119,527
52,387
130,352
382,609
Poland - 2.1%
Bank Pekao SA
PGE SA
Powszechna Kasa Oszczednosci Bank
Polski SA †
Powszechny Zaklad Ubezpieczen SA
Telekomunikacja Polska SA
350
14,248
15,797
66,003
4,297
555
4,729
46,031
68,383
10,850
207,064
Russia - 2.9%
Lukoil OAO ADR
Magnit OJSC GDR
MMC Norilsk Nickel OJSC ADR
Mobile Telesystems OJSC ADR (1)
Rosneft OAO GDR
Tatneft OAO ADR
949
1,485
3,815
1,800
3,017
751
54,710
84,773
54,822
34,092
20,936
27,274
276,607
South Africa - 14.7%
ABSA Group Ltd.
AngloGold Ashanti Ltd. ADR (1)
Aspen Pharmacare Holdings Ltd. †
Bidvest Group Ltd.
FirstRand Ltd.
Gold Fields Ltd. ADR (1)
Impala Platinum Holdings Ltd.
Kumba Iron Ore Ltd.
Life Healthcare Group Holdings Ltd.
Mr Price Group Ltd.
MTN Group Ltd.
Naspers Ltd., N Shares
Nedbank Group Ltd.
Remgro Ltd.
Sanlam Ltd.
Sasol Ltd. ADR (1)
Shoprite Holdings Ltd.
Standard Bank Group Ltd.
Steinhoff International Holdings Ltd. †
Tiger Brands Ltd.
Vodacom Group Ltd.
Woolworths Holdings Ltd.
2,086
1,044
4,372
3,210
23,167
2,932
2,514
1,210
30,071
4,933
1,934
576
5,864
5,512
11,228
399
4,431
9,662
3,829
2,899
6,765
20,835
31,303
14,929
100,503
79,531
67,791
15,393
23,677
56,468
114,055
67,240
35,971
42,516
104,097
105,887
52,180
17,281
83,234
108,878
9,496
86,565
71,790
135,806
1,424,591
Taiwan - 9.1%
Acer, Inc. †
13,000
9,241
Taiwan - 9.1% (continued)
Cheng UEI Precision Industry Co., Ltd.
China Petrochemical Development Corp.
China Steel Corp.
Chunghwa Telecom Co., Ltd. ADR (1)
Compal Electronics, Inc.
Evergreen Marine Corp. Taiwan Ltd. †
Everlight Electronics Co. Ltd.
Far Eastern Department Stores Co. Ltd.
Far EasTone Telecommunications Co. Ltd.
Foxconn Technology Co., Ltd.
Hon Hai Precision Industry Co., Ltd.
HTC Corp.
Kinsus Interconnect Technology Corp.
Largan Precision Co. Ltd.
Powertech Technology, Inc.
Radiant Opto-Electronics Corp.
Realtek Semiconductor Corp.
Richtek Technology Corp.
Taiwan Mobile Co. Ltd.
Taiwan Semiconductor Manufacturing Co.,
Ltd. ADR (1)
Uni-President Enterprises Corp.
Wistron Corp.
6,059
400
32,480
1,963
10,000
39,000
5,000
24,000
32,000
25,350
23,000
7,000
2,000
1,000
10,000
2,000
24,200
6,000
35,000
2,756
44,890
32,650
$
11,892
203
26,555
63,032
5,591
21,244
8,158
22,717
85,763
61,014
56,213
55,461
7,558
31,729
18,660
6,523
56,988
26,481
137,888
50,490
87,260
32,921
883,582
Thailand - 4.1%
Advanced Info Service PCL NVDR
Bangkok Bank PCL NVDR
CP ALL PCL NVDR
PTT Global Chemical PCL NVDR
PTT PCL NVDR
12,300
1,500
111,000
27,200
6,900
111,196
9,792
139,050
60,054
74,201
394,293
Turkey - 2.8%
Akbank TAS
KOC Holding AS
Turk Hava Yollari
Turk Telekomunikasyon AS
Turkcell Iletisim Hizmetleri AS †
Turkiye Garanti Bankasi AS
1,415
14,620
5,773
34,460
6,092
1,356
5,758
70,062
22,430
133,372
35,045
5,911
272,578
TOTAL COMMON STOCKS
(cost $9,202,921)
9,103,559
PREFERRED STOCKS - 0.9%
Brazil - 0.9%
Eletropaulo Metropolitana Eletricidade de Sao
Paulo SA (1)
Lojas Americanas SA (1)
22,000
3,100
TOTAL PREFERRED STOCKS
(cost $117,577)
EXCHANGE-TRADED FUNDS - 2.7%
iShares MSCI Emerging Markets Index
Fund (1)
(cost $254,128)
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
62,509
21,673
84,182
6,660
256,876
(Continued)
19
Schedule of Investments
June 30, 2013 (Unaudited)
AQR EMERGING DEFENSIVE EQUITY FUND
MONEY MARKET FUNDS - 0.5%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares, 0.000% (b)
(cost $51,468)
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES ON LOAN - 0.0% (c)
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares, 0.046% (b)(d)
(cost $14)
VALUE
(Note 2)
SHARES
51,468
$
51,468
14
TOTAL INVESTMENTS - 97.9%
(cost $9,626,108)
14
9,496,099
OTHER ASSETS IN EXCESS OF
LIABILITIES - 2.1%
205,668
NET ASSETS - 100.0%
$9,701,767
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $13; cash collateral of $14 was received with
which the Fund purchased a money market fund.
(b) Represents annualized seven-day yield as of June 30, 2013.
(c) Represents less than 0.05 percent of net assets.
(d) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
The following abbreviations are used in portfolio
descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Exchange Traded Fund
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Money Market Funds
Total Investments
Other Assets in Excess of Liabilities
Net Assets
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(1) Level 1 security (See Note 4).
The accompanying notes are an integral part of these financial statements.
20
AQR Funds
Semi-Annual Report
June 2013
VALUE
$ 873,436
1,758,249
306,283
256,876
1,316,065
272,203
751,730
652,805
611,720
1,694,539
950,711
51,482
% OF NET
ASSETS
9.0%
18.2
3.2
2.6
13.6
2.8
7.7
6.7
6.3
17.5
9.8
0.5
9,496,099
205,668
97.9
2.1
$9,701,767
100.0%
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND
COMMON STOCKS - 90.2%
Australia - 14.2%
AGL Energy Ltd.
ALS Ltd.
Amcor Ltd.
APA Group
ASX Ltd.
Aurizon Holdings Ltd.
BHP Billiton Ltd.
Boral Ltd.
Brambles Ltd.
Caltex Australia Ltd.
Coca-Cola Amatil Ltd.
Cochlear Ltd.
Commonwealth Bank of Australia
Computershare Ltd.
Crown Ltd.
CSL Ltd.
Echo Entertainment Group Ltd.
Incitec Pivot Ltd.
Insurance Australia Group Ltd.
Metcash Ltd. (a)
Newcrest Mining Ltd.
Orica Ltd.
Sonic Healthcare Ltd.
Sydney Airport
Tabcorp Holdings Ltd.
Tatts Group Ltd.
Telstra Corp. Ltd.
Transurban Group
Wesfarmers Ltd.
Woodside Petroleum Ltd.
Woolworths Ltd.
WorleyParsons Ltd.
VALUE
(Note 2)
SHARES
5,895
3,310
9,198
5,819
1,218
11,536
415
5,945
6,373
598
9,511
1,440
549
222
2,043
1,387
1,519
8,038
1,888
44,154
400
1,996
5,409
13,241
12,534
39,633
43,272
14,114
3,711
2,544
6,248
1,932
$
78,003
28,815
85,007
31,888
36,730
43,820
11,945
22,748
54,286
9,836
110,195
80,818
34,557
2,081
22,522
77,917
4,258
20,928
9,371
141,646
3,692
37,626
73,483
40,857
34,906
114,487
188,124
87,161
134,287
81,021
187,169
34,226
1,924,410
Belgium - 0.6%
Belgacom SA
Delhaize Group SA
Umicore SA
2,756
167
225
61,707
10,325
9,343
81,375
Canada - 15.4%
Agnico Eagle Mines Ltd. (1)
Bank of Montreal (1)
Bank of Nova Scotia (1)
Barrick Gold Corp. (1)
BCE, Inc. (1)
Canadian Imperial Bank of Commerce (1)
Canadian National Railway Co. (1)
Canadian Tire Corp. Ltd., Class A (1)
Eldorado Gold Corp. (1)
Enbridge, Inc. (1)
Franco-Nevada Corp. (1)
Goldcorp, Inc. (1)
IAMGOLD Corp. (1)
Imperial Oil Ltd. (1)
Intact Financial Corp. (1)
Kinross Gold Corp. (1)
Loblaw Cos., Ltd. (1)
VALUE
(Note 2)
SHARES
Canada - 15.4% (continued)
Metro, Inc. (1)
National Bank of Canada (1)
Pembina Pipeline Corp. (1)
Penn West Petroleum Ltd. (1)
Potash Corp of Saskatchewan, Inc. (1)
Rogers Communications, Inc., Class B (1)
Royal Bank of Canada (1)
Shaw Communications, Inc., Class B (1)
Shoppers Drug Mart Corp. (1)
Silver Wheaton Corp. (1)
Tim Hortons, Inc. (1)
Toronto-Dominion Bank/The (1)
TransCanada Corp. (1)
Yamana Gold, Inc. (1)
874
1,273
1,360
744
1,140
803
802
1,604
4,337
2,452
3,123
1,099
1,324
7,565
$
58,571
90,830
41,613
7,852
43,488
31,457
46,731
38,495
200,087
48,051
168,904
88,269
57,004
72,147
2,093,518
Colombia - 0.2%
Pacific Rubiales Energy Corp. (1)
1,356
23,814
Denmark - 1.7%
Coloplast A/S, Class B
Novo Nordisk A/S, Class B
Novozymes A/S, B Shares
2,247
624
182
125,819
97,009
5,829
228,657
Finland - 0.1%
Kone OYJ, Class B
France - 3.4%
Air Liquide SA
Danone SA
Dassault Systemes SA
Essilor International SA
Iliad SA
L’Oreal SA
Pernod-Ricard SA
SES SA FDR
Sodexo
Total SA
261
20,702
34
1,745
382
579
58
592
245
361
341
809
4,199
131,343
46,691
61,685
12,531
97,316
27,193
10,343
28,392
39,514
459,207
129
2,003
2,114
833
4,369
1,183
686
188
4,901
1,084
2,055
1,369
11,147
1,884
2,081
1,836
1,796
3,557
116,177
113,007
13,148
179,130
83,959
66,793
14,154
30,337
45,568
73,567
34,000
46,848
71,924
117,238
9,410
81,202
Germany - 3.0%
Adidas AG
Bayer AG
Beiersdorf AG
Fresenius Medical Care AG & Co. KGaA
Fresenius SE & Co. KGaA
Merck KGaA
Metro AG
SAP AG
60,752
57,601
152,179
32,747
19,570
17,793
32,988
31,692
405,322
Hong Kong - 3.3%
CLP Holdings Ltd.
Hang Seng Bank Ltd.
Hong Kong & China Gas Co., Ltd.
Power Assets Holdings Ltd.
SJM Holdings Ltd.
The accompanying notes are an integral part of these financial statements.
AQR Funds
562
541
1,747
462
159
117
1,044
434
Semi-Annual Report
June 2013
16,500
6,000
31,900
9,500
22,000
133,383
88,359
77,838
81,776
53,390
(Continued)
21
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND
VALUE
(Note 2)
SHARES
Hong Kong - 3.3% (continued)
Wynn Macau Ltd.
4,800
$
12,911
447,657
Italy - 0.4%
Luxottica Group SpA
Japan - 19.8%
Aeon Co., Ltd.
Ajinomoto Co., Inc.
Asahi Group Holdings Ltd.
Astellas Pharma, Inc.
Bank of Yokohama Ltd./The
Brother Industries Ltd.
Canon, Inc.
Central Japan Railway Co.
Chiba Bank Ltd./The
Chugai Pharmaceutical Co., Ltd.
Dai Nippon Printing Co., Ltd.
Daiichi Sankyo Co., Ltd.
Dentsu, Inc.
East Japan Railway Co.
Eisai Co., Ltd.
FamilyMart Co., Ltd.
Fast Retailing Co., Ltd.
Fujitsu Ltd.
Hoya Corp.
Inpex Corp.
Japan Tobacco, Inc.
JSR Corp.
JX Holdings, Inc.
Kao Corp.
Kawasaki Kisen Kaisha Ltd.
KDDI Corp.
Konica Minolta, Inc.
Lawson, Inc.
Mitsubishi Tanabe Pharma Corp.
Namco Bandai Holdings, Inc.
Nippon Express Co., Ltd.
Nippon Meat Packers, Inc.
Nippon Yusen KK
Nitori Holdings Co., Ltd.
NTT DOCOMO, Inc.
Odakyu Electric Railway Co., Ltd.
Omron Corp.
Oriental Land Co., Ltd.
Osaka Gas Co., Ltd.
Otsuka Holdings Co., Ltd.
Secom Co., Ltd.
Seiko Epson Corp.
Sekisui Chemical Co., Ltd.
Seven & I Holdings Co., Ltd.
Shimamura Co., Ltd.
Shionogi & Co., Ltd.
Shiseido Co., Ltd.
Shizuoka Bank Ltd./The
Softbank Corp.
Suzuki Motor Corp.
Sysmex Corp.
1,070
54,137
200
2,000
1,400
1,300
2,000
4,700
1,000
500
4,000
5,700
1,000
1,800
300
300
800
1,100
200
1,000
3,100
3
500
400
1,100
2,600
20,000
600
1,500
700
300
3,500
12,000
1,000
3,000
150
111
2,000
1,400
200
29,000
3,900
1,400
1,700
2,000
2,600
800
500
600
4,000
400
900
200
2,628
29,339
34,680
70,621
10,317
52,739
32,773
60,940
27,292
117,986
9,125
29,997
10,378
23,350
32,603
46,935
67,501
4,137
63,761
12,469
17,649
8,094
5,311
88,508
40,655
31,244
11,290
53,417
3,882
56,726
56,983
15,296
7,938
12,076
172,683
19,531
41,738
30,951
122,450
128,774
76,119
23,219
21,237
95,221
97,114
10,427
8,927
43,143
23,284
20,745
13,099
Japan - 19.8% (continued)
Takeda Pharmaceutical Co., Ltd.
Tokyo Gas Co., Ltd.
Toppan Printing Co., Ltd.
Toyo Suisan Kaisha Ltd.
Trend Micro, Inc.
Unicharm Corp.
West Japan Railway Co.
Yamato Holdings Co., Ltd.
Yaskawa Electric Corp.
AQR Funds
1,000
22,000
1,000
3,000
1,100
1,300
800
6,800
2,000
$
45,094
121,375
6,937
99,818
34,972
73,526
33,928
143,210
24,273
2,680,435
Netherlands - 2.0%
Gemalto NV
Koninklijke Ahold NV
Koninklijke KPN NV
TNT Express NV
Unilever NV CVA
55
8,935
10,195
909
2,695
4,980
132,890
21,153
6,810
106,087
271,920
Norway - 1.4%
Orkla ASA
Statoil ASA
Telenor ASA
1,139
3,407
5,723
9,326
70,382
113,676
193,384
Singapore - 1.8%
DBS Group Holdings Ltd.
Oversea-Chinese Banking Corp. Ltd.
Singapore Telecommunications Ltd.
United Overseas Bank Ltd.
Wilmar International Ltd.
2,000
4,000
45,000
1,000
15,000
24,336
31,444
133,282
15,616
37,099
241,777
Spain - 0.7%
Inditex SA
Telefonica SA
572
2,233
70,554
28,728
99,282
Sweden - 2.5%
Boliden AB
Elekta AB, B Shares
Hennes & Mauritz AB, B Shares
Svenska Cellulosa AB, B Shares
Swedish Match AB
Tele2 AB, B Shares
555
1,214
4,809
159
2,406
5,900
6,879
18,451
158,223
3,988
85,400
69,263
342,204
Switzerland - 4.4%
Kuehne + Nagel International AG
Nestle SA
Novartis AG
Roche Holding AG
SGS SA
Swisscom AG
Syngenta AG
663
2,800
1,851
214
25
200
36
72,741
183,737
131,108
53,114
53,673
87,554
14,039
595,966
United Kingdom - 15.2%
Associated British Foods PLC
The accompanying notes are an integral part of these financial statements.
22
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
5,574
147,043
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND
VALUE
(Note 2)
SHARES
United Kingdom - 15.2% (continued)
AstraZeneca PLC
British American Tobacco PLC
British Sky Broadcasting Group PLC
Burberry Group PLC
Centrica PLC
Compass Group PLC
Diageo PLC
Experian PLC
Fresnillo PLC
GlaxoSmithKline PLC
Imperial Tobacco Group PLC
J Sainsbury PLC
Marks & Spencer Group PLC
National Grid PLC
Next PLC
Pearson PLC
Randgold Resources Ltd.
Reckitt Benckiser Group PLC
Rexam PLC
Royal Dutch Shell PLC, B Shares
SABMiller PLC
Sage Group PLC/The
Shire PLC
Smith & Nephew PLC
SSE PLC
Tesco PLC
Unilever PLC
United Utilities Group PLC
Vodafone Group PLC
Whitbread PLC
WM Morrison Supermarkets PLC
3,690
1,932
2,167
821
32,720
8,622
396
561
267
3,098
641
3,512
4,636
12,140
481
795
287
2,625
2,732
1,403
307
3,363
3,247
6,745
7,454
1,004
2,832
552
15,558
854
20,831
$
174,459
99,091
26,106
16,890
178,969
110,168
11,356
9,750
3,605
77,438
22,226
18,982
30,334
137,614
33,319
14,139
18,186
185,683
19,827
46,466
14,719
17,382
102,898
75,543
172,617
5,056
114,646
5,743
44,584
39,728
82,917
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES ON LOAN - 0.3%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares, 0.046% (c)(d)
(cost $42,618)
42,618
TOTAL INVESTMENTS - 99.8%
(cost $13,561,439)
569
TOTAL COMMON STOCKS
(cost $12,259,302)
18,568
12,239,819
PREFERRED STOCKS - 0.5%
Germany - 0.5%
Henkel AG & Co. KGaA
(cost $70,478)
EXCHANGE-TRADED FUNDS - 6.9%
iShares MSCI EAFE Index Fund (1)
(cost $935,410)
800
75,128
16,239
931,794
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.2%
Australia - 0.0% (b)
ASX Ltd. †
(cost $-)
$13,567,279
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $39,802; cash collateral of $42,618 was
received with which the Fund purchased a money market fund. In
accordance with the fund’s security lending standards and
guidelines, additional collateral was subsequently received the next
business day.
(b) Represents less than 0.05 percent of net assets.
(c) Represents annualized seven-day yield as of June 30, 2013.
(d) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(1) Level 1 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Mutual Fund
Telecommunication Services
Utilities
Money Market Funds
Net Assets
MONEY MARKET FUNDS - 1.9%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (c)
(cost $253,631)
128
364
253,631
253,631
42,618
23,925
NET ASSETS - 100.0%
Total Investments
Other Assets in Excess of Liabilities
RIGHTS - 0.0% (b)
$
13,543,354
2,057,484
United States - 0.1%
Thomson Reuters Corp. (1)
VALUE
(Note 2)
SHARES
VALUE
$ 1,452,407
3,265,818
547,000
977,740
1,735,765
964,124
391,729
640,671
931,794
1,198,401
1,141,656
296,249
% OF NET
ASSETS
10.7%
24.1
4.0
7.2
12.8
7.1
2.9
4.7
6.9
8.8
8.4
2.2
13,543,354
23,925
99.8
0.2
$13,567,279
100.0%
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
23
Schedule of Investments
June 30, 2013 (Unaudited)
AQR U.S. DEFENSIVE EQUITY FUND
COMMON STOCKS - 89.6%
Consumer Discretionary - 9.5%
Advance Auto Parts, Inc.
Amazon.com, Inc. †
Apollo Group, Inc., Class A †
AutoZone, Inc. †
Bed Bath & Beyond, Inc. †
Big Lots, Inc. †
Buckle, Inc./The
Carnival Corp.
Chipotle Mexican Grill, Inc. †
Dollar Tree, Inc. †
Family Dollar Stores, Inc.
Genuine Parts Co.
Home Depot, Inc./The
McDonald’s Corp.
NIKE, Inc., Class B
O’Reilly Automotive, Inc. †
Panera Bread Co., Class A †
PetSmart, Inc.
priceline.com, Inc. †
Scripps Networks Interactive, Inc., Class A
Starbucks Corp.
Target Corp.
Time Warner, Inc.
TJX Cos., Inc.
Tractor Supply Co.
Tupperware Brands Corp.
Viacom, Inc., Class B
Yum! Brands, Inc.
VALUE
(Note 2)
SHARES
108
827
1,911
368
580
1,436
542
521
118
483
887
72
475
3,006
158
353
524
1,480
157
408
1,547
2,081
96
2,309
1,098
843
413
364
$
8,766
229,650
33,863
155,918
41,122
45,277
28,195
17,865
42,993
24,556
55,269
5,621
36,798
297,594
10,061
39,755
97,432
99,145
129,859
27,238
101,313
143,298
5,551
115,588
129,136
65,493
28,105
25,240
Consumer Staples - 21.2% (continued)
Wal-Mart Stores, Inc.
Whole Foods Market, Inc.
3,859
3,462
8,011
1,384
2,087
176
3,156
1,137
2,311
4,894
2,608
919
656
2,152
3,114
504
185
1,486
2,770
2,101
2,187
2,686
1,053
3,593
3,158
3,690
6,010
4,012
1,661
280,305
46,931
140,977
7,883
194,757
94,530
92,694
280,377
288,367
52,548
43,145
104,437
278,018
19,444
19,083
95,446
269,078
72,568
95,528
188,987
63,991
293,871
273,546
284,093
290,704
137,050
73,416
AQR Funds
287,457
178,224
58
497
1,105
1,818
3,911
58,815
99,837
62,648
225,211
Financials - 9.9%
ACE Ltd. (Switzerland)
Aon PLC (United Kingdom)
Bank of Hawaii Corp.
Chubb Corp./The
City National Corp.
Cullen/Frost Bankers, Inc. (a)
Everest Re Group Ltd.
M&T Bank Corp. (a)
Marsh & McLennan Cos., Inc.
New York Community Bancorp, Inc. (a)
Northern Trust Corp.
People’s United Financial, Inc.
Progressive Corp./The
SVB Financial Group †
Travelers Cos., Inc./The
US Bancorp
WR Berkley Corp.
1,318
654
2,249
3,327
862
3,159
1,730
1,257
1,829
6,158
1,683
19,104
1,165
133
2,142
2,877
1,699
117,935
42,085
113,170
281,630
54,625
210,926
221,890
140,470
73,014
86,212
97,446
284,650
29,614
11,081
171,189
104,003
69,421
2,109,361
Health Care - 15.0%
Abbott Laboratories
Aetna, Inc.
Alexion Pharmaceuticals, Inc. †
Allergan, Inc.
AmerisourceBergen Corp.
Amgen, Inc.
Baxter International, Inc.
Becton Dickinson and Co.
Biogen Idec, Inc. †
Bristol-Myers Squibb Co.
Cardinal Health, Inc.
Celgene Corp. †
Cerner Corp. †
Covance, Inc. †(a)
CR Bard, Inc.
DENTSPLY International, Inc.
Edwards Lifesciences Corp. †
Eli Lilly & Co.
Forest Laboratories, Inc. †
Henry Schein, Inc. †(a)
Humana, Inc.
IDEXX Laboratories, Inc. †
Johnson & Johnson
Laboratory Corp of America Holdings †
McKesson Corp.
Medtronic, Inc.
The accompanying notes are an integral part of these financial statements.
24
$
4,547,455
Energy - 1.1%
CARBO Ceramics, Inc.
Chevron Corp.
Exxon Mobil Corp.
Spectra Energy Corp.
2,040,701
Consumer Staples - 21.2%
Altria Group, Inc.
Archer-Daniels-Midland Co.
Brown-Forman Corp., Class B
Campbell Soup Co. (a)
Church & Dwight Co., Inc.
Clorox Co./The
Coca-Cola Co./The
Colgate-Palmolive Co.
Costco Wholesale Corp.
CVS Caremark Corp.
Estee Lauder Cos., Inc./The, Class A
General Mills, Inc.
Hershey Co./The
Hormel Foods Corp.
JM Smucker Co./The
Kellogg Co.
Kimberly-Clark Corp.
Kroger Co./The
Lorillard, Inc.
McCormick & Co., Inc. (a)
Monster Beverage Corp. †
PepsiCo, Inc.
Philip Morris International, Inc.
Procter & Gamble Co./The
Reynolds American, Inc.
Sysco Corp.
Walgreen Co.
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
2,958
676
395
1,340
2,046
318
182
1,136
436
2,757
377
346
411
66
990
704
629
3,701
4,455
475
333
1,506
3,394
1,376
1,042
1,942
103,175
42,953
36,435
112,882
114,228
31,374
12,607
112,271
93,827
123,210
17,794
40,451
39,493
5,025
107,593
28,836
42,269
181,793
182,655
45,481
28,099
135,209
291,409
137,738
119,309
99,955
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR U.S. DEFENSIVE EQUITY FUND
VALUE
(Note 2)
SHARES
Health Care - 15.0% (continued)
Merck & Co., Inc.
Mettler-Toledo International, Inc. †
Myriad Genetics, Inc. †
Patterson Cos., Inc.
Perrigo Co.
Pfizer, Inc.
Quest Diagnostics, Inc.
St Jude Medical, Inc. (a)
Stryker Corp.
UnitedHealth Group, Inc.
Vertex Pharmaceuticals, Inc. †
WellPoint, Inc.
Zimmer Holdings, Inc.
Zoetis, Inc.
1,834
391
2,812
2,874
308
3,444
489
313
2,398
1,682
254
282
800
1,086
$
85,189
78,669
75,559
108,062
37,268
96,466
29,648
14,282
155,103
110,137
20,287
23,079
59,952
33,541
3,213,313
Industrials - 6.6%
3M Co.
Boeing Co./The
Cintas Corp.
Danaher Corp.
Dun & Bradstreet Corp./The (a)
Equifax, Inc.
Fastenal Co.
General Dynamics Corp.
Honeywell International, Inc.
Knight Transportation, Inc.
L-3 Communications Holdings, Inc.
Landstar System, Inc.
MSC Industrial Direct Co., Inc., Class A (a)
Northrop Grumman Corp.
Raytheon Co.
Republic Services, Inc.
Robert Half International, Inc.
Roper Industries, Inc.
Southwest Airlines Co.
Stericycle, Inc. †
United Parcel Service, Inc., Class B
Waste Management, Inc.
Werner Enterprises, Inc. (a)
WW Grainger, Inc.
1,256
383
1,257
629
312
315
2,262
1,185
469
1,555
609
1,341
1,380
611
513
294
170
235
543
2,161
460
3,845
486
45
137,344
39,234
57,244
39,816
30,404
18,563
103,713
92,821
37,210
26,155
52,216
69,061
106,895
50,591
33,920
9,978
5,649
29,192
6,999
238,639
39,781
155,069
11,747
11,348
1,403,589
Information Technology - 12.7%
Accenture PLC, Class A (Ireland)
Adobe Systems, Inc. †
ADTRAN, Inc.
Analog Devices, Inc.
Apple, Inc.
Applied Materials, Inc.
Atmel Corp. †
Automatic Data Processing, Inc.
Broadcom Corp., Class A
Broadridge Financial Solutions, Inc.
Cognizant Technology Solutions Corp.,
Class A †
Dell, Inc.
F5 Networks, Inc. †
1,089
871
1,753
1,958
69
723
1,271
3,062
1,401
1,577
78,364
39,683
43,141
88,228
27,330
10,780
9,342
210,849
47,298
41,917
579
2,173
918
36,251
29,010
63,158
Information Technology - 12.7% (continued)
FactSet Research Systems, Inc.
Global Payments, Inc.
Google, Inc., Class A †
Informatica Corp. †
Intel Corp.
International Business Machines Corp.
Intuit, Inc.
KLA-Tencor Corp.
Linear Technology Corp.
LSI Corp. †
Marvell Technology Group Ltd.
Mastercard, Inc., Class A
Maxim Integrated Products, Inc.
Microsoft Corp.
NetApp, Inc. †
Paychex, Inc.
Polycom, Inc. †
QUALCOMM, Inc.
Red Hat, Inc. †
Sohu.com, Inc. (China) †
Synopsys, Inc. †
Teradata Corp. †
Texas Instruments, Inc.
Total System Services, Inc.
Visa, Inc., Class A
VMware, Inc., Class A †
Xilinx, Inc.
1,101
222
210
373
3,054
831
2,060
1,103
3,264
872
5,726
236
1,031
5,164
1,028
5,030
1,228
378
701
236
352
1,241
589
3,530
753
421
1,704
$
112,236
10,283
184,878
13,048
73,968
158,812
125,722
61,470
120,246
6,226
67,051
135,582
28,641
178,313
38,838
183,696
12,943
23,088
33,522
14,542
12,584
62,335
20,538
86,414
137,611
28,203
67,495
2,723,636
Materials - 0.8%
AK Steel Holding Corp. †
International Flavors & Fragrances, Inc.
Newmont Mining Corp.
Praxair, Inc.
Schnitzer Steel Industries, Inc., Class A
Sherwin-Williams Co./The
Sigma-Aldrich Corp.
2,800
504
615
43
745
224
668
8,512
37,881
18,419
4,952
17,418
39,558
53,681
180,421
Telecommunication Services - 2.1%
AT&T, Inc.
tw telecom, Inc. †
Verizon Communications, Inc.
5,109
2,384
3,822
180,859
67,086
192,399
440,344
Utilities - 10.7%
Alliant Energy Corp.
American Electric Power Co., Inc.
American Water Works Co., Inc.
CenterPoint Energy, Inc.
Consolidated Edison, Inc.
Dominion Resources, Inc.
DTE Energy Co.
Duke Energy Corp.
Integrys Energy Group, Inc.
NextEra Energy, Inc.
NiSource, Inc.
Northeast Utilities
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
454
1,280
5,084
328
3,046
5,112
2,081
1,549
139
773
1,370
858
22,891
57,318
209,613
7,705
177,612
290,464
139,448
104,558
8,136
62,984
39,237
36,053
(Continued)
25
Schedule of Investments
June 30, 2013 (Unaudited)
AQR U.S. DEFENSIVE EQUITY FUND
VALUE
(Note 2)
SHARES
Utilities - 10.7% (continued)
OGE Energy Corp.
ONEOK, Inc.
PG&E Corp.
Pinnacle West Capital Corp.
Public Service Enterprise Group, Inc.
Questar Corp.
Sempra Energy
Southern Co.
UGI Corp.
Wisconsin Energy Corp.
Xcel Energy, Inc.
35
136
3,401
2,394
1,748
2,993
3,573
3,948
1,894
2,865
1,857
$
2,387
5,618
155,528
132,795
57,090
71,383
292,129
174,225
74,074
117,436
52,627
2,291,311
TOTAL COMMON STOCKS
(cost $17,902,102)
19,175,342
EXCHANGE-TRADED FUNDS - 8.4%
SPDR S&P 500 ETF Trust
(cost $1,778,925)
MONEY MARKET FUNDS - 2.7%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(b)
(cost $584,561)
11,178
1,788,592
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES ON LOAN - 1.0%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (2)(b)(c)
(cost $214,750)
TOTAL INVESTMENTS - 101.7%
(cost $20,480,338)
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.7%)
NET ASSETS - 100.0%
214,750
$
214,750
21,763,245
(364,373)
$21,398,872
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $209,313; cash collateral of $214,750 was
received with which the Fund purchased a money market fund.
(b) Represents annualized seven-day yield as of June 30, 2013.
(c) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
All securities are Level 1 with respect to ASC 820, unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
584,561
584,561
The accompanying notes are an integral part of these financial statements.
26
VALUE
(Note 2)
SHARES
AQR Funds
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
LONG INVESTMENTS - 101.7%
COMMON STOCKS - 44.3%
VALUE
(Note 2)
SHARES
Consumer Discretionary - 14.6%
American Greetings Corp., Class A
Ameristar Casinos, Inc.
Arbitron, Inc.
Ark Restaurants Corp.
Astral Media, Inc., Class A (Canada)
Belo Corp., Class A
Bright Horizons Family Solutions,
Inc. †(a)
Brookfield Residential Properties, Inc.
(Canada) †(a)
China Century Dragon Media, Inc. (3)†(b)
China Networks International Holdings
Ltd. (3)†(b)
Comcast Corp., Class A
Cooper Tire & Rubber Co.
CST Brands, Inc. †
Discovery Communications, Inc.,
Class C †(a)
Five Below, Inc. †
Kabel Deutschland Holding AG
(Germany) (2)
Lennar Corp. B Shares
Liberty Global PLC, Class A (United
Kingdom) †
Liberty Global PLC, Class C (United
Kingdom) †
News Corp., Class A
rue21 inc (2)†
School Specialty, Inc. (2)†
Stewart Enterprises, Inc., Class A
True Religion Apparel, Inc.
WMS Industries,Inc. †
Energy - 0.8% (continued)
Uranium One, Inc. (Canada) †
439,842
631,495
457,244
61,172
403,592
66,011
$
8,013,922
16,602,004
21,238,984
1,298,682
19,172,251
920,853
44,283
1,537,063
31,800
150,272
701,508
19
2,287,278
782,942
35,600
452,678
22,873
31,059,309
1,180,852
13,947,009
408,486
130,000
28,455,135
4,778,800
45,892
8,285
5,039,004
234,880
161,903
11,993,774
736,071
4,109,871
27,190
9,166
383,044
452,291
810,620
49,971,859
133,981,795
1,131,376
999,094
5,014,046
14,319,533
20,678,916
392,293,541
Consumer Staples - 1.4%
Central Garden and Pet Co. †(a)
DE Master Blenders 1753 NV
(Netherlands) (2)†
Hillshire Brands Co.
Neptune Technologies & Bioressources,
Inc. (Canada) (3)†(b)
Smithfield Foods, Inc. †
SUPERVALU, Inc. †
WhiteWave Foods Co., Class B †
526
3,735
1,001,918
245,313
16,033,650
8,114,954
6,407
311,271
595,100
2,919
6
10,194,125
3,701,522
44,369
38,092,361
Energy - 0.8%
Crimson Exploration, Inc. †
CVR Energy, Inc. †
Gulf Coast Ultra Deep Royalty Trust †
Gulf United Energy, Inc. †
Integrated Drilling Equipment Holdings
Corp. †
Mission NewEnergy Ltd. (Australia) (2)†
PBF Energy, Inc.
Platino Energy Corp. (Canada) †
Synergy Resources Corp. †
166,251
—
17,210
1,959,798
468,828
221,169
35,108
9,603
74,362
20,132
136,098
184,970
107,165
379,246
322
3,524,938
219,847
784,448
6,371,548
$
16,599,830
22,243,339
Financials - 11.0%
Andina Acquisition Corp. (3)†(a)(b)
Aquasition Corp., Class U (United
Kingdom) (3)†(a)(b)
Ares Commercial Real Estate Corp. REIT
Ashford Hospitality Trust, Inc. REIT
BGS Acquisition Corp. (Argentina) †(a)
Blue Wolf Mongolia Holdings Corp. (2)†
Brookfield Asset Management, Inc.,
Class A (Canada) (a)
Capitol Acquisition Corp. II †
CapLease, Inc. REIT
Chart Acquisition Corp. (2)†
China VantagePoint Acquisition Co. (2)†
Cis Acquisition Ltd. (Russian
Federation) †(a)
Collabrium Japan Acquisition Corp.
(United Kingdom) (3)†(b)
Colonial Properties Trust REIT
CommonWealth REIT REIT
Encore Capital Group, Inc. †
Fidelity Southern Corp. †
First Financial Holdings, Inc.
First M&F Corp.
FlatWorld Acquisition Corp. (Virgin
Islands, British) (3)(a)(b)
HF2 Financial Management, Inc. †
Home Loan Servicing Solutions Ltd.
(Cayman Islands)
Hudson City Bancorp, Inc.
Hyde Park Acquisition Corp. II †(a)
Infinity Cross Border Acquisition Corp.
(Israel) †
Janus Capital Group, Inc.
Knight Capital Group, Inc., Class A †
L&L Acquisition Corp. (3)†(b)
Lakeland Bancorp, Inc.
MedWorth Acquisition Corp. †
MPG Office Trust, Inc. REIT †
National Financial Partners Corp. †
National General Holdings Corp. (3)†(b)(f)
Neptune Tech, Inc. (Canada) (3)†(b)
Netspend Holdings, Inc. †
New Residential Investment Corp. REIT
Newcastle Investment Corp. REIT
NYSE Euronext
Patriot National Bank ADR (3)†(b)
PMI Group, Inc./The †
Prime Acquisition Corp. (China) †
PVF Capital Corp. †
Roma Financial Corp. †
Santa Monica Media Corp. ADR (3)†(b)
Select Income REIT REIT
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
415,800
4,153,842
850,000
38,500
104,000
671,160
526,500
8,644,500
493,185
1,190,800
6,691,465
5,228,145
176,351
1,440,000
146,152
1,268,625
1,990
6,352,163
14,457,600
1,233,523
12,102,683
—
850,000
8,602,000
595,000
253,857
330,754
105,093
8,491
256,744
3,314
6,039,250
6,123,031
7,647,033
3,479,629
105,034
5,445,540
52,394
219,450
1,309,420
—
13,238,236
156,000
5,981,078
1,195,400
3,739,320
54,786,675
12,228,942
287,100
2,500
152,400
306,000
3,900
661,925
739,971
237,481
8,000
3,203
503,220
951,722
1,131,338
1,071,507
2,000,000
263
423,935
739,845
126,332
15,377
53,000
2,259,477
21,275
563,033
—
40,677
5,302,019
2,323,509
6,010,644
84,000
6
8,036,423
6,414,606
5,916,898
44,360,390
1,180,000
17
4,230,871
2,959,380
2,294,189
—
1,486,120
(Continued)
27
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
VALUE
(Note 2)
SHARES
Financials - 11.0% (continued)
Selway Capital Acquisition Corp.,
Class A (3)†(b)
Trian Acquisition I Corp. (3)†(b)
Weyerhaeuser Co. REIT
414,792
15,200
520,000
$
4,259,914
—
14,814,800
294,593,238
Health Care - 8.9%
Access Pharmaceuticals, Inc. †(a)
American Surgical Holdings, Inc. (3)†(b)
Assisted Living Concepts, Inc., Class A †
Authentidate Holding Corp. (3)†(b)
China Medical Technologies, Inc. ADR
(China) (3)†(b)
Clovis Oncology, Inc. †
CML HealthCare, Inc. (Canada)
Cormedix, Inc. †(a)
Covidien PLC (Ireland)
Cynosure, Inc., Class A †
Elan Corp. PLC ADR (Ireland) †
Exact Sciences Corp. †
Forest Laboratories, Inc. (3)†(b)
Indevus Pharmaceuticals, Inc. (3)†(b)
InspireMD, Inc. (Israel) (3)†(b)
Intercept Pharmaceuticals, Inc. †
Life Technologies Corp. †
Neostem, Inc. †
Pfizer, Inc.
Progenics Pharmaceuticals, Inc. †
Provectus Pharmaceuticals, Inc. †
Repros Therapeutics, Inc. †
RXi Pharmaceuticals Corp. †
Theragenics Corp. †
Valeant Pharmaceuticals International,
Inc. †
Vanguard Health Systems, Inc. †
Warner Chilcott PLC, Class A (Ireland)
Zoetis, Inc.
228,024
15,747
1,441,554
619,389
98,278
—
17,240,986
538,868
4,931
51,142
541,954
32,546
423,437
178,907
248,806
299,520
335,833
6,006
17,801
13,000
199,095
324,000
3,476,769
192,500
636,202
231,000
94,852
33,413
49
3,425,491
5,441,698
30,919
26,608,781
4,648,004
3,518,117
4,166,323
319,041
—
39,340
582,920
14,735,021
179,820
97,384,289
858,550
413,531
4,261,950
18,307
69,165
104,000
1,252
707,344
989,810
8,952,320
25,967
14,061,999
30,575,240
238,194,974
Industrials - 1.2%
Allied Defense Group, Inc./The (3)†(b)
Cubic Corp.
Gardner Denver, Inc.
KAR Auction Services, Inc.
Kratos Defense & Security Solutions,
Inc. †
Met-Pro Corp.
Michael Baker Corp. (a)
Pingtan Marine Enterprise Ltd.
(China) (3)†(b)
Premier Alliance Group, Inc. †
Rexnord Corp. †
Sapphire Industry Corp. (3)†(b)
190,011
5,390
196,796
62,947
598,535
259,259
14,795,123
1,439,598
67,232
656,432
1,645
435,663
8,822,446
44,596
829,474
273,401
78,000
25,025
3,483,791
158,299
1,314,300
—
31,351,610
Information Technology - 3.8%
Anaren, Inc. †(a)
BMC Software, Inc. †
20,453
314,742
SHARES
Information Technology - 3.8% (continued)
Compuware Corp.
448,853
Comverse, Inc. †(a)
225,648
Dell, Inc.
1,665,428
Ebix, Inc.
277,993
ExactTarget, Inc. †
141,858
Himax Technologies, Inc. ADR (Taiwan)
598,036
Intermec, Inc. †
1,541,965
Keynote Systems, Inc. (2)
57,867
Lender Processing Services, Inc.
336,153
Market Leader, Inc. †
398
MEMSIC, Inc. †
442,196
Molex, Inc., Class A
127,299
Orckit Communications Ltd. (Israel) †
15,174
PLX Technology, Inc. †
553,248
SinoHub, Inc. (China) (3)†(b)
190,038
Soundbite Communications, Inc.
394,440
SouthPeak Interactive Corp. (3)†(b)
1,500,000
STEC, Inc. †
773,821
Stonesoft OYJ (Finland) (2)†
57,674
Telestone Technologies Corp.
(China) †(c)
115,818
Transwitch Corp. †
762,320
Universal Business Payment Solutions
Acquisition Corp. (3)†(b)
126,242
AQR Funds
$
4,645,628
6,715,284
22,233,464
2,574,215
4,783,452
3,121,748
15,157,516
1,143,452
10,874,550
4,259
1,813,004
3,164,653
3,035
2,633,460
1,900
1,968,256
15,000
5,200,077
334,616
52,118
274,435
378,726
101,769,494
Materials - 0.8%
Buckeye Technologies, Inc.
Cereplast, Inc. †
China GengSheng Minerals, Inc.
(China) †
Edgewater Exploration Ltd. (Canada) †
Energy Fuels, Inc. (Canada) †
Lion One Metals Ltd. (Canada) †
Mines Management, Inc. †
Rainy River Resources Ltd. (Canada) †
RTI International Metals, Inc. †
Southern Arc Minerals, Inc.
(Canada) (3)†(b)
US Silica Holdings, Inc.
175,643
258,156
6,505,817
4,673
33,531
417,850
720,000
741,090
16,120
2,996,946
64,856
4,346
45,690
106,114
292,433
8,543
10,116,153
1,797,160
248,481
125,564
28,352
2,609,220
21,518,501
Telecommunication Services - 1.6%
Clearwire Corp., Class A †
Cleveland Unlimited ADR (3)†(b)
Multiband Corp. †
Sprint Nextel Corp. †
Telephone & Data Systems, Inc.
XO holdings, Inc. O Shares (3)†(b)
5,047,347
1
484,427
1,980,357
56,348
1,366,340
25,135,788
956,138
1,535,634
13,902,106
1,388,978
—
42,918,644
Utilities - 0.2%
NV Energy, Inc.
TOTAL COMMON STOCKS
(cost $1,160,277,423)
274,202
6,432,779
1,189,408,481
469,192
14,207,454
The accompanying notes are an integral part of these financial statements.
28
VALUE
(Note 2)
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
CONVERTIBLE PREFERRED STOCKS - 1.6%
Consumer Discretionary - 0.9%
Sealy Corp., $25.00 par, 8.000% (3)†(b)(d)(h)
SHARES
VALUE
(Note 2)
299,636
$23,671,244
700
875,000
1,169
175,300
1,087,170
10,101,663
Consumer Staples - 0.0% (e)
Universal Corp., Perpetual, $1,000.00 par, 6.750% †(p)
Energy - 0.4%
Nabors Completion & Production Services Co., Perpetual, Series A, $1,000.00
par, 4.000% (3)†(b)(p)
Sanchez Energy Corp., Perpetual, Series A 144A, $50.00 par, 4.875% (2)†(f)(p)
11,188,833
Financials - 0.1%
iStar Financial, Inc., Perpetual, Series J, $50.00 par, 4.500% †(p)
MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (3)†(b)(p)
50,625
16,000
2,733,750
146,000
2,879,750
Industrials - 0.1%
Genesee & Wyoming, Inc., $100.00 par, 5.000% †
Timberjack Corp. ADR, $188,000.00 par, 0.000% (3)†(b)
13,325
188,000
1,581,011
157,920
1,738,931
Materials - 0.0% (e)
Cliffs Natural Resources, Inc., $25.00 par, 7.000% †
24,625
436,847
Utilities - 0.1%
Dominion Resources, Inc., Series B, $49.00 par, 6.000% †
53,325
2,668,916
TOTAL CONVERTIBLE PREFERRED STOCKS
(cost $42,852,092)
43,459,521
CORPORATE BONDS - 11.8%
Communications - 0.4%
Baker & Taylor Acquisitions Corp. 144A (2)(a)(f)
Interactive Network, Inc./FriendFinder Networks, Inc. (2)(g)
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(f)(g)
Primus Telecommunications Holding, Inc./Primus Telecommunications Canada,
Inc. 144A (3)(b)(f)
WCP Wireless Site Funding/WCP Wireless Site RE Funding/WCP Wireless Site
Non 144A (2)(f)
WCP Wireless Site Funding/WCP Wireless Site RE Funding/WCP Wireless Site
Non, Series 144a 144A (2)(f)
INTEREST
RATE
MATURITY
DATE
15.000%
14.000%
11.500%
04/01/17
09/30/13
04/30/14
13.000%
PRINCIPAL
AMOUNT
(000’s)
$
3,250
775
2,857
2,380,625
748,007
685,720
12/15/16
1,150
1,177,646
9.247%
11/15/15
3,000
3,144,192
6.829%
11/15/15
3,325
3,544,617
11,680,807
Consumer Discretionary - 2.9%
American Apparel, Inc. 144A (2)(a)(f)
American Axle & Manufacturing, Inc. (2)(a)
Brookstone Co., Inc. 144A (2)(f)
Caesars Entertainment Operating Co., Inc. (2)(a)
Clear Channel Communications, Inc. (2)(a)
Dex Media West, Inc. (2)(j)
Eastman Kodak Co. (2)(f)
Empire Today LLC/Empire Today Finance Corp. 144A (2)(f)
Exide Technologies (2)(g)
HOA Restaurant Group LLC/HOA Finance Corp. 144A (2)(a)(f)
IDQ Holdings, Inc. 144A (2)(f)
Landry’s, Inc. 144A (2)(f)
Mandalay Resort Group (2)
Pegasus Solutions, Inc. 144A (3)(b)(f)(h)
RH Donnelley, Inc. (2)
13.000%
6.250%
13.000%
5.375%
4.900%
5.000%
10.500%
11.375%
8.625%
11.250%
11.500%
9.375%
7.625%
13.000%
0.000%
04/15/20
03/15/21
10/15/14
12/15/13
05/15/15
12/30/16
09/30/13
02/01/17
02/01/18
04/01/17
04/01/17
05/01/20
07/15/13
04/15/14
10/24/14
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
925
1,525
516
4,975
4,100
1,778
11,916
3,250
12,425
8,975
4,325
7,356
13,375
4,030
4,000
918,062
1,549,781
433,440
4,962,562
3,792,500
1,474,666
11,977,848
2,600,000
7,579,250
8,975,000
4,735,875
7,760,580
13,375,000
3,868,377
3,016,680
(Continued)
29
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
Consumer Discretionary - 2.9% (continued)
Roust Trading Ltd., Series AI (Bermuda) (2)(i)
Wendy’s International, Inc. (2)
INTEREST
RATE
MATURITY
DATE
10.000%
6.200%
05/31/16
06/15/14
PRINCIPAL
AMOUNT
(000’s)
$
749
1,525
VALUE
(Note 2)
$
606,312
1,584,094
79,210,027
Energy - 2.1%
ATP Oil & Gas Corp. (2)(g)
BassDrill Beta Ltd. 144A (Malta) (2)(f)
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(a)(b)
CCS, Inc. 144A (Canada) (2)(f)
Copano Energy LLC/Copano Energy Finance Corp. (2)
EOAL Cyprus Holdings Ltd. (2)
EOAL Cyprus Holdings Ltd. (2)
EOAL Cyprus Holdings Ltd. (2)
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b)
Global Rig Co. ASA (Norway) (3)(b)
Golden Close Maritime Corp. Ltd. MTN (Bermuda) (2)
Green Field Energy Services, Inc. 144A (3)(b)(f)
Green Field Energy Services, Inc. 144A (3)(a)(b)(f)
Harvest Natural Resources, Inc. (2)
InterOil Exploration and Production ASA (Norway) (3)(b)
IronGate Energy Services LLC 144A (2)(f)
Nuverra Environmental Solutions, Inc. (2)(a)
Panoro Energy ASA 144A (Norway) (2)(f)
Plains Exploration & Production Co. (2)(a)
RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(f)
Santa Maria Offshore Ltd. 144A (Bermuda) (2)(f)
Sidewinder Drilling, Inc. 144A (2)(a)(f)
11.875%
8.500%
13.750%
11.000%
7.125%
20.000%
20.000%
0.200%
15.000%
13.000%
11.000%
13.250%
13.000%
11.000%
15.000%
11.000%
9.875%
12.000%
6.875%
11.875%
8.875%
9.750%
05/01/15
04/24/18
12/01/15
11/15/15
04/01/21
06/22/14
06/22/14
06/22/13
07/15/15
06/09/15
12/09/15
11/15/16
11/15/16
10/11/14
03/14/16
07/01/18
04/15/18
11/15/18
02/15/23
03/15/17
07/03/18
11/15/19
NOK
$
4,025
882
5,800
4,800
575
157
243
238
4,100
3,008
2,319
48
2,025
5,975
6,500
6,200
3,325
2,070
7,775
845
5,400
3,750
50,312
881,650
5,510,000
4,824,000
639,688
1,565
2,433
2,385
41
3,181,311
2,452,451
49,680
2,095,875
4,421,500
1,075,424
6,082,200
3,491,250
2,225,250
8,318,488
912,600
5,400,000
3,796,875
55,414,978
Financials - 2.6%
BPA Laboratories, Inc. 144A (2)(f)
CFG Holdings Ltd./CFG Finance LLC 144A (Cayman Islands) (2)(a)(f)
Creditcorp 144A (2)(f)
Emigrant Bancorp, Inc. 144A (3)(a)(b)(f)
Global Investments Group Finance Ltd. (Virgin Islands, British) (2)
Highclere Holdings Ltd. (Cayman Islands) (2)
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2)
ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(j)(p)
iStar Financial, Inc., Series B (3)(b)
Jasper Explorer PLC (Cyprus) (2)
Liquidnet Holdings, Inc., Perpetual Bond (3)(b)(j)(p)
MBIA Insurance Corp. 144A (2)(f)
Synovus Financial Corp. (2)(a)
TMX Finance LLC/TitleMax Finance Corp. (2)
TMX Finance LLC/TitleMax Finance Corp. (2)
12.250%
11.500%
12.000%
6.250%
11.000%
0.000%
8.000%
3.884%
5.700%
13.500%
9.250%
11.537%
5.125%
13.250%
13.250%
04/01/17
11/15/19
07/15/18
06/15/14
09/24/17
02/26/15
01/15/18
09/30/13
03/01/14
05/27/16
05/07/14
01/15/33
06/15/17
07/15/15
07/15/15
5,875
6,412
8,400
3,450
2,200
1,152
4,530
3,875
1,525
6,000
3,950
3,925
1,375
6,115
11,378
5,698,750
6,476,120
8,400,000
3,372,375
2,068,000
1,151,731
4,756,500
3,720,000
1,547,875
4,740,000
3,950,000
3,355,875
1,350,937
6,558,338
12,202,905
69,349,406
Health Care - 0.4%
KV Pharmaceutical Co. (3)(a)(b)
Rotech Healthcare, Inc. (2)(a)(g)
US Oncology, Inc. (3)(b)
Vantage Oncology LLC/Vantage Oncology Finance Co. 144A (2)(a)(f)
12.000%
10.500%
9.125%
9.500%
03/15/15
03/15/18
08/15/17
06/15/17
8,175
610
5,786
1,775
8,175,000
311,100
—
1,757,250
10,243,350
Industrials - 2.0%
Ahern Rentals, Inc., Perpetual Bond (3)(b)(p)
American Airlines, Inc. (2)(g)
0.000%
10.500%
06/15/15
10/15/12
The accompanying notes are an integral part of these financial statements.
30
AQR Funds
Semi-Annual Report
June 2013
16,550
1,900
—
2,275,250
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
Industrials - 2.0% (continued)
American Airlines, Inc. 144A (2)(f)(g)
American Piping Products, Inc. 144A (2)(a)(f)
BOA OCV AS (Norway) (2)(j)
Chloe Marine Corp. Ltd. (Bermuda) (2)
HD Supply, Inc. (2)(a)
Ship Finance International Ltd. 144A (Bermuda) (2)(f)(j)
Songa Offshore (Cyprus) (2)(j)
Songa Offshore (Cyprus) (2)(j)
Tempel Steel Co. 144A (2)(f)
United Continental Holdings, Inc. (3)(b)
Western Express, Inc. 144A (2)(f)
INTEREST
RATE
MATURITY
DATE
7.500%
12.875%
7.280%
12.000%
10.500%
5.850%
11.860%
9.610%
12.000%
6.860%
12.500%
03/15/16
11/15/17
04/27/16
12/28/16
01/15/21
04/07/14
11/17/16
06/11/15
08/15/16
04/22/14
04/15/15
PRINCIPAL
AMOUNT
(000’s)
$
10,150
1,975
NOK 16,625
$
1,400
10,100
NOK 51,000
15,000
25,500
$
5,625
641
2,300
VALUE
(Note 2)
$ 11,799,375
1,767,625
2,757,445
1,519,000
10,453,500
8,353,980
2,420,012
3,925,112
5,343,750
640,962
1,518,000
52,774,011
Information Technology - 0.1%
Bankrate, Inc. (2)
Freescale Semiconductor, Inc. (2)
SouthPeak Interactive Corp. (3)(b)
11.750%
8.875%
29.000%
07/15/15
12/15/14
12/31/13
1,077
2,030
1,091
1,145,659
2,035,075
104,541
3,285,275
Materials - 0.5%
ArcelorMittal USA LLC (2)
Cereplast, Inc. (3)(b)
North Atlantic Trading Co. 144A (2)(f)
North Atlantic Trading Co. 144A (2)(f)(h)
Northland Resources AB 144A (Sweden) (3)(b)(f)
6.500%
15.000%
11.500%
19.000%
13.000%
04/15/14
09/21/13
07/15/16
01/15/17
03/06/17
5,406
57
5,625
2,163
883
5,608,957
22,639
5,850,000
2,314,624
158,855
13,955,075
Telecommunication Services - 0.7%
Clearwire Communications LLC/Clearwire Finance, Inc. 144A (2)(f)
FiberTower Corp. (2)(g)
Virgin Media Finance PLC (United Kingdom) (2)
12.000%
9.000%
4.875%
12/01/17
01/01/16
02/15/22
7,173
4,444
11,400
8,302,747
366,637
10,488,000
19,157,384
Utilities - 0.1%
Atlantic Offshore AS (Norway) (2)(j)
11.690%
06/27/15
NOK 12,000
TOTAL CORPORATE BONDS
(cost $332,851,944)
1,965,642
317,035,955
CONVERTIBLE BONDS - 7.8%
Consumer Discretionary - 1.6%
M/I Homes, Inc. (2)
M/I Homes, Inc. (2)
Meritage Homes Corp. (2)
Palm Harbor Homes, Inc. (3)(b)(g)
RadioShack Corp. 144A (2)(f)
Standard Pacific Corp. (2)(a)
TUI AG, Series TUI (Germany) (2)
Volkswagen International Finance NV 144A (Netherlands) (2)(f)
3.250%
3.000%
1.875%
3.250%
2.500%
1.250%
5.500%
5.500%
09/15/17
03/01/18
09/15/32
05/15/24
08/01/13
08/01/32
11/17/14
11/09/15
$
2,300
1,800
2,475
70
4,400
975
EUR 8,558
13,500
2,811,750
1,861,875
2,716,313
3,220
4,328,500
1,243,734
10,525,475
18,023,882
41,514,749
Consumer Staples - 0.6%
Vector Group Ltd. (2)(j)
Vector Group Ltd. (2)(j)
Vector Group Ltd. (2)(j)
2.500%
3.750%
3.875%
01/15/19
11/15/14
06/15/26
$
5,950
6,504
58
6,951,444
8,268,210
63,075
15,282,729
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
31
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
Energy - 0.8%
Alpha Natural Resources, Inc. (2)
Cal Dive International, Inc. 144A (2)(f)
Cobalt International Energy, Inc. (2)(a)
Petrominerales Ltd. (Canada) (2)
Petrominerales Ltd., Series PMG (Canada) (2)
Polarcus Ltd., Series PLCS (Norway) (2)
Vantage Drilling Co. (Cayman Islands) (2)(a)
ZaZa Energy Corp. 144A (2)(a)(f)
INTEREST
RATE
MATURITY
DATE
3.750%
5.000%
2.625%
3.250%
2.625%
2.875%
7.875%
9.000%
12/15/17
07/15/17
12/01/19
06/12/17
08/25/16
04/27/16
09/01/42
08/01/17
PRINCIPAL
AMOUNT
(000’s)
$
825
2,275
4,375
3,200
1,900
400
4,625
3,550
VALUE
(Note 2)
$
701,250
2,350,359
4,640,234
2,483,200
1,890,500
393,920
5,662,735
3,159,500
21,281,698
Financials - 2.2%
AV Homes, Inc. (2)
AV Homes, Inc. (2)
BlackRock Kelso Capital Corp. 144A (2)(f)
CNO Financial Group, Inc. (2)
CNO Financial Group, Inc., Series 1 (2)
CNO Financial Group, Inc., Series UNRE (2)(a)
Encore Capital Group, Inc. 144A (2)(f)
iStar Financial, Inc. (2)
KCAP Financial, Inc. (2)
Knight Capital Group, Inc. (2)(a)
Meadowbrook Insurance Group, Inc. 144A (2)(f)
MF Global Holdings Ltd. (2)(g)
MGIC Investment Corp. (2)
National Financial Partners Corp. (2)(a)
Radian Group, Inc. (2)(a)
TICC Capital Corp. 144A (2)(a)(f)
7.500%
7.500%
5.500%
7.000%
7.000%
7.000%
3.000%
3.000%
8.750%
3.500%
5.000%
3.375%
2.000%
4.000%
2.250%
7.500%
02/15/16
02/15/16
02/15/18
12/30/16
12/30/16
12/30/16
07/01/20
11/15/16
03/15/16
03/15/15
03/15/20
08/01/18
04/01/20
06/15/17
03/01/19
11/01/17
200
5,900
1,800
1,750
1,900
1,150
1,300
2,800
4,000
8,925
2,575
2,750
5,225
600
4,200
3,550
218,000
7,057,875
1,833,750
4,187,969
4,546,937
2,752,094
1,259,843
3,321,500
5,480,000
8,919,422
2,935,500
1,278,750
5,917,312
1,224,750
5,357,625
3,652,063
59,943,390
Health Care - 0.7%
Accuray, Inc. 144A (2)(f)
Adcare Health Systems, Inc. (3)(b)
Exelixis, Inc. (2)(a)
MannKind Corp. (2)(a)
MannKind Corp. (2)(a)
Sequenom, Inc. 144A (2)(a)(f)
Theravance, Inc. (2)
3.500%
10.000%
4.250%
5.750%
3.750%
5.000%
2.125%
02/01/18
10/26/13
08/15/19
08/15/15
12/15/13
10/01/17
01/15/23
3,025
1,850
3,350
1,540
500
2,825
1,600
3,785,031
2,526,915
3,241,125
1,678,600
483,750
3,275,235
2,466,000
17,456,656
Industrials - 0.6%
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)
FuelCell Energy, Inc. (2)
Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f)
MasTec, Inc. (2)
MasTec, Inc. (2)
7.500%
8.000%
0.750%
4.250%
4.000%
12/31/13
06/15/18
04/05/17
12/15/14
06/15/14
EUR
$
1,850
1,875
2,800
2,400
2,125
—
2,076,562
4,274,410
5,173,500
4,470,469
15,994,941
Information Technology - 0.4%
Blucora, Inc. 144A (2)(f)
GT Advanced Technologies, Inc. (2)(a)
Powerwave Technologies, Inc. (3)(b)(g)
Quantum Corp. 144A (2)(a)(f)
Salesforce.com, Inc. 144A (2)(f)
SouthPeak Interactive Corp. (3)(b)
4.250%
3.000%
3.875%
4.500%
0.250%
10.000%
04/01/19
10/01/17
10/01/27
11/15/17
04/01/18
07/19/13
1,675
3,325
4,104
1,650
4,975
2,500
1,874,953
2,822,094
20,520
1,813,969
4,735,578
239,500
11,506,614
The accompanying notes are an integral part of these financial statements.
32
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
Materials - 0.2%
Cereplast, Inc. (3)(b)
Jaguar Mining, Inc. (2)(a)
RTI International Metals, Inc. (2)
ShengdaTech, Inc. 144A (3)(b)(f)(g)
ShengdaTech, Inc. 144A (3)(b)(f)(g)
Silver Standard Resources, Inc. 144A (Canada) (2)(f)
Stillwater Mining Co., Series SWC (2)
INTEREST
RATE
MATURITY
DATE
7.000%
5.500%
1.625%
6.500%
6.000%
2.875%
1.750%
06/01/16
03/31/16
10/15/19
12/15/15
06/01/18
02/01/33
10/15/32
PRINCIPAL
AMOUNT
(000’s)
$
VALUE
(Note 2)
3,832
500
2,650
1,200
300
750
1,225
$
560,196
116,250
2,494,313
12,000
3,000
563,906
1,256,391
5,006,056
Telecommunication Services - 0.7%
Level 3 Communications, Inc. (2)
Level 3 Communications, Inc., Series B (2)
6.500%
7.000%
10/01/16
03/15/15
13,525
1,280
18,453,172
1,489,600
19,942,772
TOTAL CONVERTIBLE BONDS
(cost $198,567,395)
207,929,605
BANK LOANS - 0.8%
Energy - 0.7%
Overseas Shipholding Group, Inc. (2)
Overseas Shipholding Group, Inc. (2)
Overseas Shipholding Group, Inc. (2)
Overseas Shipholding Group, Inc. (2)
Overseas Shipholding Group, Inc. (2)
Patriot Coal Corp. (2)
2.943%
2.942%
2.750%
2.951%
2.948%
9.250%
12/31/13
12/31/13
12/31/13
12/31/13
12/31/13
12/31/49
1,796
1,141
24
119
894
15,500
1,719,929
1,092,421
23,236
114,323
856,154
15,332,135
19,138,198
Financials - 0.1%
J.G. Wentworth LLC (2)
9.000%
01/22/18
2,396
2,362,626
TOTAL BANK LOANS
(cost $21,508,536)
CLOSED END FUNDS - 2.4%
Aberdeen Global Income Fund, Inc.
Advent Claymore Convertible
Securities and Income Fund (a)
Advent Claymore Convertible
Securities and Income Fund II (a)
Advent Claymore Enhanced Growth &
Income Fund (a)
AllianzGI NFJ Dividend Interest &
Premium Strategy Fund (a)
ASA Gold and Precious Metals Ltd.
(Bermuda) (a)
BlackRock Core Bond Trust (a)
BlackRock Credit Allocation Income
Trust
BlackRock EcoSolutions Investment
Trust
BlackRock Energy and Resources
Trust (a)
BlackRock Enhanced Capital and
Income Fund, Inc.
