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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
William J. Fenrich, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code:203-742-3600
Date of fiscal year end:September 30
Date of reporting period:October 1, 2018 to September 30, 2019
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Item 1. Reports to Shareholders.
a.) | The following is a copy of the report transmitted to shareholders pursuant to Rule30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR270.30e-1.) |
b.) | A copy of the notice transmitted to shareholders in reliance on Rule30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. |
Table of Contents
Annual Report
September 30, 2019
AQR Large Cap Multi-Style Fund
AQR Small Cap Multi-Style Fund
AQR International Multi-Style Fund
AQR Emerging Multi-Style Fund
AQR TM Large Cap Multi-Style Fund
AQR TM Small Cap Multi-Style Fund
AQR TM International Multi-Style Fund
AQR TM Emerging Multi-Style Fund
AQR Large Cap Momentum Style Fund
AQR Small Cap Momentum Style Fund
AQR International Momentum Style Fund
AQR TM Large Cap Momentum Style Fund
AQR TM Small Cap Momentum Style Fund
AQR TM International Momentum Style Fund
AQR Large Cap Defensive Style Fund
AQR International Defensive Style Fund
AQR Emerging Defensive Style Fund
AQR Global Equity Fund
AQR International Equity Fund
AQR Large Cap Relaxed Constraint Equity Fund
AQR Small Cap Relaxed Constraint Equity Fund
AQR International Relaxed Constraint Equity Fund
AQR Emerging Relaxed Constraint Equity Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, the Funds intend to no longer mail paper copies of the Funds’ annual and semi-annual shareholder reports, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website (https://funds.aqr.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866)290-2688.
You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary or the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866) 290-2688. Your election to receive reports in paper will apply to all AQR Funds held with the fund complex if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., or all AQR Funds held in your account if you invest through a financial intermediary.
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Shareholder Letters (Unaudited) | ||
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Schedule of Investments | ||
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54 | ||
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169 | ||
177 | ||
183 | ||
Financial Statements and Notes | 191 | |
Report of Independent Registered Public Accounting Firm | 283 | |
Other Federal Tax Information (Unaudited) | 284 | |
Fund Expense Examples (Unaudited) | 286 | |
Trustees and Officers (Unaudited) | 292 | |
Board Approval of Investment Advisory Agreements (Unaudited) | 294 |
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Shareholder Letter (Unaudited)
AQR LARGE CAP MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Large Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles.
For the one year period ended September 30, 2019, the Fund’s Class I returned -3.55% net while the Russell 1000® Total Return Index (the “Benchmark”) returned 3.87%. The Fund’s underperformance was driven primarily by stock selection within the consumer discretionary (-2.1%) and information technology (-1.3%) sectors, and was partially offset by positive performance within financials (0.1%).
Over the course of the period, the Fund’s largest active positions included sector overweights to health care (3.4%) and information technology (2.8%), while the portfolio was underweight real estate(-3.7%) and energy (-3.0%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: QCELX | -3.55% | 10.33% | 7.43% | 10.60% | 3/26/2013 | |||||||||||||||
Fund - Class N: QCENX | -3.84% | 10.03% | 7.15% | 10.33% | 3/26/2013 | |||||||||||||||
Fund - Class R6: QCERX | -3.50% | 10.43% | 7.53% | 7.26% | 7/10/2014 | |||||||||||||||
Russell 1000® Total Return Index | 3.87% | 13.19% | 10.62% | 12.50% | 3/26/2013 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.44%, 0.70% and 0.35%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
2
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Shareholder Letter (Unaudited)
AQR LARGE CAP MULTI-STYLE FUND |
AQR LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
3
Table of Contents
Shareholder Letter (Unaudited)
AQR SMALL CAP MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Small Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles.
For the one year period ended September 30, 2019, the Fund’s Class I returned -11.74% net while the Russell 2000® Total Return Index (the “Benchmark”) returned -8.89%. The Fund’s underperformance was driven primarily by stock selection within the consumer discretionary (-2.5%) and consumer staples (-1.4%) sectors, and was partially offset by positive performance within health care (2.5%) and industrials (0.6%).
Over the course of the period, the Fund’s largest active positions included sector overweights to consumer discretionary (3.2%) and consumer staples (2.6%); the portfolio was underweight real estate (-4.7%) and energy (-1.7%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: QSMLX | -11.74% | 4.41% | 5.51% | 7.82% | 3/26/2013 | |||||||||||||||
Fund - Class N: QSMNX | -11.94% | 4.16% | 5.26% | 7.55% | 3/26/2013 | |||||||||||||||
Fund - Class R6: QSERX | -11.66% | 4.51% | 5.61% | 4.41% | 7/10/2014 | |||||||||||||||
Russell 2000® Total Return Index | -8.89% | 8.23% | 8.19% | 9.00% | 3/26/2013 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.66%, 0.92% and 0.57%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
4
Table of Contents
Shareholder Letter (Unaudited)
AQR SMALL CAP MULTI-STYLE FUND |
AQR SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
5
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR International Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles.
For the one year period ended September 30, 2019, the Fund’s Class I returned -2.37% net while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned -0.95%. The Fund’s underperformance was driven primarily by stock selection within the materials (-1.6%) and utilities(-1.0%) sectors, and was partially offset by positive performance within consumer discretionary (1.1%) and health care (0.7%).
Over the course of the period, the Fund’s largest active positions included sector overweights to the health care (4.2%) and energy (1.9%) sectors; the portfolio was underweight financials (-3.4%) and industrials (-3.2%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: QICLX | -2.37% | 5.68% | 1.81% | 3.68% | 3/26/2013 | |||||||||||||||
Fund - Class N: QICNX | -2.54%* | 5.42% | 1.54% | 3.41% | 3/26/2013 | |||||||||||||||
Fund - Class R6: QICRX | -2.19%* | 5.78% | 1.92% | 1.05% | 7/10/2014 | |||||||||||||||
MSCI Daily TR Net World Ex USA Index** | -0.95% | 6.49% | 3.06% | 4.53% | 3/26/2013 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.64%, 0.89% and 0.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
6
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL MULTI-STYLE FUND |
AQR INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
* | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 09/30/2019 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
7
Table of Contents
Shareholder Letter (Unaudited)
AQR EMERGING MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles.
For the one year period ended September 30, 2019, the Fund’s Class I returned -4.57% net while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -2.02%. The Fund’s underperformance was driven primarily by stock selection within the industrials (-1.2%) and materials (-0.6%) sectors. The Fund’s performance was negatively impacted by positioning in 5 of the sectors, namely Materials (-0.8%) and Information Technology (-0.3%).
Over the course of the period, the Fund’s largest active included sector overweights to materials (4.9%) and industrials (4.1%); the portfolio was underweight financials (-2.9%) and consumer services (-2.3%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR EMERGING MULTI-STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: QEMLX | -4.57% | 4.01% | 0.87% | 0.73% | 5/13/2014 | |||||||||||||||
Fund - Class N: QEMNX | -4.91%* | 3.76% | 0.62% | 0.48% | 5/13/2014 | |||||||||||||||
Fund - Class R6: QECRX | -4.54% | 4.08% | 0.95% | -0.05% | 7/10/2014 | |||||||||||||||
MSCI Daily TR Net Emerging Market Index** | -2.02% | 5.97% | 2.33% | 2.11% | 5/13/2014 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.87%, 1.12% and 0.77%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
8
Table of Contents
Shareholder Letter (Unaudited)
AQR EMERGING MULTI-STYLE FUND |
AQR EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
* | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 09/30/2019 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
9
Table of Contents
Shareholder Letter (Unaudited)
AQR TM LARGE CAP MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Large Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the one year period ended September 30, 2019, the Fund’s Class I returned -3.17% net while the Russell 1000® Total Return Index (the “Benchmark”) returned 3.87%. The Fund’s underperformance was driven primarily by stock selection within the consumer discretionary (-1.8%) and information technology (-1.2%) sectors, and was partially offset by positive performance within financials (0.2%).
Over the course of the period, the Fund’s largest active positions included sector overweights to health care (3.6%) and financials (2.7%); the portfolio was underweight real estate (-3.6%) and energy(-3.2%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR TM LARGE CAP MULTI-STYLE FUND | ||||||||||||||||
1 Year | 3 Year | Since Inception | Date of Inception | |||||||||||||
Fund - Class I: QTLLX | -3.17% | 10.81% | 7.01% | 2/11/2015 | ||||||||||||
Fund - Class N: QTLNX | -3.34% | 10.56% | 6.73% | 2/11/2015 | ||||||||||||
Fund - Class R6: QTLRX | -3.06% | 10.92% | 7.11% | 2/11/2015 | ||||||||||||
Russell 1000® Total Return Index | 3.87% | 13.19% | 10.14% | 2/11/2015 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.48%, 0.74% and 0.39%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
10
Table of Contents
Shareholder Letter (Unaudited)
AQR TM LARGE CAP MULTI-STYLE FUND |
AQR TM LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
11
Table of Contents
Shareholder Letter (Unaudited)
AQR TM SMALL CAP MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Small Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the one year period ended September 30, 2019, the Fund’s Class I returned -12.76% net while the Russell 2000® Total Return Index (the “Benchmark”) returned -8.89%. The Fund’s underperformance was driven primarily by stock selection within the consumer discretionary (-2.4%) and consumer staples (-1.9%) sectors, and was partially offset by positive performance within health care (2.4%).
Over the course of the period, the Fund’s largest active positions included sector overweights to consumer staples (3.1%) and consumer discretionary (3.0%); the portfolio was underweight real estate (-4.7%) and energy (-2.0%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR TM SMALL CAP MULTI-STYLE FUND | ||||||||||||||||
1 Year | 3 Year | Since Inception | Date of Inception | |||||||||||||
Fund - Class I: QSSLX | -12.76% | 4.24% | 3.54% | 2/11/2015 | ||||||||||||
Fund - Class N: QSSNX | -12.92% | 4.03% | 3.30% | 2/11/2015 | ||||||||||||
Fund - Class R6: QSSRX | -12.60% | 4.40% | 3.67% | 2/11/2015 | ||||||||||||
Russell 2000® Total Return Index | -8.89% | 8.23% | 6.74% | 2/11/2015 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.07%, 1.32% and 0.97%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
12
Table of Contents
Shareholder Letter (Unaudited)
AQR TM SMALL CAP MULTI-STYLE FUND |
AQR TM SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
13
Table of Contents
Shareholder Letter (Unaudited)
AQR TM INTERNATIONAL MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM International Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the one year period ended September 30, 2019, the Fund’s Class I returned -2.30% net while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned -0.95%. The Fund’s underperformance was driven primarily by stock selection within the materials (-1.4%) and industrials (-0.9%) sectors, and was partially offset by positive performance within consumer discretionary (1.1%) and communication services (0.6%).
Over the course of the period, the Fund’s largest active positions included sector overweights to the health care (3.4%) and consumer discretionary (1.6%); the portfolio was underweight financials(-3.2%) and consumer staples (-2.1%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 | ||||||||||||||||
1 Year | 3 Year | Since Inception | Date of Inception | |||||||||||||
Fund - Class I: QIMLX | -2.30% | 6.14% | 2.92% | 2/11/2015 | ||||||||||||
Fund - Class N: QIMNX | -2.51% | 5.89% | 2.69% | 2/11/2015 | ||||||||||||
Fund - Class R6: QIMRX | -2.27% | 6.26% | 3.03% | 2/11/2015 | ||||||||||||
MSCI Daily TR Net World Ex USA Index** | -0.95% | 6.49% | 3.97% | 2/11/2015 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.68%, 0.94% and 0.59%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
14
Table of Contents
Shareholder Letter (Unaudited)
AQR TM INTERNATIONAL MULTI-STYLE FUND |
AQR TM INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
15
Table of Contents
Shareholder Letter (Unaudited)
AQR TM EMERGING MULTI-STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong quality. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Quality styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the one year period ended September 30, 2019, the Fund’s Class I returned -5.68% net while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -2.02%. The Fund’s underperformance was driven primarily by stock selection within the industrials (-1.0%) and materials (-0.6%) sectors, and was partially offset by positive performance within consumer discretionary (0.7%) and information technology (0.5%). The Fund’s performance was negatively impacted by positioning across 6 sectors.
Over the course of the period, the Fund’s largest active positions included sector overweights to materials (4.9%) and industrials (3.6%); the portfolio was underweight financials (-3.4%) and consumer services (-2.4%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR TM EMERGING MULTI-STYLE FUND | ||||||||||||||||
1 Year | 3 Year | Since Inception | Date of Inception | |||||||||||||
Fund - Class I: QTELX | -5.68% | 3.85% | 0.93% | 2/11/2015 | ||||||||||||
Fund - Class N: QTENX | -5.92% | 3.57% | 0.66% | 2/11/2015 | ||||||||||||
Fund - Class R6: QTERX | -5.59% | 3.96% | 1.01% | 2/11/2015 | ||||||||||||
MSCI Daily TR Net Emerging Market Index** | -2.02% | 5.97% | 3.40% | 2/11/2015 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.85%, 1.11% and 0.76%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
16
Table of Contents
Shareholder Letter (Unaudited)
AQR TM EMERGING MULTI-STYLE FUND |
AQR TM EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
17
Table of Contents
Shareholder Letter (Unaudited)
AQR LARGE CAP MOMENTUM STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the period ended September 30, 2019, the Fund’s Class I returned 1.38% net while the Russell 1000® Total Return Index (the “Benchmark”) returned 3.87%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-1.4%) and consumer discretionary (-0.6%) sectors.
Over the course of the period, the Fund’s largest active positions included sector overweights to the information technology (8.1%) and consumer discretionary (1.9%) sectors; the portfolio was underweight financials (-5.4%) and communication services (-4.4%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since | Date of | |||||||||||||||||||
Fund - Class I: AMOMX | 1.38% | 13.50% | 10.23% | 13.18% | 14.40% | 7/9/2009 | ||||||||||||||||||
Fund - Class N: AMONX | 1.14% | 13.21% | 9.96% | N/A | 13.01% | 12/17/2012 | ||||||||||||||||||
Fund - Class R6: QMORX | 1.48% | 13.61% | 10.34% | N/A | 9.86% | 7/10/2014 | ||||||||||||||||||
Russell 1000® Total Return Index | 3.87% | 13.19% | 10.62% | 13.23% | 15.03% | 7/9/2009 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.40%, 0.65% and 0.30%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
18
Table of Contents
Shareholder Letter (Unaudited)
AQR LARGE CAP MOMENTUM STYLE FUND |
AQR LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
19
Table of Contents
Shareholder Letter (Unaudited)
AQR SMALL CAP MOMENTUM STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core bench mark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the period ended September 30, 2019, the AQR Fund’s Class I returned -10.90% net while the Russell 2000® Total Return Index (the “Benchmark”) returned -8.89%. The Fund’s underperformance was driven primarily by stock selection within the communication services (-0.3%) and health care(-0.3%) sectors.
Over the course of the period, the Fund’s largest active positions included sector overweights to the health care (5.5%) and consumer discretionary (2.7%) sectors; the portfolio was underweight financials (-8.4%) and materials (-1.7%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since | Date of | |||||||||||||||||||
Fund - Class I: ASMOX | -10.90% | 8.79% | 7.50% | 11.48% | 13.14% | 7/9/2009 | ||||||||||||||||||
Fund - Class N: ASMNX | -11.09% | 8.54% | 7.25% | N/A | 10.50% | 12/17/2012 | ||||||||||||||||||
Fund - Class R6: QSMRX | -10.80% | 8.90% | 7.60% | N/A | 6.33% | 7/10/2014 | ||||||||||||||||||
Russell 2000® Total Return Index | -8.89% | 8.23% | 8.19% | 11.19% | 13.50% | 7/9/2009 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.63%, 0.85% and 0.53%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
20
Table of Contents
Shareholder Letter (Unaudited)
AQR SMALL CAP MOMENTUM STYLE FUND |
AQR SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
21
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL MOMENTUM STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR International Momentum Style Fund (the “Fund”) invests in stocks of non-U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core bench mark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the one year period ended September 30, 2019, the Fund’s Class I returned -3.26% net while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned -0.95%. The Fund’s underperformance was driven primarily by stock selection within the health care (-0.7%) and energy(-0.5%) sectors, but it was partially offset by positive performance in consumer discretionary (0.6%) and financials (0.3%).
Over the course of the period, the Fund’s largest active positions included sector overweights to health care (4.4%) and utilities (2.2%); the portfolio was underweight financials (-8.4%) and materials(-1.9%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since | Date of | |||||||||||||||||||
Fund - Class I: AIMOX | -3.26% | 4.98% | 2.43% | 4.43% | 6.23% | 7/9/2009 | ||||||||||||||||||
Fund - Class N: AIONX | -3.51% | 4.71% | 2.18% | N/A | 3.94% | 12/17/2012 | ||||||||||||||||||
Fund - Class R6: QIORX | -3.15% | 5.08% | 2.55% | N/A | 1.67% | 7/10/2014 | ||||||||||||||||||
MSCI Daily TR Net World Ex USA Index** | -0.95% | 6.49% | 3.06% | 4.78% | 6.88% | 7/9/2009 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.60%, 0.85% and 0.50%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
22
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL MOMENTUM STYLE FUND |
AQR INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
23
Table of Contents
Shareholder Letter (Unaudited)
AQR TM LARGE CAP MOMENTUM STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the period ended September 30, 2019, the Fund’s Class I returned 0.08% net while the Russell 1000® Total Return Index (the “Benchmark”) returned 3.87%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-1.6%) and communication services (-1.0%) sectors.
Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (5.3%) and consumer discretionary (2.6%); the portfolio was underweight financials (-5.3%) and energy (-3.1%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since | Date of | ||||||||||||||||
Fund - Class I: ATMOX | 0.08% | 13.23% | 9.82% | 13.37% | 1/27/2012 | |||||||||||||||
Fund - Class N: ATMNX | -0.21% | 12.93% | 9.57% | 12.84% | 12/17/2012 | |||||||||||||||
Fund - Class R6: QTMRX | 0.15% | 13.34% | 9.92% | 9.63% | 7/10/2014 | |||||||||||||||
Russell 1000® Total Return Index | 3.87% | 13.19% | 10.62% | 13.44% | 1/27/2012 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.45%, 0.70% and 0.35%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
24
Table of Contents
Shareholder Letter (Unaudited)
AQR TM LARGE CAP MOMENTUM STYLE FUND |
AQR TM LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
25
Table of Contents
Shareholder Letter (Unaudited)
AQR TM SMALL CAP MOMENTUM STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the period ended September 30, 2019, the Fund’s Class I returned -10.23% net while the Russell 2000® Total Return Index (the “Benchmark”) returned -8.89%. The Fund’s underperformance was driven primarily by stock selection within the financials (-0.5%) and communication services(-0.4%) sectors.
Over the course of the period, the Fund’s largest active positions included sector overweights to the health care (5.8%) and consumer discretionary (2.9%) sectors; the portfolio was underweight financials (-8.2%) and real estate (-1.5%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR TM SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: ATSMX | -10.23% | 8.86% | 7.72% | 10.84% | 1/27/2012 | |||||||||||||||
Fund - Class N: ATSNX | -10.44% | 8.59% | 7.49% | 10.43% | 12/17/2012 | |||||||||||||||
Fund - Class R6: QTSRX | -10.14% | 8.96% | 7.83% | 6.48% | 7/10/2014 | |||||||||||||||
Russell 2000® Total Return Index | -8.89% | 8.23% | 8.19% | 10.29% | 1/27/2012 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.81%, 1.06% and 0.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
26
Table of Contents
Shareholder Letter (Unaudited)
AQR TM SMALL CAP MOMENTUM STYLE FUND |
AQR TM SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
27
Table of Contents
Shareholder Letter (Unaudited)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM International Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap non-U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the one year period ended September 30, 2019, the Fund’s Class I returned -2.58% net while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned -0.95%. The Fund’s underperformance was driven primarily by stock selection within the energy (-0.6%) and health care(-0.5%) sectors, but it was partially offset by positive performance in consumer discretionary (0.5%).
Over the course of the period, the Fund’s largest active positions within the stock selection strategy included sector overweights to health care (4.3%) and utilities (2.5%); the portfolio was underweight financials (-8.4%) and materials (-1.9%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR TM INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: ATIMX | -2.58% | 4.71% | 2.24% | 5.55% | 1/27/2012 | |||||||||||||||
Fund - Class N: ATNNX | -2.89% | 4.46% | 2.03% | 4.10% | 12/17/2012 | |||||||||||||||
Fund - Class R6: QTIRX | -2.54% | 4.81% | 2.34% | 1.41% | 7/10/2014 | |||||||||||||||
MSCI Daily TR Net World Ex USA Index** | -0.95% | 6.49% | 3.06% | 5.74% | 1/27/2012 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.70%, 0.95% and 0.60%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
28
Table of Contents
Shareholder Letter (Unaudited)
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
29
Table of Contents
Shareholder Letter (Unaudited)
AQR LARGE CAP DEFENSIVE STYLE FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
The AQR Large Cap Defensive Style Fund (the “Fund”) pursues a defensive strategy in the U.S. market, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For the one year period ended September 30, 2019, the Fund’s Class I returned 9.59% net while the Russell 1000® Total Return Index (the “Benchmark”) returned 3.87%. The Fund’s outperformance was driven primarily by stock selection within the financials (1.1%) and consumer discretionary (0.7%) sectors.
Over the course of the period, the Fund’s largest active positions included sector overweights to utilities (9.1%) and consumer staples (7.0%); the portfolio was underweight in communication services (-5.7%) and information technology (-5.5%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR LARGE CAP DEFENSIVE STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: AUEIX | 9.59% | 15.53% | 13.92% | 14.99% | 7/9/2012 | |||||||||||||||
Fund - Class N: AUENX | 9.30% | 15.21% | 13.63% | 14.70% | 7/9/2012 | |||||||||||||||
Fund - Class R6: QUERX | 9.72% | 15.63% | 14.02% | 13.69% | 9/2/2014 | |||||||||||||||
Russell 1000® Total Return Index | 3.87% | 13.19% | 10.62% | 13.81% | 7/9/2012 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.39%, 0.65% and 0.30%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
30
Table of Contents
Shareholder Letter (Unaudited)
AQR LARGE CAP DEFENSIVE STYLE FUND |
AQR LARGE CAP DEFENSIVE STYLE FUND VS. RUSSELL 1000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
31
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
The AQR International Defensive Style Fund (the “Fund”) pursues a defensive strategy in developed markets outside of the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For the one year period ended September 30, 2019, the Fund’s Class I returned 0.18% net while the MSCI Daily TR Net World Ex USA Index (the “Benchmark”) returned -0.95%. The Fund’s outperformance was driven primarily by stock selection within the communication services (0.5%) and materials (0.4%) sectors, although negative performance in utilities (-0.6%) and industrials (-0.5%) detracted.
Over the course of the period, the Fund’s largest active positions included sector overweights to consumer staples (8.0%) and utilities (7.2%); the portfolio was underweight financials (-8.8%) and energy (-3.7%). Notable active positions also included a country overweight to Japan (7.4%) and Canada (3.3%) and an underweight to the United Kingdom (-5.0%) and Germany (-3.8%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR INTERNATIONAL DEFENSIVE STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: ANDIX | 0.18% | 4.77% | 3.86% | 6.21% | 7/9/2012 | |||||||||||||||
Fund - Class N: ANDNX | -0.10% | 4.50% | 3.59% | 5.93% | 7/9/2012 | |||||||||||||||
Fund - Class R6: ANDRX | 0.26% | 4.88% | 3.97% | 2.86% | 9/2/2014 | |||||||||||||||
MSCI Daily TR Net World Ex USA Index** | -0.95% | 6.49% | 3.06% | 6.80% | 7/9/2012 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.63%, 0.88% and 0.53%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
32
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
AQR INTERNATIONAL DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
33
Table of Contents
Shareholder Letter (Unaudited)
AQR EMERGING DEFENSIVE STYLE FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
The AQR Emerging Defensive Style Fund (the “Fund”) pursues a defensive strategy in emerging markets, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/midcap companies that we believe to be profitable, stable, low-risk businesses. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For the one year period ended September 30, 2019, the Fund’s Class I returned -4.02% net while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -2.02%. The Fund’s underperformance was driven primarily by stock selection within the consumer staples (-1.6%) and financials (-1.1%) sectors, and was partially offset by positive performance within industrials (0.6%) and communication services (0.4%).
Over the course of the period, the AQR Fund’s largest active positions included sector overweights to consumer staples (14.0%) and utilities (6.5%); the portfolio was underweight information technology(-6.4%) and energy (-5.3%). Notable active positions also included a country overweight to Malaysia (5.9%) and Thailand (5.1%) and an underweight to China (-12.1%) and Russia (-3.1%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR EMERGING DEFENSIVE STYLE FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: AZEIX | -4.02% | 2.83% | -0.77% | 0.37% | 7/9/2012 | |||||||||||||||
Fund - Class N: AZENX | -4.21% | 2.60% | -0.99% | 0.14% | 7/9/2012 | |||||||||||||||
Fund - Class R6: AZERX | -3.83% | 2.97% | -0.67% | -1.90% | 9/2/2014 | |||||||||||||||
MSCI Daily TR Net Emerging Markets Index** | -2.02% | 5.97% | 2.33% | 3.40% | 7/9/2012 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.97%, 1.22% and 0.87%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
34
Table of Contents
Shareholder Letter (Unaudited)
AQR EMERGING DEFENSIVE STYLE FUND |
AQR EMERGING DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
35
Table of Contents
Shareholder Letter (Unaudited)
AQR GLOBAL EQUITY FUND |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
Oktay Kurbanov
Principal
Dear Shareholder:
The AQR Global Equity Fund (the “Fund”) is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark.
For the one year period ended September 30, 2019, the Fund’s Class I returned -5.78% net while the MSCI Daily TR Net World Index (the “Benchmark”) returned 1.83%. The portfolio’s underperformance was driven primarily by stock selection (-6.4%) and country selection (-1.2%) but partially offset by currency selection (0.5%).
Specifically within the stock selection strategy, stock selection within industries (-6.4%) contributed most to negative performance, with the main drivers being within the industrials (-1.5%) and health care (-1.4%) sectors.
Over the course of the period, the Fund’s largest active positions within the stock selection strategy included overweights to the health care (5.0%) and information technology (4.7%) sectors; the portfolio was underweight financials (-5.1%) and communication services (-2.4%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | ||||||||||||||||||||
1 Year | 3 Year | 5 Year | Since Inception | Date of Inception | ||||||||||||||||
Fund - Class I: AQGIX | -5.78% | 6.98% | 6.04% | 8.54% | 12/31/2009 | |||||||||||||||
Fund - Class N: AQGNX | -6.17% | 6.69% | 5.75% | 8.24% | 12/31/2009 | |||||||||||||||
Fund - Class R6: AQGRX | -5.67% | 7.13% | 6.19% | 5.90% | 1/8/2014 | |||||||||||||||
MSCI Daily TR Net World Index** | 1.83% | 10.21% | 7.18% | 8.80% | 12/31/2009 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.83%, 1.08% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
36
Table of Contents
Shareholder Letter (Unaudited)
AQR GLOBAL EQUITY FUND |
AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX** VALUE OF $10,000 INVESTED ON 12/31/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception | Date of Inception | |||||||||||||||||||
Fund - Class I: AQGIX | -5.78% | 6.98% | 6.04% | 8.70% | 5.37% | 6/30/2006 | ||||||||||||||||||
Fund - Class N: AQGNX | -6.17% | 6.69% | 5.75% | 8.39% | 5.05% | 6/30/2006 | ||||||||||||||||||
Fund - Class R6: AQGRX | -5.67% | 7.13% | 6.19% | N/A | 5.90% | 1/8/2014 | ||||||||||||||||||
MSCI Daily TR Net World Index** | 1.83% | 10.21% | 7.18% | 9.01% | 6.00% | 6/30/2006 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.83%, 1.08% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
37
Table of Contents
Shareholder Letter (Unaudited)
AQR GLOBAL EQUITY FUND |
AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX** VALUE OF $10,000 INVESTED ON 6/30/2006 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
38
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL EQUITY FUND |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
Oktay Kurbanov
Principal
Dear Shareholder:
The AQR International Equity Fund (the “Fund”) is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures and forwards contracts to over-and under-weight countries and currencies relative to the benchmark.
For the one year period ended September 30, 2019, the Fund’s Class I returned -6.86% net while the MSCI Daily TR Net EAFE Index (the “Benchmark”) returned -1.34%. The portfolio’s underperformance was driven primarily by stock selection (-3.7%) and country selection (-1.5%) but was partially offset by country and currency selection (0.3%).
Specifically within the stock selection strategy, stock selection within industries (-3.6%) contributed most to negative performance, with the main drivers being within the industrials (-1.9%) and materials (-0.5%) sectors.
Over the course of the period, the Fund’s largest active positions within the stock selection strategy included overweights to the health care (4.7%) and utilities (4.0%) sectors; the portfolio was underweight financials (-5.1%) and consumer staples (-3.3%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception | Date of Inception | |||||||||||||||||||
Fund - Class I: AQIIX | -6.86% | 3.33% | 2.81% | 4.72% | 4.75% | 9/29/2009 | ||||||||||||||||||
Fund - Class N: AQINX | -7.03% | 3.13% | 2.59% | 4.45% | 4.48% | 9/29/2009 | ||||||||||||||||||
Fund - Class R6: AQIRX | -6.80% | 3.43% | 2.92% | N/A | 1.76% | 1/8/2014 | ||||||||||||||||||
MSCI Daily TR Net EAFE Index** | -1.34% | 6.48% | 3.27% | 4.90% | 4.90% | 9/29/2009 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.89%, 1.11% and 0.80%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
39
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX** VALUE OF $10,000 INVESTED ON 9/29/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | ||||||||||||||||||||||||
1 Year | 3 Year | 5 Year | 10 Year | Since Inception | Date of Inception | |||||||||||||||||||
Fund - Class I: AQIIX | -6.86% | 3.33% | 2.81% | 4.72% | 5.19% | 7/31/2004 | ||||||||||||||||||
Fund - Class N: AQINX | -7.03% | 3.13% | 2.59% | 4.45% | 4.88% | 7/31/2004 | ||||||||||||||||||
Fund - Class R6: AQIRX | -6.80% | 3.43% | 2.92% | N/A | 1.76% | 1/8/2014 | ||||||||||||||||||
MSCI Daily TR Net EAFE Index** | -1.34% | 6.48% | 3.27% | 4.90% | 5.44% | 7/31/2004 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.89%, 1.11% and 0.80%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
40
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX** VALUE OF $10,000 INVESTED ON 7/31/2004 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
41
Table of Contents
Shareholder Letter (Unaudited)
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR Large Cap Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.
For the one year period ended September 30, 2019, the Fund’s Class I returned -1.36% net while the Russell 1000® Total Return Index (the “Benchmark”) returned 3.87%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-2.2%) and consumer discretionary (-1.6%) sectors, but was partially offset by positive performance within energy (2.2%).
Over the course of the period, the Fund’s largest active positions included sector overweights to information technology (5.3%) and health care (4.5%), while the portfolio was underweight consumer staples (-4.1%) and energy (-2.4%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | ||||||||||||
1 Year | Since Inception | Date of Inception | ||||||||||
Fund - Class I: QLRIX | -1.36% | 8.24% | 12/14/2016 | |||||||||
Fund - Class N: QLRNX | -1.50% | 8.01% | 12/14/2016 | |||||||||
Fund - Class R6: QLRRX | -1.24% | 8.34% | 12/14/2016 | |||||||||
Russell 1000® Total Return Index | 3.87% | 12.48% | 12/14/2016 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.06%, 2.30% and 1.98%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
42
Table of Contents
Shareholder Letter (Unaudited)
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND VS. RUSSELL 1000® TR INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
43
Table of Contents
Shareholder Letter (Unaudited)
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR Small Cap Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.
For the one year period ended September 30, 2019, the Fund’s Class I returned -12.43% net while the Russell 2000® Total Return Index (the “Benchmark”) returned -8.89%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-4.3%), industrials (-2.7%) and consumer discretionary (-1.8%) sectors, and was partially offset by positive performance within energy (0.4%).
Over the course of the period, the Fund’s largest active positions included sector overweights to health care (5.4%) and information technology (4.3%); the portfolio was underweight financials (-4.9%) and real estate (-3.0%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | ||||||||||||
1 Year | Since Inception | Date of Inception | ||||||||||
Fund - Class I: QSRIX | -12.43% | -2.48% | 12/14/2016 | |||||||||
Fund - Class N: QSRNX | -12.64% | -2.72% | 12/14/2016 | |||||||||
Fund - Class R6: QSRRX | -12.42% | -2.41% | 12/14/2016 | |||||||||
Russell 2000® Total Return Index | -8.89% | 5.68% | 12/14/2016 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 5.30%, 5.59% and 5.28%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
44
Table of Contents
Shareholder Letter (Unaudited)
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND VS. RUSSELL 2000® INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
45
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR International Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.
For the one year period ended September 30, 2019, the Fund’s Class I returned -8.95% net while the MSCI EAFE Net Index (the “Benchmark”) returned -1.34%. The Fund’s underperformance was driven primarily by stock selection within the materials (-2.2%), industrials (-1.5%), and information technology (-1.1%) sectors, but was partially offset by positive performance within financials (1.0%).
Over the course of the period, the Fund‘s largest active positions included sector overweights to the health care (6.6%) and utilities (3.3%) sectors; the portfolio was underweight financials (-6.2%) and consumer discretionary (-4.5%). Notable active positions also included a country overweights to Finland (0.7%), and an underweights to Japan (-1.1%) and Spain (-0.8%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | ||||||||||||
1 Year | Since Inception | Date of Inception | ||||||||||
Fund - Class I: QIRIX | -8.95% | 4.19% | 12/14/2016 | |||||||||
Fund - Class N: QIRRX | -9.05% | 3.98% | 12/14/2016 | |||||||||
Fund - Class R6: QIRRX | -8.83% | 4.29% | 12/14/2016 | |||||||||
MSCI Daily TR Net EAFE Index** | -1.34% | 6.98% | 12/14/2016 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.12%, 2.38% and 2.16%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
46
Table of Contents
Shareholder Letter (Unaudited)
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND VS. MSCI EAFE INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
47
Table of Contents
Shareholder Letter (Unaudited)
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR Emerging Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund generally intends to target a long exposure of 130% of the Fund’s net assets with a short exposure of 30% of the Fund’s net assets. Actual long and short exposures, however, will vary according to market conditions. The Fund’s long exposures are expected to range between 120% and 140% of the Fund’s net assets. The Fund’s short exposures are expected to range between 20% and 40% of the Fund’s net assets.
For the period ended September 30, 2019, the Fund’s Class I returned -11.89% net while the MSCI Daily TR Net Emerging Markets Index (the “Benchmark”) returned -2.02%. The Fund’s underperformance was driven primarily by stock selection within the information technology (-3.0%) and financials (-2.7%), and communication (-1.4%) sectors. The Fund’s performance was negatively impacted by positioning in 9 of 11 sectors.
Over the course of the period, the Fund’s largest active included sector overweights to energy (3.6%) and materials (3.2%); the portfolio was underweight financials (-5.9%) and consumer discretionary(-3.6%).
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | ||||||||||||
1 Year | Since Inception | Date of Inception | ||||||||||
Fund - Class I: QERIX | -11.89% | 3.59% | 12/14/2016 | |||||||||
Fund - Class N: QERNX | -12.12%* | 3.32% | 12/14/2016 | |||||||||
Fund - Class R6: QERRX | -11.88% | 3.64% | 12/14/2016 | |||||||||
MSCI Daily TR Net Emerging Market Index** | -2.02% | 7.70% | 12/14/2016 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.61%, 1.85% and 1.53%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
48
Table of Contents
Shareholder Letter (Unaudited)
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND VS. MSCI EMERGING MARKETS INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
* | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 09/30/2019 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
49
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 98.0% | ||||||||
Aerospace & Defense - 2.1% | ||||||||
Curtiss-Wright Corp. | 5,650 | $ | 730,941 | |||||
Huntington Ingalls Industries, Inc. | 43,345 | 9,180,038 | ||||||
Northrop Grumman Corp. | 7,791 | 2,919,989 | ||||||
Raytheon Co. | 15,048 | 2,952,267 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 92,089 | 7,573,399 | ||||||
Teledyne Technologies, Inc. * | 21,163 | 6,814,274 | ||||||
Textron, Inc. | 10,224 | 500,567 | ||||||
|
| |||||||
30,671,475 | ||||||||
|
| |||||||
Airlines - 1.9% | ||||||||
Delta Air Lines, Inc. | 189,102 | 10,892,275 | ||||||
JetBlue Airways Corp. * | 270,685 | 4,533,974 | ||||||
United Airlines Holdings, Inc. * | 142,130 | 12,565,713 | ||||||
|
| |||||||
27,991,962 | ||||||||
|
| |||||||
Banks - 4.2% | ||||||||
Bank of America Corp. | 85,278 | 2,487,559 | ||||||
Citigroup, Inc. | 49,149 | 3,395,213 | ||||||
Citizens Financial Group, Inc. | 99,097 | 3,505,061 | ||||||
Fifth Third Bancorp | 29,591 | 810,202 | ||||||
First Citizens BancShares, Inc., Class A | 2,571 | 1,212,355 | ||||||
JPMorgan Chase & Co. | 202,338 | 23,813,159 | ||||||
Popular, Inc. | 140,458 | 7,595,969 | ||||||
SunTrust Banks, Inc. | 25,711 | 1,768,917 | ||||||
US Bancorp | 48,133 | 2,663,680 | ||||||
Wells Fargo & Co. | 278,603 | 14,052,735 | ||||||
|
| |||||||
61,304,850 | ||||||||
|
| |||||||
Beverages - 0.5% | ||||||||
Monster Beverage Corp. * | 14,924 | 866,487 | ||||||
PepsiCo, Inc. | 48,785 | 6,688,424 | ||||||
|
| |||||||
7,554,911 | ||||||||
|
| |||||||
Biotechnology - 3.0% | ||||||||
AbbVie, Inc. | 9,563 | 724,111 | ||||||
Alexion Pharmaceuticals, Inc. * | 33,221 | 3,253,665 | ||||||
Amgen, Inc. | 27,122 | 5,248,378 | ||||||
Biogen, Inc. * | 76,296 | 17,763,235 | ||||||
Celgene Corp. * | 33,773 | 3,353,659 | ||||||
Exelixis, Inc. * | 714,818 | 12,641,556 | ||||||
Incyte Corp. * | 12,688 | 941,830 | ||||||
|
| |||||||
43,926,434 | ||||||||
|
| |||||||
Capital Markets - 1.7% | ||||||||
Ameriprise Financial, Inc. | 91,004 | 13,386,688 | ||||||
CME Group, Inc. | 37,606 | 7,947,652 | ||||||
Evercore, Inc., Class A | 5,579 | 446,878 | ||||||
LPL Financial Holdings, Inc. | 33,902 | 2,776,574 | ||||||
|
| |||||||
24,557,792 | ||||||||
|
| |||||||
Chemicals - 0.1% | ||||||||
Dow, Inc. (a) | 43,053 | 2,051,475 | ||||||
|
| |||||||
Commercial Services & Supplies - 1.2% | ||||||||
Cintas Corp. | 4,797 | 1,286,076 | ||||||
KAR Auction Services, Inc. (a) | 117,931 | 2,895,206 | ||||||
Waste Management, Inc. | 108,604 | 12,489,460 | ||||||
|
| |||||||
16,670,742 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Communications Equipment - 2.1% | ||||||||
Ciena Corp. * | 35,121 | $ | 1,377,797 | |||||
Cisco Systems, Inc. | 505,620 | 24,982,684 | ||||||
F5 Networks, Inc. * | 22,687 | 3,185,709 | ||||||
|
| |||||||
29,546,190 | ||||||||
|
| |||||||
Consumer Finance - 0.7% | ||||||||
Capital One Financial Corp. | 9,156 | 833,013 | ||||||
Credit Acceptance Corp. * | 6,587 | 3,038,649 | ||||||
OneMain Holdings, Inc. | 14,028 | 514,547 | ||||||
Santander Consumer USA Holdings, Inc. | 20,697 | 527,980 | ||||||
Synchrony Financial | 155,496 | 5,300,859 | ||||||
|
| |||||||
10,215,048 | ||||||||
|
| |||||||
Distributors - 0.1% | ||||||||
LKQ Corp. * | 30,523 | 959,948 | ||||||
|
| |||||||
Diversified Consumer Services - 1.1% | ||||||||
Graham Holdings Co., Class B | 6,894 | 4,573,824 | ||||||
Grand Canyon Education, Inc. * | 20,212 | 1,984,819 | ||||||
H&R Block, Inc. | 153,357 | 3,622,292 | ||||||
Service Corp. International | 9,619 | 459,884 | ||||||
ServiceMaster Global Holdings, Inc. * | 84,843 | 4,742,724 | ||||||
|
| |||||||
15,383,543 | ||||||||
|
| |||||||
Diversified Financial Services - 1.7% | ||||||||
AXA Equitable Holdings, Inc. | 169,058 | 3,746,325 | ||||||
Berkshire Hathaway, Inc., Class B * | 101,606 | 21,136,080 | ||||||
|
| |||||||
24,882,405 | ||||||||
|
| |||||||
Diversified Telecommunication Services - 0.0% (b) | ||||||||
Verizon Communications, Inc. | 9,642 | 581,991 | ||||||
|
| |||||||
Electric Utilities - 2.2% | ||||||||
American Electric Power Co., Inc. | 11,160 | 1,045,580 | ||||||
Exelon Corp. | 427,699 | 20,662,139 | ||||||
Pinnacle West Capital Corp. | 105,564 | 10,247,098 | ||||||
|
| |||||||
31,954,817 | ||||||||
|
| |||||||
Electrical Equipment - 0.3% | ||||||||
Eaton Corp. plc | 59,110 | 4,914,996 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 1.6% | ||||||||
Arrow Electronics, Inc. * | 33,652 | 2,509,766 | ||||||
Avnet, Inc. | 24,940 | 1,109,456 | ||||||
CDW Corp. | 73,616 | 9,072,436 | ||||||
Jabil, Inc. | 76,691 | 2,743,237 | ||||||
Zebra Technologies Corp., Class A * | 37,469 | 7,732,477 | ||||||
|
| |||||||
23,167,372 | ||||||||
|
| |||||||
Entertainment - 0.9% | ||||||||
Electronic Arts, Inc. *(a) | 39,461 | 3,860,075 | ||||||
Viacom, Inc., Class B | 29,280 | 703,598 | ||||||
Walt Disney Co. (The) | 58,693 | 7,648,872 | ||||||
|
| |||||||
12,212,545 | ||||||||
|
| |||||||
Food & Staples Retailing - 1.0% | ||||||||
Casey’s General Stores, Inc. | 2,865 | 461,723 | ||||||
Costco Wholesale Corp. | 10,409 | 2,998,937 | ||||||
Kroger Co. (The) | 186,974 | 4,820,190 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
50
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Food & Staples Retailing - 1.0% (continued) | ||||||||
Walmart, Inc. | 56,227 | $ | 6,673,020 | |||||
|
| |||||||
14,953,870 | ||||||||
|
| |||||||
Food Products - 2.3% | ||||||||
Archer-Daniels-Midland Co. | 146,593 | 6,020,574 | ||||||
Bunge Ltd. | 56,821 | 3,217,205 | ||||||
General Mills, Inc. | 64,908 | 3,577,729 | ||||||
Pilgrim’s Pride Corp. * | 133,502 | 4,278,072 | ||||||
Tyson Foods, Inc., Class A | 187,806 | 16,177,609 | ||||||
|
| |||||||
33,271,189 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 3.1% | ||||||||
Abbott Laboratories | 82,953 | 6,940,677 | ||||||
Align Technology, Inc. * | 14,635 | 2,647,764 | ||||||
Baxter International, Inc. | 72,617 | 6,351,809 | ||||||
Danaher Corp. | 133,849 | 19,331,811 | ||||||
Edwards Lifesciences Corp. * | 2,626 | 577,484 | ||||||
Medtronic plc | 88,396 | 9,601,574 | ||||||
|
| |||||||
45,451,119 | ||||||||
|
| |||||||
Health Care Providers & Services - 3.2% | ||||||||
AmerisourceBergen Corp. | 31,536 | 2,596,359 | ||||||
Anthem, Inc. | 39,726 | 9,538,213 | ||||||
Cardinal Health, Inc. | 142,095 | 6,705,463 | ||||||
Centene Corp. * | 26,082 | 1,128,307 | ||||||
Henry Schein, Inc. * | 7,867 | 499,555 | ||||||
McKesson Corp. | 60,581 | 8,278,999 | ||||||
MEDNAX, Inc. * | 152,458 | 3,448,600 | ||||||
Molina Healthcare, Inc. * | 45,094 | 4,947,714 | ||||||
UnitedHealth Group, Inc. | 7,470 | 1,623,380 | ||||||
Universal Health Services, Inc., Class B | 49,204 | 7,319,095 | ||||||
|
| |||||||
46,085,685 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.2% | ||||||||
Carnival Corp. | 41,783 | 1,826,335 | ||||||
Darden Restaurants, Inc. | 105,950 | 12,525,409 | ||||||
Norwegian Cruise Line Holdings Ltd. * | 209,039 | 10,821,949 | ||||||
Starbucks Corp. | 79,366 | 7,017,542 | ||||||
|
| |||||||
32,191,235 | ||||||||
|
| |||||||
Household Durables - 1.1% | ||||||||
PulteGroup, Inc. | 303,491 | 11,092,596 | ||||||
Roku, Inc. *(a) | 25,111 | 2,555,296 | ||||||
Toll Brothers, Inc. | 62,687 | 2,573,301 | ||||||
|
| |||||||
16,221,193 | ||||||||
|
| |||||||
Household Products - 2.4% | ||||||||
Clorox Co. (The) | 18,133 | 2,753,859 | ||||||
Procter & Gamble Co. (The) | 258,386 | 32,138,050 | ||||||
|
| |||||||
34,891,909 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.1% | ||||||||
Vistra Energy Corp. | 45,975 | 1,228,912 | ||||||
|
| |||||||
Insurance - 9.0% | ||||||||
Aflac, Inc. | 177,962 | 9,310,972 | ||||||
Allstate Corp. (The) | 183,802 | 19,975,601 | ||||||
American Financial Group, Inc. | 32,791 | 3,536,509 | ||||||
Arch Capital Group Ltd. * | 122,722 | 5,151,870 | ||||||
Assurant, Inc. | 18,243 | 2,295,334 |
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 9.0% (continued) | ||||||||
Assured Guaranty Ltd. | 154,457 | $ | 6,867,158 | |||||
Athene Holding Ltd., Class A * | 204,083 | 8,583,731 | ||||||
Brighthouse Financial, Inc. * | 128,825 | 5,213,548 | ||||||
CNA Financial Corp. | 19,946 | 982,340 | ||||||
Erie Indemnity Co., Class A | 4,271 | 792,911 | ||||||
Everest Re Group Ltd. | 49,295 | 13,116,907 | ||||||
First American Financial Corp. | 120,875 | 7,132,834 | ||||||
Hartford Financial Services Group, Inc. (The) | 40,574 | 2,459,190 | ||||||
MetLife, Inc. | 112,153 | 5,289,135 | ||||||
Old Republic International Corp. | 190,405 | 4,487,846 | ||||||
Progressive Corp. (The) | 143,971 | 11,121,760 | ||||||
Reinsurance Group of America, Inc. | 54,703 | 8,745,916 | ||||||
Travelers Cos., Inc. (The) | 101,413 | 15,079,099 | ||||||
|
| |||||||
130,142,661 | ||||||||
|
| |||||||
Interactive Media & Services - 6.7% | ||||||||
Alphabet, Inc., Class A * | 25,676 | 31,353,991 | ||||||
Alphabet, Inc., Class C * | 15,827 | 19,293,113 | ||||||
Facebook, Inc., Class A * | 167,414 | 29,813,085 | ||||||
Match Group, Inc. (a) | 15,735 | 1,124,108 | ||||||
TripAdvisor, Inc. * | 136,884 | 5,294,673 | ||||||
Twitter, Inc. * | 246,715 | 10,164,658 | ||||||
|
| |||||||
97,043,628 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 1.5% | ||||||||
Amazon.com, Inc. * | 12,423 | 21,565,210 | ||||||
|
| |||||||
IT Services - 4.7% | ||||||||
Accenture plc, Class A | 16,917 | 3,253,985 | ||||||
Akamai Technologies, Inc. * | 171,733 | 15,692,962 | ||||||
Alliance Data Systems Corp. | 5,437 | 696,643 | ||||||
Booz Allen Hamilton Holding Corp. | �� | 84,209 | 5,980,523 | |||||
Broadridge Financial Solutions, Inc. | 6,811 | 847,493 | ||||||
CACI International, Inc., Class A * | 11,676 | 2,700,192 | ||||||
Cognizant Technology Solutions Corp., Class A | 116,672 | 7,031,238 | ||||||
DXC Technology Co. | 30,700 | 905,650 | ||||||
EPAM Systems, Inc. * | 11,991 | 2,186,199 | ||||||
Euronet Worldwide, Inc. * | 6,521 | 954,022 | ||||||
International Business Machines Corp. | 56,425 | 8,205,323 | ||||||
Leidos Holdings, Inc. | 28,042 | 2,408,247 | ||||||
PayPal Holdings, Inc. * | 36,137 | 3,743,432 | ||||||
VeriSign, Inc. * | 23,064 | 4,350,562 | ||||||
Visa, Inc., Class A | 48,109 | 8,275,229 | ||||||
|
| |||||||
67,231,700 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 2.3% | ||||||||
Charles River Laboratories International, Inc. * | 68,986 | 9,131,677 | ||||||
IQVIA Holdings, Inc. * | 20,647 | 3,084,249 | ||||||
PRA Health Sciences, Inc. * | 19,669 | 1,951,755 | ||||||
Thermo Fisher Scientific, Inc. | 63,565 | 18,514,577 | ||||||
|
| |||||||
32,682,258 | ||||||||
|
| |||||||
Machinery - 1.1% | ||||||||
AGCO Corp. (a) | 25,110 | 1,900,827 | ||||||
Allison Transmission Holdings, Inc. | 72,855 | 3,427,828 | ||||||
Cummins, Inc. | 19,425 | 3,159,865 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
51
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Machinery - 1.1% (continued) | ||||||||
Oshkosh Corp. | 104,439 | $ | 7,916,476 | |||||
|
| |||||||
16,404,996 | ||||||||
|
| |||||||
Media - 1.8% | ||||||||
AMC Networks, Inc., Class A * | 130,207 | 6,400,976 | ||||||
Comcast Corp., Class A | 213,635 | 9,630,666 | ||||||
Discovery, Inc., Class A *(a) | 76,902 | 2,047,900 | ||||||
Nexstar Media Group, Inc., Class A | 8,048 | 823,391 | ||||||
Omnicom Group, Inc. | 6,337 | 496,187 | ||||||
Sinclair Broadcast Group, Inc., Class A | 155,678 | 6,653,678 | ||||||
|
| |||||||
26,052,798 | ||||||||
|
| |||||||
Multiline Retail - 0.5% | ||||||||
Kohl’s Corp. (a) | 95,671 | 4,751,022 | ||||||
Macy’s, Inc. (a) | 36,075 | 560,605 | ||||||
Target Corp. | 17,227 | 1,841,739 | ||||||
|
| |||||||
7,153,366 | ||||||||
|
| |||||||
Multi-Utilities - 2.0% | ||||||||
Ameren Corp. | 210,073 | 16,816,344 | ||||||
Consolidated Edison, Inc. | 53,597 | 5,063,308 | ||||||
DTE Energy Co. | 19,956 | 2,653,350 | ||||||
Public Service Enterprise Group, Inc. | 62,100 | 3,855,168 | ||||||
|
| |||||||
28,388,170 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 0.4% | ||||||||
HollyFrontier Corp. | 81,032 | 4,346,556 | ||||||
Pioneer Natural Resources Co. | 10,426 | 1,311,278 | ||||||
|
| |||||||
5,657,834 | ||||||||
|
| |||||||
Personal Products - 0.3% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 16,214 | 3,225,776 | ||||||
Nu Skin Enterprises, Inc., Class A | 10,808 | 459,664 | ||||||
|
| |||||||
3,685,440 | ||||||||
|
| |||||||
Pharmaceuticals - 4.4% | ||||||||
Allergan plc | 17,701 | 2,978,901 | ||||||
Bristol-Myers Squibb Co. | 75,070 | 3,806,800 | ||||||
Eli Lilly & Co. | 34,757 | 3,886,875 | ||||||
Horizon Therapeutics plc * | 123,906 | 3,373,960 | ||||||
Jazz Pharmaceuticals plc * | 9,347 | 1,197,725 | ||||||
Johnson & Johnson | 122,504 | 15,849,568 | ||||||
Merck & Co., Inc. | 191,236 | 16,098,246 | ||||||
Mylan NV * | 378,784 | 7,492,348 | ||||||
Pfizer, Inc. | 241,888 | 8,691,036 | ||||||
|
| |||||||
63,375,459 | ||||||||
|
| |||||||
Professional Services - 0.7% | ||||||||
ManpowerGroup, Inc. | 30,023 | 2,529,138 | ||||||
Robert Half International, Inc. | 144,737 | 8,056,061 | ||||||
|
| |||||||
10,585,199 | ||||||||
|
| |||||||
Road & Rail - 0.1% | ||||||||
AMERCO | 1,585 | 618,213 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 5.2% | ||||||||
Applied Materials, Inc. | 93,626 | 4,671,937 | ||||||
Intel Corp. | 367,682 | 18,946,653 | ||||||
Lam Research Corp. | 57,073 | 13,190,141 | ||||||
Micron Technology, Inc. * | 409,316 | 17,539,191 |
INVESTMENTS | SHARES | VALUE | ||||||
Semiconductors & Semiconductor Equipment - 5.2% (continued) | ||||||||
ON Semiconductor Corp. * | 277,047 | $ | 5,322,073 | |||||
Qorvo, Inc. * | 37,902 | 2,810,054 | ||||||
Skyworks Solutions, Inc. | 18,098 | 1,434,267 | ||||||
Teradyne, Inc. | 62,497 | 3,619,201 | ||||||
Texas Instruments, Inc. | 22,177 | 2,866,156 | ||||||
Xilinx, Inc. | 54,376 | 5,214,658 | ||||||
|
| |||||||
75,614,331 | ||||||||
|
| |||||||
Software - 8.8% | ||||||||
Adobe, Inc. * | 39,735 | 10,976,794 | ||||||
Cadence Design Systems, Inc. * | 137,875 | 9,110,780 | ||||||
Fortinet, Inc. * | 99,751 | 7,656,887 | ||||||
Manhattan Associates, Inc. * | 44,535 | 3,592,638 | ||||||
Microsoft Corp. | 500,038 | 69,520,283 | ||||||
Oracle Corp. | 223,198 | 12,282,586 | ||||||
Paycom Software, Inc. * | 22,510 | 4,715,620 | ||||||
Trade Desk, Inc. (The), Class A * | 11,504 | 2,157,575 | ||||||
VMware, Inc., Class A | 43,333 | 6,502,550 | ||||||
|
| |||||||
126,515,713 | ||||||||
|
| |||||||
Specialty Retail - 2.7% | ||||||||
Advance Auto Parts, Inc. (a) | 12,436 | 2,056,914 | ||||||
AutoNation, Inc. * | 25,435 | 1,289,554 | ||||||
Dick’s Sporting Goods, Inc. | 21,981 | 897,045 | ||||||
Foot Locker, Inc. | 240,548 | 10,382,052 | ||||||
Ross Stores, Inc. | 8,883 | 975,798 | ||||||
TJX Cos., Inc. (The) | 139,015 | 7,748,696 | ||||||
Ulta Beauty, Inc. * | 9,371 | 2,348,841 | ||||||
Urban Outfitters, Inc. * | 138,569 | 3,892,403 | ||||||
Williams-Sonoma, Inc. | 145,772 | 9,909,581 | ||||||
|
| |||||||
39,500,884 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 2.9% | ||||||||
Apple, Inc. | 170,536 | 38,194,948 | ||||||
Xerox Holdings Corp. | 124,188 | 3,714,463 | ||||||
|
| |||||||
41,909,411 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.7% | ||||||||
Columbia Sportswear Co. (a) | 15,250 | 1,477,573 | ||||||
Lululemon Athletica, Inc. * | 13,031 | 2,508,858 | ||||||
NIKE, Inc., Class B | 5,145 | 483,218 | ||||||
Skechers U.S.A., Inc., Class A * | 165,979 | 6,199,316 | ||||||
|
| |||||||
10,668,965 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.5% | ||||||||
MGIC Investment Corp. | 549,214 | 6,909,112 | ||||||
New York Community Bancorp, Inc. | 60,953 | 764,960 | ||||||
|
| |||||||
7,674,072 | ||||||||
|
| |||||||
Tobacco - 0.8% | ||||||||
Altria Group, Inc. | 127,125 | 5,199,413 | ||||||
Philip Morris International, Inc. | 80,942 | 6,145,926 | ||||||
|
| |||||||
11,345,339 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.1% | ||||||||
Air Lease Corp. | 23,005 | 962,069 | ||||||
|
| |||||||
Transportation Infrastructure - 0.0% (b) | ||||||||
Macquarie Infrastructure Corp. | 14,016 | 553,212 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,418,174,536 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
52
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
SHORT-TERM INVESTMENTS - 1.9% | ||||||||
INVESTMENT COMPANIES - 1.9% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $26,526,392) | 26,527,532 | $ | 26,530,185 | |||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.7% | ||||||||
Investment Companies - 0.7% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (c)(d) | 1,269,566 | 1,269,566 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (c)(d) | 9,110,387 | 9,111,298 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 10,380,864 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.6% |
| 1,455,085,585 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6)% (e) | (8,033,049) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 1,447,052,536 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 135,890,962 | 9.4 | % | ||||
Consumer Discretionary | 143,644,344 | 9.9 | ||||||
Consumer Staples | 105,702,658 | 7.3 | ||||||
Energy | 5,657,834 | 0.4 | ||||||
Financials | 258,776,829 | 17.9 | ||||||
Health Care | 231,520,954 | 16.0 | ||||||
Industrials | 109,372,864 | 7.6 | ||||||
Information Technology | 363,984,718 | 25.1 | ||||||
Materials | 2,051,475 | 0.1 | ||||||
Utilities | 61,571,898 | 4.3 | ||||||
Short-Term Investments | 26,530,185 | 1.9 | ||||||
Securities Lending Collateral | 10,380,864 | 0.7 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 1,455,085,585 | 100.6 | ||||||
Liabilities in Excess of Other Assets (e) | (8,033,049 | ) | (0.6 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 1,447,052,536 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $10,042,722. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
S&P 500E-Mini Index | 95 | 12/2019 | USD | $14,147,875 | $(102,358 | ) | ||||||||||||
|
| |||||||||||||||||
$(102,358 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
GSCO | ||||||||||||
Cash | $— | $1,325,408 | $1,325,408 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
53
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 98.1% | ||||||||
Aerospace & Defense - 2.4% | ||||||||
AAR Corp. | 7,851 | $ | 323,540 | |||||
Aerojet Rocketdyne Holdings, Inc. *(a) | 34,005 | 1,717,593 | ||||||
Astronics Corp. * | 85,796 | 2,520,687 | ||||||
Axon Enterprise, Inc. *(a) | 10,666 | 605,616 | ||||||
Ducommun, Inc. * | 7,005 | 297,012 | ||||||
Mercury Systems, Inc. * | 37,613 | 3,053,047 | ||||||
Moog, Inc., Class A (a) | 21,470 | 1,741,646 | ||||||
National Presto Industries, Inc. (a) | 7,871 | 701,227 | ||||||
Vectrus, Inc. * | 51,665 | 2,100,182 | ||||||
Wesco Aircraft Holdings, Inc. * | 26,342 | 290,025 | ||||||
|
| |||||||
13,350,575 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.1% | ||||||||
Hub Group, Inc., Class A * | 6,851 | 318,572 | ||||||
|
| |||||||
Airlines - 0.6% | ||||||||
Allegiant Travel Co. | 5,157 | 771,797 | ||||||
Hawaiian Holdings, Inc. | 18,265 | 479,639 | ||||||
SkyWest, Inc. | 18,911 | 1,085,491 | ||||||
Spirit Airlines, Inc. *(a) | 22,895 | 831,088 | ||||||
|
| |||||||
3,168,015 | ||||||||
|
| |||||||
Auto Components - 0.7% | ||||||||
Dana, Inc. | 180,191 | 2,601,958 | ||||||
LCI Industries | 13,318 | 1,223,258 | ||||||
Stoneridge, Inc. * | 9,601 | 297,343 | ||||||
|
| |||||||
4,122,559 | ||||||||
|
| |||||||
Automobiles - 0.1% | ||||||||
Winnebago Industries, Inc. (a) | 21,124 | 810,105 | ||||||
|
| |||||||
Banks - 6.2% | ||||||||
1st Source Corp. | 11,573 | 529,233 | ||||||
Ameris Bancorp | 15,164 | 610,199 | ||||||
BancFirst��Corp. | 7,570 | 419,529 | ||||||
Bancorp, Inc. (The) * | 68,694 | 680,071 | ||||||
Bank of NT Butterfield & Son Ltd. (The) | 24,758 | 733,827 | ||||||
Brookline Bancorp, Inc. | 19,117 | 281,593 | ||||||
Cathay General Bancorp (a) | 80,018 | 2,779,425 | ||||||
City Holding Co. | 2,849 | 217,236 | ||||||
Enterprise Financial Services Corp. | 7,269 | 296,212 | ||||||
First Bancorp/PR | 253,687 | 2,531,796 | ||||||
First Busey Corp. | 8,773 | 221,782 | ||||||
First Interstate BancSystem, Inc., Class A | 51,419 | 2,069,101 | ||||||
First Merchants Corp. | 42,429 | 1,596,815 | ||||||
First Midwest Bancorp, Inc. | 13,483 | 262,649 | ||||||
Flushing Financial Corp. | 13,783 | 278,486 | ||||||
Fulton Financial Corp. | 94,641 | 1,531,291 | ||||||
Great Southern Bancorp, Inc. | 18,354 | 1,045,260 | ||||||
Great Western Bancorp, Inc. (a) | 83,676 | 2,761,308 | ||||||
Hancock Whitney Corp. | 47,973 | 1,837,126 | ||||||
Heartland Financial USA, Inc. | 16,109 | 720,717 | ||||||
Hope Bancorp, Inc. | 32,394 | 464,530 | ||||||
IBERIABANK Corp. | 5,228 | 394,923 | ||||||
Independent Bank Corp. | 3,460 | 258,289 | ||||||
International Bancshares Corp. | 72,775 | 2,810,571 | ||||||
LegacyTexas Financial Group, Inc. | 13,859 | 603,282 | ||||||
Midland States Bancorp, Inc. | 9,609 | 250,315 |
INVESTMENTS | SHARES | VALUE | ||||||
Banks - 6.2% (continued) | ||||||||
NBT Bancorp, Inc. | 27,750 | $ | 1,015,373 | |||||
OFG Bancorp | 144,931 | 3,173,989 | ||||||
Old National Bancorp (a) | 10,958 | 188,532 | ||||||
Park National Corp. | 2,795 | 264,994 | ||||||
Preferred Bank | 6,179 | 323,656 | ||||||
Renasant Corp. | 8,581 | 300,421 | ||||||
S&T Bancorp, Inc. | 5,602 | 204,641 | ||||||
Sandy Spring Bancorp, Inc. | 7,575 | 255,353 | ||||||
ServisFirst Bancshares, Inc. | 8,289 | 274,780 | ||||||
Simmons First National Corp., Class A | 17,911 | 445,984 | ||||||
Stock Yards Bancorp, Inc. | 6,968 | 255,656 | ||||||
TriCo Bancshares | 6,437 | 233,663 | ||||||
Trustmark Corp. | 20,811 | 709,863 | ||||||
United Bankshares, Inc. | 4,216 | 159,660 | ||||||
WesBanco, Inc. | 10,629 | 397,206 | ||||||
|
| |||||||
34,389,337 | ||||||||
|
| |||||||
Beverages - 0.1% | ||||||||
National Beverage Corp. (a) | 6,168 | 273,613 | ||||||
|
| |||||||
Biotechnology - 7.2% | ||||||||
ACADIA Pharmaceuticals, Inc. *(a) | 30,025 | 1,080,600 | ||||||
Affimed NV (Germany) *(a) | 140,662 | 413,546 | ||||||
Amicus Therapeutics, Inc. * | 61,340 | 491,947 | ||||||
Anika Therapeutics, Inc. * | 23,704 | 1,301,113 | ||||||
Arena Pharmaceuticals, Inc. * | 15,804 | 723,349 | ||||||
Arrowhead Pharmaceuticals, Inc. *(a) | 97,467 | 2,746,620 | ||||||
BioSpecifics Technologies Corp. * | 33,461 | 1,790,833 | ||||||
CareDx, Inc. * | 71,144 | 1,608,566 | ||||||
Denali Therapeutics, Inc. *(a) | 38,071 | 583,248 | ||||||
Eagle Pharmaceuticals, Inc. *(a) | 38,716 | 2,190,164 | ||||||
Emergent BioSolutions, Inc. * | 50,797 | 2,655,667 | ||||||
Enanta Pharmaceuticals, Inc. *(a) | 39,897 | 2,397,012 | ||||||
Genomic Health, Inc. * | 14,389 | 975,862 | ||||||
Halozyme Therapeutics, Inc. * | 44,786 | 694,631 | ||||||
Insmed, Inc. *(a) | 27,807 | 490,515 | ||||||
Intercept Pharmaceuticals, Inc. * | 6,817 | 452,376 | ||||||
Invitae Corp. *(a) | 89,330 | 1,721,389 | ||||||
Ligand Pharmaceuticals, Inc. *(a) | 16,854 | 1,677,647 | ||||||
Myriad Genetics, Inc. *(a) | 78,418 | 2,245,107 | ||||||
Natera, Inc. * | 19,498 | 639,534 | ||||||
PDL BioPharma, Inc. * | 516,814 | 1,116,318 | ||||||
Portola Pharmaceuticals, Inc. *(a) | 18,850 | 505,557 | ||||||
PTC Therapeutics, Inc. * | 6,425 | 217,294 | ||||||
REGENXBIO, Inc. * | 4,213 | 149,983 | ||||||
Repligen Corp. * | 68,199 | 5,230,181 | ||||||
Spark Therapeutics, Inc. * | 9,940 | 963,981 | ||||||
Veracyte, Inc. * | 84,534 | 2,028,816 | ||||||
Vericel Corp. *(a) | 104,063 | 1,575,514 | ||||||
Voyager Therapeutics, Inc. * | 19,690 | 338,865 | ||||||
Xencor, Inc. *(a) | 28,569 | 963,632 | ||||||
|
| |||||||
39,969,867 | ||||||||
|
| |||||||
Building Products - 1.9% | ||||||||
American Woodmark Corp. * | 3,837 | 341,148 | ||||||
Builders FirstSource, Inc. * | 278,966 | 5,739,725 | ||||||
Patrick Industries, Inc. * | 50,419 | 2,161,967 | ||||||
Universal Forest Products, Inc. | 60,139 | 2,398,343 | ||||||
|
| |||||||
10,641,183 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
54
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Capital Markets - 1.0% | ||||||||
Artisan Partners Asset Management, Inc., Class A | 10,279 | $ | 290,279 | |||||
Blucora, Inc. * | 16,620 | 359,657 | ||||||
Cohen & Steers, Inc. | 9,076 | 498,544 | ||||||
Cowen, Inc., Class A *(a) | 12,625 | 194,299 | ||||||
INTL. FCStone, Inc. * | 5,079 | 208,543 | ||||||
Stifel Financial Corp. | 13,802 | 791,959 | ||||||
Waddell & Reed Financial, Inc., Class A | 184,182 | 3,164,247 | ||||||
|
| |||||||
5,507,528 | ||||||||
|
| |||||||
Chemicals - 0.4% | ||||||||
Stepan Co. | 20,816 | 2,020,401 | ||||||
|
| |||||||
Commercial Services & Supplies - 2.7% | ||||||||
ABM Industries, Inc. | 56,795 | 2,062,794 | ||||||
ACCO Brands Corp. | 74,355 | 733,884 | ||||||
Advanced Disposal Services, Inc. * | 21,788 | 709,635 | ||||||
Brady Corp., Class A | 10,889 | 577,661 | ||||||
Deluxe Corp. | 7,109 | 349,478 | ||||||
Ennis, Inc. | 66,693 | 1,347,866 | ||||||
Herman Miller, Inc. | 42,255 | 1,947,533 | ||||||
HNI Corp. | 15,615 | 554,333 | ||||||
Kimball International, Inc., Class B | 52,460 | 1,012,478 | ||||||
Knoll, Inc. | 40,535 | 1,027,562 | ||||||
McGrath RentCorp | 6,297 | 438,208 | ||||||
Steelcase, Inc., Class A | 170,719 | 3,141,230 | ||||||
UniFirst Corp. | 3,702 | 722,334 | ||||||
Viad Corp. | 4,124 | 276,927 | ||||||
|
| |||||||
14,901,923 | ||||||||
|
| |||||||
Communications Equipment - 0.4% | ||||||||
Acacia Communications, Inc. * | 5,650 | 369,510 | ||||||
Comtech Telecommunications Corp. | 31,633 | 1,028,073 | ||||||
Lumentum Holdings, Inc. * | 3,033 | 162,447 | ||||||
NETGEAR, Inc. * | 12,811 | 412,770 | ||||||
|
| |||||||
1,972,800 | ||||||||
|
| |||||||
Construction & Engineering - 2.3% | ||||||||
Arcosa, Inc. | 4,832 | 165,303 | ||||||
Comfort Systems USA, Inc. (a) | 8,748 | 386,924 | ||||||
EMCOR Group, Inc. | 48,749 | 4,198,264 | ||||||
Great Lakes Dredge & Dock Corp. * | 241,258 | 2,521,146 | ||||||
MasTec, Inc. * | 51,657 | 3,354,089 | ||||||
MYR Group, Inc. * | 41,264 | 1,291,151 | ||||||
Sterling Construction Co., Inc. * | 25,657 | 337,389 | ||||||
Tutor Perini Corp. *(a) | 42,475 | 608,667 | ||||||
|
| |||||||
12,862,933 | ||||||||
|
| |||||||
Construction Materials - 0.2% | ||||||||
Summit Materials, Inc., Class A * | 30,932 | 686,690 | ||||||
US Concrete, Inc. * | 5,720 | 316,202 | ||||||
|
| |||||||
1,002,892 | ||||||||
|
| |||||||
Consumer Finance - 0.1% | ||||||||
Nelnet, Inc., Class A | 10,933 | 695,339 | ||||||
|
| |||||||
Distributors - 0.1% | ||||||||
Core-Mark Holding Co., Inc. | 17,918 | 575,437 | ||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Diversified Consumer Services - 1.3% | ||||||||
Adtalem Global Education, Inc. * | 43,877 | $ | 1,671,275 | |||||
American Public Education, Inc. * | 59,565 | 1,330,682 | ||||||
Career Education Corp. *(a) | 17,579 | 279,330 | ||||||
K12, Inc. * | 125,276 | 3,307,287 | ||||||
Laureate Education, Inc., Class A * | 26,984 | 447,260 | ||||||
Regis Corp. * | 10,683 | 216,010 | ||||||
|
| |||||||
7,251,844 | ||||||||
|
| |||||||
Diversified Financial Services - 0.1% | ||||||||
Cannae Holdings, Inc. * | 9,855 | 270,717 | ||||||
|
| |||||||
Diversified Telecommunication Services - 0.8% | ||||||||
ATN International, Inc. | 14,570 | 850,451 | ||||||
Bandwidth, Inc., Class A *(a) | 18,087 | 1,177,645 | ||||||
Frontier Communications Corp. *(a) | 101,962 | 88,401 | ||||||
Iridium Communications, Inc. * | 76,110 | 1,619,621 | ||||||
Vonage Holdings Corp. * | 40,604 | 458,825 | ||||||
|
| |||||||
4,194,943 | ||||||||
|
| |||||||
Electric Utilities - 2.2% | ||||||||
ALLETE, Inc. | 22,515 | 1,968,036 | ||||||
El Paso Electric Co. | 16,772 | 1,125,066 | ||||||
Genie Energy Ltd., Class B (a) | 83,639 | 623,947 | ||||||
Portland General Electric Co. | 149,323 | 8,417,337 | ||||||
|
| |||||||
12,134,386 | ||||||||
|
| |||||||
Electrical Equipment - 2.4% | ||||||||
American Superconductor Corp. *(a) | 94,290 | 739,233 | ||||||
Atkore International Group, Inc. * | 125,429 | 3,806,770 | ||||||
Encore Wire Corp. | 32,103 | 1,806,757 | ||||||
EnerSys (a) | 19,225 | 1,267,696 | ||||||
Generac Holdings, Inc. *(a) | 49,532 | 3,880,337 | ||||||
Sunrun, Inc. *(a) | 70,377 | 1,175,648 | ||||||
Vicor Corp. * | 10,007 | 295,407 | ||||||
|
| |||||||
12,971,848 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 3.3% | ||||||||
AVX Corp. | 22,976 | 349,235 | ||||||
Belden, Inc. | 4,561 | 243,284 | ||||||
Coda Octopus Group, Inc. *(a) | 59,701 | 490,145 | ||||||
CTS Corp. | 9,383 | 303,634 | ||||||
ePlus, Inc. * | 14,105 | 1,073,249 | ||||||
Fabrinet (Thailand) * | 33,773 | 1,766,328 | ||||||
II-VI, Inc. *(a) | 7,979 | 280,941 | ||||||
Insight Enterprises, Inc. * | 78,883 | 4,392,994 | ||||||
KEMET Corp. | 141,653 | 2,575,252 | ||||||
PC Connection, Inc. | 24,955 | 970,749 | ||||||
Sanmina Corp. * | 9,667 | 310,407 | ||||||
Tech Data Corp. * | 39,194 | 4,085,583 | ||||||
Vishay Intertechnology, Inc. | 83,847 | 1,419,530 | ||||||
|
| |||||||
18,261,331 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.2% | ||||||||
ProPetro Holding Corp. * | 89,963 | 817,764 | ||||||
|
| |||||||
Entertainment - 0.1% | ||||||||
Marcus Corp. (The) | 12,090 | 447,451 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
55
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Equity Real Estate Investment Trusts (REITs) - 3.2% | ||||||||
Braemar Hotels & Resorts, Inc. | 41,280 | $ | 387,619 | |||||
CoreCivic, Inc. | 38,644 | 667,768 | ||||||
DiamondRock Hospitality Co. | 100,045 | 1,025,461 | ||||||
EastGroup Properties, Inc. | 4,452 | 556,589 | ||||||
First Industrial Realty Trust, Inc. | 52,249 | 2,066,971 | ||||||
GEO Group, Inc. (The) | 52,351 | 907,766 | ||||||
Kite Realty Group Trust | 12,957 | 209,256 | ||||||
Lexington Realty Trust | 124,181 | 1,272,855 | ||||||
LTC Properties, Inc. | 4,682 | 239,812 | ||||||
Mack-Cali Realty Corp. | 27,244 | 590,105 | ||||||
National Health Investors, Inc. | 3,290 | 271,063 | ||||||
Park Hotels & Resorts, Inc. | 8,219 | 205,229 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 46,069 | 961,921 | ||||||
PS Business Parks, Inc. | 8,690 | 1,581,146 | ||||||
RLJ Lodging Trust | 144,699 | 2,458,436 | ||||||
RPT Realty | 16,686 | 226,095 | ||||||
Saul Centers, Inc. | 3,134 | 170,834 | ||||||
Sunstone Hotel Investors, Inc. | 121,780 | 1,673,257 | ||||||
Universal Health Realty Income Trust | 6,622 | 680,742 | ||||||
Xenia Hotels & Resorts, Inc. | 68,859 | 1,454,302 | ||||||
|
| |||||||
17,607,227 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.5% | ||||||||
BJ’s Wholesale Club Holdings, Inc. * | 38,993 | 1,008,749 | ||||||
Ingles Markets, Inc., Class A | 40,748 | 1,583,467 | ||||||
Weis Markets, Inc. | 9,674 | 368,967 | ||||||
|
| |||||||
2,961,183 | ||||||||
|
| |||||||
Food Products - 0.4% | ||||||||
John B Sanfilippo & Son, Inc. | 19,030 | 1,838,298 | ||||||
Lancaster Colony Corp. (a) | 2,050 | 284,233 | ||||||
|
| |||||||
2,122,531 | ||||||||
|
| |||||||
Gas Utilities - 0.4% | ||||||||
New Jersey Resources Corp. | 14,194 | 641,853 | ||||||
ONE Gas, Inc. (a) | 6,300 | 605,493 | ||||||
Southwest Gas Holdings, Inc. | 12,414 | 1,130,170 | ||||||
|
| |||||||
2,377,516 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 3.0% | ||||||||
Conformis, Inc. * | 139,802 | 260,032 | ||||||
CONMED Corp. | 3,076 | 295,757 | ||||||
Globus Medical, Inc., Class A *(a) | 46,444 | 2,374,217 | ||||||
Haemonetics Corp. * | 25,458 | 3,211,272 | ||||||
Integer Holdings Corp. * | 41,652 | 3,147,225 | ||||||
IntriCon Corp. *(a) | 42,468 | 825,578 | ||||||
Lantheus Holdings, Inc. * | 86,688 | 2,172,835 | ||||||
LeMaitre Vascular, Inc. | 8,505 | 290,701 | ||||||
Neogen Corp. * | 2,837 | 193,228 | ||||||
Novocure Ltd. *(a) | 6,430 | 480,835 | ||||||
Quidel Corp. * | 30,129 | 1,848,414 | ||||||
Tandem Diabetes Care, Inc. *(a) | 28,029 | 1,653,151 | ||||||
|
| |||||||
16,753,245 | ||||||||
|
| |||||||
Health Care Providers & Services - 4.3% | ||||||||
Addus HomeCare Corp. * | 8,830 | 700,042 | ||||||
Amedisys, Inc. * | 40,775 | 5,341,933 | ||||||
AMN Healthcare Services, Inc. * | 33,413 | 1,923,252 | ||||||
BioTelemetry, Inc. * | 19,771 | 805,273 |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Providers & Services - 4.3% (continued) | ||||||||
CorVel Corp. * | 28,708 | $ | 2,173,196 | |||||
Ensign Group, Inc. (The) | 78,032 | 3,701,058 | ||||||
HealthEquity, Inc. * | 23,902 | 1,365,880 | ||||||
Joint Corp. (The) *(a) | 15,064 | 280,341 | ||||||
LHC Group, Inc. * | 2,548 | 289,351 | ||||||
Magellan Health, Inc. * | 22,277 | 1,383,402 | ||||||
National HealthCare Corp. | 3,839 | 314,222 | ||||||
National Research Corp. | 4,155 | 239,951 | ||||||
Patterson Cos., Inc. | 136,901 | 2,439,576 | ||||||
RadNet, Inc. * | 35,718 | 512,910 | ||||||
Select Medical Holdings Corp. * | 43,668 | 723,579 | ||||||
Tenet Healthcare Corp. * | 51,327 | 1,135,353 | ||||||
Triple-S Management Corp., Class B * | 13,663 | 183,084 | ||||||
|
| |||||||
23,512,403 | ||||||||
|
| |||||||
Health Care Technology - 1.6% | ||||||||
HMS Holdings Corp. * | 138,412 | 4,770,370 | ||||||
NextGen Healthcare, Inc. * | 34,062 | 533,751 | ||||||
Omnicell, Inc. * | 44,911 | 3,245,718 | ||||||
Teladoc Health, Inc. *(a) | 6,698 | 453,589 | ||||||
|
| |||||||
9,003,428 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 1.1% | ||||||||
BBX Capital Corp. | 45,016 | 210,225 | ||||||
BJ’s Restaurants, Inc. | 14,644 | 568,773 | ||||||
Brinker International, Inc. (a) | 46,980 | 2,004,637 | ||||||
Cheesecake Factory, Inc. (The) | 16,462 | 686,136 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 1,847 | 300,414 | ||||||
Dave & Buster’s Entertainment, Inc. | 8,368 | 325,934 | ||||||
Eldorado Resorts, Inc. *(a) | 18,780 | 748,758 | ||||||
Ruth’s Hospitality Group, Inc. | 50,342 | 1,027,732 | ||||||
Twin River Worldwide Holdings, Inc. (a) | 6,969 | 159,102 | ||||||
|
| |||||||
6,031,711 | ||||||||
|
| |||||||
Household Durables - 2.3% | ||||||||
Beazer Homes USA, Inc. * | 19,436 | 289,596 | ||||||
Hooker Furniture Corp. | 12,638 | 270,959 | ||||||
Installed Building Products, Inc. * | 8,835 | 506,599 | ||||||
La-Z-Boy, Inc. | 63,659 | 2,138,306 | ||||||
M/I Homes, Inc. * | 23,937 | 901,228 | ||||||
MDC Holdings, Inc. (a) | 27,726 | 1,194,990 | ||||||
Meritage Homes Corp. * | 43,886 | 3,087,380 | ||||||
Taylor Morrison Home Corp. * | 83,066 | 2,154,732 | ||||||
TopBuild Corp. * | 2,657 | 256,214 | ||||||
Turtle Beach Corp. *(a) | 116,334 | 1,357,618 | ||||||
Universal Electronics, Inc. * | 4,193 | 213,424 | ||||||
William Lyon Homes, Class A * | 27,874 | 567,515 | ||||||
|
| |||||||
12,938,561 | ||||||||
|
| |||||||
Household Products - 0.1% | ||||||||
WD-40 Co. | 2,726 | 500,330 | ||||||
|
| |||||||
Insurance - 5.1% | ||||||||
American Equity Investment Life Holding Co. | 92,176 | 2,230,659 | ||||||
eHealth, Inc. * | 42,350 | 2,828,556 | ||||||
Employers Holdings, Inc. | 89,000 | 3,878,620 | ||||||
FBL Financial Group, Inc., Class A | 4,313 | 256,667 | ||||||
Genworth Financial, Inc., Class A * | 141,430 | 622,292 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
56
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 5.1% (continued) | ||||||||
Goosehead Insurance, Inc., Class A (a) | 10,480 | $ | 517,188 | |||||
Health Insurance Innovations, Inc., Class A *(a) | 114,106 | 2,844,663 | ||||||
Heritage Insurance Holdings, Inc. | 40,918 | 611,724 | ||||||
Kinsale Capital Group, Inc. | 8,928 | 922,352 | ||||||
National General Holdings Corp. | 68,995 | 1,588,265 | ||||||
National Western Life Group, Inc., Class A | 6,404 | 1,718,641 | ||||||
Selective Insurance Group, Inc. | 68,248 | 5,131,567 | ||||||
Universal Insurance Holdings, Inc. | 161,292 | 4,837,147 | ||||||
|
| |||||||
27,988,341 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.1% | ||||||||
1-800-Flowers.com, Inc., Class A * | 34,691 | 513,253 | ||||||
|
| |||||||
IT Services - 3.1% | ||||||||
Cardtronics plc, Class A * | 109,426 | 3,309,042 | ||||||
CSG Systems International, Inc. | 9,537 | 492,872 | ||||||
EVERTEC, Inc. (a) | 90,046 | 2,811,236 | ||||||
Hackett Group, Inc. (The) | 31,485 | 518,243 | ||||||
KBR, Inc. (a) | 80,175 | 1,967,495 | ||||||
MAXIMUS, Inc. | 22,401 | 1,730,701 | ||||||
NIC, Inc. (a) | 35,843 | 740,158 | ||||||
Paysign, Inc. *(a) | 23,620 | 238,562 | ||||||
Perficient, Inc. *(a) | 12,894 | 497,451 | ||||||
Perspecta, Inc. | 48,628 | 1,270,163 | ||||||
Sykes Enterprises, Inc. * | 72,637 | 2,225,598 | ||||||
TTEC Holdings, Inc. | 7,701 | 368,724 | ||||||
Unisys Corp. * | 131,419 | 976,443 | ||||||
|
| |||||||
17,146,688 | ||||||||
|
| |||||||
Leisure Products - 0.5% | ||||||||
Acushnet Holdings Corp. | 34,311 | 905,810 | ||||||
Johnson Outdoors, Inc., Class A | 14,271 | 835,710 | ||||||
MasterCraft Boat Holdings, Inc. * | 58,528 | 873,530 | ||||||
Sturm Ruger & Co., Inc. (a) | 5,613 | 234,399 | ||||||
|
| |||||||
2,849,449 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 2.6% | ||||||||
Cambrex Corp. *(a) | 6,035 | 359,083 | ||||||
Medpace Holdings, Inc. * | 85,157 | 7,156,594 | ||||||
NanoString Technologies, Inc. * | 29,956 | 646,750 | ||||||
NeoGenomics, Inc. * | 111,517 | 2,132,205 | ||||||
Syneos Health, Inc. * | 72,427 | 3,853,841 | ||||||
|
| |||||||
14,148,473 | ||||||||
|
| |||||||
Machinery - 1.8% | ||||||||
Columbus McKinnon Corp. | 28,997 | 1,056,361 | ||||||
Commercial Vehicle Group, Inc. * | 164,011 | 1,182,519 | ||||||
Greenbrier Cos., Inc. (The) | 8,895 | 267,917 | ||||||
Harsco Corp. * | 24,476 | 464,065 | ||||||
John Bean Technologies Corp. | 2,462 | 244,797 | ||||||
Kennametal, Inc. | 31,610 | 971,691 | ||||||
Meritor, Inc. * | 216,097 | 3,997,795 | ||||||
Mueller Industries, Inc. | 28,010 | 803,327 | ||||||
Rexnord Corp. *(a) | 9,580 | 259,139 | ||||||
Wabash National Corp. | 28,769 | 417,438 | ||||||
|
| |||||||
9,665,049 | ||||||||
|
| |||||||
Media - 1.2% | ||||||||
Entravision Communications Corp., Class A | 201,037 | 639,298 |
INVESTMENTS | SHARES | VALUE | ||||||
Media - 1.2% (continued) | ||||||||
Fluent, Inc. *(a) | 217,161 | $ | 593,935 | |||||
Gannett Co., Inc. (a) | 34,356 | 368,984 | ||||||
Gray Television, Inc. *(a) | 84,231 | 1,374,650 | ||||||
MSG Networks, Inc., Class A * | 37,815 | 613,359 | ||||||
Scholastic Corp. | 19,299 | 728,730 | ||||||
TEGNA, Inc. | 159,208 | 2,472,500 | ||||||
|
| |||||||
6,791,456 | ||||||||
|
| |||||||
Metals & Mining - 1.6% | ||||||||
Carpenter Technology Corp. | 5,333 | 275,503 | ||||||
Cleveland-Cliffs, Inc. | 190,843 | 1,377,886 | ||||||
Commercial Metals Co. | 19,715 | 342,647 | ||||||
Schnitzer Steel Industries, Inc., Class A | 40,111 | 828,693 | ||||||
Warrior Met Coal, Inc. | 299,514 | 5,846,513 | ||||||
Worthington Industries, Inc. | 9,634 | 347,306 | ||||||
|
| |||||||
9,018,548 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.6% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 65,268 | 1,251,188 | ||||||
Blackstone Mortgage Trust, Inc., Class A | 33,505 | 1,201,154 | ||||||
Invesco Mortgage Capital, Inc. | 35,664 | 546,016 | ||||||
Redwood Trust, Inc. | 27,164 | 445,761 | ||||||
|
| |||||||
3,444,119 | ||||||||
|
| |||||||
Multi-Utilities - 1.2% | ||||||||
Avista Corp. (a) | 21,623 | 1,047,418 | ||||||
Black Hills Corp. | 22,378 | 1,717,064 | ||||||
NorthWestern Corp. | 53,868 | 4,042,793 | ||||||
|
| |||||||
6,807,275 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.1% | ||||||||
Abraxas Petroleum Corp. * | 395,581 | 200,757 | ||||||
Arch Coal, Inc., Class A | 16,625 | 1,233,575 | ||||||
CONSOL Energy, Inc. * | 57,316 | 895,849 | ||||||
CVR Energy, Inc. | 4,889 | 215,263 | ||||||
Delek US Holdings, Inc. | 84,757 | 3,076,679 | ||||||
World Fuel Services Corp. | 16,440 | 656,614 | ||||||
|
| |||||||
6,278,737 | ||||||||
|
| |||||||
Paper & Forest Products - 0.1% | ||||||||
Verso Corp., Class A * | 58,633 | 725,877 | ||||||
|
| |||||||
Personal Products - 0.9% | ||||||||
Inter Parfums, Inc. | 14,347 | 1,003,860 | ||||||
Medifast, Inc. | 20,124 | 2,085,450 | ||||||
Natural Health Trends Corp. | 4,194 | 29,694 | ||||||
USANA Health Sciences, Inc. * | 27,037 | 1,849,060 | ||||||
|
| |||||||
4,968,064 | ||||||||
|
| |||||||
Pharmaceuticals - 0.6% | ||||||||
Assertio Therapeutics, Inc. * | 137,420 | 175,898 | ||||||
Corcept Therapeutics, Inc. *(a) | 95,604 | 1,351,362 | ||||||
Innoviva, Inc. * | 22,124 | 233,187 | ||||||
Lannett Co., Inc. *(a) | 129,800 | 1,453,760 | ||||||
Supernus Pharmaceuticals, Inc. * | 8,814 | 242,209 | ||||||
|
| |||||||
3,456,416 | ||||||||
|
| |||||||
Professional Services - 4.5% | ||||||||
Barrett Business Services, Inc. | 22,866 | 2,030,958 | ||||||
BG Staffing, Inc. | 14,084 | 269,145 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
57
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Professional Services - 4.5% (continued) | ||||||||
CBIZ, Inc. * | 17,515 | $ | 411,603 | |||||
FTI Consulting, Inc. * | 63,101 | 6,688,075 | ||||||
Heidrick & Struggles International, Inc. | 48,098 | 1,313,075 | ||||||
ICF International, Inc. | 17,752 | 1,499,511 | ||||||
Insperity, Inc. | 40,306 | 3,974,978 | ||||||
Kelly Services, Inc., Class A | 76,869 | 1,861,767 | ||||||
Kforce, Inc. | 110,340 | 4,174,714 | ||||||
Resources Connection, Inc. | 13,854 | 235,380 | ||||||
TrueBlue, Inc. * | 103,636 | 2,186,720 | ||||||
|
| |||||||
24,645,926 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.0% (b) | ||||||||
RMR Group, Inc. (The), Class A | 5,570 | 253,324 | ||||||
|
| |||||||
Road & Rail - 0.6% | ||||||||
ArcBest Corp. | 105,549 | 3,213,967 | ||||||
Covenant Transportation Group, Inc., Class A * | 18,139 | 298,205 | ||||||
|
| |||||||
3,512,172 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 3.8% | ||||||||
Amkor Technology, Inc. * | 298,482 | 2,716,186 | ||||||
Cabot Microelectronics Corp. | 19,458 | 2,747,664 | ||||||
Cirrus Logic, Inc. * | 29,168 | 1,562,821 | ||||||
Diodes, Inc. * | 50,360 | 2,021,954 | ||||||
Enphase Energy, Inc. *(a) | 57,500 | 1,278,225 | ||||||
FormFactor, Inc. * | 45,444 | 847,303 | ||||||
Ichor Holdings Ltd. * | 57,555 | 1,391,680 | ||||||
Lattice Semiconductor Corp. * | 71,982 | 1,316,191 | ||||||
Nanometrics, Inc. * | 21,861 | 713,106 | ||||||
Photronics, Inc. * | 206,746 | 2,249,397 | ||||||
Rudolph Technologies, Inc. * | 19,853 | 523,325 | ||||||
Semtech Corp. * | 5,953 | 289,375 | ||||||
SMART Global Holdings, Inc. * | 70,716 | 1,801,844 | ||||||
Xperi Corp. | 77,704 | 1,606,919 | ||||||
|
| |||||||
21,065,990 | ||||||||
|
| |||||||
Software - 3.4% | ||||||||
ACI Worldwide, Inc. * | 33,536 | 1,050,515 | ||||||
Alarm.com Holdings, Inc. * | 17,042 | 794,839 | ||||||
Appfolio, Inc., Class A *(a) | 8,893 | 846,080 | ||||||
Avaya Holdings Corp. * | 85,880 | 878,552 | ||||||
Digital Turbine, Inc. *(a) | 111,809 | 720,609 | ||||||
eGain Corp. * | 34,759 | 278,246 | ||||||
Five9, Inc. * | 3,023 | 162,456 | ||||||
Intelligent Systems Corp. *(a) | 35,232 | 1,463,537 | ||||||
j2 Global, Inc. | 43,647 | 3,964,021 | ||||||
Mitek Systems, Inc. * | 41,392 | 399,433 | ||||||
Progress Software Corp. | 40,965 | 1,559,128 | ||||||
Qualys, Inc. * | 34,413 | 2,600,590 | ||||||
SecureWorks Corp., Class A * | 58,579 | 757,427 | ||||||
SPS Commerce, Inc. * | 16,764 | 789,082 | ||||||
Verint Systems, Inc. * | 44,080 | 1,885,742 | ||||||
Zix Corp. * | 58,535 | 423,793 | ||||||
|
| |||||||
18,574,050 | ||||||||
|
| |||||||
Specialty Retail - 1.9% | ||||||||
Aaron’s, Inc. | 8,589 | 551,929 | ||||||
American Eagle Outfitters, Inc. | 50,667 | 821,819 |
INVESTMENTS | SHARES | VALUE | ||||||
Specialty Retail - 1.9% (continued) | ||||||||
Asbury Automotive Group, Inc. *(a) | 4,318 | $ | 441,861 | |||||
Cato Corp. (The), Class A | 49,412 | 870,145 | ||||||
Citi Trends, Inc. | 35,053 | 641,470 | ||||||
Genesco, Inc. * | 30,849 | 1,234,577 | ||||||
Haverty Furniture Cos., Inc. | 12,627 | 255,949 | ||||||
Office Depot, Inc. | 664,479 | 1,166,161 | ||||||
Shoe Carnival, Inc. | 76,246 | 2,471,133 | ||||||
Zumiez, Inc. * | 67,529 | 2,138,981 | ||||||
|
| |||||||
10,594,025 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.3% | ||||||||
Avid Technology, Inc. * | 154,377 | 955,594 | ||||||
Diebold Nixdorf, Inc. * | 38,048 | 426,138 | ||||||
Stratasys Ltd. *(a) | 8,903 | 189,678 | ||||||
|
| |||||||
1,571,410 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 2.1% | ||||||||
Deckers Outdoor Corp. * | 30,453 | 4,487,554 | ||||||
Fossil Group, Inc. *(a) | 27,489 | 343,887 | ||||||
Movado Group, Inc. | 29,686 | 737,994 | ||||||
Oxford Industries, Inc. | 14,704 | 1,054,277 | ||||||
Rocky Brands, Inc. | 22,530 | 748,672 | ||||||
Steven Madden Ltd. | 71,558 | 2,561,061 | ||||||
Vera Bradley, Inc. * | 135,653 | 1,370,095 | ||||||
|
| |||||||
11,303,540 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 4.6% | ||||||||
Axos Financial, Inc. *(a) | 45,309 | 1,252,794 | ||||||
Dime Community Bancshares, Inc. | 10,169 | 217,718 | ||||||
Essent Group Ltd. | 123,947 | 5,908,553 | ||||||
First Defiance Financial Corp. | 34,485 | 998,858 | ||||||
Flagstar Bancorp, Inc. | 23,782 | 888,258 | ||||||
HomeStreet, Inc. * | 7,009 | 191,486 | ||||||
NMI Holdings, Inc., Class A * | 36,533 | 959,357 | ||||||
PennyMac Financial Services, Inc. *(a) | 37,497 | 1,139,159 | ||||||
Radian Group, Inc. | 353,940 | 8,083,990 | ||||||
United Financial Bancorp, Inc. | 16,318 | 222,414 | ||||||
Walker & Dunlop, Inc. | 74,057 | 4,142,008 | ||||||
Washington Federal, Inc. | 30,754 | 1,137,590 | ||||||
|
| |||||||
25,142,185 | ||||||||
|
| |||||||
Tobacco - 0.6% | ||||||||
Pyxus International, Inc. *(a) | 14,552 | 190,340 | ||||||
Turning Point Brands, Inc. (a) | 39,198 | 903,906 | ||||||
Universal Corp. | 36,722 | 2,012,733 | ||||||
|
| |||||||
3,106,979 | ||||||||
|
| |||||||
Trading Companies & Distributors - 1.5% | ||||||||
BMC Stock Holdings, Inc. * | 105,206 | 2,754,293 | ||||||
CAI International, Inc. * | 70,013 | 1,524,183 | ||||||
GMS, Inc. * | 65,511 | 1,881,476 | ||||||
Rush Enterprises, Inc., Class A | 15,001 | 578,738 | ||||||
Textainer Group Holdings Ltd. (China) * | 23,369 | 231,587 | ||||||
Triton International Ltd. | 43,944 | 1,487,065 | ||||||
|
| |||||||
8,457,342 | ||||||||
|
| |||||||
Water Utilities - 0.1% | ||||||||
Middlesex Water Co. | 7,224 | 469,271 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
58
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Wireless Telecommunication Services - 0.4% | ||||||||
Shenandoah Telecommunications Co. | 68,907 | $ | 2,189,175 | |||||
|
| |||||||
TOTAL COMMON STOCKS | 541,428,632 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.0% (b) | ||||||||
Diversified Telecommunication Services - 0.0% (b) | ||||||||
GCI Liberty, Inc., Series A, 7.00%, 3/10/2039 (c) | ||||||||
(Cost $24,899) | 2,727 | 71,529 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 1.7% | ||||||||
INVESTMENT COMPANIES - 1.7% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (d) | ||||||||
(Cost $9,265,787) | 9,267,922 | 9,268,848 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 5.4% | ||||||||
Investment Companies - 5.4% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (d)(e) | 3,675,556 | 3,675,556 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (d)(e) | 26,375,751 | 26,378,388 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 30,053,944 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 580,822,953 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (5.2)% (f) | (28,666,360) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 552,156,593 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 13,694,554 | 2.5 | % | ||||
Consumer Discretionary | 56,990,486 | 10.3 | ||||||
Consumer Staples | 13,932,698 | 2.5 | ||||||
Energy | 7,096,500 | 1.3 | ||||||
Financials | 97,437,567 | 17.7 | ||||||
Health Care | 106,843,832 | 19.4 | ||||||
Industrials | 114,495,537 | 20.7 | ||||||
Information Technology | 78,592,269 | 14.2 | ||||||
Materials | 12,767,718 | 2.3 | ||||||
Real Estate | 17,860,551 | 3.2 | ||||||
Utilities | 21,788,449 | 4.0 | ||||||
Short-Term Investments | 9,268,848 | 1.7 | ||||||
Securities Lending Collateral | 30,053,944 | 5.4 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 580,822,953 | 105.2 | ||||||
Liabilities in Excess of Other Assets (f) | (28,666,360 | ) | (5.2 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 552,156,593 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise inparentheses.