BlackRock Enhanced Equity Dividend
Trust (a)
21,500,824
SHARES
3,867
$
VALUE
(Note 2)
42,769
5,552
94,051
118,761
819,451
35,583
348,002
13,135
221,325
3,514
110,874
44,628
1,456,884
430,046
5,581,997
159
1,275
7,011
175,485
61,776
779,613
529,698
4,031,002
CLOSED END FUNDS - 2.4%
(continued)
BlackRock Global Opportunities
Equity Trust (a)
BlackRock Income Opportunity Trust,
Inc. (a)
BlackRock International Growth and
Income Trust
BlackRock Resources & Commodities
Strategy Trust
Calamos Convertible and High Income
Fund
Central Securities Corp.
Clough Global Equity Fund (a)
Cohen & Steers Dividend Majors Fund,
Inc.
Cohen & Steers REIT and Preferred
Income Fund, Inc.
Cohen & Steers Select Preferred and
Income Fund, Inc.
Cutwater Select Income Fund
DoubleLine Income Solutions Fund
DWS High Income Opportunities
Fund, Inc.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
VALUE
(Note 2)
SHARES
280,321
$
3,784,333
163,055
1,640,333
339,638
2,503,132
83,081
959,585
7,445
20,715
21,583
92,244
436,672
323,097
133
1,903
3,140
54,259
327
3,012
160,000
8,482
55,300
3,713,600
2,912
41,962
(Continued)
33
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
CLOSED END FUNDS - 2.4%
(continued)
Eaton Vance Enhanced Equity Income
Fund
Eaton Vance Enhanced Equity Income
Fund II
Eaton Vance Risk-Managed
Diversified Equity Income Fund
Eaton Vance Tax Managed Global Buy
Write Opportunities Fund
Eaton Vance Tax-Advantaged
Dividend Income Fund
Eaton Vance Tax-Advantaged Global
Dividend Opportunities Fund
Eaton Vance Tax-Managed Buy-Write
Income Fund
Eaton Vance Tax-Managed Buy-Write
Opportunities Fund
Eaton Vance Tax-Managed Diversified
Equity Income Fund
Eaton Vance Tax-Managed Global
Diversified Equity Income Fund
Ellsworth Fund Ltd.
First Opportunity Fund, Inc. †(a)
First Trust Aberdeen Global
Opportunity Income Fund †
First Trust Enhanced Equity Income
Fund
First Trust High Income Long/Short
Fund
Fort Dearborn Income Securities, Inc.
ING Global Equity Dividend &
Premium Opportunity Fund
ING Risk Managed Natural Resources
Fund (a)
Invesco Bond Fund
John Hancock Hedged Equity &
Income Fund
John Hancock Premium Dividend
Fund
John Hancock Tax-Advantaged
Dividend Income Fund
Lazard Global Total Return and
Income Fund, Inc.
Madison Covered Call & Equity
Strategy Fund
Montgomery Street Income Securities,
Inc.
Morgan Stanley Emerging Markets
Fund, Inc.
Morgan Stanley Income Securities,
Inc.
Nuveen Dividend Advantage Municipal
Fund 3
Nuveen Dividend Advantage Municipal
Income Fund
Nuveen Equity Premium Advantage
Fund
Nuveen Equity Premium and Growth
Fund
VALUE
(Note 2)
SHARES
142,387
$
1,644,570
165,738
1,905,987
438,453
4,779,138
323,849
3,601,201
951
17,365
21,749
487,613
20,915
303,477
18,282
238,580
432,411
4,397,620
792,051
8,274
26,788
7,342,313
63,379
219,394
670
10,338
25,296
318,983
465
4,612
8,165
66,228
45,040
422,025
5,724
40,233
61,934
737,471
32,145
542,929
3,703
49,102
1,438
27,063
8,522
139,249
CLOSED END FUNDS - 2.4%
(continued)
Nuveen Equity Premium Income Fund
Nuveen Global Value Opportunities
Fund
Nuveen Maryland Premium Income
Municipal Fund
Nuveen Preferred Income
Opportunities Fund
Nuveen Quality Preferred Income Fund
Nuveen Quality Preferred Income
Fund II
Nuveen Quality Preferred Income
Fund III
Petroleum & Resources Corp.
PIMCO Dynamic Credit Income Fund
Putnam High Income Securities Fund
Templeton Emerging Markets Fund
Transamerica Income Shares, Inc.
Tri-Continental Corp.
Wells Fargo Advantage Multi-Sector
Income Fund
Western Asset Global Corporate
Defined Opportunity Fund, Inc.
Western Asset Income Fund
Western Asset Worldwide Income
Fund, Inc. †
Zweig Fund, Inc.
$
VALUE
(Note 2)
239,006
2,269
29,293
414
5,548
3,093
19,949
29,538
165,577
132,729
1,156,070
11,078
46,971
175,446
11,189
2,418
7,037
6,492
93,277
1,206,215
4,019,468
88,393
42,315
145,103
116,337
433
6,348
60,535
5,701
1,100,526
73,372
1,162
15,253
15,211
195,543
TOTAL CLOSED END FUNDS
(cost $62,567,755)
65,179,286
PREFERRED STOCKS - 0.9%
53,957
427,879
851
13,752
13,440
192,730
Energy - 0.6%
Black Elk Energy, Class E (3)†(b)
Financials - 0.2%
Ally Financial, Inc., Perpetual Preferred
Stock 144A (2)†(a)(f)(p)
Flagstar Bancorp, Inc., Series C (3)†(b)
SLM Corp., Perpetual Preferred Stock,
Series A †(p)
United Community Banks, Inc. (3)†(b)
17,117,549
2,175
1,423
2,067,270
1,360,203
12,500
1,421
617,625
1,399,088
736
64,967
2,000
242,000
306,967
Utilities - 0.1%
Genie Energy Ltd., Perpetual Preferred
Stock, Series 12-A (2)(a)(j)(p)
31,979
544,602
977
12,945
690
9,211
37,890
467,563
RIGHTS - 0.0% (e)
13,620
187,956
Health Care - 0.0% (e)
American Medical Alert Corp. (3)†(b)
AQR Funds
17,117,549
5,444,186
Industrials - 0.0% (e)
Jack Cooper Holdings Corp. (3)†(b)
Jack Cooper Holdings Corp.,
Perpetual Preferred Stock
144A (3)†(b)(f)(j)(p)
218,975
TOTAL PREFERRED STOCKS
(cost $24,340,167)
The accompanying notes are an integral part of these financial statements.
34
SHARES
19,014
Semi-Annual Report
June 2013
1,751,800
24,620,502
283,523
2,835
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
VALUE
(Note 2)
SHARES
Information Technology - 0.0%
Gerber Scientific, Inc. (3)†(b)
879,944
$
TOTAL RIGHTS
(cost $-)
—
2,835
SHORT-TERM INVESTMENTS - 4.5%
U.S. Treasury Bill, 0.000%
12/12/2013 (a)(k)(2)
(cost $120,663,768)
756,000
743,407
120,664,273
1,058,400
1,040,770
2,099,170
Energy - 0.0% (e)
Camac Energy, Inc. (3)†(b)
Green Field Energy Services,
Inc. (3)†(b)
Harvest Natural Resources, Inc. (3)†(b)
Integrated Drilling Equipment Holdings
Corp. †
Pacific Ethanol, Inc. (3)†(b)
Plug Power, Inc. (3)†(b)
Syntroleum Corp. (3)†(b)
88,191
2,646
2,025
51,454
111,375
15,436
680,000
318,750
88,875
253,165
187,000
10,625
14,220
15,190
356,492
Financials - 0.8%
Andina Acquisition Corp. (3)†(a)(b)
Associated Banc-Corp †(a)
Australia Acquisition Corp.
(Australia) (3)†(b)
BGS Acquisition Corp. (Argentina) †(a)
Blue Wolf Mongolia Holdings
Corp. †(a)
Boston Private Financial Holdings,
Inc. †(a)
Chart Acquisition Corp. †
Collabrium Japan Acquisition Corp.
(United Kingdom) †
Comerica, Inc. †
Gerova Financial Group Ltd.
(Bermuda) (3)†(b)
Infinity Cross Border Acquisition Corp.
(Israel) (3)†(a)(b)
IVS Group (Luxembourg) (2)†
Lincoln National Corp. †
Lone Oak Acquisition Corp.
(Hong Kong) (3)†(b)
Nautilus Marine Acquisition Corp.
(Greece) (2)†
Neostem (3)†(b)
Prime Acquisition Corp. (China) †
SAExploration Holdings, Inc.
(Canada) †
SCG Financial Acquisition Corp. †
Financials - 0.8% (continued)
Selway Capital Acquisition
Corp. (3)†(b)
Signature Bank †
Texas Capital Bancshares, Inc. †
Valley National Bancorp †
Wintrust Financial Corp. †
414,792
107,610
16,077
49,509
415,782
$
642,928
5,728,080
472,825
34,656
7,554,759
19,286,023
120,700
WARRANTS - 1.1%
Consumer Discretionary - 0.1%
EveryWare Global, Inc. †
Hemisphere Media Group, Inc. †
VALUE
(Note 2)
SHARES
415,800
20,065
74,844
29,094
612,000
671,160
—
154,367
526,500
94,770
97,674
1,268,625
366,277
444,019
595,000
45,508
184,450
517,060
138,792
1,388
287,100
590,301
49,759
160,776
254,713
1,341,005
Health Care - 0.1%
Access Pharmaceuticals, Inc. (3)†(b)
Authentidate Holding Corp. (3)†(b)
Bionovo, Inc. (3)†(b)
Cormedix, Inc. †(a)
CryoPort, Inc. (3)†(b)
CytRx Corp. (3)†(b)
Galena Biopharma, Inc. (3)†(a)(b)
InspireMD, Inc. (United
Kingdom) (3)†(b)
IntelliPharmaCeutics International,
Inc., Series A (3)†(b)
MannKind Corp. †
Mast Therapeutics, Inc. (3)†(b)
Medgenics, Inc. (3)†(b)
Opexa Therapeutics, Inc. (3)†(b)
Pluristem Therapeutics, Inc.
(Israel) (3)†(b)
Pluristem Therapeutics, Inc. (Israel) †
Provectus Pharmaceuticals, Inc.,
Series A (3)†(b)
Provectus Pharmaceuticals, Inc.,
Series C (3)†(b)
ReGeneRx Biopharmaceuticals, Inc. †
Rexahn Pharmaceuticals, Inc. (3)†(b)
Rosetta Genomics Ltd. (Israel) (3)†(b)
RXi Pharmaceuticals Corp. (3)†(b)
Synergy Pharmaceuticals, Inc. (3)†(b)
Venaxis, Inc. (2)†
Zogenix, Inc. (3)†(b)
68,407
1,377,760
39,373
75,400
1,704,825
2,268,000
510,000
—
91,298
—
16,965
51,145
—
397,800
67,911
2,037
220,000
425,000
103,750
34,000
47,362
70,400
1,281,375
—
13,260
1,421
173,242
63,750
107,410
17,850
881,558
185,127
617,090
240,000
1,402,500
688,211
144,175
82,000
24,000
38,250
129,589
24
266,475
13,764
253,748
83,640
2,880
14,535
3,000,743
328,820
85,822
777,600
243,000
423,001
54,432
14,580
114,210
456,000
631,210
456,000
504,968
Industrials - 0.0% (e)
China Wood, Inc. (3)†(b)
Jack Cooper Holdings Corp. (3)†(a)(b)
Pingtan Marine Enterprise Ltd.
(China) (2)†
Spherix, Inc. (3)†(b)
—
233,415
395,000
196,441
79,000
—
312,415
Information Technology - 0.1%
exceet Group SE (Germany) (3)†(b)
Global Eagle Entertainment, Inc. (2)†
Magic Software Enterprises Ltd.
(Israel) (3)†(b)
Microvision, Inc. (3)†(b)
Net Element International, Inc.
(Bulgaria) †
Orckit Communications Ltd.
(Israel) (3)†(b)
The accompanying notes are an integral part of these financial statements.
AQR Funds
94,000
2,223
Semi-Annual Report
June 2013
72,000
1,382,500
937
2,212,000
132,782
42,000
67,719
46,200
319,668
191,801
84,282
—
(Continued)
35
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
SHARES
Information Technology - 0.1% (continued)
SinoHub, Inc. (China) (3)†(b)
267,392
Transwitch Corp. (3)†(b)
640,000
VALUE
(Note 2)
$
—
57,600
2,576,257
Materials - 0.0% (e)
Aurcana Corp. (Canada) (3)†(b)
Cereplast, Inc. (3)†(b)
China Shen Zhou Mining &
Resources, Inc. (China) (3)†(b)
Coeur Mining, Inc.
Edgewater Exploration Ltd.
(Canada) (3)†(b)
Energy Fuels, Inc. (Canada) (3)†(b)
Golden Minerals Co. (3)†(b)
Kangaroo Resources Ltd.
(Australia) (3)†(b)
Plastec Technologies Ltd. (Hong
Kong) (2)†
623,387
64,539
6,234
—
66,762
32,250
—
43,544
250,000
360,000
73,912
—
—
12,565
24,137,931
—
56,004
2,800
65,143
Utilities - 0.0% (e)
China Hydroelectric Corp. (China) †
Electrawinds SE (Germany) †
24,500
621,000
735
363,746
364,481
TOTAL WARRANTS
(cost $11,825,195)
MONEY MARKET FUNDS - 25.3%
BlackRock Liquidity Funds
TempFund Portfolio - Institutional
Shares, 0.457% (2)(l)
Dreyfus Treasury Cash Management,
Class I, 0.010% (2)(l)
J.P. Morgan Prime Money Market
Fund - Capital Shares, 0.062% (2)(l)
J.P. Morgan U.S. Treasury Plus
Money Market Fund - Institutional
Shares, 0.000% (2)(l)(m)
UBS Money Series - UBS Select
Treasury Preferred Fund, Class I,
0.010% (2)(l)
28,060,724
5,088,037
5,088,037
20,352,150
20,352,150
305,796,620
322,656,166
322,656,166
25,440,187
25,440,187
TOTAL MONEY MARKET FUNDS
(cost $679,333,160)
679,333,160
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES ON LOAN - 0.0% (e)
BlackRock Liquidity Funds
TempFund Portfolio - Institutional
Shares, 0.046% (2)(l)(n)
(cost $115,553)
115,553
PURCHASED OPTIONS - 1.2%
Put - Knight Capital Group, Inc.,
Expires 07/20/2013, Strike $9.00
Put - Pfizer, Inc., Expires
07/20/2013, Strike $35.00
305,796,620
115,553
CONTRACTS/
NOTIONAL
PURCHASED OPTIONS - 1.2%
(continued)
Put - Sprint Nextel Corp., Expires
01/18/2014, Strike $10.00
Put - SUPERVALU, Inc., Expires
07/20/2013, Strike $5.00 (3)(b)
Put - Zoetis, Inc., Expires
07/20/2013, Strike $40.00
Consumer Discretionary - (10.1)%
Comcast Corp., Class A
CST Brands, Inc. †
Discovery Communications, Inc.,
Class A †
Lennar Corp., Class A
Liberty Global PLC, Class A (United
Kingdom) †
Liberty Global PLC, Class C (United
Kingdom) †
M/I Homes, Inc. †
Meritage Homes Corp. †
News Corp., Class A †
Standard Pacific Corp. †
TUI AG (Germany) (2)†
Twenty-First Century Fox, Inc.
$
1,696,464
5,951
59,510
6,653
6,120,760
31,913,684
TOTAL INVESTMENTS, BEFORE SECURITIES
SOLD SHORT
(cost $2,686,271,336)
SECURITIES SOLD
SHORT - (21.9)%
COMMON STOCKS - (20.6)%
VALUE
(Note 2)
2,729,224,403
SHARES
(782,942)
(9,413)
(32,789,611)
(290,015)
(408,458)
(8,476)
(31,537,042)
(305,475)
(777,082)
(57,566,235)
(120,894)
(91,043)
(24,688)
(1,006,144)
(89,297)
(504,315)
(4,024,583)
(8,207,494)
(2,090,347)
(1,070,472)
(15,394,003)
(743,844)
(5,982,876)
(116,672,661)
(272,650,075)
Consumer Staples - (0.2)%
Central Garden and Pet Co.,
Class A †
SUPERVALU, Inc. †
Universal Corp.
Vector Group Ltd.
WhiteWave Foods Co., Class A †
(1,232)
(30,000)
(12,936)
(213,050)
(2,919)
(8,501)
(186,600)
(748,347)
(3,455,671)
(47,434)
(4,446,553)
Energy - (0.6)%
Alpha Natural Resources, Inc. †
Cal Dive International, Inc. †
Cobalt International Energy, Inc. †
Contango Oil & Gas Co.
Petrominerales Ltd. (Canada)
Polarcus Ltd. (Norway) (2)†
Sanchez Energy Corp. †
Vantage Drilling Co. †
ZaZa Energy Corp. †
(57,207)
(736,554)
(91,192)
(13,880)
(103,939)
(155,079)
(362,000)
(1,356,219)
(164,657)
(299,765)
(1,384,722)
(2,422,971)
(468,450)
(591,098)
(126,656)
(8,311,520)
(2,766,687)
(197,588)
(16,569,457)
508
33,920
34,787
24,003,030
AQR Funds
5,544
TOTAL PURCHASED OPTIONS
(cost $31,368,348)
Financials - (6.3)%
Associated Banc-Corp
AV Homes, Inc. †
The accompanying notes are an integral part of these financial statements.
36
CONTRACTS/
NOTIONAL
Semi-Annual Report
June 2013
(7,797)
(122,405)
(121,243)
(2,170,241)
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
VALUE
(Note 2)
SHARES
Financials - (6.3)% (continued)
Boston Private Financial Holdings, Inc.
CNO Financial Group, Inc.
Comerica, Inc.
Encore Capital Group, Inc. †
Fidelity National Financial, Inc.,
Class A
FNB Corp.
IntercontinentalExchange, Inc. †
Investors Bancorp, Inc.
iStar Financial, Inc. REIT †
KCAP Financial, Inc.
Lincoln National Corp.
M&T Bank Corp.
MBIA, Inc. †
Meadowbrook Insurance Group, Inc.
MGIC Investment Corp. †
Mid-America Apartment Communities,
Inc. REIT
PacWest Bancorp
PMI Group, Inc./The †
Radian Group, Inc.
Renasant Corp.
SCBT Financial Corp.
Signature Bank †
Texas Capital Bancshares, Inc. †
TICC Capital Corp.
Valley National Bancorp
Wintrust Financial Corp.
(77,016)
(874,684)
(29,280)
(105,093)
$
(819,450)
(11,335,905)
(1,166,222)
(3,479,629)
(97,404)
(252,676)
(190,805)
(109,397)
(176,111)
(72,757)
(49,197)
(502,658)
(217,894)
(199,047)
(608,833)
(2,319,189)
(3,052,326)
(33,917,497)
(2,306,089)
(1,988,293)
(819,244)
(1,794,215)
(56,172,032)
(2,900,169)
(1,598,347)
(3,695,616)
(91,414)
(1)
(263)
(270,764)
(1,791)
(108,616)
(104,027)
(15,429)
(71,362)
(13,981)
(359,818)
(6,195,127)
(31)
(17)
(3,146,278)
(43,593)
(5,473,160)
(8,636,322)
(684,430)
(686,502)
(132,400)
(13,773,833)
(168,427,400)
Health Care - (1.9)%
Accuray, Inc. †
Actavis, Inc. †
Affymetrix, Inc. †
Covidien PLC (Ireland) †
Cynosure, Inc., Class A †
Exelixis, Inc. †
Mallinckrodt PLC (Ireland) †
Sequenom, Inc. †
Theravance, Inc. †
Zoetis, Inc.
(347,478)
(113,244)
(89,948)
(218,075)
(178,907)
(420,980)
(27,259)
(454,955)
(50,098)
(322,697)
(1,994,524)
(14,293,658)
(399,369)
(12,473,890)
(4,648,004)
(1,911,249)
(1,238,376)
(1,915,361)
(1,930,276)
(9,968,110)
(50,772,817)
Industrials - (0.5)%
Ceco Environmental Corp.
Genesee & Wyoming, Inc., Class A †
JetBlue Airways Corp. †
MasTec, Inc. †
(119,686)
(14,200)
(379,283)
(224,970)
(1,472,138)
(1,204,728)
(2,389,483)
(7,401,513)
(12,467,862)
Information Technology - (0.3)%
Blucora, Inc. †
GT Advanced Technologies, Inc. †
Integrated Device Technology, Inc. †
Molex, Inc.
Salesforce.com, Inc. †
Trulia, Inc. †
(31,539)
(314,859)
(147,205)
(127,080)
(23,528)
(66)
(584,733)
(1,306,665)
(1,168,808)
(3,728,527)
(898,299)
(2,052)
(7,689,084)
Materials - (0.2)%
Cliffs Natural Resources, Inc.
Coeur Mining, Inc. †
New Gold, Inc. (Canada) †
RTI International Metals, Inc. †
Stillwater Mining Co. †
(51,653)
(6,686)
(639,738)
(30,800)
(71,650)
$
(839,361)
(88,924)
(4,142,451)
(853,468)
(769,521)
(6,693,725)
Telecommunication Services - (0.5)%
Clearwire Corp., Class A †
Level 3 Communications, Inc. †
United States Cellular Corp.
(6,300)
(523,486)
(37,056)
(31,374)
(11,035,085)
(1,359,584)
(12,426,043)
TOTAL COMMON STOCKS SOLD SHORT
(proceeds $508,866,274)
(552,143,016)
CLOSED END FUNDS - 0.0% (d)
Montgomery Street Income
Securities, Inc.
(proceeds $1,473)
EXCHANGE TRADED FUNDS - (0.8)%
SPDR Barclays High Yield Bond ETF
SPDR S&P 500 ETF Trust
(85)
(1,373)
(527,478)
(6,051)
(20,830,106)
(968,221)
TOTAL EXCHANGE TRADED
FUNDS SOLD SHORT
(proceeds $22,390,410)
(21,798,327)
PREFERRED STOCKS - (0.5)%
Consumer Discretionary - (0.5)%
Volkswagen AG (Germany) (2)
(proceeds $13,734,005)
(67,195)
(13,572,295)
TOTAL SECURITIES SOLD SHORT
(proceeds $544,992,162)
(587,515,011)
TOTAL INVESTMENTS, NET OF SECURITIES
SOLD SHORT - 79.8%
(cost $2,141,279,174)
2,141,709,392
OTHER ASSETS IN EXCESS OF
LIABILITIES - 20.2% (o)
NET ASSETS - 100.0%
542,050,209
$2,683,759,601
† Non income-producing security.
(a) All or a portion of this security has been segregated as collateral for
securities sold short and can be sold or replaced subject to the
broker’s right to re-hypothecate. At June 30, 2013, the value of
these securities was $353,458,297. In addition, $422,200,171 of
cash collateral was pledged.
(b) Security fair valued at as of June 30, 2013 using procedures
approved by the Board of Trustees. The total value of positions fair
valued was $117,604,737 or 4.4% of total net assets.
(c) All or a portion of the security on loan. The aggregate market value
of such securities is $51,999; cash collateral of $115,553 was
received with which the Fund purchased a money market fund.
(d) Represents a Pay-in-Kind Stock.
(e) Represents less than 0.05 percent of net assets.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
(Continued)
37
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
(f)
(g)
(h)
(i)
(j)
(k)
(l)
(m)
(n)
(o)
(p)
Rule 144A, Section 4(2) or other security which is restricted as to
resale to institutional investors. The Fund Adviser has deemed this
security to be liquid based upon procedures approved by the
Board of Trustees.
Defaulted security.
Represents a Pay-in-Kind Bond.
Represents a step bond. The rate shown reflects the yield at
June 30, 2013.
Indicates a variable rate security. The interest rate shown
represents the discount rate at June 30, 2013.
The rate shown is the effective yield at the date of purchase.
Represents annualized seven-day yield as of June 30, 2013.
A portion of the security is pledged as collateral to the brokers for
forward foreign exchange, futures and swap contracts.
Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
Includes appreciation on forward foreign currency exchange,
futures contracts and swap contracts.
Security is perpetual and, thus, does not have a predetermined
maturity date. The coupon rate for this security is fixed for a period
of time and may be structured to adjust thereafter. The date shown,
if applicable, reflects the next call date. The coupon rate shown is
the rate in effect as of June 30, 2013.
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 4).
(3) Level 3 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
EUR - Euro
MTN - Medium Term Note
NOK - Norwegian Krone
REIT - Real Estate Investment Trust
Credit default swap contracts buy protection as of June 30, 2013:
REFERENCE
COUNTERPARTY ENTITY
Exchange Cleared
CitiBank, Inc.
Markit CDX North
America High Yield
Index Series 20
Over the Counter
Bank of America
Host Hotels &
Resorts LP
FIXED
ANNUAL
RATE
RECEIVED
BY FUND
CURRENCY
5.000%
USD
4.290% (144,100,000)
1.000%
USD
0.560%
CREDIT
SPREAD
NOTIONAL
AMOUNT
UPFRONT
PREMIUM
UNREALIZED
(RECEIVED) TERMINATION
APPRECIATION
PAID
DATE (DEPRECIATION)
$(4,157,531)
06/20/2018
$(384,428)
$96,976
12/20/2015
$(135,091)
(3,450,000)
$(4,060,555)
$(519,519)
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $622. Additional cash held
as collateral with CitiBank was $10,313,986 at June 30, 2013.
Open written options contracts outstanding at June 30, 2013:
Call options written
SHARES
ISSUER
13,945
Clearwire Corp.
(Exercise price $3)
Clearwire Corp.
(Exercise price $4)
Dell, Inc.
(Exercise price $13)
10,405
1,764
COUNTERPARTY
EXPIRATION DATE
PROCEEDS
VALUE AT
JUNE 30,
2013
J.P. Morgan
September 21, 2013
$(585,690)
$(2,719,275)
$(2,133,585)
J.P. Morgan
December 21, 2013
(71,055)
(988,475)
(917,420)
J.P. Morgan
August 17, 2013
(128,772)
(109,368)
19,404
The accompanying notes are an integral part of these financial statements.
38
AQR Funds
Semi-Annual Report
June 2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
SHARES
ISSUER
136
Knight Capital
Group, Inc.
(Exercise price $5)
Knight Capital
Group, Inc.
(Exercise price $4)
Pfizer, Inc.
(Exercise price $35)
Sprint Nextel Corp.
(Exercise price $10)
SUPERVALU, Inc.
(Exercise price $5)
Zoetis, Inc.
(Exercise price $40)
372
34,786
5,545
5,651
6,653
EXPIRATION DATE
PROCEEDS
VALUE AT
JUNE 30,
2013
J.P. Morgan
July 20, 2013
$—
$(544)
$(544)
J.P. Morgan
July 20, 2013
(510)
(1,488)
(978)
J.P. Morgan
July 20, 2013
(75,772)
(34,786)
40,986
J.P. Morgan
January 18, 2014
(41,551)
(22,180)
19,371
J.P. Morgan
July 20, 2013
—
(762,885)
(762,885)
J.P. Morgan
July 20, 2013
(76,487)
(19,959)
56,528
$(979,837)
$(4,658,960)
$(3,679,123)
COUNTERPARTY
UNREALIZED
APPRECIATION
(DEPRECIATION)
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF
CONTRACTS
DESCRIPTION
Short Contracts:
2,140
S&P 500 E-Mini Futures
1,227
U.S. Treasury 2-Year Note Futures
251
U.S. Treasury 5-Year Note Futures
EXPIRATION
DATE
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
September 20, 2013
September 30, 2013
September 30, 2013
$(174,356,380)
(270,372,885)
(30,906,880)
$(171,125,100)
(269,940,000)
(30,382,766)
$3,231,280
432,885
524,114
$(475,636,145)
$(471,447,866)
$4,188,279
Cash held as collateral with broker for futures contracts was $4,608,026 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
PURCHASE
CONTRACTS
Canadian Dollar,
Expiring 08/07/13
Euro,
Expiring 09/06/13
Norwegian Krone,
Expiring 07/09/13
Norwegian Krone,
Expiring 10/09/13
CURRENCY
AMOUNT
PURCHASED
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
COUNTERPARTY
CURRENCY
The Royal Bank of Scotland
CAD
4,851,774
$4,715,724
$4,609,175
$(106,549)
The Royal Bank of Scotland
EUR
1,499,738
1,987,153
1,952,713
(34,440)
The Royal Bank of Scotland
NOK
406,088
69,760
66,837
(2,923)
The Royal Bank of Scotland
NOK
410,550
70,292
67,346
(2,946)
$6,842,929
$6,696,071
$(146,858)
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
39
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
SALES
CONTRACTS
Australian Dollar,
Expiring 12/31/13
Canadian Dollar,
Expiring 07/15/13
Canadian Dollar,
Expiring 08/07/13
Canadian Dollar,
Expiring 10/04/13
Canadian Dollar,
Expiring 12/27/13
Euro,
Expiring 07/02/13
Euro,
Expiring 09/06/13
Euro,
Expiring 09/18/13
Euro,
Expiring 12/04/13
Euro,
Expiring 12/13/13
Euro,
Expiring 12/31/13
Euro,
Expiring 04/07/14
Euro,
Expiring 06/09/14
Euro,
Expiring 06/27/14
Euro,
Expiring 04/07/15
Euro,
Expiring 06/09/15
Euro,
Expiring 11/09/15
Euro,
Expiring 04/05/16
Euro,
Expiring 04/05/17
Norwegian Krone,
Expiring 07/09/13
Norwegian Krone,
Expiring 09/16/13
Norwegian Krone,
Expiring 09/27/13
Norwegian Krone,
Expiring 10/09/13
Norwegian Krone,
Expiring 11/18/13
Norwegian Krone,
Expiring 12/11/13
Norwegian Krone,
Expiring 12/18/13
Norwegian Krone,
Expiring 12/27/13
Norwegian Krone,
Expiring 03/27/14
CURRENCY
AMOUNT
SOLD
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
COUNTERPARTY
CURRENCY
The Royal Bank of Scotland
AUD
(275,541)
$(278,296)
$(248,777)
$29,519
The Royal Bank of Scotland
CAD
(20,179,600)
(19,236,193)
(19,181,556)
54,637
The Royal Bank of Scotland
CAD
(29,592,710)
(28,906,356)
(28,111,996)
794,360
The Royal Bank of Scotland
CAD
(4,902,323)
(4,650,096)
(4,648,859)
1,237
The Royal Bank of Scotland
CAD
(168,314)
(159,888)
(159,343)
545
The Royal Bank of Scotland
EUR
(259,533)
(336,906)
(337,821)
(915)
The Royal Bank of Scotland
EUR
(14,023,715)
(18,351,588)
(18,259,382)
92,206
The Royal Bank of Scotland
EUR
(4,793,643)
(6,293,193)
(6,241,841)
51,352
The Royal Bank of Scotland
EUR
(2,411,123)
(3,156,434)
(3,140,179)
16,255
The Royal Bank of Scotland
EUR
(2,761,147)
(3,627,656)
(3,596,975)
30,681
The Royal Bank of Scotland
EUR
(18,000)
(23,720)
(23,451)
269
The Royal Bank of Scotland
EUR
(21,000)
(27,733)
(27,377)
356
The Royal Bank of Scotland
EUR
(742,500)
(954,016)
(968,435)
(14,419)
The Royal Bank of Scotland
EUR
(326,437)
(426,548)
(425,827)
721
The Royal Bank of Scotland
EUR
(21,000)
(27,804)
(27,471)
333
The Royal Bank of Scotland
EUR
(742,500)
(956,986)
(971,918)
(14,932)
The Royal Bank of Scotland
EUR
(311,240)
(401,618)
(409,164)
(7,546)
The Royal Bank of Scotland
EUR
(21,000)
(27,886)
(27,729)
157
The Royal Bank of Scotland
EUR
(21,000)
(28,010)
(28,029)
(19)
The Royal Bank of Scotland
NOK
(1,173,142)
(202,413)
(193,083)
9,330
The Royal Bank of Scotland
NOK
(6,745,753)
(1,166,288)
(1,107,460)
58,828
The Royal Bank of Scotland
NOK
(368,000)
(59,686)
(60,391)
(705)
The Royal Bank of Scotland
NOK
(1,186,033)
(203,939)
(194,556)
9,383
The Royal Bank of Scotland
NOK
(978,750)
(166,612)
(160,336)
6,276
The Royal Bank of Scotland
NOK
(1,397,358)
(225,770)
(228,733)
(2,963)
The Royal Bank of Scotland
NOK
(51,000,000)
(8,733,470)
(8,346,192)
387,278
The Royal Bank of Scotland
NOK
(364,000)
(58,852)
(59,551)
(699)
The Royal Bank of Scotland
NOK
(360,000)
(58,013)
(58,726)
(713)
The accompanying notes are an integral part of these financial statements.
40
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
SALES
CONTRACTS
Norwegian
Krone,
Expiring 05/19/14
Norwegian
Krone,
Expiring 06/11/14
Norwegian
Krone,
Expiring 06/27/14
Norwegian
Krone,
Expiring 09/29/14
Norwegian
Krone,
Expiring 11/18/14
Norwegian
Krone,
Expiring 12/11/14
Norwegian
Krone,
Expiring 12/29/14
Norwegian
Krone,
Expiring 03/27/15
Norwegian
Krone,
Expiring 06/11/15
Norwegian
Krone,
Expiring 06/29/15
Norwegian
Krone,
Expiring 04/27/16
CURRENCY
AMOUNT
SOLD
VALUE AT
SETTLEMENT
DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
(DEPRECIATION)
COUNTERPARTY
CURRENCY
The Royal Bank of Scotland
NOK
(978,750)
$(164,808)
$(159,396)
$5,412
The Royal Bank of Scotland
NOK
(1,389,722)
(222,926)
(226,163)
(3,237)
The Royal Bank of Scotland
NOK
(368,000)
(59,102)
(59,858)
(756)
The Royal Bank of Scotland
NOK
(368,000)
(58,875)
(59,696)
(821)
The Royal Bank of Scotland
NOK
(17,178,750)
(2,863,290)
(2,782,665)
80,625
The Royal Bank of Scotland
NOK
(1,397,358)
(222,594)
(226,198)
(3,604)
The Royal Bank of Scotland
NOK
(364,000)
(58,017)
(58,892)
(875)
The Royal Bank of Scotland
NOK
(360,000)
(57,174)
(58,096)
(922)
The Royal Bank of Scotland
NOK
(26,889,722)
(4,251,474)
(4,329,818)
(78,344)
The Royal Bank of Scotland
NOK
(12,368,000)
(1,956,652)
(1,990,667)
(34,015)
The Royal Bank of Scotland
NOK
(19,387,600)
(3,266,931)
(3,106,531)
160,400
(111,927,813)
(110,303,138)
1,624,675
$(105,084,884)
$(103,607,067)
$1,477,817
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $8,781. Additional cash held as collateral
for Royal Bank of Scotland was $1,630,000.
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
NOK - Norwegian Krone
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
41
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
Deutsche Bank
The Fund receives or pays the total return on a portfolio of long and short
positions and pays or receives a specified LIBOR or Federal Funds
floating rate, which is denominated in various foreign currencies based on
the local currencies of the positions within the swaps.
06/19/2014
*
VALUE
(NOTE 2)
$98,082
See the accompanying “Additional Information — Total Return Basket Swaps” for further details.
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of
June 30, 2013.
REFERENCE
ENTITY
Short Positions
United Kingdom
TUI Travel PLC
NET
UNREALIZED
APPRECIATION
SHARES NOTIONAL (a) (DEPRECIATION)
(743,844)
$(3,959,593)
$(73,364)
(a) Notional value represents the market value (including any fees or
commissions) of the long and short positions when they are
established.
(c) Cash and other receivables/(payables) includes the gains (or losses)
realized within the swap when the swap resets. Gains (or losses)
will be realized on the swap, and reflected on the Statement of
Operations, when cash is settled with the counterparty.
Money Market Fund held as collateral was $3,032,680 at June 30, 2013.
Net Cash and Other
Receivables/
(Payables) (c)
171,446
Swaps, at Value
$ 98,082
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
COUNTERPARTY
DESCRIPTION
TERMINATION
DATE
JPMorgan
The Fund receives or pays the total return on a portfolio of
long and short positions and pays or receives a specified
LIBOR or Federal Funds floating rate, which is denominated
in various foreign currencies based on the local currencies of
the positions within the swaps.
09/16/2013 - 08/04/2014
*
VALUE
(NOTE 2)
$36,991,864
See the accompanying “Additional Information — Total Return Basket Swaps” for further details.
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of
June 30, 2013.
The accompanying notes are an integral part of these financial statements.
42
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
REFERENCE
ENTITY
Long Positions
United States
2010 Swift
Mandatory Common
Exchange Security
Trust
Alpha Natural
Resources, Inc.
Beazer Homes USA,
Inc.
Boston Properties,
Inc.
Cliffs Natural
Resources, Inc.
CNO Financial
Group, Inc.
Energy XXI, Inc.
Genesee & Wyoming,
Inc.
GT Advanced
Technologies, Inc.
Interpublic Group of
Cos, Inc./The
JetBlue Airways
Corp.
Level 3
Communications, Inc.
NextEra Energy, Inc.
PPL Corp.
Sanchez Energy
Corp.
Thompson Creek
Metals Co., Inc.
Universal Corp.
Whiting Petroleum
Corp.
Wintrust Financial
Corp.
NET
UNREALIZED
APPRECIATION
SHARES NOTIONAL (a) (DEPRECIATION)
79,775
$
1,090,333
$
10,411
6,130
32,925
(804)
40,300
952,289
226,083
132
2,545
11,377
34,882
728,706
(161,873)
367
9,535
3,864
3,414,722
893
(905,825)
824
67,451
2,457
23,722
87,469
10,978
3,000
3,094,500
738,000
5,578
34,541
601
133,455
294,225
305,325
2,846,832
15,261,477
16,635,551
(33,600)
1,332,813
(633,467)
67,500
3,945,530
(55,843)
226,250
8,350
3,738,781
9,103,587
(35,069)
1,605,288
1,144
241,241
2,288
100,625
5,487,125
(42,306)
Total of Long Equity
Positions
2,072,402
Short Positions
United Kingdom
Liberty Global PLC
United States
3D Systems Corp.
A.M. Castle & Co.
Accuray, Inc.
Affymetrix, Inc.
Alcoa, Inc.
Alliance Data
Systems Corp.
Alliance One
International, Inc.
(90,893)
(2,153,023)
(4,580,330)
(786,830)
(83,200)
(174,158)
(253,516)
(446,706)
(22,711,651)
(843,137)
(889,041)
(994,714)
(3,953,009)
(11,830,186)
(468,094)
(110,626)
(130,897)
459,768
(220,747)
(28,979,666)
(10,982,163)
(362,470)
(1,295,847)
(81,539)
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
SHARES NOTIONAL (a) (DEPRECIATION)
United States (continued)
American Equity
Investment Life
Holding Co.
(1,650,286) $(20,168,562)
$ (5,740,928)
Amkor Technology,
Inc.
(1,701,686)
(8,129,023)
964,925
Annaly Capital
Management, Inc.
(2,495)
(32,453)
1,091
ArcelorMittal
(2,433)
(31,970)
4,721
Archer-DanielsMidland Co.
(3,845)
(131,000)
616
ARES Captial Corp.
(94,020)
(1,631,525)
14,381
AuRico Gold, Inc.
(64,104)
(390,450)
110,316
AV Homes, Inc.
(118,327)
(1,554,555)
(543,382)
Avis Budget Group,
Inc.
(432,616)
(8,875,125)
(3,562,585)
Beazer Homes USA,
Inc.
(56,975)
(778,365)
(219,837)
BioMed Realty Trust,
Inc.
(358,085)
(7,124,343)
(119,716)
BlackRock Kelso
Capital Corp.
(32,530)
(321,432)
16,952
Blucora, Inc.
(20,665)
(358,456)
(24,673)
Bristow Group, Inc.
(10,827)
(692,592)
(14,627)
Cadence Design
Systems, Inc.
(885,585)
(11,284,021)
(1,539,250)
Cal Dive International,
Inc.
(98,974)
(199,990)
13,919
CBIZ, Inc.
(116,171)
(706,424)
(73,084)
Cemex SAB de CV
(1,543,102)
(17,016,192)
690,173
Cenveo, Inc.
(293,443)
(636,999)
11,965
Chart Industries, Inc.
(88,281)
(6,482,904)
(1,823,455)
China Medical
Technologies, Inc.
(45,264)
(129,002)
128,550
Chiquita Brands
International, Inc.
(35,099)
(257,247)
(126,034)
Ciena Corp.
(516,961)
(8,326,120)
(1,713,263)
Cobalt International
Energy, Inc.
(145)
(3,877)
24
Coinstar, Inc.
(48,557)
(2,495,577)
(353,262)
Concur
Technologies, Inc.
(3,496)
(244,893)
(39,611)
Convergys Corp.
(590,993)
(9,237,921)
(1,063,087)
Crimson Wine Group
Ltd.
(913)
(5,694)
(2,080)
DDR Corp.
(509,313)
(8,896,375)
416,313
DFC Global Corp.
(19,884)
(326,137)
51,539
Digital Realty Trust,
Inc.
(205,650)
(15,329,620)
2,784,970
DR Horton, Inc.
(797,160)
(16,888,337)
(75,228)
DST Systems, Inc.
(20,306)
(1,152,449)
(174,142)
Electronic Arts, Inc.
(73,554)
(1,687,611)
(1,925)
Energy XXI, Inc.
(63,855)
(2,064,888)
648,584
Equinix, Inc.
(151,967)
(27,976,781)
(94,563)
Espeed, Inc.
(37,266)
(211,414)
(8,083)
Exelixis, Inc.
(92,949)
(443,406)
21,418
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
43
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
SHARES NOTIONAL (a) (DEPRECIATION)
United States (continued)
Exterran Holdings,
Inc.
(129,375) $ (3,141,268)
$
(496,757)
Fifth & Pacific Cos.,
Inc.
(1,747,763)
(21,087,760)
(17,957,266)
Finisar Corp.
(30,913)
(450,633)
(73,343)
GenCorp, Inc.
(381,270)
(4,584,238)
(1,615,212)
General Cable Corp.
(230,178)
(6,977,257)
(100,716)
Goodrich Petroleum
Corp.
(4,472)
(59,555)
2,313
Green Plains
Renewable Energy,
Inc.
(180,239)
(1,953,087)
(447,696)
Group 1 Automotive,
Inc.
(58,314)
(3,299,821)
(451,519)
Hawaiian Holdings,
Inc.
(24,360)
(147,777)
(1,063)
Health Care REIT,
Inc.
(43,943)
(2,873,227)
(72,272)
Hertz Global
Holdings, Inc.
(2,138,764)
(28,149,077)
(24,892,270)
Hilltop Holdings, Inc.
(116,478)
(1,950,265)
40,025
Hornbeck Offshore
Services, Inc.
(68,726)
(3,612,058)
(64,783)
Host Hotels &
Resorts, Inc.
(1,521,652)
(24,207,632)
(1,462,637)
Interpublic Group of
Cos., Inc./The
(61,314)
(807,858)
(84,261)
iStar Financial, Inc.
(168,497)
(1,743,296)
(159,035)
JAKKS Pacific, Inc.
(145,436)
(2,332,793)
696,638
Kaman Corp.
(75,087)
(2,522,779)
(72,228)
KCAP Financial, Inc.
(278,893)
(2,942,837)
(197,498)
Kilroy Realty Corp.
(193,329)
(9,356,275)
(892,096)
L-3 Communications
Holdings, Inc.
(19,077)
(1,395,831)
(239,831)
Lennar Corp.
(1,191,754)
(42,186,920)
(763,895)
Leucadia National
Corp.
(9,539)
(233,922)
(16,190)
Lexington Realty
Trust
(947,571)
(9,245,875)
(1,821,754)
Liberty Global PLC
(67,868)
(1,515,287)
(3,092,272)
M/I Homes, Inc.
(20,969)
(524,272)
42,824
MasTec, Inc.
(60,472)
(1,671,024)
(318,504)
Meadowbrook
Insurance Group, Inc.
(11,214)
(89,193)
(855)
Medicines Co./The
(23,335)
(641,982)
(75,803)
Meritage Homes
Corp.
(1,703)
(74,655)
813
Meritor, Inc.
(30,983)
(184,790)
(33,640)
MGIC Investment
Corp.
(435,924)
(2,039,793)
(606,266)
MGM Resorts
International
(173,200)
(2,488,679)
(71,217)
Microchip
Technology
(379,449)
(13,316,455)
(818,021)
Micron Technology,
Inc.
(1,541,251)
(17,790,104)
(4,296,023)
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
SHARES NOTIONAL (a) (DEPRECIATION)
United States (continued)
Molina Healthcare,
Inc.
(46,142) $ (1,374,550)
$
(341,009)
Navistar International
Corp.
(4,873)
(165,179)
29,904
NextEra Energy, Inc.
(128,023)
(9,275,772)
(1,155,542)
NorthStar Realty
Finance Corp.
(232,327)
(1,877,733)
(236,443)
Nuance
Communications,
Inc.
(9,010)
(196,088)
30,484
Omnicare, Inc.
(82,318)
(2,750,564)
(1,176,828)
Pdl Biopharma, Inc.
(229,658)
(1,685,251)
(87,708)
Penson Worldwide,
Inc.
(217,523)
(25,668)
24,689
PHH Corp.
(571,848)
(11,653,944)
(318)
Photronics, Inc.
(389,476)
(2,420,339)
(718,837)
PPL Corp.
(531,448)
(16,204,997)
123,380
priceline.com, Inc.
(23,112)
(13,532,716)
(5,583,913)
Prologis, Inc.
(1,497)
(66,240)
9,774
Quantum Corp.
(814,594)
(1,072,202)
(43,791)
Radian Group, Inc.
(1,052,823)
(11,813,860)
(419,944)
Regeneron
Pharmaceuticals, Inc.
(137,675)
(20,335,386)
(10,624,968)
Regis Corp.
(438,419)
(7,743,240)
544,400
Rite Aid Corp.
(85,193)
(179,102)
(64,550)
RTI International
Metals, Inc.
(77,012)
(2,150,478)
16,475
Ryman Hospitality
Properties
(589,146)
(20,325,093)
(2,657,492)
Saks, Inc.
(144,470)
(1,591,796)
(378,774)
Salesforce.com, Inc.
(881,981)
(32,803,276)
(870,759)
Sanchez Energy
Corp.
(151,704)
(3,480,541)
(2,583)
Sequenom, Inc.
(795,356)
(3,296,294)
(52,155)
Silver Standard
Resources, Inc.
(18,750)
(136,075)
17,200
Sirius XM Radio
(10,216,541)
(28,611,462)
(5,613,950)
SL Green Realty
Corp.
(125,296)
(10,342,735)
(707,120)
Smithfield Foods, Inc.
(143,531)
(3,686,581)
(1,014,060)
Standard Pacific
Corp.
(110,585)
(907,565)
(13,608)
Stewart Information
Services Corp.
(461,277)
(9,140,334)
(2,940,511)
Stillwater Mining Co.
(7,761)
(92,922)
9,568
SunPower Corp.
(65,581)
(1,332,008)
(25,519)
Swift Transportation
Co.
(55,920)
(897,914)
(27,003)
SYNNEX Corp.
(155,185)
(5,539,010)
(1,022,212)
Take-Two Interactive
Software, Inc.
(88,525)
(1,384,296)
59,076
Terex Corp.
(620,262)
(15,296,761)
(1,016,130)
Theravance, Inc.
(3,743)
(139,695)
(4,523)
Thompson Creek M
(1,060,541)
(2,813,506)
(399,933)
TICC Capital Corp.
(21,554)
(210,230)
2,881
The accompanying notes are an integral part of these financial statements.
44
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
SHARES NOTIONAL (a) (DEPRECIATION)
United States (continued)
Titan International,
Inc.
(683,353) $(14,848,114)
$
3,319,949
Titan Machinery,
Inc.
(30,319)
(803,025)
207,863
TRW Automotive
Holdings Corp.
(211,529)
(9,641,511)
(4,412,476)
Tyson Foods, Inc.
(283,156)
(5,535,885)
(1,735,561)
United Rentals, Inc.
(757,256)
(25,005,902)
(12,788,745)
United States Steel
Corp.
(17,461)
(319,606)
13,515
Universal Corp.
(119,536)
(6,570,660)
(344,498)
Vantage Drilling Co.
(9,257)
(17,905)
(979)
Vector Group Ltd.
(83,132)
(1,329,168)
(19,233)
VeriSign, Inc.
(702,692)
(30,556,780)
(825,445)
Viropharma, Inc.
(494,886)
(12,285,851)
(1,892,633)
Vishay
Intertechnology, Inc.
(485,827)
(5,150,450)
(1,597,687)
Western Refining,
Inc.
(1,913,919)
(50,577,786)
(3,145,920)
Whiting Petroleum
Corp.
(5,270)
(240,054)
(2,840)
Wintrust Financial
Corp.
(88,882)
(3,262,223)
(140,180)
Xilinx, Inc.
(376,841)
(13,396,265)
(1,530,407)
Total of Short
Equity Positions
(160,796,364)
Total of Long and
Short Equity
Positions
(158,723,962)
Long Positions
United States
3D Systems Corp.,
5.50%, 12/15/16
A.M. Castle & Co.,
7.00%, 12/15/17
Accuray, Inc.,
3.75%, 08/01/16
Afford Resid Com,
7.50%, 08/15/25
Affymetrix, Inc.,
4.00%, 07/01/19
Alcoa, Inc.,
5.25%, 03/15/14
Alliance Data
Systems Corp.,
4.75%, 05/15/14
Alliance One
International, Inc.,
5.50%, 07/15/14
American Equity
Investment Life
Holding Co.,
5.25%, 12/06/29
PRINCIPAL
$ 11,725,000
21,958,158
14,135,541
925,000
1,023,487
514,497
700,000
699,898
(18,041)
4,773,000
6,067,374
91,694
2,525,000
2,305,184
231,883
3,525,000
5,478,657
(953,007)
10,500,000
29,510,176
10,509,874
4,500,000
4,188,064
489,434
10,275,000
13,562,147
3,785,127
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
American Equity
Investment Life
Holding Co.,
3.50%, 09/15/15
$ 8,925,000 $ 10,225,694
$
1,762,424
Amkor Technology,
Inc.,
6.00%, 04/15/14
5,950,000
11,393,256
(2,733,507)
Annaly Capital
Management, Inc.,
5.00%, 05/15/15
3,150,000
3,228,750
(31,928)
ArcelorMittal,
5.00%, 05/15/14
6,875,000
7,114,669
(60,135)
Archer-DanielsMidland Co.,
0.88%, 02/15/14
1,500,000
1,512,151
4,894
Ares Capital Corp.,
5.75%, 02/01/16
4,425,000
4,699,686
238,650
Ares Capital Corp.,
5.13%, 06/01/16
3,025,000
3,147,186
82,518
AV Homes, Inc.,
7.50%, 02/15/16
980,000
991,025
208,507
AV Homes, Inc.,
7.50%, 02/15/16
3,920,000
4,080,885
300,744
Avis Budget Group,
Inc.,
3.50%, 10/01/14
7,400,000
9,280,939
4,324,041
BGC Partners, Inc.,
4.50%, 07/15/16
965,000
875,617
122,450
BioMed Realty LP,
3.75%, 01/15/30
8,975,000
10,494,207
518,948
Bristow Group, Inc.,
3.00%, 06/15/38
1,000,000
1,016,167
163,731
Cadence Design
Systems, Inc.,
2.63%, 06/01/15
6,925,000
12,112,331
1,353,389
CBIZ, Inc.,
4.88%, 10/01/15
1,400,000
1,423,464
142,757
Cemex SAB de CV,
4.88%, 03/15/15
6,675,000
6,864,234
864,126
Cemex SAB de CV,
3.75%, 03/15/18
500,000
467,760
153,578
Cemex SAB de CV,
3.25%, 03/15/16
15,375,000
19,660,852
(855,514)
Cenveo Corp.,
7.00%, 05/15/17
1,800,000
1,498,849
110,683
Chart Industries,
Inc.,
2.00%, 08/01/18
6,925,000
8,721,844
1,717,950
China Medical
Technologies, Inc.,
4.00%, 08/15/13
250,000
43,750
(41,250)
China Medical
Technologies, Inc.,
6.25%, 12/15/16
2,625,000
459,375
(433,125)
Ciena Corp.,
4.00%, 12/15/20
13,175,000
14,705,935
2,499,364
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
45
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
Ciena Corp.,
4.00%, 03/15/15
$ 2,900,000 $ 3,455,512
$
(18,224)
Coinstar, Inc.,
4.00%, 09/01/14
2,150,000
3,035,501
108,699
Concur
Technologies, Inc.,
2.50%, 04/15/15
200,000
289,653
29,997
Convergys Corp.,
5.75%, 09/15/29
7,825,000
12,481,258
838,359
DDR Corp.,
1.75%, 11/15/40
12,000,000
13,373,486
647,207
DFC Global Corp.,
3.25%, 04/15/17
800,000
939,522
(148,695)
Digital Realty Trust
LP,
5.50%, 04/15/29
8,450,000
15,949,848
(2,735,988)
DR Horton, Inc.,
2.00%, 05/15/14
11,106,000
16,464,023
1,992,157
DST Systems, Inc.,
0.54%, 08/15/23
975,000
1,156,594
193,909
Electronic Arts, Inc.,
0.75%, 07/15/16
5,075,000
5,276,637
25,047
Equinix, Inc.,
4.75%, 06/15/16
13,075,000
29,961,820
(249,642)
Exide Technologies,
4.25%, 06/15/14
3,675,000
4,054,315
676,331
Exide Technologies,
0.00%, 09/18/13
650,000
554,125
(472,875)
Fifth & Pacific Cos.,
Inc.,
6.00%, 06/15/14
6,250,000
21,389,581
18,019,294
Finisar Corp.,
5.00%, 10/15/29
400,000
687,111
45,737
Gaylord
Entertainment Co.,
3.75%, 10/01/14
13,200,000
20,741,873
2,907,496
Genco Shipping &
Trading Ltd.,
5.00%, 08/15/15
500,000
239,931
(101,301)
GenCorp, Inc.,
4.06%, 12/31/39
3,575,000
4,146,875
2,512,279
General Cable
Corp.,
4.50%, 11/15/29
9,620,000
10,171,948
487,039
General Cable
Corp.,
0.88%, 11/15/13
6,075,000
5,974,234
92,079
GMX Resources,
Inc.,
4.50%, 05/01/15
1,875,000
830,391
(722,578)
Goodrich Petroleum
Corp.,
5.00%, 10/01/29
1,000,000
958,472
46,186
Green Plains
Renewable Energy,
Inc.,
5.75%, 11/01/15
4,100,000
2,988,699
1,748,723
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
Group 1
Automotive, Inc.,
3.00%, 03/15/20
$ 2,350,000 $ 3,783,305
$
493,440
Hawaiian Holdings,
Inc.,
5.00%, 03/15/16
300,000
327,583
4,487
Health Care REIT,
Inc.,
3.00%, 12/01/29
2,400,000
3,041,981
139,028
Hertz Global
Holdings, Inc.,
5.25%, 06/01/14
17,725,000
28,770,263
24,608,865
Hornbeck Offshore
Services, Inc.,
1.63%, 11/15/26
4,900,000
5,600,424
62,442
Host Hotels &
Resorts LP,
2.50%, 10/15/29
27,225,000
35,072,987
1,991,158
Host Hotels &
Resorts, Inc.,
3.00%, 08/01/35
5,800,000
5,770,031
198,982
JAKKS Pacific, Inc.,
4.50%, 11/01/14
3,925,000
4,799,784
(826,842)
James River Coal
Co.,
4.50%, 12/01/15
500,000
180,813
35,909
Kaman Corp.,
3.25%, 11/15/17
3,800,000
4,500,283
10,694
Kilroy Realty LP,
4.25%, 11/15/14
7,390,000
10,091,097
921,459
LDK Solar Co., Ltd.,
0.00%, 01/01/99
187,500
115,181
26,173
Lennar Corp.,
3.25%, 11/15/21
14,100,000
23,013,239
713,172
Lennar Corp.,
2.75%, 12/15/20
16,900,000
26,681,827
2,266,661
Leucadia National
Corp.,
3.75%, 04/15/14
250,000
285,286
32,416
Lexington Realty
Trust,
6.00%, 01/15/30
7,550,000
10,379,989
2,496,333
Medicines Co./The,
1.38%, 06/01/17
825,000
923,922
114,383
Meritor, Inc.,
4.63%, 03/01/26
2,000,000
1,801,882
230,781
MGIC Investment
Corp.,
5.00%, 05/01/17
10,850,000
6,610,970
4,536,226
MGM Resorts
International,
4.25%, 04/15/15
7,150,000
7,417,053
648,766
Microchip
Technology, Inc.,
2.13%, 12/15/37
10,650,000
14,135,031
1,322,782
The accompanying notes are an integral part of these financial statements.
46
AQR Funds
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
Micron Technology,
Inc.,
3.13%, 05/01/32
$ 4,025,000 $ 5,668,515
$
774,146
Micron Technology,
Inc.,
2.38%, 05/01/32
4,850,000
5,207,445
2,558,897
Micron Technology,
Inc.,
1.88%, 06/01/14
20,275,000
21,976,767
1,115,253
Micron Technology,
Inc.,
1.50%, 08/01/31
400,000
379,217
237,236
Molina Healthcare,
Inc.,
3.75%, 10/01/14
1,875,000
2,135,351
294,637
National Financial
Partners Corp.,
4.00%, 06/15/17
4,025,000
5,535,607
2,686,583
Navistar
International Corp.,
3.00%, 10/15/14
875,000
799,459
55,764
Northgate Minerals
Corp.,
3.50%, 10/01/16
1,800,000
1,859,276
(147,456)
NorthStar Realty
Finance Corp.,
7.50%, 03/15/31
1,700,000
1,835,646
819,079
Nuance
Communications,
Inc.,
2.75%, 11/01/31
600,000
677,471
(56,825)
Omnicare, Inc.,
3.75%, 12/15/25
2,400,000
3,263,750
1,179,692
Penson Worldwide,
Inc.,
8.00%, 06/01/14
8,515,000
755,468
127,963
PHH Corp.,
6.00%, 06/15/17
8,125,000
14,425,953
177,099
Photronics, Inc.,
5.50%, 10/01/14
2,200,000
3,231,952
525,097
Powerwave
Technologies, Inc.,
2.75%, 07/15/41
3,900,000
1,173,763
(1,134,764)
priceline.com, Inc.,
1.25%, 03/15/15
7,075,000
13,585,231
5,759,521
Protein Design
Labs, Inc.,
2.88%, 02/15/15
1,400,000
1,736,763
181,261
Radian Group, Inc.,
3.00%, 11/15/17
10,225,000
9,802,245
3,016,516
Radian Group, Inc.,
2.25%, 03/01/19
4,150,000
5,967,063
(643,469)
Regeneron
Pharmaceuticals,
Inc.,
1.88%, 10/01/16
11,925,000
20,994,211
11,011,707
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
Regis Corp.,
5.00%, 07/15/14
$ 10,000,000 $ 12,727,780
$
(848,498)
Rite Aid Corp.,
8.50%, 05/15/15
300,000
322,054
105,564
Saks, Inc.,
7.50%, 12/01/13
800,000
1,651,166
319,924
Salesforce.com,
Inc.,
0.75%, 01/15/15
20,100,000
35,162,015
1,300,259
Sequenom, Inc.,
5.00%, 10/01/17
4,500,000
4,586,187
685,713
SL Green Operating
Partnership LP,
3.00%, 10/15/17
15,150,000
17,762,118
596,236
Smithfield Foods,
Inc.,
4.75%, 06/30/13
14,800,000
15,984,022
3,831,326
Standard Pacific
Corp.,
1.25%, 08/01/32
1,150,000
1,355,088
117,758
Sterlite Industries
India Ltd.,
4.00%, 10/30/14
5,350,000
5,077,450
157,164
Stewart Enterprises,
Inc.,
3.13%, 07/15/14
25,000
25,219
5,887
Stewart Information
Services Corp.,
6.00%, 10/15/14
6,125,000
9,446,790
3,448,908
SunPower Corp.,
4.75%, 04/15/14
2,775,000
2,998,781
(37,068)
SunPower Corp.,
4.50%, 03/15/15
625,000
732,894
4,510
SYNNEX Corp.,
4.00%, 05/15/18
8,300,000
10,169,193
1,679,235
Take-Two
Interactive Software,
Inc.,
4.38%, 06/01/14
1,125,000
1,320,606
274,331
Terex Corp.,
4.00%, 06/01/15
11,325,000
17,656,882
2,054,961
Time Warner, Inc.,
2.38%, 04/01/26
1,075,000
1,435,151
192,292
Titan International,
Inc.,
5.63%, 01/15/17
7,575,000
18,214,322
(3,660,749)
Titan Machinery,
Inc.,
3.75%, 05/01/19
2,785,000
2,768,173
(147,402)
TRW Automotive,
Inc.,
3.50%, 12/01/15
6,650,000
10,712,133
4,438,580
Tyson Foods, Inc.,
3.25%, 10/15/13
4,800,000
5,427,566
1,921,401
United Rentals, Inc.,
4.00%, 11/15/15
8,500,000
25,552,181
12,548,145
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(Continued)
47
Schedule of Investments
June 30, 2013 (Unaudited)
AQR DIVERSIFIED ARBITRAGE FUND
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
United States Steel
Corp.,
4.00%, 05/15/14
$ 6,184,000 $ 6,631,654
$
(278,266)
VeriSign, Inc.,
3.25%, 08/15/37
27,135,000
38,791,739
(289,741)
Virgin Media, Inc.,
6.50%, 11/15/16
6,950,000
11,370,680
7,145,499
ViroPharma, Inc.,
2.00%, 03/15/17
10,375,000
15,298,228
1,795,994
Vishay
Intertechnology,
Inc.,
2.25%, 11/15/40
7,175,000
6,586,752
1,370,333
Western Refining,
Inc.,
5.75%, 06/15/14
18,547,000
46,588,654
7,307,990
Xilinx, Inc.,
3.13%, 03/15/37
13,400,000
16,487,816
2,124,803
NET
UNREALIZED
REFERENCE
APPRECIATION
ENTITY
PRINCIPAL NOTIONAL (a) (DEPRECIATION)
United States (continued)
XM Satellite Radio,
Inc.,
7.00%, 12/01/14
$ 19,594,000 $ 30,501,862
$
6,856,160
Total of Long Fixed
Income
Positions
188,708,034
Net Cash and
Other
Receivables/
(Payables) (c)
Swaps, at Value
7,007,792
$
36,991,864
(a) Notional value represents the market value (including any fees or
commissions) of the long and short positions when they are
established.
(c) Cash and other receivables/(payables) includes the gains (or losses)
realized within the swap when the swap resets. Gains (or losses)
will be realized on the swap, and reflected on the Statement of
Operations, when cash is settled with the counterparty.
Money Market Fund held as collateral was $302,754,537 at June 30,
2013.
The accompanying notes are an integral part of these financial statements.
48
AQR Funds
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR MOMENTUM FUND
COMMON STOCKS - 98.9%
Consumer Discretionary - 21.2%
Advance Auto Parts, Inc.
Amazon.com, Inc. †
American Eagle Outfitters, Inc. (a)
AutoNation, Inc. †
AutoZone, Inc. †
Bed Bath & Beyond, Inc. †(a)
Big Lots, Inc. †
Brinker International, Inc. (a)
Brunswick Corp. (a)
Buckle, Inc./The (a)
Cabela’s, Inc. †(a)
Carter’s, Inc. (a)
CBS Corp., Class B
Chico’s FAS, Inc. (a)
Cinemark Holdings, Inc. (a)
Clear Channel Outdoor Holdings, Inc.,
Class A †
Comcast Corp., Class A
CST Brands, Inc. †
Dick’s Sporting Goods, Inc. (a)
Dillard’s, Inc., Class A (a)
Discovery Communications, Inc.,
Class A †(a)
DISH Network Corp., Class A
Dollar General Corp. †
Dollar Tree, Inc. †
Domino’s Pizza, Inc. (a)
DR Horton, Inc. (a)
DSW, Inc., Class A (a)
Expedia, Inc. (a)
Family Dollar Stores, Inc.
Foot Locker, Inc. (a)
Ford Motor Co.
Fossil Group, Inc. †
Gannett Co., Inc.
Gap, Inc./The
General Motors Co. †(a)
Gentex Corp. (a)
Genuine Parts Co. (a)
GNC Holdings, Inc., Class A (a)
H&R Block, Inc.
Harley-Davidson, Inc.
Hasbro, Inc.
Home Depot, Inc./The
HSN, Inc. (a)
Hyatt Hotels Corp., Class A †(a)
Jarden Corp. †
L Brands, Inc. (a)
Lamar Advertising Co., Class A †
Las Vegas Sands Corp.
Lennar Corp., Class A (a)
Liberty Global PLC, Class A
(United Kingdom) †
Liberty Interactive Corp., Series A †
LKQ Corp. †(a)
Lowe’s Cos., Inc.
Macy’s, Inc.
VALUE
(Note 2)
SHARES
2,300
3,200
22,900
14,700
1,400
2,300
7,800
12,400
20,700
7,400
11,000
7,700
73,900
25,500
15,800
$
186,691
888,608
418,154
637,833
593,166
163,070
245,934
488,932
661,365
384,948
712,360
570,339
3,611,493
435,030
441,136
9,300
241,500
7,300
4,600
10,500
69,378
10,114,020
224,913
230,276
860,685
45,266
43,800
19,200
17,900
10,800
73,900
6,600
35,600
4,900
24,400
166,400
6,900
26,700
49,200
88,800
13,000
16,500
12,900
25,400
13,200
3,200
142,400
8,000
10,100
13,800
15,600
12,300
23,000
60,600
3,494,988
1,862,376
968,256
910,036
628,020
1,572,592
484,902
2,141,340
305,319
857,172
2,574,208
712,839
653,082
2,053,116
2,957,928
299,650
1,288,155
570,309
704,850
723,624
143,456
11,031,728
429,760
407,636
603,750
768,300
533,820
1,217,390
2,184,024
29,200
25,100
47,000
109,100
12,600
2,163,136
577,551
1,210,250
4,462,190
604,800
SHARES
Consumer Discretionary - 21.2% (continued)
Madison Square Garden Co./The,
Class A †
11,000
Marriott International, Inc., Class A
9,100
Mattel, Inc.
48,600
MGM Resorts International †
49,000
Mohawk Industries, Inc. †(a)
11,600
Netflix, Inc. †(a)
13,500
News Corp., Class A (a)
298,900
O’Reilly Automotive, Inc. †
7,200
Panera Bread Co., Class A †(a)
2,400
PetSmart, Inc. (a)
9,200
Pier 1 Imports, Inc. (a)
24,000
Polaris Industries, Inc. (a)
10,200
PulteGroup, Inc. †
155,000
PVH Corp.
9,800
Rent-A-Center, Inc. (a)
8,000
Ross Stores, Inc.
3,500
Sally Beauty Holdings, Inc. †(a)
22,600
Signet Jewelers Ltd. (Bermuda)
3,900
Sirius XM Radio, Inc. (a)
933,500
Six Flags Entertainment Corp. (a)
32,600
Standard Pacific Corp. †(a)
136,800
Starbucks Corp.
3,834
Starz, Class A †(a)
20,900
Tempur Sealy International, Inc. †
2,600
Tenneco, Inc. †(a)
3,100
Tesla Motors, Inc. †(a)
25,400
Time Warner Cable, Inc.
26,200
Time Warner, Inc.
113,300
TJX Cos., Inc.
15,500
Toll Brothers, Inc. †
43,000
Tractor Supply Co.
8,000
TripAdvisor, Inc. †(a)
24,600
TRW Automotive Holdings Corp. †
31,700
Tupperware Brands Corp.
4,600
Ulta Salon Cosmetics & Fragrance,
Inc. †(a)
8,300
Under Armour, Inc., Class A †(a)
13,800
Urban Outfitters, Inc. †
12,700
VF Corp.
4,600
Viacom, Inc., Class B
33,500
Walt Disney Co./The
148,300
Whirlpool Corp.
21,900
Wolverine World Wide, Inc. (a)
8,400
Wyndham Worldwide Corp.
26,300
Wynn Resorts Ltd.
3,900
$
651,750
367,367
2,202,066
724,220
1,304,884
2,849,715
9,744,140
810,864
446,256
616,308
563,760
969,000
2,940,350
1,225,490
300,400
226,835
702,860
262,977
3,127,225
1,146,216
1,139,544
251,089
461,890
114,140
140,368
2,728,722
2,946,976
6,551,006
775,930
1,403,090
940,880
1,497,402
2,106,148
357,374
831,328
823,998
510,794
888,076
2,279,675
9,365,145
2,504,484
458,724
1,505,149
499,200
146,302,699
Consumer Staples - 3.9%
Beam, Inc.
Brown-Forman Corp., Class B (a)
Casey’s General Stores, Inc. (a)
Church & Dwight Co., Inc. (a)
Coca-Cola Enterprises, Inc.
ConAgra Foods, Inc.
Constellation Brands, Inc., Class A †
Costco Wholesale Corp.
CVS Caremark Corp.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
Semi-Annual Report
June 2013
5,400
14,700
5,900
12,500
23,723
17,800
32,500
15,200
6,100
340,794
992,985
354,944
771,375
834,101
621,754
1,693,900
1,680,664
348,798
(Continued)
49
Schedule of Investments
June 30, 2013 (Unaudited)
AQR MOMENTUM FUND
VALUE
(Note 2)
SHARES
Consumer Staples - 3.9% (continued)
Darling International, Inc. †
Dean Foods Co. †(a)
Estee Lauder Cos., Inc./The, Class A
General Mills, Inc.
Green Mountain Coffee Roasters,
Inc. †(a)
Hain Celestial Group, Inc./The †(a)
Hershey Co./The
Hillshire Brands Co.
Hormel Foods Corp. (a)
Ingredion, Inc.
JM Smucker Co./The
Kimberly-Clark Corp.
McCormick & Co., Inc. (a)
Monster Beverage Corp. †
Nu Skin Enterprises, Inc., Class A
Pricesmart, Inc. (a)
TreeHouse Foods, Inc. †(a)
Tyson Foods, Inc., Class A
Walgreen Co.
WhiteWave Foods Co., Class B †(a)
Whole Foods Market, Inc. (a)
15,500
31,800
24,500
3,300
$
26,100
7,600
16,700
8,960
19,500
4,600
6,800
26,100
12,000
11,200
5,900
7,900
4,700
22,700
66,400
11,568
30,000
289,230
318,636
1,611,365
160,149
1,959,066
493,772
1,490,976
296,397
752,310
301,852
701,420
2,535,354
844,320
680,624
360,608
692,277
308,038
582,936
2,934,880
175,833
1,544,400
26,673,758
Energy - 5.4%
Atwood Oceanics, Inc. †(a)
Cabot Oil & Gas Corp.
Cameron International Corp. †
CARBO Ceramics, Inc. (a)
Cheniere Energy, Inc. †
Cobalt International Energy, Inc. †
Continental Resources, Inc. †(a)
CVR Energy, Inc. (a)
Dresser-Rand Group, Inc. †
Energen Corp.
Energy XXI Bermuda Ltd. (Bermuda) (a)
EOG Resources, Inc.
EQT Corp.
Golar LNG Ltd. (Bermuda) (a)
Gulfport Energy Corp. †(a)
Halliburton Co.
Hess Corp.
HollyFrontier Corp.
Kinder Morgan, Inc.
Kodiak Oil & Gas Corp. †(a)
Marathon Oil Corp.
Marathon Petroleum Corp.
Oceaneering International, Inc.
Patterson-UTI Energy, Inc. (a)
Phillips 66
Pioneer Natural Resources Co.
Rosetta Resources, Inc. †(a)
Seadrill Ltd. (Bermuda) (a)
SM Energy Co.
Targa Resources Corp.
Tesoro Corp.
Tidewater, Inc.
Valero Energy Corp.
7,100
47,600
10,900
3,900
24,100
28,800
9,100
12,300
3,600
2,800
4,500
5,600
8,600
10,300
27,100
91,500
30,300
27,100
13,900
51,900
22,700
57,800
7,300
32,200
20,000
9,300
10,000
36,600
8,300
9,600
20,700
2,900
102,100
369,555
3,380,552
666,644
262,977
669,016
765,216
783,146
583,020
215,928
146,328
99,810
737,408
682,582
328,467
1,275,597
3,817,380
2,014,647
1,159,338
530,285
461,391
784,966
4,107,268
527,060
623,231
1,178,200
1,346,175
425,200
1,491,084
497,834
617,568
1,083,024
165,213
3,550,017
Energy - 5.4% (continued)
Western Refining, Inc. (a)
Williams Cos., Inc./The
World Fuel Services Corp. (a)
AQR Funds
37,700
22,100
7,000
$
1,058,239
717,587
279,860
37,401,813
Financials - 21.9%
Allstate Corp./The
American Campus Communities,
Inc. REIT
American Capital Ltd. †
American Express Co.
American Financial Group, Inc.
American International Group, Inc. †
American Realty Capital Properties,
Inc. REIT (a)
American Tower Corp. REIT
Aon PLC (United Kingdom)
Arch Capital Group Ltd. (Bermuda) †(a)
Bank of America Corp.
Bank of New York Mellon Corp./The
BB&T Corp.
Berkshire Hathaway, Inc., Class B †
Boston Properties, Inc. REIT
Camden Property Trust REIT
Capital One Financial Corp.
Capitol Federal Financial, Inc.
CBL & Associates Properties, Inc.
REIT (a)
Charles Schwab Corp./The (a)
Chubb Corp./The
Cincinnati Financial Corp.
Citigroup, Inc.
Corrections Corp of America REIT (a)
Digital Realty Trust, Inc. REIT (a)
Discover Financial Services
Douglas Emmett, Inc. REIT (a)
Equity Residential REIT
Erie Indemnity Co., Class A (a)
Essex Property Trust, Inc. REIT (a)
Everest Re Group Ltd.
Extra Space Storage, Inc. REIT
Fidelity National Financial, Inc., Class A
Fifth Third Bancorp
Franklin Resources, Inc.
General Growth Properties, Inc. REIT
Genworth Financial, Inc., Class A †
Goldman Sachs Group, Inc./The
Hartford Financial Services Group,
Inc. (a)
HCP, Inc. REIT
Health Care REIT, Inc. REIT (a)
Host Hotels & Resorts, Inc. REIT (a)
Huntington Bancshares, Inc.
Invesco Ltd.
JPMorgan Chase & Co.
KeyCorp
Lincoln National Corp.
M&T Bank Corp. (a)
The accompanying notes are an integral part of these financial statements.
50
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
65,400
3,147,048
7,300
144,100
8,500
8,200
155,900
296,818
1,825,747
635,460
401,062
6,968,730
44,100
24,800
11,400
13,000
1,261,400
41,300
32,600
106,500
6,400
3,800
7,100
26,600
672,966
1,814,616
733,590
668,330
16,221,604
1,158,465
1,104,488
11,919,480
675,008
262,732
445,951
322,924
22,000
85,700
10,500
26,000
319,600
18,552
10,100
66,500
8,500
13,200
2,000
1,800
4,800
11,900
47,700
103,800
18,900
109,100
131,200
58,900
471,240
1,819,411
888,825
1,193,400
15,331,212
628,356
616,100
3,168,060
212,075
766,392
159,380
286,056
615,648
498,967
1,135,737
1,873,590
2,570,778
2,167,817
1,496,992
8,908,625
91,800
16,300
7,100
29,600
70,400
39,300
220,400
59,300
58,500
4,900
2,838,456
740,672
475,913
499,352
554,752
1,249,740
11,634,916
654,672
2,133,495
547,575
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR MOMENTUM FUND
VALUE
(Note 2)
SHARES
Financials - 21.9% (continued)
Macerich Co./The REIT
McGraw Hill Financial, Inc.
MetLife, Inc.
Mid-America Apartment Communities,
Inc. REIT
Moody’s Corp.
Morgan Stanley (a)
NASDAQ OMX Group, Inc./The
Nationstar Mortgage Holdings, Inc. †(a)
Ocwen Financial Corp. †
PartnerRe Ltd. (Bermuda) (a)
Post Properties, Inc. REIT
Prologis, Inc. REIT
Prudential Financial, Inc.
Rayonier, Inc. REIT
Realty Income Corp. REIT (a)
Regions Financial Corp.
RenaissanceRe Holdings Ltd. (a)
Rouse Properties, Inc. REIT (a)
Signature Bank †(a)
Simon Property Group, Inc. REIT
SL Green Realty Corp. REIT (a)
SLM Corp.
State Street Corp.
SunTrust Banks, Inc.
Taubman Centers, Inc. REIT
Torchmark Corp. (a)
Travelers Cos., Inc./The
UDR, Inc. REIT (a)
Ventas, Inc. REIT
Weingarten Realty Investors REIT (a)
Weyerhaeuser Co. REIT
WR Berkley Corp.
7,100
24,400
18,600
$
1,800
18,400
263,700
5,000
18,900
48,900
6,800
5,900
8,130
12,400
13,850
14,100
174,400
4,100
303
5,800
5,600
1,200
29,600
53,100
72,900
6,500
9,400
40,700
7,900
14,000
5,400
103,200
13,700
432,887
1,297,836
851,136
121,986
1,121,112
6,442,191
163,950
707,616
2,015,658
615,808
291,991
306,664
905,572
767,151
591,072
1,662,032
355,839
5,945
481,516
884,352
105,828
676,656
3,462,651
2,301,453
488,475
612,316
3,252,744
201,371
972,440
166,158
2,940,168
559,782
151,175,579
Health Care - 16.4%
Abbott Laboratories
AbbVie, Inc.
Actavis, Inc. †
Aetna, Inc.
Alexion Pharmaceuticals, Inc. †
Align Technology, Inc. †(a)
AmerisourceBergen Corp.
Amgen, Inc.
Arena Pharmaceuticals, Inc. †(a)
Ariad Pharmaceuticals, Inc. †(a)
athenahealth, Inc. †(a)
Baxter International, Inc.
Biogen Idec, Inc. †
BioMarin Pharmaceutical, Inc. †(a)
Brookdale Senior Living, Inc. †
Catamaran Corp. †(a)
Celgene Corp. †
Cepheid, Inc. †(a)
Cerner Corp. †(a)
Cigna Corp.
Community Health Systems, Inc.
Cooper Cos., Inc./The (a)
56,700
2,500
19,600
11,500
13,600
13,100
12,400
79,000
120,400
47,800
6,800
33,900
27,500
13,400
19,500
43,600
34,900
11,200
15,500
20,000
16,800
7,400
1,977,696
103,350
2,473,912
730,710
1,254,464
485,224
692,292
7,794,140
927,080
836,022
576,096
2,348,253
5,918,000
747,586
515,580
2,124,192
4,080,159
385,504
1,489,395
1,449,800
787,584
880,970
Health Care - 16.4% (continued)
Cubist Pharmaceuticals, Inc. †(a)
DaVita HealthCare Partners, Inc. †(a)
Edwards Lifesciences Corp. †(a)
Eli Lilly & Co.
Express Scripts Holding Co. †
Gilead Sciences, Inc. †
HCA Holdings, Inc.
Health Management Associates, Inc.,
Class A †
Henry Schein, Inc. †(a)
Hill-Rom Holdings, Inc. (a)
HMS Holdings Corp. †(a)
IDEXX Laboratories, Inc. †(a)
Illumina, Inc. †(a)
Intuitive Surgical, Inc. †
Jazz Pharmaceuticals PLC (Ireland) †(a)
Johnson & Johnson
McKesson Corp.
Medivation, Inc. †(a)
Medtronic, Inc. (a)
Mylan, Inc. †
Omnicare, Inc. (a)
Onyx Pharmaceuticals, Inc. †(a)
Perrigo Co.
Pfizer, Inc.
Pharmacyclics, Inc. †(a)
Questcor Pharmaceuticals, Inc. (a)
Regeneron Pharmaceuticals, Inc. †(a)
ResMed, Inc. (a)
Tenet Healthcare Corp. †(a)
Thermo Fisher Scientific, Inc.
UnitedHealth Group, Inc.
Vertex Pharmaceuticals, Inc. †
ViroPharma, Inc. †(a)
Vivus, Inc. †(a)
WellCare Health Plans, Inc. †
Zimmer Holdings, Inc. (a)
Zoetis, Inc.
8,600
14,100
10,500
81,000
9,700
164,200
66,900
58,400
4,600
3,500
5,700
4,000
19,300
1,100
8,000
99,700
6,600
39,600
25,400
37,500
8,700
13,000
9,300
521,151
23,900
23,500
19,000
13,000
33,600
30,900
12,300
13,300
10,700
37,700
10,500
8,000
164,256
$
415,380
1,703,280
705,600
3,978,720
598,393
8,408,682
2,412,414
918,048
440,450
117,880
132,810
359,120
1,444,412
557,238
549,840
8,560,242
755,700
1,948,320
1,307,338
1,163,625
415,077
1,128,660
1,125,300
14,597,439
1,899,333
1,068,310
4,272,720
586,690
1,548,960
2,615,067
805,404
1,062,271
306,555
474,266
583,275
599,520
5,073,878
113,218,226
Industrials - 9.3%
A. O. Smith Corp. (a)
Acacia Research Corp. (a)
ACCO Brands Corp. †(a)
Acuity Brands, Inc. (a)
Alaska Air Group, Inc. †(a)
AMERCO (a)
AMETEK, Inc.
Avis Budget Group, Inc. †(a)
Chart Industries, Inc. †(a)
Clean Harbors, Inc. †(a)
Copa Holdings SA (Panama), Class A
Copart, Inc. †
Delta Air Lines, Inc. †
Donaldson Co., Inc. (a)
Fastenal Co. (a)
Flowserve Corp. (a)
Fluor Corp.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
16,200
8,700
1,715
2,600
17,800
1,900
6,900
49,800
5,200
4,800
16,100
14,400
121,200
8,800
21,700
21,600
2,700
587,736
194,445
10,907
196,352
925,600
307,610
291,870
1,431,750
489,268
242,544
2,111,032
443,520
2,267,652
313,808
994,945
1,166,616
160,137
(Continued)
51
Schedule of Investments
June 30, 2013 (Unaudited)
AQR MOMENTUM FUND
VALUE
(Note 2)
SHARES
Industrials - 9.3% (continued)
Fortune Brands Home & Security, Inc.
Generac Holdings, Inc. (a)
General Electric Co.
Genesee & Wyoming, Inc., Class A †(a)
Hertz Global Holdings, Inc. †(a)
Hexcel Corp. †
Honeywell International, Inc.
Hubbell, Inc., Class B (a)
IHS, Inc., Class A †
Illinois Tool Works, Inc.
Iron Mountain, Inc. (a)
JB Hunt Transport Services, Inc.
Kansas City Southern
KBR, Inc.
Kennametal, Inc. (a)
Kirby Corp. †(a)
Lockheed Martin Corp.
Manitowoc Co., Inc./The
Masco Corp.
Mueller Industries, Inc.
Nordson Corp. (a)
Old Dominion Freight Line, Inc. †
Pall Corp. (a)
Polypore International, Inc. †(a)
Precision Castparts Corp.
Raytheon Co.
Roper Industries, Inc.
Southwest Airlines Co.
SPX Corp.
Stericycle, Inc. †
Terex Corp. †(a)
Textron, Inc. (a)
Timken Co.
Towers Watson & Co., Class A
TransDigm Group, Inc.
Triumph Group, Inc.
Union Pacific Corp.
United Continental Holdings, Inc. †
United Rentals, Inc. †(a)
USG Corp. †(a)
Verisk Analytics, Inc., Class A †
WABCO Holdings, Inc. †
Wabtec Corp. (a)
Waste Connections, Inc. (a)
Werner Enterprises, Inc. (a)
WESCO International, Inc. †(a)
Woodward, Inc. (a)
WW Grainger, Inc. (a)
83,500
17,900
178,300
9,100
89,400
15,700
36,100
3,700
4,100
38,100
18,945
14,400
19,900
3,900
7,500
4,600
6,400
38,300
61,500
6,500
3,200
11,100
7,000
10,200
4,500
8,400
9,300
97,700
4,900
7,700
69,000
18,300
3,700
5,000
9,000
6,300
43,300
40,900
24,700
39,400
18,500
2,900
8,800
8,300
10,900
7,500
3,200
9,500
$
3,234,790
662,479
4,134,777
772,044
2,217,120
534,585
2,864,174
366,300
427,958
2,635,377
504,127
1,040,256
2,108,604
126,750
291,225
365,884
694,144
685,953
1,198,635
327,795
221,792
461,982
465,010
411,060
1,017,045
555,408
1,155,246
1,259,353
352,702
850,311
1,814,700
476,715
208,236
409,700
1,410,930
498,645
6,680,324
1,279,761
1,232,777
908,170
1,104,450
216,601
470,184
341,462
263,453
509,700
128,000
2,395,710
64,428,196
Information Technology - 13.5%
3D Systems Corp. †(a)
Activision Blizzard, Inc.
Adobe Systems, Inc. †
Akamai Technologies, Inc. †(a)
Alliance Data Systems Corp. †(a)
Amphenol Corp., Class A
ANSYS, Inc. †(a)
50,800
34,500
29,800
12,800
4,600
8,600
5,600
2,230,120
491,970
1,357,688
544,640
832,738
670,284
409,360
SHARES
Information Technology - 13.5% (continued)
AOL, Inc. †(a)
32,400
Arrow Electronics, Inc. †(a)
8,600
Automatic Data Processing, Inc.
19,700
CA, Inc.
16,500
Cadence Design Systems, Inc. †(a)
23,600
Cirrus Logic, Inc. †(a)
28,800
Cisco Systems, Inc.
130,600
Citrix Systems, Inc. †
7,700
CommVault Systems, Inc. †(a)
8,200
Computer Sciences Corp.
13,600
Concur Technologies, Inc. †(a)
6,600
CoreLogic, Inc. †
18,100
Cree, Inc. †(a)
25,000
eBay, Inc. †
83,600
Equinix, Inc. †(a)
8,300
F5 Networks, Inc. †
6,500
FactSet Research Systems, Inc. (a)
1,300
Fairchild Semiconductor International,
Inc. †
7,700
Fidelity National Information Services,
Inc.
18,200
First Solar, Inc. †
50,300
Fiserv, Inc. †
14,600
FleetCor Technologies, Inc. †
9,800
Fortinet, Inc. †
19,300
Gartner, Inc. †(a)
6,200
Google, Inc., Class A †
30,000
IAC/InterActiveCorp
16,100
InterDigital, Inc. (a)
6,200
Intuit, Inc.
8,200
IPG Photonics Corp. (a)
3,700
Jabil Circuit, Inc.
15,000
Jack Henry & Associates, Inc. (a)
8,800
KLA-Tencor Corp.
11,300
LinkedIn Corp., Class A †
14,900
Mastercard, Inc., Class A
2,000
Maxim Integrated Products, Inc.
21,200
Micron Technology, Inc. †(a)
184,500
Molex, Inc. (a)
9,000
Motorola Solutions, Inc.
10,300
NCR Corp. †
8,300
NetSuite, Inc. †(a)
8,500
NeuStar, Inc., Class A †(a)
8,700
Oracle Corp.
27,500
Rackspace Hosting, Inc. †(a)
17,600
Red Hat, Inc. †
7,400
Salesforce.com, Inc. †(a)
14,900
SanDisk Corp. †
24,700
SolarWinds, Inc. †
12,600
Solera Holdings, Inc.
5,700
Symantec Corp.
26,900
Teradata Corp. †(a)
3,100
TIBCO Software, Inc. †(a)
20,000
Total System Services, Inc.
15,100
Trimble Navigation Ltd. †
6,800
Universal Display Corp. †(a)
8,600
VeriSign, Inc. †(a)
22,700
Visa, Inc., Class A
61,500
The accompanying notes are an integral part of these financial statements.
52
AQR Funds
Semi-Annual Report
June 2013
VALUE
(Note 2)
$
1,181,952
342,710
1,356,542
472,395
341,728
499,968
3,174,886
464,541
622,298
595,272
537,108
419,377
1,596,500
4,323,792
1,533,176
447,200
132,522
106,260
779,688
2,249,919
1,276,186
796,740
337,750
353,338
26,411,100
765,716
276,830
500,446
224,701
305,700
414,744
629,749
2,656,670
1,149,000
588,936
2,643,885
264,060
594,619
273,817
779,790
423,516
844,800
666,864
353,868
568,882
1,509,170
489,006
317,205
604,443
155,713
428,000
369,648
176,868
241,746
1,013,782
11,239,125
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR MOMENTUM FUND
SHARES
Information Technology - 13.5% (continued)
Vishay Intertechnology, Inc. †(a)
8,200
Western Digital Corp.
29,300
Xilinx, Inc. (a)
9,300
Yahoo!, Inc. †
84,900
Zebra Technologies Corp., Class A †(a)
3,200
VALUE
(Note 2)
$
113,898
1,819,237
368,373
2,131,839
139,008
92,933,402
Materials - 4.4%
Airgas, Inc.
Albemarle Corp. (a)
Allied Nevada Gold Corp. †(a)
Ashland, Inc.
Axiall Corp. (a)
Ball Corp.
Carpenter Technology Corp. (a)
Celanese Corp., Series A
CF Industries Holdings, Inc.
Eagle Materials, Inc. (a)
Eastman Chemical Co.
Ecolab, Inc.
FMC Corp. (a)
Huntsman Corp.
International Flavors & Fragrances, Inc.
International Paper Co.
Louisiana-Pacific Corp. †
MeadWestvaco Corp.
Monsanto Co.
NewMarket Corp. (a)
Packaging Corp. of America
PPG Industries, Inc.
Praxair, Inc.
Rock Tenn Co., Class A
Rockwood Holdings, Inc.
Royal Gold, Inc.
Sherwin-Williams Co./The
SunCoke Energy, Inc. †
Valspar Corp./The
Vulcan Materials Co. (a)
Westlake Chemical Corp.
WR Grace & Co. †
4,900
4,000
15,600
6,600
8,150
5,200
5,700
7,000
3,500
18,800
18,900
26,400
8,000
30,500
6,500
64,700
71,200
5,200
48,700
1,600
14,500
20,797
6,900
7,000
5,700
4,300
20,100
2,334
8,500
9,800
12,800
3,700
467,754
249,160
101,088
551,100
347,027
216,008
256,899
313,600
600,250
1,245,876
1,323,189
2,249,016
488,480
505,080
488,540
2,866,857
1,053,048
177,372
4,811,560
420,096
709,920
3,044,889
794,604
699,160
364,971
180,944
3,549,660
32,722
549,695
474,418
1,234,048
310,948
30,677,979
Telecommunication Services - 1.2%
Crown Castle International Corp. †
Level 3 Communications, Inc. †
SBA Communications Corp.,
Class A †(a)
Verizon Communications, Inc.
30,200
21,386
2,186,178
450,817
23,400
72,500
1,734,408
3,649,650
8,021,053
Utilities - 1.7%
AGL Resources, Inc.
American Electric Power Co., Inc.
American Water Works Co., Inc.
Atmos Energy Corp.
Calpine Corp. †(a)
Cleco Corp. (a)
CMS Energy Corp.
7,100
9,000
20,500
9,100
27,100
8,100
23,000
304,306
403,020
845,215
373,646
575,333
376,083
624,910
Utilities - 1.7% (continued)
DTE Energy Co.
Hawaiian Electric Industries, Inc. (a)
ITC Holdings Corp. (a)
National Fuel Gas Co. (a)
NextEra Energy, Inc.
NiSource, Inc.
OGE Energy Corp.
ONEOK, Inc.
Portland General Electric Co. (a)
Questar Corp. (a)
Sempra Energy
UIL Holdings Corp. (a)
WGL Holdings, Inc. (a)
Wisconsin Energy Corp.
18,200
11,500
7,500
5,400
9,000
5,300
7,300
22,400
12,000
15,300
20,500
7,700
6,900
15,100
$
1,219,582
291,065
684,750
312,930
733,320
151,792
497,860
925,344
367,080
364,905
1,676,080
294,525
298,218
618,949
11,938,913
TOTAL COMMON STOCKS
(cost $572,485,709)
MONEY MARKET FUNDS - 1.9%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(b)
(cost $13,352,165)
682,771,618
13,352,165
13,352,165
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES ON LOAN - 17.5%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (2)(b)(c)
(cost $121,038,716)
121,038,716
121,038,716
TOTAL INVESTMENTS - 118.3%
(cost $706,876,590)
817,162,499
LIABILITIES IN EXCESS OF OTHER
ASSETS - (18.3%) (d)
NET ASSETS - 100.0%
(126,301,224)
$ 690,861,275
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $117,442,602; cash collateral of $121,038,716
was received with which the Fund purchased a money market fund.
(b) Represents annualized seven-day yield as of June 30, 2013.
(c) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
(d) Includes depreciation on futures contracts.
All securities are Level 1 with respect to ASC 820, unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
(Continued)
53
Schedule of Investments
June 30, 2013 (Unaudited)
AQR MOMENTUM FUND
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF
CONTRACTS
DESCRIPTION
EXPIRATION
DATE
S&P 500 E-Mini Futures
September 20, 2013
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
DEPRECIATION
$5,208,283
$5,197,725
$(10,558)
Long Contracts:
65
Cash held as collateral with broker for futures contracts was $214,913 at June 30, 2013.
The accompanying notes are an integral part of these financial statements.
54
AQR Funds
Semi-Annual Report
June 2013
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
COMMON STOCKS - 99.5%
Consumer Discretionary - 18.5%
1-800-Flowers.com, Inc., Class A †
AFC Enterprises, Inc. †
American Axle & Manufacturing Holdings,
Inc. †
American Greetings Corp., Class A
America’s Car-Mart, Inc. †(a)
ANN, Inc. †
Arctic Cat, Inc.
Asbury Automotive Group, Inc. †(a)
Ascent Capital Group, Inc., Class A †
Beazer Homes USA, Inc. †(a)
Big 5 Sporting Goods Corp.
Black Diamond, Inc. †(a)
Bob Evans Farms, Inc. (a)
Bon-Ton Stores, Inc./The
Boyd Gaming Corp. †
Brown Shoe Co., Inc. (a)
Carmike Cinemas, Inc. †
Carriage Services, Inc.
Cavco Industries, Inc. †(a)
Christopher & Banks Corp. †
Churchill Downs, Inc.
Comstock Holding Cos., Inc. †
Conn’s, Inc. †(a)
Core-Mark Holding Co., Inc.
Cracker Barrel Old Country Store, Inc. (a)
CSS Industries, Inc.
Denny’s Corp. †
Destination XL Group, Inc. †
Dex Media, Inc. †(a)
DineEquity, Inc.
Dorman Products, Inc.
Drew Industries, Inc. (a)
Einstein Noah Restaurant Group, Inc.
Entravision Communications Corp., Class A
Ethan Allen Interiors, Inc. (a)
EW Scripps Co., Class A †
Fiesta Restaurant Group, Inc. †
Fifth & Pacific Cos., Inc. †
Fred’s, Inc., Class A (a)
Gentherm, Inc. †
G-III Apparel Group Ltd. †
Grand Canyon Education, Inc. †(a)
Gray Television, Inc. †
Haverty Furniture Cos., Inc.
Helen of Troy Ltd. (Bermuda) †
Hovnanian Enterprises, Inc., Class A †(a)
Iconix Brand Group, Inc. †(a)
Interval Leisure Group, Inc. (a)
Jack in the Box, Inc. †
Jamba, Inc. †(a)
Jones Group, Inc./The (a)
KB Home
Krispy Kreme Doughnuts, Inc. †
La-Z-Boy, Inc.
LeapFrog Enterprises, Inc. †(a)
Libbey, Inc. †
VALUE
(Note 2)
SHARES
9,100
10,200
$
21,500
10,200
3,100
600
7,800
17,000
4,800
7,380
19,800
2,900
5,300
16,900
22,200
25,100
14,400
20,100
1,300
24,200
3,600
16,100
19,600
2,900
8,300
800
18,100
9,600
15,000
6,900
15,464
2,600
3,600
91,000
4,400
12,200
5,800
10,000
7,400
8,800
10,800
13,600
62,600
7,500
2,700
89,200
22,500
14,500
10,800
11,680
1,900
43,900
37,200
12,400
5,700
4,300
56,329
366,588
400,545
185,844
134,044
19,920
350,844
681,700
374,736
129,298
434,610
27,260
248,994
305,045
250,860
540,403
278,784
340,695
65,585
163,108
283,860
44,597
1,014,496
184,150
785,678
19,944
101,722
60,864
263,550
475,203
705,622
102,232
51,120
559,650
126,720
190,076
199,462
223,400
114,626
163,416
519,696
438,328
450,720
172,575
103,599
500,412
661,725
288,840
424,332
174,382
26,125
861,757
649,140
251,348
56,088
103,071
COMMON STOCKS - 99.5%
SHARES
Consumer Discretionary - 18.5% (continued)
LIN TV Corp., Class A †
37,200
Lithia Motors, Inc., Class A (a)
15,000
Loral Space & Communications, Inc.
9,000
Lumber Liquidators Holdings, Inc. †
12,600
M/I Homes, Inc. †(a)
16,300
Marriott Vacations Worldwide Corp. †
18,200
MDC Holdings, Inc.
12,100
Meredith Corp. (a)
9,400
Meritage Homes Corp. †
16,600
Modine Manufacturing Co. †
9,300
Movado Group, Inc. (a)
10,800
Multimedia Games Holding Co., Inc. †
17,500
NACCO Industries, Inc., Class A (a)
4,600
Nautilus, Inc. †
24,100
New York Times Co./The, Class A †(a)
45,200
Nexstar Broadcasting Group, Inc., Class A
21,200
Orbitz Worldwide, Inc. †(a)
55,500
Orient-Express Hotels Ltd., Class A
(Bermuda) †(a)
15,100
Overstock.com, Inc. †(a)
16,800
Oxford Industries, Inc. (a)
4,300
Pacific Sunwear of California, Inc. †
38,100
Papa John’s International, Inc. †
7,200
Perry Ellis International, Inc.
10,100
Pinnacle Entertainment, Inc. †(a)
20,900
Pool Corp. (a)
2,900
Quiksilver, Inc. †(a)
78,900
Red Robin Gourmet Burgers, Inc. †(a)
1,100
Ruth’s Hospitality Group, Inc. (a)
11,400
Ryland Group, Inc./The (a)
17,100
Saks, Inc. †
13,900
Scholastic Corp. (a)
3,800
Select Comfort Corp. †(a)
1,900
SHFL Entertainment, Inc. †(a)
18,300
Shoe Carnival, Inc. (a)
4,200
Shutterfly, Inc. †(a)
14,400
Sinclair Broadcast Group, Inc., Class A
30,600
Skechers U.S.A., Inc., Class A †(a)
13,500
Smith & Wesson Holding Corp. †(a)
25,100
Sonic Automotive, Inc., Class A (a)
13,200
Sonic Corp. †(a)
28,000
Stage Stores, Inc. (a)
18,100
Standard Motor Products, Inc. (a)
12,800
Standard Pacific Corp. †(a)
11,300
Stein Mart, Inc.
10,300
Steiner Leisure Ltd. (Bahamas) †
1,700
Sturm, Ruger & Co., Inc. (a)
1,900
Texas Roadhouse, Inc.
3,100
Thor Industries, Inc.
6,200
Town Sports International Holdings, Inc.
9,000
Tuesday Morning Corp. †
12,700
Unifi, Inc. †(a)
3,700
Universal Electronics, Inc. †
3,300
Valassis Communications, Inc. (a)
10,000
Valuevision Media, Inc., Class A †
27,800
Vitamin Shoppe, Inc. †(a)
900
VOXX International Corp. †(a)
6,800
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
VALUE
(Note 2)
$
569,160
799,650
539,820
981,162
374,248
786,968
393,371
448,380
719,776
101,184
365,364
456,225
263,488
209,429
499,912
751,752
445,665
183,616
473,760
268,320
139,065
470,664
205,131
411,103
151,989
508,116
60,698
137,598
685,710
189,596
111,302
47,614
324,093
100,842
803,376
899,028
324,135
250,498
279,048
407,680
425,350
439,552
94,129
140,595
89,862
91,276
77,562
304,916
96,930
131,699
76,479
92,829
245,900
142,058
40,356
83,436
(Continued)
55
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
SHARES
Consumer Discretionary - 18.5% (continued)
Winnebago Industries, Inc. †
14,300
Zale Corp. †
28,400
VALUE
(Note 2)
$
300,157
258,440
Energy - 4.2% (continued)
Western Refining, Inc. (a)
Willbros Group, Inc. †(a)
4,600
37,800
35,977,780
Consumer Staples - 3.2%
B&G Foods, Inc. (a)
Boston Beer Co., Inc./The, Class A †
Boulder Brands, Inc. †(a)
Calavo Growers, Inc.
Cal-Maine Foods, Inc. (a)
Coca-Cola Bottling Co. Consolidated (a)
Elizabeth Arden, Inc. †(a)
Harbinger Group, Inc. †(a)
Inter Parfums, Inc. (a)
J&J Snack Foods Corp.
Medifast, Inc. †(a)
Omega Protein Corp. †
Prestige Brands Holdings, Inc. †
Revlon, Inc., Class A †
Rite Aid Corp. †(a)
Snyders-Lance, Inc.
Spartan Stores, Inc.
Spectrum Brands Holdings, Inc.
Star Scientific, Inc. †(a)
SUPERVALU, Inc. †
Susser Holdings Corp. †(a)
USANA Health Sciences, Inc. †(a)
WD-40 Co.
Weis Markets, Inc. (a)
12,600
1,100
48,600
4,000
5,200
1,200
5,000
48,600
6,600
3,500
11,500
13,000
23,700
3,200
237,100
1,700
6,500
900
64,200
31,400
12,400
3,300
5,800
2,000
429,030
187,704
585,630
108,760
241,852
73,380
225,350
366,444
188,232
272,300
296,240
116,740
690,618
70,592
678,106
48,297
119,860
51,183
89,238
195,308
593,712
238,854
315,984
90,140
6,273,554
Energy - 4.2%
Alon USA Energy, Inc. (a)
Approach Resources, Inc. †(a)
Bonanza Creek Energy, Inc. †(a)
Cheniere Energy, Inc. †
Crosstex Energy, Inc.
Dawson Geophysical Co. †
Delek US Holdings, Inc.
Double Eagle Petroleum Co. †(a)
EPL Oil & Gas, Inc. †(a)
Exterran Holdings, Inc. †(a)
Geospace Technologies Corp. †(a)
Green Plains Renewable Energy, Inc. †(a)
Gulf Island Fabrication, Inc. (a)
Hercules Offshore, Inc. †
Hornbeck Offshore Services, Inc. †
Mitcham Industries, Inc. †(a)
Newpark Resources, Inc. †(a)
Parker Drilling Co. †(a)
PDC Energy, Inc. †(a)
PHI, Inc. †
Renewable Energy Group, Inc. †
Rentech, Inc. (a)
Rex Energy Corp. †(a)
SemGroup Corp., Class A
Ship Finance International Ltd. (Norway) (a)
VAALCO Energy, Inc. †
28,800
500
17,000
3,800
12,400
3,100
8,100
2,800
19,600
27,800
6,100
12,000
3,100
77,900
3,600
5,800
35,600
29,100
14,900
1,900
14,400
52,300
23,600
13,300
17,900
13,800
416,448
12,285
602,820
105,488
245,024
114,266
233,118
10,976
575,456
781,736
421,388
159,840
59,365
548,416
192,600
97,324
391,244
144,918
767,052
65,170
204,912
109,830
414,888
716,338
265,636
78,936
AQR Funds
$
129,122
232,092
8,096,688
Financials - 20.0%
1st Source Corp.
Agree Realty Corp. REIT
Alexander & Baldwin, Inc. †
American Assets Trust, Inc. REIT (a)
American Realty Capital Properties,
Inc. REIT (a)
Ameris Bancorp †
AMERISAFE, Inc. (a)
Arlington Asset Investment Corp., Class A
Ashford Hospitality Trust, Inc. REIT (a)
Associated Estates Realty Corp. REIT (a)
Banco Latinoamericano de Comercio
Exterior SA, Class E (Panama)
Bancorp, Inc. †(a)
Bank of the Ozarks, Inc. (a)
Banner Corp.
BBCN Bancorp, Inc. (a)
Beneficial Mutual Bancorp, Inc. †(a)
Berkshire Hills Bancorp, Inc. (a)
BlackRock Kelso Capital Corp. (a)
BofI Holding, Inc. †
Boston Private Financial Holdings, Inc. (a)
Brandywine Realty Trust REIT
CapitalSource, Inc.
Cardinal Financial Corp. (a)
Chemical Financial Corp.
City Holding Co. (a)
CNO Financial Group, Inc.
Cohen & Steers, Inc.
Community Trust Bancorp, Inc. (a)
Consumer Portfolio Services, Inc. †
Coresite Realty Corp. REIT (a)
Cousins Properties, Inc. REIT
Credit Acceptance Corp. †
CubeSmart REIT
Eagle Bancorp, Inc. †(a)
EastGroup Properties, Inc. REIT (a)
eHealth, Inc. †(a)
Employers Holdings, Inc.
Encore Capital Group, Inc. †(a)
Enstar Group Ltd. (Bermuda) †
Evercore Partners, Inc., Class A
FBL Financial Group, Inc., Class A
FBR & Co. †
Federal Agricultural Mortgage Corp.,
Class C
FelCor Lodging Trust, Inc. REIT †(a)
Financial Engines, Inc. (a)
First Busey Corp. (a)
First Cash Financial Services, Inc. †(a)
First Commonwealth Financial Corp. (a)
First Financial Bancorp (a)
First Financial Bankshares, Inc. (a)
The accompanying notes are an integral part of these financial statements.
56
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
900
2,100
3,900
9,300
21,384
61,992
155,025
286,998
7,000
2,901
4,000
2,800
28,900
4,000
106,820
48,882
129,560
74,872
330,905
64,320
8,600
2,800
17,000
12,000
22,400
2,600
5,000
15,700
8,800
32,500
51,200
18,100
6,300
1,500
1,300
12,500
3,000
3,300
39,700
9,200
25,400
318
48,300
5,939
3,700
4,600
3,300
7,274
2,500
9,900
7,100
2,600
192,554
41,972
736,610
405,480
318,528
21,840
138,800
146,952
403,216
345,800
692,224
169,778
92,232
38,985
50,635
162,000
101,940
117,546
291,398
292,652
256,540
33,406
771,834
132,924
208,199
104,512
80,685
240,842
332,450
388,872
308,921
65,676
7,100
55,100
14,400
1,100
8,800
18,100
1,700
4,400
205,048
325,641
656,496
4,950
433,048
133,397
25,330
244,904
(Continued)
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Financials - 20.0% (continued)
First Industrial Realty Trust, Inc. REIT
First Interstate Bancsystem, Inc. (a)
First Merchants Corp. (a)
First Midwest Bancorp, Inc. (a)
Flagstar Bancorp, Inc. †(a)
Forestar Group, Inc. †(a)
Geo Group, Inc./The REIT
Glacier Bancorp, Inc. (a)
Gladstone Capital Corp. (a)
Gladstone Commercial Corp. REIT (a)
Gladstone Investment Corp. (a)
Glimcher Realty Trust REIT (a)
Gramercy Property Trust, Inc. REIT †(a)
Greenhill & Co., Inc. (a)
Hanmi Financial Corp. †
HCI Group, Inc. (a)
Hercules Technology Growth Capital,
Inc. (a)
Hersha Hospitality Trust REIT
HFF, Inc., Class A (a)
Hilltop Holdings, Inc. †
Home BancShares, Inc.
Home Loan Servicing Solutions Ltd.
(Cayman Islands)
HomeStreet, Inc.
Horace Mann Educators Corp. (a)
Horizon Technology Finance Corp. (a)
Hudson Pacific Properties, Inc. REIT (a)
Independent Bank Corp. (a)
Infinity Property & Casualty Corp. (a)
International Bancshares Corp.
INTL FCStone, Inc. †(a)
Investors Bancorp, Inc. (a)
KCAP Financial, Inc. (a)
Kemper Corp.
Lakeland Financial Corp.
Lexington Realty Trust REIT
LTC Properties, Inc. REIT
Maiden Holdings Ltd. (Bermuda)
Main Street Capital Corp. (a)
MarketAxess Holdings, Inc.
Marlin Business Services Corp.
MB Financial, Inc.
Medallion Financial Corp. (a)
Medical Properties Trust, Inc. REIT (a)
Medley Capital Corp. (a)
MGIC Investment Corp. †(a)
Monmouth Real Estate Investment Corp.,
Class A REIT (a)
Montpelier Re Holdings Ltd. (Bermuda) (a)
MVC Capital, Inc.
National Health Investors, Inc. REIT (a)
Nelnet, Inc., Class A
New Mountain Finance Corp. (a)
OmniAmerican Bancorp, Inc. †
One Liberty Properties, Inc. REIT (a)
OneBeacon Insurance Group Ltd.,
Class A (a)
41,100
1,400
9,200
10,800
30,100
8,300
7,526
16,000
7,300
5,400
9,900
29,900
20,400
7,600
9,600
14,300
$
623,487
29,022
157,780
148,176
420,196
166,498
255,508
355,040
59,641
100,656
72,765
326,508
91,800
347,624
169,632
439,296
14,300
26,600
9,100
17,700
21,200
199,342
150,024
161,707
290,280
550,564
15,300
7,500
8,000
900
3,600
1,500
3,300
14,900
3,000
13,700
23,900
7,000
7,600
18,600
10,700
15,800
13,600
6,282
1,900
7,700
7,700
27,700
28,200
140,500
366,741
160,875
195,040
12,366
76,608
51,750
197,208
336,442
52,350
288,796
269,114
239,750
210,900
217,248
417,835
177,276
376,584
293,683
43,282
206,360
107,107
396,664
382,956
852,835
8,600
14,200
4,300
10,400
7,900
14,200
2,200
1,300
84,882
355,142
54,137
622,544
285,111
201,072
48,466
28,548
14,400
208,512
Financials - 20.0% (continued)
Oritani Financial Corp.
PacWest Bancorp (a)
Parkway Properties, Inc. REIT
Pennsylvania Real Estate Investment
Trust REIT
PHH Corp. †(a)
Pinnacle Financial Partners, Inc. †(a)
Piper Jaffray Cos. †(a)
Platinum Underwriters Holdings
Ltd. (Bermuda)
Portfolio Recovery Associates, Inc. †
Potlatch Corp. REIT
Primerica, Inc.
PS Business Parks, Inc. REIT (a)
Radian Group, Inc. (a)
RAIT Financial Trust REIT
Ramco-Gershenson Properties
Trust REIT (a)
Retail Opportunity Investments
Corp. REIT (a)
Rockville Financial, Inc.
Sabra Health Care REIT, Inc. REIT
Safeguard Scientifics, Inc. †(a)
Safety Insurance Group, Inc.
Security National Financial Corp.,
Class A †(a)
Southside Bancshares, Inc. (a)
Sovran Self Storage, Inc. REIT
STAG Industrial, Inc. REIT
Stewart Information Services Corp. (a)
Strategic Hotels & Resorts, Inc. REIT †
Sun Communities, Inc. REIT (a)
Sunstone Hotel Investors, Inc. REIT †(a)
Symetra Financial Corp. (a)
THL Credit, Inc. (a)
TICC Capital Corp. (a)
Tompkins Financial Corp.
Triangle Capital Corp. (a)
United Financial Bancorp, Inc. (a)
Universal Health Realty Income Trust REIT
ViewPoint Financial Group, Inc. (a)
Virtus Investment Partners, Inc. †
Walker & Dunlop, Inc. †(a)
Walter Investment Management Corp. †
Washington Trust Bancorp, Inc. (a)
WesBanco, Inc.
Western Alliance Bancorp †(a)
WisdomTree Investments, Inc. †(a)
World Acceptance Corp. †(a)
WSFS Financial Corp.
14,100
6,400
23,100
$
221,088
196,160
387,156
34,900
9,400
11,500
9,700
658,912
191,572
295,665
306,617
9,600
2,700
9,500
10,100
3,600
88,500
50,100
549,312
414,801
384,180
378,144
259,812
1,028,370
376,752
19,800
307,494
18,200
6,200
24,100
4,700
1,900
252,980
81,096
629,251
75,435
92,169
18,400
7,387
8,600
33,400
16,100
25,000
7,909
29,100
19,200
10,700
21,800
1,500
18,300
900
4,100
21,200
5,100
7,900
15,320
2,400
9,200
27,400
46,000
400
2,000
108,928
176,402
557,194
666,330
421,659
221,500
393,552
351,528
307,008
162,533
209,716
67,785
503,433
13,635
176,833
441,172
898,977
138,250
517,969
68,448
243,156
433,742
532,220
34,776
104,780
38,767,797
Health Care - 17.1%
Abaxis, Inc. (a)
Acadia Healthcare Co., Inc. †(a)
ACADIA Pharmaceuticals, Inc. †(a)
Accuray, Inc. †(a)
AcelRx Pharmaceuticals, Inc. †(a)
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
9,300
24,700
51,600
10,900
23,000
441,843
816,829
936,540
62,566
213,210
(Continued)
57
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Health Care - 17.1% (continued)
Achillion Pharmaceuticals, Inc. †(a)
Acorda Therapeutics, Inc. †
Addus HomeCare Corp. †
Aegerion Pharmaceuticals, Inc. †(a)
Air Methods Corp. (a)
Akorn, Inc. †(a)
Albany Molecular Research, Inc. †
Alnylam Pharmaceuticals, Inc. †
AMN Healthcare Services, Inc. †
Amsurg Corp. †(a)
Analogic Corp.
AngioDynamics, Inc. †(a)
Antares Pharma, Inc. †(a)
Arena Pharmaceuticals, Inc. †(a)
Arqule, Inc. †(a)
Array BioPharma, Inc. †
ArthroCare Corp. †
Astex Pharmaceuticals †
Biolase, Inc. †
Bio-Reference Labs, Inc. †(a)
BioScrip, Inc. †(a)
Cambrex Corp. †(a)
Cantel Medical Corp. (a)
Capital Senior Living Corp. †
Cardiovascular Systems, Inc. †
Celldex Therapeutics, Inc. †
Celsion Corp. †(a)
Chemed Corp. (a)
Clovis Oncology, Inc. †(a)
CONMED Corp. (a)
Corvel Corp. †(a)
Curis, Inc. †
Cynosure, Inc., Class A †(a)
DexCom, Inc. †(a)
Emeritus Corp. †
Endocyte, Inc. †(a)
Endologix, Inc. †(a)
Ensign Group, Inc./The
Exact Sciences Corp. †(a)
Five Star Quality Care, Inc. †
Furiex Pharmaceuticals, Inc. †(a)
Galena Biopharma, Inc. †(a)
Genomic Health, Inc. †(a)
Gentiva Health Services, Inc. †
Hanger, Inc. †
HealthStream, Inc. †(a)
Hi-Tech Pharmacal Co., Inc.
ICU Medical, Inc. †(a)
Immunomedics, Inc. †(a)
Infinity Pharmaceuticals, Inc. †
Insmed, Inc. †(a)
Insulet Corp. †(a)
Isis Pharmaceuticals, Inc. †
Jazz Pharmaceuticals PLC (Ireland) †(a)
Keryx Biopharmaceuticals, Inc. †(a)
Ligand Pharmaceuticals, Inc., Class B †(a)
MannKind Corp. †(a)
5,000
6,000
10,000
14,000
18,300
6,900
19,800
26,400
18,600
8,000
5,400
3,100
62,000
66,100
6,200
83,000
5,000
69,000
21,422
10,200
31,000
8,300
9,949
23,700
14,500
45,300
63,300
4,200
10,200
3,700
3,200
40,700
14,200
33,500
13,100
15,900
18,700
3,500
6,200
27,400
7,600
85,900
2,100
18,200
9,600
17,400
4,700
4,700
19,800
32,400
34,700
9,000
27,000
2,300
56,200
8,400
129,400
$
40,900
197,940
197,400
886,760
620,004
93,288
235,026
818,664
266,352
280,800
393,282
34,968
257,920
508,970
14,384
376,820
172,650
283,590
76,689
293,250
511,500
115,951
336,973
566,430
307,400
707,133
64,566
304,206
683,196
115,588
93,664
129,833
368,916
752,075
303,658
208,767
248,336
123,270
86,242
153,714
258,932
190,698
66,591
181,272
303,648
440,568
156,040
338,682
107,712
526,500
415,012
282,690
725,490
158,079
419,814
314,328
841,100
Health Care - 17.1% (continued)
MedAssets, Inc. †
MedCath Corp. (3)†(a)(b)
Medicines Co./The †(a)
Medidata Solutions, Inc. †(a)
Merge Healthcare, Inc. †(a)
Merit Medical Systems, Inc. †(a)
MWI Veterinary Supply, Inc. †(a)
National Research Corp., Class B
Navidea Biopharmaceuticals, Inc. †(a)
Nektar Therapeutics †
Neogen Corp. †(a)
Neurocrine Biosciences, Inc. †
Novavax, Inc. †
NPS Pharmaceuticals, Inc. †(a)
OPKO Health, Inc. †(a)
Optimer Pharmaceuticals, Inc. †
OraSure Technologies, Inc. †
Orexigen Therapeutics, Inc. †(a)
Pacira Pharmaceuticals, Inc. †
PAREXEL International Corp. †(a)
Peregrine Pharmaceuticals, Inc. †(a)
Pharmacyclics, Inc. †
Providence Service Corp./The †
Puma Biotechnology, Inc. †
Quidel Corp. †(a)
Repros Therapeutics, Inc. †(a)
Rockwell Medical, Inc. †
RTI Biologics, Inc. †(a)
Sangamo Biosciences, Inc. †(a)
Santarus, Inc. †
Sarepta Therapeutics, Inc. †(a)
SciClone Pharmaceuticals, Inc. †(a)
Select Medical Holdings Corp. (a)
Spectranetics Corp. †(a)
Staar Surgical Co. †(a)
Sunesis Pharmaceuticals, Inc. †
Synageva BioPharma Corp. †
Synergy Pharmaceuticals, Inc. †(a)
Synta Pharmaceuticals Corp. †(a)
TearLab Corp. †(a)
TESARO, Inc. †
Threshold Pharmaceuticals, Inc. †(a)
Trius Therapeutics, Inc. †
Universal American Corp. (a)
US Physical Therapy, Inc. (a)
Vascular Solutions, Inc. †
Vical, Inc. †(a)
West Pharmaceutical Services, Inc.
Wright Medical Group, Inc. †(a)
XenoPort, Inc. †
ZIOPHARM Oncology, Inc. †(a)
AQR Funds
22,400
10,300
20,100
10,300
30,200
7,600
3,200
3,500
46,100
33,800
5,900
21,200
71,700
31,500
23,300
3,900
19,300
77,600
23,100
5,200
209,700
3,100
7,200
4,500
9,600
21,900
5,100
21,000
31,800
42,400
18,800
20,600
9,800
17,500
14,800
50,800
7,200
35,500
47,200
23,300
5,900
46,300
10,600
19,100
3,000
2,200
32,800
3,100
7,600
17,600
15,300
$
397,376
14,729
618,276
797,735
108,720
84,740
394,368
122,290
123,087
390,390
327,804
283,656
146,985
475,650
165,430
56,433
74,884
453,960
669,900
238,888
270,513
246,357
209,448
199,665
245,088
404,055
18,411
78,960
248,358
892,520
715,340
102,176
80,360
326,900
150,220
264,668
302,400
153,360
235,528
247,446
193,166
243,538
86,072
169,799
82,920
32,362
102,664
217,806
199,196
87,120
32,130
33,213,066
Industrials - 15.2%
AAON, Inc. (a)
Aceto Corp.
Advisory Board Co./The †(a)
The accompanying notes are an integral part of these financial statements.
58
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
4,700
7,400
4,100
155,476
103,082
224,065
(Continued)
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Industrials - 15.2% (continued)
Aegion Corp. †(a)
Aircastle Ltd. (a)
Alamo Group, Inc. (a)
Albany International Corp., Class A
Allegiant Travel Co.
Altra Holdings, Inc.
AMERCO
American Railcar Industries, Inc. (a)
American Woodmark Corp. †
Apogee Enterprises, Inc. (a)
Argan, Inc.
Astec Industries, Inc.
Astronics Corp. †
Avis Budget Group, Inc. †
AZZ, Inc.
Barrett Business Services, Inc.
Beacon Roofing Supply, Inc. †(a)
Briggs & Stratton Corp. (a)
Builders FirstSource, Inc. †(a)
CAI International, Inc. †(a)
CBIZ, Inc. †(a)
Celadon Group, Inc. (a)
Chart Industries, Inc. †(a)
CIRCOR International, Inc. (a)
Coleman Cable, Inc.
Corporate Executive Board Co./The
Deluxe Corp. (a)
DigitalGlobe, Inc. †
Douglas Dynamics, Inc. (a)
Ducommun, Inc. †
DXP Enterprises, Inc. †(a)
Dynamic Materials Corp. (a)
Echo Global Logistics, Inc. †(a)
Encore Wire Corp. (a)
EnerNOC, Inc. †
EnerSys, Inc. (a)
Erickson Air-Crane, Inc. †
Exponent, Inc.
Federal Signal Corp. †
Flow International Corp. †
Forward Air Corp.
Franklin Electric Co., Inc.
G&K Services, Inc., Class A
GenCorp, Inc. †(a)
Generac Holdings, Inc. (a)
Gibraltar Industries, Inc. †
Global Power Equipment Group, Inc. (a)
Gorman-Rupp Co./The (a)
GP Strategies Corp. †(a)
Granite Construction, Inc.
Great Lakes Dredge & Dock Corp.
H&E Equipment Services, Inc. (a)
Healthcare Services Group, Inc. (a)
Herman Miller, Inc.
HNI Corp. (a)
Hurco Cos., Inc. (a)
InnerWorkings, Inc. †(a)
Insteel Industries, Inc. (a)
6,800
3,900
1,200
6,000
7,400
6,500
1,100
11,000
7,600
15,600
2,300
4,900
5,400
6,100
8,900
7,300
16,300
6,700
37,900
6,100
10,400
3,900
2,400
3,800
10,300
5,800
9,700
28,100
6,500
5,400
6,600
2,800
4,100
2,900
20,200
10,000
10,500
4,900
12,200
11,400
2,500
10,600
4,000
36,200
6,500
11,300
2,400
1,600
5,000
5,000
33,500
15,800
13,300
13,700
5,300
300
12,900
3,700
$
153,068
62,361
48,984
197,880
784,326
177,970
178,090
368,610
263,720
374,400
35,880
168,021
220,698
175,375
343,184
381,133
617,444
132,660
226,642
143,777
69,784
71,175
225,816
193,268
186,018
366,676
336,105
871,381
84,370
114,804
439,560
46,228
79,909
98,890
267,852
490,400
197,505
289,639
106,750
42,066
95,700
356,690
190,400
588,612
240,565
164,528
38,688
50,944
119,100
148,800
261,970
332,906
326,116
370,859
191,171
8,631
139,965
64,824
Industrials - 15.2% (continued)
Interface, Inc.
JetBlue Airways Corp. †(a)
Kadant, Inc. (a)
Kaman Corp. (a)
KEYW Holding Corp./The †(a)
Lindsay Corp.
Lydall, Inc. †(a)
Macquarie Infrastructure Co. LLC
MasTec, Inc. †(a)
McGrath RentCorp. (a)
Middleby Corp. †
Mistras Group, Inc. †(a)
Mobile Mini, Inc. †
Mueller Industries, Inc.
Mueller Water Products, Inc., Class A
Multi-Color Corp. (a)
Navigant Consulting, Inc. †(a)
Odyssey Marine Exploration, Inc. †(a)
On Assignment, Inc. †
Park-Ohio Holdings Corp. †
Patrick Industries, Inc. †
Pendrell Corp. †
PGT, Inc. †
Pike Electric Corp.
Powell Industries, Inc. †
PowerSecure International, Inc. †
Primoris Services Corp.
Proto Labs, Inc. †
Quad/Graphics, Inc. (a)
Quality Distribution, Inc. †(a)
Quanex Building Products Corp. (a)
Raven Industries, Inc. (a)
RBC Bearings, Inc. †
Republic Airways Holdings, Inc. †
Revolution Lighting Technologies, Inc. †
Roadrunner Transportation Systems, Inc. †
Rush Enterprises, Inc., Class A †(a)
Saia, Inc. †
Seaspan Corp. (Hong Kong)
SkyWest, Inc.
Standex International Corp.
Steelcase, Inc., Class A
Sun Hydraulics Corp. (a)
Swift Transportation Co. †
Taser International, Inc. †(a)
Team, Inc. †(a)
Tennant Co. (a)
Textainer Group Holdings Ltd. (a)
Thermon Group Holdings, Inc. †(a)
Titan Machinery, Inc. †(a)
Trex Co., Inc. †(a)
TriMas Corp. †(a)
Tutor Perini Corp. †
Twin Disc, Inc. (a)
UniFirst Corp.
Universal Forest Products, Inc. (a)
US Ecology, Inc.
Viad Corp.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
18,400
67,300
3,300
5,100
22,100
2,700
8,800
2,800
8,400
4,400
1,100
8,900
18,000
2,700
76,900
6,200
7,300
26,100
27,700
1,800
19,800
20,600
50,400
11,800
1,200
12,700
13,000
9,000
14,800
12,000
9,800
6,400
2,800
35,800
53,000
3,000
5,900
15,300
3,700
13,600
3,500
45,900
6,700
27,500
43,800
6,600
5,000
2,100
10,600
3,900
9,700
17,600
10,900
2,900
4,100
7,000
5,300
5,800
$
312,248
423,990
99,561
176,256
292,825
202,446
128,480
149,660
276,360
150,304
187,099
156,462
596,700
136,161
531,379
188,108
87,600
77,256
740,144
59,364
411,642
53,972
436,968
145,140
61,980
190,881
256,360
584,730
356,680
106,080
165,032
191,872
145,460
405,614
212,000
83,520
146,025
458,541
76,775
184,144
184,625
669,222
209,576
454,850
373,176
249,810
241,350
80,724
216,240
76,557
460,653
656,128
197,181
68,730
374,125
279,440
145,432
142,216
(Continued)
59
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Industrials - 15.2% (continued)
Wabash National Corp. †
WageWorks, Inc. †
XPO Logistics, Inc. †(a)
YRC Worldwide, Inc. †
23,600
5,700
11,600
7,400
$
240,248
196,365
209,844
212,750
29,390,572
Information Technology - 14.4%
3D Systems Corp. †(a)
Accelrys, Inc. †(a)
ACI Worldwide, Inc. †(a)
Actuate Corp. †(a)
Acxiom Corp. †
Advanced Energy Industries, Inc. †(a)
Alliance Fiber Optic Products, Inc.
Angie’s List, Inc. †(a)
AOL, Inc. †
ARRIS Group, Inc. †(a)
Aspen Technology, Inc. †
ATMI, Inc. †
Axcelis Technologies, Inc. †
Badger Meter, Inc. (a)
Blucora, Inc. †(a)
Booz Allen Hamilton Holding Corp. (a)
BroadSoft, Inc. †(a)
Brooks Automation, Inc. (a)
CalAmp Corp. †(a)
Callidus Software, Inc. †
Cardtronics, Inc. †
CIBER, Inc. †(a)
Computer Task Group, Inc.
Comtech Telecommunications Corp.
Convergys Corp. (a)
Cornerstone OnDemand, Inc. †(a)
Cray, Inc. †(a)
CSG Systems International, Inc. †(a)
Datalink Corp. †(a)
Dealertrack Technologies, Inc. †
Electro Rent Corp.
Electronics for Imaging, Inc. †
Ellie Mae, Inc. †
Emcore Corp. †(a)
Entegris, Inc. †
EPIQ Systems, Inc.
ePlus, Inc.
Euronet Worldwide, Inc. †(a)
ExlService Holdings, Inc. †
Fair Isaac Corp.
FEI Co.
Forrester Research, Inc.
Global Cash Access Holdings, Inc. †(a)
Globecomm Systems, Inc. †
Glu Mobile, Inc. †(a)
GSI Group, Inc. †(a)
Guidewire Software, Inc. †
Hutchinson Technology, Inc. †
Immersion Corp. †(a)
Infinera Corp. †
Insight Enterprises, Inc. †(a)
600
7,200
7,100
14,700
21,500
9,200
7,600
22,300
4,100
28,100
4,000
11,000
42,100
3,300
19,000
24,000
5,700
11,100
24,100
16,900
5,400
10,100
4,100
4,000
19,600
24,100
28,000
7,000
8,000
1,300
1,200
12,300
24,000
7,250
9,600
4,100
1,200
3,800
4,000
6,200
1,900
3,800
38,500
5,100
38,000
6,900
13,300
31,500
20,100
17,700
11,200
26,340
60,480
330,008
97,608
487,620
160,172
152,076
592,065
149,568
403,235
115,160
260,150
76,622
147,015
352,260
417,120
157,320
108,003
351,860
111,371
149,040
33,734
94,177
107,560
341,628
1,043,289
549,920
151,900
85,120
46,059
20,148
347,967
553,920
26,100
90,144
55,227
71,868
121,068
118,240
284,146
138,681
139,422
241,010
64,464
83,600
55,476
559,265
148,995
266,325
188,859
198,688
SHARES
Information Technology - 14.4% (continued)
Integrated Silicon Solution, Inc. †(a)
7,500
Interactive Intelligence Group, Inc. †
3,200
InterDigital, Inc.