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $29,121,070. |
(b) | Represents less than 0.05% of net assets. |
(c) | Perpetual security. The rate reflected was the rate in effect on September 30, 2019. The maturity date reflects the next call date. |
(d) | Represents 7-day effective yield as of September 30, 2019. |
(e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
Russell 2000E-Mini Index | 58 | 12/2019 | USD | $4,422,500 | $(177,230 | ) | ||||||||||||
|
| |||||||||||||||||
$(177,230 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $690,167 | $690,167 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
59
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 97.2% | ||||||||
Australia - 7.1% | ||||||||
Aurizon Holdings Ltd. | 19,483 | $ | 77,666 | |||||
BHP Group Ltd. | 55,060 | 1,360,563 | ||||||
BHP Group plc | 65,701 | 1,403,327 | ||||||
BlueScope Steel Ltd. | 395,821 | 3,215,009 | ||||||
Brambles Ltd. | 10,382 | 79,952 | ||||||
CIMIC Group Ltd. | 6,434 | 136,710 | ||||||
CSL Ltd. | 9,219 | 1,457,633 | ||||||
Dexus, REIT | 104,929 | 845,176 | ||||||
Flight Centre Travel Group Ltd. | 29,103 | 934,769 | ||||||
Fortescue Metals Group Ltd. | 422,137 | 2,512,650 | ||||||
Goodman Group, REIT | 41,832 | 400,407 | ||||||
GPT Group (The), REIT | 196,673 | 817,846 | ||||||
Newcrest Mining Ltd. | 13,771 | 317,775 | ||||||
Rio Tinto Ltd. | 10,260 | 642,634 | ||||||
Rio Tinto plc | 32,252 | 1,676,543 | ||||||
Scentre Group, REIT | 235,569 | 624,976 | ||||||
South32 Ltd. | 846,355 | 1,492,709 | ||||||
Telstra Corp. Ltd. | 594,333 | 1,408,845 | ||||||
|
| |||||||
19,405,190 | ||||||||
|
| |||||||
Belgium - 0.8% | ||||||||
Ageas | 37,958 | 2,104,207 | ||||||
Anheuser-Busch InBev SA/NV | 827 | 78,713 | ||||||
|
| |||||||
2,182,920 | ||||||||
|
| |||||||
Canada - 7.7% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 14,954 | 458,265 | ||||||
Bank of Montreal (1) | 2,424 | 178,536 | ||||||
Bank of Nova Scotia (The) (1) | 3,135 | 178,065 | ||||||
Canadian Imperial Bank of Commerce (1) | 14,509 | 1,197,101 | ||||||
Canadian National Railway Co. (1) | 19,979 | 1,793,940 | ||||||
Canadian Pacific Railway Ltd. (1) | 6,859 | 1,524,268 | ||||||
CCL Industries, Inc., Class B (1) | 7,415 | 299,096 | ||||||
CGI, Inc. (1)* | 47,110 | 3,725,134 | ||||||
Cronos Group, Inc. (1)*(a) | 20,409 | 184,395 | ||||||
Great-West Lifeco, Inc. (1) | 3,723 | 89,390 | ||||||
Hydro One Ltd. (1)(b) | 22,278 | 411,811 | ||||||
Kinross Gold Corp. (1)* | 15,652 | 72,066 | ||||||
Magna International, Inc. (1) | 25,277 | 1,347,369 | ||||||
Manulife Financial Corp. (1) | 5,858 | 107,446 | ||||||
Methanex Corp. (1) | 13,377 | 474,660 | ||||||
National Bank of Canada (1) | 1,646 | 81,899 | ||||||
Open Text Corp. (1) | 37,925 | 1,546,943 | ||||||
Power Corp. of Canada (1) | 5,259 | 121,149 | ||||||
Royal Bank of Canada (1) | 22,462 | 1,822,086 | ||||||
Teck Resources Ltd., Class B (1) | 4,440 | 71,986 | ||||||
Thomson Reuters Corp. (1) | 11,835 | 791,025 | ||||||
Toronto-Dominion Bank (The) (1) | 75,095 | 4,378,677 | ||||||
|
| |||||||
20,855,307 | ||||||||
|
| |||||||
China - 0.4% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 1,443,800 | 1,003,882 | ||||||
|
| |||||||
Denmark - 2.5% | ||||||||
Coloplast A/S, Class B | 2,242 | 269,748 | ||||||
Demant A/S *(a) | 16,127 | 412,851 | ||||||
Genmab A/S * | 1,661 | 337,488 | ||||||
ISS A/S | 13,106 | 324,024 |
INVESTMENTS | SHARES | VALUE | ||||||
Denmark - 2.5% (continued) | ||||||||
Novo Nordisk A/S, Class B | 77,062 | $ | 3,982,271 | |||||
Orsted A/S (b) | 5,926 | 550,873 | ||||||
Pandora A/S | 21,336 | 856,229 | ||||||
|
| |||||||
6,733,484 | ||||||||
|
| |||||||
Finland - 1.4% | ||||||||
Neste OYJ | 68,293 | 2,259,449 | ||||||
Nokia OYJ | 143,842 | 726,446 | ||||||
Orion OYJ, Class B | 23,711 | 883,540 | ||||||
|
| |||||||
3,869,435 | ||||||||
|
| |||||||
France - 10.2% | ||||||||
AXA SA | 72,459 | 1,850,153 | ||||||
Carrefour SA | 4,385 | 76,704 | ||||||
Casino Guichard Perrachon SA (a) | 5,322 | 254,123 | ||||||
CNP Assurances | 64,361 | 1,243,751 | ||||||
Electricite de France SA (a) | 158,454 | 1,772,541 | ||||||
Kering SA | 2,195 | 1,118,539 | ||||||
L’Oreal SA | 16,599 | 4,642,222 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 6,114 | 2,425,789 | ||||||
Natixis SA | 227,411 | 942,201 | ||||||
Peugeot SA | 137,684 | 3,436,419 | ||||||
Safran SA | 5,437 | 856,058 | ||||||
Sanofi | 42,311 | 3,919,386 | ||||||
TOTAL SA | 104,262 | 5,428,582 | ||||||
|
| |||||||
27,966,468 | ||||||||
|
| |||||||
Germany - 7.5% | ||||||||
adidas AG | 4,394 | 1,367,719 | ||||||
Allianz SE (Registered) | 18,339 | 4,268,805 | ||||||
Bayer AG (Registered) | 28,051 | 1,976,279 | ||||||
Delivery Hero SE *(b) | 1,890 | 83,907 | ||||||
Deutsche Boerse AG | 3,492 | 544,609 | ||||||
Deutsche Post AG (Registered) | 18,978 | 632,446 | ||||||
Deutsche Wohnen SE | 10,225 | 373,248 | ||||||
E.ON SE | 252,349 | 2,453,490 | ||||||
Fresenius SE & Co. KGaA | 9,490 | 443,948 | ||||||
Henkel AG & Co. KGaA (Preference) | 996 | 98,553 | ||||||
HOCHTIEF AG | 1,058 | 120,570 | ||||||
Infineon Technologies AG | 70,247 | 1,262,110 | ||||||
SAP SE | 44,968 | 5,291,537 | ||||||
Siemens Healthineers AG (b) | 6,125 | 240,848 | ||||||
TUI AG | 40,726 | 472,991 | ||||||
Vonovia SE | 11,443 | 580,563 | ||||||
Zalando SE *(b) | 3,918 | 178,893 | ||||||
|
| |||||||
20,390,516 | ||||||||
|
| |||||||
Hong Kong - 3.5% | ||||||||
CK Hutchison Holdings Ltd. | 31,500 | 278,086 | ||||||
CLP Holdings Ltd. | 144,500 | 1,518,824 | ||||||
Henderson Land Development Co. Ltd. | 99,110 | 461,637 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 28,400 | 832,405 | ||||||
Link REIT, REIT | 26,000 | 286,802 | ||||||
New World Development Co. Ltd. | 249,000 | 323,366 | ||||||
NWS Holdings Ltd. | 258,000 | 399,608 | ||||||
PCCW Ltd. | 269,000 | 151,014 | ||||||
Swire Properties Ltd. | 229,000 | 718,694 | ||||||
WH Group Ltd. (b) | 3,531,500 | 3,162,664 | ||||||
Yue Yuen Industrial Holdings Ltd. | 502,000 | 1,371,505 | ||||||
|
| |||||||
9,504,605 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
60
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Italy - 2.7% | ||||||||
Assicurazioni Generali SpA | 104,540 | $ | 2,025,953 | |||||
Enel SpA | 329,148 | 2,458,504 | ||||||
Leonardo SpA | 129,106 | 1,517,643 | ||||||
Poste Italiane SpA (b) | 119,378 | 1,356,981 | ||||||
|
| |||||||
7,359,081 | ||||||||
|
| |||||||
Japan - 21.0% | ||||||||
Acom Co. Ltd. | 10,000 | 39,407 | ||||||
AEON Financial Service Co. Ltd. | 2,700 | 40,823 | ||||||
Alfresa Holdings Corp. | 5,200 | 116,513 | ||||||
Amada Holdings Co. Ltd. | 86,100 | 933,022 | ||||||
Astellas Pharma, Inc. | 55,600 | 795,311 | ||||||
Bandai Namco Holdings, Inc. | 59,800 | 3,728,983 | ||||||
Credit Saison Co. Ltd. | 16,800 | 226,540 | ||||||
Daiwa House Industry Co. Ltd. | 15,100 | 490,821 | ||||||
Fujitsu Ltd. | 40,700 | 3,271,069 | ||||||
Fukuoka Financial Group, Inc. | 36,400 | 690,810 | ||||||
Hitachi High-Technologies Corp. | 3,800 | 220,895 | ||||||
Hitachi Ltd. | 82,900 | 3,104,622 | ||||||
Hoya Corp. | 31,600 | 2,588,133 | ||||||
ITOCHU Corp. | 17,900 | 370,774 | ||||||
Japan Tobacco, Inc. | 27,100 | 593,751 | ||||||
JTEKT Corp. | 39,800 | 459,654 | ||||||
Kakaku.com, Inc. | 3,300 | 81,521 | ||||||
Kamigumi Co. Ltd. | 21,100 | 479,308 | ||||||
KDDI Corp. | 35,800 | 934,120 | ||||||
Konami Holdings Corp. | 20,500 | 993,094 | ||||||
Kyocera Corp. | 23,100 | 1,440,299 | ||||||
Medipal Holdings Corp. | 6,500 | 145,095 | ||||||
Mercari, Inc. * | 8,800 | 219,563 | ||||||
MINEBEA MITSUMI, Inc. | 94,100 | 1,502,172 | ||||||
Mitsubishi Corp. | 4,800 | 118,190 | ||||||
Mitsubishi Electric Corp. | 75,200 | 1,003,180 | ||||||
Mitsubishi Estate Co. Ltd. | 31,000 | 599,432 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 27,200 | 138,526 | ||||||
Mitsui Fudosan Co. Ltd. | 24,000 | 597,291 | ||||||
MS&AD Insurance Group Holdings, Inc. | 2,600 | 84,511 | ||||||
Nexon Co. Ltd. * | 170,600 | 2,072,820 | ||||||
Nintendo Co. Ltd. | 1,300 | 484,245 | ||||||
Nippon Electric Glass Co. Ltd. | 6,000 | 134,158 | ||||||
Nippon Express Co. Ltd. | 35,400 | 1,813,074 | ||||||
Nippon Telegraph & Telephone Corp. | 57,200 | 2,736,660 | ||||||
Nomura Real Estate Holdings, Inc. | 8,000 | 173,421 | ||||||
NSK Ltd. | 65,900 | 558,507 | ||||||
NTT DOCOMO, Inc. | 23,600 | 602,617 | ||||||
Rakuten, Inc. | 178,600 | 1,770,386 | ||||||
Resona Holdings, Inc. | 686,500 | 2,954,108 | ||||||
Rohm Co. Ltd. | 9,700 | 747,890 | ||||||
Secom Co. Ltd. | 5,500 | 503,283 | ||||||
Shinsei Bank Ltd. | 56,400 | 824,694 | ||||||
Showa Denko KK | 41,400 | 1,092,492 | ||||||
SUMCO Corp. | 111,500 | 1,518,933 | ||||||
Sumitomo Heavy Industries Ltd. | 74,800 | 2,228,902 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 70,400 | 2,419,093 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 2,500 | 90,530 | ||||||
Suzuken Co. Ltd. | 16,700 | 898,954 | ||||||
THK Co. Ltd. | 3,300 | 87,428 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 623,900 | 3,059,952 | ||||||
Tokyo Electron Ltd. | 4,800 | 922,194 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 21.0% (continued) | ||||||||
Toppan Printing Co. Ltd. | 41,800 | $ | 742,353 | |||||
Tosoh Corp. | 26,300 | 350,365 | ||||||
Toyo Seikan Group Holdings Ltd. | 4,200 | 65,540 | ||||||
Yamaha Corp. | 52,000 | 2,344,425 | ||||||
Z Holdings Corp. | 49,100 | 138,334 | ||||||
|
| |||||||
57,342,788 | ||||||||
|
| |||||||
Macau - 0.5% | ||||||||
SJM Holdings Ltd. | 1,309,000 | 1,243,186 | ||||||
|
| |||||||
Netherlands - 5.7% | ||||||||
ASML Holding NV | 2,407 | 596,968 | ||||||
Heineken NV | 1,343 | 145,060 | ||||||
ING Groep NV | 70,771 | 739,325 | ||||||
Koninklijke Ahold Delhaize NV | 154,810 | 3,871,435 | ||||||
Koninklijke Philips NV | 41,677 | 1,925,855 | ||||||
Randstad NV | 18,487 | 907,639 | ||||||
Royal Dutch Shell plc, Class A | 98,367 | 2,884,904 | ||||||
Royal Dutch Shell plc, Class B | 64,849 | 1,916,641 | ||||||
Wolters Kluwer NV | 35,965 | 2,624,187 | ||||||
|
| |||||||
15,612,014 | ||||||||
|
| |||||||
Russia - 0.3% | ||||||||
Evraz plc | 136,005 | 782,787 | ||||||
|
| |||||||
Singapore - 0.3% | ||||||||
CapitaLand Commercial Trust, REIT | 273,500 | 409,806 | ||||||
ComfortDelGro Corp. Ltd. | 77,500 | 134,653 | ||||||
SATS Ltd. | 75,000 | 262,989 | ||||||
|
| |||||||
807,448 | ||||||||
|
| |||||||
South Africa - 0.7% | ||||||||
Anglo American plc | 46,383 | 1,065,974 | ||||||
Investec plc | 139,389 | 717,072 | ||||||
|
| |||||||
1,783,046 | ||||||||
|
| |||||||
Spain - 1.8% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 76,662 | 399,063 | ||||||
Banco Santander SA | 35,207 | 143,251 | ||||||
Endesa SA | 32,679 | 859,644 | ||||||
Grifols SA | 7,841 | 231,138 | ||||||
Iberdrola SA | 21,116 | 219,475 | ||||||
Mapfre SA | 511,429 | 1,377,411 | ||||||
Repsol SA | 96,199 | 1,500,317 | ||||||
Telefonica SA | 33,298 | 254,435 | ||||||
|
| |||||||
4,984,734 | ||||||||
|
| |||||||
Sweden - 3.2% | ||||||||
Essity AB, Class B | 71,960 | 2,099,679 | ||||||
Hennes & Mauritz AB, Class B (a) | 186,547 | 3,616,094 | ||||||
ICA Gruppen AB (a) | 14,776 | 682,409 | ||||||
Investor AB, Class B | 8,330 | 406,814 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 15,532 | 142,719 | ||||||
Skanska AB, Class B | 33,164 | 671,410 | ||||||
Swedbank AB, Class A | 15,107 | 217,566 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 74,353 | 593,808 | ||||||
Volvo AB, Class B | 14,103 | 197,909 | ||||||
|
| |||||||
8,628,408 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
61
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Switzerland - 9.1% | ||||||||
Coca-Cola HBC AG * | 2,452 | $ | 80,084 | |||||
Lonza Group AG (Registered) * | 1,319 | 446,364 | ||||||
Nestle SA (Registered) | 47,792 | 5,183,259 | ||||||
Novartis AG (Registered) | 76,099 | 6,604,403 | ||||||
Roche Holding AG | 23,896 | 6,957,672 | ||||||
Sonova Holding AG (Registered) | 9,741 | 2,266,544 | ||||||
Swiss Life Holding AG (Registered) | 3,037 | 1,451,991 | ||||||
Zurich Insurance Group AG | 4,545 | 1,740,771 | ||||||
|
| |||||||
24,731,088 | ||||||||
|
| |||||||
United Kingdom - 9.8% | ||||||||
3i Group plc | 23,824 | 340,978 | ||||||
AstraZeneca plc | 14,901 | 1,330,497 | ||||||
Auto Trader Group plc (b) | 13,636 | 85,466 | ||||||
Aviva plc | 90,120 | 442,416 | ||||||
BAE Systems plc | 180,823 | 1,266,356 | ||||||
Barclays plc | 257,151 | 473,801 | ||||||
Barratt Developments plc | 75,320 | 599,596 | ||||||
Berkeley Group Holdings plc | 9,375 | 481,354 | ||||||
BP plc | 250,850 | 1,588,072 | ||||||
British American Tobacco plc | 45,862 | 1,693,696 | ||||||
British Land Co. plc (The), REIT | 80,014 | 575,605 | ||||||
BT Group plc | 454,191 | 996,229 | ||||||
Compass Group plc | 33,917 | 872,777 | ||||||
Diageo plc | 25,021 | 1,022,116 | ||||||
Direct Line Insurance Group plc | 332,473 | 1,226,663 | ||||||
Experian plc | 2,576 | 82,378 | ||||||
Fiat Chrysler Automobiles NV | 66,060 | 855,993 | ||||||
GlaxoSmithKline plc | 54,099 | 1,159,591 | ||||||
HSBC Holdings plc | 265,131 | 2,031,504 | ||||||
Imperial Brands plc | 25,501 | 572,655 | ||||||
Land Securities Group plc, REIT | 25,856 | 272,316 | ||||||
Legal & General Group plc | 325,913 | 994,791 | ||||||
Lloyds Banking Group plc | 2,244,728 | 1,488,076 | ||||||
London Stock Exchange Group plc | 5,501 | 493,988 | ||||||
Marks & Spencer Group plc | 54,314 | 123,020 | ||||||
Meggitt plc | 45,125 | 352,021 | ||||||
Micro Focus International plc | 97,252 | 1,366,604 | ||||||
Next plc | 12,033 | 914,694 | ||||||
Ocado Group plc * | 12,787 | 207,989 | ||||||
Persimmon plc | 3,981 | 106,174 | ||||||
Prudential plc | 7,892 | 143,013 | ||||||
Reckitt Benckiser Group plc | 3,789 | 295,843 | ||||||
RELX plc | 5,553 | 131,882 | ||||||
Segro plc, REIT | 87,552 | 872,845 | ||||||
Taylor Wimpey plc | 54,413 | 108,006 | ||||||
Unilever plc | 20,131 | 1,209,913 | ||||||
Vodafone Group plc | 124,526 | 248,094 | ||||||
|
| |||||||
27,027,012 | ||||||||
|
| |||||||
United States - 1.0% | ||||||||
Bausch Health Cos., Inc. (1)* | 119,115 | 2,598,350 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 264,811,749 | |||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
SHORT-TERM INVESTMENTS - 1.6% | ||||||||
INVESTMENT COMPANIES - 1.6% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(c) | ||||||||
(Cost $4,277,907) | 4,277,907 | $ | 4,278,335 | |||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 1.6% | ||||||||
Investment Companies - 1.6% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (1)(c)(d) | ||||||||
(Cost $4,280,151) | 4,280,151 | 4,280,151 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 273,370,235 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (e) | (1,029,731) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 272,340,504 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 11,187,496 | 4.1 | % | ||||
Consumer Discretionary | 30,786,371 | 11.3 | ||||||
Consumer Staples | 26,221,142 | 9.6 | ||||||
Energy | 15,577,966 | 5.7 | ||||||
Financials | 45,803,668 | 16.8 | ||||||
Health Care | 42,172,807 | 15.5 | ||||||
Industrials | 26,967,148 | 9.9 | ||||||
Information Technology | 26,469,610 | 9.7 | ||||||
Materials | 16,896,175 | 6.2 | ||||||
Real Estate | 9,424,252 | 3.5 | ||||||
Utilities | 13,305,114 | 4.9 | ||||||
Short-Term Investments | 4,278,335 | 1.6 | ||||||
Securities Lending Collateral | 4,280,151 | 1.6 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 273,370,235 | 100.4 | ||||||
Liabilities in Excess of Other Assets (e) | (1,029,731 | ) | (0.4 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 272,340,504 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $4,083,757. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $6,071,443, which represents approximately 2.23% of net assets of the fund. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
62
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MULTI-STYLE FUND |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $10,065 was received. (See Note 3). |
(e) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI EAFEE-Mini Index | 58 | 12/2019 | USD | $5,505,360 | $(45,929 | ) | ||||||||||||
|
| |||||||||||||||||
$(45,929 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $353,051 | $353,051 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
63
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 97.1% | ||||||||
Brazil - 6.8% | ||||||||
Ambev SA, ADR (1)* | 462,326 | $ | 2,135,947 | |||||
B3 SA - Brasil Bolsa Balcao (1) | 188,800 | 1,991,171 | ||||||
Banco Bradesco SA, ADR (1) | 48,537 | 395,091 | ||||||
Banco BTG Pactual SA (1)* | 25,500 | 359,275 | ||||||
Banco do Brasil SA (1)* | 163,000 | 1,788,902 | ||||||
CCR SA (1) | 16,400 | 68,087 | ||||||
Centrais Eletricas Brasileiras SA (1) | 116,000 | 1,123,720 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo (1)* | 172,400 | 2,049,739 | ||||||
Cielo SA (1) | 203,500 | 391,822 | ||||||
Embraer SA, ADR (1) | 9,597 | 165,548 | ||||||
Engie Brasil Energia SA (1) | 39,000 | 416,662 | ||||||
Itausa - Investimentos Itau SA (Preference) (1) | 162,895 | 519,075 | ||||||
Natura Cosmeticos SA (1) | 83,800 | 687,955 | ||||||
Notre Dame Intermedica Participacoes SA (1) | 24,600 | 322,675 | ||||||
Petrobras Distribuidora SA (1) | 29,000 | 191,800 | ||||||
Porto Seguro SA (1) | 19,500 | 277,368 | ||||||
Sul America SA (1) | 166,897 | 1,917,230 | ||||||
Telefonica Brasil SA (Preference) (1)* | 8,500 | 112,312 | ||||||
TIM Participacoes SA, ADR (1) | 44,393 | 637,483 | ||||||
|
| |||||||
15,551,862 | ||||||||
|
| |||||||
Chile - 1.9% | ||||||||
Banco de Chile, ADR (1) | 18,160 | 510,296 | ||||||
Banco de Credito e Inversiones SA (1) | 6,443 | 405,781 | ||||||
Banco Santander Chile, ADR (1) | 56,828 | 1,591,184 | ||||||
Cencosud SA (1) | 127,777 | 210,289 | ||||||
Cia Cervecerias Unidas SA, ADR (1) | 4,811 | 106,756 | ||||||
Empresas CMPC SA (1) | 116,835 | 271,758 | ||||||
Enel Americas SA, ADR (1) | 84,887 | 773,321 | ||||||
Enel Chile SA, ADR (1) | 45,844 | 193,003 | ||||||
Latam Airlines Group SA, ADR (1) | 21,789 | 241,858 | ||||||
|
| |||||||
4,304,246 | ||||||||
|
| |||||||
China - 29.6% | ||||||||
58.com, Inc., ADR (1)* | 4,817 | 237,526 | ||||||
Agricultural Bank of China Ltd., Class A * | 1,060,471 | 514,318 | ||||||
Agricultural Bank of China Ltd., Class H | 847,000 | 331,682 | ||||||
Air China Ltd., Class H | 1,132,000 | 993,543 | ||||||
Alibaba Group Holding Ltd., ADR (1)* | 58,965 | 9,860,718 | ||||||
Alibaba Health Information Technology Ltd. * | 348,000 | 303,867 | ||||||
Anhui Conch Cement Co. Ltd., Class A | 20,588 | 119,354 | ||||||
Anhui Conch Cement Co. Ltd., Class H | 520,500 | 3,088,823 | ||||||
ANTA Sports Products Ltd. | 13,000 | 107,460 | ||||||
Autohome, Inc., ADR (1)* | 2,981 | 247,811 | ||||||
BAIC Motor Corp. Ltd., Class H (a) | 324,500 | 200,470 | ||||||
Baidu, Inc., ADR (1)* | 12,555 | 1,290,152 | ||||||
Bank of China Ltd., Class A * | 1,038,900 | 521,237 | ||||||
Bank of China Ltd., Class H | 2,179,000 | 854,541 | ||||||
Bank of Communications Co. Ltd., Class H | 180,000 | 117,497 | ||||||
Bank of Ningbo Co. Ltd., Class A | 20,064 | 70,942 | ||||||
Baoshan Iron & Steel Co. Ltd., Class A | 84,246 | 69,803 | ||||||
BOE Technology Group Co. Ltd., Class A | 132,000 | 69,489 | ||||||
BYD Co. Ltd., Class A | 9,519 | 65,076 | ||||||
China CITIC Bank Corp. Ltd., Class H | 584,000 | 311,367 |
INVESTMENTS | SHARES | VALUE | ||||||
China - 29.6% (continued) | ||||||||
China Construction Bank Corp., Class H | 3,055,000 | $ | 2,327,786 | |||||
China Everbright Bank Co. Ltd., Class H | 242,000 | 103,090 | ||||||
China Everbright International Ltd. | 466,000 | 358,444 | ||||||
China Evergrande Group * | 525,000 | 1,118,661 | ||||||
China Galaxy Securities Co. Ltd., Class H | 122,000 | 64,949 | ||||||
China Hongqiao Group Ltd. | 712,000 | 454,611 | ||||||
China International Travel Service Corp. Ltd., Class A | 7,200 | 93,864 | ||||||
China Longyuan Power Group Corp. Ltd., Class H | 486,000 | 273,073 | ||||||
China Merchants Bank Co. Ltd., Class A | 40,300 | 196,487 | ||||||
China Merchants Securities Co. Ltd., Class A | 27,900 | 64,333 | ||||||
China Mobile Ltd. | 503,175 | 4,168,177 | ||||||
China National Building Material Co. Ltd., Class H | 916,000 | 821,590 | ||||||
China Oriental Group Co. Ltd. | 226,000 | 78,142 | ||||||
China Overseas Land & Investment Ltd. | 380,000 | 1,195,555 | ||||||
China Pacific Insurance Group Co. Ltd., Class A | 12,900 | 63,087 | ||||||
China Resources Beer Holdings Co. Ltd. | 14,000 | 74,174 | ||||||
China Resources Land Ltd. | 290,000 | 1,214,702 | ||||||
China Telecom Corp. Ltd., Class H | 1,588,000 | 723,111 | ||||||
China United Network Communications Ltd., Class A | 77,100 | 64,981 | ||||||
China Vanke Co. Ltd., Class H | 214,000 | 744,779 | ||||||
China Yangtze Power Co. Ltd., Class A | 31,100 | 79,477 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 483,000 | 257,153 | ||||||
CITIC Ltd. | 178,000 | 224,691 | ||||||
CITIC Securities Co. Ltd., Class A | 43,500 | 137,255 | ||||||
CNOOC Ltd., ADR (1) | 7,880 | 1,199,730 | ||||||
Country Garden Holdings Co. Ltd. | 1,591,000 | 2,015,103 | ||||||
Country Garden Services Holdings Co. Ltd. | 340,000 | 980,571 | ||||||
Ctrip.com International Ltd., ADR (1)* | 20,700 | 606,303 | ||||||
Far East Horizon Ltd. | 224,000 | 208,035 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 6,200 | 95,592 | ||||||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 14,300 | 114,873 | ||||||
Greentown Service Group Co. Ltd. (b) | 70,000 | 68,686 | ||||||
Guotai Junan Securities Co. Ltd., Class A | 44,890 | 110,707 | ||||||
Haier Smart Home Co. Ltd., Class A | 30,900 | 66,262 | ||||||
Haitong Securities Co. Ltd., Class A | 38,200 | 76,695 | ||||||
Hangzhou Hikvision Digital Technology Co. Ltd., Class A | 31,200 | 141,450 | ||||||
Hua Hong Semiconductor Ltd. (a) | 279,000 | 555,585 | ||||||
Huadian Power International Corp. Ltd., Class H | 214,000 | 81,403 | ||||||
Huatai Securities Co. Ltd., Class A | 38,300 | 102,577 | ||||||
Huazhu Group Ltd., ADR (1) | 7,502 | 247,716 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 2,335,000 | 1,564,299 | ||||||
Industrial Bank Co. Ltd., Class A * | 63,643 | 156,485 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 18,000 | 71,997 | ||||||
JD.com, Inc., ADR (1)* | 33,127 | 934,513 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. * | 26,738 | 302,268 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
64
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
China - 29.6% (continued) | ||||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 4,564 | $ | 66,566 | |||||
Jiangxi Copper Co. Ltd., Class H | 166,000 | 192,249 | ||||||
Kunlun Energy Co. Ltd. | 140,000 | 120,635 | ||||||
Kweichow Moutai Co. Ltd., Class A | 2,600 | 419,087 | ||||||
Li Ning Co. Ltd. | 383,500 | 1,100,269 | ||||||
Luxshare Precision Industry Co. Ltd., Class A | 30,350 | 113,874 | ||||||
Luzhou Laojiao Co. Ltd., Class A | 9,500 | 113,487 | ||||||
Midea Group Co. Ltd., Class A | 14,600 | 104,652 | ||||||
Momo, Inc., ADR (1) | 6,789 | 210,323 | ||||||
NetEase, Inc., ADR (1) | 3,700 | 984,866 | ||||||
New China Life Insurance Co. Ltd., Class A | 9,600 | 65,567 | ||||||
New Oriental Education & Technology Group, Inc., ADR (1)* | 7,867 | 871,349 | ||||||
Pinduoduo, Inc., ADR (1)* | 7,744 | 249,512 | ||||||
Ping An Bank Co. Ltd., Class A | 56,920 | 124,549 | ||||||
Ping An Insurance Group Co. of China Ltd., Class A | 22,900 | 279,528 | ||||||
SAIC Motor Corp. Ltd., Class A | 21,000 | 70,002 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 444,000 | 457,232 | ||||||
Shanghai Pudong Development Bank Co. Ltd., Class A | 40,507 | 67,236 | ||||||
Shenwan Hongyuan Group Co. Ltd., Class A | 96,875 | 64,966 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 636,000 | 184,896 | ||||||
Sinotruk Hong Kong Ltd. | 675,000 | 1,001,110 | ||||||
Suning.com Co. Ltd., Class A | 45,000 | 65,327 | ||||||
TAL Education Group, ADR (1)* | 16,458 | 563,522 | ||||||
Tencent Holdings Ltd. | 239,400 | 10,013,606 | ||||||
Tsingtao Brewery Co. Ltd., Class H | 50,000 | 301,669 | ||||||
Vipshop Holdings Ltd., ADR (1)* | 24,408 | 217,719 | ||||||
Weichai Power Co. Ltd., Class H | 1,176,000 | 1,696,523 | ||||||
Wuliangye Yibin Co. Ltd., Class A | 10,505 | 191,162 | ||||||
Yonghui Superstores Co. Ltd., Class A | 52,846 | 65,844 | ||||||
Yum China Holdings, Inc. (1) | 17,202 | 781,487 | ||||||
Zhongsheng Group Holdings Ltd. | 829,500 | 2,620,701 | ||||||
ZTO Express Cayman, Inc., ADR (1) | 13,959 | 297,745 | ||||||
|
| |||||||
67,655,958 | ||||||||
|
| |||||||
Hong Kong - 1.1% | ||||||||
Bank of Communications Co. Ltd. * | 302,824 | 231,304 | ||||||
Haier Electronics Group Co. Ltd. | 677,000 | 1,762,808 | ||||||
SSY Group Ltd. | 124,000 | 97,936 | ||||||
Sun Art Retail Group Ltd. | 355,500 | 360,579 | ||||||
|
| |||||||
2,452,627 | ||||||||
|
| |||||||
Hungary - 0.2% | ||||||||
MOL Hungarian Oil & Gas plc | 38,304 | 360,293 | ||||||
|
| |||||||
India - 7.4% | ||||||||
Axis Bank Ltd., GDR (b) | 7,662 | 373,144 | ||||||
Coal India Ltd. | 36,466 | 102,951 | ||||||
Dr Reddy’s Laboratories Ltd., ADR (1) | 6,568 | 248,862 | ||||||
GAIL India Ltd. | 229,288 | 435,681 | ||||||
Godrej Consumer Products Ltd. | 12,669 | 122,897 | ||||||
Hindalco Industries Ltd. | 568,664 | 1,537,724 |
INVESTMENTS | SHARES | VALUE | ||||||
India - 7.4% (continued) | ||||||||
Hindustan Unilever Ltd. | 67,090 | $ | 1,877,249 | |||||
Infosys Ltd., ADR (1) | 159,492 | 1,813,424 | ||||||
InterGlobe Aviation Ltd. (a) | 62,482 | 1,668,531 | ||||||
Larsen & Toubro Ltd., GDR (b) | 5,188 | 108,008 | ||||||
NTPC Ltd. | 187,463 | 310,972 | ||||||
Oil & Natural Gas Corp. Ltd. | 233,377 | 434,400 | ||||||
Reliance Industries Ltd., GDR (a) | 76,376 | 2,845,698 | ||||||
State Bank of India, GDR *(b) | 1,844 | 70,838 | ||||||
Tata Consultancy Services Ltd. | 98,202 | 2,909,535 | ||||||
Tech Mahindra Ltd. | 18,973 | 191,409 | ||||||
United Spirits Ltd. * | 8,185 | 77,077 | ||||||
Wipro Ltd., ADR (1) | 220,268 | 803,978 | ||||||
Zee Entertainment Enterprises Ltd. | 257,931 | 966,900 | ||||||
|
| |||||||
16,899,278 | ||||||||
|
| |||||||
Indonesia - 2.8% | ||||||||
Adaro Energy Tbk. PT | 2,950,100 | 268,210 | ||||||
Bank Central Asia Tbk. PT | 420,200 | 898,375 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 6,542,500 | 1,899,712 | ||||||
Bukit Asam Tbk. PT | 1,920,200 | 305,829 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 489,800 | 184,613 | ||||||
Gudang Garam Tbk. PT | 17,900 | 66,044 | ||||||
Indah Kiat Pulp & Paper Corp. Tbk. PT | 1,015,500 | 463,438 | ||||||
Indofood CBP Sukses Makmur Tbk. PT | 117,900 | 99,909 | ||||||
Indofood Sukses Makmur Tbk. PT | 1,612,600 | 874,401 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 2,080,100 | 628,172 | ||||||
United Tractors Tbk. PT | 504,100 | 730,688 | ||||||
|
| |||||||
6,419,391 | ||||||||
|
| |||||||
Malaysia - 2.2% | ||||||||
AirAsia Group Bhd. | 2,249,392 | 945,115 | ||||||
Hong Leong Bank Bhd. | 118,500 | 462,991 | ||||||
Malayan Banking Bhd. | 588,800 | 1,196,281 | ||||||
Petronas Chemicals Group Bhd. | 479,000 | 861,884 | ||||||
Petronas Gas Bhd. | 26,000 | 101,694 | ||||||
Public Bank Bhd. | 112,300 | 538,384 | ||||||
Sime Darby Bhd. | 1,465,500 | 787,424 | ||||||
Top Glove Corp. Bhd. | 72,200 | 76,765 | ||||||
|
| |||||||
4,970,538 | ||||||||
|
| |||||||
Mexico - 1.6% | ||||||||
Alfa SAB de CV, Class A (1) | 2,025,793 | 1,779,010 | ||||||
El Puerto de Liverpool SAB de CV, Class C1 (1) | 85,596 | 469,013 | ||||||
Grupo Bimbo SAB de CV, Series A (1) | 60,000 | 109,425 | ||||||
Grupo Financiero Inbursa SAB de CV, Class O (1) | 83,500 | 106,205 | ||||||
Grupo Mexico SAB de CV, Series B (1) | 303,800 | 710,314 | ||||||
Grupo Televisa SAB, ADR (1) | 17,565 | 171,786 | ||||||
Wal-Mart de Mexico SAB de CV (1) | 65,655 | 194,563 | ||||||
|
| |||||||
3,540,316 | ||||||||
|
| |||||||
Peru - 0.3% | ||||||||
Credicorp Ltd. (1) | 3,587 | 747,674 | ||||||
|
| |||||||
Philippines - 0.4% | ||||||||
Ayala Land, Inc. | 183,900 | 175,514 | ||||||
BDO Unibank, Inc. | 68,970 | 190,283 | ||||||
International Container Terminal Services, Inc. | 154,640 | 359,855 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR��Funds | Annual Report | September 2019 | ||||||||||||||
65
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Philippines - 0.4% (continued) | ||||||||
JG Summit Holdings, Inc. | 61,720 | $ | 86,320 | |||||
SM Investments Corp. | 5,785 | 108,407 | ||||||
|
| |||||||
920,379 | ||||||||
|
| |||||||
Poland - 1.3% | ||||||||
Bank Polska Kasa Opieki SA | 6,216 | 158,679 | ||||||
CD Projekt SA | 9,921 | 603,639 | ||||||
Grupa Lotos SA | 24,945 | 551,026 | ||||||
Jastrzebska Spolka Weglowa SA | 15,213 | 82,710 | ||||||
KGHM Polska Miedz SA * | 19,149 | 382,213 | ||||||
LPP SA | 139 | 298,457 | ||||||
PGE Polska Grupa Energetyczna SA * | 191,869 | 382,414 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 172,696 | 202,377 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 23,318 | 228,587 | ||||||
|
| |||||||
2,890,102 | ||||||||
|
| |||||||
Romania - 0.1% | ||||||||
NEPI Rockcastle plc | 16,269 | 142,520 | ||||||
|
| |||||||
Russia - 3.9% | ||||||||
Gazprom PJSC, ADR | 235,514 | 1,623,434 | ||||||
LUKOIL PJSC, ADR | 17,526 | 1,447,688 | ||||||
Magnit PJSC, GDR (b) | 8,103 | 105,790 | ||||||
MMC Norilsk Nickel PJSC, ADR (1) | 23,567 | 603,080 | ||||||
MMC Norilsk Nickel PJSC, ADR | 15,428 | 394,737 | ||||||
Novatek PJSC, GDR (b) | 3,867 | 783,448 | ||||||
Novolipetsk Steel PJSC, GDR (b) | 37,710 | 818,922 | ||||||
Polyus PJSC, GDR (b) | 1,202 | 69,535 | ||||||
Rosneft Oil Co. PJSC, GDR (b) | 68,272 | 437,426 | ||||||
Severstal PJSC, GDR (b) | 88,534 | 1,270,047 | ||||||
Surgutneftegas PJSC, ADR | 88,464 | 473,672 | ||||||
Tatneft PJSC, ADR | 12,791 | 811,464 | ||||||
|
| |||||||
8,839,243 | ||||||||
|
| |||||||
Saudi Arabia - 2.2% | ||||||||
Al Rajhi Bank | 141,718 | 2,393,469 | ||||||
Banque Saudi Fransi | 16,514 | 142,352 | ||||||
National Commercial Bank | 40,502 | 497,476 | ||||||
Riyad Bank | 35,854 | 233,111 | ||||||
Samba Financial Group | 36,726 | 280,183 | ||||||
Saudi Arabian Mining Co. * | 14,154 | 171,669 | ||||||
Saudi Basic Industries Corp. | 31,840 | 781,393 | ||||||
Saudi Telecom Co. | 17,718 | 513,681 | ||||||
|
| |||||||
5,013,334 | ||||||||
|
| |||||||
South Africa - 5.3% | ||||||||
Absa Group Ltd. | 37,581 | 379,564 | ||||||
Anglo American Platinum Ltd. | 5,239 | 315,876 | ||||||
Exxaro Resources Ltd. | 59,497 | 513,153 | ||||||
FirstRand Ltd. | 158,625 | 651,722 | ||||||
Foschini Group Ltd. (The) | 66,832 | 721,950 | ||||||
Growthpoint Properties Ltd., REIT | 84,208 | 128,547 | ||||||
Investec Ltd. | 150,398 | 791,438 | ||||||
Kumba Iron Ore Ltd. | 103,492 | 2,557,063 | ||||||
MTN Group Ltd. | 111,971 | 712,445 | ||||||
MultiChoice Group * | 30,452 | 237,064 | ||||||
Naspers Ltd., Class N | 1,976 | 299,185 |
INVESTMENTS | SHARES | VALUE | ||||||
South Africa - 5.3% (continued) | ||||||||
Nedbank Group Ltd. | 7,585 | $ | 113,655 | |||||
Pick n Pay Stores Ltd. | 37,142 | 145,879 | ||||||
Redefine Properties Ltd., REIT | 217,038 | 112,215 | ||||||
Remgro Ltd. | 28,077 | 302,460 | ||||||
RMB Holdings Ltd. | 46,772 | 232,035 | ||||||
SPAR Group Ltd. (The) | 14,654 | 184,937 | ||||||
Standard Bank Group Ltd. | 56,993 | 657,538 | ||||||
Telkom SA SOC Ltd. | 387,418 | 1,806,052 | ||||||
Truworths International Ltd. | 375,960 | 1,315,862 | ||||||
|
| |||||||
12,178,640 | ||||||||
|
| |||||||
South Korea - 12.1% | ||||||||
Daelim Industrial Co. Ltd. | 24,307 | 2,112,259 | ||||||
DB Insurance Co. Ltd. | 10,953 | 471,784 | ||||||
Doosan Bobcat, Inc. * | 29,993 | 886,821 | ||||||
GS Engineering & Construction Corp. | 18,140 | 499,798 | ||||||
Hana Financial Group, Inc. | 10,884 | 320,392 | ||||||
Hanwha Corp. | 30,689 | 647,063 | ||||||
Hyundai Department Store Co. Ltd. | 7,798 | 508,786 | ||||||
Hyundai Engineering & Construction Co. Ltd. | 8,547 | 330,131 | ||||||
Hyundai Glovis Co. Ltd. | 860 | 112,022 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 49,640 | 1,094,467 | ||||||
Industrial Bank of Korea | 9,255 | 102,096 | ||||||
Kia Motors Corp. | 28,143 | 1,073,012 | ||||||
Korea Investment Holdings Co. Ltd. | 11,723 | 736,493 | ||||||
Korea Zinc Co. Ltd. | 2,128 | 796,514 | ||||||
Korean Air Lines Co. Ltd. | 36,688 | 702,261 | ||||||
Kumho Petrochemical Co. Ltd. | 12,430 | 743,289 | ||||||
LG Electronics, Inc. | 46,428 | 2,613,785 | ||||||
LG Uplus Corp. | 15,903 | 181,207 | ||||||
NH Investment & Securities Co. Ltd. | 6,460 | 68,509 | ||||||
Posco International Corp. | 4,096 | 65,410 | ||||||
S-1 Corp. | 3,464 | 284,227 | ||||||
Samsung Electronics Co. Ltd. | 240,953 | 9,865,592 | ||||||
Samsung Securities Co. Ltd. | 2,389 | 70,487 | ||||||
SK Hynix, Inc. | 48,974 | 3,363,550 | ||||||
|
| |||||||
27,649,955 | ||||||||
|
| |||||||
Taiwan - 12.2% | ||||||||
Asia Cement Corp. | 82,000 | 114,446 | ||||||
Chailease Holding Co. Ltd. | 136,990 | 553,244 | ||||||
China Airlines Ltd. | 489,000 | 143,094 | ||||||
China Development Financial Holding Corp. | 366,000 | 109,008 | ||||||
China Life Insurance Co. Ltd. * | 1,330,981 | 1,055,214 | ||||||
CTBC Financial Holding Co. Ltd. | 1,364,559 | 905,776 | ||||||
E.Sun Financial Holding Co. Ltd. | 1,710,770 | 1,447,210 | ||||||
Eva Airways Corp. | 1,610,996 | 708,553 | ||||||
Feng TAY Enterprise Co. Ltd. | 50,200 | 359,795 | ||||||
First Financial Holding Co. Ltd. | 2,150,084 | 1,509,825 | ||||||
Fubon Financial Holding Co. Ltd. | 46,000 | 66,043 | ||||||
Globalwafers Co. Ltd. | 79,000 | 796,739 | ||||||
Mega Financial Holding Co. Ltd. | 370,000 | 342,738 | ||||||
Nanya Technology Corp. | 545,000 | 1,415,575 | ||||||
Novatek Microelectronics Corp. | 32,000 | 183,640 | ||||||
Pou Chen Corp. | 822,000 | 1,053,732 | ||||||
Realtek Semiconductor Corp. * | 58,000 | 430,017 | ||||||
Ruentex Industries Ltd. * | 46,000 | 99,230 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
66
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Taiwan - 12.2% (continued) | ||||||||
Shanghai Commercial & Savings Bank Ltd. (The) | 43,000 | $ | 72,233 | |||||
Shin Kong Financial Holding Co. Ltd. * | 4,688,680 | 1,418,770 | ||||||
SinoPac Financial Holdings Co. Ltd. | 818,000 | 318,945 | ||||||
Taishin Financial Holding Co. Ltd. | 268,053 | 119,626 | ||||||
Taiwan Business Bank | 4,265,142 | 1,751,771 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 295,713 | 195,303 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | 185,403 | 8,617,532 | ||||||
Uni-President Enterprises Corp. | 613,000 | 1,479,258 | ||||||
Walsin Technology Corp. | 59,000 | 332,087 | ||||||
Yuanta Financial Holding Co. Ltd. | 538,000 | 321,022 | ||||||
Zhen Ding Technology Holding Ltd. | 499,000 | 1,786,170 | ||||||
|
| |||||||
27,706,596 | ||||||||
|
| |||||||
Thailand - 3.7% | ||||||||
Advanced Info Service PCL, NVDR | 26,300 | 189,330 | ||||||
Bangkok Bank PCL, NVDR | 307,400 | 1,743,698 | ||||||
Central Pattana PCL, NVDR | 36,900 | 82,074 | ||||||
Charoen Pokphand Foods PCL, NVDR | 533,000 | 457,636 | ||||||
CP ALL PCL, NVDR | 227,500 | 603,829 | ||||||
Kasikornbank PCL, NVDR | 85,000 | 435,020 | ||||||
Krung Thai Bank PCL, NVDR | 2,191,100 | 1,233,305 | ||||||
PTT Exploration & Production PCL, NVDR | 100,100 | 396,216 | ||||||
PTT Global Chemical PCL, NVDR | 460,200 | 809,264 | ||||||
Ratch Group PCL, NVDR | 113,900 | 266,105 | ||||||
Robinson PCL, NVDR | 53,100 | 110,607 | ||||||
Siam Cement PCL (The), NVDR | 115,300 | 1,537,528 | ||||||
Siam Commercial Bank PCL (The), NVDR | 102,900 | 397,143 | ||||||
Thai Union Group PCL, NVDR | 371,600 | 202,917 | ||||||
|
| |||||||
8,464,672 | ||||||||
|
| |||||||
Turkey - 0.5% | ||||||||
Arcelik A/S * | 98,396 | 331,497 | ||||||
KOC Holding A/S | 141,518 | 473,034 | ||||||
TAV Havalimanlari Holding A/S | 16,453 | 68,670 | ||||||
Turkiye Is Bankasi A/S, Class C * | 102,180 | 113,184 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 86,406 | 71,386 | ||||||
|
| |||||||
1,057,771 | ||||||||
|
| |||||||
United States - 1.5% | ||||||||
JBS SA (1) | 434,900 | 3,424,813 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 221,190,208 | |||||||
|
| |||||||
NO. OF RIGHTS | ||||||||
RIGHTS - 0.0% (c) | ||||||||
Taiwan - 0.0% (c) | ||||||||
Shanghai Commercial & Savings Bank Ltd. (The), expiring 10/7/2019 (3)*(d) | ||||||||