11,800
Internap Network Services Corp. †(a)
7,800
Ixia †(a)
26,100
j2 Global, Inc. (a)
11,800
Keynote Systems, Inc. (a)(2)
2,900
Kulicke & Soffa Industries, Inc. †
17,100
Littelfuse, Inc.
2,900
LivePerson, Inc. †(a)
20,251
Manhattan Associates, Inc. †
8,300
MAXIMUS, Inc.
4,200
Measurement Specialties, Inc. †
3,900
Mentor Graphics Corp.
8,000
Mercury Systems, Inc. †(a)
4,500
Meru Networks, Inc. †
14,500
Methode Electronics, Inc. (a)
12,300
Mitek Systems, Inc. †(a)
15,900
Monolithic Power Systems, Inc. (a)
12,700
Monotype Imaging Holdings, Inc. (a)
10,400
MTS Systems Corp. (a)
2,200
Nanometrics, Inc. †(a)
8,800
Netlist, Inc. †(a)
13,900
Netscout Systems, Inc. †(a)
14,200
NetSol Technologies, Inc. †(a)
14,600
NIC, Inc. (a)
25,600
NVE Corp. †
2,400
OpenTable, Inc. †(a)
7,100
Parkervision, Inc. †(a)
91,700
PC Connection, Inc. (a)
6,800
PDF Solutions, Inc. †
12,000
Procera Networks, Inc. †(a)
9,600
PROS Holdings, Inc. †
8,200
Rambus, Inc. †
22,300
Richardson Electronics Ltd. (a)
300
Rogers Corp. †
3,100
Rudolph Technologies, Inc. †(a)
15,000
Saba Software, Inc. †(a)
6,900
Sanmina Corp. †
17,400
SciQuest, Inc. †(a)
2,000
Seachange International, Inc. †
4,300
Silicon Graphics International Corp. †(a)
12,700
Sourcefire, Inc. †(a)
1,900
SPS Commerce, Inc. †(a)
8,300
SS&C Technologies Holdings, Inc. †
8,500
Stamps.com, Inc. †(a)
5,600
Stratasys Ltd. †
2,600
SunEdison, Inc. †(a)
96,000
SunPower Corp. †(a)
43,400
Super Micro Computer, Inc. †(a)
9,400
support.com, Inc. †
12,700
Synaptics, Inc. †
5,700
Synchronoss Technologies, Inc. †
6,300
SYNNEX Corp. †(a)
2,600
Take-Two Interactive Software, Inc. †
12,900
Telenav, Inc. †
9,300
TiVo, Inc. †
11,300
Tyler Technologies, Inc. †
11,700
Ultimate Software Group, Inc. †(a)
800
The accompanying notes are an integral part of these financial statements.
60
AQR Funds
Semi-Annual Report
June 2013
VALUE
(Note 2)
$
82,200
165,120
526,870
64,506
480,240
501,618
57,304
189,126
216,369
181,348
640,428
312,816
181,467
156,400
41,490
58,435
209,223
91,902
306,197
264,264
124,520
129,096
12,232
331,428
146,876
423,168
112,368
454,045
417,235
105,060
221,160
131,808
245,590
191,557
3,522
146,692
168,000
67,275
249,690
50,100
50,353
169,926
105,545
456,500
279,650
220,584
217,724
784,320
898,380
100,016
58,039
219,792
194,481
109,928
193,113
48,639
124,865
802,035
93,832
(Continued)
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
SHARES
Information Technology - 14.4% (continued)
Ultratech, Inc. †
9,500
Uni-Pixel, Inc. †(a)
14,600
United Online, Inc.
28,600
ValueClick, Inc. †(a)
25,700
Veeco Instruments, Inc. †(a)
6,400
Virtusa Corp. †
4,600
Vishay Intertechnology, Inc. †
13,800
Web.com Group, Inc. †(a)
14,700
Yelp, Inc. †
10,600
Zillow, Inc., Class A †(a)
12,600
Zix Corp. †(a)
14,200
VALUE
(Note 2)
$
348,840
214,766
216,788
634,276
226,688
101,936
191,682
376,320
368,562
709,380
60,066
27,967,864
Materials - 4.9%
A Schulman, Inc.
A.M. Castle & Co. †
ADA-ES, Inc. †
AEP Industries, Inc. †
American Pacific Corp. †
American Vanguard Corp.
Axiall Corp. (a)
Balchem Corp. (a)
Boise, Inc. (a)
Chemtura Corp. †
Clearwater Paper Corp. †
Deltic Timber Corp. (a)
Flotek Industries, Inc. †
Graphic Packaging Holding Co. †
H.B. Fuller Co.
Hawkins, Inc. (a)
Haynes International, Inc.
Headwaters, Inc. †
Innophos Holdings, Inc.
Innospec, Inc.
Kaiser Aluminum Corp. (a)
KapStone Paper and Packaging Corp.
Koppers Holdings, Inc.
Kraton Performance Polymers, Inc. †
Louisiana-Pacific Corp. †
Material Sciences Corp. †
Minerals Technologies, Inc.
Myers Industries, Inc.
Neenah Paper, Inc.
PolyOne Corp. (a)
Quaker Chemical Corp. (a)
RTI International Metals, Inc. †(a)
Schweitzer-Mauduit International, Inc.
Stepan Co.
SunCoke Energy, Inc. †
Texas Industries, Inc. †(a)
Tredegar Corp.
Universal Stainless & Alloy Products,
Inc. †(a)
US Concrete, Inc. †
US Silica Holdings, Inc. (a)
Vista Gold Corp. †(a)
Worthington Industries, Inc. (a)
9,100
11,100
4,300
2,400
1,700
13,800
1,200
4,800
31,500
1,600
7,300
1,900
6,100
19,900
9,300
600
1,400
65,200
3,500
6,700
6,100
13,300
3,700
6,200
6,700
2,100
7,900
10,900
4,000
14,500
5,200
5,500
400
7,500
6,800
9,900
5,000
244,062
174,936
181,116
178,536
48,195
323,334
51,096
214,800
269,010
32,480
343,538
109,858
109,434
154,026
351,633
23,634
67,018
576,368
165,095
269,206
377,834
534,394
141,266
131,440
99,093
21,126
326,586
163,609
127,080
359,310
322,452
152,405
19,952
417,075
95,336
644,886
128,500
900
3,100
21,900
33,900
28,600
26,532
50,902
455,082
32,883
906,906
9,422,024
Telecommunication Services - 1.2%
8x8, Inc. †
Atlantic Tele-Network, Inc. (a)
Cincinnati Bell, Inc. †
Cogent Communications Group, Inc. (a)
General Communication, Inc., Class A †
IDT Corp., Class B
inContact, Inc. †(a)
NTELOS Holdings Corp.
Premiere Global Services, Inc. †
Vonage Holdings Corp. †
64,800
2,200
82,000
19,100
4,600
12,100
14,500
6,450
10,600
70,600
$
533,952
109,252
250,920
537,665
36,018
226,149
119,190
106,167
127,942
199,798
2,247,053
Utilities - 0.8%
American States Water Co. (a)
Chesapeake Utilities Corp. (a)
Connecticut Water Service, Inc. (a)
MGE Energy, Inc. (a)
Middlesex Water Co.
Otter Tail Corp. (a)
Unitil Corp.
UNS Energy Corp.
6,300
7,400
2,900
3,600
4,300
5,700
4,200
3,700
338,121
381,026
83,230
197,136
85,656
161,880
121,296
165,501
1,533,846
TOTAL COMMON STOCKS
(cost $154,755,661)
192,890,244
PREFERRED STOCKS - 0.1%
Utilities - 0.1%
Genie Energy Ltd., Series 12-A (a)(c)(2)
(cost $54,362)
5,900
47,200
4,000
—
2,980
417
3,380,113
3,380,113
RIGHTS - 0.0% (d)
Information Technology - 0.0% (d)
Gerber Scientific, Inc., (3)†(b)
(cost $-)
WARRANTS - 0.0% (d)
Energy - 0.0% (d)
Magnum Hunter Resources Corp. †
(cost $-)
MONEY MARKET FUNDS - 1.7%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(e)
(cost $3,380,113)
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON
LOAN - 29.4%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (2)(e)(f)
(cost $57,021,813)
57,021,813
57,021,813
TOTAL INVESTMENTS - 130.7%
(cost $215,211,949)
LIABILITIES IN EXCESS OF OTHER
ASSETS - (30.7%) (g)
NET ASSETS - 100.0%
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
253,339,787
(59,476,380)
$193,863,407
(Continued)
61
Schedules of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP MOMENTUM FUND
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $54,406,226; cash collateral of $57,021,813
was received with which the Fund purchased a money market fund.
(b) Security fair valued at as of June 30, 2013 using procedures
approved by the Board of Trustees. The total value of positions fair
valued was $14,729 or 0.0% of total net assets.
(c) Security is perpetual and, thus, does not have a predetermined
maturity date. The coupon rate for this security is fixed for a period
of time and may be structured to adjust thereafter. The date shown,
if applicable, reflects the next call date. The coupon rate shown is
the rate in effect as of June 30, 2013.
(d) Represents less than 0.05 percent of net assets.
(e) Represents annualized seven-day yield as of June 30, 2013.
(f) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
(g) Includes appreciation on futures contracts.
All securities are Level 1, with respect to ASC 820 unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
(3) Level 3 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF
CONTRACTS
DESCRIPTION
Long Contracts:
10
E-Mini Russell 2000 Futures
EXPIRATION
DATE
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
September 20, 2013
$970,634
$974,700
$4,066
Cash held as collateral with broker for futures contracts was $42,751 at June 30, 2013.
The accompanying notes are an integral part of these financial statements.
62
AQR Funds
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL MOMENTUM FUND
COMMON STOCKS - 98.7%
Australia - 7.7%
ALS Ltd.
Amcor Ltd.
AMP Ltd.
Atlas Iron Ltd.
Aurizon Holdings Ltd.
Australia & New Zealand Banking Group
Ltd.
Caltex Australia Ltd.
CFS Retail Property Trust Group REIT
Coca-Cola Amatil Ltd.
Cochlear Ltd.
Commonwealth Bank of Australia
Commonwealth Property Office Fund REIT
Crown Ltd.
CSL Ltd.
Dexus Property Group REIT
Goodman Group REIT
GPT Group REIT
Insurance Australia Group Ltd.
Macquarie Group Ltd.
Mesoblast Ltd. †
Mirvac Group REIT
National Australia Bank Ltd.
New Hope Corp. Ltd.
OZ Minerals Ltd.
Paladin Energy Ltd. †
Ramsay Health Care Ltd.
Shopping Centres Australasia Property
Group REIT
Sonic Healthcare Ltd.
Suncorp Group Ltd.
Telecom Corp of New Zealand Ltd.
Telstra Corp. Ltd.
Wesfarmers Ltd.
Westfield Group REIT
Westfield Retail Trust REIT
Westpac Banking Corp.
Woolworths Ltd.
WorleyParsons Ltd.
VALUE
(Note 2)
SHARES
11,725
30,438
37,576
18,245
27,946
$
102,070
281,305
145,322
12,392
106,154
27,610
4,085
41,469
10,216
3,817
33,805
75,980
25,641
17,856
90,954
53,923
38,389
62,946
14,246
10,394
60,599
30,459
14,557
4,289
12,165
3,907
716,738
67,191
75,605
118,363
214,225
2,127,893
76,148
282,664
1,003,088
88,698
239,740
134,796
312,445
543,355
50,156
88,717
823,915
47,483
16,097
9,690
127,703
3,776
6,491
23,321
36,210
375,951
32,711
93,579
145,956
79,227
37,837
2,954
5,489
88,182
253,291
62,537
1,634,437
1,183,684
980,112
412,777
2,080,096
1,133,470
52,331
15,698,359
Austria - 0.6%
Andritz AG
Erste Group Bank AG
Immofinanz AG NPV †
Lenzing AG
OMV AG
Raiffeisen Bank International AG †
3,800
14,518
63,665
606
4,423
3,673
194,969
386,959
237,565
43,317
199,527
106,935
1,169,272
Belgium - 1.5%
Ageas
Anheuser-Busch InBev NV
Belgacom SA
KBC Groep NV
RTL Group SA
Solvay SA
UCB SA
11,340
17,502
2,566
13,009
766
944
6,382
397,903
1,575,761
57,453
484,967
62,711
123,606
342,591
Belgium - 1.5% (continued)
Umicore SA
2,884
$
119,758
3,164,750
Canada - 3.7%
Alimentation Couche Tard, Inc.,
Class B (1)
Atco Ltd., Class I (1)
Boardwalk Real Estate Investment Trust
REIT (1)
Brookfield Office Properties, Inc. (1)
Calloway Real Estate Investment Trust
REIT (1)
Canadian National Railway Co. (1)
Canadian Pacific Railway Ltd. (1)
Canadian Utilities Ltd., Class A (1)
CGI Group, Inc., Class A (1) †
CI Financial Corp. (1)
Dollarama, Inc. (1)
Domtar Corp. (1)
Emera, Inc. (1)
Empire Co., Ltd., Class A (1)
First Capital Realty, Inc. (1)
First Majestic Silver Corp. (1) †
Gildan Activewear, Inc. (1)
Husky Energy, Inc. (1)
Keyera Corp. (1)
Loblaw Cos., Ltd. (1)
Lululemon Athletica, Inc. †
Magna International, Inc. (1)
Methanex Corp. (1)
Metro, Inc. (1)
Onex Corp. (1)
Paramount Resources Ltd., Class A (1) †
Rogers Communications, Inc., Class B (1)
Shoppers Drug Mart Corp. (1)
Sun Life Financial, Inc. (1)
Tourmaline Oil Corp. (1) †
West Fraser Timber Co., Ltd. (1)
13,400
2,000
795,056
82,514
1,500
7,200
83,137
119,738
3,200
7,800
7,900
3,400
10,200
3,300
4,000
900
2,100
1,100
3,800
4,300
3,000
8,100
1,700
5,900
3,000
2,800
2,000
4,200
2,400
2,400
32,300
200
11,800
4,700
2,300
78,228
759,456
957,960
119,325
298,716
94,981
279,966
59,860
65,953
84,113
64,496
45,629
121,660
215,805
91,425
266,754
181,905
199,304
85,671
281,464
108,898
81,354
1,265,342
9,227
349,501
188,277
173,861
7,609,576
Denmark - 0.8%
Carlsberg A/S, Class B
Coloplast A/S, Class B
Danske Bank A/S †
DSV A/S
Novo Nordisk A/S, Class B
3,117
14,794
11,758
2,710
2,415
278,710
828,376
200,579
66,016
375,442
1,749,123
Finland - 1.0%
Kone OYJ, Class B
Konecranes OYJ
Orion OYJ, Class B
Sampo OYJ, A Shares
Wartsila OYJ
7,497
3,800
4,687
24,792
8,465
594,658
108,159
109,826
965,397
367,762
2,145,802
France - 7.6%
Air Liquide SA
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
3,601
444,723
(Continued)
63
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
France - 7.6% (continued)
AXA SA
BNP Paribas SA
Bureau Veritas SA
Christian Dior SA
Cie Generale des Etablissements Michelin
Credit Agricole SA †
Dassault Systemes SA
Edenred
Essilor International SA
European Aeronautic Defence and Space
Co. NV
Eutelsat Communications SA
Hermes International
Iliad SA
Kering
Lafarge SA
L’Oreal SA
LVMH Moet Hennessy Louis Vuitton SA
Natixis
Pernod-Ricard SA
Publicis Groupe SA
Renault SA
Rexel SA
Safran SA
Sanofi
Schneider Electric SA
SCOR SE
SEB SA
Societe Generale SA
Sodexo
Technip SA
Total SA
Unibail-Rodamco SE REIT
25,427
28,775
2,364
1,623
1,933
76,413
1,844
3,620
3,545
$
14,060
3,108
1,274
1,834
2,717
5,316
7,307
971
99,537
4,394
5,534
5,669
4,367
2,192
27,404
4,553
2,421
592
19,704
1,964
1,542
6,227
3,100
501,235
1,575,289
61,217
262,201
172,841
657,674
225,387
110,843
377,677
752,221
88,177
411,207
396,232
552,875
326,419
1,201,158
157,646
417,929
487,708
394,127
381,850
98,392
114,436
2,833,042
330,670
74,306
47,913
678,123
163,523
156,717
304,147
722,006
15,479,911
Germany - 4.2%
Allianz SE
Bayer AG
Beiersdorf AG
Continental AG
Deutsche Lufthansa AG †
Deutsche Post AG
GEA Group AG
Hannover Rueckversicherung SE
HeidelbergCement AG
MAN SE
Merck KGaA
Muenchener Rueckversicherungs AG
SAP AG
Suedzucker AG
5,550
19,718
12,384
211
26,823
25,099
2,796
4,457
2,298
1,150
7,198
6,099
2,925
6,605
810,086
2,099,388
1,078,758
28,128
543,365
622,908
98,999
320,490
153,968
125,374
1,094,671
1,120,464
213,592
204,487
8,514,678
Hong Kong - 3.7%
AAC Technologies Holdings, Inc.
AIA Group Ltd.
ASM Pacific Technology Ltd.
BOC Hong Kong Holdings Ltd.
Cheung Kong Holdings Ltd.
35,500
19,400
9,700
123,000
13,000
199,172
81,732
106,484
376,268
175,298
Hong Kong - 3.7% (continued)
Cheung Kong Infrastructure Holdings Ltd.
CLP Holdings Ltd.
First Pacific Co., Ltd.
Galaxy Entertainment Group Ltd. †
Giordano International Ltd.
Hang Seng Bank Ltd.
Henderson Land Development Co., Ltd.
Hong Kong & China Gas Co., Ltd.
Hongkong Land Holdings Ltd.
Hopewell Holdings Ltd.
Hutchison Whampoa Ltd.
Hysan Development Co., Ltd.
Lifestyle International Holdings Ltd.
Link REIT/The REIT
Melco International Development Ltd.
MGM China Holdings Ltd.
MTR Corp. Ltd.
New World Development Co., Ltd.
NWS Holdings Ltd.
Orient Overseas International Ltd.
Sands China Ltd.
Shangri-La Asia Ltd.
Sino Land Co., Ltd.
SJM Holdings Ltd.
SmarTone Telecommunications Holdings
Ltd.
Stella International Holdings Ltd.
Swire Properties Ltd.
Techtronic Industries Co.
Television Broadcasts Ltd.
Wharf Holdings Ltd.
Wheelock & Co., Ltd.
AQR Funds
10,000
1,500
72,000
135,000
64,000
22,500
64,900
193,600
84,000
32,000
11,000
25,000
33,500
59,500
103,000
66,000
60,500
196,000
61,000
19,000
112,000
24,000
168,000
79,000
31,500
32,500
50
70,000
10,000
84,000
41,000
$
66,634
12,126
76,967
655,754
55,809
331,349
385,433
472,395
575,144
106,206
115,085
107,928
69,921
292,007
193,263
175,141
222,327
269,222
93,519
121,706
523,384
41,257
234,893
191,718
52,046
89,703
147
166,182
68,440
701,099
204,564
7,610,323
Israel - 0.5%
Bank Hapoalim BM †
Bezeq The Israeli Telecommunication
Corp. Ltd.
Israel Chemicals Ltd.
Israel Corp. Ltd./The †
Mellanox Technologies Ltd. †
Teva Pharmaceutical Industries Ltd.
75,018
338,555
22,496
25,004
62
1,786
5,105
29,909
245,550
36,965
88,794
199,798
939,571
Italy - 1.3%
Davide Campari-Milano SpA
Exor SpA
Fiat Industrial SpA
Gtech Spa
Luxottica Group SpA
Pirelli & C. SpA
Prysmian SpA
Salvatore Ferragamo Italia SpA
UniCredit SpA
11,007
4,986
11,479
13,558
15,970
20,366
14,955
5,363
104,726
79,744
147,662
127,783
339,257
808,008
235,434
278,984
166,779
489,582
2,673,233
Japan - 40.8%
77 Bank Ltd./The
The accompanying notes are an integral part of these financial statements.
64
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
35,000
166,205
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
Japan - 40.8% (continued)
Acom Co., Ltd. †
Advance Residence Investment Corp. REIT
Advantest Corp.
Aeon Credit Service Co., Ltd.
Aeon Mall Co., Ltd.
Aiful Corp. †
Aozora Bank Ltd.
Asics Corp.
Astellas Pharma, Inc.
Autobacs Seven Co., Ltd.
Bank of Yokohama Ltd./The
Bridgestone Corp.
Calbee, Inc.
Calsonic Kansei Corp.
Casio Computer Co., Ltd.
Central Japan Railway Co.
Century Tokyo Leasing Corp.
Chiba Bank Ltd./The
Chiyoda Corp.
Chugai Pharmaceutical Co., Ltd.
Chugoku Bank Ltd./The
Cosmos Pharmaceutical Corp.
Credit Saison Co., Ltd.
Daido Steel Co., Ltd.
Dai-ichi Life Insurance Co., Ltd./The
Daiichi Sankyo Co., Ltd.
Daikin Industries Ltd.
Dainippon Screen Manufacturing Co.,
Ltd. †
Dainippon Sumitomo Pharma Co., Ltd.
Daito Trust Construction Co., Ltd.
Daiwa House Industry Co., Ltd.
Daiwa Securities Group, Inc.
Dena Co., Ltd.
Denso Corp.
East Japan Railway Co.
FamilyMart Co., Ltd.
FANUC Corp.
Fast Retailing Co., Ltd.
Fuji Heavy Industries Ltd.
Fukuoka Financial Group, Inc.
GungHo Online Entertainment, Inc. †
Hankyu Hanshin Holdings, Inc.
Heiwa Corp.
Hikari Tsushin, Inc.
Hino Motors Ltd.
Hirose Electric Co., Ltd.
Hisamitsu Pharmaceutical Co., Inc.
Hitachi Capital Corp.
Hitachi Ltd.
Hitachi Transport System Ltd.
Honda Motor Co., Ltd.
Hoshizaki Electric Co., Ltd.
House Foods Corp.
Ichigo Group Holdings Co., Ltd.
IHI Corp.
Industrial & Infrastructure Fund Investment
Corp. REIT
16,710
67
5,300
12,200
14,900
108,650
58,000
16,000
17,700
3,300
34,000
25,400
3,600
14,000
53,700
3,900
4,800
27,000
7,000
21,800
5,000
4,300
3,800
12,000
231
10,500
14,500
$
531,589
145,255
87,327
345,594
369,639
909,695
181,138
252,154
961,537
50,201
175,394
866,146
341,671
58,303
472,976
475,332
124,875
184,219
82,557
451,245
70,062
436,053
95,483
60,578
331,611
174,980
586,087
7,000
28,200
1,100
25,000
170,000
4,900
25,100
7,900
6,000
300
3,300
51,000
41,000
580
52,000
3,300
2,600
32,000
1,400
3,400
8,600
660
3,200
12,600
3,200
3,600
349
27,000
36,979
372,957
103,642
465,676
1,423,737
95,932
1,180,031
614,877
256,011
43,418
1,113,765
1,259,406
174,380
633,664
295,963
57,834
140,544
469,566
184,394
172,533
169,952
4,229
52,565
468,083
102,478
58,712
242,490
102,155
20
194,513
Japan - 40.8% (continued)
Isetan Mitsukoshi Holdings Ltd.
Isuzu Motors Ltd.
Ito En Ltd.
Itochu Techno-Solutions Corp.
J Front Retailing Co., Ltd.
Jafco Co., Ltd.
Japan Prime Realty Investment Corp. REIT
Japan Real Estate Investment Corp. REIT
Japan Retail Fund Investment Corp. REIT
Japan Tobacco, Inc.
JGC Corp.
Joyo Bank Ltd./The
Kakaku.com, Inc.
Kao Corp.
KDDI Corp.
Keisei Electric Railway Co., Ltd.
Keyence Corp.
Kikkoman Corp.
Kintetsu Corp. (a)
Kirin Holdings Co., Ltd.
Kubota Corp.
Kyowa Hakko Kirin Co., Ltd.
Kyushu Electric Power Co., Inc. †
Lawson, Inc.
M3, Inc.
Makita Corp.
Matsui Securities Co. Ltd.
Mazda Motor Corp. †
Miraca Holdings, Inc.
Mitsubishi Electric Corp.
Mitsubishi Estate Co., Ltd.
Mitsubishi Heavy Industries, Ltd.
Mitsubishi Logistics Corp.
Mitsubishi Motors Corp. †
Mitsubishi UFJ Financial Group, Inc.
Mitsui Fudosan Co., Ltd.
Mizuho Financial Group, Inc.
MS&AD Insurance Group Holdings
Murata Manufacturing Co., Ltd.
Namco Bandai Holdings, Inc.
NEC Corp.
NHK Spring Co., Ltd.
Nippon Building Fund, Inc. REIT
Nippon Express Co., Ltd.
Nippon Shokubai Co., Ltd.
Nippon Television Holdings, Inc.
Nishi-Nippon City Bank Ltd./The
Nissan Motor Co., Ltd.
Nitto Denko Corp.
Nomura Holdings, Inc.
Nomura Real Estate Holdings, Inc.
Nomura Research Institute Ltd.
NSK Ltd.
NTT Urban Development Corp.
Obayashi Corp.
Odakyu Electric Railway Co., Ltd.
Okasan Securities Group, Inc.
Olympus Corp. †
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
12,900
82,000
8,600
6,900
27,000
10,900
56
32
106
52,600
8,000
53,000
12,500
12,300
19,900
20,000
2,440
11,000
71,000
23,000
54,000
6,000
13,400
1,300
69
7,300
62,200
221,000
1,700
22,000
78,000
97,000
21,000
377,000
586,700
46,000
951,000
9,300
4,200
12,300
142,000
12,500
33
39,000
7,000
5,100
21,000
31,100
9,200
251,100
16,900
3,500
22,000
340
38,000
28,000
50,000
14,400
$
171,294
560,548
199,078
285,630
215,316
414,022
171,359
357,464
221,450
1,856,651
288,100
289,457
381,714
418,711
1,036,262
187,373
777,410
182,983
311,690
360,279
785,882
67,820
201,954
99,202
154,765
392,465
550,484
873,710
78,120
205,570
2,076,663
539,277
293,034
516,036
3,623,383
1,352,402
1,974,935
235,571
319,473
199,352
310,959
144,323
382,190
185,195
71,602
93,186
54,760
311,703
590,048
1,848,289
373,316
113,668
209,877
417,317
197,034
273,439
413,013
437,579
(Continued)
65
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
Japan - 40.8% (continued)
Omron Corp.
Ono Pharmaceutical Co., Ltd.
Orient Corp. †
Oriental Land Co., Ltd.
ORIX Corp.
Orix JREIT, Inc. REIT
Otsuka Corp.
Otsuka Holdings Co., Ltd.
Park24 Co., Ltd.
Ricoh Co., Ltd.
Ryohin Keikaku Co., Ltd.
Santen Pharmaceutical Co., Ltd.
Sawai Pharmaceutical Co., Ltd.
Sekisui Chemical Co., Ltd.
Sekisui House Ltd.
Seven & I Holdings Co., Ltd.
Seven Bank Ltd.
Shimamura Co., Ltd.
Shimano, Inc.
Shin-Etsu Chemical Co., Ltd.
Shinsei Bank Ltd.
Shionogi & Co., Ltd.
SKY Perfect JSAT Holdings, Inc.
SMC Corp.
Softbank Corp.
Sony Corp.
Sugi Holdings Co., Ltd.
Sumitomo Corp.
Sumitomo Forestry Co., Ltd.
Sumitomo Mitsui Financial Group, Inc.
Sumitomo Mitsui Trust Holdings, Inc.
Sumitomo Realty & Development Co., Ltd.
Sumitomo Rubber Industries Ltd.
Suruga Bank Ltd.
Suzuki Motor Corp.
Sysmex Corp.
Taiheiyo Cement Corp.
Taisei Corp.
Takara Bio, Inc.
Takeda Pharmaceutical Co., Ltd.
Tobu Railway Co., Ltd.
Toho Gas Co., Ltd.
Tohoku Electric Power Co., Inc. †
Tokai Tokyo Financial Holdings, Inc.
Tokio Marine Holdings, Inc.
Tokyo Electric Power Co., Inc †
Tokyo Gas Co., Ltd.
Tokyo Tatemono Co., Ltd.
Tokyu Corp.
Tokyu Land Corp.
Toshiba Corp.
Toshiba TEC Corp.
Toyoda Gosei Co., Ltd.
Toyota Industries Corp.
Toyota Motor Corp.
Toyota Tsusho Corp.
Trend Micro, Inc.
Tsumura & Co.
6,800
2,500
215,500
3,400
77,400
155
2,000
10,000
14,900
13,000
2,200
2,100
700
27,000
31,000
10,300
56,100
2,300
4,000
14,700
170,000
18,000
133
1,000
34,700
28,200
2,600
18,100
9,300
62,200
140,000
27,000
10,900
31,000
5,800
6,100
49,000
28,000
10,400
21,800
73,000
17,000
16,300
54,700
11,400
173,200
23,000
90,000
57,000
74,000
37,000
25,000
6,000
11,600
117,200
18,400
3,500
6,300
$
202,728
170,175
517,572
526,170
1,056,256
176,916
223,059
330,189
270,316
154,054
180,343
90,877
83,575
286,700
447,903
377,221
203,367
279,202
340,739
972,924
386,044
375,361
60,809
200,476
2,019,885
595,759
98,891
225,591
113,373
2,847,084
653,220
1,076,061
177,933
562,169
133,692
399,522
156,369
101,079
242,232
983,049
376,214
87,913
203,520
372,238
359,727
894,121
126,892
748,895
373,222
677,392
177,362
134,570
146,698
473,720
7,069,251
473,117
111,275
185,664
Japan - 40.8% (continued)
Tsuruha Holdings, Inc.
Unicharm Corp.
United Urban Investment Corp. REIT
USS Co., Ltd.
Wacom Co., Ltd.
Yahoo Japan Corp.
Yakult Honsha Co., Ltd.
Yamaha Motor Co., Ltd.
Yokogawa Electric Corp.
Yokohama Rubber Co., Ltd./The
Zensho Holdings Co., Ltd. (a)
AQR Funds
3,500
4,200
112
1,250
18,400
1,839
5,200
15,300
8,300
30,000
4,900
$
330,825
237,545
151,201
158,469
203,394
905,551
215,627
198,165
99,225
301,237
55,916
83,280,610
Netherlands - 1.5%
Aegon NV
Akzo Nobel NV
ASML Holding NV
Gemalto NV
Heineken Holding NV
Heineken NV
Koninklijke Philips NV
Koninklijke Vopak NV
19,003
2,823
5,928
3,241
9,229
14,113
24,631
762
127,492
159,291
467,961
293,449
517,255
898,315
671,469
44,976
3,180,208
New Zealand - 0.1%
Fletcher Building Ltd.
26,324
171,208
Norway - 0.3%
DNB ASA
Golar LNG Ltd.
Marine Harvest ASA
Telenor ASA
10,033
2,009
140,424
10,790
145,545
62,514
142,742
214,322
565,123
Portugal - 0.1%
Jeronimo Martins SGPS SA
Portugal Telecom SGPS SA
6,068
7,413
127,892
28,840
156,732
Singapore - 2.0%
Ascendas Real Estate Investment Trust
REIT
CapitaCommercial Trust REIT
CapitaLand Ltd.
CapitaMall Trust REIT
CapitaMalls Asia Ltd.
Dairy Farm International Holdings, Ltd.
DBS Group Holdings Ltd.
Global Logistic Properties Ltd.
Jardine Cycle & Carriage Ltd.
Jardine Matheson Holdings Ltd.
Jardine Strategic Holdings Ltd.
Keppel REIT
Noble Group Ltd.
Sembcorp Industries Ltd.
Singapore Technologies Engineering Ltd.
Singapore Telecommunications Ltd.
StarHub Ltd.
The accompanying notes are an integral part of these financial statements.
66
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
206,000
117,000
58,000
149,000
92,000
6,300
17,000
107,000
6,000
18,000
7,000
200
19,363
13,000
102,000
40,000
33,000
361,012
134,972
140,127
233,813
131,951
75,630
206,854
231,448
200,604
1,086,338
253,477
204
14,726
50,576
336,004
118,473
108,504
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
Singapore - 2.0% (continued)
Suntec Real Estate Investment Trust REIT
United Overseas Bank Ltd.
92,000
16,000
$
114,217
249,858
4,048,788
Spain - 3.8%
Amadeus IT Holding SA, A Shares
Banco Bilbao Vizcaya Argentaria SA
Ferrovial SA
Gas Natural SDG SA
Grifols SA
Inditex SA
Repsol SA
12,030
325,983
40,005
54,549
14,812
16,000
17,770
385,022
2,739,517
638,681
1,099,030
544,183
1,973,525
375,036
7,754,994
Sweden - 1.7%
Elekta AB, B Shares
Hennes & Mauritz AB, B Shares
Hexagon AB, B Shares
Investor AB, B Shares
Meda AB, A Shares
Skandinaviska Enskilda Banken AB,
Class A
Svenska Handelsbanken AB, A Shares
Swedbank AB, A Shares
6,724
367
12,321
30,134
7,554
102,195
12,075
329,357
808,822
85,489
78,641
12,588
36,759
750,786
504,332
841,949
3,435,005
Switzerland - 4.9%
Actelion Ltd. †
Compagnie Financiere Richemont SA,
Class A
Credit Suisse Group AG †
Geberit AG
Holcim Ltd. †
Novartis AG
Partners Group Holding AG
Schindler Holding AG
SGS SA
Swatch Group AG/The
Swiss Re AG †
Syngenta AG
UBS AG †
Wolseley PLC
Zurich Insurance Group AG †
6,152
370,582
4,455
23,473
236
4,469
59,642
740
1,395
404
46
14,143
1,901
41,667
4,864
146
392,879
621,426
58,463
311,071
4,224,476
200,302
194,098
867,356
25,127
1,052,252
741,312
707,249
224,423
37,844
10,028,860
Thailand - 0.1%
Thai Beverage PCL
446,000
207,363
United Kingdom - 10.4%
Aberdeen Asset Management PLC
Aggreko PLC
ARM Holdings PLC
Associated British Foods PLC
AstraZeneca PLC
Barclays PLC
BG Group PLC
British American Tobacco PLC
BT Group PLC
54,480
7,624
49,237
9,388
240
287,794
2,230
482
130,732
317,054
190,558
595,624
247,656
11,347
1,225,641
37,897
24,722
613,754
VALUE
(Note 2)
SHARES
United Kingdom - 10.4% (continued)
Bunzl PLC
Carnival PLC
Compass Group PLC
Croda International PLC
Diageo PLC
easyJet PLC
Experian PLC
Fresnillo PLC
G4S PLC
GlaxoSmithKline PLC
Hargreaves Lansdown PLC
HSBC Holdings PLC
IMI PLC
Imperial Tobacco Group PLC
InterContinental Hotels Group PLC
Intertek Group PLC
ITV PLC
Johnson Matthey PLC
Kingfisher PLC
Legal & General Group PLC
Lloyds Banking Group PLC †
Meggitt PLC
Mondi PLC
National Grid PLC
Next PLC
Old Mutual PLC
Pearson PLC
Petrofac Ltd.
Prudential PLC
Randgold Resources Ltd.
Reckitt Benckiser Group PLC
Reed Elsevier PLC
Rexam PLC
Rolls-Royce Holdings PLC †
Royal Bank of Scotland Group PLC †
SABMiller PLC
Sage Group PLC/The
Severn Trent PLC
Smith & Nephew PLC
SSE PLC
Standard Life PLC
Tate & Lyle PLC
Tullow Oil PLC
United Utilities Group PLC
Vodafone Group PLC
Whitbread PLC
WPP PLC
7,883
6,836
41,470
3,164
46,529
20,601
34,548
1,715
22,026
913
13,845
401,189
4,267
8,078
11,899
2,171
212,597
2,582
42,770
62,913
252,352
17,966
7,018
13,628
6,383
139,415
15,946
14,632
52,638
303
3,848
9,377
11,373
35,118
149,501
32,301
13,549
3,568
5,401
8,866
68,289
14,485
11,125
13,217
112,887
10,735
7,612
$
153,751
237,618
529,886
119,315
1,334,280
406,065
600,436
23,154
77,664
22,822
187,009
4,153,169
80,427
280,102
327,011
96,504
453,269
103,164
222,995
163,974
242,337
141,548
87,378
154,482
442,152
382,709
283,588
266,351
859,198
19,200
272,194
106,637
82,536
604,675
620,396
1,548,619
70,025
90,348
60,490
205,315
359,383
181,739
169,354
137,512
323,498
499,389
130,111
21,178,032
United States - 0.4%
Valeant Pharmaceuticals International,
Inc. (1)†
TOTAL COMMON STOCKS
(cost $183,719,369)
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
9,700
836,356
201,597,877
(Continued)
67
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL MOMENTUM FUND
PREFERRED STOCKS - 0.0% (b)
United Kingdom - 0.0% (b)
Rolls-Royce Holdings PLC (3)†(c)
(cost $-)
VALUE
(Note 2)
SHARES
4,179,042
$
6,356
RIGHTS - 0.0% (b)
Hong Kong - 0.0% (b)
New World Development Co., Ltd. (3)†(c)
(cost $-)
MONEY MARKET FUNDS - 2.3%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (d)
(cost $4,756,091)
2,450
—
4,756,091
4,756,091
(b) Represents less than 0.05 percent of net assets.
(c) Security fair valued at as of June 30, 2013 using procedures
approved by the Board of Trustees. The total value of positions fair
valued was $6,356 or 0.0% of total net assets.
(d) Represents annualized seven-day yield as of June 30, 2013.
(e) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
(f) Includes appreciation on futures contracts.
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(1) Level 1 security (See Note 4).
(3) Level 3 security (See Note 4).
The following abbreviations are used in portfolio descriptions:
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES ON LOAN - 0.2%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (d)(e)
(cost $337,165)
337,165
337,165
TOTAL INVESTMENTS - 101.2%
(cost $188,812,625)
206,697,489
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.2%) (f)
(2,531,651)
NET ASSETS - 100.0%
$204,165,838
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $318,122; cash collateral of $337,165 was
received with which the Fund purchased a money market fund.
REIT - Real Estate Investment Trust
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Money Market Funds
VALUE
$ 33,956,606
20,106,424
2,325,097
74,252,083
21,734,285
22,693,757
8,716,183
5,838,270
7,961,494
4,020,034
5,093,256
Total Investments
Liabilities in Excess of Other Assets (f)
Net Assets
206,697,489
(2,531,651)
$204,165,838
% OF NET
ASSETS
16.6%
9.8
1.1
36.4
10.6
11.1
4.3
2.9
3.9
2.0
2.5
101.2
(1.2)
100.0%
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
NUMBER OF
CONTRACTS
DESCRIPTION
EXPIRATION
DATE
MSCI EAFE Mini Index Futures
September 20, 2013
VALUE AT
TRADE DATE
VALUE AT
JUNE 30,
2013
UNREALIZED
APPRECIATION
$977,003
$983,820
$6,817
Long Contracts:
12
Cash held as collateral with broker for futures contracts was $44,678 at June 30, 2013.
The accompanying notes are an integral part of these financial statements.
68
AQR Funds
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED MOMENTUM FUND
COMMON STOCKS - 96.9%
Consumer Discretionary - 21.7%
Aaron’s, Inc.
Amazon.com, Inc. †
Apollo Group, Inc., Class A †
AutoNation, Inc. †
AutoZone, Inc. †
Bed Bath & Beyond, Inc. †
BorgWarner, Inc. †
Carter’s, Inc.
CBS Corp., Class B
Chipotle Mexican Grill, Inc. †
Cinemark Holdings, Inc.
Coach, Inc.
Comcast Corp., Class A
CST Brands, Inc. †
Deckers Outdoor Corp. †
Dillard’s, Inc., Class A
DIRECTV †
Discovery Communications, Inc., Class A †
DISH Network Corp., Class A
Dollar General Corp. †
Dollar Tree, Inc. †
DR Horton, Inc.
DSW, Inc., Class A
Expedia, Inc.
Express, Inc. †
Family Dollar Stores, Inc.
Ford Motor Co.
GameStop Corp., Class A
Gap, Inc./The
General Motors Co. †
Genuine Parts Co.
GNC Holdings, Inc., Class A
H&R Block, Inc.
Home Depot, Inc./The
HSN, Inc.
L Brands, Inc.
Las Vegas Sands Corp.
Lennar Corp., Class A (a)
Liberty Global PLC, Class A (United
Kingdom) †
LKQ Corp. †
Lowe’s Cos., Inc.
Macy’s, Inc.
Madison Square Garden Co./The, Class A †
Mattel, Inc.
Mohawk Industries, Inc. †
Netflix, Inc. †
News Corp., Class A
NIKE, Inc., Class B
O’Reilly Automotive, Inc. †
Panera Bread Co., Class A †
PetSmart, Inc.
Polaris Industries, Inc.
priceline.com, Inc. †
PulteGroup, Inc. †
Ralph Lauren Corp.
Rent-A-Center, Inc.
Ross Stores, Inc.
VALUE
(Note 2)
SHARES
93
143
71
274
16
101
22
181
1,087
49
322
66
4,304
118
28
148
86
526
437
490
295
1,478
165
167
194
63
3,402
307
868
2,072
74
104
197
2,065
187
139
769
1,112
258
202
1,625
524
191
402
186
222
4,733
248
60
24
64
56
31
2,843
40
182
256
$
2,605
39,710
1,258
11,889
6,779
7,161
1,895
13,407
53,122
17,853
8,990
3,768
180,251
3,636
1,414
12,132
5,299
40,612
18,581
24,711
14,998
31,452
12,123
10,045
4,068
3,925
52,629
12,903
36,222
69,018
5,777
4,598
5,467
159,976
10,046
6,846
40,703
40,076
19,113
5,201
66,462
25,152
11,317
18,215
20,923
46,862
154,296
15,793
6,757
4,463
4,287
5,320
25,641
53,932
6,950
6,834
16,591
Consumer Discretionary - 21.7% (continued)
Sally Beauty Holdings, Inc. †
Sears Canada, Inc. (Canada)
Service Corp. International
Sirius XM Radio, Inc.
Six Flags Entertainment Corp.
Standard Pacific Corp. †
Starbucks Corp.
Starz, Class A †
Tesla Motors, Inc. †
Time Warner Cable, Inc.
Time Warner, Inc.
TJX Cos., Inc.
Tractor Supply Co.
TripAdvisor, Inc. †
TRW Automotive Holdings Corp. †
Tupperware Brands Corp.
Ulta Salon Cosmetics & Fragrance, Inc. †
Under Armour, Inc., Class A †
VF Corp.
Viacom, Inc., Class B
Walt Disney Co./The
Weight Watchers International, Inc.
Whirlpool Corp.
Wolverine World Wide, Inc. (a)
Wyndham Worldwide Corp.
Yum! Brands, Inc.
147
14
660
10,210
266
4,289
252
200
439
305
1,475
1,203
49
432
502
134
50
82
51
118
2,691
51
301
151
277
243
$
4,572
146
11,900
34,203
9,353
35,727
16,503
4,420
47,162
34,306
85,284
60,222
5,763
26,296
33,353
10,410
5,008
4,896
9,846
8,030
169,937
2,346
34,422
8,246
15,853
16,850
2,185,108
Consumer Staples - 4.0%
Altria Group, Inc.
Casey’s General Stores, Inc.
Church & Dwight Co., Inc.
Coca-Cola Co./The
Colgate-Palmolive Co.
ConAgra Foods, Inc.
Constellation Brands, Inc., Class A †
Costco Wholesale Corp.
Estee Lauder Cos., Inc./The, Class A
Flowers Foods, Inc.
General Mills, Inc.
Green Mountain Coffee Roasters, Inc. †
Herbalife Ltd. (Cayman Islands)
Hershey Co./The
Hormel Foods Corp.
JM Smucker Co./The
Kimberly-Clark Corp.
Lorillard, Inc.
Mead Johnson Nutrition Co.
Mondelez International, Inc., Class A
Monster Beverage Corp. †
Nu Skin Enterprises, Inc., Class A
Philip Morris International, Inc.
Pricesmart, Inc. (a)
Reynolds American, Inc.
TreeHouse Foods, Inc. †
Tyson Foods, Inc., Class A
Walgreen Co.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
445
44
85
102
310
182
480
485
151
510
150
600
71
95
136
55
408
183
82
535
364
58
37
119
232
39
192
741
15,571
2,647
5,245
4,091
17,760
6,357
25,018
53,626
9,931
11,245
7,280
45,036
3,205
8,482
5,247
5,673
39,633
7,993
6,497
15,264
22,120
3,545
3,205
10,428
11,222
2,556
4,931
32,752
(Continued)
69
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED MOMENTUM FUND
VALUE
(Note 2)
SHARES
Consumer Staples - 4.0% (continued)
Whole Foods Market, Inc.
270
$
13,900
400,460
Energy - 6.0%
Anadarko Petroleum Corp.
Cabot Oil & Gas Corp.
CARBO Ceramics, Inc. (a)
Chesapeake Energy Corp.
Chevron Corp.
Cobalt International Energy, Inc. †
ConocoPhillips
EOG Resources, Inc.
EQT Corp.
FMC Technologies, Inc. †
Golar LNG Ltd. (Bermuda)
Gulfport Energy Corp. †
Halliburton Co.
Helix Energy Solutions Group, Inc. †
Hess Corp.
HollyFrontier Corp.
Key Energy Services, Inc. †
Kinder Morgan, Inc.
Kodiak Oil & Gas Corp. †
Marathon Oil Corp.
Marathon Petroleum Corp.
Oasis Petroleum, Inc. †
Oceaneering International, Inc.
Phillips 66
Pioneer Natural Resources Co.
Range Resources Corp.
Rosetta Resources, Inc. †
Seadrill Ltd. (Bermuda)
SM Energy Co.
Spectra Energy Corp.
Targa Resources Corp.
Tesoro Corp.
Valero Energy Corp.
Williams Cos., Inc./The
World Fuel Services Corp.
60
672
17
102
66
1,208
135
141
82
64
71
606
1,860
469
537
304
134
607
1,503
508
1,033
276
67
552
128
84
40
528
42
227
113
112
1,350
269
52
5,156
47,726
1,146
2,079
7,810
32,097
8,168
18,567
6,508
3,564
2,264
28,524
77,599
10,806
35,705
13,005
797
23,157
13,362
17,567
73,405
10,728
4,837
32,518
18,528
6,495
1,701
21,511
2,519
7,822
7,269
5,860
46,940
8,734
2,079
606,553
Financials - 20.0%
American Campus Communities, Inc. REIT
American Express Co.
American Financial Group, Inc.
American International Group, Inc. †
American Tower Corp. REIT
Arch Capital Group Ltd. (Bermuda) †
AvalonBay Communities, Inc. REIT
Bank of America Corp.
BB&T Corp.
Berkshire Hathaway, Inc., Class B †
Boston Properties, Inc. REIT
BRE Properties, Inc. REIT
Capital One Financial Corp.
Charles Schwab Corp./The
Chubb Corp./The
Citigroup, Inc.
63
240
68
2,514
508
267
37
18,682
375
1,562
39
50
817
1,947
190
4,728
2,562
17,942
3,326
112,376
37,170
13,726
4,992
240,251
12,705
174,819
4,113
2,501
51,316
41,335
16,083
226,802
Financials - 20.0% (continued)
Digital Realty Trust, Inc. REIT
Discover Financial Services
Equity Lifestyle Properties, Inc. REIT
Erie Indemnity Co., Class A
Essex Property Trust, Inc. REIT
Extra Space Storage, Inc. REIT
Federal Realty Investment Trust REIT
Fidelity National Financial, Inc., Class A
Franklin Resources, Inc.
General Growth Properties, Inc. REIT
Genworth Financial, Inc., Class A †
Goldman Sachs Group, Inc./The
Hartford Financial Services Group, Inc.
HCP, Inc. REIT
Howard Hughes Corp./The †
JPMorgan Chase & Co.
Marsh & McLennan Cos., Inc.
McGraw Hill Financial, Inc.
Moody’s Corp.
Morgan Stanley
Nationstar Mortgage Holdings, Inc. †
Ocwen Financial Corp. †
ProAssurance Corp.
Prologis, Inc. REIT
Public Storage REIT
Regions Financial Corp.
Simon Property Group, Inc. REIT
State Street Corp.
SunTrust Banks, Inc.
Tanger Factory Outlet Centers REIT
Taubman Centers, Inc. REIT
Travelers Cos., Inc./The
US Bancorp
Ventas, Inc. REIT
Wells Fargo & Co.
WR Berkley Corp.
AQR Funds
55
739
31
32
22
331
34
450
215
1,839
3,892
939
1,615
443
181
3,571
196
120
113
4,679
470
242
66
233
117
1,356
311
746
695
263
130
301
1,669
229
110
97
$
3,355
35,206
2,436
2,550
3,496
13,879
3,525
10,714
29,244
36,541
44,408
142,024
49,936
20,130
20,288
188,513
7,824
6,383
6,885
114,308
17,597
9,975
3,443
8,789
17,940
12,923
49,113
48,647
21,941
8,800
9,770
24,056
60,334
15,906
4,540
3,963
2,021,401
Health Care - 15.6%
Abbott Laboratories
AbbVie, Inc.
Accretive Health, Inc. †
Actavis, Inc. †
Aetna, Inc.
Alexion Pharmaceuticals, Inc. †
Allergan, Inc.
AmerisourceBergen Corp.
Amgen, Inc.
Arena Pharmaceuticals, Inc. †(a)
athenahealth, Inc. †
Biogen Idec, Inc. †
Bristol-Myers Squibb Co.
Cardinal Health, Inc.
Catamaran Corp. †
Celgene Corp. †
Cepheid, Inc. †(a)
Cerner Corp. †
Cigna Corp.
The accompanying notes are an integral part of these financial statements.
70
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
2,215
447
106
45
150
280
105
190
1,052
1,886
131
402
165
99
375
610
65
78
215
77,259
18,479
1,146
5,680
9,531
25,827
8,845
10,608
103,790
14,522
11,098
86,511
7,374
4,673
18,270
71,315
2,237
7,495
15,585
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED MOMENTUM FUND
VALUE
(Note 2)
SHARES
Health Care - 15.6% (continued)
Cubist Pharmaceuticals, Inc. †
Eli Lilly & Co.
Express Scripts Holding Co. †
Gilead Sciences, Inc. †
HCA Holdings, Inc.
Health Management Associates, Inc.,
Class A †
Humana, Inc.
Intuitive Surgical, Inc. †
Jazz Pharmaceuticals PLC (Ireland) †
Johnson & Johnson
McKesson Corp.
Medivation, Inc. †
Merck & Co., Inc.
Omnicare, Inc.
Onyx Pharmaceuticals, Inc. †
Perrigo Co.
Pfizer, Inc.
Pharmacyclics, Inc. †
Regeneron Pharmaceuticals, Inc. †
Tenet Healthcare Corp. †
Thermo Fisher Scientific, Inc.
UnitedHealth Group, Inc.
WellCare Health Plans, Inc. †
WellPoint, Inc.
Zoetis, Inc.
74
1,653
773
2,523
1,404
1,575
72
26
22
1,912
63
360
580
290
208
47
7,483
502
211
605
321
330
53
89
2,359
$
3,574
81,195
47,686
129,203
50,628
24,759
6,075
13,171
1,512
164,164
7,214
17,712
26,941
13,836
18,059
5,687
209,599
39,894
47,450
27,891
27,166
21,609
2,944
7,284
72,860
1,568,358
Industrials - 9.8%
A. O. Smith Corp.
Avis Budget Group, Inc. †
Chart Industries, Inc. †
CLARCOR, Inc.
Clean Harbors, Inc. †(a)
Copart, Inc. †
Delta Air Lines, Inc. †
Donaldson Co., Inc.
Fastenal Co.
Fortune Brands Home & Security, Inc.
Generac Holdings, Inc.
General Electric Co.
Hertz Global Holdings, Inc. †
Hexcel Corp. †
Honeywell International, Inc.
Illinois Tool Works, Inc.
Iron Mountain, Inc.
Kansas City Southern
Kirby Corp. †(a)
Lincoln Electric Holdings, Inc.
Lockheed Martin Corp.
Norfolk Southern Corp.
Old Dominion Freight Line, Inc. †
Precision Castparts Corp.
Rollins, Inc.
Ryder System, Inc.
Southwest Airlines Co.
Swift Transportation Co. †
Teledyne Technologies, Inc. †
698
1,191
99
41
45
321
2,647
84
131
1,729
1,255
5,486
1,692
109
795
571
381
173
166
197
39
121
256
33
380
169
1,322
609
41
25,323
34,241
9,315
2,141
2,274
9,887
49,525
2,995
6,006
66,981
46,448
127,220
41,962
3,711
63,075
39,496
10,138
18,331
13,204
11,282
4,230
8,791
10,655
7,458
9,842
10,274
17,041
10,073
3,171
Industrials - 9.8% (continued)
Terex Corp. †
Towers Watson & Co., Class A
TransDigm Group, Inc.
Triumph Group, Inc.
Union Pacific Corp.
United Continental Holdings, Inc. †
United Parcel Service, Inc., Class B
United Rentals, Inc. †(a)
USG Corp. †
Verisk Analytics, Inc., Class A †
Wabtec Corp.
Waste Connections, Inc.
WESCO International, Inc. †
1,248
39
32
44
847
1,118
166
336
586
448
250
76
423
$
32,822
3,196
5,017
3,483
130,675
34,982
14,356
16,770
13,507
26,746
13,357
3,127
28,747
991,875
Information Technology - 13.8%
3D Systems Corp. †
Alliance Data Systems Corp. †
AOL, Inc. †
Apple, Inc.
Automatic Data Processing, Inc.
Cadence Design Systems, Inc. †
Cisco Systems, Inc.
CommVault Systems, Inc. †
Cree, Inc. †
Dell, Inc.
eBay, Inc. †
Equinix, Inc. †
First Solar, Inc. †
FleetCor Technologies, Inc. †
Fortinet, Inc. †
Fusion-io, Inc. †(a)
Google, Inc., Class A †
IAC/InterActiveCorp
Intel Corp.
International Business Machines Corp.
Intuit, Inc.
IPG Photonics Corp.
Jack Henry & Associates, Inc.
KLA-Tencor Corp.
LinkedIn Corp., Class A †
Mastercard, Inc., Class A
Micron Technology, Inc. †
Microsoft Corp.
Molex, Inc.
Motorola Solutions, Inc.
NCR Corp. †
NetSuite, Inc. †
NeuStar, Inc., Class A †
Nuance Communications, Inc. †(a)
Oracle Corp.
QUALCOMM, Inc.
Rackspace Hosting, Inc. †
Salesforce.com, Inc. †
SanDisk Corp. †
SolarWinds, Inc. †
Teradata Corp. †
TIBCO Software, Inc. †
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
660
33
358
22
159
803
2,898
125
564
606
1,614
116
1,121
196
124
135
418
82
648
24
74
133
216
80
265
135
3,672
300
79
138
290
72
209
155
1,573
171
257
878
680
320
80
93
28,974
5,974
13,060
8,714
10,949
11,627
70,450
9,486
36,017
8,090
83,476
21,428
50,142
15,935
2,170
1,922
367,995
3,900
15,695
4,587
4,516
8,077
10,180
4,458
47,249
77,557
52,620
10,359
2,318
7,967
9,567
6,605
10,174
2,849
48,323
10,445
9,738
33,522
41,548
12,419
4,018
1,990
(Continued)
71
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED MOMENTUM FUND
VALUE
(Note 2)
SHARES
Information Technology - 13.8% (continued)
Total System Services, Inc.
Ultimate Software Group, Inc. †
Universal Display Corp. †
VeriFone Systems, Inc. †
Visa, Inc., Class A
VMware, Inc., Class A †
Western Digital Corp.
Xilinx, Inc.
143
87
41
48
779
140
534
97
$
3,501
10,204
1,153
807
142,362
9,379
33,156
3,842
1,391,494
Materials - 3.1%
Airgas, Inc.
Allied Nevada Gold Corp. †
Axiall Corp.
Carpenter Technology Corp.
Celanese Corp., Series A
CF Industries Holdings, Inc.
Chemtura Corp. †
Ecolab, Inc.
International Paper Co.
Monsanto Co.
NewMarket Corp.
Newmont Mining Corp.
PPG Industries, Inc.
Praxair, Inc.
Royal Gold, Inc.
Sherwin-Williams Co./The
WR Grace & Co. †
30
73
400
51
24
82
274
65
1,177
837
42
60
318
34
48
270
153
Telecommunication Services - 1.5%
Crown Castle International Corp. †
Verizon Communications, Inc.
380
2,560
2,864
473
17,032
2,299
1,075
14,063
5,562
5,537
52,153
82,696
11,028
1,797
46,558
3,915
2,020
47,682
12,858
62
110
130
122
225
247
70
120
205
87
177
37
56
195
198
108
73
345
242
410
72
Utilities - 1.4% (continued)
WGL Holdings, Inc. (a)
Wisconsin Energy Corp.
Xcel Energy, Inc.
AQR Funds
$
2,939
3,648
4,478
139,224
TOTAL COMMON STOCKS
(cost $8,741,647)
9,770,463
EXCHANGE-TRADED FUNDS - 1.2%
SPDR S&P 500 ETF Trust
(cost $119,026)
771
123,368
MONEY MARKET FUNDS - 1.3%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(b)
(cost $130,689)
130,689
130,689
81,604
81,604
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES ON LOAN - 0.8%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (2)(b)(c)
(cost $81,604)
TOTAL INVESTMENTS - 100.2%
(cost $9,072,966)
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.2%)
10,106,124
(23,169)
NET ASSETS - 100.0%
27,508
128,870
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $77,510; cash collateral of $81,604 was
received with which the Fund purchased a money market fund.
(b) Represents annualized seven-day yield as of June 30, 2013.
(c) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
2,657
3,788
5,821
5,030
4,777
5,802
3,250
6,997
11,648
5,830
6,609
3,378
4,563
5,585
13,504
4,461
4,049
10,554
7,323
9,779
2,754
$10,082,955
All securities are Level 1 with respect to ASC 820, unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
72
68
89
158
309,612
156,378
Utilities - 1.4%
AGL Resources, Inc.
Ameren Corp.
American Electric Power Co., Inc.
American Water Works Co., Inc.
Calpine Corp. †
CenterPoint Energy, Inc.
Cleco Corp.
Consolidated Edison, Inc.
Dominion Resources, Inc.
DTE Energy Co.
FirstEnergy Corp.
ITC Holdings Corp. (a)
NextEra Energy, Inc.
NiSource, Inc.
OGE Energy Corp.
ONEOK, Inc.
Pinnacle West Capital Corp.
Portland General Electric Co.
PPL Corp.
Questar Corp.
UIL Holdings Corp.
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
COMMON STOCKS - 98.4%
Consumer Discretionary - 18.0%
AFC Enterprises, Inc. †
American Axle & Manufacturing Holdings,
Inc. †
American Public Education, Inc. †
America’s Car-Mart, Inc. †
ANN, Inc. †
Arctic Cat, Inc.
Asbury Automotive Group, Inc. †
Ascent Capital Group, Inc., Class A †
Beazer Homes USA, Inc. †
bebe stores, inc.
BJ’s Restaurants, Inc. †
Black Diamond, Inc. †(a)
Bob Evans Farms, Inc.
Bon-Ton Stores, Inc./The
Brown Shoe Co., Inc.
Brunswick Corp.
Buffalo Wild Wings, Inc. †
Cabela’s, Inc. †
Carriage Services, Inc.
Children’s Place Retail Stores, Inc./The †
Christopher & Banks Corp. †
Churchill Downs, Inc.
Coinstar, Inc. †
Comstock Holding Cos., Inc. †
Conn’s, Inc. †
Core-Mark Holding Co., Inc.
Cracker Barrel Old Country Store, Inc.
Dex Media, Inc. †
DineEquity, Inc.
Domino’s Pizza, Inc.
Dorman Products, Inc.
Drew Industries, Inc.
Einstein Noah Restaurant Group, Inc.
Entravision Communications Corp., Class A
Ethan Allen Interiors, Inc. (a)
Fiesta Restaurant Group, Inc. †
Fifth & Pacific Cos., Inc. †
Finish Line, Inc./The, Class A (a)
Genesco, Inc. †
Gentherm, Inc. †
G-III Apparel Group Ltd. †
Grand Canyon Education, Inc. †
Gray Television, Inc. †
Group 1 Automotive, Inc. (a)
Helen of Troy Ltd. (Bermuda) †
Hibbett Sports, Inc. †
Hillenbrand, Inc.
Hovnanian Enterprises, Inc., Class A †
Iconix Brand Group, Inc. †
iRobot Corp. †(a)
Jos. A. Bank Clothiers, Inc. †
K12, Inc. †
KB Home
Krispy Kreme Doughnuts, Inc. †
La-Z-Boy, Inc.
LeapFrog Enterprises, Inc. †
VALUE
(Note 2)
SHARES
273
638
58
61
88
166
376
63
314
410
57
382
192
543
531
116
66
102
352
73
1,379
75
52
1,766
363
49
222
540
99
176
216
70
366
2,467
121
173
513
238
38
157
239
268
1,935
93
96
172
264
2,515
430
130
118
78
1,248
625
430
701
$
9,812
11,886
2,155
2,638
2,922
7,467
15,078
4,918
5,501
2,300
2,115
3,591
9,020
9,801
11,432
3,706
6,479
6,606
5,966
4,000
9,295
5,914
3,051
4,892
18,789
3,112
21,015
9,488
6,818
10,234
9,856
2,752
5,197
15,172
3,485
5,950
11,460
5,203
2,546
2,916
11,501
8,638
13,932
5,983
3,684
9,546
6,259
14,109
12,646
5,170
4,876
2,049
24,498
10,906
8,716
6,898
Consumer Discretionary - 18.0% (continued)
LIN TV Corp., Class A †
Lions Gate Entertainment Corp. †
Lithia Motors, Inc., Class A
Loral Space & Communications, Inc.
Lumber Liquidators Holdings, Inc. †
M/I Homes, Inc. †
Marriott Vacations Worldwide Corp. †
MDC Holdings, Inc.
Men’s Wearhouse, Inc./The
Meritage Homes Corp. †
Monro Muffler Brake, Inc. (a)
Movado Group, Inc.
Multimedia Games Holding Co., Inc. †
NACCO Industries, Inc., Class A
Nautilus, Inc. †
New York Times Co./The, Class A †
Nexstar Broadcasting Group, Inc., Class A
Orbitz Worldwide, Inc. †
Orient-Express Hotels Ltd., Class A
(Bermuda) †
Overstock.com, Inc. †
Oxford Industries, Inc.
Papa John’s International, Inc. †
Penske Automotive Group, Inc.
Pier 1 Imports, Inc. (a)
Pool Corp.
Quiksilver, Inc. †
ReachLocal, Inc. †
Red Robin Gourmet Burgers, Inc. †
Ryland Group, Inc./The (a)
Shutterfly, Inc. †
Sinclair Broadcast Group, Inc., Class A
Skechers U.S.A., Inc., Class A †
Smith & Wesson Holding Corp. †
Sonic Automotive, Inc., Class A
Stage Stores, Inc.
Standard Motor Products, Inc.
Standard Pacific Corp. †
Steven Madden Ltd. †
Sturm, Ruger & Co., Inc.
Thor Industries, Inc.
Tower International, Inc. †
Valuevision Media, Inc., Class A †
Vitamin Shoppe, Inc. †
Winnebago Industries, Inc. †
Zale Corp. †
714
298
269
167
305
386
682
331
77
248
114
246
490
143
757
552
479
1,814
546
285
75
112
131
221
199
2,126
262
87
630
404
1,106
234
1,136
237
411
441
722
109
220
190
260
1,392
126
504
736
$
10,924
8,186
14,340
10,017
23,750
8,863
29,490
10,761
2,914
10,753
5,478
8,322
12,774
8,191
6,578
6,105
16,985
14,566
6,639
8,037
4,680
7,321
4,001
5,191
10,430
13,691
3,212
4,801
25,263
22,539
32,494
5,618
11,337
5,010
9,659
15,144
6,014
5,273
10,569
9,344
5,145
7,113
5,650
10,579
6,698
904,398
Consumer Staples - 3.6%
Andersons, Inc./The
B&G Foods, Inc.
Boston Beer Co., Inc./The, Class A †
Boulder Brands, Inc. †
Calavo Growers, Inc.
Cal-Maine Foods, Inc.
Coca-Cola Bottling Co. Consolidated (a)
Dean Foods Co. †
Elizabeth Arden, Inc. †
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
86
336
72
962
67
101
37
707
131
4,574
11,441
12,286
11,592
1,822
4,698
2,263
7,084
5,904
(Continued)
73
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Consumer Staples - 3.6% (continued)
Fresh Del Monte Produce, Inc.
Hain Celestial Group, Inc./The †(a)
Harbinger Group, Inc. †
J&J Snack Foods Corp.
Lancaster Colony Corp.
Lifevantage Corp. †
Medifast, Inc. †
Post Holdings, Inc. †
Prestige Brands Holdings, Inc. †
Revlon, Inc., Class A †
Rite Aid Corp. †
Sanderson Farms, Inc.
Snyders-Lance, Inc.
Spartan Stores, Inc.
Spectrum Brands Holdings, Inc.
Star Scientific, Inc. †(a)
Susser Holdings Corp. †
Universal Corp.
WD-40 Co.
Weis Markets, Inc.
WhiteWave Foods Co., Class A †
WhiteWave Foods Co., Class B †
157
80
1,228
84
40
3,107
203
112
333
233
4,533
65
152
107
123
1,901
195
72
78
80
56
80
$
4,377
5,198
9,259
6,535
3,120
7,208
5,229
4,890
9,704
5,140
12,964
4,317
4,318
1,973
6,995
2,642
9,337
4,165
4,250
3,606
910
1,216
179,017
Energy - 4.4%
Alon USA Energy, Inc.
Bonanza Creek Energy, Inc. †
Bristow Group, Inc.
C&J Energy Services, Inc. †
Cheniere Energy, Inc. †
Crosstex Energy, Inc.
Dawson Geophysical Co. †
Delek US Holdings, Inc.
Enbridge Energy Management LLC †
EPL Oil & Gas, Inc. †
Exterran Holdings, Inc. †
Geospace Technologies Corp. †
Goodrich Petroleum Corp. †
Green Plains Renewable Energy, Inc. †
Gulf Island Fabrication, Inc.
Halcon Resources Corp. †
Hercules Offshore, Inc. †
Hornbeck Offshore Services, Inc. †
Kodiak Oil & Gas Corp. †
PDC Energy, Inc. †
PHI, Inc. †
Renewable Energy Group, Inc. †
Rentech, Inc.
Rex Energy Corp. †
SemGroup Corp., Class A
Ship Finance International Ltd. (Norway)
Western Refining, Inc. (a)
Willbros Group, Inc. †
541
606
51
308
188
243
173
505
108
576
523
120
71
616
61
354
2,014
60
259
184
89
381
1,324
535
440
797
170
758
7,823
21,489
3,331
5,966
5,219
4,802
6,377
14,534
3,270
16,911
14,707
8,290
909
8,205
1,168
2,007
14,179
3,210
2,303
9,472
3,053
5,422
2,780
9,405
23,698
11,827
4,772
4,654
219,783
Financials - 20.4%
Acadia Realty Trust REIT
Alexander & Baldwin, Inc. †
188
121
4,642
4,810
Financials - 20.4% (continued)
American Assets Trust, Inc. REIT
American Realty Capital Properties, Inc. REIT
AMERISAFE, Inc.
Amtrust Financial Services, Inc. (a)
Associated Estates Realty Corp. REIT (a)
Bank of the Ozarks, Inc.
Banner Corp.
BBCN Bancorp, Inc.
BofI Holding, Inc. †
Boston Private Financial Holdings, Inc. (a)
Brandywine Realty Trust REIT
Cash America International, Inc. (a)
Cedar Realty Trust, Inc. REIT
Chatham Lodging Trust REIT
Chesapeake Lodging Trust REIT
CNO Financial Group, Inc.
Cohen & Steers, Inc.
Community Trust Bancorp, Inc.
Consumer Portfolio Services, Inc. †
Coresite Realty Corp. REIT
CubeSmart REIT
CVB Financial Corp. (a)
DCT Industrial Trust, Inc. REIT
DFC Global Corp. †
DuPont Fabros Technology, Inc. REIT
Eagle Bancorp, Inc. †
EastGroup Properties, Inc. REIT
Education Realty Trust, Inc. REIT
eHealth, Inc. †
Employers Holdings, Inc.
Enstar Group Ltd. (Bermuda) †
Excel Trust, Inc. REIT
Ezcorp, Inc., Class A †
FBL Financial Group, Inc., Class A
Federal Agricultural Mortgage Corp., Class C
FelCor Lodging Trust, Inc. REIT †
Fidus Investment Corp.
Financial Engines, Inc.
First Cash Financial Services, Inc. †
First Industrial Realty Trust, Inc. REIT
First Interstate Bancsystem, Inc.
Flagstar Bancorp, Inc. †
FXCM, Inc., Class A
Geo Group, Inc./The REIT
Gladstone Investment Corp. (a)
Glimcher Realty Trust REIT
Golub Capital BDC, Inc.
HCI Group, Inc.
HFF, Inc., Class A
Home BancShares, Inc.
Home Loan Servicing Solutions Ltd.
(Cayman Islands)
HomeStreet, Inc.
Hudson Pacific Properties, Inc. REIT
International Bancshares Corp.
Investors Bancorp, Inc.
Kemper Corp.
The accompanying notes are an integral part of these financial statements.
74
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
405
512
115
180
200
413
212
497
288
425
912
26
989
230
332
725
106
85
1,124
334
892
482
1,582
70
276
123
204
244
349
119
55
195
144
141
183
1,903
866
399
128
954
725
387
276
357
220
692
236
513
152
574
596
265
458
362
291
236
$
12,498
7,813
3,725
6,426
3,216
17,895
7,164
7,067
13,196
4,522
12,330
1,182
5,123
3,951
6,902
9,396
3,602
3,028
8,250
10,625
14,254
5,668
11,311
967
6,665
2,757
11,479
2,496
7,929
2,910
7,314
2,498
2,431
6,135
5,285
11,247
16,203
18,190
6,299
14,472
15,029
5,403
4,529
12,120
1,617
7,557
4,130
15,759
2,701
14,907
14,286
5,684
9,746
8,174
6,134
8,083
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Financials - 20.4% (continued)
Lakeland Financial Corp.
LTC Properties, Inc. REIT
Maiden Holdings Ltd. (Bermuda)
Main Street Capital Corp.
Manning & Napier, Inc.
MarketAxess Holdings, Inc.
MB Financial, Inc.
MBIA, Inc. †
Meadowbrook Insurance Group, Inc. (a)
Medallion Financial Corp.
Medley Capital Corp.
MGIC Investment Corp. †
National Penn Bancshares, Inc.
Nelnet, Inc., Class A
New Mountain Finance Corp.
Old National Bancorp
OmniAmerican Bancorp, Inc. †
OneBeacon Insurance Group Ltd., Class A
Oritani Financial Corp.
PacWest Bancorp (a)
Pebblebrook Hotel Trust REIT
Pennsylvania Real Estate Investment
Trust REIT
PHH Corp. †
Pinnacle Financial Partners, Inc. †
Platinum Underwriters Holdings Ltd.
(Bermuda)
Portfolio Recovery Associates, Inc. †
Primerica, Inc.
PrivateBancorp, Inc.
Prospect Capital Corp.
PS Business Parks, Inc. REIT
Radian Group, Inc.
RAIT Financial Trust REIT
Ramco-Gershenson Properties Trust REIT
Retail Opportunity Investments Corp. REIT
Rockville Financial, Inc.
Rouse Properties, Inc. REIT
Ryman Hospitality Properties REIT
Sabra Health Care REIT, Inc. REIT
Selective Insurance Group, Inc.
Solar Senior Capital Ltd.
Sovran Self Storage, Inc. REIT
STAG Industrial, Inc. REIT
Stewart Information Services Corp.
Strategic Hotels & Resorts, Inc. REIT †
Sun Communities, Inc. REIT (a)
Sunstone Hotel Investors, Inc. REIT †
Susquehanna Bancshares, Inc.
Symetra Financial Corp.
Synovus Financial Corp.
Taylor Capital Group, Inc. †
Texas Capital Bancshares, Inc. †
THL Credit, Inc.
Triangle Capital Corp.
Trustmark Corp.
UMB Financial Corp.
116
138
347
317
250
166
97
175
279
191
626
3,492
380
74
921
280
247
661
260
303
113
$
3,219
5,389
3,893
8,778
4,440
7,761
2,600
2,329
2,240
2,657
8,501
21,197
3,861
2,671
13,041
3,872
5,441
9,571
4,077
9,287
2,921
803
493
181
15,161
10,047
4,654
224
112
444
381
806
143
2,402
853
567
228
241
242
294
393
315
227
310
1,157
227
1,142
184
1,678
548
671
2,522
206
146
508
324
208
34
12,817
17,207
16,623
8,081
8,705
10,320
27,911
6,415
8,806
3,169
3,152
4,748
11,469
10,261
7,251
4,179
20,085
23,082
5,945
10,118
9,156
20,270
7,042
10,729
7,364
3,479
6,477
7,717
8,913
5,113
1,893
Financials - 20.4% (continued)
Umpqua Holdings Corp.
United Bankshares, Inc. (a)
Universal Health Realty Income Trust REIT
ViewPoint Financial Group, Inc.
Virtus Investment Partners, Inc. †
Walker & Dunlop, Inc. †
Walter Investment Management Corp. †
Webster Financial Corp.
WesBanco, Inc.
Western Alliance Bancorp †
Whitestone REIT REIT
WisdomTree Investments, Inc. †
World Acceptance Corp. †
478
73
73
492
149
462
238
223
152
525
253
1,303
66
$
7,175
1,931
3,149
10,239
26,264
8,085
8,047
5,727
4,017
8,311
3,987
15,076
5,738
1,023,583
Health Care - 17.5%
Abaxis, Inc.
ABIOMED, Inc. †
Acadia Healthcare Co., Inc. †
ACADIA Pharmaceuticals, Inc. †
AcelRx Pharmaceuticals, Inc. †
Achillion Pharmaceuticals, Inc. †
Acorda Therapeutics, Inc. †
Addus HomeCare Corp. †
Aegerion Pharmaceuticals, Inc. †
Akorn, Inc. †
Albany Molecular Research, Inc. †
Align Technology, Inc. †
Alkermes PLC (Ireland) †
Alnylam Pharmaceuticals, Inc. †
AMN Healthcare Services, Inc. †
Amsurg Corp. †
Analogic Corp.
Anika Therapeutics, Inc. †(a)
Antares Pharma, Inc. †
Arena Pharmaceuticals, Inc. †
Ariad Pharmaceuticals, Inc. †
Array BioPharma, Inc. †
Astex Pharmaceuticals †
Biolase, Inc. †
Bio-Reference Labs, Inc. †
BioScrip, Inc. †
Cambrex Corp. †
Cantel Medical Corp.
Capital Senior Living Corp. †
Celldex Therapeutics, Inc. †
Celsion Corp. †
Centene Corp. †
Clovis Oncology, Inc. †
Curis, Inc. †
Cyberonics, Inc. †
Cynosure, Inc., Class A †
DexCom, Inc. †
Dyax Corp. †
Endocyte, Inc. †
Endologix, Inc. †
Exact Sciences Corp. †
ExamWorks Group, Inc. †
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
257
235
876
1,474
755
345
209
700
334
262
622
105
155
394
443
151
62
394
931
1,335
118
1,518
1,244
1,436
414
757
263
280
432
715
4,894
61
263
447
240
245
511
1,187
780
490
307
253
12,210
5,067
28,969
26,753
6,999
2,822
6,895
13,818
21,156
3,542
7,383
3,889
4,445
12,218
6,344
5,300
4,515
6,698
3,873
10,279
2,064
6,892
5,113
5,141
11,902
12,490
3,674
9,484
10,325
11,161
4,992
3,200
17,616
1,426
12,470
6,365
11,472
4,107
10,241
6,507
4,270
5,371
(Continued)
75
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Health Care - 17.5% (continued)
Exelixis, Inc. †(a)
Furiex Pharmaceuticals, Inc. †
GenMark Diagnostics, Inc. †
Genomic Health, Inc. †
Gentiva Health Services, Inc. †
Hanger, Inc. †
HealthStream, Inc. †
HeartWare International, Inc. †
Hi-Tech Pharmacal Co., Inc.
ICU Medical, Inc. †
Idenix Pharmaceuticals, Inc. †(a)
ImmunoGen, Inc. †
Infinity Pharmaceuticals, Inc. †
Insmed, Inc. †
Insulet Corp. †(a)
InterMune, Inc. †(a)
IPC The Hospitalist Co., Inc. †
Isis Pharmaceuticals, Inc. †
Jazz Pharmaceuticals PLC (Ireland) †
Keryx Biopharmaceuticals, Inc. †
Lexicon Pharmaceuticals, Inc. †(a)
Ligand Pharmaceuticals, Inc., Class B †
Luminex Corp. †
Magellan Health Services, Inc. †
MannKind Corp. †
MedAssets, Inc. †
Medicines Co./The †
Medidata Solutions, Inc. †
Medivation, Inc. †
Merge Healthcare, Inc. †(a)
Merit Medical Systems, Inc. †
Momenta Pharmaceuticals, Inc. †
MWI Veterinary Supply, Inc. †
Nanosphere, Inc. †
National Research Corp., Class B
Navidea Biopharmaceuticals, Inc. †
Nektar Therapeutics †(a)
NewLink Genetics Corp. †
NPS Pharmaceuticals, Inc. †
Omeros Corp. †(a)
Omnicell, Inc. †
Oncothyreon, Inc. †
OPKO Health, Inc. †(a)
Optimer Pharmaceuticals, Inc. †
OraSure Technologies, Inc. †
Orexigen Therapeutics, Inc. †(a)
Pacira Pharmaceuticals, Inc. †
PAREXEL International Corp. †
PDL BioPharma, Inc.
Peregrine Pharmaceuticals, Inc. †
Pharmacyclics, Inc. †
Puma Biotechnology, Inc. †
Quidel Corp. †
Repros Therapeutics, Inc. †(a)
RTI Biologics, Inc. †
Santarus, Inc. †
Sarepta Therapeutics, Inc. †
177
216
694
224
402
261
255
87
77
259
334
127
498
690
205
139
27
772
72
1,279
4,198
179
195
46
3,253
339
372
259
144
546
161
100
55
1,470
280
438
1,048
309
1,089
747
188
759
445
216
284
1,467
715
228
712
3,139
104
115
203
959
1,546
731
473
$
804
7,359
7,176
7,103
4,004
8,255
6,457
8,275
2,556
18,664
1,206
2,107
8,092
8,252
6,439
1,337
1,387
20,744
4,949
9,554
9,110
6,698
4,019
2,580
21,144
6,014
11,443
20,060
7,085
1,966
1,795
1,506
6,778
4,513
9,783
1,169
12,104
6,093
16,444
3,765
3,863
1,184
3,160
3,126
1,102
8,582
20,735
10,474
5,497
4,049
8,265
5,103
5,183
17,694
5,813
15,388
17,998
Health Care - 17.5% (continued)
Select Medical Holdings Corp.
Skilled Healthcare Group, Inc., Class A †
Spectranetics Corp. †
Spectrum Pharmaceuticals, Inc.
Staar Surgical Co. †
Sunesis Pharmaceuticals, Inc. †
Synergy Pharmaceuticals, Inc. †
Synta Pharmaceuticals Corp. †
TearLab Corp. †
Threshold Pharmaceuticals, Inc. †
Universal American Corp.
Vical, Inc. †(a)
Vivus, Inc. †
West Pharmaceutical Services, Inc.
Wright Medical Group, Inc. †
XenoPort, Inc. †
ZIOPHARM Oncology, Inc. †(a)
AQR Funds
300
623
556
151
228
1,476
711
981
1,163
1,495
417
2,009
199
108
352
1,277
300
$
2,460
4,162
10,386
1,126
2,314
7,690
3,072
4,895
12,351
7,864
3,707
6,288
2,503
7,588
9,226
6,321
630
878,046
Industrials - 14.4%
AAON, Inc.
Aceto Corp.
Advisory Board Co./The †
Aerovironment, Inc. †
Aircastle Ltd.
Albany International Corp., Class A
Allegiant Travel Co.
AMERCO
American Railcar Industries, Inc.
American Woodmark Corp. †
Apogee Enterprises, Inc.
Applied Industrial Technologies, Inc.
Argan, Inc.
Astec Industries, Inc.
Astronics Corp. †
Avis Budget Group, Inc. †
AZZ, Inc.
Barnes Group, Inc.
Barrett Business Services, Inc.
Beacon Roofing Supply, Inc. †(a)
Brink’s Co./The
Builders FirstSource, Inc. †
Capstone Turbine Corp. †
Chart Industries, Inc. †
Coleman Cable, Inc.
Colfax Corp. †
Corporate Executive Board Co./The
Curtiss-Wright Corp.
Deluxe Corp. (a)
DigitalGlobe, Inc. †
Douglas Dynamics, Inc.
DXP Enterprises, Inc. †
Dycom Industries, Inc. †
Echo Global Logistics, Inc. †
Encore Wire Corp.
EnerNOC, Inc. †
EnerSys, Inc.
Erickson Air-Crane, Inc. †
The accompanying notes are an integral part of these financial statements.
76
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
131
644
101
107
313
105
229
85
113
270
271
164
130
103
75
469
116
224
211
535
68
1,259
1,193
43
471
113
53
66
367
475
179
198
159
134
111
398
213
437
4,333
8,971
5,520
2,159
5,005
3,463
24,272
13,762
3,787
9,369
6,504
7,926
2,028
3,532
3,065
13,484
4,473
6,718
11,016
20,266
1,735
7,529
1,396
4,046
8,506
5,888
3,351
2,446
12,717
14,730
2,323
13,187
3,679
2,612
3,785
5,277
10,446
8,220
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Industrials - 14.4% (continued)
Exponent, Inc.
Forward Air Corp.
Franklin Electric Co., Inc.
FTI Consulting, Inc. †
GATX Corp.
GenCorp, Inc. †(a)
Generac Holdings, Inc.
Gibraltar Industries, Inc. †
GP Strategies Corp. †
H&E Equipment Services, Inc.
Healthcare Services Group, Inc.
Huron Consulting Group, Inc. †
Hyster-Yale Materials Handling, Inc.
ICF International, Inc. †
InnerWorkings, Inc. †(a)
Kaman Corp. (a)
KEYW Holding Corp./The †
Kimball International, Inc., Class B
Lydall, Inc. †(a)
Macquarie Infrastructure Co. LLC
Manitex International, Inc. †
Manitowoc Co., Inc./The
MasTec, Inc. †
Matson, Inc.
McGrath RentCorp.
Middleby Corp. †
Mine Safety Appliances Co.
Mistras Group, Inc. †
Mueller Industries, Inc.
Mueller Water Products, Inc., Class A
Multi-Color Corp.
Navigant Consulting, Inc. †
Nortek, Inc. †
On Assignment, Inc. †
Patrick Industries, Inc. †
PGT, Inc. †
PowerSecure International, Inc. †
Primoris Services Corp.
Proto Labs, Inc. †
Quad/Graphics, Inc.
Quality Distribution, Inc. †
RBC Bearings, Inc. †
Republic Airways Holdings, Inc. †
Revolution Lighting Technologies, Inc. †
Roadrunner Transportation Systems, Inc. †
Saia, Inc. †
Simpson Manufacturing Co., Inc.
Standex International Corp.
Steelcase, Inc., Class A
Sun Hydraulics Corp.
Swift Transportation Co. †
Taser International, Inc. †
Team, Inc. †
Tennant Co.
Textainer Group Holdings Ltd.
Thermon Group Holdings, Inc. †
Titan International, Inc.
69
130
202
53
58
588
415
498
152
289
518
102
124
68
264
93
619
371
499
173
395
444
395
121
83
56
161
236
166
1,356
103
256
210
426
922
1,116
646
239
285
344
153
66
642
1,703
302
344
89
60
547
83
551
464
99
62
231
117
137
$
4,079
4,976
6,797
1,743
2,751
9,561
15,359
7,251
3,621
6,089
12,701
4,716
7,786
2,143
2,864
3,214
8,202
3,602
7,285
9,247
4,325
7,952
12,996
3,025
2,835
9,525
7,495
4,149
8,371
9,370
3,125
3,072
13,530
11,383
19,168
9,676
9,709
4,713
18,516
8,290
1,353
3,429
7,274
6,812
8,408
10,295
2,618
3,165
7,975
2,596
9,114
3,953
3,747
2,993
8,880
2,387
2,311
Industrials - 14.4% (continued)
Trex Co., Inc. †
TriMas Corp. †
United Rentals, Inc. †(a)
United Stationers, Inc. (a)
US Ecology, Inc.
USG Corp. †
Wabash National Corp. †
WageWorks, Inc. †
Watts Water Technologies, Inc., Class A
Werner Enterprises, Inc.
XPO Logistics, Inc. †
201
313
89
120
115
223
826
176
58
267
226
$
9,545
11,669
4,442
4,026
3,156
5,140
8,409
6,063
2,630
6,453
4,088
719,669
Information Technology - 14.0%
3D Systems Corp. †
ACI Worldwide, Inc. †
Actuate Corp. †
Angie’s List, Inc. †
AOL, Inc. †
ARRIS Group, Inc. †
Aspen Technology, Inc. †
ATMI, Inc. †
Blackbaud, Inc.
Blucora, Inc. †
Booz Allen Hamilton Holding Corp.
Bottomline Technologies de, Inc. †
Brooks Automation, Inc.
CACI International, Inc., Class A †(a)
CalAmp Corp. †
Cardtronics, Inc. †
Cass Information Systems, Inc.
CEVA, Inc. †
Cirrus Logic, Inc. †
Cognex Corp.
Coherent, Inc.
CommVault Systems, Inc. †
Computer Task Group, Inc.
Comtech Telecommunications Corp.
Cornerstone OnDemand, Inc. †
CoStar Group, Inc. †
Cray, Inc. †
Dealertrack Technologies, Inc. †
Electronics for Imaging, Inc. †
Ellie Mae, Inc. †
Entegris, Inc. †
Euronet Worldwide, Inc. †
ExlService Holdings, Inc. †
Fair Isaac Corp.
FARO Technologies, Inc. †
FEI Co.
Global Cash Access Holdings, Inc. †
Globecomm Systems, Inc. †
Glu Mobile, Inc. †(a)
GT Advanced Technologies, Inc. †
Guidewire Software, Inc. †
Heartland Payment Systems, Inc. (a)
Hutchinson Technology, Inc. †
Immersion Corp. †
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
133
147
330
553
173
836
281
113
186
397
759
106
216
39
717
192
62
113
157
109
68
72
144
107
570
108
618
171
183
797
550
143
162
165
79
87
470
166
1,754
207
312
174
1,615
870
5,839
6,833
2,191
14,682
6,311
11,997
8,090
2,672
6,058
7,360
13,191
2,681
2,102
2,476
10,468
5,299
2,858
2,188
2,726
4,929
3,745
5,464
3,308
2,877
24,675
13,940
12,138
6,059
5,177
18,395
5,164
4,556
4,789
7,562
2,672
6,350
2,942
2,098
3,859
859
13,120
6,481
7,639
11,527
(Continued)
77
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Information Technology - 14.0% (continued)
Insight Enterprises, Inc. †
Integrated Silicon Solution, Inc. †
Intermolecular, Inc. †
Ixia †(a)
j2 Global, Inc. (a)
Kulicke & Soffa Industries, Inc. †
Lattice Semiconductor Corp. †
Liquidity Services, Inc. †(a)
LivePerson, Inc. †(a)
Manhattan Associates, Inc. †
MAXIMUS, Inc.
Measurement Specialties, Inc. †
Mentor Graphics Corp.
Meru Networks, Inc. †
MicroStrategy, Inc., Class A †
Mitek Systems, Inc. †
MKS Instruments, Inc.
Monolithic Power Systems, Inc.
Monotype Imaging Holdings, Inc.
MTS Systems Corp.
Nanometrics, Inc. †
Netscout Systems, Inc. †
NetSol Technologies, Inc. †
NIC, Inc.
OSI Systems, Inc. †
Parkervision, Inc. †
PDF Solutions, Inc. †
Pegasystems, Inc.
PROS Holdings, Inc. †
Rogers Corp. †
Sanmina Corp. †
Sapient Corp. †
ScanSource, Inc. †
SciQuest, Inc. †
Semtech Corp. †
Silicon Graphics International Corp. †
Sourcefire, Inc. †
Spansion, Inc., Class A †
SPS Commerce, Inc. †
SS&C Technologies Holdings, Inc. †
Stamps.com, Inc. †
Stratasys Ltd. †
SunEdison, Inc. †
SunPower Corp. †
Super Micro Computer, Inc. †
TiVo, Inc. †
Tyler Technologies, Inc. †
Ultimate Software Group, Inc. †
Ultratech, Inc. †
Uni-Pixel, Inc. †
ValueClick, Inc. †
VirnetX Holding Corp. †
Volterra Semiconductor Corp. †
Web.com Group, Inc. †(a)
Yelp, Inc. †
Zillow, Inc., Class A †
194
174
459
625
128
235
450
81
246
104
137
59
559
1,189
10
1,203
143
276
188
53
125
276
681
574
155
2,090
254
54
171
60
591
247
78
382
117
221
144
279
373
374
180
226
2,609
1,345
181
368
137
83
112
629
771
80
75
429
282
341
$
3,442
1,907
3,337
11,500
5,441
2,599
2,281
2,808
2,203
8,025
10,204
2,745
10,928
4,792
870
6,953
3,795
6,654
4,777
3,000
1,834
6,442
6,851
9,488
9,985
9,510
4,681
1,788
5,121
2,839
8,481
3,226
2,496
9,569
4,099
2,957
7,999
3,493
20,515
12,305
7,090
18,925
21,316
27,842
1,926
4,066
9,391
9,735
4,113
9,253
19,028
1,599
1,059
10,982
9,805
19,198
703,615
Materials - 4.5%
ADA-ES, Inc. †
AEP Industries, Inc. †
AMCOL International Corp.
American Pacific Corp. †
American Vanguard Corp.
Axiall Corp.
Balchem Corp.
Boise, Inc.
Calgon Carbon Corp. †
Chemtura Corp. †
Deltic Timber Corp.
Eagle Materials, Inc.
Flotek Industries, Inc. †
FutureFuel Corp.
Graphic Packaging Holding Co. †
H.B. Fuller Co.
Haynes International, Inc.
Headwaters, Inc. †
Innophos Holdings, Inc.
Innospec, Inc.
KapStone Paper and Packaging Corp.
Kraton Performance Polymers, Inc. †
Louisiana-Pacific Corp. †
LSB Industries, Inc. †
Myers Industries, Inc.
Olin Corp.
Paramount Gold and Silver Corp. †(a)
PH Glatfelter Co.
PolyOne Corp.
RTI International Metals, Inc. †
Stepan Co.
SunCoke Energy, Inc. †
Texas Industries, Inc. †
Tredegar Corp.
US Concrete, Inc. †
US Silica Holdings, Inc.
Worthington Industries, Inc.
AQR Funds
175
90
59
178
323
205
58
591
158
320
41
154
274
287
551
215
62
1,216
147
119
146
138
209
79
203
256
449
228
556
181
84
187
211
103
312
672
677
$
7,371
6,695
1,870
5,046
7,568
8,729
2,595
5,047
2,635
6,496
2,371
10,206
4,916
4,067
4,265
8,129
2,968
10,749
6,934
4,781
5,866
2,926
3,091
2,402
3,047
6,124
534
5,723
13,778
5,015
4,671
2,622
13,745
2,647
5,123
13,964
21,468
226,184
Telecommunication Services - 0.6%
8x8, Inc. †
Atlantic Tele-Network, Inc.
Cincinnati Bell, Inc. †
Cogent Communications Group, Inc.
Consolidated Communications Holdings, Inc.
inContact, Inc. †
Lumos Networks Corp.
Premiere Global Services, Inc. †
552
74
883
214
147
395
321
278
4,549
3,675
2,702
6,024
2,559
3,247
5,489
3,355
31,600
Utilities - 1.0%
ALLETE, Inc. (a)
American States Water Co.
Black Hills Corp.
Chesapeake Utilities Corp.
El Paso Electric Co.
MGE Energy, Inc.
Middlesex Water Co.
The accompanying notes are an integral part of these financial statements.
78
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
35
332
75
72
44
78
156
1,745
17,818
3,656
3,707
1,554
4,271
3,108
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
VALUE
(Note 2)
SHARES
Utilities - 1.0% (continued)
Otter Tail Corp.
South Jersey Industries, Inc.
Unitil Corp.
366
37
94
$
10,394
2,124
2,715
51,092
TOTAL COMMON STOCKS
(cost $4,018,845)
4,936,987
EXCHANGE-TRADED FUNDS - 0.5%
iShares Russell 2000 Index Fund
(cost $20,867)
260
25,261
MONEY MARKET FUNDS - 0.8%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(b)
(cost $39,576)
39,576
39,576
144,512
144,512
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES ON LOAN - 2.9%
BlackRock Liquidity Funds TempFund
Portfolio - Institutional Shares,
0.046% (2)(b)(c)
(cost $144,512)
TOTAL INVESTMENTS - 102.6%
(cost $4,223,800)
5,146,336
LIABILITIES IN EXCESS OF OTHER
ASSETS - (2.6%)
(130,339)
NET ASSETS - 100.0%
$5,015,997
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) All or a portion of the security on loan. The aggregate market value
of such securities is $140,583 cash collateral of $144,512 was
received with which the Fund purchased a money market fund.
(b) Represents annualized seven-day yield as of June 30, 2013.
(c) Represents security, or portion thereof, purchased with the cash
collateral received for securities on loan.
All securities are Level 1 with respect to ASC 820, unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
79
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
COMMON STOCKS - 98.1%
Australia - 7.1%
ALS Ltd.
Amcor Ltd.
Aurizon Holdings Ltd.
Australia & New Zealand Banking Group Ltd.
Coca-Cola Amatil Ltd.
Commonwealth Bank of Australia
CSL Ltd.
Dexus Property Group REIT
Federation Centres Ltd. REIT
GPT Group REIT
Mirvac Group REIT
National Australia Bank Ltd.
New Hope Corp. Ltd.
Orica Ltd.
Ramsay Health Care Ltd.
Santos Ltd.
Telecom Corp of New Zealand Ltd.
Telstra Corp. Ltd.
Wesfarmers Ltd.
Westfield Retail Trust REIT
Westpac Banking Corp.
Woolworths Ltd.
VALUE
(Note 2)
SHARES
295
586
3,392
1,377
386
525
472
4,204
6,256
1,253
2,298
1,442
547
113
161
278
1,966
16,142
1,172
16,763
3,339
945
$
2,568
5,416
12,885
35,746
4,472
33,047
26,515
4,100
13,559
4,400
3,364
39,006
1,784
2,130
5,262
3,166
3,396
70,177
42,410
47,407
87,665
28,309
476,784
Austria - 0.8%
Andritz AG
Erste Group Bank AG
Raiffeisen Bank International AG †
416
785
448
21,344
20,923
13,043
55,310
Belgium - 1.2%
Ageas
Anheuser-Busch InBev NV
Belgacom SA
KBC Groep NV
RTL Group SA
UCB SA
619
318
94
457
62
98
21,720
28,630
2,104
17,037
5,076
5,261
79,828
Bermuda - 0.1%
Gulf Keystone Petroleum Ltd. †
Seadrill Ltd.
2,240
77
4,910
3,101
8,011
Canada - 4.3%
Alimentation Couche Tard, Inc., Class B (1)
AltaGas Ltd. (1)
Bank of Montreal (1)
BCE, Inc. (1)
Boardwalk Real Estate Investment Trust
REIT (1)
Brookfield Asset Management, Inc.,
Class A (1)
Brookfield Office Properties, Inc. (1)
Calloway Real Estate Investment Trust
REIT (1)
Canadian Pacific Railway Ltd. (1)
Canadian Utilities Ltd., Class A (1)
514
100
100
136
30,497
3,505
5,800
5,576
100
5,543
509
100
18,294
1,663
100
327
200
2,445
39,652
7,019
Canada - 4.3% (continued)
CGI Group, Inc., Class A (1)†
Dollarama, Inc. (1)
Empire Co., Ltd., Class A (1)
Ensign Energy Services, Inc. (1)
First Majestic Silver Corp. (1)†
Fortis, Inc. (1)
Franco-Nevada Corp. (1)
IGM Financial, Inc. (1)
Intact Financial Corp. (1)
Jean Coutu Group PJC, Inc./The, Class A (1)
Loblaw Cos., Ltd. (1)
Metro, Inc. (1)
National Bank of Canada (1)
Onex Corp. (1)
Open Text Corp. (1)
Paramount Resources Ltd., Class A (1)†
Pembina Pipeline Corp. (1)
Precision Drilling Corp. (1)
RioCan Real Estate Investment Trust REIT (1)
Rogers Communications, Inc., Class B (1)
Royal Bank of Canada (1)
Shaw Communications, Inc., Class B (1)
Tim Hortons, Inc. (1)
TransAlta Corp. (1)
Trilogy Energy Corp. (1)
Vermilion Energy, Inc. (1)
Yamana Gold, Inc. (1)
AQR Funds
676
109
100
100
100
100
100
100
100
200
100
100
100
100
100
100
100
200
242
1,049
79
100
100
100
100
100
300
$
19,797
7,629
7,647
1,548
1,061
3,061
3,580
4,287
5,634
3,377
4,521
6,702
7,135
4,537
6,837
3,390
3,060
1,702
5,815
41,094
4,603
2,400
5,408
1,370
2,986
4,888
2,861
286,924
Denmark - 0.9%
Coloplast A/S, Class B
Danske Bank A/S †
Novo Nordisk A/S, Class B
Novozymes A/S, B Shares
William Demant Holding A/S †
90
918
206
153
39
5,040
15,660
32,025
4,901
3,222
60,848
Finland - 0.9%
Kone OYJ, Class B
Metso OYJ
Sampo OYJ, A Shares
305
434
595
24,193
14,701
23,169
62,063
France - 6.4%
Air Liquide SA
AXA SA
BNP Paribas SA
Danone SA
Dassault Systemes SA
Edenred
Essilor International SA
European Aeronautic Defence and Space Co.
NV
Eutelsat Communications SA
Hermes International
Iliad SA
L’Oreal SA
LVMH Moet Hennessy Louis Vuitton SA
The accompanying notes are an integral part of these financial statements.
80
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
161
1,176
957
363
53
323
243
19,884
23,182
52,391
27,322
6,478
9,890
25,889
496
106
35
21
257
196
26,536
3,007
11,297
4,537
42,247
31,822
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
France - 6.4% (continued)
Pernod-Ricard SA
Sanofi
Societe Generale SA
Sodexo
Technip SA
Unibail-Rodamco SE REIT
92
811
493
65
46
94
$
10,211
83,842
16,967
5,412
4,675
21,893
427,482
Germany - 5.5%
Adidas AG
Allianz SE
BASF SE
Bayer AG
Beiersdorf AG
Brenntag AG
Continental AG
Deutsche Bank AG
Deutsche Lufthansa AG †
Deutsche Post AG
Fresenius Medical Care AG & Co. KGaA
Fresenius SE & Co. KGaA
GEA Group AG
Hannover Rueckversicherung SE
Lanxess AG
Merck KGaA
Muenchener Rueckversicherungs AG
RWE AG
SAP AG
Suedzucker AG
160
216
106
586
64
88
125
67
730
1,412
109
61
93
53
284
201
363
83
171
113
17,296
31,528
9,454
62,392
5,575
13,375
16,664
2,809
14,788
35,043
7,726
7,508
3,293
3,811
17,103
30,568
66,688
2,646
12,487
3,498
364,252
Hong Kong - 3.9%
AIA Group Ltd.
BOC Hong Kong Holdings Ltd.
Cheung Kong Infrastructure Holdings Ltd.
CLP Holdings Ltd.
First Pacific Co., Ltd.
Galaxy Entertainment Group Ltd. †
Giordano International Ltd.
Hang Seng Bank Ltd.
Henderson Land Development Co., Ltd.
Hong Kong & China Gas Co., Ltd.
Link REIT/The REIT
Luk Fook Holdings International Ltd.
Melco International Development Ltd.
New World Development Co., Ltd.
Power Assets Holdings Ltd.
Sands China Ltd.
SJM Holdings Ltd.
SmarTone Telecommunications Holdings Ltd.
Stella International Holdings Ltd.
Wharf Holdings Ltd.
Wheelock & Co., Ltd.
3,800
10,500
1,000
1,000
12,000
6,000
2,000
1,200
3,300
2,420
3,500
1,000
2,000
9,000
1,000
2,400
6,000
1,500
1,000
2,000
3,000
16,009
32,121
6,663
8,084
12,828
29,145
1,744
17,672
19,598
5,905
17,177
2,302
3,753
12,362
8,608
11,215
14,561
2,478
2,760
16,693
14,968
256,646
Israel - 0.5%
Bank Hapoalim BM †
EZchip Semiconductor Ltd. †
4,981
308
22,479
8,282
Israel - 0.5% (continued)
Mellanox Technologies Ltd. †
77
$
3,828
34,589
Italy - 1.0%
Davide Campari-Milano SpA
Fiat Industrial SpA
Gtech Spa
Luxottica Group SpA
Pirelli & C. SpA
Saipem SpA
Salvatore Ferragamo Italia SpA
Tenaris SA
430
878
157
512
343
71
534
152
3,115
9,774
3,929
25,905
3,965
1,153
16,606
3,044
67,491
Japan - 40.6%
Acom Co., Ltd. †
Aeon Co., Ltd.
Aiful Corp. †
Astellas Pharma, Inc.
Autobacs Seven Co., Ltd.
Bridgestone Corp.
Calbee, Inc.
Central Japan Railway Co.
Chugai Pharmaceutical Co., Ltd.
Cosmos Pharmaceutical Corp.
CyberAgent, Inc.
Dai-ichi Life Insurance Co., Ltd./The
Daikin Industries Ltd.
Dainippon Sumitomo Pharma Co., Ltd.
Daiwa House Industry Co., Ltd.
Daiwa Securities Group, Inc.
Denso Corp.
Don Quijote Co., Ltd.
East Japan Railway Co.
Eisai Co., Ltd.
FamilyMart Co., Ltd.
FANUC Corp.
Fast Retailing Co., Ltd.
Fuji Heavy Industries Ltd.
GungHo Online Entertainment, Inc. †
Hino Motors Ltd.
Hiroshima Bank Ltd./The
Hitachi Ltd.
Hitachi Transport System Ltd.
Honda Motor Co., Ltd.
House Foods Corp.
Ichigo Group Holdings Co., Ltd.
ITOCHU Corp.
Itochu Techno-Solutions Corp.
Jafco Co., Ltd.
Japan Retail Fund Investment Corp. REIT
Japan Tobacco, Inc.
Kajima Corp.
Kakaku.com, Inc.
KDDI Corp.
Keihan Electric Railway Co., Ltd.
Keyence Corp.
Kintetsu Corp.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
620
200
3,250
800
300
900
300
200
800
200
1
10
500
300
1,000
5,000
1,100
100
400
100
100
100
100
2,000
20
1,000
1,000
2,000
200
1,300
100
32
1,800
100
600
6
1,900
1,000
200
800
1,000
100
3,000
19,724
2,628
27,211
43,459
4,564
30,690
28,473
24,376
16,560
20,282
1,915
14,355
20,210
3,968
18,627
41,875
51,715
4,854
31,133
4,075
4,267
14,473
33,750
49,388
21,851
14,674
4,256
12,815
3,285
48,294
1,631
22,234
20,815
4,140
22,790
12,535
67,065
3,315
6,107
41,659
4,172
31,861
13,170
(Continued)
81
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
Japan - 40.6% (continued)
Kobayashi Pharmaceutical Co., Ltd.
Komeri Co., Ltd.
Kubota Corp.
Lawson, Inc.
LIXIL Group Corp.
Matsui Securities Co. Ltd.
Mazda Motor Corp. †
Mitsubishi Estate Co., Ltd.
Mitsubishi Heavy Industries, Ltd.
Mitsubishi Motors Corp. †
Mitsubishi UFJ Financial Group, Inc.
Mitsui Fudosan Co., Ltd.
Mizuho Financial Group, Inc.
Nabtesco Corp.
Nikon Corp.
Nippon Telegraph & Telephone Corp.
Nissan Motor Co., Ltd.
Nissin Foods Holdings Co., Ltd.
Nitori Holdings Co., Ltd.
Nitto Denko Corp.
Nomura Holdings, Inc.
Nomura Real Estate Holdings, Inc.
Nomura Research Institute Ltd.
NTT Urban Development Corp.
Okasan Securities Group, Inc.
Olympus Corp. †
Ono Pharmaceutical Co., Ltd.
Orient Corp. †
Oriental Land Co., Ltd.
ORIX Corp.
Otsuka Holdings Co., Ltd.
Park24 Co., Ltd.
Pola Orbis Holdings, Inc.
Rakuten, Inc.
Sanrio Co., Ltd.
Santen Pharmaceutical Co., Ltd.
Sega Sammy Holdings, Inc.
Seven & I Holdings Co., Ltd.
Shin-Etsu Chemical Co., Ltd.
Shinsei Bank Ltd.
Shionogi & Co., Ltd.
Softbank Corp.
Sony Corp.
Sumitomo Corp.
Sumitomo Mitsui Financial Group, Inc.
Sumitomo Mitsui Trust Holdings, Inc.
Sumitomo Realty & Development Co., Ltd.
Suruga Bank Ltd.
Taiheiyo Cement Corp.
Taisei Corp.
Takara Bio, Inc.
Takeda Pharmaceutical Co., Ltd.
Toho Co., Ltd.
Toho Gas Co., Ltd.
Tokai Tokyo Financial Holdings, Inc.
Tokyo Electric Power Co., Inc †
Tokyo Gas Co., Ltd.
100
100
2,000
300
700
1,700
10,000
3,000
4,000
28,000
18,100
2,000
27,000
100
600
100
1,200
100
50
500
6,900
1,000
700
12
3,000
1,000
100
5,000
100
3,200
200
200
400
600
100
100
700
800
400
8,000
700
1,200
1,600
200
1,900
8,000
1,000
3,000
4,000
6,000
500
900
200
1,000
4,200
6,400
3,000
$
5,270
2,504
29,107
22,893
17,046
15,045
39,534
79,872
22,238
38,326
111,783
58,800
56,071
2,076
14,018
5,212
12,027
4,044
4,025
32,068
50,789
22,090
22,734
14,729
24,781
30,387
6,807
12,009
15,476
43,670
6,604
3,628
13,529
7,095
4,639
4,328
17,541
29,299
26,474
18,167
14,597
69,852
33,802
2,493
86,969
37,327
39,854
54,403
12,765
21,660
11,646
40,585
4,114
5,171
28,581
33,039
16,551
Japan - 40.6% (continued)
Tokyo Tatemono Co., Ltd.
Tokyu Corp.
Tokyu Land Corp.
Toyota Motor Corp.
Unicharm Corp.
USS Co., Ltd.
West Japan Railway Co.
Yahoo Japan Corp.
Yakult Honsha Co., Ltd.
Yamada Denki Co., Ltd.
Yamato Holdings Co., Ltd.
Yokohama Rubber Co., Ltd./The
Zensho Holdings Co., Ltd.
AQR Funds
2,000
3,000
3,000
3,800
400
30
100
74
100
40
200
1,000
200
$
16,642
19,643
27,462
229,208
22,623
3,803
4,241
36,439
4,147
1,620
4,212
10,041
2,282
2,711,748
Netherlands - 1.7%
Akzo Nobel NV
ASML Holding NV
Heineken NV
Koninklijke Ahold NV
Koninklijke Philips NV
Unilever NV CVA
301
171
422
658
1,024
377
16,984
13,499
26,861
9,787
27,915
14,840
109,886
Norway - 0.6%
Aker Solutions ASA
Gjensidige Forsikring ASA
Golar LNG Ltd.
Telenor ASA
867
1,119
70
565
11,836
16,485
2,178
11,223
41,722
Portugal - 0.1%
Galp Energia SGPS SA
Jeronimo Martins SGPS SA
140
313
2,075
6,597
8,672
Singapore - 2.3%
CapitaLand Ltd.
CapitaMalls Asia Ltd.
DBS Group Holdings Ltd.
Jardine Matheson Holdings Ltd.
Jardine Strategic Holdings Ltd.
Keppel Corp. Ltd.
Keppel REIT
Singapore Telecommunications Ltd.
9,000
8,000
2,000
400
500
3,000
600
10,000
21,744
11,474
24,336
24,141
18,105
24,538
612
29,618
154,568
Spain - 4.1%
Abertis Infraestructuras SA
Amadeus IT Holding SA, A Shares
Banco Bilbao Vizcaya Argentaria SA
CaixaBank
Endesa SA
Ferrovial SA
Gas Natural SDG SA
Inditex SA
Mapfre SA
Semi-Annual Report
340
895
12,260
381
148
390
2,876
505
1,513
5,924
28,645
103,032
1,170
3,161
6,226
57,944
62,289
4,923
273,314
The accompanying notes are an integral part of these financial statements.
82
VALUE
(Note 2)
SHARES
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
VALUE
(Note 2)
SHARES
Sweden - 1.9%
Getinge AB, B Shares
Hennes & Mauritz AB, B Shares
Investor AB, B Shares
Skandinaviska Enskilda Banken AB, Class A
Svenska Handelsbanken AB, A Shares
Swedbank AB, A Shares
Swedish Match AB
Tele2 AB, B Shares
138
383
780
3,931
392
1,359
114
227
$
4,190
12,601
20,936
37,529
15,705
31,127
4,047
2,665
128,800
Switzerland - 3.4%
Credit Suisse Group AG †
Lindt & Spruengli AG
Novartis AG
Roche Holding AG
Schindler Holding AG
SGS SA
Syngenta AG
UBS AG †
Wolseley PLC
1,506
1
584
156
32
12
94
1,976
78
39,870
3,754
41,365
38,719
4,452
25,763
36,656
33,540
3,599
VALUE
(Note 2)
SHARES
United Kingdom - 10.4% (continued)
SABMiller PLC
Sage Group PLC/The
Severn Trent PLC
Shire PLC
SSE PLC
Standard Life PLC
Tate & Lyle PLC
Tesco PLC
Tullow Oil PLC
United Utilities Group PLC
Vodafone Group PLC
Weir Group PLC/The
WM Morrison Supermarkets PLC
977
663
173
214
372
762
322
1,089
321
372
1,092
123
1,127
$
46,841
3,424
4,381
6,782
8,615
4,010
4,040
5,484
4,886
3,870
3,129
4,022
4,486
694,138
United States - 0.4%
Valeant Pharmaceuticals International,
Inc. (1)†
285
TOTAL COMMON STOCKS
(cost $5,918,015)
24,573
6,555,367
227,718
United Kingdom - 10.4%
Aggreko PLC
ARM Holdings PLC
Associated British Foods PLC
AstraZeneca PLC
Barclays PLC
BG Group PLC
BP PLC
British American Tobacco PLC
British Sky Broadcasting Group PLC
BT Group PLC
Bunzl PLC
Burberry Group PLC
Compass Group PLC
Croda International PLC
Diageo PLC
Experian PLC
Fresnillo PLC
G4S PLC
GlaxoSmithKline PLC
HSBC Holdings PLC
Imperial Tobacco Group PLC
Intertek Group PLC
Kingfisher PLC
Land Securities Group PLC REIT
Legal & General Group PLC
Meggitt PLC
National Grid PLC
Next PLC
Pearson PLC
Prudential PLC
Randgold Resources Ltd.
Reckitt Benckiser Group PLC
Rexam PLC
Rolls-Royce Holdings PLC †
Royal Bank of Scotland Group PLC †
PREFERRED STOCKS - 0.0% (a)
133
1,727
210
50
13,606
687
740
941
451
5,048
221
203
1,417
111
1,887
1,092
272
681
126
10,509
538
94
1,009
307
1,967
501
2,270
241
343
327
40
500
474
1,309
6,019
3,324
20,892
5,540
2,364
57,944
11,675
5,136
48,263
5,433
23,699
4,310
4,176
18,106
4,186
54,112
18,979
3,672
2,401
3,150
108,791
18,655
4,178
5,261
4,123
5,127
3,947
25,732
16,694
6,100
5,338
2,535
35,368
3,440
22,539
24,978
United Kingdom - 0.0% (a)
Rolls-Royce Holdings PLC (3)†(b)
(cost $-)
EXCHANGE-TRADED FUNDS - 0.8%
iShares MSCI EAFE Index Fund (1)
(cost $53,044)
237
993
56,978
112
—
58,493
58,493
RIGHTS - 0.0% (a)
Hong Kong - 0.0% (a)
(cost $-)
MONEY MARKET FUNDS - 0.9%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares, 0.000% (c)
(cost $58,493)
TOTAL INVESTMENTS - 99.8%
(cost $6,029,552)
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.2%
NET ASSETS - 100.0%
6,671,075
12,946
$6,684,021
† Non income-producing security.
(a) Represents less than 0.05 percent of net assets.
(b) Security fair valued at as of June 30, 2013 using procedures
approved by the Board of Trustees. The total value of positions fair
valued was $237 or 0.0% of total net assets.
(c) Represents annualized seven-day yield as of June 30, 2013.
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(1) Level 1 security (See Note 4).
(3) Level 3 security (See Note 4).
The accompanying notes are an integral part of these financial statements.
AQR Funds
155,771
Semi-Annual Report
June 2013
(Continued)
83
Schedule of Investments
June 30, 2013 (Unaudited)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND
The following abbreviations are used in portfolio
descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Mutual Fund
Telecommunication Services
Utilities
Money Market Funds
Total Investments
Other Assets in Excess of Liabilities
Net Assets
VALUE
$1,017,782
763,360
80,698
2,402,221
604,308
708,612
260,114
200,269
56,978
316,420
201,820
58,493
% OF NET
ASSETS
15.2%
11.4
1.2
36.0
9.0
10.6
4.0
3.0
0.9
4.7
3.0
0.8
6,671,075
12,946
99.8
0.2
$6,684,021
100.0%
The accompanying notes are an integral part of these financial statements.
84
AQR Funds
Semi-Annual Report
June 2013
Schedules of Investments
June 30, 2013 (Unaudited)
AQR CORE EQUITY FUND
COMMON STOCKS - 97.1%
Consumer Discretionary - 18.2%
Aaron’s, Inc.
Abercrombie & Fitch Co., Class A
AMC Networks, Inc., Class A †
American Eagle Outfitters, Inc.
Best Buy Co., Inc.
Brunswick Corp.
Buckle, Inc./The
CBS Corp., Class B
Chico’s FAS, Inc.
Choice Hotels International, Inc.
Cinemark Holdings, Inc.
Comcast Corp., Class A
CST Brands, Inc. †
Dana Holding Corp.
Dillard’s, Inc., Class A
DIRECTV †
DISH Network Corp., Class A
Domino’s Pizza, Inc.
DR Horton, Inc.
DSW, Inc., Class A
Expedia, Inc.
Fifth & Pacific Cos., Inc. †
Foot Locker, Inc.
Ford Motor Co.
Fossil Group, Inc. †
GameStop Corp., Class A
Gannett Co., Inc.
Gap, Inc./The
General Motors Co. †
Goodyear Tire & Rubber Co./The †
H&R Block, Inc.
Hanesbrands, Inc.
Hasbro, Inc.
Home Depot, Inc./The
HSN, Inc.
Jarden Corp. †
Lear Corp.
Leggett & Platt, Inc.
Lennar Corp., Class A
Live Nation Entertainment, Inc. †
Lowe’s Cos., Inc.
Macy’s, Inc.
Mattel, Inc.
Mohawk Industries, Inc. †
Netflix, Inc. †
Newell Rubbermaid, Inc.
News Corp., Class A
Penske Automotive Group, Inc.
PetSmart, Inc.
Pier 1 Imports, Inc.
PulteGroup, Inc. †
PVH Corp.
Regal Entertainment Group, Class A
Scripps Networks Interactive, Inc., Class A
Signet Jewelers Ltd. (Bermuda)
Sirius XM Radio, Inc.
Six Flags Entertainment Corp.
Target Corp.
VALUE
(Note 2)
SHARES
273
409
262
625
913
499
268
546
1,086
183
404
2,819
36
1,214
269
625
331
240
1,367
75
363
549
161
3,123
76
760
1,112
1,228
2,782
1,291
603
693
407
1,124
156
406
532
536
419
1,383
1,134
855
894
197
112
817
2,809
291
73
544
1,633
147
553
79
284
4,839
222
908
$
7,647
18,507
17,137
11,412
24,952
15,943
13,941
26,683
18,527
7,263
11,280
118,060
1,109
23,382
22,050
38,513
14,074
13,956
29,090
5,510
21,834
12,265
5,656
48,313
7,852
31,943
27,200
51,244
92,668
19,739
16,733
35,634
18,246
87,076
8,380
17,763
32,165
16,664
15,101
21,437
46,381
41,040
40,507
22,161
23,642
21,446
91,573
8,887
4,890
12,779
30,978
18,382
9,899
5,274
19,150
16,211
7,806
62,525
Consumer Discretionary - 18.2% (continued)
Tenneco, Inc. †
Time Warner Cable, Inc.
Time Warner, Inc.
TRW Automotive Holdings Corp. †
Tupperware Brands Corp.
Urban Outfitters, Inc. †
Viacom, Inc., Class B
Visteon Corp. †
Washington Post Co./The, Class B
Whirlpool Corp.
Williams-Sonoma, Inc.
396
190
1,234
544
205
449
752
126
21
327
326
$
17,931
21,371
71,350
36,143
15,926
18,059
51,174
7,953
10,159
37,396
18,220
1,816,162
Consumer Staples - 6.5%
Coca-Cola Enterprises, Inc.
ConAgra Foods, Inc.
Constellation Brands, Inc., Class A †
CVS Caremark Corp.
Dean Foods Co. †
Energizer Holdings, Inc.
Green Mountain Coffee Roasters, Inc. †
Ingredion, Inc.
Kroger Co./The
Nu Skin Enterprises, Inc., Class A
Pilgrim’s Pride Corp. †
Rite Aid Corp. †
Safeway, Inc.
Tyson Foods, Inc., Class A
Walgreen Co.
Wal-Mart Stores, Inc.
WhiteWave Foods Co., Class A †
813
438
279
1,488
690
308
384
267
935
138
1,135
3,478
928
1,330
1,359
3,200
53
28,585
15,299
14,541
85,084
6,914
30,957
28,823
17,521
32,295
8,435
16,957
9,947
21,956
34,154
60,068
238,368
861
650,765
Energy - 7.0%
Bristow Group, Inc.
Chevron Corp.
Cimarex Energy Co.
CVR Energy, Inc.
Delek US Holdings, Inc.
Halliburton Co.
Helmerich & Payne, Inc.
Hess Corp.
HollyFrontier Corp.
Marathon Oil Corp.
Marathon Petroleum Corp.
Murphy Oil Corp.
Oasis Petroleum, Inc. †
Oil States International, Inc. †
Patterson-UTI Energy, Inc.
Phillips 66
RPC, Inc.
Superior Energy Services, Inc. †
Valero Energy Corp.
Western Refining, Inc.
WPX Energy, Inc. †
Semi-Annual Report
235
1,203
114
482
545
878
452
842
625
1,705
804
543
460
185
1,377
251
1,477
660
1,563
684
490
15,350
142,363
7,409
22,847
15,685
36,630
28,227
55,985
26,738
58,959
57,132
33,063
17,880
17,138
26,652
14,787
20,397
17,120
54,346
19,200
9,281
697,189
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
June 2013
(Continued)
85
Schedules of Investments
June 30, 2013 (Unaudited)
AQR CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Financials - 30.8%
Aflac, Inc.
Alleghany Corp. †
Allstate Corp./The
American Capital Ltd. †
American Financial Group, Inc.
American International Group, Inc. †
American National Insurance Co.
Amtrust Financial Services, Inc.
Arch Capital Group Ltd. (Bermuda) †
Ares Capital Corp.
Aspen Insurance Holdings Ltd. (Bermuda)
Assurant, Inc.
Assured Guaranty Ltd. (Bermuda)
Axis Capital Holdings Ltd.
Bank of America Corp.
Bank of New York Mellon Corp./The
Berkshire Hathaway, Inc., Class B †
Chubb Corp./The
Cincinnati Financial Corp.
Citigroup, Inc.
CNA Financial Corp.
CNO Financial Group, Inc.
Comerica, Inc.
Credit Acceptance Corp. †
Discover Financial Services
Everest Re Group Ltd.
Federated Investors, Inc., Class B
Fidelity National Financial, Inc., Class A
Fifth Third Bancorp
First American Financial Corp.
Fulton Financial Corp.
Genworth Financial, Inc., Class A †
Goldman Sachs Group, Inc./The
Hartford Financial Services Group, Inc.
HCC Insurance Holdings, Inc.
Huntington Bancshares, Inc.
JPMorgan Chase & Co.
KeyCorp
Legg Mason, Inc.
Lincoln National Corp.
M&T Bank Corp.
MBIA, Inc. †
Medical Properties Trust, Inc. REIT
MetLife, Inc.
Morgan Stanley
NASDAQ OMX Group, Inc./The
Nationstar Mortgage Holdings, Inc. †
Ocwen Financial Corp. †
Old Republic International Corp.
PartnerRe Ltd. (Bermuda)
Principal Financial Group, Inc.
ProAssurance Corp.
Protective Life Corp.
Prudential Financial, Inc.
Raymond James Financial, Inc.
Regions Financial Corp.
Reinsurance Group of America, Inc.
SLM Corp.
964
26
1,121
1,510
402
2,858
103
384
388
1,032
573
376
355
473
16,712
1,805
1,578
502
372
4,646
537
1,709
322
134
1,017
289
174
1,408
2,175
793
915
3,750
832
1,670
457
1,471
5,155
2,266
391
1,487
216
758
789
1,484
3,748
646
486
449
1,348
236
1,003
161
511
612
224
4,320
202
1,697
$
56,028
9,966
53,942
19,132
19,662
127,753
10,245
13,709
19,947
17,750
21,253
19,142
7,831
21,654
214,916
50,630
176,610
42,494
17,075
222,869
17,517
22,149
12,825
14,077
48,450
37,067
4,769
33,524
39,259
17,478
10,504
42,787
125,840
51,636
19,701
11,591
272,132
25,017
12,125
54,231
24,138
10,089
11,298
67,908
91,564
21,182
18,196
18,508
17,349
21,372
37,562
8,398
19,627
44,694
9,628
41,170
13,960
38,793
Financials - 30.8% (continued)
State Street Corp.
SunTrust Banks, Inc.
Susquehanna Bancshares, Inc.
Synovus Financial Corp.
Torchmark Corp.
Travelers Cos., Inc./The
Unum Group
Validus Holdings Ltd. (Bermuda)
Wells Fargo & Co.
White Mountains Insurance Group Ltd.
WR Berkley Corp.
Zions Bancorp.
AQR Funds
965
1,336
820
6,947
309
717
796
525
5,784
19
245
632
$
62,928
42,178
10,537
20,285
20,128
57,303
23,379
18,963
238,706
10,924
10,011
18,252
3,064,317
Health Care - 10.9%
Abbott Laboratories
Aetna, Inc.
AmerisourceBergen Corp.
Amgen, Inc.
Baxter International, Inc.
Becton Dickinson and Co.
Boston Scientific Corp. †
CareFusion Corp. †
Cigna Corp.
Community Health Systems, Inc.
Cooper Cos., Inc./The
Eli Lilly & Co.
Gilead Sciences, Inc. †
HCA Holdings, Inc.
Health Management Associates, Inc.,
Class A †
Johnson & Johnson
LifePoint Hospitals, Inc. †
Medtronic, Inc.
Mylan, Inc. †
Omnicare, Inc.
Pfizer, Inc.
ResMed, Inc.
STERIS Corp.
Stryker Corp.
Team Health Holdings, Inc. †
Tenet Healthcare Corp. †
Thermo Fisher Scientific, Inc.
United Therapeutics Corp. †
Universal Health Services, Inc., Class B
West Pharmaceutical Services, Inc.
Zimmer Holdings, Inc.
Zoetis, Inc.
2,040
574
238
855
555
165
2,533
870
670
477
34
1,423
370
1,389
71,155
36,472
13,287
84,354
38,445
16,307
23,481
32,059
48,568
22,362
4,048
69,898
18,948
50,087
2,278
270
288
1,376
754
172
5,475
188
198
348
204
195
558
284
333
156
278
1,726
35,810
23,182
14,066
70,823
23,397
8,206
153,355
8,484
8,490
22,509
8,378
8,989
47,224
18,693
22,298
10,961
20,833
53,323
1,088,492
Industrials - 9.4%
3M Co.
A. O. Smith Corp.
AECOM Technology Corp. †
AGCO Corp.
Alaska Air Group, Inc. †
Alliant Techsystems, Inc.
AMERCO
The accompanying notes are an integral part of these financial statements.
86
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
366
204
644
327
358
259
113
40,022
7,401
20,473
16,412
18,616
21,324
18,295
(Continued)
Schedules of Investments
June 30, 2013 (Unaudited)
AQR CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Industrials - 9.4% (continued)
Avery Dennison Corp.
Avis Budget Group, Inc. †
Carlisle Cos., Inc.
Cintas Corp.
Copa Holdings SA (Panama), Class A
Crane Co.
Cummins, Inc.
Delta Air Lines, Inc. †
Deluxe Corp.
Dover Corp.
Dun & Bradstreet Corp./The
EMCOR Group, Inc.
FedEx Corp.
Flowserve Corp.
Generac Holdings, Inc.
Hertz Global Holdings, Inc. †
Huntington Ingalls Industries, Inc.
ITT Corp.
Jacobs Engineering Group, Inc. †
L-3 Communications Holdings, Inc.
Lennox International, Inc.
Lincoln Electric Holdings, Inc.
Manitowoc Co., Inc./The
Manpowergroup, Inc.
MasTec, Inc. †
Northrop Grumman Corp.
Oshkosh Corp. †
Pitney Bowes, Inc.
Regal-Beloit Corp.
Ryder System, Inc.
Snap-on, Inc.
Southwest Airlines Co.
Swift Transportation Co. †
Terex Corp. †
Textainer Group Holdings Ltd.
Timken Co.
Toro Co./The
Trinity Industries, Inc.
Triumph Group, Inc.
United Continental Holdings, Inc. †
United Rentals, Inc. †
URS Corp.
Valmont Industries, Inc.
WESCO International, Inc. †
443
1,070
289
292
93
226
96
2,443
516
454
146
234
247
357
488
1,404
157
443
252
387
183
75
533
303
556
550
491
552
121
286
219
2,847
611
995
298
260
176
457
183
791
341
165
109
142
$
18,943
30,763
18,008
13,298
12,194
13,542
10,412
45,709
17,879
35,258
14,228
9,512
24,349
19,282
18,061
34,819
8,867
13,029
13,893
33,181
11,811
4,295
9,546
16,604
18,292
45,540
18,643
8,103
7,846
17,386
19,574
36,698
10,106
26,169
11,455
14,633
7,992
17,567
14,484
24,750
17,019
7,791
15,597
9,650
VALUE
(Note 2)
SHARES
Information Technology - 9.8% (continued)
First Solar, Inc. †
Freescale Semiconductor Ltd. (Bermuda) †
Google, Inc., Class A †
Harris Corp.
Hewlett-Packard Co.
KLA-Tencor Corp.
Micron Technology, Inc. †
Motorola Solutions, Inc.
NetApp, Inc. †
NeuStar, Inc., Class A †
Oracle Corp.
SAIC, Inc.
SanDisk Corp. †
Symantec Corp.
Teradyne, Inc. †
Western Digital Corp.
Xerox Corp.
Yahoo!, Inc. †
Zebra Technologies Corp., Class A †
886
505
101
354
1,273
103
2,917
108
254
348
3,253
538
521
1,853
736
703
3,953
1,967
240
$
39,631
6,843
88,917
17,435
31,570
5,740
41,801
6,235
9,596
16,941
99,932
7,494
31,833
41,637
12,932
43,649
35,854
49,391
10,426
970,506
Materials - 3.6%
Ashland, Inc.
Axiall Corp.
CF Industries Holdings, Inc.
Chemtura Corp. †
Eastman Chemical Co.
Graphic Packaging Holding Co. †
Huntsman Corp.
International Paper Co.
Louisiana-Pacific Corp. †
NewMarket Corp.
Packaging Corp. of America
PPG Industries, Inc.
Reliance Steel & Aluminum Co.