(Cost $—) | 5,931 | 3,081 | ||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
SHORT-TERM INVESTMENTS - 2.2% | ||||||||
INVESTMENT COMPANIES - 2.2% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(e) | ||||||||
(Cost $5,004,237) | 5,004,323 | $ | 5,004,824 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 226,198,113 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% (f) | 1,588,727 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 227,786,840 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 24,700,622 | 10.9 | % | ||||
Consumer Discretionary | 30,151,316 | 13.2 | ||||||
Consumer Staples | 15,112,341 | 6.6 | ||||||
Energy | 13,487,703 | 5.9 | ||||||
Financials | 49,265,589 | 21.6 | ||||||
Health Care | 1,809,603 | 0.8 | ||||||
Industrials | 19,044,207 | 8.4 | ||||||
Information Technology | 33,781,469 | 14.8 | ||||||
Materials | 20,302,869 | 8.9 | ||||||
Real Estate | 6,929,670 | 3.1 | ||||||
Utilities | 6,607,900 | 2.9 | ||||||
Short-Term Investments | 5,004,824 | 2.2 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 226,198,113 | 99.3 | ||||||
Other Assets in Excess of Liabilities (f) | 1,588,727 | 0.7 | ||||||
|
|
|
| |||||
Net Assets | $ | 227,786,840 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $5,270,284, which represents approximately 2.31% of net assets of the fund. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2019, the value of these securities amounted to $4,105,844 or 1.80% of net assets. |
(c) | Represents less than 0.05% of net assets. |
(d) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $3,081, which represents approximately 0.00% of net assets of the fund. |
(e) | Represents 7-day effective yield as of September 30, 2019. |
(f) | Includes appreciation/(depreciation) 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 accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
67
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING MULTI-STYLE FUND |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | Value and Unrealized Appreciation (Depreciation) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI Emerging MarketsE-Mini Index | 103 | 12/2019 | USD | $5,159,785 | $(167,597 | ) | ||||||||||||
|
| |||||||||||||||||
$(167,597 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $487,282 | $487,282 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
68
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.9% | ||||||||
Aerospace & Defense - 2.1% | ||||||||
Huntington Ingalls Industries, Inc. | 7,742 | $ | 1,639,678 | |||||
Northrop Grumman Corp. | 2,371 | 888,627 | ||||||
Raytheon Co. | 3,101 | 608,385 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 30,120 | 2,477,069 | ||||||
Teledyne Technologies, Inc. * | 2,603 | 838,140 | ||||||
|
| |||||||
6,451,899 | ||||||||
|
| |||||||
Airlines - 1.5% | ||||||||
Delta Air Lines, Inc. | 24,368 | 1,403,597 | ||||||
JetBlue Airways Corp. * | 43,661 | 731,322 | ||||||
United Airlines Holdings, Inc. * | 27,786 | 2,456,560 | ||||||
|
| |||||||
4,591,479 | ||||||||
|
| |||||||
Banks - 5.1% | ||||||||
Bank of America Corp. | 37,902 | 1,105,601 | ||||||
Citigroup, Inc. | 18,348 | 1,267,480 | ||||||
Citizens Financial Group, Inc. | 14,425 | 510,212 | ||||||
Fifth Third Bancorp | 13,001 | 355,967 | ||||||
JPMorgan Chase & Co. | 43,114 | 5,074,087 | ||||||
PNC Financial Services Group, Inc. (The) | 727 | 101,896 | ||||||
Popular, Inc. | 72,158 | 3,902,305 | ||||||
SunTrust Banks, Inc. | 4,947 | 340,354 | ||||||
US Bancorp | 11,588 | 641,280 | ||||||
Wells Fargo & Co. | 57,050 | 2,877,602 | ||||||
|
| |||||||
16,176,784 | ||||||||
|
| |||||||
Beverages - 0.7% | ||||||||
Monster Beverage Corp. * | 5,518 | 320,375 | ||||||
PepsiCo, Inc. | 13,439 | 1,842,487 | ||||||
|
| |||||||
2,162,862 | ||||||||
|
| |||||||
Biotechnology - 2.9% | ||||||||
Alexion Pharmaceuticals, Inc. * | 9,819 | 961,673 | ||||||
Amgen, Inc. | 4,773 | 923,623 | ||||||
Biogen, Inc. * | 11,977 | 2,788,485 | ||||||
Celgene Corp. * | 7,520 | 746,736 | ||||||
Exelixis, Inc. * | 200,733 | 3,549,963 | ||||||
|
| |||||||
8,970,480 | ||||||||
|
| |||||||
Capital Markets - 2.1% | ||||||||
Ameriprise Financial, Inc. | 21,170 | 3,114,107 | ||||||
CME Group, Inc. | 11,126 | 2,351,369 | ||||||
LPL Financial Holdings, Inc. | 6,248 | 511,711 | ||||||
Morgan Stanley | 5,289 | 225,681 | ||||||
MSCI, Inc. | 908 | 197,717 | ||||||
S&P Global, Inc. | 807 | 197,699 | ||||||
|
| |||||||
6,598,284 | ||||||||
|
| |||||||
Chemicals - 0.3% | ||||||||
Celanese Corp. | 5,419 | 662,690 | ||||||
Dow, Inc. (a) | 8,590 | 409,313 | ||||||
|
| |||||||
1,072,003 | ||||||||
|
| |||||||
Commercial Services & Supplies - 1.2% | ||||||||
Cintas Corp. | 1,315 | 352,551 | ||||||
Copart, Inc. * | 5,071 | 407,353 | ||||||
KAR Auction Services, Inc. (a) | 25,305 | 621,238 | ||||||
Republic Services, Inc. | 1,912 | 165,484 |
INVESTMENTS | SHARES | VALUE | ||||||
Commercial Services & Supplies - 1.2% (continued) | ||||||||
Waste Management, Inc. | 18,416 | $ | 2,117,840 | |||||
|
| |||||||
3,664,466 | ||||||||
|
| |||||||
Communications Equipment - 1.7% | ||||||||
Ciena Corp. * | 9,087 | 356,483 | ||||||
Cisco Systems, Inc. | 89,248 | 4,409,744 | ||||||
F5 Networks, Inc. * | 3,448 | 484,168 | ||||||
|
| |||||||
5,250,395 | ||||||||
|
| |||||||
Consumer Finance - 0.5% | ||||||||
Capital One Financial Corp. | 2,959 | 269,210 | ||||||
Credit Acceptance Corp. * | 229 | 105,640 | ||||||
OneMain Holdings, Inc. | 3,037 | 111,397 | ||||||
Synchrony Financial | 27,942 | 952,543 | ||||||
|
| |||||||
1,438,790 | ||||||||
|
| |||||||
Distributors - 0.0% (b) | ||||||||
LKQ Corp. * | 2,069 | 65,070 | ||||||
|
| |||||||
Diversified Consumer Services - 1.2% | ||||||||
Graham Holdings Co., Class B | 1,671 | 1,108,625 | ||||||
Grand Canyon Education, Inc. * | 5,315 | 521,933 | ||||||
H&R Block, Inc. | 36,741 | 867,822 | ||||||
ServiceMaster Global Holdings, Inc. * | 25,285 | 1,413,432 | ||||||
|
| |||||||
3,911,812 | ||||||||
|
| |||||||
Diversified Financial Services - 1.6% | ||||||||
AXA Equitable Holdings, Inc. (a) | 26,627 | 590,055 | ||||||
Berkshire Hathaway, Inc., Class B * | 21,313 | 4,433,530 | ||||||
|
| |||||||
5,023,585 | ||||||||
|
| |||||||
Diversified Telecommunication Services - 0.3% | ||||||||
Verizon Communications, Inc. | 15,124 | 912,885 | ||||||
|
| |||||||
Electric Utilities - 2.6% | ||||||||
American Electric Power Co., Inc. | 7,418 | 694,992 | ||||||
Exelon Corp. | 91,761 | 4,432,974 | ||||||
Pinnacle West Capital Corp. | 31,239 | 3,032,370 | ||||||
|
| |||||||
8,160,336 | ||||||||
|
| |||||||
Electrical Equipment - 0.0% (b) | ||||||||
Eaton Corp. plc | 1,268 | 105,434 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 1.5% | ||||||||
Arrow Electronics, Inc. * | 8,314 | 620,058 | ||||||
Avnet, Inc. | 9,152 | 407,127 | ||||||
CDW Corp. | 16,320 | 2,011,277 | ||||||
Jabil, Inc. | 22,112 | 790,946 | ||||||
Zebra Technologies Corp., Class A * | 4,551 | 939,190 | ||||||
|
| |||||||
4,768,598 | ||||||||
|
| |||||||
Entertainment - 0.8% | ||||||||
Electronic Arts, Inc. *(a) | 9,621 | 941,126 | ||||||
Viacom, Inc., Class B | 19,216 | 461,761 | ||||||
Walt Disney Co. (The) | 7,900 | 1,029,528 | ||||||
|
| |||||||
2,432,415 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 0.1% | ||||||||
American Tower Corp. | 1,403 | 310,245 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
69
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Food & Staples Retailing - 1.6% | ||||||||
Casey’s General Stores, Inc. | 1,094 | $ | 176,309 | |||||
Costco Wholesale Corp. | 4,785 | 1,378,607 | ||||||
Kroger Co. (The) | 41,732 | 1,075,851 | ||||||
Walmart, Inc. | 21,471 | 2,548,178 | ||||||
|
| |||||||
5,178,945 | ||||||||
|
| |||||||
Food Products - 2.0% | ||||||||
Archer-Daniels-Midland Co. | 24,962 | 1,025,189 | ||||||
Bunge Ltd. | 21,677 | 1,227,352 | ||||||
General Mills, Inc. | 18,984 | 1,046,398 | ||||||
JM Smucker Co. (The) | 1,902 | 209,258 | ||||||
Pilgrim’s Pride Corp. * | 27,640 | 885,724 | ||||||
Tyson Foods, Inc., Class A | 22,900 | 1,972,606 | ||||||
|
| |||||||
6,366,527 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 3.1% | ||||||||
Abbott Laboratories | 12,511 | 1,046,795 | ||||||
Align Technology, Inc. *(a) | 4,688 | 848,153 | ||||||
Baxter International, Inc. | 19,226 | 1,681,698 | ||||||
Danaher Corp. | 24,991 | 3,609,450 | ||||||
Edwards Lifesciences Corp. * | 949 | 208,695 | ||||||
Masimo Corp. * | 3,136 | 466,606 | ||||||
Medtronic plc | 16,000 | 1,737,920 | ||||||
|
| |||||||
9,599,317 | ||||||||
|
| |||||||
Health Care Providers & Services - 3.2% | ||||||||
AmerisourceBergen Corp. | 2,198 | 180,961 | ||||||
Anthem, Inc. | 7,414 | 1,780,102 | ||||||
Cardinal Health, Inc. | 39,182 | 1,848,999 | ||||||
Henry Schein, Inc. * | 4,499 | 285,687 | ||||||
Humana, Inc. | 348 | 88,973 | ||||||
McKesson Corp. | 16,232 | 2,218,265 | ||||||
MEDNAX, Inc. * | 18,901 | 427,541 | ||||||
Molina Healthcare, Inc. * | 4,163 | 456,764 | ||||||
UnitedHealth Group, Inc. | 7,879 | 1,712,264 | ||||||
Universal Health Services, Inc., Class B | 7,931 | 1,179,736 | ||||||
|
| |||||||
10,179,292 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.0% | ||||||||
Carnival Corp. | 8,980 | 392,516 | ||||||
Darden Restaurants, Inc. | 15,496 | 1,831,937 | ||||||
McDonald’s Corp. | 1,933 | 415,034 | ||||||
Norwegian Cruise Line Holdings Ltd. * | 53,226 | 2,755,510 | ||||||
Starbucks Corp. | 11,731 | 1,037,255 | ||||||
|
| |||||||
6,432,252 | ||||||||
|
| |||||||
Household Durables - 1.2% | ||||||||
PulteGroup, Inc. | 72,491 | 2,649,546 | ||||||
Roku, Inc. *(a) | 3,895 | 396,355 | ||||||
Toll Brothers, Inc. | 14,817 | 608,238 | ||||||
|
| |||||||
3,654,139 | ||||||||
|
| |||||||
Household Products - 2.6% | ||||||||
Clorox Co. (The) | 6,166 | 936,430 | ||||||
Procter & Gamble Co. (The) | 58,508 | 7,277,225 | ||||||
|
| |||||||
8,213,655 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.1% | ||||||||
Vistra Energy Corp. | 7,299 | 195,102 | ||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 8.4% | ||||||||
Aflac, Inc. | 32,761 | $ | 1,714,055 | |||||
Allstate Corp. (The) | 36,129 | 3,926,500 | ||||||
American Financial Group, Inc. | 2,020 | 217,857 | ||||||
Arch Capital Group Ltd. * | 30,424 | 1,277,200 | ||||||
Assurant, Inc. | 9,056 | 1,139,426 | ||||||
Assured Guaranty Ltd. | 57,253 | 2,545,468 | ||||||
Athene Holding Ltd., Class A * | 41,267 | 1,735,690 | ||||||
Brighthouse Financial, Inc. * | 22,038 | 891,878 | ||||||
Chubb Ltd. | 5,879 | 949,106 | ||||||
Everest Re Group Ltd. | 9,920 | 2,639,613 | ||||||
Fidelity National Financial, Inc. | 3,046 | 135,273 | ||||||
First American Financial Corp. | 17,049 | 1,006,061 | ||||||
Hanover Insurance Group, Inc. (The) | 1,071 | 145,163 | ||||||
MetLife, Inc. | 20,280 | 956,405 | ||||||
Old Republic International Corp. | 52,645 | 1,240,843 | ||||||
Progressive Corp. (The) | 34,657 | 2,677,253 | ||||||
Reinsurance Group of America, Inc. | 7,701 | 1,231,236 | ||||||
Travelers Cos., Inc. (The) | 13,202 | 1,963,005 | ||||||
|
| |||||||
26,392,032 | ||||||||
|
| |||||||
Interactive Media & Services - 6.4% | ||||||||
Alphabet, Inc., Class A * | 5,220 | 6,374,351 | ||||||
Alphabet, Inc., Class C * | 3,173 | 3,867,887 | ||||||
Facebook, Inc., Class A * | 35,155 | 6,260,402 | ||||||
IAC/InterActiveCorp * | 2,351 | 512,448 | ||||||
TripAdvisor, Inc. * | 26,509 | 1,025,368 | ||||||
Twitter, Inc. * | 52,916 | 2,180,139 | ||||||
|
| |||||||
20,220,595 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 1.6% | ||||||||
Amazon.com, Inc. * | 2,860 | 4,964,702 | ||||||
Qurate Retail, Inc., Series A * | 12,971 | 133,796 | ||||||
|
| |||||||
5,098,498 | ||||||||
|
| |||||||
IT Services - 4.7% | ||||||||
Accenture plc, Class A | 7,680 | 1,477,248 | ||||||
Akamai Technologies, Inc. * | 35,166 | 3,213,469 | ||||||
Alliance Data Systems Corp. | 1,082 | 138,637 | ||||||
Booz Allen Hamilton Holding Corp. | 13,714 | 973,968 | ||||||
CACI International, Inc., Class A * | 3,360 | 777,034 | ||||||
Cognizant Technology Solutions Corp., Class A | 17,950 | 1,081,757 | ||||||
DXC Technology Co. | 4,523 | 133,428 | ||||||
EPAM Systems, Inc. * | 3,486 | 635,568 | ||||||
Euronet Worldwide, Inc. * | 2,111 | 308,839 | ||||||
Global Payments, Inc. | 1,595 | 253,605 | ||||||
International Business Machines Corp. | 10,179 | 1,480,230 | ||||||
Leidos Holdings, Inc. | 7,527 | 646,419 | ||||||
Mastercard, Inc., Class A | 527 | 143,117 | ||||||
PayPal Holdings, Inc. * | 5,134 | 531,831 | ||||||
VeriSign, Inc. * | 3,517 | 663,412 | ||||||
Visa, Inc., Class A | 12,591 | 2,165,778 | ||||||
|
| |||||||
14,624,340 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 2.2% | ||||||||
Charles River Laboratories International, Inc. * | 12,607 | 1,668,789 | ||||||
IQVIA Holdings, Inc. * | 8,087 | 1,208,036 | ||||||
PRA Health Sciences, Inc. * | 2,573 | 255,319 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
70
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Life Sciences Tools & Services - 2.2% (continued) | ||||||||
Thermo Fisher Scientific, Inc. | 12,961 | $ | 3,775,150 | |||||
|
| |||||||
6,907,294 | ||||||||
|
| |||||||
Machinery - 1.3% | ||||||||
AGCO Corp. | 7,830 | 592,731 | ||||||
Allison Transmission Holdings, Inc. | 5,629 | 264,844 | ||||||
Cummins, Inc. | 4,612 | 750,234 | ||||||
Ingersoll-Rand plc | 2,242 | 276,237 | ||||||
Oshkosh Corp. | 27,987 | 2,121,415 | ||||||
Snap-on, Inc. | 993 | 155,444 | ||||||
|
| |||||||
4,160,905 | ||||||||
|
| |||||||
Media - 2.2% | ||||||||
AMC Networks, Inc., Class A * | 38,313 | 1,883,467 | ||||||
Comcast Corp., Class A | 45,860 | 2,067,369 | ||||||
Discovery, Inc., Class A *(a) | 18,210 | 484,932 | ||||||
Nexstar Media Group, Inc., Class A | 3,418 | 349,696 | ||||||
Omnicom Group, Inc. | 2,745 | 214,933 | ||||||
Sinclair Broadcast Group, Inc., Class A | 42,281 | 1,807,090 | ||||||
|
| |||||||
6,807,487 | ||||||||
|
| |||||||
Multiline Retail - 0.5% | ||||||||
Kohl’s Corp. (a) | 8,238 | 409,099 | ||||||
Macy’s, Inc. (a) | 16,964 | 263,621 | ||||||
Target Corp. | 7,685 | 821,603 | ||||||
|
| |||||||
1,494,323 | ||||||||
|
| |||||||
Multi-Utilities - 1.2% | ||||||||
Ameren Corp. | 16,399 | 1,312,740 | ||||||
Consolidated Edison, Inc. | 6,647 | 627,942 | ||||||
DTE Energy Co. | 8,431 | 1,120,986 | ||||||
Public Service Enterprise Group, Inc. | 10,287 | 638,617 | ||||||
|
| |||||||
3,700,285 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 0.3% | ||||||||
Diamondback Energy, Inc. | 608 | 54,665 | ||||||
HollyFrontier Corp. | 16,764 | 899,221 | ||||||
Pioneer Natural Resources Co. | 794 | 99,862 | ||||||
|
| |||||||
1,053,748 | ||||||||
|
| |||||||
Personal Products - 0.2% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 2,294 | 456,391 | ||||||
Nu Skin Enterprises, Inc., Class A | 1,653 | 70,302 | ||||||
|
| |||||||
526,693 | ||||||||
|
| |||||||
Pharmaceuticals - 4.3% | ||||||||
Allergan plc | 3,648 | 613,922 | ||||||
Bristol-Myers Squibb Co. | 21,053 | 1,067,598 | ||||||
Eli Lilly & Co. | 5,696 | 636,984 | ||||||
Horizon Therapeutics plc * | 31,843 | 867,085 | ||||||
Jazz Pharmaceuticals plc * | 2,739 | 350,975 | ||||||
Johnson & Johnson | 24,955 | 3,228,678 | ||||||
Merck & Co., Inc. | 39,130 | 3,293,963 | ||||||
Mylan NV * | 88,948 | 1,759,391 | ||||||
Pfizer, Inc. | 48,120 | 1,728,952 | ||||||
|
| |||||||
13,547,548 | ||||||||
|
| |||||||
Professional Services - 0.7% | ||||||||
ManpowerGroup, Inc. | 12,067 | 1,016,524 |
INVESTMENTS | SHARES | VALUE | ||||||
Professional Services - 0.7% (continued) | ||||||||
Robert Half International, Inc. | 19,166 | $ | 1,066,780 | |||||
|
| |||||||
2,083,304 | ||||||||
|
| |||||||
Road & Rail - 0.1% | ||||||||
AMERCO | 593 | 231,294 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 5.1% | ||||||||
Applied Materials, Inc. | 17,636 | 880,036 | ||||||
Intel Corp. | 78,238 | 4,031,604 | ||||||
Lam Research Corp. | 11,722 | 2,709,071 | ||||||
Micron Technology, Inc. * | 87,817 | 3,762,959 | ||||||
ON Semiconductor Corp. * | 33,785 | 649,010 | ||||||
Qorvo, Inc. *(a) | 10,248 | 759,787 | ||||||
Skyworks Solutions, Inc. | 4,897 | 388,087 | ||||||
Teradyne, Inc. | 13,746 | 796,031 | ||||||
Texas Instruments, Inc. | 11,496 | 1,485,743 | ||||||
Xilinx, Inc. | 7,202 | 690,672 | ||||||
|
| |||||||
16,153,000 | ||||||||
|
| |||||||
Software - 7.7% | ||||||||
Adobe, Inc. * | 7,762 | 2,144,252 | ||||||
Cadence Design Systems, Inc. * | 30,455 | 2,012,466 | ||||||
Fortinet, Inc. * | 20,904 | 1,604,591 | ||||||
Intuit, Inc. | 1,554 | 413,271 | ||||||
Manhattan Associates, Inc. * | 4,944 | 398,832 | ||||||
Microsoft Corp. | 91,729 | 12,753,083 | ||||||
Oracle Corp. | 30,452 | 1,675,774 | ||||||
Paycom Software, Inc. * | 4,777 | 1,000,734 | ||||||
Trade Desk, Inc. (The), Class A *(a) | 2,801 | 525,328 | ||||||
VMware, Inc., Class A | 11,650 | 1,748,199 | ||||||
|
| |||||||
24,276,530 | ||||||||
|
| |||||||
Specialty Retail - 2.4% | ||||||||
Advance Auto Parts, Inc. (a) | 906 | 149,852 | ||||||
AutoNation, Inc. *(a) | 6,514 | 330,260 | ||||||
AutoZone, Inc. * | 155 | 168,116 | ||||||
Best Buy Co., Inc. | 11,634 | 802,630 | ||||||
Foot Locker, Inc. | 32,204 | 1,389,925 | ||||||
Home Depot, Inc. (The) | 4,165 | 966,363 | ||||||
Ross Stores, Inc. | 2,106 | 231,344 | ||||||
TJX Cos., Inc. (The) | 19,289 | 1,075,169 | ||||||
Ulta Beauty, Inc. * | 1,640 | 411,066 | ||||||
Urban Outfitters, Inc. * | 15,805 | 443,962 | ||||||
Williams-Sonoma, Inc. | 21,665 | 1,472,787 | ||||||
|
| |||||||
7,441,474 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.5% | ||||||||
Apple, Inc. | 44,670 | 10,004,740 | ||||||
Xerox Holdings Corp. | 34,038 | 1,018,076 | ||||||
|
| |||||||
11,022,816 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.8% | ||||||||
Columbia Sportswear Co. (a) | 956 | 92,627 | ||||||
Lululemon Athletica, Inc. * | 3,796 | 730,844 | ||||||
Skechers U.S.A., Inc., Class A * | 44,088 | 1,646,686 | ||||||
|
| |||||||
2,470,157 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.6% | ||||||||
MGIC Investment Corp. | 148,715 | 1,870,835 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
71
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Tobacco - 0.6% | ||||||||
Altria Group, Inc. | 18,086 | $ | 739,718 | |||||
Philip Morris International, Inc. | 17,038 | 1,293,695 | ||||||
|
| |||||||
2,033,413 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.1% | ||||||||
Air Lease Corp. | 4,062 | 169,873 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 304,173,495 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.9% | ||||||||
INVESTMENT COMPANIES - 2.9% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $9,067,738) | 9,069,047 | 9,069,953 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 1.4% | ||||||||
Investment Companies - 1.4% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (c)(d) | 525,844 | 525,844 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (c)(d) | 3,773,449 | 3,773,826 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 4,299,670 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.2% | 317,543,118 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.2)% (e) | (3,677,119) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 313,865,999 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 30,373,382 | 9.7 | % | ||||
Consumer Discretionary | 30,567,726 | 9.7 | ||||||
Consumer Staples | 24,482,095 | 7.8 | ||||||
Energy | 1,053,748 | 0.3 | ||||||
Financials | 57,500,310 | 18.3 | ||||||
Health Care | 49,203,930 | 15.7 | ||||||
Industrials | 21,458,654 | 6.8 | ||||||
Information Technology | 76,095,679 | 24.3 | ||||||
Materials | 1,072,003 | 0.4 | ||||||
Real Estate | 310,245 | 0.1 | ||||||
Utilities | 12,055,723 | 3.8 | ||||||
Short-Term Investments | 9,069,953 | 2.9 | ||||||
Securities Lending Collateral | 4,299,670 | 1.4 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 317,543,118 | 101.2 | ||||||
Liabilities in Excess of Other Assets (e) | (3,677,119 | ) | (1.2 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 313,865,999 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $4,169,328. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
S&P 500E-Mini Index | 52 | 12/2019 | USD | $7,744,100 | $(71,819 | ) | ||||||||||||
|
| |||||||||||||||||
$(71,819 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $470,585 | $470,585 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
72
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.6% | ||||||||
Aerospace & Defense - 2.5% | ||||||||
AAR Corp. | 287 | $ | 11,827 | |||||
Aerojet Rocketdyne Holdings, Inc. *(a) | 1,911 | 96,525 | ||||||
Astronics Corp. * | 4,220 | 123,984 | ||||||
Mercury Systems, Inc. * | 1,819 | 147,648 | ||||||
Moog, Inc., Class A (a) | 996 | 80,795 | ||||||
National Presto Industries, Inc. | 189 | 16,838 | ||||||
Vectrus, Inc. * | 2,649 | 107,682 | ||||||
Wesco Aircraft Holdings, Inc. * | 1,279 | 14,082 | ||||||
|
| |||||||
599,381 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.0% (b) | ||||||||
Radiant Logistics, Inc. * | 1,388 | 7,176 | ||||||
|
| |||||||
Airlines - 0.4% | ||||||||
Allegiant Travel Co. | 100 | 14,966 | ||||||
Hawaiian Holdings, Inc. | 353 | 9,270 | ||||||
SkyWest, Inc. | 613 | 35,186 | ||||||
Spirit Airlines, Inc. * | 1,087 | 39,458 | ||||||
|
| |||||||
98,880 | ||||||||
|
| |||||||
Auto Components - 1.0% | ||||||||
Cooper Tire & Rubber Co. | 266 | 6,948 | ||||||
Dana, Inc. | 10,704 | 154,566 | ||||||
Fox Factory Holding Corp. * | 120 | 7,469 | ||||||
LCI Industries | 680 | 62,458 | ||||||
Modine Manufacturing Co. * | 683 | 7,765 | ||||||
|
| |||||||
239,206 | ||||||||
|
| |||||||
Automobiles - 0.0% (b) | ||||||||
Winnebago Industries, Inc. | 192 | 7,363 | ||||||
|
| |||||||
Banks - 6.4% | ||||||||
Ameris Bancorp | 560 | 22,534 | ||||||
BancFirst Corp. | 657 | 36,411 | ||||||
Bancorp, Inc. (The) * | 5,653 | 55,965 | ||||||
BancorpSouth Bank | 439 | 12,999 | ||||||
Bank of NT Butterfield & Son Ltd. (The) | 1,221 | 36,190 | ||||||
Cathay General Bancorp | 3,034 | 105,386 | ||||||
City Holding Co. | 216 | 16,470 | ||||||
Enterprise Financial Services Corp. | 446 | 18,175 | ||||||
First Bancorp/PR | 12,535 | 125,099 | ||||||
First Financial Bancorp | 483 | 11,821 | ||||||
First Interstate BancSystem, Inc., Class A | 1,069 | 43,017 | ||||||
First Merchants Corp. | 935 | 35,189 | ||||||
First Midwest Bancorp, Inc. | 601 | 11,708 | ||||||
Fulton Financial Corp. | 4,415 | 71,435 | ||||||
Great Southern Bancorp, Inc. | 792 | 45,104 | ||||||
Great Western Bancorp, Inc. (a) | 2,297 | 75,801 | ||||||
Hancock Whitney Corp. | 2,497 | 95,623 | ||||||
Hanmi Financial Corp. | 527 | 9,897 | ||||||
Heartland Financial USA, Inc. | 503 | 22,504 | ||||||
Home BancShares, Inc. | 696 | 13,081 | ||||||
Hope Bancorp, Inc. | 2,490 | 35,707 | ||||||
IBERIABANK Corp. | 856 | 64,662 | ||||||
Independent Bank Corp. | 156 | 11,645 | ||||||
International Bancshares Corp. | 3,095 | 119,529 | ||||||
LegacyTexas Financial Group, Inc. | 570 | 24,812 | ||||||
NBT Bancorp, Inc. | 785 | 28,723 |
INVESTMENTS | SHARES | VALUE | ||||||
Banks - 6.4% (continued) | ||||||||
OFG Bancorp | 8,151 | $ | 178,507 | |||||
Old National Bancorp (a) | 1,547 | 26,616 | ||||||
Preferred Bank | 505 | 26,452 | ||||||
Simmons First National Corp., Class A | 2,245 | 55,901 | ||||||
South State Corp. | 164 | 12,349 | ||||||
Trustmark Corp. | 1,383 | 47,174 | ||||||
United Bankshares, Inc. | 575 | 21,775 | ||||||
Valley National Bancorp | 1,035 | 11,251 | ||||||
|
| |||||||
1,529,512 | ||||||||
|
| |||||||
Beverages - 0.2% | ||||||||
Boston Beer Co., Inc. (The), Class A * | 94 | 34,224 | ||||||
National Beverage Corp. | 150 | 6,654 | ||||||
|
| |||||||
40,878 | ||||||||
|
| |||||||
Biotechnology - 7.1% | ||||||||
ACADIA Pharmaceuticals, Inc. * | 1,418 | 51,034 | ||||||
Affimed NV (Germany) * | 8,155 | 23,976 | ||||||
Amicus Therapeutics, Inc. * | 1,954 | 15,671 | ||||||
Anika Therapeutics, Inc. * | 993 | 54,506 | ||||||
Arena Pharmaceuticals, Inc. * | 730 | 33,412 | ||||||
Arrowhead Pharmaceuticals, Inc. * | 5,543 | 156,202 | ||||||
BioSpecifics Technologies Corp. * | 1,418 | 75,891 | ||||||
CareDx, Inc. * | 2,708 | 61,228 | ||||||
Catalyst Pharmaceuticals, Inc. * | 1,961 | 10,413 | ||||||
Denali Therapeutics, Inc. * | 1,819 | 27,867 | ||||||
Eagle Pharmaceuticals, Inc. * | 1,489 | 84,233 | ||||||
Emergent BioSolutions, Inc. * | 2,457 | 128,452 | ||||||
Enanta Pharmaceuticals, Inc. * | 1,659 | 99,673 | ||||||
Genomic Health, Inc. * | 380 | 25,772 | ||||||
Halozyme Therapeutics, Inc. * | 1,617 | 25,080 | ||||||
Insmed, Inc. *(a) | 1,004 | 17,711 | ||||||
Intercept Pharmaceuticals, Inc. * | 320 | 21,235 | ||||||
Invitae Corp. * | 3,439 | 66,269 | ||||||
Ligand Pharmaceuticals, Inc. *(a) | 750 | 74,655 | ||||||
Myriad Genetics, Inc. * | 2,804 | 80,278 | ||||||
Natera, Inc. * | 760 | 24,928 | ||||||
Palatin Technologies, Inc. * | 7,733 | 7,028 | ||||||
PDL BioPharma, Inc. * | 5,514 | 11,910 | ||||||
Portola Pharmaceuticals, Inc. * | 648 | 17,379 | ||||||
PTC Therapeutics, Inc. * | 255 | 8,624 | ||||||
REGENXBIO, Inc. * | 539 | 19,188 | ||||||
Repligen Corp. * | 2,633 | 201,925 | ||||||
Spark Therapeutics, Inc. * | 370 | 35,883 | ||||||
Veracyte, Inc. * | 3,338 | 80,112 | ||||||
Vericel Corp. *(a) | 4,807 | 72,778 | ||||||
Viking Therapeutics, Inc. *(a) | 1,797 | 12,363 | ||||||
Voyager Therapeutics, Inc. * | 829 | 14,267 | ||||||
Xencor, Inc. *(a) | 1,152 | 38,857 | ||||||
|
| |||||||
1,678,800 | ||||||||
|
| |||||||
Building Products - 1.9% | ||||||||
American Woodmark Corp. * | 255 | 22,672 | ||||||
Builders FirstSource, Inc. * | 12,152 | 250,027 | ||||||
Patrick Industries, Inc. * | 1,852 | 79,414 | ||||||
Universal Forest Products, Inc. | 2,743 | 109,391 | ||||||
|
| |||||||
461,504 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
73
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Capital Markets - 1.4% | ||||||||
Artisan Partners Asset Management, Inc., Class A | 599 | $ | 16,916 | |||||
Cowen, Inc., Class A *(a) | 902 | 13,882 | ||||||
Oppenheimer Holdings, Inc., Class A | 4,012 | 120,601 | ||||||
Stifel Financial Corp. (a) | 833 | 47,797 | ||||||
Waddell & Reed Financial, Inc., Class A | 7,147 | 122,785 | ||||||
|
| |||||||
321,981 | ||||||||
|
| |||||||
Chemicals - 0.0% (b) | ||||||||
Kraton Corp. * | 207 | 6,684 | ||||||
|
| |||||||
Commercial Services & Supplies - 3.1% | ||||||||
ABM Industries, Inc. | 3,312 | 120,292 | ||||||
Advanced Disposal Services, Inc. * | 863 | 28,108 | ||||||
Brady Corp., Class A | 1,049 | 55,649 | ||||||
Ennis, Inc. | 4,365 | 88,217 | ||||||
Herman Miller, Inc. | 2,387 | 110,017 | ||||||
HNI Corp. | 931 | 33,050 | ||||||
Kimball International, Inc., Class B | 2,747 | 53,017 | ||||||
Knoll, Inc. | 1,855 | 47,024 | ||||||
Steelcase, Inc., Class A | 8,484 | 156,106 | ||||||
Tetra Tech, Inc. | 213 | 18,480 | ||||||
UniFirst Corp. | 111 | 21,658 | ||||||
|
| |||||||
731,618 | ||||||||
|
| |||||||
Communications Equipment - 0.7% | ||||||||
Acacia Communications, Inc. * | 447 | 29,234 | ||||||
Comtech Telecommunications Corp. | 3,306 | 107,445 | ||||||
Digi International, Inc. * | 1,210 | 16,480 | ||||||
NetScout Systems, Inc. * | 307 | 7,079 | ||||||
|
| |||||||
160,238 | ||||||||
|
| |||||||
Construction & Engineering - 2.6% | ||||||||
Comfort Systems USA, Inc. (a) | 633 | 27,998 | ||||||
EMCOR Group, Inc. | 2,018 | 173,790 | ||||||
Great Lakes Dredge & Dock Corp. * | 16,845 | 176,030 | ||||||
MasTec, Inc. * | 2,326 | 151,027 | ||||||
MYR Group, Inc. * | 1,487 | 46,528 | ||||||
Sterling Construction Co., Inc. * | 1,075 | 14,136 | ||||||
Tutor Perini Corp. *(a) | 2,268 | 32,501 | ||||||
|
| |||||||
622,010 | ||||||||
|
| |||||||
Construction Materials - 0.2% | ||||||||
Summit Materials, Inc., Class A * | 1,368 | 30,369 | ||||||
US Concrete, Inc. *(a) | 110 | 6,081 | ||||||
|
| |||||||
36,450 | ||||||||
|
| |||||||
Distributors - 0.0% (b) | ||||||||
Core-Mark Holding Co., Inc. | 182 | 5,845 | ||||||
|
| |||||||
Diversified Consumer Services - 1.2% | ||||||||
Adtalem Global Education, Inc. * | 625 | 23,806 | ||||||
American Public Education, Inc. * | 3,411 | 76,202 | ||||||
K12, Inc. * | 5,588 | 147,523 | ||||||
Laureate Education, Inc., Class A * | 1,104 | 18,299 | ||||||
Regis Corp. * | 1,259 | 25,457 | ||||||
|
| |||||||
291,287 | ||||||||
|
| |||||||
Diversified Financial Services - 0.1% | ||||||||
Cannae Holdings, Inc. * | 1,133 | 31,124 | ||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Diversified Telecommunication Services - 0.9% | ||||||||
ATN International, Inc. | 787 | $ | 45,937 | |||||
Bandwidth, Inc., Class A * | 982 | 63,938 | ||||||
Iridium Communications, Inc. * | 3,989 | 84,886 | ||||||
Vonage Holdings Corp. * | 2,491 | 28,148 | ||||||
|
| |||||||
222,909 | ||||||||
|
| |||||||
Electric Utilities - 1.9% | ||||||||
ALLETE, Inc. | 788 | 68,879 | ||||||
El Paso Electric Co. | 648 | 43,468 | ||||||
Genie Energy Ltd., Class B | 3,750 | 27,975 | ||||||
Portland General Electric Co. | 5,666 | 319,392 | ||||||
|
| |||||||
459,714 | ||||||||
|
| |||||||
Electrical Equipment - 2.5% | ||||||||
American Superconductor Corp. *(a) | 3,925 | 30,772 | ||||||
Atkore International Group, Inc. * | 6,716 | 203,831 | ||||||
Encore Wire Corp. | 1,691 | 95,169 | ||||||
EnerSys (a) | 924 | 60,929 | ||||||
Generac Holdings, Inc. * | 1,899 | 148,768 | ||||||
Sunrun, Inc. * | 1,860 | 31,071 | ||||||
Vicor Corp. * | 364 | 10,745 | ||||||
|
| |||||||
581,285 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 3.4% | ||||||||
Anixter International, Inc. * | 116 | 8,018 | ||||||
AVX Corp. | 825 | 12,540 | ||||||
Belden, Inc. | 519 | 27,684 | ||||||
Coda Octopus Group, Inc. *(a) | 2,478 | 20,344 | ||||||
Fabrinet (Thailand) *(a) | 1,618 | 84,621 | ||||||
II-VI, Inc. *(a) | 368 | 12,957 | ||||||
Insight Enterprises, Inc. * | 2,935 | 163,450 | ||||||
KEMET Corp. | 5,031 | 91,464 | ||||||
PC Connection, Inc. | 2,774 | 107,909 | ||||||
Sanmina Corp. * | 1,242 | 39,881 | ||||||
Tech Data Corp. * | 1,828 | 190,551 | ||||||
Vishay Intertechnology, Inc. | 2,908 | 49,232 | ||||||
|
| |||||||
808,651 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.4% | ||||||||
Liberty Oilfield Services, Inc., Class A | 647 | 7,007 | ||||||
ProPetro Holding Corp. * | 6,668 | 60,612 | ||||||
Smart Sand, Inc. *(a) | 11,046 | 31,260 | ||||||
|
| |||||||
98,879 | ||||||||
|
| |||||||
Entertainment - 0.1% | ||||||||
Marcus Corp. (The) | 360 | 13,324 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 3.2% | ||||||||
Braemar Hotels & Resorts, Inc. | 3,082 | 28,940 | ||||||
CoreCivic, Inc. | 1,834 | 31,692 | ||||||
DiamondRock Hospitality Co. | 4,940 | 50,635 | ||||||
EastGroup Properties, Inc. | 272 | 34,005 | ||||||
First Industrial Realty Trust, Inc. | 2,028 | 80,228 | ||||||
GEO Group, Inc. (The) | 1,491 | 25,854 | ||||||
Lexington Realty Trust | 5,578 | 57,175 | ||||||
LTC Properties, Inc. | 246 | 12,600 | ||||||
Mack-Cali Realty Corp. | 1,073 | 23,241 | ||||||
National Health Investors, Inc. | 498 | 41,030 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 1,414 | 29,524 | ||||||
PS Business Parks, Inc. | 389 | 70,779 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
74
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Equity Real Estate Investment Trusts (REITs) - 3.2% (continued) | ||||||||
RLJ Lodging Trust | 5,396 | $ | 91,678 | |||||
RPT Realty | 1,446 | 19,593 | ||||||
Sabra Health Care REIT, Inc. (a) | 2,018 | 46,333 | ||||||
Sunstone Hotel Investors, Inc. | 2,521 | 34,639 | ||||||
Universal Health Realty Income Trust | 270 | 27,756 | ||||||
Xenia Hotels & Resorts, Inc. | 2,619 | 55,313 | ||||||
|
| |||||||
761,015 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.5% | ||||||||
BJ’s Wholesale Club Holdings, Inc. * | 1,475 | 38,158 | ||||||
Ingles Markets, Inc., Class A | 1,363 | 52,966 | ||||||
Natural Grocers by Vitamin Cottage, Inc. * | 739 | 7,383 | ||||||
Weis Markets, Inc. | 268 | 10,222 | ||||||
|
| |||||||
108,729 | ||||||||
|
| |||||||
Food Products - 0.4% | ||||||||
Cal-Maine Foods, Inc. | 174 | 6,952 | ||||||
John B Sanfilippo & Son, Inc. | 657 | 63,466 | ||||||
Lancaster Colony Corp. (a) | 167 | 23,155 | ||||||
|
| |||||||
93,573 | ||||||||
|
| |||||||
Gas Utilities - 0.5% | ||||||||
New Jersey Resources Corp. | 241 | 10,898 | ||||||
ONE Gas, Inc. (a) | 1,039 | 99,858 | ||||||
Southwest Gas Holdings, Inc. | 89 | 8,103 | ||||||
|
| |||||||
118,859 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 3.3% | ||||||||
Conformis, Inc. * | 3,983 | 7,408 | ||||||
Globus Medical, Inc., Class A * | 3,009 | 153,820 | ||||||
Haemonetics Corp. * | 1,401 | 176,722 | ||||||
Integer Holdings Corp. * | 1,714 | 129,510 | ||||||
IntriCon Corp. *(a) | 708 | 13,764 | ||||||
iRadimed Corp. * | 614 | 12,906 | ||||||
Lantheus Holdings, Inc. * | 4,071 | 102,040 | ||||||
Novocure Ltd. *(a) | 403 | 30,136 | ||||||
NuVasive, Inc. * | 225 | 14,261 | ||||||
Quidel Corp. * | 1,300 | 79,755 | ||||||
Tandem Diabetes Care, Inc. * | 1,244 | 73,371 | ||||||
|
| |||||||
793,693 | ||||||||
|
| |||||||
Health Care Providers & Services - 3.8% | ||||||||
Addus HomeCare Corp. * | 290 | 22,991 | ||||||
Amedisys, Inc. * | 1,612 | 211,188 | ||||||
AMN Healthcare Services, Inc. * | 1,940 | 111,667 | ||||||
BioTelemetry, Inc. * | 168 | 6,843 | ||||||
CorVel Corp. * | 1,323 | 100,151 | ||||||
Ensign Group, Inc. (The) | 3,266 | 154,906 | ||||||
HealthEquity, Inc. * | 1,096 | 62,631 | ||||||
Joint Corp. (The) * | 646 | 12,022 | ||||||
LHC Group, Inc. * | 155 | 17,602 | ||||||
Magellan Health, Inc. * | 539 | 33,472 | ||||||
National Research Corp. | 191 | 11,030 | ||||||
Patterson Cos., Inc. | 6,078 | 108,310 | ||||||
Select Medical Holdings Corp. * | 1,362 | 22,568 | ||||||
Tenet Healthcare Corp. * | 1,604 | 35,481 | ||||||
|
| |||||||
910,862 | ||||||||
|
| |||||||
Health Care Technology - 1.5% | ||||||||
HMS Holdings Corp. * | 5,689 | 196,071 |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Technology - 1.5% (continued) | ||||||||
NextGen Healthcare, Inc. * | 2,510 | $ | 39,332 | |||||
Omnicell, Inc. * | 1,590 | 114,909 | ||||||
Teladoc Health, Inc. * | 202 | 13,680 | ||||||
|
| |||||||
363,992 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 0.8% | ||||||||
BJ’s Restaurants, Inc. | 510 | 19,808 | ||||||
Brinker International, Inc. (a) | 1,603 | 68,400 | ||||||
Cheesecake Factory, Inc. (The) | 255 | 10,628 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 195 | 31,717 | ||||||
Eldorado Resorts, Inc. * | 773 | 30,820 | ||||||
Ruth’s Hospitality Group, Inc. | 1,008 | 20,578 | ||||||
Twin River Worldwide Holdings, Inc. | 407 | 9,292 | ||||||
|
| |||||||
191,243 | ||||||||
|
| |||||||
Household Durables - 1.9% | ||||||||
Beazer Homes USA, Inc. * | 1,599 | 23,825 | ||||||
Installed Building Products, Inc. * | 275 | 15,768 | ||||||
La-Z-Boy, Inc. | 329 | 11,051 | ||||||
M/I Homes, Inc. * | 1,106 | 41,641 | ||||||
MDC Holdings, Inc. (a) | 839 | 36,161 | ||||||
Meritage Homes Corp. * | 1,710 | 120,299 | ||||||
Taylor Morrison Home Corp. * | 3,466 | 89,908 | ||||||
Turtle Beach Corp. *(a) | 5,062 | 59,074 | ||||||
Universal Electronics, Inc. * | 428 | 21,785 | ||||||
William Lyon Homes, Class A * | 1,288 | 26,224 | ||||||
|
| |||||||
445,736 | ||||||||
|
| |||||||
Household Products - 0.1% | ||||||||
WD-40 Co. | 128 | 23,493 | ||||||
|
| |||||||
Insurance - 4.4% | ||||||||
American Equity Investment Life Holding Co. | 2,950 | 71,390 | ||||||
Argo Group International Holdings Ltd. | 172 | 12,081 | ||||||
eHealth, Inc. * | 1,830 | 122,226 | ||||||
Employers Holdings, Inc. | 3,538 | 154,186 | ||||||
Genworth Financial, Inc., Class A * | 7,815 | 34,386 | ||||||
Goosehead Insurance, Inc., Class A | 492 | 24,280 | ||||||
Health Insurance Innovations, Inc., Class A *(a) | 4,609 | 114,902 | ||||||
Heritage Insurance Holdings, Inc. | 1,556 | 23,262 | ||||||
Kinsale Capital Group, Inc. | 593 | 61,263 | ||||||
National General Holdings Corp. | 3,807 | 87,637 | ||||||
National Western Life Group, Inc., Class A | 123 | 33,010 | ||||||
Selective Insurance Group, Inc. | 1,308 | 98,349 | ||||||
Universal Insurance Holdings, Inc. | 6,615 | 198,384 | ||||||
|
| |||||||
1,035,356 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.0% (b) | ||||||||
1-800-Flowers.com, Inc., Class A * | 687 | 10,164 | ||||||
|
| |||||||
IT Services - 2.6% | ||||||||
Cardtronics plc, Class A * | 4,626 | 139,890 | ||||||
EVERTEC, Inc. (a) | 3,978 | 124,193 | ||||||
Hackett Group, Inc. (The) | 970 | 15,966 | ||||||