Rock Tenn Co., Class A
Sherwin-Williams Co./The
Steel Dynamics, Inc.
Valspar Corp./The
Westlake Chemical Corp.
WR Grace & Co. †
54
566
131
457
311
2,256
1,049
979
503
40
380
280
316
222
94
516
188
244
237
4,509
24,100
22,467
9,277
21,773
17,461
17,371
43,380
7,439
10,502
18,605
40,995
20,717
22,173
16,600
7,694
12,158
23,524
19,918
360,663
Telecommunication Services - 0.7%
AT&T, Inc.
1,905
67,437
195
220
5,965
8,604
939,321
Information Technology - 9.8%
Activision Blizzard, Inc.
Amdocs Ltd.
AOL, Inc. †
Aruba Networks, Inc. †
Brocade Communications Systems, Inc. †
Cadence Design Systems, Inc. †
Cisco Systems, Inc.
Computer Sciences Corp.
CoreLogic, Inc. †
Corning, Inc.
EchoStar Corp., Class A †
2,453
572
555
536
3,078
1,184
7,660
503
713
739
456
34,980
21,216
20,246
8,233
17,729
17,144
186,215
22,016
16,520
10,516
17,834
Utilities - 0.2%
Portland General Electric Co.
UGI Corp.
14,569
TOTAL COMMON STOCKS
(cost $9,715,377)
EXCHANGE-TRADED FUNDS - 0.6%
SPDR S&P 500 ETF Trust
(cost $56,896)
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
9,669,421
359
57,444
(Continued)
87
Schedules of Investments
June 30, 2013 (Unaudited)
AQR CORE EQUITY FUND
MONEY MARKET FUNDS - 1.0%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(a)
(cost $101,514)
SHARES
VALUE
(Note 2)
101,514
$ 101,514
TOTAL INVESTMENTS - 98.7%
(cost $9,873,787)
9,828,379
OTHER ASSETS IN EXCESS OF
LIABILITIES - 1.3%
128,661
NET ASSETS - 100.0%
$9,957,040
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) Represents annualized seven-day yield as of June 30, 2013.
All securities are Level 1 with respect to ASC 820, unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
88
AQR Funds
Semi-Annual Report
June 2013
Schedule of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP CORE EQUITY FUND
COMMON STOCKS - 99.1%
Consumer Discretionary - 24.3%
1-800-Flowers.com, Inc., Class A †
AFC Enterprises, Inc. †
American Axle & Manufacturing Holdings,
Inc. †
American Greetings Corp., Class A
ANN, Inc. †
Asbury Automotive Group, Inc. †
Ascent Capital Group, Inc., Class A †
Big 5 Sporting Goods Corp.
Big Lots, Inc. †
Bon-Ton Stores, Inc./The
Bridgepoint Education, Inc. †
Brown Shoe Co., Inc.
Caesars Entertainment Corp. †
Callaway Golf Co.
Capella Education Co. †
Career Education Corp. †
Cato Corp./The, Class A
Children’s Place Retail Stores, Inc./The †
Christopher & Banks Corp. †
Columbia Sportswear Co.
Conn’s, Inc. †
Corinthian Colleges, Inc. †
Cracker Barrel Old Country Store, Inc.
Crocs, Inc. †
CSS Industries, Inc.
Denny’s Corp. †
Destination Maternity Corp.
Destination XL Group, Inc. †
DeVry, Inc.
Dex Media, Inc. †
Drew Industries, Inc.
Einstein Noah Restaurant Group, Inc.
Entravision Communications Corp., Class A
EW Scripps Co., Class A †
Express, Inc. †
G-III Apparel Group Ltd. †
Grand Canyon Education, Inc. †
Gray Television, Inc. †
Group 1 Automotive, Inc.
Haverty Furniture Cos., Inc.
hhgregg, Inc. †
Iconix Brand Group, Inc. †
Jamba, Inc. †
Joe’s Jeans, Inc. †
Jones Group, Inc./The
Journal Communications, Inc., Class A †
La-Z-Boy, Inc.
LeapFrog Enterprises, Inc. †
LIN TV Corp., Class A †
Lithia Motors, Inc., Class A
Lumber Liquidators Holdings, Inc. †
McClatchy Co./The, Class A †
Men’s Wearhouse, Inc./The
Meredith Corp.
Monarch Casino & Resort, Inc. †
Movado Group, Inc.
Multimedia Games Holding Co., Inc. †
VALUE
(Note 2)
SHARES
911
93
652
342
381
180
88
455
86
362
438
411
272
740
130
1,158
231
162
628
77
259
1,230
137
172
140
799
213
934
409
887
166
302
1,213
521
132
237
324
1,054
135
275
544
479
175
1,955
751
751
138
702
596
179
110
990
268
327
171
192
385
$
5,639
3,342
12,147
6,231
12,649
7,218
6,870
9,987
2,712
6,534
5,335
8,849
3,726
4,869
5,414
3,358
5,766
8,878
4,233
4,824
13,406
2,755
12,968
2,838
3,490
4,490
5,240
5,922
12,687
15,585
6,527
4,288
7,460
8,117
2,768
11,404
10,443
7,589
8,685
6,328
8,688
14,087
2,619
3,206
10,326
5,625
2,797
6,908
9,119
9,542
8,566
2,257
10,144
15,598
2,883
6,495
10,037
Consumer Discretionary - 24.3% (continued)
NACCO Industries, Inc., Class A
Nautilus, Inc. †
New York Times Co./The, Class A †
Nexstar Broadcasting Group, Inc., Class A
Orbitz Worldwide, Inc. †
Overstock.com, Inc. †
Pacific Sunwear of California, Inc. †
Papa John’s International, Inc. †
Perry Ellis International, Inc.
PetMed Express, Inc.
Pinnacle Entertainment, Inc. †
Quiksilver, Inc. †
ReachLocal, Inc. †
Ruth’s Hospitality Group, Inc.
Scholastic Corp.
Shoe Carnival, Inc.
Shutterfly, Inc. †
Sinclair Broadcast Group, Inc., Class A
Skechers U.S.A., Inc., Class A †
Smith & Wesson Holding Corp. †
Sonic Automotive, Inc., Class A
Sonic Corp. †
Stage Stores, Inc.
Standard Motor Products, Inc.
Stein Mart, Inc.
Stoneridge, Inc. †
Sturm, Ruger & Co., Inc.
Superior Industries International, Inc.
Thor Industries, Inc.
Tower International, Inc. †
Tuesday Morning Corp. †
Unifi, Inc. †
Universal Electronics, Inc. †
Valassis Communications, Inc.
Valuevision Media, Inc., Class A †
VOXX International Corp. †
Winnebago Industries, Inc. †
Zale Corp. †
107
896
1,207
335
1,294
424
1,621
87
218
512
208
1,454
328
429
248
236
79
541
362
674
436
404
161
311
472
245
126
254
65
149
627
281
259
258
931
223
332
1,060
$
6,129
7,786
13,349
11,879
10,391
11,957
5,917
5,687
4,428
6,451
4,091
9,364
4,021
5,178
7,264
5,666
4,407
15,895
8,692
6,727
9,217
5,882
3,784
10,680
6,443
2,852
6,053
4,371
3,197
2,949
6,502
5,808
7,286
6,344
4,757
2,736
6,969
9,646
671,223
Consumer Staples - 3.6%
Chiquita Brands International, Inc. †
Dean Foods Co. †
Female Health Co./The
Fresh Del Monte Produce, Inc.
Harbinger Group, Inc. †
Ingles Markets, Inc., Class A
Inter Parfums, Inc.
Medifast, Inc. †
Omega Protein Corp. †
Prestige Brands Holdings, Inc. †
Revlon, Inc., Class A †
Rite Aid Corp. †
Seneca Foods Corp., Class A †
SUPERVALU, Inc. †
Universal Corp.
USANA Health Sciences, Inc. †
Semi-Annual Report
277
269
431
411
1,009
149
270
238
546
109
292
4,285
38
590
200
132
3,025
2,695
4,250
11,459
7,608
3,762
7,700
6,131
4,903
3,176
6,442
12,255
1,166
3,670
11,570
9,554
99,366
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
June 2013
(Continued)
89
Schedule of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Energy - 3.5%
Alon USA Energy, Inc.
Basic Energy Services, Inc. †
Bonanza Creek Energy, Inc. †
C&J Energy Services, Inc. †
Cloud Peak Energy, Inc. †
Dawson Geophysical Co. †
Delek US Holdings, Inc.
EPL Oil & Gas, Inc. †
Exterran Holdings, Inc. †
Geospace Technologies Corp. †
Green Plains Renewable Energy, Inc. †
Hercules Offshore, Inc. †
Newpark Resources, Inc. †
Renewable Energy Group, Inc. †
Warren Resources, Inc. †
401
279
274
351
178
74
114
345
540
67
319
898
1,111
378
1,920
$
5,799
3,373
9,716
6,799
2,933
2,728
3,281
10,129
15,185
4,628
4,249
6,322
12,210
5,379
4,896
97,627
Financials - 22.3%
American Equity Investment Life Holding Co.
Amtrust Financial Services, Inc.
Apollo Investment Corp.
Argo Group International Holdings Ltd.
(Bermuda)
Arlington Asset Investment Corp., Class A
Ashford Hospitality Trust, Inc. REIT
Banco Latinoamericano de Comercio Exterior
SA, Class E (Panama)
Banner Corp.
BBCN Bancorp, Inc.
BlackRock Kelso Capital Corp.
BofI Holding, Inc. †
C&F Financial Corp.
Capital Southwest Corp.
CapitalSource, Inc.
Cardinal Financial Corp.
Chemical Financial Corp.
Community Trust Bancorp, Inc.
Cowen Group, Inc., Class A †
DFC Global Corp. †
Eagle Bancorp, Inc. †
Employers Holdings, Inc.
Encore Capital Group, Inc. †
Endurance Specialty Holdings Ltd. (Bermuda)
FBL Financial Group, Inc., Class A
FBR & Co. †
Federal Agricultural Mortgage Corp., Class C
Fifth Street Finance Corp.
First Citizens BancShares, Inc., Class A
First Interstate Bancsystem, Inc.
First Merchants Corp.
First Midwest Bancorp, Inc.
Flagstar Bancorp, Inc. †
Flushing Financial Corp.
Hanmi Financial Corp. †
Hanover Insurance Group, Inc./The
HCI Group, Inc.
Heartland Financial USA, Inc.
Hilltop Holdings, Inc. †
783
77
1,103
12,293
2,749
8,537
207
224
776
8,766
5,990
8,885
383
272
501
532
149
51
20
1,344
327
178
134
1,305
90
220
267
297
285
234
166
148
434
47
533
327
393
717
290
380
56
212
197
599
8,575
9,191
7,124
4,980
6,827
2,842
2,757
12,607
4,787
4,626
4,773
3,784
1,243
4,924
6,528
9,834
14,663
10,181
4,193
4,274
4,535
9,026
11,049
5,608
5,392
10,009
4,771
6,715
2,740
6,513
5,416
9,824
Financials - 22.3% (continued)
HomeStreet, Inc.
Horace Mann Educators Corp.
Investment Technology Group, Inc. †
KCAP Financial, Inc.
Lakeland Bancorp, Inc.
Maiden Holdings Ltd. (Bermuda)
Main Street Capital Corp.
MBIA, Inc. †
Medallion Financial Corp.
MGIC Investment Corp. †
Montpelier Re Holdings Ltd. (Bermuda)
National Western Life Insurance Co., Class A
Navigators Group, Inc./The †
Nelnet, Inc., Class A
New Mountain Finance Corp.
NGP Capital Resources Co.
PennantPark Investment Corp.
PHH Corp. †
Phoenix Cos., Inc./The †
Piper Jaffray Cos. †
Platinum Underwriters Holdings Ltd.
(Bermuda)
Primerica, Inc.
Provident Financial Holdings, Inc.
Radian Group, Inc.
RAIT Financial Trust REIT
Renasant Corp.
Safety Insurance Group, Inc.
Selective Insurance Group, Inc.
Solar Capital Ltd.
StanCorp Financial Group, Inc.
Sterling Financial Corp.
Stewart Information Services Corp.
Symetra Financial Corp.
Synovus Financial Corp.
Taylor Capital Group, Inc. †
Texas Capital Bancshares, Inc. †
THL Credit, Inc.
TICC Capital Corp.
Triangle Capital Corp.
Union First Market Bankshares Corp.
United Fire Group, Inc.
Walter Investment Management Corp. †
Webster Financial Corp.
WesBanco, Inc.
Western Alliance Bancorp †
Wilshire Bancorp, Inc.
World Acceptance Corp. †
WSFS Financial Corp.
AQR Funds
341
441
192
701
338
824
187
1,150
295
1,484
460
18
106
351
591
487
511
397
63
250
203
480
289
634
651
209
125
222
310
342
485
257
1,136
970
315
162
300
559
304
269
223
271
120
242
511
833
117
88
$
7,314
10,752
2,684
7,893
3,525
9,245
5,178
15,307
4,103
9,008
11,505
3,417
6,046
12,668
8,369
2,985
5,647
8,091
2,709
7,903
11,616
17,971
4,589
7,367
4,896
5,087
6,064
5,110
7,158
16,898
11,533
6,731
18,165
2,832
5,320
7,186
4,557
5,378
8,363
5,539
5,537
9,163
3,082
6,396
8,089
5,514
10,172
4,610
616,803
Health Care - 6.6%
Addus HomeCare Corp. †
Air Methods Corp.
Albany Molecular Research, Inc. †
Alere, Inc. †
AMN Healthcare Services, Inc. †
Auxilium Pharmaceuticals, Inc. †
The accompanying notes are an integral part of these financial statements.
90
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
382
96
360
201
561
165
7,541
3,252
4,273
4,924
8,034
2,744
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Health Care - 6.6% (continued)
BioDelivery Sciences International, Inc. †
Bio-Reference Labs, Inc. †
Cambrex Corp. †
Cardiovascular Systems, Inc. †
Chemed Corp.
Emergent Biosolutions, Inc. †
Endocyte, Inc. †
Five Star Quality Care, Inc. †
Gentiva Health Services, Inc. †
Greatbatch, Inc. †
Hi-Tech Pharmacal Co., Inc.
ICU Medical, Inc. †
Kindred Healthcare, Inc. †
LHC Group, Inc. †
Magellan Health Services, Inc. †
MedAssets, Inc. †
Medical Action Industries, Inc. †
Molina Healthcare, Inc. †
PDL BioPharma, Inc.
PharMerica Corp. †
Providence Service Corp./The †
Repligen Corp. †
Santarus, Inc. †
SciClone Pharmaceuticals, Inc. †
Select Medical Holdings Corp.
Vascular Solutions, Inc. †
814
290
412
131
41
135
464
712
713
81
117
100
681
223
191
509
416
321
1,120
511
218
347
531
680
608
227
$
3,305
8,338
5,756
2,777
2,970
1,947
6,092
3,994
7,101
2,656
3,884
7,206
8,942
4,366
10,711
9,030
3,203
11,935
8,646
7,082
6,342
2,859
11,178
3,373
4,986
3,339
182,786
Industrials - 15.7%
AAR Corp.
Aegion Corp. †
Alamo Group, Inc.
Albany International Corp., Class A
Allegiant Travel Co.
Altra Holdings, Inc.
American Railcar Industries, Inc.
Arkansas Best Corp.
AZZ, Inc.
Barrett Business Services, Inc.
Brink’s Co./The
CAI International, Inc. †
Celadon Group, Inc.
CIRCOR International, Inc.
Coleman Cable, Inc.
Columbus McKinnon Corp. †
Consolidated Graphics, Inc. †
Deluxe Corp.
Ducommun, Inc. †
DXP Enterprises, Inc. †
EnerNOC, Inc. †
EnerSys, Inc.
Erickson Air-Crane, Inc. †
G&K Services, Inc., Class A
GenCorp, Inc. †
Gibraltar Industries, Inc. †
H&E Equipment Services, Inc.
Hardinge, Inc.
Hawaiian Holdings, Inc. †
376
375
124
81
76
169
242
146
145
87
165
201
184
123
360
368
123
80
350
71
490
363
143
128
480
192
258
269
723
8,264
8,441
5,062
2,671
8,055
4,627
8,109
3,351
5,591
4,542
4,209
4,738
3,358
6,256
6,502
7,846
5,782
2,772
7,441
4,729
6,497
17,802
2,690
6,093
7,805
2,796
5,436
3,976
4,418
Industrials - 15.7% (continued)
HNI Corp.
ICF International, Inc. †
Intersections, Inc.
JetBlue Airways Corp. †
John Bean Technologies Corp.
Kadant, Inc.
Kelly Services, Inc., Class A
Kforce, Inc.
Kimball International, Inc., Class B
LB Foster Co., Class A
Lindsay Corp.
Lydall, Inc. †
Manitex International, Inc. †
MYR Group, Inc. †
National Presto Industries, Inc.
Nortek, Inc. †
Northwest Pipe Co. †
Orbital Sciences Corp. †
Orion Marine Group, Inc. †
Park-Ohio Holdings Corp. †
Patrick Industries, Inc. †
PGT, Inc. †
Pike Electric Corp.
Powell Industries, Inc. †
Quad/Graphics, Inc.
Republic Airways Holdings, Inc. †
RR Donnelley & Sons Co.
Rush Enterprises, Inc., Class A †
Saia, Inc. †
SkyWest, Inc.
Standex International Corp.
Steelcase, Inc., Class A
Swift Transportation Co. †
TAL International Group, Inc. †
Taser International, Inc. †
TMS International Corp., Class A
Tutor Perini Corp. †
UniFirst Corp.
United Stationers, Inc.
Viad Corp.
Wabash National Corp. †
YRC Worldwide, Inc. †
213
274
316
1,604
230
170
467
264
564
116
55
307
277
222
55
91
94
379
241
123
306
557
589
103
465
543
602
340
249
427
106
918
404
197
539
192
464
143
304
197
404
299
$
7,683
8,634
2,771
10,105
4,832
5,129
8,158
3,854
5,476
5,008
4,124
4,482
3,033
4,318
3,962
5,863
2,623
6,583
2,914
4,057
6,362
4,829
7,245
5,320
11,206
6,152
8,434
8,415
7,463
5,782
5,592
13,384
6,682
8,583
4,592
2,847
8,394
13,049
10,199
4,830
4,113
8,596
435,537
Information Technology - 15.3%
Advanced Energy Industries, Inc. †
Alliance Fiber Optic Products, Inc.
ATMI, Inc. †
Axcelis Technologies, Inc. †
Benchmark Electronics, Inc. †
Blucora, Inc. †
Booz Allen Hamilton Holding Corp.
CACI International, Inc., Class A †
CalAmp Corp. †
Checkpoint Systems, Inc. †
Computer Task Group, Inc.
Concurrent Computer Corp.
Convergys Corp.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
346
136
239
1,514
501
316
959
173
412
564
116
330
545
6,024
2,721
5,652
2,756
10,070
5,859
16,667
10,984
6,015
8,003
2,665
2,525
9,499
(Continued)
91
Schedule of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Information Technology - 15.3% (continued)
Cray, Inc. †
CSG Systems International, Inc. †
Daktronic, Inc.
Electronics for Imaging, Inc. †
Ellie Mae, Inc. †
Entegris, Inc. †
EPIQ Systems, Inc.
ePlus, Inc.
Global Cash Access Holdings, Inc. †
Harmonic, Inc. †
Hutchinson Technology, Inc. †
Insight Enterprises, Inc. †
InterDigital, Inc.
IntraLinks Holdings, Inc. †
Ixia †
j2 Global, Inc.
Kulicke & Soffa Industries, Inc. †
Lexmark International, Inc., Class A
ManTech International Corp., Class A
Mentor Graphics Corp.
Methode Electronics, Inc.
MoneyGram International, Inc. †
Monotype Imaging Holdings, Inc.
Netscout Systems, Inc. †
NetSol Technologies, Inc. †
Newport Corp. †
Novatel Wireless, Inc. †
PC Connection, Inc.
PDF Solutions, Inc. †
Photronics, Inc. †
Plantronics, Inc.
Polycom, Inc. †
Rosetta Stone, Inc. †
Rudolph Technologies, Inc. †
Sanmina Corp. †
Seachange International, Inc. †
Sigma Designs, Inc. †
Silicon Graphics International Corp. †
Spansion, Inc., Class A †
SunPower Corp. †
Sykes Enterprises, Inc. †
Synaptics, Inc. †
SYNNEX Corp. †
Take-Two Interactive Software, Inc. †
Telenav, Inc. †
TeleTech Holdings, Inc. †
Ultratech, Inc. †
Unisys Corp. †
United Online, Inc.
ValueClick, Inc. †
Virtusa Corp. †
Vishay Intertechnology, Inc. †
256
441
420
390
114
780
295
87
593
1,413
1,699
158
268
547
333
268
821
270
108
733
388
307
91
255
325
267
715
327
133
612
238
759
257
352
708
228
567
385
419
487
339
224
70
190
649
354
175
470
965
474
99
1,142
$
5,028
9,570
4,309
11,033
2,631
7,324
3,974
5,210
3,712
8,973
8,036
2,803
11,966
3,971
6,127
11,393
9,080
8,254
2,821
14,330
6,600
6,954
2,312
5,952
3,270
3,719
2,824
5,052
2,451
4,933
10,453
8,000
3,788
3,942
10,160
2,670
2,863
5,151
5,246
10,081
5,343
8,638
2,960
2,844
3,394
8,294
6,426
10,373
7,315
11,698
2,194
15,862
421,747
Materials - 6.0%
A Schulman, Inc.
A.M. Castle & Co. †
AEP Industries, Inc. †
196
181
104
5,257
2,852
7,736
Materials - 6.0% (continued)
American Pacific Corp. †
Boise, Inc.
Clearwater Paper Corp. †
Flotek Industries, Inc. †
FutureFuel Corp.
Innospec, Inc.
Kaiser Aluminum Corp.
KapStone Paper and Packaging Corp.
Koppers Holdings, Inc.
Landec Corp. †
Minerals Technologies, Inc.
Olin Corp.
Olympic Steel, Inc.
OM Group, Inc. †
OMNOVA Solutions, Inc. †
PH Glatfelter Co.
Quaker Chemical Corp.
Schweitzer-Mauduit International, Inc.
Tredegar Corp.
US Concrete, Inc. †
US Silica Holdings, Inc.
Worthington Industries, Inc.
AQR Funds
194
755
134
220
454
159
164
381
71
359
259
264
112
88
557
202
141
250
197
173
293
446
$
5,500
6,448
6,306
3,947
6,433
6,389
10,158
15,309
2,711
4,742
10,707
6,315
2,744
2,721
4,462
5,070
8,743
12,470
5,063
2,841
6,088
14,143
165,155
Telecommunication Services - 1.7%
8x8, Inc. †
Atlantic Tele-Network, Inc.
Cbeyond, Inc. †
IDT Corp., Class B
Premiere Global Services, Inc. †
Shenandoah Telecommunications Co.
USA Mobility, Inc.
Vonage Holdings Corp. †
750
119
584
401
432
268
339
3,171
6,180
5,909
4,579
7,495
5,214
4,470
4,600
8,974
47,421
Utilities - 0.1%
Consolidated Water Co. Ltd.
(Cayman Islands)
246
TOTAL COMMON STOCKS
(cost $2,571,026)
2,812
2,740,477
EXCHANGE-TRADED FUNDS - 0.5%
iShares Russell 2000 Index Fund
(cost $13,851)
153
14,866
MONEY MARKET FUNDS - 1.0%
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares,
0.000% (2)(a)
(cost $28,550)
28,550
28,550
TOTAL INVESTMENTS - 100.6%
(cost $2,613,427)
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.6%)
NET ASSETS - 100.0%
The accompanying notes are an integral part of these financial statements.
92
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
2,783,893
(17,770)
$2,766,123
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR SMALL CAP CORE EQUITY FUND
All securities are United States companies, unless noted otherwise in
parentheses.
† Non income-producing security.
(a) Represents annualized seven-day yield as of June 30, 2013.
All securities are Level 1 with respect to ASC 820, unless otherwise
noted in parentheses.
(2) Level 2 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
93
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL CORE EQUITY FUND
COMMON STOCKS - 98.1%
Australia - 3.7%
Bendigo and Adelaide Bank Ltd.
Caltex Australia Ltd.
Insurance Australia Group Ltd.
Macquarie Group Ltd.
National Australia Bank Ltd.
Seven Group Holdings Ltd.
Suncorp Group Ltd.
Tatts Group Ltd.
Telstra Corp. Ltd.
Wesfarmers Ltd.
Westpac Banking Corp.
Woolworths Ltd.
VALUE
(Note 2)
SHARES
323
163
817
178
714
303
557
823
8,676
422
419
511
$
2,962
2,681
4,055
6,789
19,314
1,902
6,050
2,377
37,719
15,270
11,001
15,308
125,428
Austria - 2.5%
Andritz AG
Erste Group Bank AG
Mayr Melnhof Karton AG
Oesterreichische Post AG
OMV AG
Raiffeisen Bank International AG †
Vienna Insurance Group AG Wiener
Versicherung Gruppe
209
777
19
282
370
376
10,723
20,710
2,041
10,975
16,691
10,947
286
13,267
85,354
Belgium - 1.6%
Ageas
Colruyt SA
Delhaize Group SA
KBC Groep NV
Solvay SA
184
241
203
399
50
6,456
12,681
12,550
14,875
6,547
53,109
Canada - 6.1%
Agrium, Inc. (1)
Alimentation Couche Tard, Inc., Class B (1)
Empire Co., Ltd., Class A (1)
Gildan Activewear, Inc. (1)
Industrial Alliance Insurance & Financial
Services, Inc. (1)
Loblaw Cos., Ltd. (1)
Magna International, Inc. (1)
Manulife Financial Corp. (1)
Research In Motion Ltd. (1)†
Rogers Communications, Inc., Class B (1)
Sun Life Financial, Inc. (1)
158
252
622
90
13,698
14,952
47,562
3,650
275
665
453
602
583
565
579
10,878
30,066
32,244
9,634
6,142
22,134
17,149
208,109
Denmark - 1.7%
Carlsberg A/S, Class B
TDC A/S
Tryg A/S
119
4,180
144
10,640
33,844
11,864
56,348
Finland - 1.0%
Huhtamaki OYJ
Neste Oil OYJ
Orion OYJ, Class B
563
272
162
10,442
3,969
3,796
Finland - 1.0% (continued)
Pohjola Bank PLC, A Shares
Sampo OYJ, A Shares
AQR Funds
280
301
$
4,114
11,721
34,042
France - 5.4%
AXA SA
BNP Paribas SA
Cap Gemini SA
Cie Generale des Etablissements Michelin
CNP Assurances
Credit Agricole SA †
Natixis
Renault SA
Safran SA
Sanofi
Societe Generale SA
Vivendi SA
784
584
121
102
318
1,242
1,836
138
219
391
555
931
15,455
31,971
5,876
9,120
4,566
10,690
7,709
9,295
11,433
40,422
19,101
17,644
183,282
Germany - 5.0%
Allianz SE
Bayer AG
Continental AG
Deutsche Lufthansa AG †
Deutsche Post AG
Hannover Rueckversicherung SE
HeidelbergCement AG
Merck KGaA
Muenchener Rueckversicherungs AG
Suedzucker AG
220
234
167
805
812
173
95
59
75
372
32,112
24,914
22,263
16,307
20,152
12,440
6,365
8,973
13,778
11,517
168,821
Hong Kong - 4.1%
Champion REIT
Cheung Kong Holdings Ltd.
Galaxy Entertainment Group Ltd. †
Henderson Land Development Co., Ltd.
Hongkong Land Holdings Ltd.
Hysan Development Co., Ltd.
Kerry Properties Ltd.
Link REIT/The REIT
MGM China Holdings Ltd.
NWS Holdings Ltd.
PCCW Ltd.
SJM Holdings Ltd.
Swire Properties Ltd.
Techtronic Industries Co.
Wharf Holdings Ltd.
Wheelock & Co., Ltd.
6,000
1,000
4,000
1,100
2,000
1,000
1,000
1,500
2,800
2,000
9,000
6,000
2,600
2,000
2,000
2,000
2,747
13,484
19,430
6,533
13,694
4,317
3,898
7,362
7,430
3,066
4,200
14,561
7,655
4,748
16,693
9,979
139,797
Israel - 1.8%
Alony Hetz Properties & Investments Ltd.
REIT
Bank Hapoalim BM †
Bank Leumi Le-Israel BM †
Delek Group Ltd.
Frutarom Industries Ltd.
The accompanying notes are an integral part of these financial statements.
94
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
384
3,373
1,529
26
214
2,407
15,222
5,051
6,712
3,239
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Israel - 1.8% (continued)
Harel Insurance Investments & Financial
Services Ltd.
Israel Discount Bank Ltd., Class A †
Mizrahi Tefahot Bank Ltd. †
154
7,047
1,117
$
7,583
11,736
11,183
63,133
Italy - 0.6%
Gtech Spa
Mediolanum SpA
Prysmian SpA
504
744
233
12,611
4,612
4,347
21,570
Japan - 34.9%
77 Bank Ltd./The
Acom Co., Ltd. (1)†
Aiful Corp. †
Aisin Seiki Co., Ltd.
Alfresa Holdings Corp.
Aoyama Trading Co., Ltd.
Aozora Bank Ltd.
Astellas Pharma, Inc.
Bridgestone Corp.
Canon Marketing Japan, Inc.
Central Japan Railway Co.
Chugai Pharmaceutical Co., Ltd.
COMSYS Holdings Corp.
Daicel Corp.
Daiichikosho Co., Ltd.
Dainippon Sumitomo Pharma Co., Ltd.
Daiwa Securities Group, Inc. (1)
Denso Corp.
DIC Corp.
Don Quijote Co., Ltd.
East Japan Railway Co.
FamilyMart Co., Ltd.
Fuji Electric Co., Ltd.
Fuji Heavy Industries Ltd.
Fuji Media Holdings, Inc.
Fukuoka Financial Group, Inc.
GungHo Online Entertainment, Inc. †
Hakuhodo DY Holdings, Inc.
Hikari Tsushin, Inc.
Hino Motors Ltd.
Hitachi Capital Corp.
Hokuhoku Financial Group, Inc.
Hoshizaki Electric Co., Ltd.
IHI Corp.
Isuzu Motors Ltd.
Ito En Ltd.
ITOCHU Corp.
Izumi Co., Ltd.
Japan Tobacco, Inc.
Juroku Bank Ltd./The
Kao Corp.
KDDI Corp.
Keiyo Bank Ltd./The
Kirin Holdings Co., Ltd.
Konica Minolta, Inc.
3,000
290
2,000
200
100
200
1,000
200
600
200
200
300
300
1,000
100
300
1,000
600
3,000
100
100
100
2,000
1,000
7
1,000
10
50
100
1,000
500
3,000
100
2,000
2,000
100
700
200
200
1,000
200
400
1,000
1,000
500
14,246
9,225
16,745
7,636
5,355
5,321
3,123
10,865
20,460
2,678
24,376
6,210
3,830
8,740
2,740
3,968
8,399
28,208
7,490
4,854
7,783
4,267
7,032
24,694
14,072
4,253
10,925
3,502
5,406
14,674
9,881
6,126
3,202
7,567
13,672
2,315
8,095
5,400
7,060
3,651
6,808
20,829
5,040
15,664
3,763
Japan - 34.9% (continued)
KYORIN Holdings, Inc.
Matsumotokiyoshi Holdings Co., Ltd.
Mazda Motor Corp. †
Medipal Holdings Corp.
Miraca Holdings, Inc.
Mitsubishi Motors Corp. †
Mitsubishi UFJ Financial Group, Inc.
Mitsubishi UFJ Lease & Finance Co., Ltd.
Mitsui Engineering & Shipbuilding Co., Ltd.
Mizuho Financial Group, Inc.
MS&AD Insurance Group Holdings
Namco Bandai Holdings, Inc.
NEC Corp.
Nichirei Corp.
Nihon Kohden Corp.
Nippo Corp.
Nippon Express Co., Ltd.
Nippon Paint Co., Ltd.
Nippon Telegraph & Telephone Corp.
Nishi-Nippon City Bank Ltd./The
Nissan Chemical Industries Ltd.
Nissan Shatai Co. Ltd.
Nomura Holdings, Inc.
Okasan Securities Group, Inc.
Omron Corp.
Orient Corp. †
ORIX Corp.
Park24 Co., Ltd.
Pola Orbis Holdings, Inc.
Resona Holdings, Inc.
Ricoh Co., Ltd.
Ryohin Keikaku Co., Ltd.
Sankyu, Inc.
SCSK Corp.
Seiko Epson Corp. (1)
Seino Holdings Co., Ltd.
Sekisui Chemical Co., Ltd.
Sekisui House Ltd.
Seven & I Holdings Co., Ltd.
Shimamura Co., Ltd.
Shinsei Bank Ltd.
Shionogi & Co., Ltd.
SKY Perfect JSAT Holdings, Inc.
Softbank Corp.
Sony Corp.
Stanley Electric Co., Ltd.
Sugi Holdings Co., Ltd.
Sumitomo Forestry Co., Ltd.
Sumitomo Metal Mining Co., Ltd.
Sumitomo Mitsui Financial Group, Inc.
Sumitomo Mitsui Trust Holdings, Inc.
Sumitomo Rubber Industries Ltd.
Sundrug Co., Ltd.
Suzuken Co., Ltd.
Suzuki Motor Corp.
Taisei Corp.
Toho Holdings Co., Ltd.
The accompanying notes are an integral part of these financial statements.
AQR Funds
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
200
200
4,000
200
100
14,000
10,700
2,400
4,000
20,100
300
300
2,000
1,000
100
1,000
1,000
1,000
500
6,000
400
1,000
3,100
1,000
300
2,000
1,100
200
100
1,100
1,000
100
1,000
200
600
1,000
1,000
1,000
400
100
2,000
300
8
700
500
200
100
300
1,000
1,300
3,000
400
100
100
300
1,000
200
$
4,599
5,774
15,814
2,712
4,595
19,163
66,082
11,387
5,842
41,742
7,599
4,862
4,380
5,180
3,819
16,437
4,749
12,059
26,060
15,646
5,392
11,244
22,818
8,260
8,944
4,803
15,011
3,628
3,382
5,357
11,850
8,197
3,768
3,848
8,197
8,776
10,619
14,448
14,649
12,139
4,542
6,256
3,658
40,747
10,563
3,886
3,803
3,657
11,139
59,505
13,998
6,530
4,244
3,366
6,915
3,610
3,310
(Continued)
95
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL CORE EQUITY FUND
VALUE
(Note 2)
SHARES
Japan - 34.9% (continued)
Tokai Rika Co., Ltd.
Tokai Tokyo Financial Holdings, Inc.
Tokyo Electric Power Co., Inc †
Tokyo Gas Co., Ltd.
Toshiba TEC Corp.
TOTO Ltd.
Toyoda Gosei Co., Ltd.
Toyota Boshoku Corp.
Toyota Industries Corp.
Toyota Tsusho Corp.
TS Tech Co., Ltd.
Tsumura & Co.
Tsuruha Holdings, Inc.
TV Asahi Corp.
Yahoo Japan Corp.
Yamaguchi Financial Group, Inc.
Yokohama Rubber Co., Ltd./The
100
1,300
3,400
1,000
1,000
1,000
200
300
200
300
200
100
100
200
14
1,000
1,000
$
1,992
8,847
17,552
5,517
5,383
10,168
4,890
4,314
8,168
7,714
6,352
2,947
9,452
4,324
6,894
9,839
10,041
Spain - 7.3% (continued)
Banco Bilbao Vizcaya Argentaria SA
Banco Santander SA
Endesa SA
Ferrovial SA
Gas Natural SDG SA
Iberdrola SA
Mapfre SA
Repsol SA
5,902
3,641
1,735
922
1,357
8,202
3,709
801
1,086
259
1,500
3,259
222
7,286
14,516
13,709
48,471
6,052
90,034
New Zealand - 0.1%
Fletcher Building Ltd.
Norway - 0.9%
DNB ASA
Fred Olsen Energy ASA
Gjensidige Forsikring ASA
Marine Harvest ASA
510
3,317
1,144
74
369
4,331
16,596
2,930
5,436
4,403
29,365
Portugal - 0.5%
Banco BPI SA †
EDP-Energias de Portugal SA (1)
Portucel SA
3,282
2,630
1,024
3,885
8,473
3,261
15,619
Singapore - 1.8%
CapitaCommercial Trust REIT
ComfortDelGro Corp. Ltd.
Keppel Land Ltd.
Keppel REIT
Mapletree Commercial Trust REIT
StarHub Ltd.
Suntec Real Estate Investment Trust REIT
Yanlord Land Group Ltd.
3,000
8,000
2,000
10,000
10,000
4,000
3,000
6,000
3,461
11,497
5,259
10,195
9,319
13,152
3,724
5,796
194
287
1,930
1,386
659
286
AQR Funds
239
986
515
263
14,397
26,103
38,317
68,172
1,106
692
1,601
6,578
1,641
5,317
461
3,403
7,962
658
1,675
3,089
218
1,067
126
2,260
914
917
745
3,201
1,390
1,145
166
1,090
572
5,679
32,717
9,323
28,014
19,769
24,962
9,087
15,577
82,424
4,141
9,053
8,051
4,431
13,285
8,728
6,204
14,919
3,972
5,407
5,807
7,315
6,208
7,722
7,309
9,777
349,881
3,337,786
7,222
16,419
The accompanying notes are an integral part of these financial statements.
96
3,240
7,703
21,553
13,232
15,094
4,289
146,989
United Kingdom - 10.3%
3i Group PLC
AstraZeneca PLC
BAE Systems PLC
Barclays PLC
British Sky Broadcasting Group PLC
BT Group PLC
easyJet PLC
GKN PLC
HSBC Holdings PLC
Investec PLC
J Sainsbury PLC
Legal & General Group PLC
London Stock Exchange Group PLC
Mondi PLC
Next PLC
Old Mutual PLC
Prudential PLC
Resolution Ltd.
Rexam PLC
RSA Insurance Group PLC
Standard Life PLC
TUI Travel PLC
Whitbread PLC
William Hill PLC
WPP PLC
TOTAL COMMON STOCKS
(cost $3,351,409)
273
513
49,599
23,300
37,053
14,720
27,340
43,344
12,068
16,905
65,111
Switzerland - 4.3%
Actelion Ltd. †
Credit Suisse Group AG †
Swiss Re AG †
Zurich Insurance Group AG †
62,403
Spain - 7.3%
ACS Actividades de Construccion y
Servicios SA
Amadeus IT Holding SA, A Shares
$
247,970
Sweden - 1.9%
Industrivarden AB, C Shares
Investor AB, B Shares
Nordea Bank AB
Skandinaviska Enskilda Banken AB, Class A
Swedbank AB, A Shares
Trelleborg AB, B Shares
1,188,104
Netherlands - 2.6%
Aegon NV
Heineken Holding NV
ING Groep NV CVA †
Koninklijke Ahold NV
Koninklijke Philips NV
VALUE
(Note 2)
SHARES
Semi-Annual Report
June 2013
(Continued)
Schedule of Investments
June 30, 2013 (Unaudited)
AQR INTERNATIONAL CORE EQUITY FUND
EXCHANGE-TRADED FUNDS - 1.2%
iShares MSCI EAFE Index Fund (1)
(cost $41,253)
MONEY MARKET FUNDS - 1.0%
J.P. Morgan U.S. Treasury Plus Money
Market Fund-Institutional Shares, 0.000% (a)
(cost $34,782)
VALUE
(Note 2)
SHARES
699
$
40,109
34,782
TOTAL INVESTMENTS - 100.3%
(cost $3,427,444)
34,782
3,412,677
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.3%)
(9,597)
NET ASSETS - 100.0%
$3,403,080
† Non income-producing security.
(a) Represents annualized seven-day yield as of June 30, 2013.
All securities are Level 2 with respect to ASC 820, unless otherwise
noted in parentheses.
(1) Level 1 security (See Note 4).
The following abbreviations are used in portfolio
descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
SECTOR
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Mutual Fund
Telecommunication Services
Utilities
Money Market Funds
Total Investments
Liabilities in Excess of Other Assets
Net Assets
VALUE
$ 523,240
329,588
49,889
1,383,890
183,219
282,348
92,621
112,420
40,109
241,292
139,279
34,782
3,412,677
(9,597)
$3,403,080
% OF NET
ASSETS
15.4%
9.7
1.5
40.6
5.4
8.3
2.7
3.3
1.2
7.1
4.1
1.0
100.3
(0.3)
100.0%
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
97
Statements of Assets and Liabilities
ASSETS:
Investments in securities, at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments in securities, at value* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on forward foreign currency exchange contracts . . . . . . . . . . . . .
Swaps, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Receivables:
Securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign tax reclaim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from Investment Advisor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
June 30, 2013 (Unaudited)
AQR
GLOBAL
EQUITY
FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
EMERGING
DEFENSIVE
EQUITY
FUND
$433,375,677
$637,661,124
$9,626,108
$511,109,585
2,195,687
9,142,825
—
49,037
—
$717,659,841
3,443,083
15,264,703
95,651
165,178
150,140
$9,496,099
27,960
—
—
—
—
29,058,519
645,623
706,409
—
—
22,582
43,424
1,346,914
1,136,260
10,828,258
—
27,807
—
—
25,733
220,538
13,283
23,208
552,930,267
750,161,259
9,806,821
LIABILITIES:
Due to custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due to brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized depreciation on forward foreign currency exchange contracts . . . . . . . . . . . . .
Unrealized depreciation on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payables:
Securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Collateral received on securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
18,601
47,422
667,732
218,212
3,647
112,305
—
—
—
—
—
—
27,101,051
278,805
172,242
463
145
—
88,642
74
60,848
276,693
56,039
3,554
6,762
164,245
—
14
—
—
220
63,998
40,822
Total Liabilities
28,593,315
684,167
105,054
Net Assets
$524,336,952
$749,477,092
$9,701,767
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) . . . . . . . . .
Undistributed (accumulated) net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . .
Undistributed (accumulated) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$417,349,536
4,937,921
24,838,570
77,210,925
$648,183,790
8,974,756
11,966,842
80,351,704
$9,871,051
81,030
(119,911)
(130,403)
Net Assets
$524,336,952
$749,477,092
$9,701,767
$1,045,862
647,844
522,643,246
$204,350,543
27,959,092
517,167,457
$8,621,076
1,080,691
—
83,842
52,160
41,798,708
18,972,066
2,553,953
45,824,565
850,950
106,616
—
$12.47
$12.42
$12.50
$10.77
$10.95
$11.29
$10.13
$10.14
—
NET ASSETS:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SHARES OUTSTANDING:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency at cost of $2,232,615, $3,475,615 and $27,786, respectively.
* Investments in securities includes the market value of securities out on loan of $265,338, $55,655 and $13, respectively.
The accompanying notes are an integral part of these financial statements.
98
AQR Funds
Semi-Annual Report
June 2013
Statements of Assets and Liabilities
ASSETS:
Investments in securities, at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments in securities, at value* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on forward foreign currency exchange contracts . . . . . . . . .
Swaps, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Receivables:
Securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign tax reclaim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from Investment Advisor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
LIABILITIES:
Securities sold short, at value (proceeds $—, $— and $544,992,162, respectively) . .
Options written, at value (proceeds $—, $— and $979,837, respectively) . . . . . . . . .
Due to custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due to brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swaps, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payables:
Securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Collateral received on securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest payable on securities sold short . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Liabilities
June 30, 2013 (Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
EQUITY
FUND
AQR
U.S. DEFENSIVE
EQUITY
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
$13,561,439
$20,480,338
$2,686,271,336
$13,543,354
—
56,763
—
—
—
—
$21,763,245
—
—
—
—
—
—
$2,729,224,403
2,098,058
5,680,134
437,122,183
1,477,817
37,089,946
4,188,279
—
5,980
49,361
154,614
12,983
23,406
—
—
35,031
218,286
7,017
24,462
203,571,290
27,098
9,437,431
3,947,246
—
100,707
13,846,461
22,048,041
3,433,964,592
—
—
190
—
—
—
—
—
—
—
587,515,011
4,658,960
—
1,630,000
4,580,074
195,878
42,618
—
—
194
—
—
40,302
401,131
214,750
—
—
365
—
—
32,923
144,999,575
115,553
2,180,116
—
169,564
2,236,967
1,295,171
824,000
279,182
649,169
750,204,991
Net Assets
$13,567,279
$21,398,872
$2,683,759,601
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) . . . . .
Undistributed (accumulated) net investment income (loss) . . . . . . . . . . . . . . . . . . . . . .
Undistributed (accumulated) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$13,364,011
143,082
79,126
(18,940)
$19,844,564
119,691
151,710
1,282,907
$2,654,595,417
19,955,613
(22,007,542)
31,216,113
Net Assets
$13,567,279
$21,398,872
$2,683,759,601
$12,490,975
1,076,304
$19,857,986
1,540,886
$1,857,940,431
825,819,170
1,134,413
97,729
1,699,751
131,861
166,217,141
74,238,204
$11.01
$11.01
$11.68
$11.69
$11.18
$11.12
NET ASSETS:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SHARES OUTSTANDING:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency at cost of $57,153, $— and $5,808,077, respectively.
* Investments in securities includes the market value of securities out on loan of $39,802, $209,313 and $51,999, respectively.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
99
Statements of Assets and Liabilities
ASSETS:
Investments in securities, at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Investments in securities, at value* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Receivables:
Securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign tax reclaim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
June 30, 2013 (Unaudited)
AQR
MOMENTUM
FUND
AQR
SMALL CAP
MOMENTUM
FUND
AQR
INTERNATIONAL
MOMENTUM
FUND
$706,876,590
$215,211,949
$188,812,625
$817,162,499
—
456
214,913
—
$253,339,787
—
—
42,751
4,066
$206,697,489
2,101
610,398
44,678
6,817
41,270,131
—
461,994
2,537,707
33,688
10,737,412
—
165,924
191,587
13,300
11,059,805
169,270
358,093
303,658
12,825
861,681,388
264,494,827
219,265,134
LIABILITIES:
Unrealized depreciation on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payables:
Securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Collateral received on securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10,558
—
—
48,632,416
121,038,716
92,108
84,656
15,132
739,089
207,438
13,381,345
57,021,813
44,056
23,753
24
82,413
78,016
14,520,867
337,165
37,055
25,049
4,963
67,914
106,283
Total Liabilities
170,820,113
70,631,420
15,099,296
Net Assets
$690,861,275
$193,863,407
$204,165,838
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) . . . . . . .
Undistributed (accumulated) net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . .
Undistributed (accumulated) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$569,123,932
3,148,499
8,313,463
110,275,381
$145,586,543
841,686
9,303,274
38,131,904
$191,921,690
1,784,446
(7,411,451)
17,871,153
Net Assets
$690,861,275
$193,863,407
$204,165,838
$617,118,812
73,742,463
$193,738,926
124,481
$180,168,439
23,997,399
34,056,837
4,075,467
9,999,366
6,432
12,933,455
1,725,785
$18.12
$18.09
$19.38
$19.35
$13.93
$13.91
NET ASSETS:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SHARES OUTSTANDING:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency at cost of $426, $— and $614,644, respectively.
* Investments in securities includes the market value of securities out on loan of $117,442,602, $54,406,226 and $318,122, respectively.
The accompanying notes are an integral part of these financial statements.
100
AQR Funds
Semi-Annual Report
June 2013
Statements of Assets and Liabilities
June 30, 2013 (Unaudited)
AQR
TAX-MANAGED
MOMENTUM
FUND
ASSETS:
Investments in securities, at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR
TAX-MANAGED
SMALL CAP
MOMENTUM
FUND
AQR
TAX-MANAGED
INTERNATIONAL
MOMENTUM
FUND
$9,072,966
$4,223,800
$6,029,552
$10,106,124
—
—
$5,146,336
19
—
$6,671,075
39
20,892
990,982
—
10,325
143,369
6,891
57
308,554
—
2,789
37,378
8,963
42
358,817
5,768
12,769
37,378
9,784
90
11,257,748
5,504,081
7,116,612
LIABILITIES:
Payables:
Securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Collateral received on securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,062,416
81,604
22
30,751
312,342
144,512
22
31,208
384,716
—
21
47,854
Total Liabilities
1,174,793
488,084
432,591
$10,082,955
$5,015,997
$6,684,021
$8,967,788
44,313
37,696
1,033,158
$4,032,774
18,451
42,236
922,536
$5,793,003
65,272
185,016
640,730
$10,082,955
$5,015,997
$6,684,021
$9,976,496
106,459
$4,906,590
109,407
$6,582,747
101,274
794,117
8,489
369,297
8,251
549,523
8,468
$12.56
$12.54
$13.29
$13.26
$11.98
$11.96
Investments in securities, at value* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Receivables:
Securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign tax reclaim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from Investment Advisor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
Net Assets
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) . . . . .
Undistributed (accumulated) net investment income (loss) . . . . . . . . . . . . . . . . . . . . .
Undistributed (accumulated) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Assets
NET ASSETS:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SHARES OUTSTANDING:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency at cost of $—, $— and $21,036, respectively.
* Investments in securities includes the market value of securities out on loan of $77,510, $140,583 and $—, respectively.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
101
Statements of Assets and Liabilities
June 30, 2013 (Unaudited)
AQR
CORE
EQUITY
FUND
AQR
SMALL CAP
CORE
EQUITY
FUND
AQR
INTERNATIONAL
CORE
EQUITY
FUND
$9,873,787
$2,613,427
$3,427,444
Investments in securities, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Receivables:
Securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign tax reclaim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Capital shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Due from Investment Advisor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$9,828,379
—
$2,783,893
—
$3,412,677
6,267
1,094,994
—
10,026
209,900
15,420
—
326,536
—
2,208
—
17,679
—
394,340
1,056
11,554
—
19,792
19
Total Assets
11,158,719
3,130,316
3,845,705
ASSETS:
Investments in securities, at cost . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
LIABILITIES:
Due to custodian . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payables:
Securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses and liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
42
—
1,166,810
115
34,754
328,521
226
35,404
401,825
291
40,509
Total Liabilities
1,201,679
364,193
442,625
Net Assets
$9,957,040
$2,766,123
$3,403,080
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) . . . . . . . . . . .
Undistributed (accumulated) net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
Undistributed (accumulated) net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net unrealized appreciation (depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$9,955,024
18,874
28,550
(45,408)
$2,590,575
2,265
2,817
170,466
$3,399,223
31,337
(12,462)
(15,018)
Net Assets
$9,957,040
$2,766,123
$3,403,080
$9,388,889
568,151
$1,660,361
1,105,762
$1,979,730
1,423,350
898,644
54,372
153,898
102,553
193,614
139,288
$10.45
$10.45
$10.79
$10.78
$10.23
$10.22
NET ASSETS:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
SHARES OUTSTANDING:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency at cost of $—, $— and $6,315, respectively.
The accompanying notes are an integral part of these financial statements.
102
AQR Funds
Semi-Annual Report
June 2013
Statements of Operations
June 30, 2013 (Unaudited)
AQR
GLOBAL
EQUITY FUND
AQR
INTERNATIONAL
EQUITY
FUND
AQR
EMERGING
DEFENSIVE
EQUITY
FUND
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
$6,694,093
44,198
$12,930,440
85,931
$119,635
49
Total Income
6,738,291
13,016,371
119,684
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custody, administration & accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Audit & tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Trustee fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Recoupment of waiver . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,025,993
2,377
95,089
7,669
37,642
1,399
7,071
12,769
753
—
13,895
11,372
21,057
1,651,090
340,672
144,298
13,645
37,497
7,349
70,161
18,731
21,015
63,691
20,853
9,978
35,329
23,329
9,721
10,428
2,005
38,879
2,899
8,132
214
1,735
—
15,918
7,056
3,094
Total Expenses
1,237,086
2,434,309
123,410
(9,563)
(2,377)
—
—
—
—
(23,329)
(9,721)
(47,447)
INVESTMENT INCOME:
Dividend income† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities lending income, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Less waivers:
Investment advisory fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Expense reimbursements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Expenses
1,225,146
2,434,309
42,913
Net Investment Income (Loss)
5,513,145
10,582,062
76,771
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swap and swaps on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
26,020,848
(62,612)
6,003,449
6,471,045
(464,510)
13,275,711
(78,875)
7,848,867
17,060,370
(2,676,377)
(116,063)
2,653
—
—
—
Net realized gain (loss)
37,968,220
35,429,696
(113,410)
Net change in unrealized appreciation (depreciation) on:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swap and swaps on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,357,676
(33,093)
(6,213,999)
(391,194)
137,795
(653,289)
(73,189)
(7,441,307)
(1,062,219)
118,618
(640,349)
(1,778)
—
—
—
Net change in unrealized appreciation (depreciation)
Net gain (loss) and change in unrealized appreciation (depreciation)
Net increase (decrease) in net assets resulting from operations
† Net of foreign taxes withheld of
4,857,185
(9,111,386)
(642,127)
42,825,405
26,318,310
(755,537)
$48,338,550
$36,900,372
($678,766)
$445,033
$1,321,808
$8,982
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
103
Statements of Operations
June 30, 2013 (Unaudited)
AQR
INTERNATIONAL
DEFENSIVE
EQUITY
FUND
AQR
U.S. DEFENSIVE
EQUITY
FUND
AQR
DIVERSIFIED
ARBITRAGE
FUND
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
$182,717
—
141
$160,868
—
524
$21,233,852
20,996,578
44,758
182,858
161,392
42,275,188
19,386
12,117
13,398
260
38,878
3,046
9,055
255
1,102
—
—
15,890
7,138
2,844
21,493
17,911
8,400
265
25,901
3,303
11,145
330
1,946
—
—
15,945
798
2,978
12,898,448
—
412,464
96,667
122,614
153,168
1,463,733
65,760
987,724
6,194,746
45,569
132,782
35,594
128,288
Total Expenses
123,369
110,415
22,737,557
Less waivers:
Investment advisory fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Expense reimbursements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(19,386)
(12,117)
(52,233)
(21,493)
(17,911)
(23,583)
—
—
—
39,633
47,428
22,737,557
143,225
113,964
19,537,631
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities sold short . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swap and swaps on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Written options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
81,291
(4,314)
—
—
—
—
—
158,900
—
—
—
—
—
—
41,953,595
14,236,687
2,478,810
(18,997,018)
(28,411,899)
(34,771,409)
1,303,134
Net realized gain (loss)
76,977
158,900
(22,208,100)
Net change in unrealized appreciation (depreciation) on:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
Forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities sold short . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swap and swaps on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Written options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(262,410)
(912)
—
—
—
—
—
1,249,464
—
—
—
—
—
—
29,148,621
(13,322,911)
2,810,398
3,366,745
(21,977,124)
36,021,811
(3,715,964)
Net change in unrealized appreciation (depreciation)
(263,322)
1,249,464
32,331,576
Net gain (loss) and change in unrealized appreciation (depreciation)
(186,345)
1,408,364
10,123,476
Net increase (decrease) in net assets resulting from operations
($43,120)
$1,522,328
$29,661,107
$18,789
$—
$60,614
INVESTMENT INCOME:
Dividend income† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Interest income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities lending income, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Income
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custody, administration & accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Audit & tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Trustee fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest on securities sold short . . . . . . . . . . . . . . . . . . . . . . . . . .
Recoupment of waiver . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Expenses
Net Investment Income (Loss)
† Net of foreign taxes withheld of
The accompanying notes are an integral part of these financial statements.
104
AQR Funds
Semi-Annual Report
June 2013
Statements of Operations
June 30, 2013 (Unaudited)
AQR
MOMENTUM
FUND
AQR
SMALL CAP
MOMENTUM
FUND
AQR
INTERNATIONAL
MOMENTUM
FUND
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
$4,340,849
—
229,951
$992,659
27
271,203
$2,663,019
—
18,828
4,570,800
1,263,889
2,681,847
790,624
474,377
89,328
11,355
27,621
34,895
289,646
16,003
85,719
2,122
67,564
303,779
130,192
29,981
3,465
27,254
6,313
72,976
4,218
104
7,492
34,853
302,485
129,637
40,709
3,189
32,875
15,003
78,528
4,181
18,408
10,879
34,340
1,889,254
620,627
670,234
—
(239,840)
(13,770)
(38,555)
(2,367)
(84,201)
Net Expenses
1,649,414
568,302
583,666
Net Investment Income (Loss)
2,921,386
695,587
2,098,181
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15,527,848
—
1,087,475
7,409,331
—
419,545
4,094,461
(29,608)
28,678
Net realized gain (loss)
16,615,323
7,828,876
4,093,531
Net change in unrealized appreciation (depreciation) on:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
Futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
53,561,756
(7)
(25,580)
18,900,890
—
(23,207)
1,395,452
(22,592)
6,817
Net change in unrealized appreciation (depreciation)
53,536,169
18,877,683
1,379,677
INVESTMENT INCOME:
Dividend income† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Interest income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities lending income, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Income
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custody, administration & accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Audit & tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Trustee fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Expenses
Less waivers:
Investment advisory fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net gain (loss) and change in unrealized appreciation (depreciation)
Net increase (decrease) in net assets resulting from operations
† Net of foreign taxes withheld of
70,151,492
26,706,559
5,473,208
$73,072,878
$27,402,146
$7,571,389
$—
$—
$282,777
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
105
Statements of Operations
June 30, 2013 (Unaudited)
AQR
TAX-MANAGED
MOMENTUM
FUND
AQR
TAX-MANAGED
SMALL CAP
MOMENTUM
FUND
AQR
TAX-MANAGED
INTERNATIONAL
MOMENTUM
FUND
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
FOR THE SIX
MONTHS ENDED
JUNE 30,
2013
$60,470
1,772
$25,864
3,550
$101,672
319
Total Income
62,242
29,414
101,991
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custody, administration & accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Audit & tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Trustee fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,705
5,853
4,568
201
27,125
177
6,763
181
101
20,555
1,645
1,764
8,358
3,134
4,465
151
27,105
475
6,594
112
102
20,550
5,679
1,542
12,740
4,777
8,005
455
32,751
742
6,703
164
100
20,556
10,232
1,554
Total Expenses
80,638
78,267
98,779
(11,705)
(5,853)
(41,697)
(8,358)
(3,134)
(51,949)
(12,740)
(4,777)
(58,727)
Net Expenses
21,383
14,826
22,535
Net Investment Income (Loss)
40,859
14,588
79,456
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
51,885
—
26,037
—
158,846
(173)
Net realized gain (loss)
51,885
26,037
158,673
Net change in unrealized appreciation (depreciation) on:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . . .
742,190
—
650,447
—
129,220
(942)
Net change in unrealized appreciation (depreciation)
742,190
650,447
128,278
INVESTMENT INCOME:
Dividend income† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Securities lending income, net . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Less waivers:
Investment advisory fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Expense reimbursements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net gain (loss) and change in unrealized appreciation (depreciation)
Net increase (decrease) in net assets resulting from operations
† Net of foreign taxes withheld of
794,075
676,484
286,951
$834,934
$691,072
$366,407
$—
$—
$9,772
The accompanying notes are an integral part of these financial statements.
106
AQR Funds
Semi-Annual Report
June 2013
Statements of Operations
June 30, 2013 (Unaudited)
AQR
CORE
EQUITY FUND
AQR
SMALL CAP
CORE
EQUITY FUND
AQR
INTERNATIONAL
CORE
EQUITY FUND
FOR THE PERIOD
03/26/13*-06/30/13
FOR THE PERIOD
03/26/13*-06/30/13
FOR THE PERIOD
03/26/13*-06/30/13
$26,225
$7,550
$37,455
Total Income
26,225
7,550
37,455
EXPENSES:
Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Custody, administration & accounting fees . . . . . . . . . . . . . . . . . . . . . . . . . . .
Legal fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Audit & tax fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder reporting fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfer agent fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Trustee fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Organization and offering costs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Registration fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Pricing fee . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,800
1,900
1,840
28
20,459
3,688
4,709
32
8,572
511
9,726
785
580
2,753
917
1,733
28
20,459
3,668
4,048
26
8,572
692
9,727
2,525
580
3,036
1,138
1,761
28
25,722
3,735
4,194
29
8,572
804
9,726
3,982
599
Total Expenses
56,630
55,728
63,326
(3,800)
(1,900)
(43,579)
(2,753)
(917)
(46,773)
(3,036)
(1,138)
(53,034)
7,351
5,285
6,118
Net Investment Income (Loss)
18,874
2,265
31,337
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . .
28,550
—
2,817
—
(11,862)
(600)
Net realized gain (loss)
INVESTMENT INCOME:
Dividend income† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Less waivers:
Investment advisory fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shareholder servicing fees waived . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Expense reimbursements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net Expenses
28,550
2,817
(12,462)
Net change in unrealized appreciation (depreciation) on:
Investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign currency and foreign currency translations . . . . . . . . . . . . . . . . . . .
(45,408)
—
170,466
—
(14,767)
(251)
Net change in unrealized appreciation (depreciation)
(45,408)
170,466
(15,018)
Net gain (loss) and change in unrealized appreciation (depreciation)
(16,858)
173,283
(27,480)
$2,016
$175,548
$3,857
$—
$—
$4,156
Net increase (decrease) in net assets resulting from operations
† Net of foreign taxes withheld of
* Commencement of operations.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
107
Statements of Changes in Net Assets
June 30, 2013
AQR INTERNATIONAL
EQUITY FUND
AQR GLOBAL EQUITY FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . . . . .
$5,513,145
37,968,220
4,857,185
$9,761,325
25,951,075
42,326,765
$10,582,062
35,429,696
(9,111,386)
$14,157,497
14,380,448
96,501,940
Net increase (decrease) in net assets resulting from
operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
48,338,550
78,039,165
36,900,372
125,039,885
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
(44,921)
(39,465)
(13,830,600)
—
—
—
(6,044,927)
(442,708)
(14,968,277)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(13,914,986)
—
(21,455,912)
Net realized gain:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
(36,801)
(34,857)
(9,350,410)
—
—
—
—
—
—
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(9,422,068)
—
—
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(23,337,054)
—
(21,455,912)
CLASS I
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
360,991
—
(9,593)
289,737
81,722
(2,120,396)
21,947,338
—
(25,105,021)
56,017,676
5,225,139
(33,350,378)
Net increase (decrease) from capital transactions . . . . .
351,398
(1,748,937)
(3,157,683)
27,892,437
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
565,176
—
(472,700)
73,666
74,323
(1,850,280)
15,022,277
—
(3,382,536)
15,872,803
442,505
(3,715,733)
Net increase (decrease) from capital transactions . . . . .
92,476
(1,702,291)
11,639,741
12,599,575
CLASS Y
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Redemption fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
(2,000)
2
—
23,181,009
(659,771)
4
19,000,000
—
(2,023,000)
20,704
45,779,910
14,968,276
(5,836,872)
32,284
Net increase (decrease) from capital transactions . . . . .
(1,998)
22,521,242
16,997,704
54,943,598
Net increase (decrease) in net assets resulting from
capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
441,876
19,070,014
25,479,762
95,435,610
Total increase (decrease) in net assets . . . . . . . . . . . . . . .
48,780,426
73,772,125
62,380,134
199,019,583
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
475,556,526
$524,336,952
401,784,401
$475,556,526
687,096,958
$749,477,092
488,077,375
$687,096,958
Undistributed accumulated net investment income (loss) at
end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$4,937,921
$(575,224)
$8,974,756
$(1,607,306)
CAPITAL TRANSACTIONS:
The accompanying notes are an integral part of these financial statements.
108
AQR Funds
Semi-Annual Report
June 2013
(continued on p. 109)
Statements of Changes in Net Assets
June 30, 2013
AQR INTERNATIONAL
EQUITY FUND
AQR GLOBAL EQUITY FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
CLASS I
Shares outstanding, beginning of period . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
55,196
29,394
—
(748)
210,532
25,557
7,336
(188,229)
19,233,566
1,976,052
—
(2,237,552)
16,066,790
6,218,133
524,610
(3,575,967)
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . .
83,842
55,196
18,972,066
19,233,566
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
45,729
44,535
—
(38,104)
202,461
6,817
6,690
(170,239)
1,492,563
1,366,473
—
(305,083)
133,174
1,698,841
43,639
(383,091)
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . .
52,160
45,729
2,553,953
1,492,563
CLASS Y
Shares outstanding, beginning of period . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
41,798,875
—
—
(167)
39,780,661
—
2,080,881
(62,667)
44,308,341
1,693,404
—
(177,180)
38,834,729
4,631,152
1,436,495
(594,035)
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . .
41,798,708
41,798,875
45,824,565
44,308,341
CHANGES IN SHARES OUTSTANDING:
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
109
Statements of Changes in Net Assets
June 30, 2013
AQR EMERGING DEFENSIVE
EQUITY FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . . . .
AQR INTERNATIONAL DEFENSIVE
EQUITY FUND
FOR THE PERIOD
7/09/12*-12/31/12
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE PERIOD
7/09/12*-12/31/12
$76,771
(113,410)
(642,127)
$49,290
3,764
511,724
$143,225
76,977
(263,322)
$33,252
16,279
244,382
Net increase (decrease) in net assets resulting
from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(678,766)
564,778
(43,120)
293,913
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
(34,222)
(9,990)
—
—
(26,339)
(3,918)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(44,212)
—
(30,257)
Net realized gain:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
(11,427)
(4,811)
—
—
(16,369)
(4,353)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(16,238)
—
(20,722)
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(60,450)
—
(50,979)
CLASS I
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7,708,835
—
(3,886,995)
5,666,656
45,649
(689,457)
7,483,831
—
(296,381)
7,216,220
42,708
(2,065,477)
Net increase (decrease) from capital transactions . . . . .
3,821,840
5,022,848
7,187,450
5,193,451
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
372,525
—
(1,020,352)
1,857,059
14,801
(192,516)
315,021
—
(108,373)
1,791,100
8,271
(1,019,455)
Net increase (decrease) from capital transactions . . . . .
(647,827)
1,679,344
206,648
779,916
Net increase (decrease) in net assets resulting from
capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,174,013
6,702,192
7,394,098
5,973,367
Total increase (decrease) in net assets . . . . . . . . . . . . . . .
2,495,247
7,206,520
7,350,978
6,216,301
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7,206,520
$9,701,767
—
$7,206,520
6,216,301
$13,567,279
—
$6,216,301
Undistributed accumulated net investment income (loss) at
end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$81,030
$4,259
$143,082
$(143)
CAPITAL TRANSACTIONS:
The accompanying notes are an integral part of these financial statements.
110
AQR Funds
Semi-Annual Report
June 2013
(continued on p. 111)
Statements of Changes in Net Assets
June 30, 2013
AQR EMERGING DEFENSIVE
EQUITY FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
CLASS I
Shares outstanding, beginning of period . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR INTERNATIONAL DEFENSIVE
EQUITY FUND
FOR THE PERIOD
7/09/12*-12/31/12
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE PERIOD
7/09/12*-12/31/12
494,839
709,806
—
(353,695)
—
556,121
4,278
(65,560)
502,748
658,351
—
(26,686)
—
693,168
4,014
(194,434)
Shares outstanding, end of period . . . . . . . . . . . . . . .
850,950
494,839
1,134,413
502,748
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
165,019
34,453
—
(92,856)
—
181,889
1,386
(18,256)
79,543
28,201
—
(10,015)
—
174,715
776
(95,948)
Shares outstanding, end of period . . . . . . . . . . . . . . .
106,616
165,019
97,729
79,543
CHANGES IN SHARES OUTSTANDING:
* Commencement of operations.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
111
Statements of Changes in Net Assets
June 30, 2013
AQR U.S. DEFENSIVE
EQUITY FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . . . .
AQR DIVERSIFIED
ARBITRAGE FUND
FOR THE PERIOD
7/09/12*-12/31/12
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
$113,964
158,900
1,249,464
$44,795
(2,179)
33,443
$19,537,631
(22,208,100)
32,331,576
$18,967,706
61,270,840
(11,053,088)
Net increase (decrease) in net assets resulting from
operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,522,328
76,059
29,661,107
69,185,458
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
(40,855)
(1,691)
—
—
(20,054,461)
(6,424,707)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(42,546)
—
(26,479,168)
Net realized gain:
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
(4,695)
(316)
—
—
(8,252,742)
(3,609,101)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(5,011)
—
(11,861,843)
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(47,557)
—
(38,341,011)
CLASS I
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,822,722
—
(1,156,528)
8,863,968
45,549
(1,076,018)
436,935,681
—
(353,025,647)
1,015,619,538
24,177,205
(765,520,230)
Net increase (decrease) from capital transactions . . . .
10,666,194
7,833,499
83,910,034
274,276,513
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,250,546
—
(2,302,926)
1,421,979
2,007
(1,023,257)
161,789,609
—
(105,696,473)
313,184,408
9,826,792
(222,575,477)
Net increase (decrease) from capital transactions . . . .
947,620
400,729
56,093,136
100,435,723
CAPITAL TRANSACTIONS:
Net increase (decrease) in net assets resulting from
capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
11,613,814
8,234,228
140,003,170
374,712,236
Total increase (decrease) in net assets . . . . . . . . . . . . . .
13,136,142
8,262,730
169,664,277
405,556,683
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
8,262,730
$21,398,872
—
$8,262,730
2,514,095,324
$2,683,759,601
2,108,538,641
$2,514,095,324
Undistributed accumulated net investment income (loss)
at end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$119,691
$5,727
$19,955,613
$417,982
The accompanying notes are an integral part of these financial statements.
112
AQR Funds
Semi-Annual Report
June 2013
(continued on p. 113)
Statements of Changes in Net Assets
June 30, 2013
AQR U.S. DEFENSIVE
EQUITY FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
CLASS I
Shares outstanding, beginning of period . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR DIVERSIFIED
ARBITRAGE FUND
FOR THE PERIOD
7/09/12*-12/31/12
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
771,572
1,036,840
—
(108,661)
—
872,439
4,479
(105,346)
158,688,997
39,234,883
—
(31,706,739)
133,778,788
91,852,169
2,195,928
(69,137,888)
Shares outstanding, end of period . . . . . . . . . . . . . . . . .
1,699,751
771,572
166,217,141
158,688,997
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
41,347
288,805
—
(198,291)
—
141,350
197
(100,200)
69,181,212
14,587,767
—
(9,530,775)
60,071,714
28,441,266
894,936
(20,226,704)
Shares outstanding, end of period . . . . . . . . . . . . . . . . .
131,861
41,347
74,238,204
69,181,212
CHANGES IN SHARES OUTSTANDING:
* Commencement of operations.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
113
Statements of Changes in Net Assets
June 30, 2013
AQR SMALL CAP
MOMENTUM FUND
AQR MOMENTUM FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . .
$2,921,386
16,615,323
53,536,169
$7,340,127
13,466,529
39,530,778
$695,587
7,828,876
18,877,683
$1,800,500
7,037,857
12,331,774
Net increase (decrease) in net assets resulting from
operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
73,072,878
60,337,434
27,402,146
21,170,131
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(7,610,158)
—
(1,541,164)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(7,610,158)
—
(1,541,164)
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(7,610,158)
—
(1,541,164)
126,356,716
—
(64,855,150)
231,326,342
7,604,346
(104,299,857)
37,265,129
—
(16,688,513)
50,077,757
1,537,931
(26,009,044)
Net increase (decrease) from capital transactions
61,501,566
134,630,831
20,576,616
25,606,644
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15,170,817
(7,747,299)
58,966,793(a)
(216,871)
115,780
(11,100)
10,000(a)
—
Net increase (decrease) from capital transactions . . . . . . . . . . .
7,423,518
58,749,922
104,680
10,000
Net increase (decrease) in net assets resulting from capital
transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
68,925,084
193,380,753
20,681,296
25,616,644
Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . .
141,997,962
246,108,029
48,083,442
45,245,611
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
548,863,313
$690,861,275
302,755,284
$548,863,313
145,779,965
$193,863,407
100,534,354
$145,779,965
Undistributed accumulated net investment income (loss) at end of
period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$3,148,499
$227,113
$841,686
$146,099
CLASS L
Shares outstanding, beginning of period . . . . . . . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
30,541,508
7,204,675
—
(3,689,346)
21,793,766
14,895,037
481,898
(6,629,193)
8,871,777
2,027,912
—
(900,323)
7,238,497
3,211,497
97,153
(1,675,370)
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . . . . . . . .
34,056,837
30,541,508
9,999,366
8,871,777
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,638,858
873,237
(436,628)
—(a)
3,652,468
(13,610)
622
6,432
(622)
—(a)
622
—
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . . . . . . . .
4,075,467
3,638,858
6,432
622
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CHANGES IN SHARES OUTSTANDING:
(a) Commencement of offering class of shares effective December 17, 2012.
The accompanying notes are an integral part of these financial statements.
114
AQR Funds
Semi-Annual Report
June 2013
Statements of Changes in Net Assets
June 30, 2013
AQR
TAX-MANAGED
MOMENTUM FUND
AQR INTERNATIONAL
MOMENTUM FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE PERIOD
1/27/12*-12/31/12
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . .
$2,098,181
4,093,531
1,379,677
$2,524,674
1,155,067
13,708,882
$40,859
51,885
742,190
$55,098
20,369
290,968
Net increase (decrease) in net assets resulting
from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
7,571,389
17,388,623
834,934
366,435
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(2,965,770)
—
(58,114)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(2,965,770)
—
(58,114)
Net realized gain:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
(35,669)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
(35,669)
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(2,965,770)
—
(93,783)
CLASS L
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
56,420,336
—
(11,718,114)
54,777,235
2,965,195
(21,716,680)
3,639,514
—
(531,728)
5,727,135
93,783
(52,741)
Net increase (decrease) from capital transactions . . .
44,702,222
36,025,750
3,107,786
5,768,177
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . .
25,710,734
(1,503,021)
11,000(a)
—
100,000
(10,594)
10,000(a)
—
Net increase (decrease) from capital transactions . . .
24,207,713
11,000
89,406
10,000
Net increase (decrease) in net assets resulting from
capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
68,909,935
36,036,750
3,197,192
5,778,177
Total increase (decrease) in net assets . . . . . . . . . . . . .
76,481,324
50,459,603
4,032,126
6,050,829
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
127,684,514
$204,165,838
77,224,911
$127,684,514
6,050,829
$10,082,955
—
$6,050,829
Undistributed accumulated net investment income (loss)
at end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$1,784,446
$(313,735)
$44,313
$3,454
CAPITAL TRANSACTIONS:
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
(continued on p. 116)
115
Statements of Changes in Net Assets
June 30, 2013
AQR INTERNATIONAL
MOMENTUM FUND
AQR TAX-MANAGED
MOMENTUM FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
YEAR ENDED
DECEMBER 31,
2012
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE PERIOD
1/27/12*-12/31/12
CLASS L
Shares outstanding, beginning of period . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,757,051
4,003,426
—
(827,022)
6,789,578
4,490,971
229,327
(1,752,825)
542,643
296,192
—
(44,718)
—
538,821
8,557
(4,735)
Shares outstanding, end of period . . . . . . . . . . . . . . . . .
12,933,455
9,757,051
794,117
542,643
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
849
1,829,529
(104,593)
—(a)
849
—
899
8,489
(899)
—(a)
899
—
Shares outstanding, end of period . . . . . . . . . . . . . . . . .
1,725,785
849
8,489
899
CHANGES IN SHARES OUTSTANDING:
* Commencement of operations.
(a) Commencement of offering class of shares effective December 17, 2012.
The accompanying notes are an integral part of these financial statements.
116
AQR Funds
Semi-Annual Report
June 2013
Statements of Changes in Net Assets
June 30, 2013
AQR TAX-MANAGED SMALL CAP
MOMENTUM FUND
AQR TAX-MANAGED
INTERNATIONAL MOMENTUM FUND
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
PERIOD
1/27/12*-12/31/12
FOR THE SIX
MONTHS ENDED
JUNE 30, 2013
(Unaudited)
FOR THE
PERIOD
1/27/12*-12/31/12
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . . . . . . .
$14,588
26,037
650,447
$46,220
14,572
272,089
$79,456
158,673
128,278
$80,248
24,701
512,452
Net increase (decrease) in net assets resulting from
operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
691,072
332,881
366,407
617,401
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(43,740)
—
(91,118)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(43,740)
—
(91,118)
Net realized gain:
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
(8,768)
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
(8,768)
Total distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
(43,740)
—
(99,886)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Reinvestment of distributions . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
896,419
—
(105,595)
3,103,895
43,740
(1,566)
671,163
—
(191,779)
5,127,939
99,886
(6,508)
Net increase (decrease) from capital transactions . . . . . . .
790,824
3,146,069
479,384
5,221,317
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
100,000
(11,109)
10,000(a)
—
100,000
(10,602)
10,000(a)
—
Net increase (decrease) from capital transactions . . . . . . .
88,891
10,000
89,398
10,000
Net increase (decrease) in net assets resulting from
capital transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
879,715
3,156,069
568,782
5,231,317
Total increase (decrease) in net assets . . . . . . . . . . . . . . . . .
1,570,787
3,445,210
935,189
5,748,832
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3,445,210
$5,015,997
—
$3,445,210
5,748,832
$6,684,021
—
$5,748,832
Undistributed accumulated net investment income (loss) at
end of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$18,451
$3,863
$65,272
$(14,184)
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period . . . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares issued on reinvestment of distributions . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
307,953
69,749
—
(8,405)
—
304,030
4,069
(146)
510,465
54,812
—
(15,754)
—
502,067
8,983
(585)
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . . . .
369,297
307,953
549,523
510,465
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
917
8,251
(917)
—(a)
917
—
898
8,468
(898)
—(a)
898
—
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . . . .
8,251
917
8,468
898
* Commencement of operations.
(a) Commencement of offering class of shares effective December 17, 2012.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
117
Statements of Changes in Net Assets
June 30, 2013
AQR CORE
EQUITY FUND
AQR SMALL CAP
CORE EQUITY FUND
AQR INTERNATIONAL
CORE EQUITY FUND
FOR THE PERIOD
3/26/13*-6/30/13
(Unaudited)
FOR THE PERIOD
3/26/13*-6/30/13
(Unaudited)
FOR THE PERIOD
3/26/13*-6/30/13
(Unaudited)
OPERATIONS:
Net investment income (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net realized gain (loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net change in unrealized appreciation (depreciation) . . . . . . . . . . . . . .
$18,874
28,550
(45,408)
$2,265
2,817
170,466
$31,337
(12,462)
(15,018)
Net increase (decrease) in net assets resulting from
operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2,016
175,548
3,857
CLASS L
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
10,493,206
(1,054,000)
2,295,029
(730,509)
2,432,245
(450,000)
Net increase (decrease) from capital transactions . . . . . . . . . . . . . .
9,439,206
1,564,520
1,982,245
CLASS N
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Cost of shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1,415,818
(900,000)
1,026,055
—
1,416,978
—
Net increase (decrease) from capital transactions . . . . . . . . . . . . . .
515,818
1,026,055
1,416,978
CAPITAL TRANSACTIONS:
Net increase (decrease) in net assets resulting from capital
transactions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9,955,024
2,590,575
3,399,223
Total increase (decrease) in net assets . . . . . . . . . . . . . . . . . . . . . . .
9,957,040
2,766,123
3,403,080
NET ASSETS:
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
$9,957,040
—
$2,766,123
—
$3,403,080
Undistributed accumulated net investment income (loss) at end of
period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$18,874
$2,265
$31,337
CLASS L
Shares outstanding, beginning of period . . . . . . . . . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
998,644
(100,000)
—
222,691
(68,793)
—
237,208
(43,594)
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . .
898,644
153,898
193,614
CLASS N
Shares outstanding, beginning of period . . . . . . . . . . . . . . . . . . . . . . . .
Shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
139,761
(85,389)
—
102,553
—
—
139,288
—
Shares outstanding, end of period . . . . . . . . . . . . . . . . . . . . . . . . . . .
54,372
102,553
139,288
CHANGES IN SHARES OUTSTANDING:
* Commencement of operations.
The accompanying notes are an integral part of these financial statements.
118
AQR Funds
Semi-Annual Report
June 2013
Statement of Cash Flows
June 30, 2013 (Unaudited)
AQR
DIVERSIFIED
ARBITRAGE FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets resulting from operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payments to cover short securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Proceeds from securities sold short . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Proceeds from sale of securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Realized gain on investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Realized loss on securities sold short and written options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation on investments in securities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized depreciation on securities sold short and written options . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Amortization of bond premium . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Increases (decreases) in operating assets:
Due from brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swaps, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized appreciation on futures contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Receivable for securities sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Foreign tax reclaim . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends and interest . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Increases (decreases) in operating liabilities
Due to custodian/broker . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Unrealized depreciation on forward foreign currency exchange contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Swaps, at value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payable for securities purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Collateral received on securities loaned . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Investment advisory fees . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Accrued Distribution fees—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Dividends on securities sold short . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Other accrued expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net cash used in operating activities
$29,661,107
(3,439,831,712)
(778,827,847)
778,653,219
3,368,796,496
(41,953,595)
27,108,765
(29,148,621)
25,693,088
614,864
(21,279,696)
(1,477,817)
(36,811,722)
(3,366,745)
(151,103,287)
846
621,214
106,238
1,630,000
(1,332,581)
(873,060)
107,564,598
(46,397)
51,808
8,443
793,990
(112,734)
$(164,861,138)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Payments on shares redeemed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Net cash provided by financing activities
599,903,750
(461,986,694)
$137,917,056
Net change in cash
(26,944,082)
Cash, beginning of period
34,722,274
Cash, end of period
$7,778,192
Supplemental disclosure of cash flow information:
Cash paid during the year for interest in the amount of $1,201,187.
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
119
Financial Highlights
June 30, 2013
PER SHARE OPERATING PERFORMANCE
Change in Net Assets Resulting
from Operations
Net
Realized
Net Asset
Net
and
Value, Investment Unrealized
Beginning
Income
Gain
of Period
(Loss)
(Loss)
Less Dividends and Distributions
Net
Increase
(Decrease)
in Net Distributions Distributions
Asset
from Net
from Net
Value from
Investment
Realized
Total
Operations
Income
Gains Distributions
AQR GLOBAL EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 20115
FOR THE YEAR ENDED DECEMBER 31, 20105
$11.35
$9.99
$10.97
$10.00
0.11
0.20
0.21
0.16
1.01
1.69
(0.95)
1.25
1.12
1.89
(0.74)
1.41
—
(0.29)
(0.11)
(0.36)
—
(0.24)
(0.13)
(0.08)
—
(0.53)
(0.24)
(0.44)
AQR GLOBAL EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 20115
FOR THE YEAR ENDED DECEMBER 31, 2010†,5
$11.32
$9.97
$10.97
$10.00
0.08
0.16
0.16
0.13
1.02
1.70
(0.94)
1.25
1.10
1.86
(0.78)
1.38
—
(0.27)
(0.09)
(0.33)
—
(0.24)
(0.13)
(0.08)
—
(0.51)
(0.22)
(0.41)
AQR GLOBAL EQUITY FUND CLASS Y
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)†,5
FOR THE YEAR ENDED DECEMBER 31, 2012†,5
FOR THE YEAR ENDED DECEMBER 31, 20115
FOR THE YEAR ENDED DECEMBER 31, 20105
$11.35
$10.00
$10.99
$10.00
0.13
0.24
0.24
0.18
1.02
1.70
(0.94)
1.27
1.15
1.94
(0.70)
1.45
—
(0.35)
(0.16)
(0.38)
—
(0.24)
(0.13)
(0.08)
—
(0.59)
(0.29)
(0.46)
AQR INTERNATIONAL EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 2011†,5
FOR THE YEAR ENDED DECEMBER 31, 2010†,5
FOR THE PERIOD ENDED 9/30/096—12/31/09†,5
$10.24
$8.60
$10.45
$9.78
$10.00
0.14
0.20
0.21
0.16
(0.01)
0.39
1.76
(1.78)
0.84
0.22
0.53
1.96
(1.57)
1.00
0.21
—
(0.32)
(0.21)
(0.24)
(0.14)
—
—
(0.07)
(0.09)
(0.29)
—
(0.32)
(0.28)
(0.33)
(0.43)
AQR INTERNATIONAL EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 20115
FOR THE YEAR ENDED DECEMBER 31, 20105
FOR THE PERIOD ENDED 9/30/096—12/31/095
$10.43
$8.76
$10.61
$9.91
$10.00
0.12
0.19
0.20
0.14
—
0.40
1.76
(1.83)
0.88
0.20
0.52
1.95
(1.63)
1.02
0.20
—
(0.28)
(0.15)
(0.23)
—
—
—
(0.07)
(0.09)
(0.29)
—
(0.28)
(0.22)
(0.32)
(0.29)
AQR INTERNATIONAL EQUITY FUND CLASS Y
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)†,5
FOR THE YEAR ENDED DECEMBER 31, 2012†,5
FOR THE YEAR ENDED DECEMBER 31, 2011†,5
FOR THE YEAR ENDED DECEMBER 31, 2010†,5
FOR THE PERIOD ENDED 8/28/098—12/31/09†,5
$10.71
$8.98
$10.89
$10.16
$10.00
0.17
0.25
0.28
0.20
0.03
0.41
1.83
(1.88)
0.89
0.57
0.58
2.08
(1.60)
1.09
0.60
—
(0.35)
(0.24)
(0.27)
(0.15)
—
—
(0.07)
(0.09)
(0.29)
—
(0.35)
(0.31)
(0.36)
(0.44)
* Annualized for periods less than one year.
† Redemption fees of less than $0.005 per share were incurred by the share class.
1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.
2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value
for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.
3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.
4 Portfolio turnover is not annualized.
5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.
6 Commencement of offering of shares.
7 The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses
incurred by the Fund were not annualized for the period ended December 31, 2012.
8 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
120
AQR Funds
Semi-Annual Report
June 2013
Financial Highlights
June 30, 2013
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net Assets of:*
Net
Asset
Value,
End of
Period
Total
Return1,2
Net Assets,
End of Period
Expenses, Net of
Reimbursements
and/or Waivers3
Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)3
Expenses, Before
Reimbursements
and/or Waivers3
Net Investment
Income (Loss)
Portfolio
Turnover
Rate4
$12.47
$11.35
$9.99
$10.97
9.87%
18.95%
(6.68)%
14.12%
$1,045,862
$626,448
$2,102,815
$1,841,838
0.95%
0.95%
0.96%
0.79%
0.95%
0.94%
0.95%
0.79%
2.36%
1.41%
2.03%
0.79%
1.73%
1.83%
1.90%
1.41%
48%
87%
59%
72%
$12.42
$11.32
$9.97
$10.97
9.72%
18.67%
(7.03)%
13.83%
$647,844
$517,504
$2,019,253
$1,497,723
1.25%
1.25%
1.27%
1.10%
1.25%
1.24%
1.26%
1.10%
3.15%
1.87%
3.22%
1.10%
1.37%
1.51%
1.46%
1.28%
48%
87%
59%
72%
$12.50
$11.35
$10.00
$10.99
10.13%
19.45%
(6.22)%
14.54%
$522,643,246
$474,412,574
$397,662,333
$424,346,157
0.48%
0.51%
0.52%
0.50%
0.47%
0.50%
0.51%
0.50%
0.47%
0.51%
0.52%
0.71%
2.15%
2.24%
2.21%
1.81%
48%
87%
59%
72%
$10.77
$10.24
$8.60
$10.45
$9.78
5.18%
22.87%
(15.00)%
10.40%
2.20%
$204,350,543
$196,971,397
$138,229,387
$85,968,655
$44,016,038
0.90%
0.91%
0.94%
0.90%
0.90%
0.90%
0.90%
0.93%
0.90%
0.90%
0.90%
0.91%
0.94%
1.03%
1.01%
2.65%
2.17%
2.13%
1.72%
(0.47)%
22%
74%
60%
93%
29%
$10.95
$10.43
$8.76
$10.61
$9.91
4.99%
22.41%
(15.27)%
10.40%
2.04%
$27,959,092
$15,561,822
$1,166,515
$1,472,368
$5,785
1.27%
1.28%
1.35%
1.25%
1.25%
1.27%
1.27%
1.34%
1.25%
1.25%
2.27%
2.00%
1.96%
1.51%
(0.07)%
22%
74%
60%
93%
29%
$11.29
$10.71
$8.98
$10.89
$10.16
5.42%
23.26%
(14.66)%
10.84%
6.08%
$517,167,457
$474,563,739
$348,681,473
$371,799,177
$360,491,107
0.54%
0.56%
0.58%
0.55%
0.55%
0.54%
0.55%
0.57%
0.55%
0.55%
3.00%
2.52%
2.63%
2.02%
0.99%
22%
74%
60%
93%
29%
1.27%
1.28%
2.18%
3.50%
472.86%7
0.54%
0.56%
0.58%
0.77%
0.98%
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
121
Financial Highlights
June 30, 2013
PER SHARE OPERATING PERFORMANCE
Change in Net Assets Resulting
from Operations
Net
Realized
Net Asset
Net
and
Value, Investment Unrealized
Beginning
Income
Gain
of Period
(Loss)
(Loss)
Less Dividends and Distributions
Net
Increase
(Decrease)
in Net Distributions Distributions
Asset
from Net
from Net
Value from
Investment
Realized
Total
Operations
Income
Gains Distributions
AQR EMERGING DEFENSIVE EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 7/09/126—12/31/125
$10.92
$10.00
0.11
0.10
(0.90)
0.94
(0.79)
1.04
—
(0.09)
—
(0.03)
—
(0.12)
AQR EMERGING DEFENSIVE EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 7/09/126—12/31/125
$10.93
$10.00
0.09
0.08
(0.88)
0.94
(0.79)
1.02
—
(0.06)
—
(0.03)
—
(0.09)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 7/09/126—12/31/125
$10.67
$10.00
0.17
0.10
0.17
0.67
0.34
0.77
—
(0.06)
—
(0.04)
—
(0.10)
AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 7/09/126—12/31/125
$10.69
$10.00
0.14
0.08
0.18
0.68
0.32
0.76
—
(0.03)
—
(0.04)
—
(0.07)
AQR U.S. DEFENSIVE EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 7/09/126—12/31/125
$10.16
$10.00
0.09
0.147
1.43
0.10
1.52
0.24
—
(0.07)
—
(0.01)
—
(0.08)
AQR U.S. DEFENSIVE EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 7/09/126—12/31/125
$10.18
$10.00
0.07
0.087
1.44
0.15
1.51
0.23
—
(0.04)
—
(0.01)
—
(0.05)
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 20115
FOR THE YEAR ENDED DECEMBER 31, 2010†
FOR THE PERIOD ENDED 1/15/096—12/31/09†,5
$11.05
$10.89
$11.15
$10.80
$10.00
0.09
0.107
0.13
0.06
0.13
0.04
0.24
(0.02)
0.46
0.79
0.13
0.34
0.11
0.52
0.92
—
(0.13)
(0.09)
(0.04)
(0.03)
—
(0.05)
(0.28)
(0.13)
(0.09)
—
(0.18)
(0.37)
(0.17)
(0.12)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 2011†,5
FOR THE YEAR ENDED DECEMBER 31, 2010†
FOR THE PERIOD ENDED 1/15/096—12/31/09†,5
$11.01
$10.85
$11.12
$10.78
$10.00
0.07
0.067
0.10
0.05
0.10
0.04
0.24
(0.02)
0.43
0.79
0.11
0.30
0.08
0.48
0.89
—
(0.09)
(0.07)
(0.01)
(0.02)
—
(0.05)
(0.28)
(0.13)
(0.09)
—
(0.14)
(0.35)
(0.14)
(0.11)
* Annualized for periods less than one year.
† Redemption fees of less than $0.005 per share were incurred by the share class.
1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.
2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for
financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.
3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.
4 Portfolio turnover is not annualized.
5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.
6 Commencement of operations.
7 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share
and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the
Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:
NET INVESTMENT
INCOME PER SHARE
FUND
AQR U.S. Defensive Equity Fund—Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund—Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$0.11
0.05
0.08
0.04
NET INVESTMENT
INCOME RATIO
2.58%
1.38
0.73
0.42
8 For the year ended December 31, 2010, the Adviser contributed $544,199 into the Fund to compensate the Fund for a loss incurred due to trade
processing errors. The impact of the Adviser’s contribution increased the total return by 0.08%.
The accompanying notes are an integral part of these financial statements.
122
AQR Funds
Semi-Annual Report
June 2013
Financial Highlights
June 30, 2013
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net Assets of:*
Net
Asset
Value,
End of
Period
Total
Return1,2
Net Assets,
End of Period
Expenses, Net of
Reimbursements
and/or Waivers3
Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)3
Expenses, Before
Reimbursements
and/or Waivers3
Net Investment
Income (Loss)
Portfolio
Turnover
Rate4
$10.13
$10.92
(7.23)%
10.39%
$8,621,076
$5,402,251
1.05%
1.15%
1.05%
1.15%
2.71%
4.14%
2.05%
1.92%
44%
38%
$10.14
$10.93
(7.23)%
10.22%
$1,080,691
$1,804,269
1.34%
1.40%
1.33%
1.40%
3.82%
5.41%
1.65%
1.67%
44%
38%
$11.01
$10.67
3.19%
7.69%
$12,490,975
$5,366,031
0.79%
0.90%
0.79%
0.90%
2.16%
5.00%
2.99%
1.91%
75%
81%
$11.01
$10.69
2.99%
7.62%
$1,076,304
$850,270
1.06%
1.15%
1.06%
1.15%
4.04%
6.96%
2.58%
1.61%
75%
81%
$11.68
$10.16
14.96%
2.34%
$19,857,986
$7,841,840
0.63%
0.75%
0.63%
0.75%
1.32%
3.90%
1.63%
2.90%7
87%
141%
$11.69
$10.18
14.83%
2.29%
$1,540,886
$420,890
0.90%
1.00%
0.90%
1.00%
2.42%
9.36%
1.26%
1.70%7
87%
141%
$11.18
$11.05
$10.89
$11.15
$10.80
1.18%
3.13%
0.99%
4.81%8
9.24%
$1,857,940,431
$1,752,723,858
$1,456,748,122
$824,237,659
$160,026,814
1.69%
2.30%
2.75%
2.59%
2.46%
1.20%
1.21%
1.20%
1.20%
1.20%
1.69%
2.32%
2.84%
2.62%
3.25%
1.59%
0.88%7
1.18%
1.13%
1.30%
217%
312%
298%
361%
482%
$11.12
$11.01
$10.85
$11.12
$10.78
1.00%
2.83%
0.68%
4.52%8
8.88%
$825,819,170
$761,371,466
$651,790,519
$382,758,131
$79,054,890
1.94%
2.62%
3.05%
2.89%
2.69%
1.45%
1.52%
1.50%
1.50%
1.50%
1.94%
2.62%
3.08%
2.92%
3.42%
1.33%
0.57%7
0.89%
0.85%
0.98%
217%
312%
298%
361%
482%
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
123
Financial Highlights
June 30, 2013
PER SHARE OPERATING PERFORMANCE
Change in Net Assets Resulting
from Operations
Net
Realized
Net Asset
Net
and
Value, Investment Unrealized
Beginning
Income
Gain
of Period
(Loss)
(Loss)
Less Dividends and Distributions
Net
Increase
(Decrease)
in Net Distributions Distributions
Asset
from Net
from Net
Value from
Investment
Realized
Total
Operations
Income
Gains Distributions
AQR MOMENTUM FUND CLASS L
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 2011†,5
FOR THE YEAR ENDED DECEMBER 31, 2010†
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5
$16.06
$13.89
$14.40
$12.19
$10.00
0.08
0.269
0.15
0.06
0.07
1.98
2.16
(0.54)
2.21
2.48
2.06
2.42
(0.39)
2.27
2.55
—
(0.25)
(0.09)
(0.02)
(0.05)
—
—
(0.03)
(0.04)
(0.31)
—
(0.25)
(0.12)
(0.06)
(0.36)
AQR MOMENTUM FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 12/17/126—12/31/125
$16.05
$16.02
0.06
0.019
1.98
0.02
2.04
0.03
—
—
—
—
—
—
AQR SMALL CAP MOMENTUM FUND CLASS L
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 2011†,5
FOR THE YEAR ENDED DECEMBER 31, 2010†
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5
$16.43
$13.89
$14.39
$11.40
$10.00
0.07
0.229
0.04
0.03
0.04
2.88
2.50
(0.42)
3.13
2.06
2.95
2.72
(0.38)
3.16
2.10
—
(0.18)
(0.02)
(0.03)
(0.03)
—
—
(0.10)
(0.14)
(0.67)
—
(0.18)
(0.12)
(0.17)
(0.70)
AQR SMALL CAP MOMENTUM FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 12/17/126—12/31/125
$16.43
$16.09
0.06
0.029
2.86
0.32
2.92
0.34
—
—
—
—
—
—
AQR INTERNATIONAL MOMENTUM FUND CLASS L
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE YEAR ENDED DECEMBER 31, 20125
FOR THE YEAR ENDED DECEMBER 31, 2011†,5
FOR THE YEAR ENDED DECEMBER 31, 2010†
FOR THE PERIOD ENDED 7/09/098—12/31/09†,5
$13.09
$11.37
$13.62
$11.98
$10.00
0.17
0.29
0.29
0.08
0.04
0.67
1.74
(2.26)
1.62
2.26
0.84
2.03
(1.97)
1.70
2.30
—
(0.31)
(0.28)
(0.05)
(0.09)
—
—
—
(0.01)
(0.23)
—
(0.31)
(0.28)
(0.06)
(0.32)
AQR INTERNATIONAL MOMENTUM FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 12/17/126—12/31/125
$13.08
$12.95
0.22
—
0.61
0.13
0.83
0.13
—
—
—
—
—
—
AQR TAX-MANAGED MOMENTUM FUND CLASS L
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 1/27/128—12/31/125
$11.13
$10.00
0.06
0.199
1.37
1.17
1.43
1.36
—
(0.14)
—
(0.09)
—
(0.23)
AQR TAX-MANAGED MOMENTUM FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 12/17/126—12/31/125
$11.13
$11.12
0.05
0.019
1.36
—
1.41
0.01
—
—
—
—
—
—
* Annualized for periods less than one year.
† Redemption fees of less than $0.005 per share were incurred by the share class.
1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.
2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value
for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.
3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.
4 Portfolio turnover is not annualized.
5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.
6 Commencement of offering of shares.
7 The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses
incurred by the Fund were not annualized for the period ended December 31, 2012.
8 Commencement of operations.
9 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share
and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the
Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:
NET INVESTMENT
INCOME PER SHARE
FUND
AQR Momentum Fund—Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund—Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund—Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund—Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
The accompanying notes are an integral part of these financial statements.
124
AQR Funds
Semi-Annual Report
June 2013
$0.24
0.01
0.15
0.02
0.17
0.01
NET INVESTMENT
INCOME RATIO
1.57%
1.07
1.01
2.93
1.76
2.28
Financial Highlights
June 30, 2013
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net Assets of:*
Net
Asset
Value,
End of
Period
Total
Return1,2
Net Assets,
End of Period
Expenses, Net of
Reimbursements
and/or Waivers3
Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)3
Expenses, Before
Reimbursements
and/or Waivers3
Net Investment
Income (Loss)
Portfolio
Turnover
Rate4
$18.12
$16.06
$13.89
$14.40
$12.19
12.83%
17.49%
(2.68)%
18.60%
25.58%
$617,118,812
$490,441,577
$302,755,284
$124,491,353
$6,932,575
0.49%
0.50%
0.50%
0.49%
0.49%
0.49%
0.49%
0.49%
0.49%
0.49%
0.56%
0.58%
0.67%
0.98%
5.08%
0.95%
1.69%9
1.07%
1.37%
1.23%
40%
68%
162%
180%
163%
$18.09
$16.05
12.71%
0.19%
$73,742,463
$58,421,736
0.74%
0.75%
0.74%
0.74%
0.86%
0.82%
0.70%
1.19%9
40%
68%
$19.38
$16.43
$13.89
$14.39
$11.40
17.95%
19.62%
(2.62)%
27.69%
21.24%
$193,738,926
$145,769,751
$100,534,354
$54,504,582
$3,239,605
0.65%
0.66%
0.66%
0.65%
0.65%
0.65%
0.65%
0.65%
0.65%
0.65%
0.69%
0.72%
0.85%
1.85%
7.53%
0.80%
1.44%9
0.26%
0.66%
0.65%
34%
73%
121%
380%
136%
$19.35
$16.43
17.77%
2.11%
$124,481
$10,214
0.90%
0.90%
0.90%
0.90%
0.63%
3.36%9
34%
73%
$13.93
$13.09
$11.37
$13.62
$11.98
6.42%
17.92%
(14.42)%
14.20%
23.08%
$180,168,439
$127,673,412
$77,224,911
$62,091,379
$29,762,053
0.65%
0.66%
0.66%
0.65%
0.65%
0.65%
0.65%
0.65%
0.65%
0.65%
2.37%
2.41%
2.23%
1.44%
0.63%
67%
116%
203%
269%
160%
$13.91
$13.08
6.35%
1.00%
$23,997,399
$11,102
0.90%
0.90%
0.90%
0.90%
3.04%
0.25%
67%
116%
$12.56
$11.13
12.85%
13.67%
$9,976,496
$6,040,821
0.55%
0.55%
0.54%
0.54%
1.65%
4.57%
1.05%
1.89%9
83%
93%
$12.54
$11.13
12.67%
0.09%
$106,459
$10,008
0.79%
0.79%
0.79%
0.79%
24.46%
15.32%7
0.77%
2.41%9
83%
93%
34.08%
135.33%7
0.73%
0.80%
0.97%
1.46%
2.22%
1.07%
132.42%7
The accompanying notes are an integral part of these financial statements.
AQR Funds
Semi-Annual Report
June 2013
125
Financial Highlights
June 30, 2013
PER SHARE OPERATING PERFORMANCE
Change in Net Assets Resulting
from Operations
Net Asset
Value,
Beginning
of Period
Net
Investment
Income
(Loss)
Net
Realized
and
Unrealized
Gain
(Loss)
Less Dividends and Distributions
Net
Increase
(Decrease)
in Net Distributions Distributions
Asset
from Net
from Net
Value from
Investment
Realized
Operations
Income
Gains
Total
Distributions
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
CLASS L
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 1/27/128—12/31/125
$11.15
$10.00
0.04
0.199
2.10
1.11
2.14
1.30
—
(0.15)
—
—
—
(0.15)
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND
CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 12/17/126—12/31/125
$11.15
$10.91
0.03
0.029
2.08
0.22
2.11
0.24
—
—
—
—
—
—
AQR TAX-MANAGED INTERNATIONAL MOMENTUM
FUND CLASS L
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 1/27/128—12/31/125
$11.24
$10.00
0.15
0.23
0.59
1.22
0.74
1.45
—
(0.19)
—
(0.02)
—
(0.21)
AQR TAX-MANAGED INTERNATIONAL MOMENTUM
FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5
FOR THE PERIOD ENDED 12/17/126—12/31/125
$11.24
$11.14
0.18
—
0.54
0.10
0.72
0.10
—
—
—
—
—
—
AQR CORE EQUITY FUND CLASS L
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5
$10.00
0.05
0.4010
0.45
—
—
—
AQR CORE EQUITY FUND CLASS N
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5
$10.00
0.02
0.4310
0.45
—
—
—
AQR SMALL CAP CORE EQUITY FUND CLASS L
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5
$10.00
0.01
0.78
0.79
—
—
—
AQR SMALL CAP CORE EQUITY FUND CLASS N
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5
$10.00
0.01
0.77
0.78
—
—
—
AQR INTERNATIONAL CORE EQUITY FUND CLASS L
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5
$10.00
0.12
0.1110
0.23
—
—
—
AQR INTERNATIONAL CORE EQUITY FUND CLASS N
FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5
$10.00
0.11
0.1110
0.22
—
—
—
* Annualized for periods less than one year.
† Redemption fees of less than $0.005 per share were incurred by the share class.
1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.
2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value
for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder
transactions.
3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.
4 Portfolio turnover is not annualized.
5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.
6 Commencement of offering of shares.
7 The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses
incurred by the Fund were not annualized for the period ended December 31, 2012.
8 Commencement of operations.
The accompanying notes are an integral part of these financial statements.
126
AQR Funds
Semi-Annual Report
June 2013
Financial Highlights
June 30, 2013
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net Assets of:*
Net
Asset
Value,
End of
Period
Total
Return1,2
Net Assets,
End of Period
Expenses, Net of
Reimbursements
and/or Waivers3
Expenses, Net of
Reimbursements
and/or Waivers
(Excluding Dividend
Short Expense &
Interest Expense)3
Expenses, Before
Reimbursements
and/or Waivers3
Net Investment
Income (Loss)
Portfolio
Turnover
Rate4
$13.29
$11.15
19.19%
13.01%
$4,906,590
$3,434,992
0.70%
0.71%
0.70%
0.70%
2.97%
5.77%
0.70%
1.91%9
40%
93%
$13.26
$11.15
18.92%
2.20%
$109,407
$10,218
0.95%
0.95%
0.95%
0.95%
25.34%
12.32%7
0.49%
4.19%9
40%
93%
$11.98
$11.24
6.58%
14.46%
$6,582,747
$5,738,743
0.70%
0.71%
0.70%
0.70%
2.55%
5.28%
2.49%
2.38%
39%
131%
$11.96
$11.24
6.41%
0.90%
$101,274
$10,089
0.95%
0.95%
0.95%
0.95%
25.55%
15.82%7
2.92%
0.15%
39%
131%
$10.45
4.50%
$9,388,889
0.54%
0.54%
2.68%
1.62%
185%
$10.45
4.50%
$568,151
0.79%
0.79%
6.00%
0.80%
185%
$10.79
7.90%
$1,660,361
0.75%
0.75%
6.26%
0.51%
41%
$10.78
7.80%
$1,105,762
1.00%
1.00%
6.81%
0.20%
41%
$10.23
2.30%
$1,979,730
0.70%
0.70%
5.62%
4.30%
63%
$10.22
2.20%
$1,423,350
0.95%
0.95%
6.32%
3.90%
63%
9 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share
and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the
Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:
NET INVESTMENT
INCOME PER SHARE
FUND
AQR Tax-Managed Small Cap Momentum Fund—Class L . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund—Class N . . . . . . . . . . . . . . . . . . . .
$0.12
0.02
NET INVESTMENT
INCOME RATIO
1.26%
3.54
10 The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for
that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.
The accompanying notes are an integral part of these financial statements.
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Semi-Annual Report
June 2013
127
Notes to Financial Statements (Unaudited)
June 30, 2013
1. Organization
AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management
investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2013,
the Trust consists of twenty-one active series, of which fifteen of the active series are presented in this book and the
remaining six active series are reported in a separate book, (collectively, the “Funds” and each individually a “Fund”):
AQR Global Equity Fund, AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International
Defensive Equity Fund, AQR U.S. Defensive Equity Fund, AQR Diversified Arbitrage Fund, AQR Momentum Fund, AQR
Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR TaxManaged Small Cap Momentum Fund, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund, AQR
Small Cap Core Equity Fund and AQR International Core Equity Fund. AQR Capital Management, LLC (“the Advisor”)
serves as the investment advisor of each Fund. The Advisor has retained CNH Partners, LLC (“the Sub-Advisor”), an
affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund.
The investment objective of the AQR Global Equity Fund is to seek long-term capital appreciation. The principal
investment strategies of the AQR Global Equity Fund include seeking to outperform, after expenses, the MSCI World
Index (the “Global Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The Global
Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of
equities in developed markets, including the United States and Canada. The Fund offers Class I, Class N and Class Y
shares.
The investment objective of the AQR International Equity Fund is to seek long-term capital appreciation. The principal
investment strategies of the AQR International Equity Fund include seeking to outperform, after expenses, the MSCI
EAFE Index (the “International Equity Benchmark”) while seeking to control its tracking error relative to this benchmark.
The International Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the
performance of equities in developed markets, excluding the United States and Canada. The Fund offers Class I,
Class N and Class Y shares.
The investment objective of the AQR Emerging Defensive Equity Fund is to seek total return. The Fund pursues a
“defensive” strategy that provides exposure to emerging stock markets. The Fund seeks to invest in lower beta stocks of
companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share
variability and other measures of quality. These stocks generally are less volatile than the market average, and are
expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I
and Class N shares.
The investment objective of the AQR International Defensive Equity Fund is to seek total return. The Fund pursues a
“defensive” strategy that provides exposure to international stock markets. The Fund seeks to invest in lower beta
stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-pershare variability and other measures of quality. These stocks generally are less volatile than the market average, and are
expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I
and Class N shares.
The investment objective of the AQR U.S. Defensive Equity Fund is to seek total return. The Fund pursues a “defensive”
strategy that provides exposure to the U.S. stock market. The Fund seeks to invest in lower beta stocks of companies
with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and
other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce
higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR Diversified Arbitrage Fund is to seek positive absolute returns. The principal
investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform, after expenses, the BofA
Merrill Lynch 3-Month Treasury Bill Index (the “Absolute Return Benchmark”) using arbitrage and alternative investment
strategies such as merger arbitrage, convertible arbitrage, other forms of arbitrage (including, but not limited to, whenissued trading arbitrage, stub-trading arbitrage and dual-class arbitrage) and other types of non-arbitrage alternative
investment strategies. The Fund offers Class I and Class N shares.
128
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June 30, 2013
The investment objective of the AQR Momentum Fund is to seek long-term capital appreciation. The Fund invests
primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures,
and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter
market that the Advisor determines to have positive momentum. The Advisor considers a security to have positive
momentum primarily if it has a return over the prior twelve months that ranks in the top third of its relevant universe at
the time of purchase. The Fund offers Class L and Class N shares.
The investment objective of the AQR Small Cap Momentum Fund is to seek long-term capital appreciation. The Fund
invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index
futures and depositary receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market
that the Advisor determines to have positive momentum. The Fund offers Class L and Class N shares.
The investment objective of the AQR International Momentum Fund is to seek long-term capital appreciation. The Fund
invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index
futures and depositary receipts) of non-U.S. companies that the Advisor determines to have positive momentum. The
Fund offers Class L and Class N shares.
The investment objective of the AQR Tax-Managed Momentum Fund is to seek long-term after-tax capital appreciation.
The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange traded funds,
equity index futures, and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or
over-the-counter market that the Advisor determines to have positive momentum. The Fund is designed to have lower
distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds
that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the
realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting
losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in
taxable gains. The Fund offers Class L and Class N shares.
The investment objective of the AQR Tax-Managed Small Cap Momentum Fund is to seek long-term after-tax capital
appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange
traded funds, equity index futures, and depositary receipts) of small cap companies traded on a principal U.S. exchange
or over-the-counter market that the Advisor determines to have positive momentum. The Fund is designed to have lower
distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds
that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the
realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting
losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in
taxable gains. The Fund offers Class L and Class N shares.
The investment objective of the AQR Tax-Managed International Momentum Fund is to seek long-term after-tax capital
appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange
traded funds, equity index futures, and depositary receipts) of non-U.S. companies that the Advisor determines to have
positive momentum. The Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing
smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund
may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains
into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and
limiting portfolio turnover that may result in taxable gains. The Fund offers Class L and Class N shares.
The investment objective of the AQR Core Equity Fund is to seek long-term capital appreciation. The Fund invests
primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures,
equity index swaps and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or
over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable
business. The Fund offers Class L and Class N shares.
The investment objective of the AQR Small Cap Core Equity Fund is to seek long-term capital appreciation. The Fund
invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index
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Notes to Financial Statements (Unaudited)
June 30, 2013
futures, equity index swaps and depositary receipts) of small cap companies traded on a principal U.S. exchange or
over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable
business. The Fund offers Class I and Class N shares.
The investment objective of the AQR International Core Equity Fund is to seek long-term capital appreciation. The Fund
invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index
futures, equity index swaps and depositary receipts) of non-U.S. companies that the Advisor determines to be
attractively valued with positive momentum and a stable business. The Fund offers Class I and Class N shares.
2. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with accounting principles generally
accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the
financial statements and the reported amounts of increases and decreases in net assets from operations during the
reported period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: Each Fund’s portfolio securities are valued as of the close of business of the regular session
of trading on the NYSE (normally 4:00 p.m. Eastern time). Equity securities, including securities sold short and warrants,
are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security
trades. The value of securities listed on the NASDAQ Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official
Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to
international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an
independent pricing service, unless the Advisor determines that use of another valuation methodology is appropriate.
The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as
subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in
determining fair value as of the time the Funds calculate their net asset value. Securities traded in the over-the-counter
market, and which are not quoted by NASDAQ, are valued at the last sale price, if available, otherwise at the last quoted
bid price (in the case of short sales, at the ask price). Bonds are valued using the latest bid prices or evaluated quotes
furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such
factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. The Funds value
debt securities maturing less than 61 days from the date of purchase at amortized cost, which approximates market
value. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss
on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options
contracts are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific
futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the
exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more
accurate valuation. Investments in open-end investment companies are valued at such investment company’s current
day closing net asset value per share. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are
valued at the last quoted sales price. Total return swap contracts are valued at fair value, based on the price of the
underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or
market makers.
The Funds may use pricing services to obtain readily available market quotations. Where market quotations are not
readily available, or if an available market quotation is determined not to reflect fair value, a security will be valued based
on its fair value as determined in accordance with the valuation procedures approved by the Funds’ Board of Trustees,
which may include the use of proprietary valuation models which may consider market transactions in comparable
securities and the various relationships between securities in determining value and/or market characteristics such as
benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features.
The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the
investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any
restrictions on the disposition of the investments. Using fair value to price securities may result in a value that is different
from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets.
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June 30, 2013
It is possible the estimated values may differ significantly from the values which would have been used had a ready
market for the investments existed, these differences could be material.
Loan Participations and Assignments: The Diversified Arbitrage Fund invests in loan participations and assignments.
When the Fund purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or
a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the
credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the
borrower (“Intermediate Participants”). In contrast, when the Fund purchases an assignment, the contractual relationship
is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan
participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on
such collateral or have its interest subordinated to other indebtedness of the obligor. The Fund may also enter into
unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments
represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These
types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the
Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is
determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The
unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and
Liabilities. In addition, loan participations and assignments are vulnerable to market conditions such that economic
conditions or other events may reduce the demand for loan participations and assignments and certain loan
participations and assignments which were liquid, when purchased, may become illiquid.
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into
common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time
into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in
any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if it had invested in that
company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and,
therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their
investments in convertible debt securities by selling short the issuer’s common stock.
Short Sales: The AQR Diversified Arbitrage 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 (short sale). When the Fund makes a
short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale.
The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends
received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date as an
expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be
recognized upon the termination of a short sale if the market price at termination is less than or greater than,
respectively, the proceeds originally received. The Fund is also subject to the risk that they may be unable to reacquire a
security to terminate a short position except at a price substantially in excess of the last quoted price. 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 Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral
requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker
for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities
segregated as collateral are denoted in the Schedules of Investments. The Fund 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. The net amount of fees of $1,016,586, incurred by
the Diversified Arbitrage Fund is included in dividend and interest on securities sold short in the Statements of
Operations.
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Notes to Financial Statements (Unaudited)
June 30, 2013
Futures Contracts: Certain Funds invest in futures contracts. The Funds invest in futures in order to hedge their
investments or equitize their cash flows against fluctuations in value caused by changes in prevailing interest rates or
market conditions. Investments in futures may increase or decrease exposure to a particular market. In the event of a
bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may
not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to
or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required to deposit with the
broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent
payments to and from the broker, will be made on a periodic basis as the price of the underlying instruments fluctuates.
Changes in market value of open futures contracts are recorded as unrealized appreciation or depreciation in the
Statements of Operations. Realized gains or losses, represent the difference between the value of the contract at the
time it was opened and the value at the time it was closed, and are reported in the Statements of Operations at the
closing or expiration of futures contracts. Securities deposited as initial margin are designated in the Schedules of
Investments and cash deposited is presented as Due from Broker on the Statements of Assets and Liabilities. The use of
long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets
and Liabilities, up to the contract amount of the futures contracts. The use of short futures contracts subjects the Funds
to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of
Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange
contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These
contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio
securities are denominated or quoted (or an increase in the value of a currency in which securities a Fund intends to buy
are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The
U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange
rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange
rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss.
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 Fund is unable to enter into a closing position. Risks may exceed amounts recognized on the
Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the
counterparty in cash without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding
at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying
referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying
position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the
other party to pay the negative return on a specified reference security, basket of securities, security index or index
component during the period of the swap. Total return swap contracts are marked to market daily based on the value of
the underlying reference entity and the change, if any, is recorded as an unrealized gain or loss. Total return swaps
normally do not involve the delivery of securities or other underlying assets. If the other party to an total return swap
defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive,
if any. Total return swaps are derivatives and their value can be very volatile. To the extent that the Advisor or SubAdvisor, as applicable, do not accurately analyze and predict future market trends, the values of assets or economic
factors, a Fund may suffer a loss, which may exceed the related amounts shown in the Statements of Assets and
Liabilities. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Total return swap
contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: The AQR Diversified Arbitrage Fund enters 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
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June 30, 2013
but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An up-front payment received by a
Fund, as the protection seller, is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front
payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s Statement of Assets and
Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received or paid by a Fund
are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations
from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss.
Upon the occurrence of a credit event, the difference between the par value and market value of the reference
obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, a Fund could be exposed to market risk due to unfavorable
changes in interest rates or in the price of the underlying security or index or the possibility that the Fund may be unable
to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations.
In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss.
Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. The 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 Fund and the counterparty. 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 the Fund’s Schedule of Investments.
Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event
occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value
of swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter
into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform
(i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are
also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to
the weighted average spread across the underlying reference obligations included in a particular index.
High Yield Securities: The AQR Diversified Arbitrage Fund invests in lower-quality debt securities. Investments in lowerrated 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.
Master Agreements: Certain Funds are a party to ISDA (International Swap and Derivatives Association, Inc.) Master
Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative (includes Total
Return, Credit Default and Interest Rate Swaps) and foreign exchange contracts entered into from time to time. The
Master Agreements may contain provisions regarding, among other things, the parties’ general obligations,
representations, agreements, collateral requirements, events of default and early termination. With respect to certain
counterparties, in accordance with the terms of the Master Agreements, collateral posted for the benefit of a Fund is
held in a segregated account by a custodian of the Fund’s custodian and with respect to those amounts which can be
sold or repledged, are presented in the Fund’s Schedule of Investments. Collateral pledged by the Fund is segregated
by the Fund’s custodian and identified in the Fund’s Schedule of Investments. Collateral can be in the form of cash or
debt securities issued by the U.S. Government or related agencies or other securities and money market funds as
agreed to by the Fund and the applicable counterparty. Collateral requirements are generally determined based on the
Fund’s net position with each counterparty. Termination events applicable to the Fund may occur upon a decline in the
Fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to
counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified
level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative
and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early
termination, as reasonably determined by the terminating party. Any decision by one or more of the Fund’s
counterparties to elect early termination could impact a Fund’s future derivative activity. The Funds’ derivative assets
and liabilities on the Statements of Assets and Liabilities are presented net by derivative type and counterparty when a
legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
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Options: The AQR Diversified Arbitrage Fund may write and purchase put and call options from time to time. When a
Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent
liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option
written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is
added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the
security sold. When an option expires, the Fund realizes a gain or loss on the option to the extent of the premiums
received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of
the closing transaction exceeds the premiums paid or received. Written uncovered call options subject the Funds to
unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put
options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the
put premium. The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security
underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the period ended June 30, 2013 for the AQR Diversified Arbitrage
Fund were as follows:
CALL OPTIONS
SHARES
SUBJECT
TO CALL
PREMIUM
Options outstanding, December 31, 2012 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Options written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Options expired . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Options exercised . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(3,986)
(114,508)
26,728
12,509
$ (183,593)
(2,103,803)
1,147,203
160,356
Options outstanding, June 30, 2013 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
(79,257)
$ (979,837)
Securities Lending: Certain Funds may lend securities to brokers approved by the Advisor in order to generate
additional income. Securities loaned are collateralized by cash, which is invested in various JPMorgan Money Market
Funds. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are
subject to termination by the Funds or the borrower at any time. Securities lending income is comprised of income
earned on cash collateral investments, net of a rebate received from or paid to borrowers for use of cash collateral and
lending agent fees. This amount is recorded as Securities lending income, net on the Statements of Operations. The
Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest
earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of
Operations.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral
from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the
amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon
termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the
Advisor does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies
provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing
replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the
replacement securities. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses
as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement
securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject
to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Funds and the
lending agent.
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 Code, as amended. 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.
134
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to
determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax
positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the
current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for
examination by the relevant income taxing authority. The returns of the Funds for the prior three fiscal years, or since
inception if shorter, are open for examination. As of June 30, 2013, the Funds had no examinations in progress.
The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or
expected to be taken. The Funds are also not aware of any tax positions for which it is reasonably possible that the total
amounts of unrecognized tax expense will significantly change in twelve months.
Securities Transactions and Investment Income: Investment transactions are accounted for on trade date (the date
the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis.
Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for
amortization of premiums and accretion of discounts using the effective yield method. Dividend income/expense is
recorded on the ex-dividend date.
Allocation of Income and Expenses: In calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each
class of shares based upon the proportion of net assets of each class at the beginning of each day. Each Fund is
charged for those expenses that are directly attributable to each Fund, such as advisory fees and registration costs.
Trust level expenses are allocated among the Funds based on the ratio of average net assets or some other reasonable
methodology.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of
investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual
amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the
estimated amounts of components of distributions (and consequently net investment income) as necessary once the
issuers provide information about the actual composition of the distributions.
The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of
which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current
interpretation of tax rules and regulations that exist in the markets in which they invest.
Organization and Offering Costs: Costs incurred by the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and
AQR International Core Equity Fund in connection with the organization of those Funds, including professional and
incorporation fees, are fully expensed by the end of the fiscal year. Offering costs, including professional fees, printing
fees and the offering of the initial registration, are amortized over a twelve month period from the date the Funds
commenced operations.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency
amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The
market value of investment securities and the other assets and liabilities are translated at the exchange rate as of the
valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate
prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the
period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign
exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the
period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains
(losses) on investment transactions.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency and forward foreign
currency exchange contracts, currency gains or losses realized between the trade and settlement dates on securities
AQR Funds
Semi-Annual Report
June 2013
135
Notes to Financial Statements (Unaudited)
June 30, 2013
transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on
each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid.
Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value
of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held
at period end.
Cash and Cash Equivalents: Cash and cash equivalents include U.S. dollar and foreign currency at bank accounts at
amounts which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable
to fulfill their obligations.
Due to/from Broker: Due to/from Broker represents cash balances on deposit with the Funds’ prime brokers and
counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their
obligations to the Funds.
Distributions to Shareholders: The Funds intend to declare and distribute substantially all of their net investment
income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in
accordance with federal income tax regulations which may differ from GAAP. Distributions to shareholders are recorded
on the ex-dividend date. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from
other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts
based on their Federal tax-basis treatment.
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general
indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure
involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of
loss to be remote.
3. Federal Income Tax Matters
At June 30, 2013, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of
investments for federal income tax purposes were as follows:
FUND
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . .
AQR Emerging Defensive Equity Fund . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum
Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed International Momentum
Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Core Equity Fund . . . . . . . . . . . . . .
AQR International Core Equity Fund . . . . . . . . . . . .
COST OF
INVESTMENTS
GROSS
UNREALIZED
APPRECIATION
GROSS
UNREALIZED
DEPRECIATION
NET
UNREALIZED
APPRECIATION
(DEPRECIATION)
$ 437,012,156
640,319,367
9,631,544
13,587,028
20,508,885
2,687,478,057
707,283,368
215,267,349
188,891,857
9,077,785
$ 82,767,040
104,146,466
520,732
553,776
1,413,032
110,438,807
115,815,353
42,448,345
23,392,991
1,108,366
$ (8,669,611)
(26,805,992)
(656,177)
(597,450)
(158,672)
(68,692,461)
(5,936,222)
(4,375,907)
(5,587,359)
(80,027)
$ 74,097,429
77,340,474
(135,445)
(43,674)
1,254,360
41,746,346
109,879,131
38,072,438
17,805,632
1,028,339
4,224,617
1,020,724
(99,005)
921,719
6,034,410
9,876,327
2,616,095
3,430,250
832,222
170,022
223,624
120,939
(195,557)
(217,970)
(55,826)
(138,512)
636,665
(47,948)
167,798
(17,573)
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to
wash sale loss deferrals.
The AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed
International Momentum Fund commenced operations on January 27, 2012.
136
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
The AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity
Fund commenced operations on July 9, 2012.
The AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund commenced
operations on March 26, 2013.
As of December 31, 2012, for federal income tax purposes, the following Funds have capital loss carryforwards available
to offset capital gains, if any, to the extent provided by the Treasury regulations.
FUND
SHORT-TERM
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 4,938,860
7,901,396
107,993
10,946,594
LONG TERM
YEAR OF EXPIRATION
$
—
—
—
219,017
N/A
N/A
2018
N/A
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital
losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss
carryforwards retain their character as either short-term or long-term capital losses rather than being considered shortterm as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the
losses incurred in pre-enactment tax years.
4. Fair Value Measurements
The Funds utilize various inputs in determining the value of each Fund’s investments. GAAP establishes a hierarchy for
inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable
inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad
levels as follows:
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, pre-payment
speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of
investments)
Valuation methodology and inputs
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in
aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even
when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the
valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of
observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with
investing in those securities. The following are certain inputs and techniques that the Funds use to evaluate how to
classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.
Equities traded outside North America are fair valued daily based on the application of a fair value factor and therefore
are considered Level 2 (Note 2). Investments that trade in markets that are not considered to be active, but are valued
based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are also
classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency
securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and
sovereign bonds and other fixed-income instruments are valued at estimated fair value based on quotations (including
evaluated quotes) from an independent pricing service, as well as quotations from counterparties and other market
participants. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer
restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on
AQR Funds
Semi-Annual Report
June 2013
137
Notes to Financial Statements (Unaudited)
June 30, 2013
available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade
infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for
these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or
the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach
generally consists of using comparable market transactions, while the use of the income approach generally consists of
the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk
factors. The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction
price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the
underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions
across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows.
Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such
discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack
of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.
The Funds invest in derivative instruments. Derivative instruments can be exchange traded or privately negotiated overthe-counter (“OTC”). Exchange-traded derivatives, such as futures contracts and exchange traded option contracts, are
typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to
be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are
valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the
principal market. OTC derivatives, including forwards, total return and credit default swaps, are valued by the Funds
using observable inputs, such as quotations received from the counterparty, or dealers and brokers, whenever available
and considered reliable. Generally, a valuation model is used consistently for similar derivative types and model inputs,
including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are
obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of
an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the
availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves,
credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as
generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore
classified within Level 2. Equity total return swap transactions are valued at fair value, based on the price of the
underlying security.
Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by
the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow
assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and
performance risk. As payment and performance risk increases, the value of a credit default swap contract increases,
resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as
payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are
recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the
occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC
derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations
of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable
inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the
Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3
due to the significance of the unobservable inputs.
Securities for which market quotations or independent pricing service quotations are not readily available, are not readily
marketable, or model priced and all other assets of the Funds are valued at fair value using valuation procedures for the
Funds, which have been approved by the Board of Trustees. The Advisor has established a Valuation Committee (the
“VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates
under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an asneeded basis. The VC is responsible for valuing any securities or other assets for which prices or valuations are not
readily determinable by the Funds’ pricing services. The VC considers time-sensitive valuation issues, including those
relating to market closures, changes in illiquid security values, model prices and other events that may have a potentially
material impact on security values. On a quarterly basis the VC meets to review the results of back test reports
generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis
138
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade executions prices to the
prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, model
prices are reviewed against available third party model prices.
Quantitative Information
These tables include a description of unobservable and quantitative inputs and the relationship of such inputs, as used in
determining the value of Level 3 financial instruments, except for Level 3 instruments for which prior transaction or third
party pricing information was used without adjustment.
Transfers
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. Transfers from Level 2 to
Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which
resulted in a lack of or increase in available market inputs to determine price.
The following summarizes inputs used as of June 30, 2013 in valuing the Funds’ assets carried at fair value:
AQR GLOBAL EQUITY FUND
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
$281,062,318
—
—
—
—
$190,818,490
5,086,308
813
34,141,656
49,037
$
—
—
—
—
—
$471,880,808
5,086,308
813
34,141,656
49,037
$281,062,318
$230,096,304
$
—
$511,158,622
$
—
(218,212)
$
(667,732)
—
$
—
—
$
(667,732)
(218,212)
$
(218,212)
$
(667,732)
$
—
$
(885,944)
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . .
Total Return Swap Contracts* . . . . . . . . . . . . . . .
Total Assets
LIABILITIES
Forward Foreign Currency Exchange
Contracts* . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures Contracts* . . . . . . . . . . . . . . . . . . . . . . . .
Total Liabilities
TOTALS
* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the
unrealized appreciation (depreciation) of the instrument.
† Please refer to the Schedule of Investments to view securities segregated by country.
AQR Funds
Semi-Annual Report
June 2013
139
Notes to Financial Statements (Unaudited)
June 30, 2013
There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments
with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
AQR INTERNATIONAL EQUITY FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . .
Forward Foreign Currency Exchange
Contracts* . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures Contracts* . . . . . . . . . . . . . . . . . . . . . . . .
Total Return Swap Contracts* . . . . . . . . . . . . . . .
Total Assets
$
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
—
—
—
—
$656,532,735
10,222,425
3,078
50,901,603
—
150,140
—
95,651
—
165,178
$150,140
$717,920,670
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
$
$
TOTALS
—
—
—
—
$656,532,735
10,222,425
3,078
50,901,603
—
—
—
95,651
150,140
165,178
—
$718,070,810
* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the
unrealized appreciation (depreciation) of the instrument.
† Please refer to the Schedule of Investments to view securities segregated by country.
There were no transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments
with a market value of zero are classified as Level 3 and considered quantitatively insignificant to the portfolio.
AQR EMERGING DEFENSIVE EQUITY FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
$2,750,298
256,876
84,182
—
$6,353,261
—
—
51,482
$
—
—
—
—
$9,103,559
256,876
84,182
51,482
$3,091,356
$6,404,743
$
—
$9,496,099
TOTALS
† Please refer to the Schedule of Investments to view securities segregated by country.
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
AQR INTERNATIONAL DEFENSIVE EQUITY
FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
$2,135,900
931,794
—
—
—
$10,103,919
—
75,128
364
296,249
$
—
—
—
—
—
$12,239,819
931,794
75,128
364
296,249
$3,067,694
$10,475,660
$
—
$13,543,354
† Please refer to the Schedule of Investments to view securities segregated by country.
140
AQR Funds
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
Semi-Annual Report
June 2013
TOTALS
Notes to Financial Statements (Unaudited)
June 30, 2013
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
AQR U.S. DEFENSIVE EQUITY FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
$19,175,342
1,788,592
—
$
—
—
799,311
$
—
—
—
$19,175,342
1,788,592
799,311
$20,963,934
$799,311
$
—
$21,763,245
† Please refer to the Schedule of Investments to view securities segregated by industry type.
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
42,012,342
10,101,663
282,105,354
204,564,254
21,500,824
—
3,819,070
—
120,664,273
2,605,825
679,448,713
—
$ 30,744,150
25,062,334
34,930,601
3,365,351
—
—
20,183,807
2,835
—
3,256,149
—
59,510
$1,189,408,481
43,459,521
317,035,955
207,929,605
21,500,824
65,179,286
24,620,502
2,835
120,664,273
28,060,724
679,448,713
31,913,684
—
4,188,279
—
1,477,817
—
37,089,946
—
—
—
1,477,817
4,188,279
37,089,946
$1,248,985,627
$1,405,390,081
$117,604,737
$2,771,980,445
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
AQR DIVERSIFIED ARBITRAGE FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . .
Convertible Preferred Stocks† . . . . . . . . . . . . .
Corporate Bonds† . . . . . . . . . . . . . . . . . . . . . . .
Convertible Bonds† . . . . . . . . . . . . . . . . . . . . . .
Bank Loans† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Closed End Funds . . . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Short-Term Investments . . . . . . . . . . . . . . . . . .
Warrants† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . .
Purchased Options . . . . . . . . . . . . . . . . . . . . . .
Forward Foreign Currency Exchange
Contracts* . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Futures Contracts* . . . . . . . . . . . . . . . . . . . . . . .
Total Return Basket Swaps Contracts* . . . . . .
$1,116,651,989
8,295,524
—
—
—
65,179,286
617,625
—
—
22,198,750
—
31,854,174
Total Assets
AQR DIVERSIFIED ARBITRAGE FUND
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
LIABILITIES
Common Stocks (Sold Short)† . . . . . . . . . . . . .
Closed End Funds (Sold Short) . . . . . . . . . . . .
Exchange-Traded Funds (Sold Short) . . . . . . .
Preferred Stocks (Sold Short)† . . . . . . . . . . . . .
Written Options (Sold Short)* . . . . . . . . . . . . . .
Credit Default Swap Contracts* . . . . . . . . . . . .
Total Liabilities
$
$ (546,033,484)
(1,373)
(21,798,327)
—
(4,622,142)
—
$
(6,109,532)
—
—
(13,572,295)
(36,274)
(4,580,074)
$
— $ (552,143,016)
—
(1,373)
—
(21,798,327)
—
(13,572,295)
(544)
(4,658,960)
—
(4,580,074)
$ (572,455,326)
$
(24,298,175)
$
(544) $ (596,754,045)
* Derivative instruments, including futures, total return basket swaps and forward foreign currency exchange contracts, are valued
at the unrealized appreciation (depreciation) of the instrument. Credit default swap and option contracts are reported at market
value.
† Please refer to the Schedule of Investments to view securities segregated by industry type.
AQR Funds
Semi-Annual Report
June 2013
141
Notes to Financial Statements (Unaudited)
June 30, 2013
Quantitative Information about Level 3 Fair Value Measurements**
FAIR VALUE AT
6/30/2013
VALUATION
TECHNIQUE(S)
UNOBSERVABLE
INPUT(S)
RANGE
Common Stocks
$5,686,950
Liquidity Discount
Underlying Price
Liquidity Discount
$0.008 — $4.20
41.95% — 50.00%
Preferred Stocks
$2,759,291
Jump Diffussion Model*
Credit Spread
Liquidity Discount
790 — 920 bps
1.73% — 5.53%
$157,920
Jump Diffussion Model*
Underlying Price
Volatility
Credit Spread
Liquidity Discount
$0.25
150.0%
3000 bps
25.0%
Convertible Preferred Stocks
Corporate Bonds
$1,304,826
Discounted Cash Flow
Model
Volitility
Credit Spread
Liquidity Discount
40.0%
1000 — 2500 bps
5.0% — 10.0%
Convertible Bonds
$3,326,611
Jump Diffussion Model*
Underlying Price
Volatility
Credit Spread
Liquidity Discount
$0.0035 — $4.80
42.0% — 75.0%
1200 — 5000 bps
1.5% — 72.5%
Warrants
$1,944,664
Black Scholes Model
Underlying Price
Volatility
Liquidity Discount
$0.0029 — $6.9
40.0% — 150.0%
10.0% — 77.5%
*
**
The Jump Diffusion Model extends the classical Black-Scholes Model by taking bankruptcy into consideration, and derives a
partial differential equation for pricing a convertible bond or stock. The essential inputs to the model are stock volatility and
default probability, which is typically approximated with credit spread.
The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2013, the value
of these securities was $102,364,966. The inputs for these securities are not readily available or cannot be reasonably
estimated and are generally those inputs described in Note 4. 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.
Level 3 values are based on significant unobservable inputs that reflect the Advisor’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 the Fund’s investments in common stocks,
corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity
discount and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially
result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair
value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a
directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common
stocks potentially include liquidity discount, theoretical value, book to value analysis and/or broker quotes. Significant
changes in any of these inputs would significantly change the fair value measurement of the position.
142
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
The following is a reconciliation of assets and liabilities in which significant unobservable inputs (Level 3) were used in
determining fair value:
COMMON
STOCKS
CONVERTIBLE
PREFERRED
STOCK
CORPORATE
BONDS
CONVERTIBLE
BONDS
Balance as of December 31, 2012 . . . . . . . . .
Accrued discounts/(premiums) . . . . . . . . . . . . .
Realized gain/(loss) . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/
(depreciation) . . . . . . . . . . . . . . . . . . . . . . . . .
Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfers in to Level 3 . . . . . . . . . . . . . . . . . . . .
Transfers out of Level 3 . . . . . . . . . . . . . . . . . . .
$ 24,333,266
—
712,956
$ 8,469,674
—
(123,854)
$ 89,519,605
(14,836)
(299,778)
$ 26,292,911
1,683
(208,994)
(195,118)
15,216,533
(28,330,194)
19,629,936
(623,229)
926,740
11,682,707
(8,066,284)
12,173,351
—
1,609,011
7,685,183
(27,761,793)
12,209,158
(48,015,949)
(1,248,958)
164,160
(21,635,451)
—
—
113,147
19,850,663
(6)
220,000
—
Balance as of June 30, 2013 . . . . . . . . . . . . . .
Change in Unrealized appreciation/
(depreciation) for securities still held at
June 30, 2013 . . . . . . . . . . . . . . . . . . . . . . . .
$ 30,744,150
$25,062,334
$ 34,930,601
$ 3,365,351
$20,183,807
$
$ 1,119,299
$ 1,237,207
$ (1,403,091)
$
AQR DIVERSIFIED ARBITRAGE FUND
281,578
AQR DIVERSIFIED ARBITRAGE FUND
PREFERRED
STOCK
$
—
—
3
113,147
SHORT
COMMON
STOCK
WRITTEN
OPTION
—
—
—
$ (32,207)
—
890,422
$ —
—
—
(1,216,682)
1,276,192
—
—
—
(858,215)
—
—
—
—
(408)
—
—
(136)
—
PURCHASED
OPTIONS
RIGHTS
WARRANTS
Balance as of December 31, 2012 . . . . . . . . . .
Accrued discounts/(premiums) . . . . . . . . . . . . . .
Realized gain/(loss) . . . . . . . . . . . . . . . . . . . . . . . .
Change in unrealized appreciation/
(depreciation) . . . . . . . . . . . . . . . . . . . . . . . . . . .
Purchases . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Transfers in to Level 3 . . . . . . . . . . . . . . . . . . . . . .
Transfers out of Level 3 . . . . . . . . . . . . . . . . . . . .
$2,835
—
—
$2,824,399
—
771,463
—
—
—
—
—
168,977
347
(778,051)
728,418
(459,404)
Balance as of June 30, 2013 . . . . . . . . . . . . . . .
Change in Unrealized appreciation/
(depreciation) for securities still held at
June 30, 2013 . . . . . . . . . . . . . . . . . . . . . . . . . .
$2,835
$3,256,149
$
59,510
$
—
$(544)
$
$ 637,018
$(1,216,682)
$
—
$(408)
AQR MOMENTUM FUND
—
$
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
$682,771,618
—
$
—
134,390,881
$
—
—
$682,771,618
134,390,881
$682,771,618
$134,390,881
$
—
$817,162,499
$
(10,558)
$
—
$
—
$
(10,558)
$
(10,558)
$
—
$
—
$
(10,558)
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . .
Total Assets
Liabilities
Futures Contracts* . . . . . . . . . . . . . . . . . . . . . . . .
Total Liabilities
TOTALS
* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument.
† Please refer to the Schedule of Investments to view securities segregated by industry type.
AQR Funds
Semi-Annual Report
June 2013
143
Notes to Financial Statements (Unaudited)
June 30, 2013
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
AQR SMALL CAP MOMENTUM FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Warrants† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . .
Futures Contracts* . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
$192,818,211
—
—
417
—
4,066
$
57,304
47,200
—
—
60,401,926
—
$14,729
—
—
—
—
—
$192,890,244
47,200
—
417
60,401,926
4,066
$192,822,694
$60,506,430
$14,729
$253,343,853
* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument.
† Please refer to the Schedule of Investments to view securities segregated by industry type.
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with
a total market value of $14,729 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The
total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3
investments still held at June 30, 2013 is $0.
AQR INTERNATIONAL MOMENTUM FUND
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
$8,264,027
—
—
—
6,817
$193,333,850
—
—
5,093,256
—
$ —
6,356
—
—
—
$201,597,877
6,356
—
5,093,256
6,817
$8,270,844
$198,427,106
$6,356
$206,704,306
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . .
Futures Contracts* . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument.
† Please refer to the Schedule of Investments to view securities segregated by country.
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with
a total market value of $6,356 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The
total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3
investments still held at June 30, 2013 is $2,020.
AQR TAX-MANAGED MOMENTUM FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
AQR Funds
TOTALS
$9,770,463
123,368
—
$
—
—
212,293
$
—
—
—
$ 9,770,463
123,368
212,293
$9,893,831
$212,293
$
—
$10,106,124
† Please refer to the Schedule of Investments to view securities segregated by industry type.
144
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
AQR TAX-MANAGED SMALL CAP
MOMENTUM FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
$4,936,987
25,261
—
$
—
—
184,088
$
—
—
—
$4,936,987
25,261
184,088
$4,962,248
$184,088
$
—
$5,146,336
† Please refer to the Schedule of Investments to view securities segregated by industry type.
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
AQR TAX-MANAGED INTERNATIONAL
MOMENTUM FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . . .
Preferred Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Rights† . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
$311,497
56,978
—
—
—
$6,243,870
—
—
—
58,493
$ —
—
237
—
—
$6,555,367
56,978
237
—
58,493
$368,475
$6,302,363
$237
$6,671,075
† Please refer to the Schedule of Investments to view securities segregated by country.
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with
a total market value of $237 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total
change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3
investments still held at June 30, 2013 is $75.
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
AQR CORE EQUITY FUND
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
TOTALS
$9,669,421
57,444
—
$
—
—
101,514
$
—
—
—
$9,669,421
57,444
101,514
$9,726,865
$101,514
$
—
$9,828,379
† Please refer to the Schedule of Investments to view securities segregated by industry type.
AQR Funds
Semi-Annual Report
June 2013
145
Notes to Financial Statements (Unaudited)
June 30, 2013
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
AQR SMALL CAP CORE EQUITY FUND
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
TOTALS
$2,740,477
14,866
—
$
—
—
28,550
$
—
—
—
$2,740,477
14,866
28,550
$2,755,343
$28,550
$
—
$2,783,893
† Please refer to the Schedule of Investments to view securities segregated by industry type.
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
AQR INTERNATIONAL CORE EQUITY FUND
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3)
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1)
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2)
$242,403
40,109
—
$3,095,383
—
34,782
$
— $3,337,786
—
40,109
—
34,782
$282,512
$3,130,165
$
— $3,412,677
ASSETS
Common Stocks† . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Exchange-Traded Funds . . . . . . . . . . . . . . . . . . . . . . .
Money Market Funds . . . . . . . . . . . . . . . . . . . . . . . . . .
Total Assets
TOTALS
† Please refer to the Schedule of Investments to view securities segregated by country.
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the
period.
5. Investment Transactions
During the period ended June 30, 2013, 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
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . .
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund . . . . . .
AQR Tax-Managed International Momentum Fund . . . .
AQR Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Core Equity Fund . . . . . . . . . . . . . . . . . .
AQR International Core Equity Fund . . . . . . . . . . . . . . . .
146
AQR Funds
PURCHASES
SALES
$ 237,918,435
205,994,836
6,577,622
14,447,582
23,777,597
4,147,275,720
319,485,852
82,396,956
183,680,586
10,597,499
2,509,367
3,086,800
17,565,186
3,508,694
5,064,886
$ 223,306,631
145,974,751
3,476,852
7,180,208
12,408,368
3,224,770,674
250,054,881
58,755,662
114,426,384
6,294,535
1,655,886
2,501,562
7,821,438
926,634
1,659,881
Semi-Annual Report
June 2013
SECURITIES
SOLD SHORT
$
—
—
—
—
—
776,549,416
—
—
—
—
—
—
—
—
—
COVERS ON
SECURITIES SOLD
SHORT
$
—
—
—
—
—
775,812,213
—
—
—
—
—
—
—
—
—
Notes to Financial Statements (Unaudited)
June 30, 2013
6. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment
objectives. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30,
2013 are as follows:
ASSETS
FUND
Equity Risk Exposure:
AQR Global Equity Fund . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . .
AQR International Momentum Fund . . . . .
LIABILITIES
SWAPS
AT VALUE
UNREALIZED
APPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS
UNREALIZED
DEPRECIATION
ON FUTURES
CONTRACTS
SWAPS
AT VALUE
$1,689,373
$49,037
3,058,956
165,178
3,231,280 37,089,946
—
—
4,066
—
6,817
—
$—
—
—
—
—
—
$1,907,585
2,908,816
—
10,558
—
—
$—
—
—
—
—
—
UNREALIZED
APPRECIATION
ON FUTURES
CONTRACTS
UNREALIZED
DEPRECIATION
ON FORWARD
CURRENCY
EXCHANGE
CONTRACTS
WRITTEN
OPTIONS
AT
MARKET
VALUE
$—
$—
—
—
— 4,658,960
—
—
—
—
—
—
Foreign Exchange Rate Risk Exposure:
AQR Global Equity Fund . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . .
—
—
—
—
—
—
2,384,546
4,697,213
1,790,160
—
—
—
—
—
—
3,052,278
4,601,562
312,343
—
—
—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund . . . . . . . . .
956,999
—
—
—
—
—
—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund . . . . . . . . .
—
—
—
—
4,580,074
—
—
Netting:
AQR Global Equity Fund . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . .
(1,689,373)
—
(2,908,816)
—
— (4,580,074)
(2,384,546)
(4,601,562)
(312,779)
(1,689,373)
—
(2,908,816)
—
— (4,580,074)
(2,384,546)
(4,601,562)
(312,779)
—
—
—
Net Fair Value of Derivative Contracts:
AQR Global Equity Fund . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . .
AQR International Momentum Fund . . . . .
—
49,037
150,140
165,178
4,188,279 32,509,872
—
—
4,066
—
6,817
—
—
95,651
1,477,817
—
—
—
AQR Funds
Semi-Annual Report
218,212
—
—
10,558
—
—
June 2013
—
—
—
—
—
—
667,732
—
—
—
— 4,658,960
—
—
—
—
—
—
147
Notes to Financial Statements (Unaudited)
June 30, 2013
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2013:
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED
AS A RESULT FROM OPERATIONS
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
WRITTEN
OPTIONS
$137,795
$—
$—
(1,062,219)
118,618
—
—
1,303,134
—
2,338,583
(25,580)
41,351,470
—
—
—
(3,715,964)
—
—
—
(23,207)
—
—
—
—
—
—
6,817
—
—
—
—
—
6,003,449
—
—
—
(6,213,999)
—
—
—
7,848,867
—
—
—
(7,441,307)
—
—
—
2,478,810
—
—
—
2,810,398
—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage
Fund . . . . . . . . . . . . . . . . . . . .
41,251
—
—
—
1,028,162
—
—
—
Credit Risk Exposure:
AQR Diversified Arbitrage
Fund . . . . . . . . . . . . . . . . . . . .
—
(6,200,615)
—
—
—
(5,329,659)
—
—
FUND
FUTURES
CONTRACTS
Equity Risk Exposure:
AQR Global Equity Fund . . . . . . $6,471,045
AQR International Equity
Fund . . . . . . . . . . . . . . . . . . . . 17,060,370
AQR Diversified Arbitrage
Fund . . . . . . . . . . . . . . . . . . . . (19,038,269)
AQR Momentum Fund . . . . . . . .
1,087,475
AQR Small Cap Momentum
Fund . . . . . . . . . . . . . . . . . . . .
419,545
AQR International Momentum
Fund . . . . . . . . . . . . . . . . . . . .
28,678
Foreign Exchange Rate Risk
Exposure:
AQR Global Equity Fund . . . . . .
AQR International Equity
Fund . . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage
Fund . . . . . . . . . . . . . . . . . . . .
SWAPS AND
SWAPS ON
FUTURES
CONTRACTS*
NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A
RESULT FROM OPERATIONS
FORWARD
CURRENCY
EXCHANGE
CONTRACTS
WRITTEN
OPTIONS
FUTURES
CONTRACTS
$(464,510)
$—
$—
$(391,194)
(2,676,377)
—
—
(28,570,794)
—
—
—
—
SWAPS AND
SWAPS ON
FUTURES
CONTRACTS*
* Swaps and swaps on futures are combined for financial reporting purposes.
For swaps, futures and forward foreign currency exchange contracts, the Funds may be required to post collateral if a
Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may
immediately terminate the position if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets
decline by stated percentages.
In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”)
No. 2011-11: Disclosures about Offsetting Assets and Liabilities (“netting”) on the Statements of Assets and Liabilities
that are subject to master netting arrangements or similar agreements. ASU 2011-11, as amended by ASU No. 2013-01
clarifying which investments and transactions are subject to the netting disclosure. The scope of the disclosure
requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and
securities borrowing and securities lending transactions to the extent they are subject to an enforceable master netting
arrangement or similar agreement. This information will enable users of the Funds’ financial statements to evaluate the
effect or potential effect of netting arrangements on the Funds’ financial position. The ASU is effective for financial
statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The
Funds adopted the disclosure requirements for the current reporting period.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types
that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities.
148
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
AQR GLOBAL EQUITY FUND
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
$1,689,373
$(1,689,373)
2,384,546
(2,384,546)
—
—
—
—
49,037
—
49,037
(49,037)
—
—
4,122,956
(4,073,919)
49,037
(49,037)
—
—
J.P. Morgan . . . . . . . . . . . Securities Lending
265,338
—
265,338
—
(265,338)
—
Total financial instruments not subject to a master
netting arrangement or similar arrangement . . . . . . .
265,338
—
265,338
—
(265,338)
—
Total financial instruments . . . . . . . . . . . .
$4,388,294
$(4,073,919)
$314,375
$(49,037)
$(265,338)
COUNTERPARTY
INVESTMENT TYPE
Barclays Capital . . . . . . . Futures Contracts
Royal Bank of
Scotland . . . . . . . . . . . . . . Forward Foreign
Currency Exchange
Contracts
Total Return Swap
Contracts
Total financial instruments subject to a master
netting arrangement or similar arrangement . . . . . . .
$
—
FINANCIAL
INSTRUMENTS
$
—
COLLATERAL
RECEIVED (a)
$
—
NET
AMOUNT
$
$
—
—
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
$1,907,585
$(1,689,373)
$218,212
3,052,278
(2,384,546)
Total financial instruments subject to a master
netting arrangement or similar arrangement . . . . . . .
4,959,863
Total financial instruments not subject to a master
netting arrangement or similar arrangement . . . . . . .
Total financial instruments . . . . . . . . . . . .
COUNTERPARTY
INVESTMENT TYPE
Barclays Capital . . . . . . . Futures Contracts
Royal Bank of
Scotland . . . . . . . . . . . . . . Forward Foreign
Currency Exchange
Contracts
FINANCIAL
INSTRUMENTS
$
COLLATERAL
PLEDGED (b)
NET
AMOUNT
—
$(218,212)
$
667,732
(49,037)
(618,695)
—
(4,073,919)
885,944
(49,037)
(836,907)
—
—
—
—
—
—
—
$4,959,863
$(4,073,919)
$885,944
$(49,037)
$(836,907)
$
—
—
(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty.
Total additional collateral received was $13,467.
(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total
additional collateral pledged was $9,276,010.
AQR Funds
Semi-Annual Report
June 2013
149
Notes to Financial Statements (Unaudited)
June 30, 2013
AQR INTERNATIONAL EQUITY FUND
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
COUNTERPARTY
INVESTMENT TYPE
Barclays Capital . . . . . . . Futures Contracts
Royal Bank of
Scotland . . . . . . . . . . . . . Forward Foreign
Currency Exchange
Contracts
GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
$3,058,956
$(2,908,816)
$150,140
4,697,213
(4,601,562)
95,651
165,178
—
Total Return Swap
Contracts
Total financial instruments subject to a master
netting arrangement or similar arrangement . . . . . . .
FINANCIAL
INSTRUMENTS
$
—
COLLATERAL
RECEIVED (a)
$
NET
AMOUNT
—
$150,140
—
—
95,651
165,178
—
—
165,178
7,921,347
(7,510,378)
410,969
—
—
410,969
J.P. Morgan . . . . . . . . . . . Securities Lending
55,655
—
55,655
—
(55,655)
—
Total financial instruments not subject to a master
netting arrangement or similar arrangement . . . . . . .
55,655
—
55,655
—
(55,655)
—
Total financial instruments . . . . . . . . . . . .
$7,977,002
$(7,510,378)
$466,624
—
$(55,655)
$410,969
$
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
COUNTERPARTY
INVESTMENT TYPE
Barclays Capital . . . . . . . Futures Contracts
Royal Bank of
Scotland . . . . . . . . . . . . . Forward Foreign
Currency Exchange
Contracts
GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
$2,908,816
$(2,908,816)
NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
$
—
FINANCIAL
INSTRUMENTS
$
—
COLLATERAL
PLEDGED (b)
$
—
NET
AMOUNT
$
—
4,601,562
(4,601,562)
—
—
—
—
Total financial instruments subject to a master
netting arrangement or similar arrangement . . . . . . .
7,510,378
(7,510,378)
—
—
—
—
Total financial instruments not subject to a master
netting arrangement or similar arrangement . . . . . . .
—
—
—
—
—
—
Total financial instruments . . . . . . . . . . . .
$7,510,378
$(7,510,378)
$
—
$
—
$
—
$
—
(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty.
Total additional collateral received was $5,193.
(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total
additional collateral pledged was $16,304,766.
150
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
AQR DIVERSIFIED ARBITRAGE FUND
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
COUNTERPARTY
GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
INVESTMENT TYPE
Barclays Capital . . . . Futures Contracts
Deutsche Bank . . . . . Total Return Basket
Swaps Contracts
J.P. Morgan . . . . . . . Futures Contracts
Total Return Basket
Swaps Contracts
Royal Bank of
Scotland . . . . . . . . . . Forward Foreign
Currency Exchange
Contracts
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
$
Total financial instruments subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . .
3,231,280 $
—
NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
$
3,231,280 $
FINANCIAL
INSTRUMENTS
—
COLLATERAL
RECEIVED (a)
NET
AMOUNT
—
$ 3,231,280
$
98,082
956,999
—
—
98,082
956,999
—
—
—
—
98,082
956,999
36,991,864
—
36,991,864
—
—
36,991,864
1,790,160
(312,343)
1,477,817
—
(1,477,817)
—
43,068,385
(312,343)
42,756,042
—
(1,477,817)
41,278,225
J.P. Morgan . . . . . . . Securities Lending
51,999
—
51,999
—
(51,999)
—
Total financial instruments not subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . .
51,999
—
51,999
—
(51,999)
—
42,808,041 $
—
Total financial instruments . . . . . $ 43,120,384 $
(312,343) $
$ (1,529,816) $41,278,225
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
COUNTERPARTY
GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
INVESTMENT TYPE
Bank of America . . . . Credit Default Swap
Contracts
CitiBank . . . . . . . . . . . Credit Default Swap
Contracts
J.P. Morgan . . . . . . . Written Options
Royal Bank of
Scotland . . . . . . . . . . Forward Foreign
Currency Exchange
Contracts
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
$
38,115 $
—
NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
$
38,115 $
FINANCIAL
INSTRUMENTS
—
COLLATERAL
PLEDGED (b)
$
(622) $
NET
AMOUNT
37,493
4,541,959
4,658,960
—
—
4,541,959
4,658,960
—
—
(4,541,959)
—
—
4,658,960
312,343
(312,343)
—
—
—
—
Total financial instruments subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . .
9,551,377
(312,343)
9,239,034
—
(4,542,581)
4,696,453
Total financial instruments not subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . . .
—
—
—
—
—
—
Total financial instruments . . . . . $
9,551,377 $
(312,343) $
9,239,034 $
—
$ (4,542,581) $ 4,696,453
(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty.
Total additional collateral received was $215,737.
(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total
additional collateral pledged was $316,176,051.
AQR Funds
Semi-Annual Report
June 2013
151
Notes to Financial Statements (Unaudited)
June 30, 2013
AQR MOMENTUM FUND
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
INVESTMENT TYPE
GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
J.P. Morgan . . . . . . . . . Securities Lending
$117,442,602
$
COUNTERPARTY
Total financial instruments not subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
117,442,602
Total financial instruments . . . . . . . . .
$117,442,602
$
NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
—
$117,442,602
—
117,442,602
—
$117,442,602
FINANCIAL
INSTRUMENTS
$
$
COLLATERAL
RECEIVED (a)
—
$(117,442,602)
—
(117,442,602)
—
$(117,442,602)
NET
AMOUNT
$
—
—
$
—
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
INVESTMENT TYPE
GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
Barclays Capital . . . . . . Futures Contracts
$10,558
COUNTERPARTY
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
—
$10,558
10,558
—
—
Total financial instruments subject to a master
netting arrangement or similar arrangement . . . .
Total financial instruments not subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Total financial instruments . . . . . . . . .
$10,558
$
NET AMOUNTS
OF LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
$
FINANCIAL
INSTRUMENTS
$
COLLATERAL
PLEDGED (b)
NET
AMOUNT
—
$(10,558)
10,558
—
(10,558)
—
—
—
—
—
—
—
$10,558
—
$(10,558)
$
$
$
—
—
(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty.
Total additional collateral received was $3,596,114.
(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total
additional collateral pledged was $204,355.
152
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
AQR SMALL CAP MOMENTUM FUND
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
COUNTERPARTY
GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
INVESTMENT TYPE
Barclays Capital . . . . Futures Contracts
$
4,066
Total financial instruments subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . .
NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
$
—
$
4,066
FINANCIAL
INSTRUMENTS
$
—
COLLATERAL
RECEIVED (a)
$
—
NET
AMOUNT
$
4,066
4,066
—
4,066
—
—
4,066
J.P. Morgan . . . . . . . . Securities Lending
54,406,226
—
54,406,226
—
(54,406,226)
—
Total financial instruments not subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . . .
54,406,226
—
54,406,226
—
(54,406,226)
—
Total financial instruments . . . . . .
$ 54,410,292
—
$ (54,406,226)
$
—
$
54,410,292
$
$
4,066
(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty.
Total additional collateral received was $2,615,587. In addition, collateral pledged to the counterparty was $42,751.
AQR INTERNATIONAL MOMENTUM FUND
GROSS AMOUNTS NOT
OFFSET IN THE STATEMENT
OF ASSETS & LIABILITIES
COUNTERPARTY
GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
INVESTMENT TYPE
Barclays Capital . . . . Futures Contracts
$
6,817 $
—
6,817
J.P. Morgan . . . . . . . Securities Lending
Total financial instruments not subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . .
Total financial instruments subject to a
master netting arrangement or similar
arrangement . . . . . . . . . . . . . . . . . . . . . . . . . .
Total financial instruments . . . . . $
NET AMOUNTS
OF ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES
GROSS
AMOUNTS
OFFSET IN THE
STATEMENT
OF ASSETS &
LIABILITIES
6,817 $
—
—
6,817
318,122
—
318,122
—
324,939
$
—
$
FINANCIAL
INSTRUMENTS
$
COLLATERAL
RECEIVED (a)
—
$ 6,817
—
—
6,817
318,122
—
(318,122)
—
318,122
—
(318,122)
—
324,939
$
—
$
NET
AMOUNT
$
(318,122)
$
6,817
(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty.
Total additional collateral received was $19,043. In addition, collateral pledged to the counterparty was $44,678.
AQR Funds
Semi-Annual Report
June 2013
153
Notes to Financial Statements (Unaudited)
June 30, 2013
For the period ended June 30, 2013, the quarterly average values of the derivatives held by the Funds were as follows:
AQR
AQR
AQR
DIVERSIFIED
AQR SMALL CAP INTERNATIONAL
MOMENTUM
ARBITRAGE MOMENTUM MOMENTUM
FUND
FUND
FUND
FUND
AQR
GLOBAL
AQR
EQUITY INTERNATIONAL
FUND
EQUITY FUND
Futures Contracts*
Average Notional Balance
Long . . . . . . . . . . . . . . . . . . $107,679,878
Average Notional Balance
Short . . . . . . . . . . . . . . . . . . 69,678,060
—
$5,233,702
$1,533,070
$983,820
79,270,580
521,801,169
—
—
—
332,633,102
268,426,038
25,934,488
144,454,262
—
—
—
—
—
—
—
—
1,839,724
—
—
—
Credit Default Swaps*
Average Notional Balance —
Buy Protection . . . . . . . . .
Average Notional Balance —
Sell Protection . . . . . . . . . .
—
—
276,570,250
—
—
—
—
—
114,796,833
—
—
—
Total Return Swaps*
Average Notional Balance —
Long . . . . . . . . . . . . . . . . . .
Average Notional Balance —
Short . . . . . . . . . . . . . . . . . .
8,649,410
—
—
—
—
—
5,038,391
13,150,085
—
—
—
—
Total Return Basket Swaps*
Average Notional of
Underlying Positions —
Long . . . . . . . . . . . . . . . . . .
Average Notional of
Underlying Positions —
Short . . . . . . . . . . . . . . . . . .
—
—
1,188,104,717
—
—
—
—
—
877,061,105
—
—
—
Forward Foreign Currency
Exchange Contracts*
Average Value Purchased . . . 191,665,990
Average Value Sold . . . . . . . . 185,639,706
Exchange-Traded Options*
Average Value of Contracts
Written . . . . . . . . . . . . . . . .
$163,172,307 $
* Values as of each quarter end are used to calculate the average represented.
The Funds’ derivative contracts held at June 30, 2013, are not accounted for as hedging instruments under GAAP.
7. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement,
dated December 4, 2008, as amended, or an Investment Management Agreement, dated June 10, 2010, as amended,
entered into by the Trust, on behalf of the Funds (together, the “Advisory Agreement”). Under the Advisory Agreement,
the Advisor furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment
decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The
Advisor is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio
transactions of each Fund, subject to its obligation to seek best execution. The Advisor provides persons satisfactory to
154
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the
Advisor a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND
RATIO
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.40%
0.45
0.60*
0.40**
0.30***
1.00
0.25
0.35
0.35
0.30
0.40
0.40
0.30
0.45
0.40
*
The AQR Emerging Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges
0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion;
and the third tier charges 0.55% on net assets in excess of $3 billion.
** The AQR International Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges
0.40% on the first $1 billion of net assets; the second tier charges 0.375% on net assets in excess of $1 billion, up to $3 billion;
and the third tier charges 0.35% on net assets in excess of $3 billion.
*** The AQR U.S. Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.30% on
the first $1 billion of net assets; the second tier charges 0.275% on net assets in excess of $1 billion, up to $3 billion; and the
third tier charges 0.25% on net assets in excess of $3 billion.
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor
has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2014, unless otherwise noted. The
Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense
ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired
fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the
following ratios:
FUND
CLASS I
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Core Equity Fund* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Core Equity Fund* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Core Equity Fund* . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
0.95%
—
0.90
0.65
0.49
1.20
—
—
—
—
—
—
—
—
—
CLASS L
—%
—
—
—
—
—
0.49
0.65
0.65
0.54
0.70
0.70
0.54
0.75
0.70
CLASS N
1.25%
1.30
1.15
0.90
0.74
1.50
0.74
0.90
0.90
0.79
0.95
0.95
0.79
1.00
0.95
* This arrangement will continue at least through April 30, 2015 for Class L and N.
AQR Funds
Semi-Annual Report
June 2013
155
Notes to Financial Statements (Unaudited)
June 30, 2013
The Trust and the Advisor had previously entered into a Fee Waiver and Expense Reimbursement Agreement whereby
the Advisor had agreed to waive its fee and/or reimburse each Fund from January 1, 2013 through April 30, 2013 for
AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and
AQR U.S. Defensive Equity Fund. The Advisor had agreed to waive and/or reimburse the Funds to the extent that the
total annual fund operating expense ratios exclusive of interest, taxes, borrowing costs, acquired fund fees and
expenses, dividend expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND
CLASS I
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CLASS L
1.00%
1.15
0.90
0.75
—%
1.40
1.15
1.00
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such
repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense
reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the
aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made
to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can
be made during the thirty six months following the applicable period during which the Advisor waived fees or reimbursed
the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 2013, the amounts waived and reimbursed by the Advisor, as well as the amounts
available for potential future recoupment by the Advisor and the expiration schedule at June 30, 2013 are as follows:
FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
JUNE 30, 2013
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 6,227
5,713
—
$ 46,214
47,569
196,805
Totals
$11,940
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class Y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
Totals
$
POTENTIAL RECOUPMENT
AMOUNTS EXPIRING
DECEMBER 31
2013
2014
2015
2016
$
—
—
196,805
$30,212
31,920
—
$
9,775
9,936
—
$ 6,227
5,713
—
$290,588
$196,805
$62,132
$ 19,711
$11,940
—
—
—
$
$
9,533
19,745
199,346
$
—
11,477
—
$
—
—
—
$
—
—
—
—
$240,101
$228,624
$11,477
$
—
$
—
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$61,425
19,072
$153,185
51,787
$
—
—
$
—
—
$ 91,760
32,715
$61,425
19,072
Totals
$80,497
$204,972
$
—
$
—
$124,475
$80,497
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$69,660
14,076
$149,601
57,551
$
—
—
$
—
—
$ 79,941
43,475
$69,660
14,076
Totals
$83,736
$207,152
$
—
$
—
$123,416
$83,736
AQR GLOBAL EQUITY FUND
AQR INTERNATIONAL EQUITY FUND
9,533
31,222
199,346
AQR EMERGING DEFENSIVE EQUITY FUND
AQR INTERNATIONAL DEFENSIVE EQUITY
FUND
156
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
JUNE 30, 2013
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 50,409
12,578
$ 115,747
51,407
$
—
—
Totals
$ 62,987
$ 167,154
$
—
Class I . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$
—
—
$1,384,501
8,388
Totals
$
—
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Totals
POTENTIAL RECOUPMENT
AMOUNTS EXPIRING
DECEMBER 31
2013
2014
2015
2016
$
—
—
$ 65,338
38,829
$ 50,409
12,578
$
—
$104,167
$ 62,987
$129,192
8,388
$1,027,719
—
$227,590
—
$
—
—
$1,392,889
$137,580
$1,027,719
$227,590
$
—
$199,932
39,908
$1,118,067
41,064
$165,059
—
$ 418,356
—
$334,720
1,156
$199,932
39,908
$239,840
$1,159,131
$165,059
$ 418,356
$335,876
$239,840
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 38,492
13,833
$ 452,837
14,353
$168,573
—
$ 171,630
—
$ 74,142
520
$ 38,492
13,833
Totals
$ 52,325
$ 467,190
$168,573
$ 171,630
$ 74,662
$ 52,325
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 73,156
13,412
$ 710,163
13,932
$266,187
—
$ 230,607
—
$140,213
520
$ 73,156
13,412
Totals
$ 86,568
$ 724,095
$266,187
$ 230,607
$140,733
$ 86,568
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 49,587
9,668
$ 172,703
9,729
$
—
—
$
—
—
$123,116
61
$ 49,587
9,668
Totals
$ 59,255
$ 182,432
$
—
$
—
$123,177
$ 59,255
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 53,341
10,100
$ 181,216
10,152
$
—
—
$
—
—
$127,875
52
$ 53,341
10,100
Totals
$ 63,441
$ 191,368
$
—
$
—
$127,927
$ 63,441
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 66,278
9,966
$ 227,212
10,029
$
—
—
$
—
—
$160,934
63
$ 66,278
9,966
Totals
$ 76,244
$ 237,241
$
—
$
—
$160,997
$ 76,244
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 34,947
14,332
$
34,947
14,332
$
—
—
$
—
—
$
—
—
$ 34,947
14,332
Totals
$ 49,279
$
49,279
$
—
$
—
$
—
$ 49,279
AQR U.S. DEFENSIVE EQUITY FUND
AQR DIVERSIFIED ARBITRAGE FUND
AQR MOMENTUM FUND
AQR SMALL CAP MOMENTUM FUND
AQR INTERNATIONAL MOMENTUM
FUND
AQR TAX-MANAGED MOMENTUM
FUND
AQR TAX-MANAGED SMALL CAP
MOMENTUM FUND
AQR TAX-MANAGED INTERNATIONAL
MOMENTUM FUND
AQR CORE EQUITY FUND
AQR Funds
Semi-Annual Report
June 2013
157
Notes to Financial Statements (Unaudited)
June 30, 2013
FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
JUNE 30, 2013
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$27,213
23,230
$27,213
23,230
$
—
—
$
—
—
Totals
$50,443
$50,443
$
—
$
Class L . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Class N . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$32,104
25,104
$32,104
25,104
$
—
—
Totals
$57,208
$57,208
$
—
POTENTIAL RECOUPMENT
AMOUNTS EXPIRING
DECEMBER 31
2013
2014
2015
2016
$
—
—
$27,213
23,230
—
$
—
$50,443
$
—
—
$
—
—
$32,104
25,104
$
—
$
—
$57,208
AQR SMALL CAP CORE EQUITY FUND
AQR INTERNATIONAL CORE EQUITY FUND
The Advisor has agreed to forgo future recoupments incurred in the current period pertaining to Shareholder Servicing
Fee Waivers expiring on December 31, 2013 of $447,840 and $429,810 for the AQR Global Equity Fund and AQR
International Equity Fund, respectively.
During the period ended June 30, 2013, the Funds recouped amounts as follows:
FUND
CLASS I
CLASS N
CLASS Y
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Diversified Arbitrage Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$16,887
—
$
—
45,569
$46,804
—
Pursuant to the Sub-Advisory Agreement between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the
Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% of the average daily net assets for AQR
Diversified Arbitrage Fund.
J.P. Morgan Investor Services Co., serves as the Funds’ Administrator and Accounting Agent and JPMorgan Chase
Bank, N.A., serves as Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’
Distributor.
8. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the
Class N shares of the Funds, as applicable. The Plan allows for the payment of services related to the distribution and
servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares
of the Funds, as applicable.
9. Shareholder Service Plan
Pursuant to a Shareholder Services Agreement, between the Trust (excluding the AQR Diversified Arbitrage Fund) and
the Advisor, the Advisor provides a wide range of services to the Funds and their shareholders. These services include,
among others, access to performance information reporting, analysis and explanations of Fund reports as well as
electronic access to Fund information. Under this agreement the Advisor receives an annual fee, payable monthly,
calculated on the average daily net assets of each Class at the following rates:
FUND
CLASS I
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
158
AQR Funds
Semi-Annual Report
June 2013
0.30%
0.30
CLASS L
—%
—
CLASS N
0.35%
0.35
Notes to Financial Statements (Unaudited)
June 30, 2013
FUND
CLASS I
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
CLASS L
0.25%
0.25
0.25
—
—
—
—
—
—
—
—
—
—%
—
—
0.15
0.15
0.15
0.15
0.15
0.15
0.15
0.15
0.15
CLASS N
0.25%
0.25
0.25
0.15
0.15
0.15
0.15
0.15
0.15
0.15
0.15
0.15
In addition, the Advisor may, from time to time, compensate third parties (including financial intermediaries) from the fees
the Advisor receives under the Shareholder Services Agreement for non-distribution shareholder services such third
parties provide to clients or customers that are shareholders of the Funds. Fees incurred by the Funds under the Plan
and/or the shareholder services agreement for the period ended June 30, 2013, were as follows:
FUND
CLASS I
CLASS L
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Emerging Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR U.S. Defensive Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Small Cap Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
$ 1,323
311,251
7,986
11,015
15,965
—
—
—
—
—
—
—
—
—
$
—
—
—
—
—
422,945
130,129
118,592
5,792
3,073
4,717
1,594
502
656
CLASS N
$ 1,054
29,421
1,735
1,102
1,946
51,432
63
11,045
61
61
60
306
415
482
10. Purchases and Redemption of Shares
Investors may purchase shares of a Fund at their net asset value (“NAV”), based on the next calculation of the NAV after
the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase
shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global
Equity and AQR International Equity Funds’ Class Y shares charge subscription and redemption fees of 0.10% each,
regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds reserved the right to charge a
redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee
was eliminated for Class I, Class N and Class L Shares.
11. Risks and Concentrations
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading
on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and
entering into other forms of direct and indirect borrowing.
There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue
to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic
conditions also could increase funding costs, limits access to the capital markets or result in a decision by lenders not to
extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse
consequences in instances where they have borrowed money based on the market value of those assets. A decrease in
market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post
additional collateral or otherwise sell assets at a time when it may not be the Funs best interest to do so.
AQR Funds
Semi-Annual Report
June 2013
159
Notes to Financial Statements (Unaudited)
June 30, 2013
The counterparties to the Funds’ currency forward, futures, option and swap contracts and repurchase and reverse
repurchase agreements include affiliates of the Funds clearing brokers and other major financial institutions. While the
Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held
and transactions with a limited number of clearing brokers and counterparties.
By using derivative instruments, the Funds are exposed to the counterparty’s credit risk, the risk that derivative
counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral
received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized
gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The Funds minimize
counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting
arrangements and managing margin and collateral requirements, as appropriate.
The Funds may have elements of risk not typically associated with investments in the United States of America due to
concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such
concentrations may subject the Funds to additional risks resulting from political or economic conditions in such
countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could
cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S.
companies.
Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index
swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap
agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and
Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of
Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the
net asset value of the Fund.
The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible
securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market
values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates
decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the
issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined
price at which the convertible security could be exchanged for the associated stock.
Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest
rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio
generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to
prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk);
and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of
slower than expected principal payments (extension risk).
Credit risk is the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or
principal when due, because the issuer of the security experiences a decline in its financial status. The Funds’
investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated
securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which
could have a negative impact on the Funds’ net asset value or dividends.
As of June 30, 2013, a substantial portion of the AQR Global Equity, AQR International Equity, AQR Emerging Defensive
Equity, AQR International Defensive Equity, AQR International Momentum, AQR Tax-Managed International Momentum
and AQR International Core Equity Funds’ net assets consisted of issuers that are denominated in foreign currencies.
Changes in currency exchange rates will affect the value of and investment income from such securities.
As of June 30, 2013, the AQR Diversified Arbitrage Fund had pledged a substantial portion of its assets for securities
sold short to JPMorgan Chase Bank, N.A.
160
AQR Funds
Semi-Annual Report
June 2013
Notes to Financial Statements (Unaudited)
June 30, 2013
12. Line of Credit
Effective March 1, 2013 and terminating on March 1, 2014, the Trust had renewed a committed, $150,000,000
syndicated line of credit with Bank of America, N.A., as the Administrative Agent. Borrowings, if any, under this
arrangement bore interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate and (ii) the
Eurodollar Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund
was the lesser of an amount which did not exceed the borrowing limits set forth in the Fund’s Prospectus and/or
Registration Statement and did not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The
agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a
draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid
in full. For the period ended June 30, 2013, the Funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 2013, the Funds had individual shareholder accounts owning more than 5% of the total shares
outstanding of the Fund as follows:
NUMBER OF
SHAREHOLDERS
FUND
AQR Global Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR International Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed Small Cap Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
AQR Tax-Managed International Momentum Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
3
3
2
3
3
TOTAL
PERCENTAGE
INTEREST
HELD
93.35%
58.04%
21.06%
54.09%
36.71%
Significant shareholder transactions by these shareholders, if any, may impact the Fund’s performance.
14. 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 that would require accrual or disclosure.
15. Change in Fiscal Year End
In May 2013, the Board of Trustees approved a change in the fiscal year end for the AQR Global Equity Fund, AQR
International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund, AQR U.S.
Defensive Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund,
AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund, AQR Tax-Managed International
Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund
from December 31 to September 30, effective September 30, 2013.
AQR Funds
Semi-Annual Report
June 2013
161
Fund Expense Examples (Unaudited)
As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including
management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in
dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period
as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information
together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your
account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number under the heading entitled “Expenses Paid for the Period Ended 6/30/13” 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
6/30/13
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD
EXPENSES
PAID FOR THE
PERIOD
ENDING
6/30/13
$1,000.00
$1,000.00
$1,098.70
$1,020.08
0.95%
0.95%
$4.94
$4.76
$1,000.00
$1,000.00
$1,097.20
$1,018.60
1.25%
1.25%
$6.50
$6.26
$1,000.00
$1,000.00
$1,101.30
$1,022.41
0.47%
0.47%
$2.50
$2.41
$1,000.00
$1,000.00
$1,051.80
$1,020.33
0.90%
0.90%
$4.58
$4.51
$1,000.00
$1,000.00
$1,049.90
$1,018.50
1.27%
1.27%
$6.45
$6.36
$1,000.00
$1,000.00
$1,054.20
$1,022.07
0.54%
0.54%
$2.80
$2.76
AQR Global Equity Fund
Class I
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
Class Y
Actual Return
Hypothetical Return
AQR International Equity Fund
Class I
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
Class Y
Actual Return
Hypothetical Return
162
AQR Funds
Semi-Annual Report
June 2013
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
6/30/13
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD
EXPENSES
PAID FOR THE
PERIOD
ENDING
6/30/13
$1,000.00
$1,000.00
$927.70
$1,019.59
1.05%
1.05%
$5.02
$5.26
$1,000.00
$1,000.00
$927.70
$1,018.15
1.35%
1.35%
$6.40
$6.71
$1,000.00
$1,000.00
$1,031.90
$1,020.88
0.79%
0.79%
$3.98
$3.96
$1,000.00
$1,000.00
$1,029.90
$1,019.54
1.06%
1.06%
$5.34
$5.31
$1,000.00
$1,000.00
$1,149.60
$1,021.67
0.63%
0.63%
$3.36
$3.16
$1,000.00
$1,000.00
$1,148.30
$1,020.33
0.90%
0.90%
$4.79
$4.51
$1,000.00
$1,000.00
$1,011.80
$1,018.84
1.20%
1.20%
$5.99
$6.01
$1,000.00
$1,000.00
$1,010.00
$1,017.55
1.45%
1.45%
$7.28
$7.30
$1,000.00
$1,000.00
$1,128.30
$1,022.36
0.49%
0.49%
$2.59
$2.46
$1,000.00
$1,000.00
$1,127.10
$1,021.12
0.74%
0.74%
$3.90
$3.71
$1,000.00
$1,000.00
$1,179.50
$1,021.57
0.65%
0.65%
$3.51
$3.26
$1,000.00
$1,000.00
$1,177.70
$1,020.33
0.90%
0.90%
$4.86
$4.51
AQR Emerging Defensive Equity Fund
Class I
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR International Defensive Equity Fund
Class I
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR U.S. Defensive Equity Fund
Class I
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Diversified Arbitrage Fund
Class I
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Momentum Fund
Class L
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Small Cap Momentum Fund
Class L
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Funds
Semi-Annual Report
June 2013
163
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
6/30/13
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD
EXPENSES
PAID FOR THE
PERIOD
ENDING
6/30/13
$1,000.00
$1,000.00
$1,064.20
$1,021.57
0.65%
0.65%
$3.33
$3.26
$1,000.00
$1,000.00
$1,063.50
$1,020.33
0.90%
0.90%
$4.60
$4.51
$1,000.00
$1,000.00
$1,128.50
$1,022.07
0.54%
0.54%
$2.90
$2.76
$1,000.00
$1,000.00
$1,126.70
$1,020.83
0.79%
0.79%
$4.22
$4.01
$1,000.00
$1,000.00
$1,191.90
$1,021.32
0.70%
0.70%
$3.80
$3.51
$1,000.00
$1,000.00
$1,189.20
$1,020.08
0.95%
0.95%
$5.16
$4.76
$1,000.00
$1,000.00
$1,065.80
$1,021.32
0.70%
0.70%
$3.59
$3.51
$1,000.00
$1,000.00
$1,064.10
$1,020.08
0.95%
0.95%
$4.86
$4.76
$1,000.00
$1,000.00
$1,045.00
$1,022.12
0.54%
0.54%
$1.47(a)
$2.71
$1,000.00
$1,000.00
$1,045.00
$1,020.88
0.79%
0.79%
$2.15(a)
$3.96
$1,000.00
$1,000.00
$1,079.00
$1,021.08
0.75%
0.75%
$2.07(a)
$3.76
$1,000.00
$1,000.00
$1,078.00
$1,019.84
1.00%
1.00%
$2.76(a)
$5.01
AQR International Momentum Fund
Class L
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Tax-Managed Momentum Fund
Class L
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Tax-Managed Small Cap Momentum
Fund
Class L
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Tax-Managed International
Momentum Fund
Class L
Actual Return
Hypothetical Return
Class N
Actual Return
Hypothetical Return
AQR Core Equity Fund
Class L (1)
Actual Return
Hypothetical Return
Class N (1)
Actual Return
Hypothetical Return
AQR Small Cap Core Equity Fund
Class L (1)
Actual Return
Hypothetical Return
Class N (1)
Actual Return
Hypothetical Return
164
AQR Funds
Semi-Annual Report
June 2013
EXPENSES
PAID FOR THE
PERIOD
ENDING
6/30/13
BEGINNING
ACCOUNT
DATE
VALUE
ENDING
ACCOUNT
VALUE
6/30/13
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD
$1,000.00
$1,000.00
$1,023.00
$1,021.32
0.70%
0.70%
$1.88(a)
$3.51
$1,000.00
$1,000.00
$1,022.00
$1,020.08
0.95%
0.95%
$2.55(a)
$4.76
AQR International Core Equity Fund
Class L (1)
Actual Return
Hypothetical Return
Class N (1)
Actual Return
Hypothetical Return
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period,
multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).
(1) Commencement of operations was March 26, 2013.
(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period,
multipled by 97/365 (to reflect the period since commencement of operations).
AQR Funds
Semi-Annual Report
June 2013
165
Board Approval of Investment Advisory Agreements (Unaudited)
AQR Global Equity Fund, AQR International Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum
Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap
Momentum Fund and AQR Tax-Managed International Momentum Fund
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds
(the “Trust”) met in person on February 21-22, 2013, to consider the continuation of the Investment Advisory Agreement
between the Trust, on behalf of AQR Global Equity Fund, AQR International Equity Fund, AQR Momentum Fund, AQR
Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR TaxManaged Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund and AQR Capital
Management, LLC (“AQR”) (the “Investment Advisory Agreement”). In addition, the Board Members who are not
“interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent
Board Members”), had had a separate call in advance of the in person meeting held on February 21-22, 2013 with
independent legal counsel to review the materials provided and the relevant legal considerations (together with the in
person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the
Board requested, reviewed, and considered materials furnished by AQR relevant to the Board’s consideration of whether
to approve the continuation of the Investment Advisory Agreement. These materials included: (i) memoranda and
materials prepared by AQR, describing personnel and services provided to the Funds; (ii) performance information for
the Funds relevant to the consideration of the Investment Advisory Agreement; (iii) information independently compiled
and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses; (iv) a discussion
of the financial statements of AQR; and (v) a discussion of the compliance program and the regulatory exam history of
AQR. AQR is referred to herein as the “Advisor”.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members,
unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period. In
approving the continuation of the Investment Advisory Agreement, the Board considered all factors it believed to be
relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be
provided by the Advisor; (b) the investment performance of the Funds and the Advisor’s portfolio management; (c) the
advisory fee and the cost of the services and profits to be realized by the Advisor from the relationship with the Funds;
(d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the
valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Advisor and its affiliates from
their relationship with the Funds and advice from independent legal counsel with respect to the review process and
materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each
Board Member may have attributed different weights to the various items considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the
Investment Advisory Agreement:
The Nature, Extent and Quality of the Services Provided by the Advisor. The Board Members reviewed the services
that the Advisor provides to the Funds under the Investment Advisory Agreement. The Board considered the size and
experience of the Advisor’s staff, its use of technology, and the Funds’ investment objectives, strategies and processes.
The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment
advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with
officers of the Advisor regarding the management of each Fund’s investments in accordance with the Funds’ stated
investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During
these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the
Advisor regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential
risks. The Board considered information about how portfolio managers are compensated by the Advisor.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also
provides shareholder and administrative services, fund accounting, and marketing services, as well as provides
assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In
particular, the Board Members reviewed the compliance and administrative services to be provided to the Funds by
AQR. The Board also reviewed a wide range of services to be provided to certain of the Funds’ shareholders under a
shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing
information and services to Fund shareholders, including professional and informative reporting, access to analysis and
explanations of Fund reports, and electronic access to Fund information.
166
AQR Funds
Semi-Annual Report
June 2013
Board Approval of Investment Advisory Agreements (Unaudited)
The Independent Board Members had an opportunity to meet outside the presence of management in executive session
separately with counsel to discuss and consider the Investment Advisory Agreement. Based on the presentations and
materials at the Meetings, the Board concluded that the continuation of the Investment Advisory Agreement was in the
best interests of the Funds.
Investment Performance of the Funds and the Advisor’s Portfolio Management. The Board considered the
investment performance of each Fund. In particular, the Independent Board Members considered the investment
performance of the Funds relative to their stated objectives and the Advisor’s success in reaching such goals as well as
the performance of the Funds relative to their peers. The Board also considered the Advisor’s performance in managing
other registered investment companies and private funds, noting that other funds the Advisor manages might have
investment objectives, policies or restrictions different from those of the Funds.
The Advisory Fee and the Cost of the Services and Profits to be Realized by the Advisor from the Relationship
with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding
the management fees to be paid by the Funds to the Advisor pursuant to the Investment Advisory Agreement. The Board
examined this information in order to determine the reasonableness of the fees in light of the nature and quality of
services provided to the Funds.
To assist in this analysis, the Board received materials independently prepared by Morningstar (“Morningstar Report”).
The Morningstar Report illustrated comparative fee information for each Fund’s Morningstar category, including expense
comparisons of contractual management fees and actual net expenses. The Board also received and reviewed
information regarding the profitability of the Advisor with respect to Fund-related activities and the Advisor’s
methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors
including, among other things, fee waivers and expense reimbursements by the Advisor, the types of funds managed,
expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’s unaudited financial statements. The purpose of the review was to help the
Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality
services to the Funds and attract and retain high quality employees.
The Board concluded that the management fees are reasonable.
Economies of Scale. The Advisor provided to the Board information concerning the extent to which economies of scale
were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted
that none of the Funds currently have breakpoints in their advisory fees that would allow investors to benefit directly in
the form of lower fees as fund assets grew. However, the Advisor presented information to show that the fees were set
at a level that is competitive relative to comparable funds. The Board considered that the funds in the AQR fund complex
share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to
incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Advisor’s overall
operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Advisor or its affiliates may
derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding
the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor is responsible for decisions to
buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of
trade orders among the firms’ various advisory clients. The Board noted that the Advisor does not presently intend to
make use of soft dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and
disclosure of investment advisory agreements. No single factor was determinative to the decision of the Board. Based
on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the
Independent Board Members, concluded that the advisory fee rates and total expense ratios are reasonable in relation to
the services provided by the Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor
in providing such services, including the investment advisory and administrative components. The Board also found the
investment advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds. As
a result, all of the Board Members, including the Independent Board Members, approved the continuation of the
Investment Advisory Agreement with respect to the Funds. The Independent Board Members were represented by
counsel who assisted them in their deliberations.
AQR Funds
Semi-Annual Report
June 2013
167
Board Approval of Investment Advisory Agreements (Unaudited)
AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund
Additionally, the Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the
AQR Funds (the “Trust”) met in person on February 21-22, 2013, to consider the approval of the investment advisory
agreement between the Trust, on behalf of the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR
International Core Equity Fund (together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (the “Investment
Advisory Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment
Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had a separate call in advance
of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided
and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the
“Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials
furnished by AQR relevant to the Board’s consideration of whether to approve the Investment Advisory Agreement.
These materials included: (1) memoranda and materials provided by AQR, describing the personnel and services to be
provided to the Funds; (2) performance information for strategies and model portfolios relevant to the consideration of
the Investment Advisory Agreement; (3) information independently compiled and prepared by Morningstar Associates,
LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial statements of
AQR and the regulatory exam history; and (5) a discussion of the compliance program and the regulatory exam history of
AQR. AQR is referred to herein as the “Advisor,” as applicable.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members,
unanimously approved the Investment Advisory Agreement for an initial two-year period. The Board considered all
factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and
quality of the services to be provided by the Advisor; (b) the investment performance of the Advisor and the Advisor’s
portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor from the
relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as the services related to
the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Advisor and its affiliates from
their relationship with the Funds and advice from independent legal counsel with respect to the review process and
materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each
Board Member may have attributed different weightings to the various items considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the
Investment Advisory Agreement:
The Nature, Extent and Quality of the Services to be Provided by the Advisor. The Board Members reviewed the
services that the Advisor would provide to the Funds under the Investment Advisory Agreement. The Board considered
the size and experience of the Advisor’s staff, its use of technology, and the Funds’ stated investment objectives,
strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In
connection with the investment advisory services to be provided to the Funds, the Board Members took into account
detailed discussions they had with officers of the Advisor regarding the management of the Funds’ investments in
accordance with the Funds’ stated investment objectives and policies and the types of transactions that would be
entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and
received answers from, the officers of the Advisor regarding the formulation and proposed implementation of the Funds’
investment strategies, their efficacy and potential risks.
In addition to the investment advisory services to be provided to the Funds, the Board Members considered that AQR
also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and
assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In
particular, the Board Members reviewed the compliance and administrative services to be provided to the Funds by
AQR. The Board also reviewed a wide range of services to be provided to certain of the Funds’ shareholders under a
shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing
information and services to Fund shareholders, including professional and informative reporting, access to analysis and
explanations of Fund reports, and electronic access to Fund information.
Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive
session separately with counsel to discuss and consider the Investment Advisory Agreement. Based on the
presentations and materials at the Meetings, the Board concluded that the services to be provided to the Funds by AQR
pursuant to the Investment Advisory Agreement were likely to be of a high quality and would benefit the Funds.
168
AQR Funds
Semi-Annual Report
June 2013
Board Approval of Investment Advisory Agreements (Unaudited)
Investment Performance and the Advisor’s Portfolio Management. Because the Funds are newly formed, the Board
did not consider the investment performance of the Funds. The Board based its review of the Advisor’s performance
primarily on the experience of the Advisor in managing other registered investment companies and private funds, noting
that other funds the Advisor manages might have investment objectives, policies or restrictions different from those of
the Funds. The Board also considered the experience, resources and strengths of the Advisor and its affiliates with
respect to the investment strategies proposed for the Funds. Based on these factors, the Board Members determined
that the Advisor would be an appropriate investment adviser for the Funds.
The Advisory Fee and the Cost of the Services and Profits to be Realized by the Advisor from the Relationship
with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding
the management fees to be paid by the Funds to the Advisor pursuant to the Investment Advisory Agreement. The Board
examined this information in order to determine the reasonableness of the fees in light of the nature and quality of
services to be provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed
comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual
investment advisory fees and actual net expenses.
The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related
activities. The Board took into consideration the Advisor’s profits from the management of other private accounts. The
Board also reviewed the Advisor’s methodology of determining profitability. The Board recognized that profitability may
be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the
Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability
is somewhat limited.
The Board reviewed the Advisor’s unaudited financial statements. The purpose of the review was to help the
Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality
services to the Funds and attract and retain high quality employees.
The Board concluded that the proposed management fees are reasonable.
Economies of Scale. Because the Funds are newly formed and had not commenced operations as of February 22,
2013, and the eventual aggregate amount of the Funds’ assets was uncertain, the Advisor was not able to provide the
Board Members with specific information concerning the extent to which economies of scale would be realized as the
Funds grow and whether fee levels would reflect such economies of scale, if any. The Advisor presented information to
show that the fees were set at a level that is competitive relative to comparable funds of similar, actual or anticipated
size. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an
increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a
stand-alone entity. The Board also considered the Advisor’s overall operations and its efforts to expand the scale of, and
further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall out” benefits that the Advisor or its affiliates may
derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding
the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor is responsible for decisions to
buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of
trade orders among the firm’s various advisory clients. The Board noted that the Advisor does not presently intend to
make use of soft dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and
disclosure of investment advisory agreements. No single factor was determinative to the decision of the Board. Based
on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the
Independent Board Members, concluded that the proposed advisory fee rates and projected total expense ratios are
reasonable in relation to the services to be provided by the Advisor to the Funds, as well as the costs incurred and
benefits to be gained by the Advisor in providing such services, including the investment advisory and administrative
components. The Board also found the proposed investment advisory fees to be reasonable in comparison to the fees
charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, all of the Board
Members, including the Independent Board Members, approved the Investment Advisory Agreement with respect to the
Funds. The Independent Board Members were represented by counsel who assisted them in their deliberations.
AQR Funds
Semi-Annual Report
June 2013
169
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 1st Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
J.P. Morgan Investor Services Co.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information
regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending
June 30th of each year (available by August 31st of that year) without charge, upon request, by calling
1-866-290-2688 or visiting the funds website www.aqrfunds.com, or by accessing the SEC’s website at
www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in
Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling
202-942-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on
Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by
accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public
Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded
or accompanied by an effective prospectus, which includes information regarding the Funds’
objectives and polices, experienced of its management, marketability of shares and other
information.
P.O. Box 2248
Denver, CO 80201-2248
1-866-290-2688
www.aqrfunds.com