KBR, Inc. (a) | 3,684 | 90,405 | ||||||
MAXIMUS, Inc. | 991 | 76,565 | ||||||
Perspecta, Inc. | 2,308 | 60,285 | ||||||
Science Applications International Corp. | 110 | 9,609 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
75
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
IT Services - 2.6% (continued) | ||||||||
Sykes Enterprises, Inc. * | 2,897 | $ | 88,764 | |||||
TTEC Holdings, Inc. | 199 | 9,528 | ||||||
Unisys Corp. * | 1,569 | 11,658 | ||||||
|
| |||||||
626,863 | ||||||||
|
| |||||||
Leisure Products - 0.8% | ||||||||
Acushnet Holdings Corp. | 1,795 | 47,388 | ||||||
Johnson Outdoors, Inc., Class A | 1,388 | 81,281 | ||||||
MasterCraft Boat Holdings, Inc. * | 4,723 | 70,491 | ||||||
|
| |||||||
199,160 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 2.4% | ||||||||
Cambrex Corp. * | 398 | 23,681 | ||||||
Medpace Holdings, Inc. * | 3,282 | 275,819 | ||||||
NanoString Technologies, Inc. * | 769 | 16,603 | ||||||
NeoGenomics, Inc. * | 4,351 | 83,191 | ||||||
Syneos Health, Inc. * | 3,119 | 165,962 | ||||||
|
| |||||||
565,256 | ||||||||
|
| |||||||
Machinery - 1.9% | ||||||||
Columbus McKinnon Corp. | 438 | 15,956 | ||||||
Commercial Vehicle Group, Inc. * | 17,507 | 126,226 | ||||||
Greenbrier Cos., Inc. (The) | 366 | 11,024 | ||||||
Harsco Corp. * | 1,669 | 31,644 | ||||||
Kennametal, Inc. | 558 | 17,153 | ||||||
Meritor, Inc. * | 9,194 | 170,089 | ||||||
Mueller Industries, Inc. | 1,702 | 48,814 | ||||||
Rexnord Corp. *(a) | 246 | 6,654 | ||||||
Wabash National Corp. | 1,771 | 25,697 | ||||||
|
| |||||||
453,257 | ||||||||
|
| |||||||
Media - 0.9% | ||||||||
Fluent, Inc. * | 13,441 | 36,761 | ||||||
Gray Television, Inc. *(a) | 2,602 | 42,465 | ||||||
MSG Networks, Inc., Class A * | 949 | 15,393 | ||||||
TEGNA, Inc. | 7,935 | 123,230 | ||||||
|
| |||||||
217,849 | ||||||||
|
| |||||||
Metals & Mining - 1.9% | ||||||||
Carpenter Technology Corp. | 368 | 19,011 | ||||||
Cleveland-Cliffs, Inc. | 9,438 | 68,142 | ||||||
Commercial Metals Co. | 1,844 | 32,049 | ||||||
Ryerson Holding Corp. * | 769 | 6,559 | ||||||
Schnitzer Steel Industries, Inc., Class A | 2,076 | 42,890 | ||||||
Warrior Met Coal, Inc. | 12,586 | 245,679 | ||||||
Worthington Industries, Inc. | 778 | 28,047 | ||||||
|
| |||||||
442,377 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.6% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 2,545 | 48,788 | ||||||
Blackstone Mortgage Trust, Inc., Class A | 1,590 | 57,002 | ||||||
Invesco Mortgage Capital, Inc. | 1,636 | 25,047 | ||||||
Redwood Trust, Inc. | 1,030 | 16,902 | ||||||
|
| |||||||
147,739 | ||||||||
|
| |||||||
Multi-Utilities - 1.0% | ||||||||
Avista Corp. (a) | 935 | 45,291 | ||||||
Black Hills Corp. | 748 | 57,394 | ||||||
NorthWestern Corp. | 1,717 | 128,861 | ||||||
|
| |||||||
231,546 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Oil, Gas & Consumable Fuels - 0.9% | ||||||||
Arch Coal, Inc., Class A | 340 | $ | 25,228 | |||||
Bonanza Creek Energy, Inc. * | 299 | 6,695 | ||||||
CONSOL Energy, Inc. * | 1,530 | 23,914 | ||||||
CVR Energy, Inc. | 176 | 7,749 | ||||||
Delek US Holdings, Inc. | 2,975 | 107,992 | ||||||
World Fuel Services Corp. | 1,038 | 41,458 | ||||||
|
| |||||||
213,036 | ||||||||
|
| |||||||
Paper & Forest Products - 0.1% | ||||||||
Verso Corp., Class A * | 1,566 | 19,387 | ||||||
|
| |||||||
Personal Products - 0.7% | ||||||||
Inter Parfums, Inc. | 792 | 55,416 | ||||||
Medifast, Inc. | 596 | 61,764 | ||||||
USANA Health Sciences, Inc. * | 557 | 38,093 | ||||||
|
| |||||||
155,273 | ||||||||
|
| |||||||
Pharmaceuticals - 0.7% | ||||||||
Corcept Therapeutics, Inc. *(a) | 4,356 | 61,572 | ||||||
Lannett Co., Inc. * | 7,135 | 79,912 | ||||||
Supernus Pharmaceuticals, Inc. * | 956 | 26,271 | ||||||
|
| |||||||
167,755 | ||||||||
|
| |||||||
Professional Services - 5.1% | ||||||||
Barrett Business Services, Inc. | 565 | 50,183 | ||||||
BG Staffing, Inc. | 7,681 | 146,784 | ||||||
CBIZ, Inc. * | 595 | 13,983 | ||||||
FTI Consulting, Inc. * | 2,683 | 284,371 | ||||||
Heidrick & Struggles International, Inc. | 2,831 | 77,286 | ||||||
ICF International, Inc. | 253 | 21,371 | ||||||
Insperity, Inc. | 931 | 91,815 | ||||||
Kelly Services, Inc., Class A | 3,879 | 93,950 | ||||||
Kforce, Inc. | 8,077 | 305,593 | ||||||
Resources Connection, Inc. | 653 | 11,095 | ||||||
TrueBlue, Inc. * | 5,081 | 107,209 | ||||||
|
| |||||||
1,203,640 | ||||||||
|
| |||||||
Road & Rail - 0.4% | ||||||||
ArcBest Corp. | 2,837 | 86,386 | ||||||
Avis Budget Group, Inc. * | 241 | 6,811 | ||||||
|
| |||||||
93,197 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 4.0% | ||||||||
Amkor Technology, Inc. * | 10,613 | 96,578 | ||||||
Cabot Microelectronics Corp. | 762 | 107,602 | ||||||
Cirrus Logic, Inc. * | 1,465 | 78,495 | ||||||
Diodes, Inc. * | 2,437 | 97,845 | ||||||
Enphase Energy, Inc. * | 874 | 19,429 | ||||||
FormFactor, Inc. * | 3,549 | 66,171 | ||||||
Ichor Holdings Ltd. * | 3,095 | 74,837 | ||||||
Lattice Semiconductor Corp. * | 3,553 | 64,967 | ||||||
Nanometrics, Inc. * | 1,285 | 41,917 | ||||||
Photronics, Inc. * | 11,774 | 128,101 | ||||||
Semtech Corp. * | 147 | 7,146 | ||||||
SMART Global Holdings, Inc. * | 2,560 | 65,229 | ||||||
Xperi Corp. | 4,321 | 89,358 | ||||||
|
| |||||||
937,675 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
76
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Software - 3.2% | ||||||||
ACI Worldwide, Inc. * | 1,433 | $ | 44,889 | |||||
Alarm.com Holdings, Inc. * | 758 | 35,353 | ||||||
Appfolio, Inc., Class A *(a) | 432 | 41,100 | ||||||
Avaya Holdings Corp. * | 2,278 | 23,304 | ||||||
Digital Turbine, Inc. *(a) | 4,606 | 29,686 | ||||||
eGain Corp. * | 981 | 7,853 | ||||||
Intelligent Systems Corp. *(a) | 1,458 | 60,565 | ||||||
j2 Global, Inc. | 2,180 | 197,988 | ||||||
Mitek Systems, Inc. * | 385 | 3,715 | ||||||
Progress Software Corp. | 707 | 26,908 | ||||||
Qualys, Inc. * | 1,577 | 119,174 | ||||||
SecureWorks Corp., Class A * | 2,557 | 33,062 | ||||||
SPS Commerce, Inc. * | 1,234 | 58,084 | ||||||
Verint Systems, Inc. * | 1,683 | 71,999 | ||||||
Zix Corp. * | 1,991 | 14,415 | ||||||
|
| |||||||
768,095 | ||||||||
|
| |||||||
Specialty Retail - 1.6% | ||||||||
Aaron’s, Inc. | 454 | 29,174 | ||||||
American Eagle Outfitters, Inc. | 541 | 8,775 | ||||||
Cato Corp. (The), Class A | 1,188 | 20,921 | ||||||
Citi Trends, Inc. | 460 | 8,418 | ||||||
Genesco, Inc. * | 1,757 | 70,315 | ||||||
Hibbett Sports, Inc. *(a) | 567 | 12,984 | ||||||
J. Jill, Inc. (a) | 3,454 | 6,563 | ||||||
Office Depot, Inc. | 26,667 | 46,800 | ||||||
Shoe Carnival, Inc. | 2,627 | 85,141 | ||||||
Sleep Number Corp. * | 209 | 8,636 | ||||||
Zumiez, Inc. * | 2,441 | 77,319 | ||||||
|
| |||||||
375,046 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.3% | ||||||||
Avid Technology, Inc. * | 6,380 | 39,492 | ||||||
Diebold Nixdorf, Inc. * | 1,784 | 19,981 | ||||||
Stratasys Ltd. *(a) | 804 | 17,129 | ||||||
|
| |||||||
76,602 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 2.5% | ||||||||
Deckers Outdoor Corp. * | 1,437 | 211,756 | ||||||
Movado Group, Inc. | 463 | 11,510 | ||||||
Oxford Industries, Inc. | 460 | 32,982 | ||||||
Rocky Brands, Inc. | 5,062 | 168,210 | ||||||
Steven Madden Ltd. | 3,273 | 117,141 | ||||||
Vera Bradley, Inc. * | 4,538 | 45,834 | ||||||
|
| |||||||
587,433 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 4.1% | ||||||||
Axos Financial, Inc. * | 766 | 21,180 | ||||||
Essent Group Ltd. | 5,356 | 255,320 | ||||||
First Defiance Financial Corp. | 1,701 | 49,269 | ||||||
Flagstar Bancorp, Inc. | 1,099 | 41,048 | ||||||
NMI Holdings, Inc., Class A * | 1,379 | 36,213 | ||||||
PennyMac Financial Services, Inc. *(a) | 1,733 | 52,648 | ||||||
Provident Financial Services, Inc. | 365 | 8,953 | ||||||
Radian Group, Inc. | 14,959 | 341,664 | ||||||
Walker & Dunlop, Inc. | 2,392 | 133,785 | ||||||
Washington Federal, Inc. | 1,196 | 44,240 | ||||||
|
| |||||||
984,320 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Tobacco - 0.6% | ||||||||
Turning Point Brands, Inc. | 2,045 | $ | 47,158 | |||||
Universal Corp. | 1,628 | 89,230 | ||||||
|
| |||||||
136,388 | ||||||||
|
| |||||||
Trading Companies & Distributors - 1.3% | ||||||||
BMC Stock Holdings, Inc. * | 5,661 | 148,205 | ||||||
CAI International, Inc. * | 2,378 | 51,769 | ||||||
GMS, Inc. * | 3,070 | 88,170 | ||||||
H&E Equipment Services, Inc. | 289 | 8,341 | ||||||
|
| |||||||
296,485 | ||||||||
|
| |||||||
Water Utilities - 0.1% | ||||||||
Middlesex Water Co. | 361 | 23,450 | ||||||
SJW Group | 113 | 7,717 | ||||||
|
| |||||||
31,167 | ||||||||
|
| |||||||
Wireless Telecommunication Services - 0.5% | ||||||||
Shenandoah Telecommunications Co. | 3,686 | 117,104 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 22,958,064 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.0% (b) | ||||||||
Diversified Telecommunication Services - 0.0% (b) | ||||||||
GCI Liberty, Inc., Series A, 7.00%, 3/10/2039 (c) | ||||||||
(Cost $903) | 105 | 2,754 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.2% | ||||||||
INVESTMENT COMPANIES - 3.2% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (d) | ||||||||
(Cost $749,383) | 749,392 | 749,467 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 7.7% | ||||||||
Investment Companies - 7.7% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (d)(e) | 222,698 | 222,698 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (d)(e) | 1,598,079 | 1,598,239 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 1,820,937 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 25,531,222 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.5)% (f) | (1,778,283) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 23,752,939 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
77
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MULTI-STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 573,941 | 2.4 | % | ||||
Consumer Discretionary | 2,352,483 | 9.9 | ||||||
Consumer Staples | 558,333 | 2.4 | ||||||
Energy | 311,915 | 1.3 | ||||||
Financials | 4,050,031 | 17.0 | ||||||
Health Care | 4,480,357 | 18.9 | ||||||
Industrials | 5,148,433 | 21.7 | ||||||
Information Technology | 3,378,124 | 14.2 | ||||||
Materials | 504,899 | 2.1 | ||||||
Real Estate | 761,015 | 3.2 | ||||||
Utilities | 841,287 | 3.5 | ||||||
Short-Term Investments | 749,467 | 3.2 | ||||||
Securities Lending Collateral | 1,820,937 | 7.7 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 25,531,222 | 107.5 | ||||||
Liabilities in Excess of Other Assets (f) | (1,778,283 | ) | (7.5 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 23,752,939 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $1,765,874. |
(b) | Represents less than 0.05% of net assets. |
(c) | Perpetual security. The rate reflected was the rate in effect on September 30, 2019. The maturity date reflects the next call date. |
(d) | Represents 7-day effective yield as of September 30, 2019. |
(e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
Russell 2000E-Mini Index | 6 | 12/2019 | USD | $457,500 | $(17,616 | ) | ||||||||||||
|
| |||||||||||||||||
$(17,616 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $40,185 | $40,185 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
78
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.8% | ||||||||
Australia - 6.7% | ||||||||
Aurizon Holdings Ltd. | 34,289 | $ | 136,688 | |||||
BHP Group Ltd. | 31,889 | 787,995 | ||||||
BHP Group plc | 35,385 | 755,799 | ||||||
BlueScope Steel Ltd. | 247,159 | 2,007,518 | ||||||
CIMIC Group Ltd. | 3,691 | 78,427 | ||||||
Coca-Cola Amatil Ltd. | 52,519 | 377,923 | ||||||
Crown Resorts Ltd. | 29,234 | 237,811 | ||||||
CSL Ltd. | 4,834 | 764,313 | ||||||
Dexus, REIT | 33,527 | 270,051 | ||||||
Flight Centre Travel Group Ltd. | 3,080 | 98,928 | ||||||
Fortescue Metals Group Ltd. | 388,616 | 2,313,125 | ||||||
Goodman Group, REIT | 30,886 | 295,634 | ||||||
GPT Group (The), REIT | 19,876 | 82,653 | ||||||
Newcrest Mining Ltd. | 9,423 | 217,442 | ||||||
Rio Tinto Ltd. | 3,006 | 188,281 | ||||||
Rio Tinto plc | 22,421 | 1,165,502 | ||||||
Scentre Group, REIT | 71,981 | 190,969 | ||||||
South32 Ltd. | 696,523 | 1,228,452 | ||||||
Telstra Corp. Ltd. | 672,960 | 1,595,227 | ||||||
|
| |||||||
12,792,738 | ||||||||
|
| |||||||
Belgium - 0.7% | ||||||||
Ageas | 21,043 | 1,166,521 | ||||||
Groupe Bruxelles Lambert SA | 1,467 | 140,815 | ||||||
UCB SA | 1,010 | 73,278 | ||||||
|
| |||||||
1,380,614 | ||||||||
|
| |||||||
Canada - 7.6% | ||||||||
Alimentation Couche-Tard, Inc., Class B (1) | 14,174 | 434,362 | ||||||
Bank of Montreal (1) | 11,188 | 824,037 | ||||||
Bank of Nova Scotia (The) (1) | 15,059 | 855,334 | ||||||
Canadian Imperial Bank of Commerce (1) | 8,477 | 699,416 | ||||||
Canadian National Railway Co. (1) | 9,561 | 858,495 | ||||||
Canadian Pacific Railway Ltd. (1) | 3,971 | 882,471 | ||||||
CCL Industries, Inc., Class B (1) | 2,455 | 99,026 | ||||||
CGI, Inc. (1)* | 32,749 | 2,589,566 | ||||||
Constellation Software, Inc. (1) | 288 | 287,630 | ||||||
Cronos Group, Inc. (1)*(a) | 18,047 | 163,054 | ||||||
Great-West Lifeco, Inc. (1) | 2,283 | 54,815 | ||||||
iA Financial Corp., Inc. (1) | 2,189 | 99,615 | ||||||
Kinross Gold Corp. (1)* | 10,881 | 50,099 | ||||||
Magna International, Inc. (1) | 17,273 | 920,723 | ||||||
Methanex Corp. (1) | 2,304 | 81,753 | ||||||
National Bank of Canada (1) | 1,144 | 56,922 | ||||||
Open Text Corp. (1) | 29,343 | 1,196,887 | ||||||
Quebecor, Inc., Class B (1) | 2,734 | 62,074 | ||||||
Royal Bank of Canada (1) | 23,274 | 1,887,955 | ||||||
Thomson Reuters Corp. (1) | 11,196 | 748,316 | ||||||
Toronto-Dominion Bank (The) (1) | 27,150 | 1,583,075 | ||||||
|
| |||||||
14,435,625 | ||||||||
|
| |||||||
China - 0.4% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 961,400 | 668,466 | ||||||
|
| |||||||
Denmark - 2.5% | ||||||||
Coloplast A/S, Class B | 3,782 | 455,035 | ||||||
Demant A/S * | 4,511 | 115,482 | ||||||
DSV A/S | 676 | 64,254 |
INVESTMENTS | SHARES | VALUE | ||||||
Denmark - 2.5% (continued) | ||||||||
Genmab A/S * | 618 | $ | 125,567 | |||||
H Lundbeck A/S | 2,331 | 77,279 | ||||||
ISS A/S | 4,981 | 123,147 | ||||||
Novo Nordisk A/S, Class B | 47,741 | 2,467,072 | ||||||
Orsted A/S (b) | 7,461 | 693,565 | ||||||
Pandora A/S | 15,698 | 629,972 | ||||||
|
| |||||||
4,751,373 | ||||||||
|
| |||||||
Finland - 1.5% | ||||||||
Neste OYJ | 52,361 | 1,732,345 | ||||||
Nokia OYJ | 42,143 | 212,835 | ||||||
Orion OYJ, Class B | 24,693 | 920,132 | ||||||
|
| |||||||
2,865,312 | ||||||||
|
| |||||||
France - 9.9% | ||||||||
Airbus SE | 423 | 54,917 | ||||||
AXA SA | 21,463 | 548,032 | ||||||
BNP Paribas SA | 4,655 | 226,312 | ||||||
Carrefour SA | 7,484 | 130,912 | ||||||
Casino Guichard Perrachon SA (a) | 6,359 | 303,639 | ||||||
CNP Assurances | 68,834 | 1,330,190 | ||||||
Electricite de France SA (a) | 108,032 | 1,208,497 | ||||||
Eutelsat Communications SA | 12,896 | 239,891 | ||||||
Gecina SA, REIT | 483 | 75,890 | ||||||
Kering SA | 140 | 71,342 | ||||||
L’Oreal SA | 11,539 | 3,227,098 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 6,662 | 2,643,214 | ||||||
Natixis SA | 94,990 | 393,559 | ||||||
Peugeot SA | 87,365 | 2,180,520 | ||||||
Safran SA | 4,692 | 738,757 | ||||||
Sanofi | 21,247 | 1,968,169 | ||||||
Societe Generale SA | 1,991 | 54,538 | ||||||
Thales SA | 2,368 | 272,204 | ||||||
TOTAL SA | 62,439 | 3,250,995 | ||||||
Unibail-Rodamco-Westfield, REIT | 558 | 81,345 | ||||||
|
| |||||||
19,000,021 | ||||||||
|
| |||||||
Germany - 7.4% | ||||||||
adidas AG | 5,696 | 1,772,992 | ||||||
Allianz SE (Registered) | 12,072 | 2,810,024 | ||||||
Bayer AG (Registered) | 24,259 | 1,709,121 | ||||||
Delivery Hero SE *(b) | 2,243 | 99,579 | ||||||
Deutsche Boerse AG | 2,105 | 328,294 | ||||||
Deutsche Post AG (Registered) | 12,317 | 410,467 | ||||||
Deutsche Wohnen SE | 4,001 | 146,050 | ||||||
E.ON SE | 129,853 | 1,262,510 | ||||||
Fresenius SE & Co. KGaA | 2,780 | 130,050 | ||||||
Hannover Rueck SE | 1,462 | 247,091 | ||||||
Henkel AG & Co. KGaA (Preference) | 3,170 | 313,669 | ||||||
HOCHTIEF AG | 1,085 | 123,647 | ||||||
Infineon Technologies AG | 55,174 | 991,297 | ||||||
SAP SE | 20,367 | 2,396,654 | ||||||
Siemens Healthineers AG (b) | 3,214 | 126,381 | ||||||
TUI AG | 40,600 | 471,528 | ||||||
Volkswagen AG (Preference) | 2,256 | 383,712 | ||||||
Vonovia SE | 3,353 | 170,115 | ||||||
Zalando SE *(b) | 3,970 | 181,267 | ||||||
|
| |||||||
14,074,448 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
79
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Hong Kong - 3.7% | ||||||||
CK Hutchison Holdings Ltd. | 34,000 | $ | 300,156 | |||||
CLP Holdings Ltd. | 119,000 | 1,250,796 | ||||||
Henderson Land Development Co. Ltd. | 88,730 | 413,289 | ||||||
Hong Kong & China Gas Co. Ltd. | 170,400 | 332,132 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 13,300 | 389,824 | ||||||
Link REIT, REIT | 13,000 | 143,401 | ||||||
New World Development Co. Ltd. | 326,000 | 423,363 | ||||||
NWS Holdings Ltd. | 268,000 | 415,097 | ||||||
PCCW Ltd. | 30,000 | 16,842 | ||||||
Swire Properties Ltd. | 42,400 | 133,068 | ||||||
WH Group Ltd. (b) | 2,644,000 | 2,367,854 | ||||||
Yue Yuen Industrial Holdings Ltd. | 286,500 | 782,742 | ||||||
|
| |||||||
6,968,564 | ||||||||
|
| |||||||
Italy - 2.6% | ||||||||
Assicurazioni Generali SpA | 20,036 | 388,291 | ||||||
Enel SpA | 227,127 | 1,696,479 | ||||||
Eni SpA | 11,419 | 174,537 | ||||||
Leonardo SpA | 105,346 | 1,238,344 | ||||||
Poste Italiane SpA (b) | 124,983 | 1,420,694 | ||||||
|
| |||||||
4,918,345 | ||||||||
|
| |||||||
Japan - 20.7% | ||||||||
Acom Co. Ltd. | 16,500 | 65,022 | ||||||
AEON Financial Service Co. Ltd. | 800 | 12,096 | ||||||
AGC, Inc. | 3,300 | 102,836 | ||||||
Alfresa Holdings Corp. | 3,000 | 67,219 | ||||||
Amada Holdings Co. Ltd. | 55,800 | 604,676 | ||||||
Astellas Pharma, Inc. | 8,400 | 120,155 | ||||||
Bandai Namco Holdings, Inc. | 41,600 | 2,594,076 | ||||||
Credit Saison Co. Ltd. (a) | 2,900 | 39,105 | ||||||
Daiwa House Industry Co. Ltd. | 4,400 | 143,021 | ||||||
Fujitsu Ltd. | 27,200 | 2,186,071 | ||||||
Fukuoka Financial Group, Inc. | 14,200 | 269,492 | ||||||
Hitachi High-Technologies Corp. | 6,100 | 354,594 | ||||||
Hitachi Ltd. | 70,000 | 2,621,515 | ||||||
Hoya Corp. | 17,900 | 1,466,062 | ||||||
ITOCHU Corp. | 87,200 | 1,806,228 | ||||||
Japan Real Estate Investment Corp., REIT | 15 | 100,595 | ||||||
Japan Tobacco, Inc. | 7,900 | 173,086 | ||||||
JTEKT Corp. | 32,400 | 374,191 | ||||||
Kakaku.com, Inc. | 7,600 | 187,746 | ||||||
Kamigumi Co. Ltd. | 12,800 | 290,765 | ||||||
Konami Holdings Corp. | 5,000 | 242,218 | ||||||
Kyocera Corp. | 24,900 | 1,552,530 | ||||||
Marubeni Corp. | 61,600 | 410,808 | ||||||
Mazda Motor Corp. | 10,400 | 93,219 | ||||||
Medipal Holdings Corp. | 7,900 | 176,346 | ||||||
Mercari, Inc. * | 2,400 | 59,881 | ||||||
MINEBEA MITSUMI, Inc. | 65,500 | 1,045,614 | ||||||
Mitsubishi Electric Corp. | 92,800 | 1,237,967 | ||||||
Mitsubishi Estate Co. Ltd. | 9,000 | 174,029 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 101,900 | 518,963 | ||||||
Mitsui Fudosan Co. Ltd. | 7,000 | 174,210 | ||||||
MS&AD Insurance Group Holdings, Inc. | 10,200 | 331,542 | ||||||
Nexon Co. Ltd. * | 106,300 | 1,291,564 | ||||||
Nintendo Co. Ltd. | 2,500 | 931,241 | ||||||
Nippon Express Co. Ltd. | 11,700 | 599,236 | ||||||
Nippon Telegraph & Telephone Corp. | 55,300 | 2,645,757 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 20.7% (continued) | ||||||||
Nomura Real Estate Holdings, Inc. | 2,700 | $ | 58,530 | |||||
Nomura Real Estate Master Fund, Inc., REIT | 65 | 117,402 | ||||||
NSK Ltd. | 35,200 | 298,322 | ||||||
NTT DOCOMO, Inc. | 10,400 | 265,560 | ||||||
Rakuten, Inc. | 126,400 | 1,252,950 | ||||||
Resona Holdings, Inc. | 378,300 | 1,627,879 | ||||||
Rohm Co. Ltd. | 6,500 | 501,163 | ||||||
Sankyo Co. Ltd. | 3,100 | 106,675 | ||||||
Secom Co. Ltd. | 1,700 | 155,560 | ||||||
Shinsei Bank Ltd. | 32,800 | 479,609 | ||||||
Shionogi & Co. Ltd. | 1,100 | 61,328 | ||||||
Showa Denko KK | 19,300 | 509,302 | ||||||
SUMCO Corp. | 76,100 | 1,036,689 | ||||||
Sumitomo Heavy Industries Ltd. | 47,100 | 1,403,493 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 33,900 | 1,164,876 | ||||||
Sundrug Co. Ltd. | 2,200 | 69,417 | ||||||
Suntory Beverage & Food Ltd. | 2,400 | 102,748 | ||||||
Suzuken Co. Ltd. | 4,200 | 226,084 | ||||||
Taiheiyo Cement Corp. | 3,200 | 85,989 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 468,000 | 2,295,332 | ||||||
Tokyo Electron Ltd. | 1,700 | 326,611 | ||||||
Toppan Printing Co. Ltd. | 27,300 | 484,838 | ||||||
Tosoh Corp. | 17,400 | 231,800 | ||||||
Toyo Seikan Group Holdings Ltd. | 5,000 | 78,023 | ||||||
Yamaha Corp. | 18,700 | 843,091 | ||||||
Z Holdings Corp. | 284,600 | 801,828 | ||||||
|
| |||||||
39,648,775 | ||||||||
|
| |||||||
Macau - 0.4% | ||||||||
Sands China Ltd. | 13,600 | 61,454 | ||||||
SJM Holdings Ltd. | 712,000 | 676,202 | ||||||
|
| |||||||
737,656 | ||||||||
|
| |||||||
Netherlands - 5.9% | ||||||||
ASML Holding NV | 2,708 | 671,620 | ||||||
ING Groep NV | 38,548 | 402,701 | ||||||
Koninklijke Ahold Delhaize NV | 107,597 | 2,690,747 | ||||||
Koninklijke Philips NV | 21,628 | 999,410 | ||||||
NN Group NV | 17,542 | 621,664 | ||||||
Randstad NV | 7,806 | 383,244 | ||||||
Royal Dutch Shell plc, Class A | 68,380 | 2,005,446 | ||||||
Royal Dutch Shell plc, Class B | 41,664 | 1,231,398 | ||||||
Wolters Kluwer NV | 31,528 | 2,300,441 | ||||||
|
| |||||||
11,306,671 | ||||||||
|
| |||||||
Russia - 0.3% | ||||||||
Evraz plc | 95,050 | 547,067 | ||||||
|
| |||||||
Singapore - 0.4% | ||||||||
CapitaLand Commercial Trust, REIT | 70,800 | 106,085 | ||||||
ComfortDelGro Corp. Ltd. | 211,300 | 367,125 | ||||||
Genting Singapore Ltd. | 85,700 | 54,566 | ||||||
SATS Ltd. | 30,100 | 105,546 | ||||||
Wilmar International Ltd. | 22,800 | 61,537 | ||||||
|
| |||||||
694,859 | ||||||||
|
| |||||||
South Africa - 0.6% | ||||||||
Anglo American plc | 29,527 | 678,589 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
80
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
South Africa - 0.6% (continued) | ||||||||
Investec plc | 80,683 | $ | 415,065 | |||||
|
| |||||||
1,093,654 | ||||||||
|
| |||||||
Spain - 2.3% | ||||||||
ACS Actividades de Construccion y Servicios SA | 3,862 | 154,310 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 111,421 | 580,000 | ||||||
Banco Santander SA | 61,829 | 251,571 | ||||||
Enagas SA | 10,345 | 239,140 | ||||||
Endesa SA | 18,981 | 499,308 | ||||||
Iberdrola SA | 11,126 | 115,641 | ||||||
Mapfre SA | 176,113 | 474,318 | ||||||
Repsol SA | 72,767 | 1,134,873 | ||||||
Telefonica SA | 113,021 | 863,610 | ||||||
|
| |||||||
4,312,771 | ||||||||
|
| |||||||
Sweden - 3.3% | ||||||||
Essity AB, Class B | 37,059 | 1,081,323 | ||||||
Hennes & Mauritz AB, Class B (a) | 125,965 | 2,441,752 | ||||||
ICA Gruppen AB | 21,268 | 982,232 | ||||||
Investor AB, Class B | 2,740 | 133,814 | ||||||
Sandvik AB | 3,692 | 57,477 | ||||||
Securitas AB, Class B | 4,204 | 64,376 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 9,954 | 91,464 | ||||||
Skanska AB, Class B | 45,083 | 912,712 | ||||||
Swedbank AB, Class A | 14,058 | 202,459 | ||||||
Swedish Match AB | 1,210 | 50,043 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 21,784 | 173,974 | ||||||
|
| |||||||
6,191,626 | ||||||||
|
| |||||||
Switzerland - 9.1% | ||||||||
Adecco Group AG (Registered) | 5,180 | 286,650 | ||||||
Coca-Cola HBC AG * | 6,248 | 204,063 | ||||||
Lonza Group AG (Registered) * | 814 | 275,467 | ||||||
Nestle SA (Registered) | 31,541 | 3,420,765 | ||||||
Novartis AG (Registered) | 52,695 | 4,573,240 | ||||||
Roche Holding AG | 16,611 | 4,836,537 | ||||||
Sonova Holding AG (Registered) | 5,873 | 1,366,534 | ||||||
Swiss Life Holding AG (Registered) | 2,277 | 1,088,634 | ||||||
Zurich Insurance Group AG | 3,120 | 1,194,985 | ||||||
|
| |||||||
17,246,875 | ||||||||
|
| |||||||
United Kingdom - 9.7% | ||||||||
3i Group plc | 6,980 | 99,900 | ||||||
AstraZeneca plc | 10,359 | 924,946 | ||||||
Auto Trader Group plc (b) | 51,444 | 322,434 | ||||||
Aviva plc | 60,285 | 295,950 | ||||||
BAE Systems plc | 101,694 | 712,193 | ||||||
Barclays plc | 262,135 | 482,984 | ||||||
Barratt Developments plc | 71,205 | 566,838 | ||||||
Berkeley Group Holdings plc | 10,550 | 541,684 | ||||||
BP plc | 174,380 | 1,103,959 | ||||||
British American Tobacco plc | 25,048 | 925,029 | ||||||
British Land Co. plc (The), REIT | 9,564 | 68,802 | ||||||
BT Group plc | 315,733 | 692,534 | ||||||
Compass Group plc | 32,586 | 838,527 | ||||||
Diageo plc | 17,394 | 710,551 | ||||||
Direct Line Insurance Group plc | 89,692 | 330,920 |
INVESTMENTS | SHARES | VALUE | ||||||
United Kingdom - 9.7% (continued) | ||||||||
Fiat Chrysler Automobiles NV | 43,549 | $ | 564,300 | |||||
GlaxoSmithKline plc | 37,607 | 806,091 | ||||||
HSBC Holdings plc | 261,116 | 2,000,738 | ||||||
Imperial Brands plc | 10,124 | 227,346 | ||||||
Land Securities Group plc, REIT | 6,550 | 68,985 | ||||||
Legal & General Group plc | 199,791 | 609,826 | ||||||
Lloyds Banking Group plc | 492,834 | 326,710 | ||||||
London Stock Exchange Group plc | 3,501 | 314,389 | ||||||
Marks & Spencer Group plc | 24,200 | 54,812 | ||||||
Meggitt plc | 14,669 | 114,433 | ||||||
Micro Focus International plc | 70,671 | 993,083 | ||||||
Next plc | 9,399 | 714,469 | ||||||
Ocado Group plc * | 8,993 | 146,277 | ||||||
Persimmon plc | 20,679 | 551,513 | ||||||
Prudential plc | 5,486 | 99,413 | ||||||
Reckitt Benckiser Group plc | 2,634 | 205,661 | ||||||
RELX plc | 3,860 | 91,674 | ||||||
Segro plc, REIT | 60,862 | 606,760 | ||||||
Taylor Wimpey plc | 87,558 | 173,797 | ||||||
Unilever plc | 12,180 | 732,042 | ||||||
Vodafone Group plc | 86,565 | 172,464 | ||||||
Wm Morrison Supermarkets plc | 69,155 | 170,275 | ||||||
|
| |||||||
18,362,309 | ||||||||
|
| |||||||
United States - 1.1% | ||||||||
Bausch Health Cos., Inc. (1)* | 95,420 | 2,081,472 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 184,079,241 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.1% | ||||||||
INVESTMENT COMPANIES - 2.1% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(c) | ||||||||
(Cost $4,069,086) | 4,069,380 | 4,069,787 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 2.0% | ||||||||
Investment Companies - 2.0% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (1)(c)(d) | 460,973 | 460,973 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (1)(c)(d) | 3,307,937 | 3,308,268 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 3,769,241 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT |
| 191,918,269 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.9)% (e) | (1,755,995) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 190,162,274 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
81
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MULTI-STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 10,330,990 | 5.4 | % | ||||
Consumer Discretionary | 22,810,409 | 12.0 | ||||||
Consumer Staples | 18,962,326 | 10.0 | ||||||
Energy | 10,633,552 | 5.6 | ||||||
Financials | 30,031,443 | 15.8 | ||||||
Health Care | 27,075,826 | 14.2 | ||||||
Industrials | 21,478,568 | 11.3 | ||||||
Information Technology | 18,092,718 | 9.5 | ||||||
Materials | 11,025,764 | 5.8 | ||||||
Real Estate | 4,044,246 | 2.1 | ||||||
Utilities | 9,593,399 | 5.1 | ||||||
Short-Term Investments | 4,069,787 | 2.1 | ||||||
Securities Lending Collateral | 3,769,241 | 2.0 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 191,918,269 | 100.9 | ||||||
Liabilities in Excess of Other Assets (e) | (1,755,995 | ) | (0.9 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 190,162,274 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $3,535,414. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $5,211,774, which represents approximately 2.74% of net assets of the fund. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $35,797 was received. (See Note 3). |
(e) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI EAFEE-Mini Index | 41 | 12/2019 | USD | $3,891,720 | $(18,750 | ) | ||||||||||||
|
| |||||||||||||||||
$(18,750 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $235,963 | $235,963 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
82
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.8% | ||||||||
Brazil - 6.8% | ||||||||
Ambev SA, ADR (1)* | 685,585 | $ | 3,167,403 | |||||
B3 SA - Brasil Bolsa Balcao (1) | 270,300 | 2,850,707 | ||||||
Banco Bradesco SA, ADR (1) | 165,139 | 1,344,231 | ||||||
Banco BTG Pactual SA (1)* | 34,800 | 490,305 | ||||||
Banco do Brasil SA (1)* | 186,000 | 2,041,324 | ||||||
CCR SA (1) | 24,500 | 101,716 | ||||||
Centrais Eletricas Brasileiras SA (1) | 132,500 | 1,283,559 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo (1)* | 244,900 | 2,911,722 | ||||||
Cielo SA (1) | 346,900 | 667,926 | ||||||
Embraer SA, ADR (1) | 10,244 | 176,709 | ||||||
Engie Brasil Energia SA (1) | 25,300 | 270,296 | ||||||
Itau Unibanco Holding SA, ADR (1) | 18,649 | 156,838 | ||||||
Itausa - Investimentos Itau SA (Preference) (1) | 387,700 | 1,235,430 | ||||||
Natura Cosmeticos SA (1) | 83,400 | 684,671 | ||||||
Notre Dame Intermedica Participacoes SA (1) | 32,200 | 422,364 | ||||||
Petrobras Distribuidora SA (1) | 200,300 | 1,324,744 | ||||||
Petroleo Brasileiro SA (Preference) (1) | 18,700 | 123,813 | ||||||
Porto Seguro SA (1) | 35,600 | 506,374 | ||||||
Sul America SA (1) | 236,185 | 2,713,176 | ||||||
TIM Participacoes SA, ADR (1) | 62,666 | 899,884 | ||||||
|
| |||||||
23,373,192 | ||||||||
|
| |||||||
Chile - 1.8% | ||||||||
Banco de Chile, ADR (1) | 18,464 | 518,838 | ||||||
Banco de Credito e Inversiones SA (1) | 5,622 | 354,075 | ||||||
Banco Santander Chile, ADR (1) | 59,920 | 1,677,760 | ||||||
Cencosud SA (1) | 467,621 | 769,588 | ||||||
Cia Cervecerias Unidas SA, ADR (1) | 22,349 | 495,924 | ||||||
Empresas CMPC SA (1) | 110,961 | 258,095 | ||||||
Empresas COPEC SA (1) | 11,712 | 110,430 | ||||||
Enel Americas SA, ADR (1) | 147,408 | 1,342,887 | ||||||
Enel Chile SA, ADR (1) | 36,518 | 153,741 | ||||||
Itau CorpBanca (1) | 4,665,905 | 35,329 | ||||||
Latam Airlines Group SA, ADR (1) | 46,855 | 520,091 | ||||||
|
| |||||||
6,236,758 | ||||||||
|
| |||||||
China - 29.7% | ||||||||
58.com, Inc., ADR (1)* | 5,066 | 249,804 | ||||||
Agricultural Bank of China Ltd., Class A | 269,800 | 130,850 | ||||||
Agricultural Bank of China Ltd., Class A * | 630,700 | 305,883 | ||||||
Air China Ltd., Class H | 2,210,000 | 1,939,692 | ||||||
Alibaba Group Holding Ltd., ADR (1)* | 86,588 | 14,480,112 | ||||||
Alibaba Health Information Technology Ltd. * | 588,000 | 513,430 | ||||||
Anhui Conch Cement Co. Ltd., Class A | 27,623 | 160,138 | ||||||
Anhui Conch Cement Co. Ltd., Class H | 779,000 | 4,622,849 | ||||||
ANTA Sports Products Ltd. | 19,000 | 157,058 | ||||||
Autohome, Inc., ADR (1)* | 3,195 | 265,600 | ||||||
BAIC Motor Corp. Ltd., Class H (a) | 1,048,500 | 647,743 | ||||||
Baidu, Inc., ADR (1)* | 16,725 | 1,718,661 | ||||||
Bank of Beijing Co. Ltd., Class A | 203,478 | 152,895 | ||||||
Bank of China Ltd., Class A * | 803,600 | 403,182 | ||||||
Bank of China Ltd., Class H | 2,626,000 | 1,029,842 | ||||||
Bank of Communications Co. Ltd., Class H | 231,000 | 150,788 |
INVESTMENTS | SHARES | VALUE | ||||||
China - 29.7% (continued) | ||||||||
Bank of Ningbo Co. Ltd., Class A | 54,000 | $ | 190,931 | |||||
Bank of Shanghai Co. Ltd., Class A | 77,811 | 101,962 | ||||||
Baoshan Iron & Steel Co. Ltd. * | 141,001 | 116,828 | ||||||
Baoshan Iron & Steel Co. Ltd., Class A | 185,021 | 153,301 | ||||||
China Cinda Asset Management Co. Ltd., Class H | 623,000 | 122,394 | ||||||
China CITIC Bank Corp. Ltd., Class H | 620,000 | 330,561 | ||||||
China Communications Services Corp. Ltd., Class H | 736,000 | 417,257 | ||||||
China Construction Bank Corp., Class H | 4,637,000 | 3,533,205 | ||||||
China Everbright Bank Co. Ltd., Class A | 203,400 | 112,295 | ||||||
China Everbright Bank Co. Ltd., Class H | 374,000 | 159,321 | ||||||
China Everbright International Ltd. | 709,000 | 545,358 | ||||||
China Evergrande Group * | 786,000 | 1,674,796 | ||||||
China Galaxy Securities Co. Ltd., Class H | 470,000 | 250,214 | ||||||
China Hongqiao Group Ltd. | 1,155,000 | 737,466 | ||||||
China International Travel Service Corp. Ltd., Class A | 16,092 | 209,786 | ||||||
China Longyuan Power Group Corp. Ltd., Class H | 406,000 | 228,123 | ||||||
China Merchants Bank Co. Ltd., Class A | 68,458 | 333,774 | ||||||
China Merchants Bank Co. Ltd., Class H | 94,000 | 447,079 | ||||||
China Minsheng Banking Corp. Ltd., Class A | 199,255 | 168,100 | ||||||
China Minsheng Banking Corp. Ltd., Class H | 233,000 | 158,405 | ||||||
China Mobile Ltd. | 740,000 | 6,129,976 | ||||||
China National Building Material Co. Ltd., Class H | 1,950,000 | 1,749,018 | ||||||
China Oriental Group Co. Ltd. | 528,000 | 182,563 | ||||||
China Overseas Land & Investment Ltd. | 400,000 | 1,258,479 | ||||||
China Pacific Insurance Group Co. Ltd., Class A | 23,200 | 113,458 | ||||||
China Railway Construction Corp. Ltd., Class H | 157,000 | 171,758 | ||||||
China Resources Beer Holdings Co. Ltd. | 20,000 | 105,963 | ||||||
China Resources Land Ltd. | 302,000 | 1,264,965 | ||||||
China State Construction Engineering Corp. Ltd., Class A | 177,500 | 135,120 | ||||||
China Telecom Corp. Ltd., Class H | 2,634,000 | 1,199,417 | ||||||
China Vanke Co. Ltd., Class H | 373,700 | 1,300,579 | ||||||
China Yangtze Power Co. Ltd., Class A | 66,950 | 171,093 | ||||||
Chongqing Rural Commercial Bank Co. Ltd., Class H | 284,000 | 151,204 | ||||||
CITIC Ltd. | 1,084,000 | 1,368,342 | ||||||
CITIC Securities Co. Ltd., Class A | 44,100 | 139,149 | ||||||
CNOOC Ltd., ADR (1) | 11,283 | 1,717,837 | ||||||
Country Garden Holdings Co. Ltd. | 1,935,000 | 2,450,800 | ||||||
Country Garden Services Holdings Co. Ltd. | 517,000 | 1,491,045 | ||||||
Ctrip.com International Ltd., ADR (1)* | 22,693 | 664,678 | ||||||
Daqin Railway Co. Ltd., Class A | 122,100 | 129,880 | ||||||
Far East Horizon Ltd. | 647,000 | 600,888 | ||||||
Foshan Haitian Flavouring & Food Co. Ltd., Class A | 12,200 | 188,100 | ||||||
Gree Electric Appliances, Inc. of Zhuhai, Class A | 20,230 | 162,509 | ||||||
Greentown Service Group Co. Ltd. (b) | 106,000 | 104,011 | ||||||
Haitong Securities Co. Ltd., Class A | 56,000 | 112,433 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
83
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
China - 29.7% (continued) | ||||||||
Hangzhou Hikvision Digital Technology Co. Ltd., Class A | 39,075 | $ | 177,153 | |||||
Hua Hong Semiconductor Ltd. (a) | 512,000 | 1,019,568 | ||||||
Huadian Power International Corp. Ltd., Class H | 358,000 | 136,179 | ||||||
Huatai Securities Co. Ltd., Class A | 56,100 | 150,251 | ||||||
Huazhu Group Ltd., ADR (1) | 8,063 | 266,240 | ||||||
Industrial & Commercial Bank of China Ltd., Class A * | 120,900 | 93,709 | ||||||
Industrial & Commercial Bank of China Ltd., Class A | 80,800 | 62,628 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 3,332,000 | 2,232,225 | ||||||
Industrial Bank Co. Ltd., Class A * | 96,390 | 237,003 | ||||||
Inner Mongolia Yili Industrial Group Co. Ltd., Class A | 30,400 | 121,595 | ||||||
JD.com, Inc., ADR (1)* | 46,823 | 1,320,877 | ||||||
Jiangsu Hengrui Medicine Co. Ltd. * | 61,041 | 690,056 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 7,100 | 103,553 | ||||||
Jiangxi Copper Co. Ltd., Class H | 277,000 | 320,800 | ||||||
Kunlun Energy Co. Ltd. | 460,000 | 396,371 | ||||||
Kweichow Moutai Co. Ltd., Class A | 4,200 | 676,987 | ||||||
Li Ning Co. Ltd. | 683,500 | 1,960,975 | ||||||
Luxshare Precision Industry Co. Ltd., Class A | 52,700 | 197,732 | ||||||
Luzhou Laojiao Co. Ltd., Class A | 11,500 | 137,379 | ||||||
Maanshan Iron & Steel Co. Ltd., Class H (c) | 556,000 | 209,359 | ||||||
Midea Group Co. Ltd., Class A | 22,800 | 163,430 | ||||||
Momo, Inc., ADR (1) | 7,296 | 226,030 | ||||||
NetEase, Inc., ADR (1) | 5,427 | 1,444,559 | ||||||
New Oriental Education & Technology Group, Inc., ADR (1)* | 8,807 | 975,463 | ||||||
Pinduoduo, Inc., ADR (1)* | 11,590 | 373,430 | ||||||
Ping An Bank Co. Ltd., Class A | 84,785 | 185,522 | ||||||
Ping An Insurance Group Co. of China Ltd., Class A | 39,500 | 482,155 | ||||||
Sany Heavy Industry Co. Ltd., Class A | 75,700 | 151,619 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 784,000 | 807,364 | ||||||
Shanghai Pudong Development Bank Co. Ltd., Class A | 140,963 | 233,979 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 680,000 | 197,687 | ||||||
Sinotruk Hong Kong Ltd. | 888,000 | 1,317,016 | ||||||
TAL Education Group, ADR (1)* | 17,856 | 611,389 | ||||||
Tencent Holdings Ltd. | 391,700 | 16,383,998 | ||||||
Tsingtao Brewery Co. Ltd., Class H | 88,000 | 530,938 | ||||||
Vipshop Holdings Ltd., ADR (1)* | 27,558 | 245,817 | ||||||
Weichai Power Co. Ltd., Class H | 1,746,000 | 2,518,817 | ||||||
Wuliangye Yibin Co. Ltd., Class A | 17,700 | 322,091 | ||||||
Yihai International Holding Ltd. * | 17,000 | 101,049 | ||||||
Yonghui Superstores Co. Ltd., Class A | 79,027 | 98,464 | ||||||
Yum China Holdings, Inc. (1) | 27,400 | 1,244,782 | ||||||
Zhongsheng Group Holdings Ltd. | 836,000 | 2,641,237 | ||||||
ZTO Express Cayman, Inc., ADR (1) | 20,269 | 432,338 | ||||||
|
| |||||||
102,182,762 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Hong Kong - 0.9% | ||||||||
Bank of Communications Co. Ltd. * | 216,500 | $ | 165,367 | |||||
Haier Electronics Group Co. Ltd. | 909,000 | 2,366,904 | ||||||
Nine Dragons Paper Holdings Ltd. | 501,000 | 421,927 | ||||||
|
| |||||||
2,954,198 | ||||||||
|
| |||||||
Hungary - 0.2% | ||||||||
MOL Hungarian Oil & Gas plc | 59,392 | 558,650 | ||||||
|
| |||||||
India - 7.5% | ||||||||
Axis Bank Ltd., GDR (b) | 12,578 | 612,557 | ||||||
Coal India Ltd. | 93,275 | 263,335 | ||||||
Divi’s Laboratories Ltd. | 7,143 | 168,069 | ||||||
Dr Reddy’s Laboratories Ltd., ADR (1) | 6,232 | 236,130 | ||||||
GAIL India Ltd. | 367,314 | 697,951 | ||||||
Godrej Consumer Products Ltd. | 12,177 | 118,124 | ||||||
Hindalco Industries Ltd. | 958,690 | 2,592,393 | ||||||
Hindustan Unilever Ltd. | 78,367 | 2,192,791 | ||||||
Infosys Ltd., ADR (1) | 320,840 | 3,647,951 | ||||||
InterGlobe Aviation Ltd. (a) | 99,568 | 2,658,883 | ||||||
ITC Ltd. | 105,514 | 387,129 | ||||||
Larsen & Toubro Ltd., GDR (b) | 9,010 | 187,578 | ||||||
NTPC Ltd. | 279,050 | 462,901 | ||||||
Oil & Natural Gas Corp. Ltd. | 317,276 | 590,567 | ||||||
Reliance Industries Ltd., GDR (a) | 74,885 | 2,790,145 | ||||||
State Bank of India, GDR *(b) | 9,047 | 347,542 | ||||||
Tata Consultancy Services Ltd. | 150,861 | 4,469,719 | ||||||
Tata Steel Ltd. | 37,746 | 192,268 | ||||||
Tech Mahindra Ltd. | 79,013 | 797,123 | ||||||
United Spirits Ltd. * | 12,108 | 114,019 | ||||||
Wipro Ltd., ADR (1) | 294,871 | 1,076,279 | ||||||
Zee Entertainment Enterprises Ltd. | 307,857 | 1,154,057 | ||||||
|
| |||||||
25,757,511 | ||||||||
|
| |||||||
Indonesia - 2.7% | ||||||||
Adaro Energy Tbk. PT | 10,929,800 | 993,689 | ||||||
Bank Central Asia Tbk. PT | 718,200 | 1,535,490 | ||||||
Bank Negara Indonesia Persero Tbk. PT | 332,300 | 171,963 | ||||||
Bank Rakyat Indonesia Persero Tbk. PT | 6,716,000 | 1,950,092 | ||||||
Bukit Asam Tbk. PT | 3,007,500 | 479,003 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 826,500 | 311,521 | ||||||
Gudang Garam Tbk. PT | 90,100 | 332,432 | ||||||
Indah Kiat Pulp & Paper Corp. Tbk. PT | 636,700 | 290,567 | ||||||
Indofood CBP Sukses Makmur Tbk. PT | 171,300 | 145,160 | ||||||
Indofood Sukses Makmur Tbk. PT | 1,193,000 | 646,881 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 2,997,600 | 905,248 | ||||||
United Tractors Tbk. PT | 909,600 | 1,318,455 | ||||||
|
| |||||||
9,080,501 | ||||||||
|
| |||||||
Malaysia - 2.2% | ||||||||
AirAsia Group Bhd. | 2,342,108 | 984,071 | ||||||
Hong Leong Bank Bhd. | 127,200 | 496,983 | ||||||
Malayan Banking Bhd. | 950,400 | 1,930,955 | ||||||
Petronas Chemicals Group Bhd. | 572,800 | 1,030,662 | ||||||
Petronas Dagangan Bhd. | 18,100 | 102,019 | ||||||
Petronas Gas Bhd. | 30,900 | 120,860 | ||||||
Public Bank Bhd. | 404,500 | 1,939,236 | ||||||
RHB Bank Bhd. | 195,800 | 263,791 | ||||||
Sime Darby Bhd. | 1,100,800 | 591,468 | ||||||
|
| |||||||
7,460,045 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
84
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Mexico - 1.4% | ||||||||
Alfa SAB de CV, Class A (1) | 1,076,400 | $ | 945,273 | |||||
Arca Continental SAB de CV (1) | 49,300 | 266,486 | ||||||
El Puerto de Liverpool SAB de CV, Class C1 (1) | 23,400 | 128,217 | ||||||
Fomento Economico Mexicano SAB de CV, ADR (1) | 1,153 | 105,592 | ||||||
Grupo Bimbo SAB de CV, Series A (1) | 89,200 | 162,679 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 98,100 | 527,286 | ||||||
Grupo Mexico SAB de CV, Series B (1) | 543,600 | 1,270,989 | ||||||
Grupo Televisa SAB, ADR (1) | 37,422 | 365,987 | ||||||
Wal-Mart de Mexico SAB de CV (1) | 361,700 | 1,071,867 | ||||||
|
| |||||||
4,844,376 | ||||||||
|
| |||||||
Peru - 0.3% | ||||||||
Credicorp Ltd. (1) | 4,593 | 957,365 | ||||||
|
| |||||||
Philippines - 0.3% | ||||||||
BDO Unibank, Inc. | 63,810 | 176,047 | ||||||
International Container Terminal Services, Inc. | 179,600 | 417,938 | ||||||
JG Summit Holdings, Inc. | 91,990 | 128,655 | ||||||
SM Investments Corp. | 22,495 | 421,540 | ||||||
|
| |||||||
1,144,180 | ||||||||
|
| |||||||
Poland - 1.4% | ||||||||
CD Projekt SA | 20,908 | 1,272,137 | ||||||
Cyfrowy Polsat SA | 26,762 | 176,260 | ||||||
Grupa Lotos SA | 15,750 | 347,912 | ||||||
Jastrzebska Spolka Weglowa SA | 28,122 | 152,893 | ||||||
KGHM Polska Miedz SA * | 32,438 | 647,461 | ||||||
LPP SA | 62 | 133,125 | ||||||
PGE Polska Grupa Energetyczna SA * | 266,382 | 530,926 | ||||||
Polski Koncern Naftowy ORLEN SA | 38,000 | 935,406 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 286,403 | 335,627 | ||||||
Santander Bank Polska SA | 1,596 | 124,767 | ||||||
|
| |||||||
4,656,514 | ||||||||
|
| |||||||
Qatar - 0.4% | ||||||||
Industries Qatar QSC | 29,520 | 88,583 | ||||||
Qatar National Bank QPSC | 241,970 | 1,283,672 | ||||||
|
| |||||||
1,372,255 | ||||||||
|
| |||||||
Russia - 3.5% | ||||||||
Gazprom PJSC, ADR | 327,090 | 2,254,683 | ||||||
LUKOIL PJSC, ADR | 28,399 | 2,345,823 | ||||||
Magnit PJSC, GDR (b) | 15,141 | 197,676 | ||||||
MMC Norilsk Nickel PJSC, ADR (1) | 34,197 | 875,101 | ||||||
MMC Norilsk Nickel PJSC, ADR | 19,737 | 504,986 | ||||||
Novatek PJSC, GDR (b) | 5,992 | 1,213,970 | ||||||
Novolipetsk Steel PJSC, GDR (b) | 40,162 | 872,171 | ||||||
Polyus PJSC, GDR (b) | 3,985 | 230,531 | ||||||
Rosneft Oil Co. PJSC, GDR (b) | 78,075 | 500,234 | ||||||
Severstal PJSC, GDR (b) | 93,410 | 1,339,994 | ||||||
Surgutneftegas PJSC, ADR | 101,167 | 541,689 | ||||||
Tatneft PJSC, ADR | 17,879 | 1,134,247 | ||||||
|
| |||||||
12,011,105 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Saudi Arabia - 2.2% | ||||||||
Al Rajhi Bank | 212,576 | $ | 3,590,187 | |||||
Banque Saudi Fransi | 24,771 | 213,528 | ||||||
National Commercial Bank | 60,753 | 746,214 | ||||||
Riyad Bank | 53,781 | 349,666 | ||||||
Samba Financial Group | 55,088 | 420,266 | ||||||
Saudi Arabian Mining Co. * | 21,230 | 257,492 | ||||||
Saudi Basic Industries Corp. | 47,654 | 1,169,488 | ||||||
Saudi Telecom Co. | 26,577 | 770,522 | ||||||
|
| |||||||
7,517,363 | ||||||||
|
| |||||||
South Africa - 5.3% | ||||||||
Absa Group Ltd. | 43,079 | 435,093 | ||||||
Anglo American Platinum Ltd. | 5,474 | 330,045 | ||||||
Bidvest Group Ltd. (The) | 94,611 | 1,192,505 | ||||||
Capitec Bank Holdings Ltd. | 10,912 | 927,640 | ||||||
Exxaro Resources Ltd. | 165,291 | 1,425,610 | ||||||
FirstRand Ltd. | 298,599 | 1,226,815 | ||||||
Foschini Group Ltd. (The) | 120,594 | 1,302,712 | ||||||
Investec Ltd. | 110,258 | 580,210 | ||||||
Kumba Iron Ore Ltd. | 115,593 | 2,856,051 | ||||||
Life Healthcare Group Holdings Ltd. | 66,858 | 100,097 | ||||||
MTN Group Ltd. | 167,628 | 1,066,578 | ||||||
MultiChoice Group * | 43,429 | 338,088 | ||||||
Naspers Ltd., Class N | 3,857 | 583,985 | ||||||
Pick n Pay Stores Ltd. | 47,172 | 185,273 | ||||||
Redefine Properties Ltd., REIT | 425,319 | 219,902 | ||||||
Remgro Ltd. | 32,110 | 345,906 | ||||||
RMB Holdings Ltd. | 112,143 | 556,340 | ||||||
SPAR Group Ltd. (The) | 22,995 | 290,203 | ||||||
Standard Bank Group Ltd. | 84,216 | 971,614 | ||||||
Telkom SA SOC Ltd. | 409,128 | 1,907,258 | ||||||
Truworths International Ltd. | 329,397 | 1,152,892 | ||||||
|
| |||||||
17,994,817 | ||||||||
|
| |||||||
South Korea - 12.0% | ||||||||
Daelim Industrial Co. Ltd. | 25,318 | 2,200,115 | ||||||
DB Insurance Co. Ltd. | 12,978 | 559,008 | ||||||
Doosan Bobcat, Inc. * | 25,342 | 749,302 | ||||||
GS Engineering & Construction Corp. | 25,529 | 703,381 | ||||||
Hana Financial Group, Inc. | 5,801 | 170,764 | ||||||
Hanwha Corp. | 8,520 | 179,640 | ||||||
Hyundai Department Store Co. Ltd. | 13,196 | 860,982 | ||||||
Hyundai Engineering & Construction Co. Ltd. | 14,054 | 542,840 | ||||||
Hyundai Glovis Co. Ltd. | 2,290 | 298,292 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 56,077 | 1,236,390 | ||||||
Hyundai Mobis Co. Ltd. | 485 | 102,065 | ||||||
KB Financial Group, Inc. | 11,008 | 392,892 | ||||||
Kia Motors Corp. | 40,302 | 1,536,600 | ||||||
Korea Investment Holdings Co. Ltd. | 16,678 | 1,047,788 | ||||||
Korea Zinc Co. Ltd. | 3,294 | 1,232,950 | ||||||
Korean Air Lines Co. Ltd. | 32,317 | 618,594 | ||||||
Kumho Petrochemical Co. Ltd. | 10,313 | 616,696 | ||||||
LG Electronics, Inc. | 74,454 | 4,191,583 | ||||||
LG Uplus Corp. | 55,953 | 637,556 | ||||||
Meritz Securities Co. Ltd. | 41,434 | 174,664 | ||||||
NH Investment & Securities Co. Ltd. | 18,649 | 197,773 | ||||||
Posco International Corp. | 7,128 | 113,828 | ||||||
S-1 Corp. | 6,303 | 517,172 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
85
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM EMERGING MULTI-STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
South Korea - 12.0% (continued) | ||||||||
Samsung Electronics Co. Ltd. | 345,508 | $ | 14,146,500 | |||||
Samsung Securities Co. Ltd. | 5,567 | 164,253 | ||||||
SK Hynix, Inc. | 84,587 | 5,809,463 | ||||||
SK Telecom Co. Ltd. | 5,422 | 1,092,562 | ||||||
Woori Financial Group, Inc. | 112,172 | 1,166,012 | ||||||
|
| |||||||
41,259,665 | ||||||||
|
| |||||||
Taiwan - 12.2% | ||||||||
Asia Cement Corp. | 289,000 | 403,351 | ||||||
Chailease Holding Co. Ltd. | 237,930 | 960,898 | ||||||
China Airlines Ltd. | 1,535,000 | 449,181 | ||||||
China Life Insurance Co. Ltd. * | 1,836,995 | 1,456,386 | ||||||
CTBC Financial Holding Co. Ltd. | 1,322,480 | 877,845 | ||||||
E.Sun Financial Holding Co. Ltd. | 1,090,740 | 922,702 | ||||||
Eclat Textile Co. Ltd. | 27,000 | 362,570 | ||||||
Eva Airways Corp. | 2,945,630 | 1,295,557 | ||||||
Feng TAY Enterprise Co. Ltd. | 200,200 | 1,434,881 | ||||||
First Financial Holding Co. Ltd. | 1,510,094 | 1,060,413 | ||||||
Fubon Financial Holding Co. Ltd. | 202,000 | 290,015 | ||||||
Globalwafers Co. Ltd. | 84,000 | 847,165 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 297,527 | 200,824 | ||||||
Mega Financial Holding Co. Ltd. | 1,027,000 | 951,329 | ||||||
Nanya Technology Corp. | 508,000 | 1,319,472 | ||||||
Novatek Microelectronics Corp. | 19,000 | 109,036 | ||||||
Pou Chen Corp. | 1,153,000 | 1,478,046 | ||||||
Powertech Technology, Inc. | 247,000 | 694,063 | ||||||
Realtek Semiconductor Corp. * | 187,000 | 1,386,435 | ||||||
Ruentex Industries Ltd. * | 62,000 | 133,745 | ||||||
Shanghai Commercial & Savings Bank Ltd. (The) | 147,000 | 246,937 | ||||||
Shin Kong Financial Holding Co. Ltd. * | 3,594,018 | 1,087,531 | ||||||
SinoPac Financial Holdings Co. Ltd. | 539,000 | 210,160 | ||||||
Taishin Financial Holding Co. Ltd. | 992,037 | 442,725 | ||||||
Taiwan Business Bank | 4,247,838 | 1,744,663 | ||||||
Taiwan Cement Corp. | 833,614 | 1,065,113 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 304,153 | 200,878 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | 270,631 | 12,578,928 | ||||||
Uni-President Enterprises Corp. | 998,000 | 2,408,319 | ||||||
Walsin Technology Corp. | 248,000 | 1,395,890 | ||||||
Yuanta Financial Holding Co. Ltd. | 1,783,000 | 1,063,907 | ||||||
Zhen Ding Technology Holding Ltd. | 714,000 | 2,555,760 | ||||||
|
| |||||||
41,634,725 | ||||||||
|
| |||||||
Thailand - 3.7% | ||||||||
Bangkok Bank PCL, NVDR | 357,500 | 2,027,886 | ||||||
Charoen Pokphand Foods PCL, NVDR | 817,300 | 701,737 | ||||||
CP ALL PCL, NVDR | 219,800 | 583,391 | ||||||
Home Product Center PCL, NVDR | 358,000 | 200,306 | ||||||
Kasikornbank PCL, NVDR | 108,600 | 555,802 | ||||||
Krung Thai Bank PCL, NVDR | 2,830,700 | 1,593,317 | ||||||
PTT Exploration & Production PCL, NVDR | 86,100 | 340,801 | ||||||
PTT Global Chemical PCL, NVDR | 1,054,000 | 1,853,465 | ||||||
PTT PCL, NVDR | 780,700 | 1,180,662 | ||||||
Ratch Group PCL, NVDR | 168,100 | 392,733 | ||||||
Robinson PCL, NVDR | 56,000 | 116,648 | ||||||
Siam Cement PCL (The), NVDR | 161,700 | 2,156,273 |
INVESTMENTS | SHARES | VALUE | ||||||
Thailand - 3.7% (continued) | ||||||||
Siam Commercial Bank PCL (The), NVDR | 118,700 | $ | 458,123 | |||||
Thai Union Group PCL, NVDR | 1,125,396 | 614,536 | ||||||
|
| |||||||
12,775,680 | ||||||||
|
| |||||||
Turkey - 0.5% | ||||||||
Arcelik A/S * | 72,476 | 244,173 | ||||||
KOC Holding A/S | 256,487 | 857,326 | ||||||
Turkcell Iletisim Hizmetleri A/S | 44,804 | 103,159 | ||||||
Turkiye Garanti Bankasi A/S * | 98,646 | 178,113 | ||||||
Turkiye Is Bankasi A/S, Class C * | 229,022 | 253,685 | ||||||
|
| |||||||
1,636,456 | ||||||||
|
| |||||||
United Arab Emirates - 0.3% | ||||||||
Abu Dhabi Commercial Bank PJSC | 96,468 | 206,642 | ||||||
Emirates Telecommunications Group Co. PJSC | 57,006 | 256,081 | ||||||
First Abu Dhabi Bank PJSC | 163,896 | 672,186 | ||||||
|
| |||||||
1,134,909 | ||||||||
|
| |||||||
United States - 1.5% | ||||||||
JBS SA (1) | 651,000 | 5,126,589 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 331,669,616 | |||||||
|
| |||||||
NO. OF RIGHTS | ||||||||
RIGHTS - 0.0% (d) | ||||||||
Taiwan - 0.0% (d) | ||||||||
Shanghai Commercial & Savings Bank Ltd. (The), expiring 10/7/2019 (3)*(e) | ||||||||
(Cost $—) | 11,943 | 6,204 | ||||||
|
| |||||||
SHARES | ||||||||
SHORT-TERM INVESTMENTS - 2.4% | ||||||||
INVESTMENT COMPANIES - 2.4% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(f) | ||||||||
(Cost $8,072,114) | 8,073,170 | 8,073,977 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 339,749,797 | ||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.8% (g) | 2,844,471 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 342,594,268 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
86
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM EMERGING MULTI-STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 38,563,424 | 11.3 | % | ||||
Consumer Discretionary | 43,779,702 | 12.8 | ||||||
Consumer Staples | 23,466,112 | 6.8 | ||||||
Energy | 21,604,607 | 6.3 | ||||||
Financials | 72,425,976 | 21.1 | ||||||
Health Care | 2,937,510 | 0.9 | ||||||
Industrials | 27,662,488 | 8.1 | ||||||
Information Technology | 52,896,165 | 15.4 | ||||||
Materials | 31,070,972 | 9.1 | ||||||
Real Estate | 8,169,521 | 2.4 | ||||||
Utilities | 9,099,343 | 2.6 | ||||||
Short-Term Investments | 8,073,977 | 2.4 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 339,749,797 | 99.2 | ||||||
Other Assets in Excess of Liabilities (g) | 2,844,471 | 0.8 | ||||||
|
|
|
| |||||
Net Assets | $ | 342,594,268 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $7,116,339, which represents approximately 2.08% of net assets of the fund. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2019, the value of these securities amounted to $5,606,264 or 1.64% of net assets. |
(c) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $188,312; additional non-cash collateral of $192,092 was received (See Note 3). |
(d) | Represents less than 0.05% of net assets. |
(e) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $6,204, which represents approximately 0.00% of net assets of the fund. |
(f) | Represents 7-day effective yield as of September 30, 2019. |
(g) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI Emerging Markets E-Mini Index | 127 | 12/2019 | USD | $6,362,065 | $(216,508 | ) | ||||||||||||
|
| |||||||||||||||||
$(216,508 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $611,520 | $611,520 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
87
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 97.3% | ||||||||
Aerospace & Defense - 2.0% | ||||||||
Arconic, Inc. | 10,990 | $ | 285,740 | |||||
Boeing Co. (The) | 3,646 | 1,387,194 | ||||||
HEICO Corp. | 14,823 | 1,851,096 | ||||||
Huntington Ingalls Industries, Inc. | 4,370 | 925,522 | ||||||
L3Harris Technologies, Inc. | 13,413 | 2,798,488 | ||||||
Lockheed Martin Corp. | 14,685 | 5,728,031 | ||||||
Northrop Grumman Corp. | 3,396 | 1,272,787 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 4,315 | 354,866 | ||||||
Teledyne Technologies, Inc. * | 1,549 | 498,762 | ||||||
Textron, Inc. | 7,880 | 385,805 | ||||||
TransDigm Group, Inc. | 4,968 | 2,586,689 | ||||||
United Technologies Corp. | 6,706 | 915,503 | ||||||
|
| |||||||
18,990,483 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.1% | ||||||||
CH Robinson Worldwide, Inc. | 6,008 | 509,358 | ||||||
Expeditors International of Washington, Inc. | 7,296 | 542,020 | ||||||
|
| |||||||
1,051,378 | ||||||||
|
| |||||||
Airlines - 0.3% | ||||||||
Delta Air Lines, Inc. | 11,018 | 634,637 | ||||||
United Airlines Holdings, Inc. * | 22,079 | 1,952,004 | ||||||
|
| |||||||
2,586,641 | ||||||||
|
| |||||||
Auto Components - 0.1% | ||||||||
Gentex Corp. | 26,000 | 715,910 | ||||||
|
| |||||||
Automobiles - 0.0% (a) | ||||||||
General Motors Co. | 7,346 | 275,328 | ||||||
|
| |||||||
Banks - 0.2% | ||||||||
Bank of Hawaii Corp. (b) | 4,749 | 408,082 | ||||||
Commerce Bancshares, Inc. (b) | 16,573 | 1,005,152 | ||||||
Cullen/Frost Bankers, Inc. | 4,627 | 409,721 | ||||||
Wintrust Financial Corp. | 5,910 | 381,963 | ||||||
|
| |||||||
2,204,918 | ||||||||
|
| |||||||
Beverages - 2.5% | ||||||||
Brown-Forman Corp., Class B | 13,195 | 828,382 | ||||||
Coca-Cola Co. (The) | 209,649 | 11,413,291 | ||||||
Monster Beverage Corp. * | 10,360 | 601,502 | ||||||
PepsiCo, Inc. | 77,037 | 10,561,773 | ||||||
|
| |||||||
23,404,948 | ||||||||
|
| |||||||
Biotechnology - 0.5% | ||||||||
Exact Sciences Corp. *(b) | 17,183 | 1,552,828 | ||||||
Ionis Pharmaceuticals, Inc. * | 13,635 | 816,873 | ||||||
Neurocrine Biosciences, Inc. * | 5,251 | 473,168 | ||||||
Regeneron Pharmaceuticals, Inc. * | 989 | 274,348 | ||||||
Sage Therapeutics, Inc. *(b) | 2,637 | 369,945 | ||||||
Sarepta Therapeutics, Inc. * | 5,060 | 381,119 | ||||||
Seattle Genetics, Inc. * | 7,385 | 630,679 | ||||||
Vertex Pharmaceuticals, Inc. * | 1,755 | 297,332 | ||||||
|
| |||||||
4,796,292 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Building Products - 0.3% | ||||||||
Allegion plc | 5,355 | $ | 555,046 | |||||
Johnson Controls International plc | 28,453 | 1,248,802 | ||||||
Lennox International, Inc. | 5,769 | 1,401,694 | ||||||
|
| |||||||
3,205,542 | ||||||||
|
| |||||||
Capital Markets - 2.3% | ||||||||
Cboe Global Markets, Inc. | 5,191 | 596,498 | ||||||
CME Group, Inc. | 22,771 | 4,812,423 | ||||||
FactSet Research Systems, Inc. | 2,228 | 541,337 | ||||||
Interactive Brokers Group, Inc., Class A | 8,708 | 468,316 | ||||||
Intercontinental Exchange, Inc. | 23,687 | 2,185,599 | ||||||
LPL Financial Holdings, Inc. | 21,944 | 1,797,214 | ||||||
MarketAxess Holdings, Inc. | 6,550 | 2,145,125 | ||||||
Moody’s Corp. | 5,497 | 1,125,951 | ||||||
Morningstar, Inc. | 7,785 | 1,137,700 | ||||||
MSCI, Inc. | 14,254 | 3,103,808 | ||||||
Nasdaq, Inc. | 16,104 | 1,599,932 | ||||||
S&P Global, Inc. | 9,106 | 2,230,788 | ||||||
Virtu Financial, Inc., Class A | 27,849 | 455,610 | ||||||
|
| |||||||
22,200,301 | ||||||||
|
| |||||||
Chemicals - 1.8% | ||||||||
Air Products & Chemicals, Inc. | 14,582 | 3,235,163 | ||||||
Celanese Corp. | 7,248 | 886,358 | ||||||
CF Industries Holdings, Inc. | 18,261 | 898,441 | ||||||
Eastman Chemical Co. | 5,067 | 374,097 | ||||||
Ecolab, Inc. | 17,688 | 3,502,932 | ||||||
FMC Corp. | 5,870 | 514,682 | ||||||
Linde plc (United Kingdom) | 28,899 | 5,598,314 | ||||||
Mosaic Co. (The) | 13,329 | 273,244 | ||||||
NewMarket Corp. | 1,083 | 511,273 | ||||||
Sherwin-Williams Co. (The) | 1,659 | 912,234 | ||||||
|
| |||||||
16,706,738 | ||||||||
|
| |||||||
Commercial Services & Supplies - 1.3% | ||||||||
Cintas Corp. | 17,869 | 4,790,679 | ||||||
Copart, Inc. * | 18,942 | 1,521,611 | ||||||
Republic Services, Inc. | 21,173 | 1,832,523 | ||||||
Rollins, Inc. | 31,957 | 1,088,775 | ||||||
Waste Management, Inc. | 30,153 | 3,467,595 | ||||||
|
| |||||||
12,701,183 | ||||||||
|
| |||||||
Communications Equipment - 1.5% | ||||||||
Ciena Corp. * | 16,847 | 660,908 | ||||||
Cisco Systems, Inc. | 202,688 | 10,014,814 | ||||||
F5 Networks, Inc. * | 2,088 | 293,197 | ||||||
Motorola Solutions, Inc. | 12,632 | 2,152,619 | ||||||
Ubiquiti, Inc. (b) | 9,891 | 1,169,710 | ||||||
|
| |||||||
14,291,248 | ||||||||
|
| |||||||
Construction & Engineering - 0.1% | ||||||||
Jacobs Engineering Group, Inc. | 5,269 | 482,114 | ||||||
Quanta Services, Inc. | 9,010 | 340,578 | ||||||
|
| |||||||
822,692 | ||||||||
|
| |||||||
Construction Materials - 0.2% | ||||||||
Martin Marietta Materials, Inc. | 2,293 | 628,511 | ||||||
Vulcan Materials Co. | 5,875 | 888,535 | ||||||
|
| |||||||
1,517,046 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
88
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Consumer Finance - 1.0% | ||||||||
Ally Financial, Inc. | 12,574 | $ | 416,954 | |||||
American Express Co. | 47,143 | 5,576,074 | ||||||
Credit Acceptance Corp. * | 3,817 | 1,760,820 | ||||||
Discover Financial Services | 3,259 | 264,272 | ||||||
Santander Consumer USA Holdings, Inc. | 27,419 | 699,459 | ||||||
SLM Corp. | 35,013 | 308,990 | ||||||
Synchrony Financial | 8,130 | 277,152 | ||||||
|
| |||||||
9,303,721 | ||||||||
|
| |||||||
Containers & Packaging - 0.5% | ||||||||
Avery Dennison Corp. | 10,046 | 1,140,924 | ||||||
Ball Corp. | 32,950 | 2,399,090 | ||||||
Berry Global Group, Inc. * | 8,130 | 319,265 | ||||||
Crown Holdings, Inc. * | 4,346 | 287,097 | ||||||
Packaging Corp. of America | 5,028 | 533,471 | ||||||
Sealed Air Corp. | 10,067 | 417,881 | ||||||
|
| |||||||
5,097,728 | ||||||||
|
| |||||||
Distributors - 0.1% | ||||||||
Genuine Parts Co. | 4,764 | 474,447 | ||||||
|
| |||||||
Diversified Consumer Services - 0.3% | ||||||||
Graham Holdings Co., Class B | 737 | 488,963 | ||||||
Grand Canyon Education, Inc. * | 4,577 | 449,461 | ||||||
Service Corp. International | 15,037 | 718,919 | ||||||
ServiceMaster Global Holdings, Inc. * | 20,653 | 1,154,503 | ||||||
|
| |||||||
2,811,846 | ||||||||
|
| |||||||
Diversified Financial Services - 0.1% | ||||||||
Berkshire Hathaway, Inc., Class B * | 6,418 | 1,335,072 | ||||||
|
| |||||||
Diversified Telecommunication Services - 0.8% | ||||||||
Verizon Communications, Inc. | 122,879 | 7,416,977 | ||||||
Zayo Group Holdings, Inc. * | 13,596 | 460,904 | ||||||
|
| |||||||
7,877,881 | ||||||||
|
| |||||||
Electric Utilities - 3.9% | ||||||||
Alliant Energy Corp. | 14,023 | 756,260 | ||||||
American Electric Power Co., Inc. | 40,107 | 3,757,625 | ||||||
Avangrid, Inc. (b) | 20,328 | 1,062,138 | ||||||
Duke Energy Corp. | 18,145 | 1,739,380 | ||||||
Entergy Corp. | 20,859 | 2,448,012 | ||||||
Evergy, Inc. | 13,086 | 871,004 | ||||||
Eversource Energy | 25,347 | 2,166,408 | ||||||
Exelon Corp. | 40,939 | 1,977,763 | ||||||
FirstEnergy Corp. | 66,809 | 3,222,198 | ||||||
NextEra Energy, Inc. | 33,825 | 7,880,887 | ||||||
OGE Energy Corp. | 24,759 | 1,123,564 | ||||||
Pinnacle West Capital Corp. | 19,104 | 1,854,425 | ||||||
Southern Co. (The) | 63,188 | 3,903,123 | ||||||
Xcel Energy, Inc. | 59,436 | 3,856,802 | ||||||
|
| |||||||
36,619,589 | ||||||||
|
| |||||||
Electrical Equipment - 0.1% | ||||||||
AMETEK, Inc. | 5,400 | 495,828 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 1.0% | ||||||||
Amphenol Corp., Class A | 14,472 | 1,396,548 | ||||||
Arrow Electronics, Inc. * | 6,077 | 453,223 |
INVESTMENTS | SHARES | VALUE | ||||||
Electronic Equipment, Instruments & Components - 1.0% (continued) | ||||||||
CDW Corp. | 25,023 | $ | 3,083,834 | |||||
Corning, Inc. | 22,242 | 634,342 | ||||||
Dolby Laboratories, Inc., Class A | 9,601 | 620,608 | ||||||
FLIR Systems, Inc. (b) | 9,790 | 514,856 | ||||||
Keysight Technologies, Inc. * | 15,868 | 1,543,163 | ||||||
Zebra Technologies Corp., Class A * | 6,156 | 1,270,414 | ||||||
|
| |||||||
9,516,988 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.0% (a) | ||||||||
Helmerich & Payne, Inc. | 7,415 | 297,119 | ||||||
|
| |||||||
Entertainment - 1.7% | ||||||||
Live Nation Entertainment, Inc. * | 16,566 | 1,098,988 | ||||||
Madison Square Garden Co. (The), Class A * | 2,525 | 665,388 | ||||||
Take-Two Interactive Software, Inc. * | 2,747 | 344,309 | ||||||
Walt Disney Co. (The) | 100,752 | 13,130,001 | ||||||
Zynga, Inc., Class A * | 72,844 | 423,952 | ||||||
|
| |||||||
15,662,638 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 7.9% | ||||||||
Alexandria Real Estate Equities, Inc. | 6,749 | 1,039,616 | ||||||
American Campus Communities, Inc. | 9,696 | 466,184 | ||||||
American Homes 4 Rent, Class A | 20,868 | 540,273 | ||||||
American Tower Corp. | 38,594 | 8,534,291 | ||||||
Apartment Investment & Management Co., Class A | 16,007 | 834,605 | ||||||
AvalonBay Communities, Inc. | 12,731 | 2,741,366 | ||||||
Boston Properties, Inc. | 6,397 | 829,435 | ||||||
Camden Property Trust | 10,063 | 1,117,094 | ||||||
CoreSite Realty Corp. | 6,557 | 798,970 | ||||||
Crown Castle International Corp. | 28,414 | 3,949,830 | ||||||
CubeSmart | 17,258 | 602,304 | ||||||
CyrusOne, Inc. | 18,322 | 1,449,270 | ||||||
Digital Realty Trust, Inc. | 9,979 | 1,295,374 | ||||||
Duke Realty Corp. | 14,674 | 498,476 | ||||||
EPR Properties | 15,448 | 1,187,333 | ||||||
Equinix, Inc. | 1,703 | 982,290 | ||||||
Equity LifeStyle Properties, Inc. | 29,843 | 3,987,025 | ||||||
Equity Residential | 33,773 | 2,913,259 | ||||||
Essex Property Trust, Inc. | 6,885 | 2,248,985 | ||||||
Extra Space Storage, Inc. | 14,623 | 1,708,259 | ||||||
Federal Realty Investment Trust | 3,381 | 460,289 | ||||||
HCP, Inc. | 46,226 | 1,647,032 | ||||||
Iron Mountain, Inc. | 13,553 | 438,982 | ||||||
Kimco Realty Corp. | 24,735 | 516,467 | ||||||
Lamar Advertising Co., Class A | 10,493 | 859,691 | ||||||
Liberty Property Trust | 9,202 | 472,339 | ||||||
Life Storage, Inc. | 7,121 | 750,625 | ||||||
Medical Properties Trust, Inc. | 44,470 | 869,833 | ||||||
Mid-America Apartment Communities, Inc. | 6,421 | 834,794 | ||||||
National Retail Properties, Inc. | 27,998 | 1,579,087 | ||||||
Omega Healthcare Investors, Inc. | 40,696 | 1,700,686 | ||||||
Park Hotels & Resorts, Inc. | 27,866 | 695,814 | ||||||
Prologis, Inc. | 30,230 | 2,576,201 | ||||||
Public Storage | 10,789 | 2,646,218 | ||||||
Realty Income Corp. | 51,673 | 3,962,286 | ||||||
Regency Centers Corp. | 6,696 | 465,305 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
89
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Equity Real Estate Investment Trusts (REITs) - 7.9% (continued) | ||||||||
SBA Communications Corp. | 9,574 | $ | 2,308,770 | |||||
Simon Property Group, Inc. | 6,587 | 1,025,267 | ||||||
Spirit Realty Capital, Inc. | 7,179 | 343,587 | ||||||
STORE Capital Corp. | 38,997 | 1,458,878 | ||||||
Sun Communities, Inc. | 19,398 | 2,879,633 | ||||||
UDR, Inc. | 32,386 | 1,570,073 | ||||||
Ventas, Inc. | 36,489 | 2,664,792 | ||||||
Welltower, Inc. | 42,896 | 3,888,522 | ||||||
WP Carey, Inc. | 10,795 | 966,153 | ||||||
|
| |||||||
75,305,563 | ||||||||
|
| |||||||
Food & Staples Retailing - 3.1% | ||||||||
Casey’s General Stores, Inc. | 4,019 | 647,702 | ||||||
Costco Wholesale Corp. | 22,454 | 6,469,222 | ||||||
Kroger Co. (The) | 25,032 | 645,325 | ||||||
Sysco Corp. | 16,647 | 1,321,772 | ||||||
Walmart, Inc. | 168,635 | 20,013,602 | ||||||
|
| |||||||
29,097,623 | ||||||||
|
| |||||||
Food Products - 1.7% | ||||||||
General Mills, Inc. | 17,592 | 969,671 | ||||||
Hershey Co. (The) | 13,929 | 2,158,856 | ||||||
Hormel Foods Corp. | 42,184 | 1,844,706 | ||||||
Lamb Weston Holdings, Inc. | 21,384 | 1,555,045 | ||||||
McCormick & Co., Inc.(Non-Voting) | 13,386 | 2,092,232 | ||||||
Mondelez International, Inc., Class A | 87,723 | 4,852,836 | ||||||
Pilgrim’s Pride Corp. * | 8,962 | 287,187 | ||||||
Post Holdings, Inc. * | 8,154 | 863,019 | ||||||
Tyson Foods, Inc., Class A | 21,098 | 1,817,382 | ||||||
|
| |||||||
16,440,934 | ||||||||
|
| |||||||
Gas Utilities - 0.2% | ||||||||
Atmos Energy Corp. | 11,143 | 1,269,076 | ||||||
UGI Corp. | 6,046 | 303,933 | ||||||
|
| |||||||
1,573,009 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 4.5% | ||||||||
Abbott Laboratories | 108,717 | 9,096,351 | ||||||
ABIOMED, Inc. * | 2,539 | 451,663 | ||||||
Baxter International, Inc. | 10,746 | 939,953 | ||||||
Boston Scientific Corp. * | 85,541 | 3,480,663 | ||||||
Cooper Cos., Inc. (The) (b) | 2,695 | 800,415 | ||||||
Danaher Corp. | 42,607 | 6,153,729 | ||||||
DexCom, Inc. * | 10,747 | 1,603,882 | ||||||
Edwards Lifesciences Corp. * | 12,050 | 2,649,915 | ||||||
Hologic, Inc. * | 11,378 | 574,475 | ||||||
IDEXX Laboratories, Inc. * | 5,091 | 1,384,396 | ||||||
Insulet Corp. *(b) | 7,054 | 1,163,416 | ||||||
Intuitive Surgical, Inc. * | 2,113 | 1,140,872 | ||||||
Masimo Corp. * | 4,014 | 597,243 | ||||||
Medtronic plc | 43,306 | 4,703,898 | ||||||
Penumbra, Inc. *(b) | 5,665 | 761,886 | ||||||
ResMed, Inc. | 10,915 | 1,474,726 | ||||||
Stryker Corp. | 15,873 | 3,433,330 | ||||||
Teleflex, Inc. | 5,357 | 1,820,041 | ||||||
|
| |||||||
42,230,854 | ||||||||
|
| |||||||
Health Care Providers & Services - 1.0% | ||||||||
Anthem, Inc. | 13,181 | 3,164,758 | ||||||
Chemed Corp. | 1,649 | 688,573 |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Providers & Services - 1.0% (continued) | ||||||||
Encompass Health Corp. | 4,681 | $ | 296,214 | |||||
HCA Healthcare, Inc. | 15,124 | 1,821,232 | ||||||
Laboratory Corp. of America Holdings * | 2,327 | 390,936 | ||||||
Molina Healthcare, Inc. * | 8,404 | 922,087 | ||||||
Premier, Inc., Class A * | 10,988 | 317,773 | ||||||
Quest Diagnostics, Inc. | 2,710 | 290,051 | ||||||
UnitedHealth Group, Inc. | 3,212 | 698,032 | ||||||
Universal Health Services, Inc., Class B | 3,522 | 523,897 | ||||||
|
| |||||||
9,113,553 | ||||||||
|
| |||||||
Health Care Technology - 0.3% | ||||||||
Veeva Systems, Inc., Class A * | 17,859 | 2,726,891 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 3.2% | ||||||||
Aramark | 18,212 | 793,679 | ||||||
Chipotle Mexican Grill, Inc. * | 3,107 | 2,611,340 | ||||||
Darden Restaurants, Inc. | 14,359 | 1,697,521 | ||||||
Domino’s Pizza, Inc. | 2,609 | 638,135 | ||||||
Dunkin’ Brands Group, Inc. | 5,817 | 461,637 | ||||||
Hilton Worldwide Holdings, Inc. | 7,108 | 661,826 | ||||||
Hyatt Hotels Corp., Class A | 6,571 | 484,086 | ||||||
McDonald’s Corp. | 47,466 | 10,191,425 | ||||||
Planet Fitness, Inc., Class A *(b) | 9,059 | 524,244 | ||||||
Royal Caribbean Cruises Ltd. | 3,101 | 335,931 | ||||||
Six Flags Entertainment Corp. | 13,268 | 673,882 | ||||||
Starbucks Corp. | 88,876 | 7,858,416 | ||||||
Vail Resorts, Inc. | 3,751 | 853,578 | ||||||
Wyndham Hotels & Resorts, Inc. | 6,422 | 332,274 | ||||||
Yum! Brands, Inc. | 17,965 | 2,037,770 | ||||||
|
| |||||||
30,155,744 | ||||||||
|
| |||||||
Household Durables - 0.6% | ||||||||
Garmin Ltd. | 22,664 | 1,919,414 | ||||||
NVR, Inc. * | 447 | 1,661,655 | ||||||
PulteGroup, Inc. | 7,875 | 287,831 | ||||||
Roku, Inc. *(b) | 21,389 | 2,176,545 | ||||||
|
| |||||||
6,045,445 | ||||||||
|
| |||||||
Household Products - 2.9% | ||||||||
Church & Dwight Co., Inc. | 28,080 | 2,112,739 | ||||||
Clorox Co. (The) | 9,834 | 1,493,490 | ||||||
Energizer Holdings, Inc. (b) | 13,144 | 572,815 | ||||||
Kimberly-Clark Corp. | 12,304 | 1,747,783 | ||||||
Procter & Gamble Co. (The) | 172,615 | 21,469,854 | ||||||
|
| |||||||
27,396,681 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.3% | ||||||||
AES Corp. | 62,765 | 1,025,580 | ||||||
NRG Energy, Inc. | 27,808 | 1,101,197 | ||||||
Vistra Energy Corp. | 26,172 | 699,577 | ||||||
|
| |||||||
2,826,354 | ||||||||
|
| |||||||
Industrial Conglomerates - 0.9% | ||||||||
Honeywell International, Inc. | 35,289 | 5,970,899 | ||||||
Roper Technologies, Inc. | 5,871 | 2,093,598 | ||||||
|
| |||||||
8,064,497 | ||||||||
|
| |||||||
Insurance - 3.1% | ||||||||
Aflac, Inc. | 19,367 | 1,013,282 | ||||||
Allstate Corp. (The) | 7,369 | 800,863 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
90
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 3.1% (continued) | ||||||||
American Financial Group, Inc. | 11,412 | $ | 1,230,784 | |||||
Aon plc | 14,019 | 2,713,658 | ||||||
Arch Capital Group Ltd. * | 22,098 | 927,674 | ||||||
Arthur J Gallagher & Co. (b) | 5,255 | 470,690 | ||||||
Assurant, Inc. | 6,148 | 773,541 | ||||||
Assured Guaranty Ltd. | 12,466 | 554,238 | ||||||
Axis Capital Holdings Ltd. | 7,392 | 493,194 | ||||||
Chubb Ltd. | 9,131 | 1,474,109 | ||||||
Cincinnati Financial Corp. | 19,561 | 2,282,182 | ||||||
Erie Indemnity Co., Class A | 8,691 | 1,613,484 | ||||||
Fidelity National Financial, Inc. | 22,711 | 1,008,596 | ||||||
Globe Life, Inc. | 8,659 | 829,186 | ||||||
Hanover Insurance Group, Inc. (The) | 11,713 | 1,587,580 | ||||||
Hartford Financial Services Group, Inc. (The) | 4,593 | 278,382 | ||||||
Markel Corp. * | 611 | 722,141 | ||||||
Marsh & McLennan Cos., Inc. | 21,225 | 2,123,561 | ||||||
MetLife, Inc. | 12,527 | 590,773 | ||||||
Progressive Corp. (The) | 55,055 | 4,252,999 | ||||||
RenaissanceRe Holdings Ltd. | 4,635 | 896,641 | ||||||
Travelers Cos., Inc. (The) | 8,400 | 1,248,996 | ||||||
Willis Towers Watson plc | 3,332 | 642,976 | ||||||
WR Berkley Corp. | 18,422 | 1,330,621 | ||||||
|
| |||||||
29,860,151 | ||||||||
|
| |||||||
Interactive Media & Services - 1.5% | ||||||||
Facebook, Inc., Class A * | 48,606 | 8,655,757 | ||||||
IAC/InterActiveCorp * | 11,240 | 2,449,983 | ||||||
Match Group, Inc. (b) | 38,244 | 2,732,151 | ||||||
TripAdvisor, Inc. * | 8,440 | 326,459 | ||||||
Twitter, Inc. * | 8,464 | 348,717 | ||||||
|
| |||||||
14,513,067 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.3% | ||||||||
eBay, Inc. | 10,940 | 426,441 | ||||||
Etsy, Inc. * | 14,392 | 813,148 | ||||||
Expedia Group, Inc. | 3,949 | 530,785 | ||||||
Wayfair, Inc., Class A *(b) | 7,612 | 853,458 | ||||||
|
| |||||||
2,623,832 | ||||||||
|
| |||||||
IT Services - 9.2% | ||||||||
Accenture plc, Class A | 13,167 | 2,532,672 | ||||||
Akamai Technologies, Inc. * | 7,588 | 693,391 | ||||||
Amdocs Ltd. | 12,968 | 857,314 | ||||||
Automatic Data Processing, Inc. | 22,934 | 3,702,006 | ||||||
Black Knight, Inc. * | 6,963 | 425,161 | ||||||
Booz Allen Hamilton Holding Corp. | 14,749 | 1,047,474 | ||||||
Broadridge Financial Solutions, Inc. | 13,485 | 1,677,939 | ||||||
Cognizant Technology Solutions Corp., Class A | 5,093 | 306,930 | ||||||
CoreLogic, Inc. * | 13,521 | 625,617 | ||||||
EPAM Systems, Inc. * | 5,901 | 1,075,870 | ||||||
Euronet Worldwide, Inc. * | 7,246 | 1,060,090 | ||||||
Fidelity National Information Services, Inc. | 15,380 | 2,041,849 | ||||||
Fiserv, Inc. * | 24,873 | 2,576,594 | ||||||
FleetCor Technologies, Inc. * | 3,834 | 1,099,514 | ||||||
Gartner, Inc. * | 4,604 | 658,326 | ||||||
Genpact Ltd. | 30,485 | 1,181,294 |
INVESTMENTS | SHARES | VALUE | ||||||
IT Services - 9.2% (continued) | ||||||||
Global Payments, Inc. | 13,913 | $ | 2,212,167 | |||||
GoDaddy, Inc., Class A * | 11,101 | 732,444 | ||||||
Jack Henry & Associates, Inc. (b) | 16,678 | 2,434,488 | ||||||
Leidos Holdings, Inc. | 3,229 | 277,307 | ||||||
Mastercard, Inc., Class A | 69,919 | 18,987,903 | ||||||
MongoDB, Inc. * | 14,537 | 1,751,418 | ||||||
Okta, Inc. *(b) | 22,985 | 2,263,103 | ||||||
Paychex, Inc. | 12,948 | 1,071,706 | ||||||
PayPal Holdings, Inc. * | 71,249 | 7,380,684 | ||||||
Sabre Corp. | 18,021 | 403,580 | ||||||
Square, Inc., Class A *(b) | 5,130 | 317,803 | ||||||
Twilio, Inc., Class A *(b) | 21,724 | 2,388,771 | ||||||
VeriSign, Inc. * | 13,036 | 2,458,981 | ||||||
Visa, Inc., Class A | 132,173 | 22,735,078 | ||||||
WEX, Inc. * | 3,405 | 688,048 | ||||||
|
| |||||||
87,665,522 | ||||||||
|
| |||||||
Leisure Products - 0.1% | ||||||||
Hasbro, Inc. | 6,091 | 722,941 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.9% | ||||||||
Agilent Technologies, Inc. | 9,099 | 697,256 | ||||||
Bio-Rad Laboratories, Inc., Class A * | 4,869 | 1,620,111 | ||||||
Bio-Techne Corp. | 2,644 | 517,352 | ||||||
Bruker Corp. | 19,991 | 878,205 | ||||||
Charles River Laboratories International, Inc. * | 5,176 | 685,147 | ||||||
Illumina, Inc. * | 1,412 | 429,559 | ||||||
IQVIA Holdings, Inc. * | 13,047 | 1,948,961 | ||||||
Mettler-Toledo International, Inc. * | 982 | 691,721 | ||||||
PerkinElmer, Inc. | 9,553 | 813,629 | ||||||
PRA Health Sciences, Inc. * | 4,114 | 408,232 | ||||||
QIAGEN NV * | 14,637 | 482,582 | ||||||
Thermo Fisher Scientific, Inc. | 26,575 | 7,740,500 | ||||||
Waters Corp. * | 3,336 | 744,695 | ||||||
|
| |||||||
17,657,950 | ||||||||
|
| |||||||
Machinery - 1.0% | ||||||||
Crane Co. | 5,907 | 476,281 | ||||||
Cummins, Inc. | 2,965 | 482,317 | ||||||
Deere & Co. | 4,236 | 714,528 | ||||||
Dover Corp. | 4,903 | 488,143 | ||||||
Fortive Corp. | 11,477 | 786,863 | ||||||
Illinois Tool Works, Inc. | 3,818 | 597,479 | ||||||
Ingersoll-Rand plc | 15,974 | 1,968,156 | ||||||
Nordson Corp. | 6,333 | 926,265 | ||||||
PACCAR, Inc. | 4,266 | 298,663 | ||||||
Toro Co. (The) | 21,148 | 1,550,148 | ||||||
Woodward, Inc. | 4,194 | 452,239 | ||||||
Xylem, Inc. | 12,229 | 973,673 | ||||||
|
| |||||||
9,714,755 | ||||||||
|
| |||||||
Media - 2.7% | ||||||||
Altice USA, Inc., Class A * | 37,327 | 1,070,538 | ||||||
Cable One, Inc. | 1,136 | 1,425,339 | ||||||
Charter Communications, Inc., Class A * | 16,471 | 6,788,029 | ||||||
Comcast Corp., Class A | 286,925 | 12,934,579 | ||||||
Discovery, Inc., Class A *(b) | 27,842 | 741,433 | ||||||
Liberty Broadband Corp., Class C * | 4,551 | 476,353 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
91
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Media - 2.7% (continued) | ||||||||
Nexstar Media Group, Inc., Class A | 4,507 | $ | 461,111 | |||||
Sinclair Broadcast Group, Inc., Class A | 13,495 | 576,776 | ||||||
Sirius XM Holdings, Inc. (b) | 177,699 | 1,111,507 | ||||||
|
| |||||||
25,585,665 | ||||||||
|
| |||||||
Metals & Mining - 0.1% | ||||||||
Newmont Goldcorp Corp. | 14,549 | 551,698 | ||||||
Reliance Steel & Aluminum Co. | 5,371 | 535,274 | ||||||
Royal Gold, Inc. | 2,313 | 284,985 | ||||||
|
| |||||||
1,371,957 | ||||||||
|
| |||||||
Multiline Retail - 0.7% | ||||||||
Dollar General Corp. | 20,908 | 3,323,118 | ||||||
Dollar Tree, Inc. * | 9,502 | 1,084,748 | ||||||
Ollie’s Bargain Outlet Holdings, Inc. * | 5,702 | 334,365 | ||||||
Target Corp. | 15,802 | 1,689,392 | ||||||
|
| |||||||
6,431,623 | ||||||||
|
| |||||||
Multi-Utilities - 1.5% | ||||||||
Ameren Corp. | 30,356 | 2,429,998 | ||||||
CenterPoint Energy, Inc. | 9,980 | 301,196 | ||||||
CMS Energy Corp. | 33,398 | 2,135,802 | ||||||
DTE Energy Co. | 17,897 | 2,379,585 | ||||||
MDU Resources Group, Inc. | 15,343 | 432,519 | ||||||
NiSource, Inc. | 29,415 | 880,097 | ||||||
Public Service Enterprise Group, Inc. | 28,119 | 1,745,628 | ||||||
Sempra Energy | 5,717 | 843,886 | ||||||
WEC Energy Group, Inc. | 29,487 | 2,804,214 | ||||||
|
| |||||||
13,952,925 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 0.4% | ||||||||
Cheniere Energy, Inc. * | 7,237 | 456,365 | ||||||
Hess Corp. | 4,554 | 275,426 | ||||||
HollyFrontier Corp. | 6,241 | 334,767 | ||||||
Kinder Morgan, Inc. | 100,788 | 2,077,241 | ||||||
ONEOK, Inc. | 8,090 | 596,152 | ||||||
PBF Energy, Inc., Class A | 16,878 | 458,913 | ||||||
|
| |||||||
4,198,864 | ||||||||
|
| |||||||
Personal Products - 0.5% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 23,638 | 4,702,780 | ||||||
Nu Skin Enterprises, Inc., Class A | 8,923 | 379,495 | ||||||
|
| |||||||
5,082,275 | ||||||||
|
| |||||||
Pharmaceuticals - 3.8% | ||||||||
Eli Lilly & Co. | 39,114 | 4,374,119 | ||||||
Horizon Therapeutics plc * | 11,854 | 322,784 | ||||||
Johnson & Johnson | 58,023 | 7,507,016 | ||||||
Merck & Co., Inc. | 164,295 | 13,830,353 | ||||||
Pfizer, Inc. | 129,007 | 4,635,221 | ||||||
Zoetis, Inc. | 42,927 | 5,348,275 | ||||||
|
| |||||||
36,017,768 | ||||||||
|
| |||||||
Professional Services - 0.6% | ||||||||
CoStar Group, Inc. * | 3,684 | 2,185,349 | ||||||
TransUnion | 21,521 | 1,745,568 | ||||||
Verisk Analytics, Inc. | 12,131 | 1,918,396 | ||||||
|
| |||||||
5,849,313 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Real Estate Management & Development - 0.1% | ||||||||
CBRE Group, Inc., Class A * | 11,886 | $ | 630,077 | |||||
|
| |||||||
Road & Rail - 1.5% | ||||||||
AMERCO | 2,826 | 1,102,253 | ||||||
CSX Corp. | 30,387 | 2,104,908 | ||||||
JB Hunt Transport Services, Inc. | 4,563 | 504,896 | ||||||
Norfolk Southern Corp. | 14,281 | 2,565,724 | ||||||
Old Dominion Freight Line, Inc. | 6,543 | 1,112,114 | ||||||
Union Pacific Corp. | 40,991 | 6,639,722 | ||||||
|
| |||||||
14,029,617 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 2.8% | ||||||||
Advanced Micro Devices, Inc. * | 78,688 | 2,281,165 | ||||||
Analog Devices, Inc. | 17,261 | 1,928,571 | ||||||
Applied Materials, Inc. | 11,698 | 583,730 | ||||||
Broadcom, Inc. | 28,235 | 7,794,836 | ||||||
Cree, Inc. * | 8,394 | 411,306 | ||||||
Intel Corp. | 18,435 | 949,956 | ||||||
KLA Corp. | 5,297 | 844,607 | ||||||
Lam Research Corp. | 4,993 | 1,153,932 | ||||||
Marvell Technology Group Ltd. | 15,440 | 385,537 | ||||||
Maxim Integrated Products, Inc. | 13,185 | 763,543 | ||||||
Monolithic Power Systems, Inc. | 3,941 | 613,338 | ||||||
QUALCOMM, Inc. | 27,011 | 2,060,399 | ||||||
Teradyne, Inc. | 12,960 | 750,514 | ||||||
Texas Instruments, Inc. | 16,859 | 2,178,857 | ||||||
Universal Display Corp. | 8,222 | 1,380,474 | ||||||
Xilinx, Inc. | 25,894 | 2,483,235 | ||||||
|
| |||||||
26,564,000 | ||||||||
|
| |||||||
Software - 12.6% | ||||||||
Adobe, Inc. * | 5,058 | 1,397,273 | ||||||
Alteryx, Inc., Class A *(b) | 15,248 | 1,638,093 | ||||||
ANSYS, Inc. * | 5,600 | 1,239,616 | ||||||
Aspen Technology, Inc. * | 3,695 | 454,781 | ||||||
Atlassian Corp. plc, Class A * | 25,518 | 3,200,978 | ||||||
Autodesk, Inc. * | 12,281 | 1,813,904 | ||||||
Avalara, Inc. *(b) | 9,547 | 642,418 | ||||||
Cadence Design Systems, Inc. * | 24,559 | 1,622,859 | ||||||
CDK Global, Inc. | 9,038 | 434,637 | ||||||
Citrix Systems, Inc. | 5,531 | 533,852 | ||||||
Coupa Software, Inc. *(b) | 10,379 | 1,344,807 | ||||||
Fair Isaac Corp. * | 1,969 | 597,631 | ||||||
Fortinet, Inc. * | 17,107 | 1,313,133 | ||||||
Guidewire Software, Inc. * | 3,915 | 412,563 | ||||||
HubSpot, Inc. * | 2,764 | 419,050 | ||||||
Intuit, Inc. | 20,180 | 5,366,669 | ||||||
Microsoft Corp. | 465,109 | 64,664,104 | ||||||
Nuance Communications, Inc. * | 26,590 | 433,683 | ||||||
Oracle Corp. | 89,375 | 4,918,306 | ||||||
Palo Alto Networks, Inc. * | 4,177 | 851,398 | ||||||
Paycom Software, Inc. * | 11,261 | 2,359,067 | ||||||
Paylocity Holding Corp. *(b) | 4,752 | 463,700 | ||||||
PTC, Inc. * | 7,732 | 527,168 | ||||||
RealPage, Inc. * | 9,828 | 617,788 | ||||||
RingCentral, Inc., Class A * | 20,590 | 2,587,339 | ||||||
salesforce.com, Inc. * | 7,678 | 1,139,722 | ||||||
ServiceNow, Inc. * | 15,335 | 3,892,790 | ||||||
Smartsheet, Inc., Class A * | 25,308 | 911,847 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
92
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Software - 12.6% (continued) | ||||||||
Splunk, Inc. * | 12,830 | $ | 1,512,144 | |||||
SS&C Technologies Holdings, Inc. | 13,397 | 690,883 | ||||||
Synopsys, Inc. * | 10,828 | 1,486,143 | ||||||
Trade Desk, Inc. (The), Class A *(b) | 7,642 | 1,433,257 | ||||||
VMware, Inc., Class A | 23,739 | 3,562,274 | ||||||
Workday, Inc., Class A * | 14,350 | 2,438,926 | ||||||
Zendesk, Inc. * | 24,485 | 1,784,467 | ||||||
Zscaler, Inc. *(b) | 20,844 | 985,087 | ||||||
|
| |||||||
119,692,357 | ||||||||
|
| |||||||
Specialty Retail - 1.5% | ||||||||
Advance Auto Parts, Inc. | 4,816 | 796,566 | ||||||
AutoZone, Inc. * | 1,672 | 1,813,485 | ||||||
Best Buy Co., Inc. | 5,392 | 371,994 | ||||||
Burlington Stores, Inc. * | 6,149 | 1,228,693 | ||||||
Carvana Co. *(b) | 18,774 | 1,239,084 | ||||||
Dick’s Sporting Goods, Inc. (b) | 12,079 | 492,944 | ||||||
Five Below, Inc. * | 3,930 | 495,573 | ||||||
Home Depot, Inc. (The) | 1,445 | 335,269 | ||||||
Lowe’s Cos., Inc. | 9,480 | 1,042,421 | ||||||
O’Reilly Automotive, Inc. * | 6,184 | 2,464,386 | ||||||
Ross Stores, Inc. | 5,139 | 564,519 | ||||||
TJX Cos., Inc. (The) | 19,115 | 1,065,470 | ||||||
Tractor Supply Co. | 10,959 | 991,132 | ||||||
Ulta Beauty, Inc. * | 4,174 | 1,046,213 | ||||||
Williams-Sonoma, Inc. | 8,598 | 584,492 | ||||||
|
| |||||||
14,532,241 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||||||
Dell Technologies, Inc., Class C * | 6,955 | 360,686 | ||||||
NetApp, Inc. | 5,359 | 281,401 | ||||||
|
| |||||||
642,087 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.7% | ||||||||
Columbia Sportswear Co. | 4,328 | 419,340 | ||||||
Lululemon Athletica, Inc. * | 17,214 | 3,314,211 | ||||||
NIKE, Inc., Class B | 18,942 | 1,779,032 | ||||||
Under Armour, Inc., Class A *(b) | 34,189 | 681,729 | ||||||
VF Corp. | 4,130 | 367,529 | ||||||
|
| |||||||
6,561,841 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.1% | ||||||||
LendingTree, Inc. *(b) | 1,495 | 464,093 | ||||||
TFS Financial Corp. | 41,075 | 740,171 | ||||||
|
| |||||||
1,204,264 | ||||||||
|
| |||||||
Tobacco - 0.1% | ||||||||
Philip Morris International, Inc. | 12,351 | 937,811 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.3% | ||||||||
Fastenal Co. | 25,858 | 844,781 | ||||||
MSC Industrial Direct Co., Inc., Class A | 4,795 | 347,781 | ||||||
Watsco, Inc. | 3,619 | 612,263 | ||||||
WW Grainger, Inc. | 2,833 | 841,826 | ||||||
|
| |||||||
2,646,651 | ||||||||
|
| |||||||
Water Utilities - 0.3% | ||||||||
American Water Works Co., Inc. | 20,101 | 2,497,147 | ||||||
Aqua America, Inc. (b) | 15,473 | 693,655 | ||||||
|
| |||||||
3,190,802 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Wireless Telecommunication Services - 0.5% | ||||||||
Telephone & Data Systems, Inc. | 13,444 | $ | 346,855 | |||||
T-Mobile US, Inc. * | 46,687 | 3,677,535 | ||||||
United States Cellular Corp. * | 15,170 | 570,089 | ||||||
|
| |||||||
4,594,479 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 922,415,488 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.5% | ||||||||
INVESTMENT COMPANIES - 2.5% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $24,255,169) | 24,255,929 | 24,258,354 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 2.3% | ||||||||
Investment Companies - 2.3% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (c)(d) | 2,620,714 | 2,620,714 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (c)(d) | 18,806,217 | 18,808,097 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 21,428,811 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 968,102,653 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.1)% (e) | (20,133,972) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 947,968,681 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 68,233,730 | 7.2 | % | ||||
Consumer Discretionary | 71,351,198 | 7.5 | ||||||
Consumer Staples | 102,360,273 | 10.8 | ||||||
Energy | 4,495,983 | 0.5 | ||||||
Financials | 66,108,427 | 7.0 | ||||||
Health Care | 112,543,308 | 11.9 | ||||||
Industrials | 80,158,580 | 8.5 | ||||||
Information Technology | 258,372,202 | 27.2 | ||||||
Materials | 24,693,468 | 2.6 | ||||||
Real Estate | 75,935,640 | 8.0 | ||||||
Utilities | 58,162,679 | 6.1 | ||||||
Short-Term Investments | 24,258,354 | 2.5 | ||||||
Securities Lending Collateral | 21,428,811 | 2.3 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 968,102,653 | 102.1 | ||||||
Liabilities in Excess of Other Assets (e) | (20,133,972 | ) | (2.1 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 947,968,681 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
93
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND |
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $20,899,621. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
S&P 500E-Mini Index | 118 | 12/2019 | USD | $17,573,150 | $(164,738 | ) | ||||||||||||
|
| |||||||||||||||||
$(164,738 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $1,068,833 | $1,068,833 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
94
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 97.6% | ||||||||
Aerospace & Defense - 1.8% | ||||||||
AAR Corp. | 1,934 | $ | 79,700 | |||||
Aerojet Rocketdyne Holdings, Inc. * | 21,278 | 1,074,752 | ||||||
AeroVironment, Inc. * | 1,310 | 70,164 | ||||||
Astronics Corp. * | 3,909 | 114,846 | ||||||
Cubic Corp. | 1,835 | 129,239 | ||||||
Ducommun, Inc. * | 7,860 | 333,264 | ||||||
Kratos Defense & Security Solutions, Inc. * | 35,247 | 655,418 | ||||||
Mercury Systems, Inc. * | 15,450 | 1,254,077 | ||||||
Moog, Inc., Class A | 5,809 | 471,226 | ||||||
Park Aerospace Corp. | 6,608 | 116,036 | ||||||
Triumph Group, Inc. | 8,547 | 195,555 | ||||||
Vectrus, Inc. * | 4,424 | 179,836 | ||||||
|
| |||||||
4,674,113 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.2% | ||||||||
Echo Global Logistics, Inc. * | 4,871 | 110,328 | ||||||
Forward Air Corp. | 2,309 | 147,130 | ||||||
Radiant Logistics, Inc. * | 29,160 | 150,757 | ||||||
|
| |||||||
408,215 | ||||||||
|
| |||||||
Airlines - 0.5% | ||||||||
Allegiant Travel Co. | 2,229 | 333,592 | ||||||
SkyWest, Inc. | 6,435 | 369,369 | ||||||
Spirit Airlines, Inc. * | 13,807 | 501,194 | ||||||
|
| |||||||
1,204,155 | ||||||||
|
| |||||||
Auto Components - 1.0% | ||||||||
Cooper Tire & Rubber Co. | 13,403 | 350,086 | ||||||
Dorman Products, Inc. * | 7,323 | 582,471 | ||||||
Fox Factory Holding Corp. * | 11,506 | 716,133 | ||||||
Gentherm, Inc. * | 6,294 | 258,589 | ||||||
LCI Industries | 2,557 | 234,861 | ||||||
Modine Manufacturing Co. * | 7,558 | 85,935 | ||||||
Standard Motor Products, Inc. | 3,742 | 181,674 | ||||||
Stoneridge, Inc. * | 6,938 | 214,870 | ||||||
|
| |||||||
2,624,619 | ||||||||
|
| |||||||
Banks - 3.1% | ||||||||
1st Source Corp. | 2,393 | 109,432 | ||||||
BancFirst Corp. | 6,265 | 347,206 | ||||||
Bancorp, Inc. (The) * | 13,272 | 131,393 | ||||||
Banner Corp. | 2,331 | 130,932 | ||||||
Bryn Mawr Bank Corp. | 2,789 | �� | 101,826 | |||||
Camden National Corp. | 3,937 | 170,551 | ||||||
Carolina Financial Corp. | 3,130 | 111,240 | ||||||
Central Pacific Financial Corp. | 3,821 | 108,516 | ||||||
Community Bank System, Inc. | 8,665 | 534,544 | ||||||
Enterprise Financial Services Corp. | 2,473 | 100,775 | ||||||
First Bancorp/NC | 3,745 | 134,445 | ||||||
First Bancorp/PR | 72,124 | 719,797 | ||||||
First Financial Bankshares, Inc. (a) | 34,278 | 1,142,486 | ||||||
First Interstate BancSystem, Inc., Class A | 3,267 | 131,464 | ||||||
German American Bancorp, Inc. | 3,585 | 114,899 | ||||||
Glacier Bancorp, Inc. | 13,676 | 553,331 | ||||||
Great Southern Bancorp, Inc. | 3,025 | 172,274 | ||||||
Hilltop Holdings, Inc. | 6,084 | 145,347 | ||||||
Independent Bank Corp. | 3,295 | 245,972 |
INVESTMENTS | SHARES | VALUE | ||||||
Banks - 3.1% (continued) | ||||||||
Independent Bank Corp./MI | 8,381 | $ | 178,641 | |||||
Lakeland Bancorp, Inc. | 12,306 | 189,882 | ||||||
Lakeland Financial Corp. | 3,172 | 139,504 | ||||||
OFG Bancorp | 25,352 | 555,209 | ||||||
Opus Bank | 4,849 | 105,563 | ||||||
QCR Holdings, Inc. | 3,458 | 131,335 | ||||||
Southside Bancshares, Inc. | 2,622 | 89,436 | ||||||
Stock Yards Bancorp, Inc. | 4,504 | 165,252 | ||||||
Tompkins Financial Corp. | 1,707 | 138,489 | ||||||
Towne Bank | 6,743 | 187,489 | ||||||
TriState Capital Holdings, Inc. * | 4,567 | 96,090 | ||||||
Trustmark Corp. | 3,944 | 134,530 | ||||||
United Bankshares, Inc. | 13,054 | 494,355 | ||||||
Washington Trust Bancorp, Inc. | 2,583 | 124,785 | ||||||
Westamerica Bancorp | 3,131 | 194,686 | ||||||
|
| |||||||
8,131,676 | ||||||||
|
| |||||||
Beverages - 0.9% | ||||||||
Boston Beer Co., Inc. (The), Class A * | 3,102 | 1,129,376 | ||||||
Coca-Cola Consolidated, Inc. | 2,648 | 804,648 | ||||||
Craft Brew Alliance, Inc. * | 11,410 | 93,448 | ||||||
New Age Beverages Corp. *(a) | 47,923 | 132,268 | ||||||
Primo Water Corp. * | 9,780 | 120,098 | ||||||
|
| |||||||
2,279,838 | ||||||||
|
| |||||||
Biotechnology - 6.2% | ||||||||
ACADIA Pharmaceuticals, Inc. * | 40,545 | 1,459,215 | ||||||
Acceleron Pharma, Inc. * | 3,444 | 136,073 | ||||||
Adverum Biotechnologies, Inc. * | 23,129 | 126,053 | ||||||
Aeglea BioTherapeutics, Inc. * | 10,704 | 82,314 | ||||||
Affimed NV (Germany) * | 35,562 | 104,552 | ||||||
Agenus, Inc. * | 29,733 | 76,711 | ||||||
Akcea Therapeutics, Inc. *(a) | 6,915 | 106,422 | ||||||
Anika Therapeutics, Inc. * | 2,526 | 138,652 | ||||||
Apellis Pharmaceuticals, Inc. * | 4,600 | 110,814 | ||||||
Arena Pharmaceuticals, Inc. * | 8,744 | 400,213 | ||||||
ArQule, Inc. * | 48,095 | 344,841 | ||||||
Arrowhead Pharmaceuticals, Inc. *(a) | 29,514 | 831,705 | ||||||
Avid Bioservices, Inc. * | 25,915 | 137,350 | ||||||
BioCryst Pharmaceuticals, Inc. * | 26,257 | 75,226 | ||||||
BioSpecifics Technologies Corp. * | 1,801 | 96,390 | ||||||
Blueprint Medicines Corp. * | 8,365 | 614,577 | ||||||
CareDx, Inc. * | 14,655 | 331,350 | ||||||
Catalyst Pharmaceuticals, Inc. * | 49,236 | 261,443 | ||||||
CEL-SCI Corp. *(a) | 31,682 | 283,237 | ||||||
Coherus Biosciences, Inc. * | 16,453 | 333,338 | ||||||
CTI BioPharma Corp. * | 7,700 | 6,407 | ||||||
Cytokinetics, Inc. * | 15,837 | 180,225 | ||||||
Denali Therapeutics, Inc. * | 19,673 | 301,390 | ||||||
Dicerna Pharmaceuticals, Inc. * | 12,774 | 183,435 | ||||||
Eidos Therapeutics, Inc. *(a) | 10,007 | 359,952 | ||||||
Emergent BioSolutions, Inc. * | 1,700 | 88,876 | ||||||
Epizyme, Inc. * | 9,369 | 96,641 | ||||||
Esperion Therapeutics, Inc. * | 4,244 | 155,585 | ||||||
Fate Therapeutics, Inc. * | 23,728 | 368,496 | ||||||
Global Blood Therapeutics, Inc. * | 12,991 | 630,323 | ||||||
Homology Medicines, Inc. * | 3,970 | 71,857 | ||||||
Intercept Pharmaceuticals, Inc. * | 1,437 | 95,359 | ||||||
Invitae Corp. * | 30,077 | 579,584 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
95
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Biotechnology - 6.2% (continued) | ||||||||
Iovance Biotherapeutics, Inc. * | 23,208 | $ | 422,386 | |||||
Kindred Biosciences, Inc. * | 17,847 | 122,252 | ||||||
Krystal Biotech, Inc. * | 8,815 | 306,101 | ||||||
Marker Therapeutics, Inc. * | 19,608 | 100,197 | ||||||
MeiraGTx Holdings plc * | 11,054 | 176,311 | ||||||
Mirati Therapeutics, Inc. * | 9,562 | 744,975 | ||||||
Natera, Inc. * | 22,318 | 732,030 | ||||||
NeuBase Therapeutics, Inc. * | 380 | 1,896 | ||||||
Oncocyte Corp. * | 55,834 | 117,251 | ||||||
PDL BioPharma, Inc. * | 45,576 | 98,444 | ||||||
Pfenex, Inc. * | 21,139 | 178,413 | ||||||
Portola Pharmaceuticals, Inc. * | 2,642 | 70,858 | ||||||
Protagonist Therapeutics, Inc. * | 20,226 | 242,914 | ||||||
PTC Therapeutics, Inc. * | 7,956 | 269,072 | ||||||
Ra Pharmaceuticals, Inc. * | 19,668 | 465,148 | ||||||
Radius Health, Inc. * | 4,580 | 117,935 | ||||||
Recro Pharma, Inc. * | 14,372 | 159,242 | ||||||
Repligen Corp. * | 15,383 | 1,179,722 | ||||||
Scholar Rock Holding Corp. * | 10,269 | 91,908 | ||||||
Veracyte, Inc. * | 22,503 | 540,072 | ||||||
Vericel Corp. * | 18,816 | 284,874 | ||||||
Voyager Therapeutics, Inc. * | 5,586 | 96,135 | ||||||
XBiotech, Inc. *(a) | 19,674 | 205,790 | ||||||
Xencor, Inc. * | 2,921 | 98,525 | ||||||
ZIOPHARM Oncology, Inc. *(a) | 44,359 | 189,857 | ||||||
|
| |||||||
16,180,914 | ||||||||
|
| |||||||
Building Products - 1.4% | ||||||||
AAON, Inc. | 14,747 | 677,477 | ||||||
Advanced Drainage Systems, Inc. | 15,354 | 495,474 | ||||||
Builders FirstSource, Inc. * | 8,337 | 171,534 | ||||||
CSW Industrials, Inc. | 3,648 | 251,821 | ||||||
Gibraltar Industries, Inc. * | 6,592 | 302,837 | ||||||
PGT Innovations, Inc. * | 5,624 | 97,126 | ||||||
Simpson Manufacturing Co., Inc. | 7,663 | 531,582 | ||||||
Trex Co., Inc. * | 10,547 | 959,039 | ||||||
Universal Forest Products, Inc. | 2,455 | 97,905 | ||||||
|
| |||||||
3,584,795 | ||||||||
|
| |||||||
Capital Markets - 1.4% | ||||||||
B. Riley Financial, Inc. | 9,128 | 215,603 | ||||||
Blucora, Inc. * | 3,329 | 72,040 | ||||||
Cohen & Steers, Inc. | 12,438 | 683,219 | ||||||
Diamond Hill Investment Group, Inc. | 1,290 | 178,188 | ||||||
Federated Investors, Inc., Class B | 27,204 | 881,682 | ||||||
Hamilton Lane, Inc., Class A | 16,795 | 956,643 | ||||||
Oppenheimer Holdings, Inc., Class A | 5,134 | 154,328 | ||||||
Stifel Financial Corp. | 8,738 | 501,386 | ||||||
|
| |||||||
3,643,089 | ||||||||
|
| |||||||
Chemicals - 1.1% | ||||||||
Advanced Emissions Solutions, Inc. | 10,560 | 156,710 | ||||||
American Vanguard Corp. | 8,397 | 131,833 | ||||||
Balchem Corp. | 3,099 | 307,390 | ||||||
Chase Corp. | 998 | 109,171 | ||||||
Hawkins, Inc. | 1,913 | 81,303 | ||||||
Ingevity Corp. * | 7,219 | 612,460 | ||||||
Innospec, Inc. | 4,485 | 399,793 | ||||||
Intrepid Potash, Inc. * | 31,374 | 102,593 |
INVESTMENTS | SHARES | VALUE | ||||||
Chemicals - 1.1% (continued) | ||||||||
Quaker Chemical Corp. | 2,987 | $ | 472,364 | |||||
Stepan Co. | 4,145 | 402,314 | ||||||
|
| |||||||
2,775,931 | ||||||||
|
| |||||||
Commercial Services & Supplies - 3.3% | ||||||||
ABM Industries, Inc. | 18,008 | 654,051 | ||||||
Brady Corp., Class A | 14,076 | 746,732 | ||||||
Brink’s Co. (The) | 7,948 | 659,287 | ||||||
Casella Waste Systems, Inc., Class A * | 15,816 | 679,139 | ||||||
CECO Environmental Corp. * | 18,346 | 128,147 | ||||||
Covanta Holding Corp. | 20,643 | 356,917 | ||||||
Ennis, Inc. | 10,681 | 215,863 | ||||||
Heritage-Crystal Clean, Inc. * | 3,931 | 104,171 | ||||||
Herman Miller, Inc. | 12,016 | 553,817 | ||||||
HNI Corp. | 3,390 | 120,345 | ||||||
Kimball International, Inc., Class B | 9,927 | 191,591 | ||||||
McGrath RentCorp | 6,667 | 463,957 | ||||||
Mobile Mini, Inc. | 2,351 | 86,658 | ||||||
MSA Safety, Inc. | 8,067 | 880,190 | ||||||
SP Plus Corp. * | 4,630 | 171,310 | ||||||
Steelcase, Inc., Class A | 25,909 | 476,726 | ||||||
Team, Inc. * | 6,828 | 123,245 | ||||||
Tetra Tech, Inc. | 13,981 | 1,212,992 | ||||||
UniFirst Corp. | 1,371 | 267,509 | ||||||
US Ecology, Inc. | 4,430 | 283,254 | ||||||
Viad Corp. | 2,487 | 167,002 | ||||||
|
| |||||||
8,542,903 | ||||||||
|
| |||||||
Communications Equipment - 0.7% | ||||||||
ADTRAN, Inc. | 10,034 | 113,836 | ||||||
Calix, Inc. * | 16,357 | 104,521 | ||||||
Comtech Telecommunications Corp. | 3,485 | 113,263 | ||||||
Harmonic, Inc. * | 55,000 | 361,900 | ||||||
Inseego Corp. *(a) | 50,533 | 242,558 | ||||||
Viavi Solutions, Inc. * | 63,007 | 882,413 | ||||||
|
| |||||||
1,818,491 | ||||||||
|
| |||||||
Construction & Engineering - 1.5% | ||||||||
Aegion Corp. * | 6,788 | 145,127 | ||||||
Ameresco, Inc., Class A * | 20,297 | 326,173 | ||||||
Argan, Inc. | 3,338 | 131,150 | ||||||
Comfort Systems USA, Inc. | 4,914 | 217,346 | ||||||
Construction Partners, Inc., Class A * | 4,819 | 75,080 | ||||||
EMCOR Group, Inc. | 10,858 | 935,091 | ||||||
Great Lakes Dredge & Dock Corp. * | 42,083 | 439,767 | ||||||
HC2 Holdings, Inc. *(a) | 27,896 | 65,556 | ||||||
MasTec, Inc. * | 15,369 | 997,909 | ||||||
MYR Group, Inc. * | 3,964 | 124,034 | ||||||
NV5 Global, Inc. * | 1,777 | 121,316 | ||||||
Primoris Services Corp. | 5,764 | 113,032 | ||||||
WillScot Corp. * | 5,805 | 90,442 | ||||||
|
| |||||||
3,782,023 | ||||||||
|
| |||||||
Consumer Finance - 0.5% | ||||||||
Enova International, Inc. * | 3,483 | 72,272 | ||||||
FirstCash, Inc. | 5,762 | 528,202 | ||||||
Nelnet, Inc., Class A | 4,566 | 290,398 | ||||||
Regional Management Corp. * | 7,164 | 201,738 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
96
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Consumer Finance - 0.5% (continued) | ||||||||
World Acceptance Corp. * | 1,909 | $ | 243,417 | |||||
|
| |||||||
1,336,027 | ||||||||
|
| |||||||
Distributors - 0.3% | ||||||||
Core-Mark Holding Co., Inc. | 13,130 | 421,670 | ||||||
Funko, Inc., Class A * | 12,443 | 256,015 | ||||||
|
| |||||||
677,685 | ||||||||
|
| |||||||
Diversified Consumer Services - 1.6% | ||||||||
Adtalem Global Education, Inc. * | 1,875 | 71,419 | ||||||
American Public Education, Inc. * | 4,706 | 105,132 | ||||||
Career Education Corp. * | 24,098 | 382,917 | ||||||
Carriage Services, Inc. | 4,901 | 100,176 | ||||||
Chegg, Inc. * | 26,921 | 806,284 | ||||||
Collectors Universe, Inc. | 4,777 | 136,049 | ||||||
Houghton Mifflin Harcourt Co. * | 17,235 | 91,863 | ||||||
K12, Inc. * | 16,261 | 429,290 | ||||||
Laureate Education, Inc., Class A * | 52,883 | 876,536 | ||||||
Regis Corp. * | 8,511 | 172,092 | ||||||
Sotheby’s * | 1,873 | 106,724 | ||||||
Strategic Education, Inc. | 6,041 | 820,851 | ||||||
|
| |||||||
4,099,333 | ||||||||
|
| |||||||
Diversified Financial Services - 0.2% | ||||||||
Cannae Holdings, Inc. * | 18,756 | 515,227 | ||||||
On Deck Capital, Inc. * | 22,015 | 73,971 | ||||||
|
| |||||||
589,198 | ||||||||
|
| |||||||
Diversified Telecommunication Services - 1.0% | ||||||||
Anterix, Inc. * | 6,589 | 238,522 | ||||||
ATN International, Inc. | 3,756 | 219,237 | ||||||
Bandwidth, Inc., Class A * | 7,662 | 498,873 | ||||||
Cogent Communications Holdings, Inc. | 9,709 | 534,966 | ||||||
Intelsat SA * | 13,331 | 303,947 | ||||||
Iridium Communications, Inc. * | 35,932 | 764,633 | ||||||
Ooma, Inc. * | 9,728 | 101,171 | ||||||
Pareteum Corp. *(a) | 56,380 | 72,730 | ||||||
|
| |||||||
2,734,079 | ||||||||
|
| |||||||
Electric Utilities - 1.7% | ||||||||
ALLETE, Inc. | 10,303 | 900,585 | ||||||
Genie Energy Ltd., Class B | 22,001 | 164,127 | ||||||
MGE Energy, Inc. | 5,457 | 435,851 | ||||||
Otter Tail Corp. | 7,571 | 406,941 | ||||||
PNM Resources, Inc. | 20,352 | 1,059,932 | ||||||
Portland General Electric Co. | 27,191 | 1,532,757 | ||||||
|
| |||||||
4,500,193 | ||||||||
|
| |||||||
Electrical Equipment - 1.2% | ||||||||
Allied Motion Technologies, Inc. | 5,795 | 204,621 | ||||||
American Superconductor Corp. * | 13,769 | 107,949 | ||||||
Atkore International Group, Inc. * | 9,743 | 295,700 | ||||||
Encore Wire Corp. | 1,626 | 91,511 | ||||||
EnerSys | 1,291 | 85,129 | ||||||
Generac Holdings, Inc. * | 16,834 | 1,318,776 | ||||||
Plug Power, Inc. *(a) | 51,334 | 135,008 | ||||||
Sunrun, Inc. * | 31,626 | 528,312 | ||||||
Vivint Solar, Inc. *(a) | 39,859 | 260,678 | ||||||
|
| |||||||
3,027,684 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Electronic Equipment, Instruments & Components - 2.6% | ||||||||
Airgain, Inc. * | 9,623 | $ | 113,070 | |||||
AVX Corp. | 15,487 | 235,403 | ||||||
Badger Meter, Inc. | 8,599 | 461,766 | ||||||
Coda Octopus Group, Inc. * | 14,959 | 122,814 | ||||||
CTS Corp. | 8,803 | 284,865 | ||||||
ePlus, Inc. * | 915 | 69,622 | ||||||
Fabrinet (Thailand) * | 11,158 | 583,564 | ||||||
FARO Technologies, Inc. * | 1,481 | 71,606 | ||||||
Insight Enterprises, Inc. * | 8,473 | 471,861 | ||||||
Itron, Inc. * | 3,939 | 291,329 | ||||||
Knowles Corp. * | 23,198 | 471,847 | ||||||
Napco Security Technologies, Inc. * | 11,666 | 297,716 | ||||||
Novanta, Inc. * | 10,035 | 820,060 | ||||||
OSI Systems, Inc. * | 5,859 | 595,040 | ||||||
PAR Technology Corp. *(a) | 8,919 | 212,005 | ||||||
PC Connection, Inc. | 4,953 | 192,672 | ||||||
Rogers Corp. * | 4,540 | 620,664 | ||||||
Sanmina Corp. * | 7,784 | 249,944 | ||||||
Tech Data Corp. * | 5,371 | 559,873 | ||||||
Vishay Precision Group, Inc. * | 4,549 | 148,934 | ||||||
|
| |||||||
6,874,655 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.4% | ||||||||
Cactus, Inc., Class A * | 4,010 | 116,049 | ||||||
DMC Global, Inc. | 5,509 | 242,286 | ||||||
Helix Energy Solutions Group, Inc. * | 9,823 | 79,173 | ||||||
Matrix Service Co. * | 12,443 | 213,273 | ||||||
ProPetro Holding Corp. * | 13,930 | 126,624 | ||||||
SEACOR Holdings, Inc. * | 3,735 | 175,807 | ||||||
|
| |||||||
953,212 | ||||||||
|
| |||||||
Entertainment - 0.3% | ||||||||
Glu Mobile, Inc. * | 17,830 | 88,972 | ||||||
Liberty Media Corp.-Liberty Braves, Class C * | 6,881 | 190,948 | ||||||
Marcus Corp. (The) | 8,427 | 311,883 | ||||||
Rosetta Stone, Inc. * | 8,771 | 152,615 | ||||||
|
| |||||||
744,418 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 8.6% | ||||||||
Acadia Realty Trust | 18,322 | 523,643 | ||||||
Agree Realty Corp. | 14,797 | 1,082,401 | ||||||
Alexander’s, Inc. | 307 | 106,962 | ||||||
American Assets Trust, Inc. | 18,205 | 850,902 | ||||||
Braemar Hotels & Resorts, Inc. | 11,477 | 107,769 | ||||||
CareTrust REIT, Inc. | 32,591 | 766,051 | ||||||
Community Healthcare Trust, Inc. | 8,076 | 359,786 | ||||||
EastGroup Properties, Inc. | 11,867 | 1,483,612 | ||||||
Essential Properties Realty Trust, Inc. | 25,337 | 580,471 | ||||||
First Industrial Realty Trust, Inc. | 28,470 | 1,126,273 | ||||||
Four Corners Property Trust, Inc. | 10,960 | 309,949 | ||||||
Front Yard Residential Corp. | 11,243 | 129,969 | ||||||
GEO Group, Inc. (The) | 4,827 | 83,700 | ||||||
Getty Realty Corp. | 9,610 | 308,097 | ||||||
Global Net Lease, Inc. | 22,587 | 440,446 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 17,581 | 512,486 | ||||||
Healthcare Realty Trust, Inc. | 25,705 | 861,117 | ||||||
Independence Realty Trust, Inc. | 20,632 | 295,244 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
97
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Equity Real Estate Investment Trusts (REITs) - 8.6% (continued) | ||||||||
Industrial Logistics Properties Trust | 6,663 | $ | 141,589 | |||||
Innovative Industrial Properties, Inc. | 4,415 | 407,814 | ||||||
Investors Real Estate Trust | 2,943 | 219,754 | ||||||
Jernigan Capital, Inc. | 8,682 | 167,128 | ||||||
Lexington Realty Trust | 52,108 | 534,107 | ||||||
LTC Properties, Inc. | 10,375 | 531,407 | ||||||
Monmouth Real Estate Investment Corp. | 9,260 | 133,437 | ||||||
National Health Investors, Inc. | 11,992 | 988,021 | ||||||
National Storage Affiliates Trust | 12,363 | 412,553 | ||||||
NexPoint Residential Trust, Inc. | 13,524 | 632,382 | ||||||
Physicians Realty Trust | 43,585 | 773,634 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 18,980 | 396,302 | ||||||
PS Business Parks, Inc. | 9,149 | 1,664,661 | ||||||
QTS Realty Trust, Inc., Class A | 10,837 | 557,130 | ||||||
Rexford Industrial Realty, Inc. | 28,830 | 1,269,097 | ||||||
Ryman Hospitality Properties, Inc. | 3,890 | 318,241 | ||||||
Sabra Health Care REIT, Inc. | 21,423 | 491,872 | ||||||
Safehold, Inc. | 9,062 | 276,391 | ||||||
Seritage Growth Properties, Class A | 3,313 | 140,769 | ||||||
STAG Industrial, Inc. | 27,371 | 806,897 | ||||||
Terreno Realty Corp. | 18,914 | 966,316 | ||||||
UMH Properties, Inc. | 9,125 | 128,480 | ||||||
Universal Health Realty Income Trust | 3,299 | 339,137 | ||||||
Xenia Hotels & Resorts, Inc. | 10,939 | 231,032 | ||||||
|
| |||||||
22,457,029 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.8% | ||||||||
Chefs’ Warehouse, Inc. (The) * | 15,885 | 640,483 | ||||||
Ingles Markets, Inc., Class A | 1,847 | 71,774 | ||||||
Natural Grocers by Vitamin Cottage, Inc. * | 15,229 | 152,138 | ||||||
Performance Food Group Co. * | 21,203 | 975,550 | ||||||
Weis Markets, Inc. | 3,428 | 130,744 | ||||||
|
| |||||||
1,970,689 | ||||||||
|
| |||||||
Food Products - 2.1% | ||||||||
Calavo Growers, Inc. | 940 | 89,469 | ||||||
Cal-Maine Foods, Inc. | 2,278 | 91,018 | ||||||
Darling Ingredients, Inc. * | 32,042 | 612,963 | ||||||
Freshpet, Inc. * | 15,516 | 772,231 | ||||||
Hostess Brands, Inc. * | 5,551 | 77,631 | ||||||
J&J Snack Foods Corp. | 2,823 | 542,016 | ||||||
John B Sanfilippo & Son, Inc. | 2,196 | 212,134 | ||||||
Lancaster Colony Corp. | 7,044 | 976,651 | ||||||
Sanderson Farms, Inc. | 5,734 | 867,726 | ||||||
Simply Good Foods Co. (The) * | 27,518 | 797,747 | ||||||
Tootsie Roll Industries, Inc. | 11,639 | 432,272 | ||||||
|
| |||||||
5,471,858 | ||||||||
|
| |||||||
Gas Utilities - 2.1% | ||||||||
Chesapeake Utilities Corp. | 3,304 | 314,937 | ||||||
New Jersey Resources Corp. | 20,038 | 906,119 | ||||||
Northwest Natural Holding Co. | 4,516 | 322,172 | ||||||
ONE Gas, Inc. | 14,755 | 1,418,103 | ||||||
South Jersey Industries, Inc. | 3,874 | 127,493 | ||||||
Southwest Gas Holdings, Inc. | 11,531 | 1,049,782 | ||||||
Spire, Inc. | 13,984 | 1,219,964 | ||||||
|
| |||||||
5,358,570 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Equipment & Supplies - 4.2% | ||||||||
Alphatec Holdings, Inc. * | 28,024 | $ | 140,681 | |||||
Antares Pharma, Inc. * | 50,057 | 167,441 | ||||||
Apyx Medical Corp. * | 18,249 | 123,546 | ||||||
AtriCure, Inc. * | 8,994 | 224,310 | ||||||
Atrion Corp. | 458 | 356,860 | ||||||
BioLife Solutions, Inc. * | 6,199 | 103,058 | ||||||
BioSig Technologies, Inc. *(a) | 22,335 | 184,264 | ||||||
Cardiovascular Systems, Inc. * | 8,298 | 394,321 | ||||||
Cerus Corp. * | 18,386 | 94,780 | ||||||
Conformis, Inc. * | 57,970 | 107,824 | ||||||
CONMED Corp. | 7,967 | 766,027 | ||||||
CryoLife, Inc. * | 6,756 | 183,425 | ||||||
CryoPort, Inc. * | 17,967 | 293,850 | ||||||
CytoSorbents Corp. * | 15,501 | 77,970 | ||||||
GenMark Diagnostics, Inc. * | 18,280 | 110,777 | ||||||
Glaukos Corp. * | 9,263 | 579,030 | ||||||
Haemonetics Corp. * | 9,143 | 1,153,298 | ||||||
Integer Holdings Corp. * | 8,422 | 636,366 | ||||||
iRadimed Corp. * | 6,247 | 131,312 | ||||||
Lantheus Holdings, Inc. * | 12,210 | 306,044 | ||||||
Meridian Bioscience, Inc. | 7,875 | 74,734 | ||||||
Mesa Laboratories, Inc. | 759 | 180,467 | ||||||
Misonix, Inc. * | 4,919 | 98,872 | ||||||
Nevro Corp. * | 1,244 | 106,947 | ||||||
Novocure Ltd. * | 26,129 | 1,953,927 | ||||||
NuVasive, Inc. * | 5,349 | 339,020 | ||||||
Orthofix Medical, Inc. * | 2,308 | 122,370 | ||||||
OrthoPediatrics Corp. * | 3,983 | 140,441 | ||||||
Quidel Corp. * | 1,161 | 71,227 | ||||||
Surmodics, Inc. * | 2,425 | 110,920 | ||||||
Tactile Systems Technology, Inc. * | 1,626 | 68,812 | ||||||
Tandem Diabetes Care, Inc. * | 15,576 | 918,672 | ||||||
Wright Medical Group NV * | 18,022 | 371,794 | ||||||
Zynex, Inc. (a) | 24,840 | 236,228 | ||||||
|
| |||||||
10,929,615 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.3% | ||||||||
Addus HomeCare Corp. * | 5,493 | 435,485 | ||||||
Amedisys, Inc. * | 7,993 | 1,047,163 | ||||||
BioTelemetry, Inc. * | 1,917 | 78,079 | ||||||
Catasys, Inc. *(a) | 11,374 | 179,254 | ||||||
CorVel Corp. * | 5,710 | 432,247 | ||||||
Ensign Group, Inc. (The) | 16,839 | 798,674 | ||||||
Joint Corp. (The) * | 11,027 | 205,212 | ||||||
LHC Group, Inc. * | 8,171 | 927,899 | ||||||
MedCath Corp. (3)*(b) | 10,300 | — | ||||||
National HealthCare Corp. | 3,223 | 263,803 | ||||||
National Research Corp. | 5,727 | 330,734 | ||||||
PetIQ, Inc. *(a) | 7,201 | 196,299 | ||||||
Providence Service Corp. (The) * | 1,978 | 117,612 | ||||||
R1 RCM, Inc. * | 40,756 | 363,951 | ||||||
RadNet, Inc. * | 9,846 | 141,389 | ||||||
Triple-S Management Corp., Class B * | 4,994 | 66,920 | ||||||
US Physical Therapy, Inc. | 3,691 | 481,860 | ||||||
|
| |||||||
6,066,581 | ||||||||
|
| |||||||
Health Care Technology - 1.3% | ||||||||
HealthStream, Inc. * | 3,591 | 92,971 | ||||||
HMS Holdings Corp. * | 25,622 | 883,062 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
98
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Technology - 1.3% (continued) | ||||||||
Inovalon Holdings, Inc., Class A * | 39,590 | $ | 648,880 | |||||
Inspire Medical Systems, Inc. * | 7,668 | 467,901 | ||||||
NextGen Healthcare, Inc. * | 5,801 | 90,902 | ||||||
Omnicell, Inc. * | 11,161 | 806,606 | ||||||
OptimizeRx Corp. * | 12,747 | 184,577 | ||||||
Simulations Plus, Inc. | 3,579 | 124,191 | ||||||
|
| |||||||
3,299,090 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.3% | ||||||||
Brinker International, Inc. | 2,077 | 88,625 | ||||||
Churchill Downs, Inc. | 7,696 | 950,110 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 4,084 | 664,263 | ||||||
Dave & Buster’s Entertainment, Inc. | 1,792 | 69,798 | ||||||
Del Taco Restaurants, Inc. * | 7,517 | 76,861 | ||||||
Denny’s Corp. * | 18,386 | 418,557 | ||||||
Dine Brands Global, Inc. | 5,241 | 397,582 | ||||||
Drive Shack, Inc. * | 24,122 | 103,966 | ||||||
El Pollo Loco Holdings, Inc. * | 11,570 | 126,807 | ||||||
Everi Holdings, Inc. * | 20,835 | 176,264 | ||||||
International Speedway Corp., Class A | 2,491 | 112,120 | ||||||
Jack in the Box, Inc. | 1,658 | 151,077 | ||||||
Lindblad Expeditions Holdings, Inc. * | 11,538 | 193,377 | ||||||
Monarch Casino & Resort, Inc. * | 3,285 | 136,952 | ||||||
Papa John’s International, Inc. (a) | 1,834 | 96,010 | ||||||
RCI Hospitality Holdings, Inc. | 6,192 | 128,050 | ||||||
Ruth’s Hospitality Group, Inc. | 5,414 | 110,527 | ||||||
SeaWorld Entertainment, Inc. * | 23,755 | 625,232 | ||||||
Shake Shack, Inc., Class A * | 6,415 | 628,927 | ||||||
Wingstop, Inc. | 9,497 | 828,898 | ||||||
|
| |||||||
6,084,003 | ||||||||
|
| |||||||
Household Durables - 2.7% | ||||||||
GoPro, Inc., Class A * | 16,311 | 84,573 | ||||||
Helen of Troy Ltd. * | 7,576 | 1,194,432 | ||||||
Installed Building Products, Inc. * | 4,024 | 230,736 | ||||||
iRobot Corp. * | 1,209 | 74,559 | ||||||
KB Home | 19,274 | 655,316 | ||||||
La-Z-Boy, Inc. | 4,436 | 149,005 | ||||||
LGI Homes, Inc. * | 6,083 | 506,836 | ||||||
M/I Homes, Inc. * | 7,773 | 292,653 | ||||||
MDC Holdings, Inc. | 26,348 | 1,135,599 | ||||||
Meritage Homes Corp. * | 17,828 | 1,254,200 | ||||||
Taylor Morrison Home Corp. * | 25,655 | 665,491 | ||||||
TopBuild Corp. * | 7,115 | 686,099 | ||||||
TRI Pointe Group, Inc. * | 5,478 | 82,389 | ||||||
Universal Electronics, Inc. * | 2,539 | 129,235 | ||||||
|
| |||||||
7,141,123 | ||||||||
|
| |||||||
Household Products - 0.2% | ||||||||
WD-40 Co. | 3,485 | 639,637 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.9% | ||||||||
Ormat Technologies, Inc. | 7,606 | 565,050 | ||||||
Pattern Energy Group, Inc., Class A | 27,424 | 738,528 | ||||||
TerraForm Power, Inc., Class A | 58,485 | 1,065,889 | ||||||
|
| |||||||
2,369,467 | ||||||||
|
| |||||||
Industrial Conglomerates - 0.1% | ||||||||
Raven Industries, Inc. | 5,206 | 174,193 | ||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 2.8% | ||||||||
Ambac Financial Group, Inc. * | 11,032 | $ | 215,676 | |||||
AMERISAFE, Inc. | 3,902 | 257,961 | ||||||
Argo Group International Holdings Ltd. | 8,292 | 582,430 | ||||||
eHealth, Inc. * | 7,564 | 505,200 | ||||||
Employers Holdings, Inc. | 2,987 | 130,173 | ||||||
FBL Financial Group, Inc., Class A | 4,873 | 289,992 | ||||||
Goosehead Insurance, Inc., Class A (a) | 13,677 | 674,960 | ||||||
HCI Group, Inc. | 2,833 | 119,099 | ||||||
Heritage Insurance Holdings, Inc. | 8,281 | 123,801 | ||||||
James River Group Holdings Ltd. | 3,828 | 196,147 | ||||||
Kinsale Capital Group, Inc. | 8,421 | 869,974 | ||||||
MBIA, Inc. * | 16,474 | 152,055 | ||||||
National General Holdings Corp. | 13,860 | 319,057 | ||||||
National Western Life Group, Inc., Class A | 374 | 100,370 | ||||||
RLI Corp. | 11,531 | 1,071,345 | ||||||
Safety Insurance Group, Inc. | 2,448 | 248,056 | ||||||
Selective Insurance Group, Inc. | 14,406 | 1,083,187 | ||||||
State Auto Financial Corp. | 3,981 | 128,945 | ||||||
United Fire Group, Inc. | 4,018 | 188,766 | ||||||
United Insurance Holdings Corp. | 8,651 | 121,027 | ||||||
|
| |||||||
7,378,221 | ||||||||
|
| |||||||
Interactive Media & Services - 0.2% | ||||||||
Cargurus, Inc. * | 4,851 | 150,138 | ||||||
DHI Group, Inc. * | 47,997 | 184,789 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A * | 9,007 | 84,756 | ||||||
Meet Group, Inc. (The) * | 35,928 | 117,664 | ||||||
Travelzoo * | 8,406 | 89,860 | ||||||
|
| |||||||
627,207 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.3% | ||||||||
1-800-Flowers.com, Inc., Class A * | 19,297 | 285,499 | ||||||
Quotient Technology, Inc. * | 10,253 | 80,179 | ||||||
Rubicon Project, Inc. (The) * | 47,958 | 417,714 | ||||||
|
| |||||||
783,392 | ||||||||
|
| |||||||
IT Services - 3.4% | ||||||||
Brightcove, Inc. * | 14,222 | 149,046 | ||||||
Cardtronics plc, Class A * | 8,790 | 265,810 | ||||||
CSG Systems International, Inc. | 7,467 | 385,894 | ||||||
EVERTEC, Inc. | 25,539 | 797,328 | ||||||
Evo Payments, Inc., Class A * | 19,557 | 549,943 | ||||||
ExlService Holdings, Inc. * | 2,232 | 149,455 | ||||||
Hackett Group, Inc. (The) | 12,491 | 205,602 | ||||||
I3 Verticals, Inc., Class A * | 7,821 | 157,358 | ||||||
KBR, Inc. | 37,096 | 910,336 | ||||||
LiveRamp Holdings, Inc. * | 13,187 | 566,513 | ||||||
ManTech International Corp., Class A | 7,994 | 570,851 | ||||||
MAXIMUS, Inc. | 13,912 | 1,074,841 | ||||||
NIC, Inc. | 11,584 | 239,210 | ||||||
Paysign, Inc. *(a) | 24,739 | 249,864 | ||||||
Perficient, Inc. * | 8,969 | 346,024 | ||||||
Perspecta, Inc. | 32,668 | 853,288 | ||||||
Science Applications International Corp. | 9,217 | 805,105 | ||||||
TTEC Holdings, Inc. | 8,587 | 411,146 | ||||||
Tucows, Inc., Class A * | 1,663 | 90,068 | ||||||
Unisys Corp. * | 12,781 | 94,963 | ||||||
|
| |||||||
8,872,645 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
99
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Leisure Products - 0.1% | ||||||||
Acushnet Holdings Corp. | 10,759 | $ | 284,037 | |||||
Clarus Corp. | 7,761 | 90,998 | ||||||
|
| |||||||
375,035 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 1.5% | ||||||||
ChromaDex Corp. * | 19,184 | 75,489 | ||||||
Codexis, Inc. * | 16,220 | 222,457 | ||||||
Fluidigm Corp. * | 25,824 | 119,565 | ||||||
Luminex Corp. | 3,944 | 81,444 | ||||||
Medpace Holdings, Inc. * | 10,449 | 878,134 | ||||||
NanoString Technologies, Inc. * | 16,439 | 354,918 | ||||||
NeoGenomics, Inc. * | 36,106 | 690,347 | ||||||
Quanterix Corp. * | 10,752 | 236,114 | ||||||
Syneos Health, Inc. * | 21,219 | 1,129,063 | ||||||
|
| |||||||
3,787,531 | ||||||||
|
| |||||||
Machinery - 2.7% | ||||||||
Alamo Group, Inc. | 1,821 | 214,368 | ||||||
Albany International Corp., Class A | 8,177 | 737,238 | ||||||
Barnes Group, Inc. | 1,979 | 101,998 | ||||||
Chart Industries, Inc. * | 7,941 | 495,201 | ||||||
Columbus McKinnon Corp. | 3,124 | 113,807 | ||||||
Commercial Vehicle Group, Inc. * | 14,417 | 103,947 | ||||||
Douglas Dynamics, Inc. | 2,759 | 122,969 | ||||||
Energy Recovery, Inc. * | 7,795 | 72,221 | ||||||
ESCO Technologies, Inc. | 7,019 | 558,432 | ||||||
Federal Signal Corp. | 15,704 | 514,149 | ||||||
Franklin Electric Co., Inc. | 7,062 | 337,634 | ||||||
Harsco Corp. * | 14,883 | 282,182 | ||||||
John Bean Technologies Corp. | 5,606 | 557,405 | ||||||
Kadant, Inc. | 1,365 | 119,833 | ||||||
Kennametal, Inc. | 2,550 | 78,387 | ||||||
Luxfer Holdings plc (United Kingdom) | 9,687 | 150,923 | ||||||
Meritor, Inc. * | 14,053 | 259,980 | ||||||
Mueller Industries, Inc. | 4,668 | 133,878 | ||||||
RBC Bearings, Inc. * | 5,129 | 850,952 | ||||||
Rexnord Corp. * | 9,955 | 269,283 | ||||||
SPX Corp. * | 3,682 | 147,317 | ||||||
TriMas Corp. * | 7,895 | 241,982 | ||||||
Watts Water Technologies, Inc., Class A | 6,487 | 608,026 | ||||||
|
| |||||||
7,072,112 | ||||||||
|
| |||||||
Marine - 0.2% | ||||||||
Genco Shipping & Trading Ltd. * | 13,539 | 124,559 | ||||||
Matson, Inc. | 9,445 | 354,282 | ||||||
|
| |||||||
478,841 | ||||||||
|
| |||||||
Media - 0.9% | ||||||||
Cardlytics, Inc. * | 3,986 | 133,611 | ||||||
EW Scripps Co. (The), Class A | 18,115 | 240,567 | ||||||
Fluent, Inc. * | 42,487 | 116,202 | ||||||
Gray Television, Inc. * | 20,859 | 340,419 | ||||||
Marchex, Inc., Class B * | 27,677 | 86,906 | ||||||
Meredith Corp. | 2,706 | 99,202 | ||||||
MSG Networks, Inc., Class A * | 4,434 | 71,920 | ||||||
National CineMedia, Inc. | 20,851 | 170,978 | ||||||
Scholastic Corp. | 2,861 | 108,031 | ||||||
TechTarget, Inc. * | 4,399 | 99,087 |
INVESTMENTS | SHARES | VALUE | ||||||
Media - 0.9% (continued) | ||||||||
TEGNA, Inc. | 57,678 | $ | 895,739 | |||||
|
| |||||||
2,362,662 | ||||||||
|
| |||||||
Metals & Mining - 0.5% | ||||||||
Cleveland-Cliffs, Inc. | 30,555 | 220,607 | ||||||
Materion Corp. | 5,109 | 313,488 | ||||||
Novagold Resources, Inc. (Canada) * | 82,520 | 500,896 | ||||||
Warrior Met Coal, Inc. | 13,070 | 255,127 | ||||||
|
| |||||||
1,290,118 | ||||||||
|
| |||||||
Multi-Utilities - 1.2% | ||||||||
Black Hills Corp. | 18,597 | 1,426,948 | ||||||
NorthWestern Corp. | 18,119 | 1,359,831 | ||||||
Unitil Corp. | 4,831 | 306,478 | ||||||
|
| |||||||
3,093,257 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.3% | ||||||||
Arch Coal, Inc., Class A | 2,363 | 175,334 | ||||||
Clean Energy Fuels Corp. * | 53,673 | 110,835 | ||||||
CVR Energy, Inc. | 25,090 | 1,104,713 | ||||||
DHT Holdings, Inc. | 36,833 | 226,523 | ||||||
Energy Fuels, Inc. *(a) | 48,902 | 94,381 | ||||||
GasLog Ltd. (Monaco) | 8,559 | 109,983 | ||||||
Par Pacific Holdings, Inc. * | 3,292 | 75,255 | ||||||
REX American Resources Corp. * | 1,920 | 146,554 | ||||||
Scorpio Tankers, Inc. (Monaco) | 11,875 | 353,400 | ||||||
World Fuel Services Corp. | 22,826 | 911,670 | ||||||
|
| |||||||
3,308,648 | ||||||||
|
| |||||||
Personal Products - 0.5% | ||||||||
elf Beauty, Inc. * | 4,798 | 84,013 | ||||||
Inter Parfums, Inc. | 9,566 | 669,333 | ||||||
Lifevantage Corp. * | 14,417 | 197,513 | ||||||
Revlon, Inc., Class A *(a) | 10,048 | 236,027 | ||||||
|
| |||||||
1,186,886 | ||||||||
|
| |||||||
Pharmaceuticals - 1.1% | ||||||||
Amphastar Pharmaceuticals, Inc. * | 11,834 | 234,668 | ||||||
ANI Pharmaceuticals, Inc. * | 2,621 | 191,019 | ||||||
Axsome Therapeutics, Inc. *(a) | 16,290 | 329,710 | ||||||
BioDelivery Sciences International, Inc. * | 48,854 | 205,675 | ||||||
Cara Therapeutics, Inc. * | 12,273 | 224,350 | ||||||
Chiasma, Inc. * | 34,939 | 172,948 | ||||||
CorMedix, Inc. *(a) | 19,639 | 125,297 | ||||||
Dermira, Inc. * | 9,808 | 62,673 | ||||||
Odonate Therapeutics, Inc. * | 3,656 | 95,166 | ||||||
Pacira BioSciences, Inc. * | 10,202 | 388,390 | ||||||
Reata Pharmaceuticals, Inc., Class A * | 9,149 | 734,573 | ||||||
Zogenix, Inc. * | 2,149 | 86,046 | ||||||
Zynerba Pharmaceuticals, Inc. *(a) | 12,093 | 91,423 | ||||||
|
| |||||||
2,941,938 | ||||||||
|
| |||||||
Professional Services - 2.3% | ||||||||
Barrett Business Services, Inc. | 1,303 | 115,732 | ||||||
CBIZ, Inc. * | 11,492 | 270,062 | ||||||
CRA International, Inc. | 2,110 | 88,557 | ||||||
Exponent, Inc. | 15,441 | 1,079,326 | ||||||
FTI Consulting, Inc. * | 11,900 | 1,261,281 | ||||||
Heidrick & Struggles International, Inc. | 3,534 | 96,478 | ||||||
Huron Consulting Group, Inc. * | 6,817 | 418,155 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
100
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Professional Services - 2.3% (continued) | ||||||||
ICF International, Inc. | 5,218 | $ | 440,764 | |||||
Insperity, Inc. | 6,904 | 680,873 | ||||||
Kelly Services, Inc., Class A | 4,082 | 98,866 | ||||||
Kforce, Inc. | 8,739 | 330,640 | ||||||
Mistras Group, Inc. * | 8,171 | 134,004 | ||||||
TriNet Group, Inc. * | 15,467 | 961,893 | ||||||
Willdan Group, Inc. * | 3,674 | 128,884 | ||||||
|
| |||||||
6,105,515 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.3% | ||||||||
Kennedy-Wilson Holdings, Inc. | 28,049 | 614,834 | ||||||
Marcus & Millichap, Inc. * | 7,208 | 255,812 | ||||||
|
| |||||||
870,646 | ||||||||
|
| |||||||
Road & Rail - 0.5% | ||||||||
ArcBest Corp. | 3,759 | 114,462 | ||||||
Avis Budget Group, Inc. * | 4,384 | 123,892 | ||||||
Heartland Express, Inc. | 6,803 | 146,333 | ||||||
Hertz Global Holdings, Inc. * | 25,749 | 356,366 | ||||||
Marten Transport Ltd. | 6,117 | 127,111 | ||||||
Saia, Inc. * | 816 | 76,459 | ||||||
Universal Logistics Holdings, Inc. | 10,576 | 246,209 | ||||||
|
| |||||||
1,190,832 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 3.5% | ||||||||
Adesto Technologies Corp. * | 11,284 | 96,591 | ||||||
Alpha & Omega Semiconductor Ltd. * | 12,820 | 157,430 | ||||||
Ambarella, Inc. * | 10,556 | 663,286 | ||||||
Brooks Automation, Inc. | 10,086 | 373,485 | ||||||
Cabot Microelectronics Corp. | 2,809 | 396,659 | ||||||
Cirrus Logic, Inc. * | 11,372 | 609,312 | ||||||
Diodes, Inc. * | 11,784 | 473,128 | ||||||
Enphase Energy, Inc. * | 38,590 | 857,856 | ||||||
FormFactor, Inc. * | 19,161 | 357,257 | ||||||
Impinj, Inc. * | 10,810 | 333,272 | ||||||
Inphi Corp. * | 15,302 | 934,187 | ||||||
Lattice Semiconductor Corp. * | 53,427 | 976,913 | ||||||
MaxLinear, Inc. * | 18,183 | 406,936 | ||||||
Nanometrics, Inc. * | 3,094 | 100,926 | ||||||
NeoPhotonics Corp. * | 12,452 | 75,833 | ||||||
NVE Corp. | 1,674 | 111,070 | ||||||
PDF Solutions, Inc. * | 10,331 | 135,026 | ||||||
Photronics, Inc. * | 22,755 | 247,574 | ||||||
Power Integrations, Inc. | 2,026 | 183,211 | ||||||
Semtech Corp. * | 10,021 | 487,121 | ||||||
Silicon Laboratories, Inc. * | 4,030 | 448,740 | ||||||
SunPower Corp. *(a) | 40,060 | 439,458 | ||||||
Xperi Corp. | 14,383 | 297,440 | ||||||
|
| |||||||
9,162,711 | ||||||||
|
| |||||||
Software - 6.1% | ||||||||
8x8, Inc. * | 12,491 | 258,814 | ||||||
ACI Worldwide, Inc. * | 28,849 | 903,695 | ||||||
Agilysys, Inc. * | 10,820 | 277,100 | ||||||
Alarm.com Holdings, Inc. * | 7,656 | 357,076 | ||||||
Altair Engineering, Inc., Class A * | 12,266 | 424,649 | ||||||
Appfolio, Inc., Class A * | 9,149 | 870,436 | ||||||
Appian Corp. * | 4,431 | 210,473 | ||||||
Benefitfocus, Inc. * | 3,987 | 94,930 | ||||||
Blackline, Inc. * | 12,641 | 604,366 |
INVESTMENTS | SHARES | VALUE | ||||||
Software - 6.1% (continued) | ||||||||
Bottomline Technologies DE, Inc. * | 2,120 | $ | 83,422 | |||||
Cornerstone OnDemand, Inc. * | 11,815 | 647,698 | ||||||
Digimarc Corp. * | 4,634 | 181,143 | ||||||
Digital Turbine, Inc. * | 67,953 | 437,957 | ||||||
eGain Corp. * | 14,197 | 113,647 | ||||||
Envestnet, Inc. * | 8,814 | 499,754 | ||||||
Everbridge, Inc. * | 9,665 | 596,427 | ||||||
Five9, Inc. * | 15,236 | 818,783 | ||||||
ForeScout Technologies, Inc. * | 2,183 | 82,779 | ||||||
Intelligent Systems Corp. * | 8,097 | 336,349 | ||||||
j2 Global, Inc. | 5,214 | 473,535 | ||||||
LivePerson, Inc. * | 23,244 | 829,811 | ||||||
MobileIron, Inc. * | 44,130 | 288,831 | ||||||
Model N, Inc. * | 8,960 | 248,730 | ||||||
OneSpan, Inc. * | 6,082 | 88,189 | ||||||
Progress Software Corp. | 4,540 | 172,792 | ||||||
PROS Holdings, Inc. * | 12,602 | 751,079 | ||||||
Q2 Holdings, Inc. * | 12,032 | 948,964 | ||||||
QAD, Inc., Class A | 3,254 | 150,270 | ||||||
Rapid7, Inc. * | 15,507 | 703,863 | ||||||
SecureWorks Corp., Class A * | 18,112 | 234,188 | ||||||
SharpSpring, Inc. * | 12,808 | 124,238 | ||||||
SPS Commerce, Inc. * | 12,085 | 568,841 | ||||||
Synchronoss Technologies, Inc. * | 18,043 | 97,432 | ||||||
Telaria, Inc. * | 32,273 | 223,006 | ||||||
Telenav, Inc. * | 20,491 | 97,947 | ||||||
Upland Software, Inc. * | 8,603 | 299,901 | ||||||
Verint Systems, Inc. * | 15,650 | 669,507 | ||||||
Workiva, Inc. * | 15,131 | 663,192 | ||||||
Yext, Inc. * | 5,734 | 91,113 | ||||||
Zix Corp. * | 34,017 | 246,283 | ||||||
|
| |||||||
15,771,210 | ||||||||
|
| |||||||
Specialty Retail - 2.4% | ||||||||
Aaron’s, Inc. | 16,772 | 1,077,769 | ||||||
America’s Car-Mart, Inc. * | 4,344 | 398,345 | ||||||
Asbury Automotive Group, Inc. * | 3,639 | 372,379 | ||||||
Boot Barn Holdings, Inc. * | 9,631 | 336,122 | ||||||
Container Store Group, Inc. (The) * | 21,068 | 93,121 | ||||||
Group 1 Automotive, Inc. | 3,181 | 293,638 | ||||||
Haverty Furniture Cos., Inc. | 5,451 | 110,492 | ||||||
Lithia Motors, Inc., Class A | 5,813 | 769,525 | ||||||
MarineMax, Inc. * | 5,557 | 86,022 | ||||||
Monro, Inc. | 9,618 | 759,918 | ||||||
Murphy USA, Inc. * | 6,728 | 573,898 | ||||||
Rent-A-Center, Inc. | 25,733 | 663,654 | ||||||
RH * | 752 | 128,464 | ||||||
Sleep Number Corp. * | 7,906 | 326,676 | ||||||
Sonic Automotive, Inc., Class A | 7,159 | 224,864 | ||||||
|
| |||||||
6,214,887 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.3% | ||||||||
AstroNova, Inc. | 5,343 | 86,397 | ||||||
Avid Technology, Inc. * | 34,199 | 211,692 | ||||||
Diebold Nixdorf, Inc. * | 13,346 | 149,475 | ||||||
Immersion Corp. * | 12,745 | 97,499 | ||||||
Stratasys Ltd. * | 16,532 | 352,214 | ||||||
|
| |||||||
897,277 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
101
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Textiles, Apparel & Luxury Goods - 0.7% | ||||||||
Crocs, Inc. * | 17,350 | $ | 481,636 | |||||
Deckers Outdoor Corp. * | 6,944 | 1,023,268 | ||||||
Rocky Brands, Inc. | 8,117 | 269,728 | ||||||
Unifi, Inc. * | 3,572 | 78,298 | ||||||
|
| |||||||
1,852,930 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 2.1% | ||||||||
Capitol Federal Financial, Inc. | 27,781 | 382,822 | ||||||
Essent Group Ltd. | 23,830 | 1,135,976 | ||||||
Federal Agricultural Mortgage Corp., Class C | 1,236 | 100,932 | ||||||
First Defiance Financial Corp. | 6,000 | 173,790 | ||||||
Meridian Bancorp, Inc. | 9,061 | 169,894 | ||||||
NMI Holdings, Inc., Class A * | 22,902 | 601,406 | ||||||
Northfield Bancorp, Inc. | 9,328 | 149,808 | ||||||
Northwest Bancshares, Inc. | 10,283 | 168,538 | ||||||
PennyMac Financial Services, Inc. * | 20,820 | 632,512 | ||||||
Radian Group, Inc. | 54,346 | 1,241,263 | ||||||
Washington Federal, Inc. | 5,993 | 221,681 | ||||||
Waterstone Financial, Inc. | 21,385 | 367,394 | ||||||
|
| |||||||
5,346,016 | ||||||||
|
| |||||||
Tobacco - 0.2% | ||||||||
Turning Point Brands, Inc. | 9,284 | 214,089 | ||||||
Universal Corp. | 3,353 | 183,778 | ||||||
|
| |||||||
397,867 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.9% | ||||||||
Aircastle Ltd. | 4,715 | 105,757 | ||||||
Applied Industrial Technologies, Inc. | 2,135 | 121,268 | ||||||
BlueLinx Holdings, Inc. *(a) | 2,918 | 94,339 | ||||||
BMC Stock Holdings, Inc. * | 10,573 | 276,801 | ||||||
DXP Enterprises, Inc. * | 4,397 | 152,664 | ||||||
Foundation Building Materials, Inc. * | 4,524 | 70,077 | ||||||
GATX Corp. | 7,716 | 598,221 | ||||||
Kaman Corp. | 2,836 | 168,629 | ||||||
Lawson Products, Inc. * | 4,656 | 180,327 | ||||||
NOW, Inc. * | 20,665 | 237,027 | ||||||
Systemax, Inc. | 4,200 | 92,442 | ||||||
Triton International Ltd. | 10,151 | 343,510 | ||||||
|
| |||||||
2,441,062 | ||||||||
|
| |||||||
Water Utilities - 1.0% | ||||||||
American States Water Co. | 13,494 | 1,212,571 | ||||||
AquaVenture Holdings Ltd. * | 9,538 | 185,323 | ||||||
California Water Service Group | 11,370 | 601,814 | ||||||
Middlesex Water Co. | 4,865 | 316,031 | ||||||
SJW Group | 3,911 | 267,082 | ||||||
|
| |||||||
2,582,821 | ||||||||
|
| |||||||
Wireless Telecommunication Services - 0.1% | ||||||||
Gogo, Inc. *(a) | 20,007 | 120,642 | ||||||
Shenandoah Telecommunications Co. | 8,620 | 273,858 | ||||||
|
| |||||||
394,500 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 253,935,868 | |||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
SHORT-TERM INVESTMENTS - 2.3% | ||||||||
INVESTMENT COMPANIES - 2.3% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $6,055,854) | 6,056,051 | $ | 6,056,656 | |||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 2.4% | ||||||||
Investment Companies - 2.4% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (c)(d) | 766,784 | 766,784 | ||||||
Limited Purpose Cash Investment Fund 2.01% (c)(d) | 5,502,431 | 5,502,981 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 6,269,765 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.3% | 266,262,289 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.3)% (e) | (5,895,387) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 260,366,902 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 6,862,867 | 2.6 | % | ||||
Consumer Discretionary | 29,853,007 | 11.5 | ||||||
Consumer Staples | 11,946,775 | 4.6 | ||||||
Energy | 4,261,860 | 1.6 | ||||||
Financials | 26,424,227 | 10.1 | ||||||
Health Care | 43,205,667 | 16.6 | ||||||
Industrials | 42,686,444 | 16.4 | ||||||
Information Technology | 43,396,988 | 16.8 | ||||||
Materials | 4,066,049 | 1.6 | ||||||
Real Estate | 23,327,675 | 8.9 | ||||||
Utilities | 17,904,309 | 6.9 | ||||||
Short-Term Investments | 6,056,656 | 2.3 | ||||||
Securities Lending Collateral | 6,269,765 | 2.4 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 266,262,289 | 102.3 | ||||||
Liabilities in Excess of Other Assets (e) | (5,895,387 | ) | (2.3 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 260,366,902 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $6,031,174. |
(b) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $0, which represents approximately 0.00% of net assets of the fund. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
102
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP MOMENTUM STYLE FUND |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(3) | Level 3 security (See Note 4). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | Value and Unrealized Appreciation (Depreciation) | |||||||||||
Long Contracts | ||||||||||||||||
Russell 2000E-Mini Index | 49 | 12/2019 | USD | $3,736,250 | $(141,096 | ) | ||||||||||
|
| |||||||||||||||
$(141,096 | ) | |||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $319,245 | $319,245 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
103
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.8% | ||||||||
Australia - 7.9% | ||||||||
AGL Energy Ltd. | 23,781 | $ | 307,654 | |||||
Alumina Ltd. | 98,075 | 157,129 | ||||||
Aristocrat Leisure Ltd. | 16,084 | 332,538 | ||||||
ASX Ltd. | 10,855 | 594,848 | ||||||
Aurizon Holdings Ltd. | 118,500 | 472,382 | ||||||
AusNet Services | 141,964 | 173,926 | ||||||
Australia & New Zealand Banking Group Ltd. | 52,624 | 1,010,890 | ||||||
BHP Group plc | 148,076 | 3,162,799 | ||||||
Brambles Ltd. | 84,666 | 652,013 | ||||||
CIMIC Group Ltd. | 8,747 | 185,857 | ||||||
Coca-Cola Amatil Ltd. | 36,317 | 261,335 | ||||||
Cochlear Ltd. | 2,874 | 404,442 | ||||||
Coles Group Ltd. | 46,040 | 478,655 | ||||||
Commonwealth Bank of Australia | 83,796 | 4,571,023 | ||||||
Computershare Ltd. | 23,124 | 252,787 | ||||||
Crown Resorts Ltd. | 23,014 | 187,213 | ||||||
CSL Ltd. | 22,793 | 3,603,843 | ||||||
Dexus, REIT | 81,339 | 655,164 | ||||||
Flight Centre Travel Group Ltd. | 6,498 | 208,712 | ||||||
Fortescue Metals Group Ltd. | 168,371 | 1,002,180 | ||||||
Goodman Group, REIT | 176,733 | 1,691,650 | ||||||
GPT Group (The), REIT | 107,502 | 447,037 | ||||||
Insurance Australia Group Ltd. | 85,634 | 456,939 | ||||||
Macquarie Group Ltd. | 17,127 | 1,518,174 | ||||||
Medibank Pvt Ltd. | 92,539 | 212,518 | ||||||
Mirvac Group, REIT | 276,150 | 570,489 | ||||||
National Australia Bank Ltd. | 20,726 | 415,561 | ||||||
Newcrest Mining Ltd. | 59,255 | 1,367,348 | ||||||
Orica Ltd. | 17,801 | 271,078 | ||||||
QBE Insurance Group Ltd. | 57,498 | 487,721 | ||||||
Ramsay Health Care Ltd. | 4,792 | 209,938 | ||||||
REA Group Ltd. | 6,482 | 473,881 | ||||||
Rio Tinto plc | 22,098 | 1,148,712 | ||||||
Santos Ltd. | 128,134 | 668,116 | ||||||
Scentre Group, REIT | 86,792 | 230,263 | ||||||
SEEK Ltd. | 9,990 | 144,909 | ||||||
Sonic Healthcare Ltd. | 20,566 | 389,953 | ||||||
Suncorp Group Ltd. | 19,638 | 180,931 | ||||||
Telstra Corp. Ltd. | 604,689 | 1,433,394 | ||||||
Treasury Wine Estates Ltd. | 14,996 | 188,228 | ||||||
Vicinity Centres, REIT | 114,493 | 198,644 | ||||||
Wesfarmers Ltd. | 70,652 | 1,898,266 | ||||||
Woodside Petroleum Ltd. | 21,340 | 466,218 | ||||||
Woolworths Group Ltd. | 33,704 | 848,115 | ||||||
|
| |||||||
34,593,473 | ||||||||
|
| |||||||
Austria - 0.2% | ||||||||
ANDRITZ AG | 6,457 | 263,867 | ||||||
Verbund AG | 9,306 | 509,179 | ||||||
|
| |||||||
773,046 | ||||||||
|
| |||||||
Belgium - 0.9% | ||||||||
Ageas | 18,084 | 1,002,488 | ||||||
Anheuser-Busch InBev SA/NV | 9,082 | 864,421 | ||||||
Colruyt SA | 12,908 | 707,132 | ||||||
Groupe Bruxelles Lambert SA | 2,194 | 210,598 |
INVESTMENTS | SHARES | VALUE | ||||||
Belgium - 0.9% (continued) | ||||||||
Proximus SADP | 7,418 | $ | 220,418 | |||||
UCB SA | 12,890 | 935,200 | ||||||
|
| |||||||
3,940,257 | ||||||||
|
| |||||||
Canada - 12.2% | ||||||||
Agnico Eagle Mines Ltd. (1) | 23,117 | 1,238,863 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 76,886 | 2,356,170 | ||||||
Atco Ltd., Class I (1) | 3,492 | 127,782 | ||||||
Aurora Cannabis, Inc. (1)*(a) | 30,433 | 133,691 | ||||||
Barrick Gold Corp. (1) | 119,504 | 2,067,428 | ||||||
BCE, Inc. (1) | 54,040 | 2,613,793 | ||||||
Brookfield Asset Management, Inc., Class A (1) | 55,145 | 2,928,219 | ||||||
CAE, Inc. (1) | 27,978 | 710,827 | ||||||
Cameco Corp. (1) | 15,813 | 150,151 | ||||||
Canadian National Railway Co. (1) | 37,895 | 3,402,640 | ||||||
Canadian Pacific Railway Ltd. (1) | 8,659 | 1,924,280 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 1,703 | 191,105 | ||||||
Canadian Utilities Ltd., Class A (1) | 13,369 | 394,052 | ||||||
Canopy Growth Corp. (1)*(a) | 7,318 | 167,643 | ||||||
CCL Industries, Inc., Class B (1) | 4,081 | 164,614 | ||||||
CGI, Inc. (1)* | 20,293 | 1,604,630 | ||||||
Constellation Software, Inc. (1) | 1,641 | 1,638,894 | ||||||
Cronos Group, Inc. (1)*(a) | 32,818 | 296,510 | ||||||
Emera, Inc. (1) | 30,171 | 1,324,486 | ||||||
Empire Co. Ltd., Class A (1) | 36,234 | 981,027 | ||||||
Enbridge, Inc. (1) | 84,623 | 2,970,125 | ||||||
Fairfax Financial Holdings Ltd. (1) | 386 | 170,151 | ||||||
Fortis, Inc. (1) | 45,397 | 1,919,226 | ||||||
Franco-Nevada Corp. (1) | 19,050 | 1,735,831 | ||||||
Gildan Activewear, Inc. (1) | 18,704 | 663,820 | ||||||
H&R REIT, REIT (1) | 21,589 | 376,913 | ||||||
Hydro One Ltd. (1)(b) | 30,089 | 556,199 | ||||||
Intact Financial Corp. (1) | 9,683 | 974,549 | ||||||
International Petroleum Corp. * | 14,226 | 50,798 | ||||||
Kinross Gold Corp. (1)* | 30,388 | 139,915 | ||||||
Loblaw Cos. Ltd. (1) | 23,372 | 1,331,208 | ||||||
Metro, Inc. (1) | 26,536 | 1,168,317 | ||||||
Nutrien Ltd. (1) | 7,203 | 358,832 | ||||||
Onex Corp. (1) | 2,666 | 165,270 | ||||||
Open Text Corp. (1) | 15,652 | 638,438 | ||||||
Pembina Pipeline Corp. (1) | 24,468 | 906,988 | ||||||
Restaurant Brands International, Inc. (1) | 26,719 | 1,899,785 | ||||||
RioCan REIT, REIT (1) | 20,772 | 413,606 | ||||||
Rogers Communications, Inc., Class B (1) | 26,479 | 1,289,723 | ||||||
Royal Bank of Canada (1) | 31,083 | 2,521,410 | ||||||
Shaw Communications, Inc., Class B (1) | 11,563 | 227,184 | ||||||
Shopify, Inc., Class A (1)* | 7,360 | 2,290,469 | ||||||
SmartCentres REIT, REIT (1) | 15,725 | 385,751 | ||||||
TC Energy Corp. (1) | 39,785 | 2,060,045 | ||||||
Thomson Reuters Corp. (1) | 39,570 | 2,644,770 | ||||||
Wheaton Precious Metals Corp. (1) | 18,753 | 491,738 | ||||||
WSP Global, Inc. (1) | 10,798 | 631,082 | ||||||
|
| |||||||
53,398,948 | ||||||||
|
| |||||||
China - 0.0% (c) | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 182,700 | 127,032 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
104
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Denmark - 2.4% | ||||||||
Carlsberg A/S, Class B | 5,906 | $ | 872,777 | |||||
Chr Hansen Holding A/S | 6,913 | 585,626 | ||||||
Coloplast A/S, Class B | 8,442 | 1,015,707 | ||||||
Demant A/S * | 5,727 | 146,611 | ||||||
DSV A/S | 11,619 | 1,104,387 | ||||||
Genmab A/S * | 2,232 | 453,506 | ||||||
Novo Nordisk A/S, Class B | 39,312 | 2,031,494 | ||||||
Novozymes A/S, Class B | 3,754 | 157,897 | ||||||
Orsted A/S (b) | 22,353 | 2,077,905 | ||||||
Tryg A/S | 28,517 | 817,025 | ||||||
Vestas Wind Systems A/S | 13,585 | 1,053,896 | ||||||
|
| |||||||
10,316,831 | ||||||||
|
| |||||||
Finland - 1.0% | ||||||||
Elisa OYJ | 11,401 | 587,770 | ||||||
Fortum OYJ | 27,798 | 657,041 | ||||||
Kone OYJ, Class B | 19,392 | 1,103,606 | ||||||
Neste OYJ | 34,863 | 1,153,430 | ||||||
Nokia OYJ | 68,242 | 344,643 | ||||||
Orion OYJ, Class B | 6,178 | 230,210 | ||||||
UPM-Kymmene OYJ | 9,463 | 279,429 | ||||||
|
| |||||||
4,356,129 | ||||||||
|
| |||||||
France - 9.8% | ||||||||
Accor SA | 3,636 | 151,561 | ||||||
Aeroports de Paris | 1,043 | 185,519 | ||||||
Air Liquide SA | 5,749 | 818,198 | ||||||
Airbus SE | 33,677 | 4,372,235 | ||||||
AXA SA | 23,258 | 593,865 | ||||||
Bouygues SA | 5,122 | 205,119 | ||||||
Capgemini SE | 2,544 | 299,559 | ||||||
Cie Generale des Etablissements Michelin SCA | 4,645 | 517,188 | ||||||
CNP Assurances | 10,550 | 203,875 | ||||||
Credit Agricole SA | 24,445 | 295,877 | ||||||
Danone SA | 2,756 | 242,753 | ||||||
Dassault Systemes SE | 13,270 | 1,890,396 | ||||||
Edenred | 14,443 | 692,828 | ||||||
Electricite de France SA | 62,504 | 699,199 | ||||||
EssilorLuxottica SA | 6,672 | 961,964 | ||||||
Hermes International | 2,446 | 1,689,401 | ||||||
Ipsen SA | 4,868 | 461,810 | ||||||
Kering SA | 2,583 | 1,316,258 | ||||||
Legrand SA | 2,988 | 213,155 | ||||||
L’Oreal SA | 9,921 | 2,774,594 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 16,345 | 6,485,038 | ||||||
Orange SA | 52,517 | 821,993 | ||||||
Pernod Ricard SA | 4,863 | 865,521 | ||||||
Peugeot SA | 17,342 | 432,834 | ||||||
Safran SA | 17,156 | 2,701,218 | ||||||
Sanofi | 39,457 | 3,655,012 | ||||||
Schneider Electric SE | 10,401 | 909,485 | ||||||
SCOR SE | 9,686 | 399,910 | ||||||
SEB SA | 1,036 | 157,236 | ||||||
Sodexo SA | 3,300 | 370,435 | ||||||
Teleperformance | 1,125 | 243,762 | ||||||
Thales SA | 10,010 | 1,150,659 | ||||||
TOTAL SA | 38,584 | 2,008,943 |
INVESTMENTS | SHARES | VALUE | ||||||
France - 9.8% (continued) | ||||||||
Ubisoft Entertainment SA * | 4,740 | $ | 341,709 | |||||
Veolia Environnement SA | 28,559 | 723,446 | ||||||
Vinci SA | 20,644 | 2,223,753 | ||||||
Vivendi SA | 30,525 | 835,248 | ||||||
|
| |||||||
42,911,556 | ||||||||
|
| |||||||
Germany - 7.3% | ||||||||
adidas AG | 7,474 | 2,326,430 | ||||||
Allianz SE (Registered) | 22,304 | 5,191,746 | ||||||
Aroundtown SA | 24,236 | 198,236 | ||||||
Beiersdorf AG | 1,077 | 126,984 | ||||||
Carl Zeiss Meditec AG | 4,343 | 494,995 | ||||||
Delivery Hero SE *(b) | 5,004 | 222,154 | ||||||
Deutsche Boerse AG | 9,893 | 1,542,903 | ||||||
Deutsche Telekom AG (Registered) | 176,473 | 2,959,983 | ||||||
Deutsche Wohnen SE | 12,722 | 464,397 | ||||||
E.ON SE | 97,809 | 950,958 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 3,366 | 285,287 | ||||||
Hannover Rueck SE | 7,005 | 1,183,909 | ||||||
HOCHTIEF AG | 2,273 | 259,032 | ||||||
Merck KGaA | 10,345 | 1,165,361 | ||||||
METRO AG | 13,707 | 216,247 | ||||||
MTU Aero Engines AG | 4,854 | 1,289,792 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 9,765 | 2,522,279 | ||||||
Puma SE | 10,941 | 846,567 | ||||||
RWE AG | 38,686 | 1,209,037 | ||||||
SAP SE | 42,181 | 4,963,580 | ||||||
Symrise AG | 8,607 | 836,676 | ||||||
Volkswagen AG | 1,966 | 337,964 | ||||||
Vonovia SE | 43,455 | 2,204,698 | ||||||
Wirecard AG | 812 | 129,952 | ||||||
|
| |||||||
31,929,167 | ||||||||
|
| |||||||
Hong Kong - 4.0% | ||||||||
AIA Group Ltd. | 594,600 | 5,607,703 | ||||||
CK Asset Holdings Ltd. | 25,000 | 169,377 | ||||||
CLP Holdings Ltd. | 60,500 | 635,909 | ||||||
Hang Lung Properties Ltd. | 113,000 | 256,452 | ||||||
Hang Seng Bank Ltd. | 21,200 | 456,809 | ||||||
Henderson Land Development Co. Ltd. | 84,700 | 394,517 | ||||||
Hong Kong & China Gas Co. Ltd. | 734,495 | 1,431,625 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 38,500 | 1,128,437 | ||||||
Hysan Development Co. Ltd. | 54,000 | 217,762 | ||||||
Link REIT, REIT | 158,500 | 1,748,393 | ||||||
MTR Corp. Ltd. | 61,500 | 344,902 | ||||||
New World Development Co. Ltd. | 333,000 | 432,454 | ||||||
NWS Holdings Ltd. | 152,000 | 235,428 | ||||||
PCCW Ltd. | 302,000 | 169,540 | ||||||
Power Assets Holdings Ltd. | 27,500 | 184,603 | ||||||
Sino Land Co. Ltd. | 222,000 | 333,669 | ||||||
Sun Hung Kai Properties Ltd. | 63,500 | 912,542 | ||||||
Swire Pacific Ltd., Class A | 60,000 | 558,437 | ||||||
Swire Properties Ltd. | 108,400 | 340,203 | ||||||
Techtronic Industries Co. Ltd. | 100,500 | 699,499 | ||||||
Vitasoy International Holdings Ltd. | 42,000 | 170,245 | ||||||
WH Group Ltd. (b) | 537,500 | 481,362 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
105
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Hong Kong - 4.0% (continued) | ||||||||
Wharf Real Estate Investment Co. Ltd. | 47,000 | $ | 256,691 | |||||
Wheelock & Co. Ltd. | 25,000 | 142,429 | ||||||
|
| |||||||
17,308,988 | ||||||||
|
| |||||||
Italy - 2.2% | ||||||||
Assicurazioni Generali SpA | 46,708 | 905,187 | ||||||
Davide Campari-Milano SpA | 53,844 | 486,370 | ||||||
Enel SpA | 443,609 | 3,313,446 | ||||||
Ferrari NV | 11,277 | 1,740,189 | ||||||
Leonardo SpA | 20,965 | 246,444 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 17,231 | 188,090 | ||||||
Moncler SpA | 14,620 | 521,106 | ||||||
Poste Italiane SpA (b) | 41,838 | 475,577 | ||||||
Recordati SpA | 4,915 | 210,798 | ||||||
Snam SpA | 85,811 | 433,451 | ||||||
Terna Rete Elettrica Nazionale SpA | 154,257 | 990,747 | ||||||
|
| |||||||
9,511,405 | ||||||||
|
| |||||||
Japan - 16.6% | ||||||||
Advantest Corp. | 22,500 | 1,003,005 | ||||||
Aeon Mall Co. Ltd. | 10,300 | 162,960 | ||||||
Alfresa Holdings Corp. | 14,100 | 315,929 | ||||||
Amada Holdings Co. Ltd. | 19,900 | 215,646 | ||||||
ANA Holdings, Inc. (a) | 18,600 | 626,625 | ||||||
Asahi Group Holdings Ltd. | 2,900 | 144,023 | ||||||
Asahi Intecc Co. Ltd. | 26,200 | 691,250 | ||||||
Bandai Namco Holdings, Inc. | 18,000 | 1,122,437 | ||||||
Benesse Holdings, Inc. | 7,700 | 200,586 | ||||||
Central Japan Railway Co. | 3,600 | 742,354 | ||||||
Chubu Electric Power Co., Inc. | 9,300 | 134,902 | ||||||
Chugai Pharmaceutical Co. Ltd. | 21,100 | 1,648,906 | ||||||
Chugoku Electric Power Co., Inc. (The) | 34,500 | 443,977 | ||||||
Daifuku Co. Ltd. | 9,300 | 483,843 | ||||||
Daiichi Sankyo Co. Ltd. | 33,300 | 2,104,207 | ||||||
Daikin Industries Ltd. | 8,100 | 1,068,302 | ||||||
Daiwa House REIT Investment Corp., REIT | 45 | 126,602 | ||||||
East Japan Railway Co. | 2,500 | 239,056 | ||||||
FamilyMart Co. Ltd. | 7,900 | 193,023 | ||||||
Fast Retailing Co. Ltd. | 3,700 | 2,207,233 | ||||||
FUJIFILM Holdings Corp. | 20,500 | 903,034 | ||||||
Fujitsu Ltd. | 4,900 | 393,814 | ||||||
GMO Payment Gateway, Inc. | 4,000 | 268,493 | ||||||
Hakuhodo DY Holdings, Inc. | 12,900 | 187,445 | ||||||
Hamamatsu Photonics KK | 9,300 | 346,967 | ||||||
Hikari Tsushin, Inc. | 4,100 | 889,469 | ||||||
Hitachi Chemical Co. Ltd. | 12,100 | 396,917 | ||||||
Hitachi High-Technologies Corp. | 5,400 | 313,903 | ||||||
Hitachi Ltd. | 22,800 | 853,865 | ||||||
Hoya Corp. | 23,200 | 1,900,148 | ||||||
Hulic Co. Ltd. | 19,900 | 204,306 | ||||||
ITOCHU Corp. | 33,600 | 695,978 | ||||||
Itochu Techno-Solutions Corp. | 7,500 | 199,215 | ||||||
Japan Airlines Co. Ltd. | 10,100 | 299,964 | ||||||
Japan Airport Terminal Co. Ltd. | 4,900 | 213,299 | ||||||
Japan Prime Realty Investment Corp., REIT | 123 | 583,723 | ||||||
Japan Real Estate Investment Corp., REIT | 154 | 1,032,771 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 16.6% (continued) | ||||||||
Japan Retail Fund Investment Corp., REIT | 198 | $ | 418,968 | |||||
Kakaku.com, Inc. | 18,700 | 461,955 | ||||||
Kamigumi Co. Ltd. | 9,000 | 204,444 | ||||||
Kao Corp. | 8,100 | 600,833 | ||||||
Keihan Holdings Co. Ltd. | 10,300 | 458,951 | ||||||
Keio Corp. | 7,200 | 449,578 | ||||||
Keisei Electric Railway Co. Ltd. | 12,000 | 495,398 | ||||||
Keyence Corp. | 4,180 | 2,601,868 | ||||||
Kikkoman Corp. | 7,200 | 345,417 | ||||||
Kintetsu Group Holdings Co. Ltd. | 6,100 | 318,409 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 2,900 | 221,475 | ||||||
Konami Holdings Corp. | 4,800 | 232,529 | ||||||
Konica Minolta, Inc. | 17,600 | 123,139 | ||||||
Kurita Water Industries Ltd. | 6,600 | 177,683 | ||||||
Kyocera Corp. | 15,500 | 966,434 | ||||||
Kyowa Kirin Co. Ltd. | 7,700 | 149,952 | ||||||
Kyushu Railway Co. | 6,500 | 207,479 | ||||||
Lion Corp. | 9,500 | 187,933 | ||||||
Marui Group Co. Ltd. | 14,900 | 315,692 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 11,000 | 532,811 | ||||||
Medipal Holdings Corp. | 8,800 | 196,436 | ||||||
MEIJI Holdings Co. Ltd. | 2,300 | 168,239 | ||||||
Mitsubishi Corp. | 5,000 | 123,115 | ||||||
Mitsubishi Estate Co. Ltd. | 25,600 | 495,015 | ||||||
Mitsubishi Heavy Industries Ltd. | 15,500 | 609,280 | ||||||
Mitsui & Co. Ltd. | 8,600 | 141,267 | ||||||
Mitsui Fudosan Co. Ltd. | 7,700 | 191,631 | ||||||
MonotaRO Co. Ltd. | 5,500 | 145,080 | ||||||
MS&AD Insurance Group Holdings, Inc. | 6,300 | 204,776 | ||||||
Murata Manufacturing Co. Ltd. | 2,700 | 130,862 | ||||||
Nintendo Co. Ltd. | 400 | 148,999 | ||||||
Nippon Building Fund, Inc., REIT | 184 | 1,413,700 | ||||||
Nippon Express Co. Ltd. | 3,900 | 199,745 | ||||||
Nippon Prologis REIT, Inc., REIT (a) | 142 | 389,377 | ||||||
Nippon Telegraph & Telephone Corp. | 43,200 | 2,066,848 | ||||||
Nissan Chemical Corp. | 10,400 | 435,456 | ||||||
Nisshin Seifun Group, Inc. | 21,700 | 402,386 | ||||||
Nissin Foods Holdings Co. Ltd. | 3,400 | 246,401 | ||||||
Nitori Holdings Co. Ltd. | 1,100 | 161,425 | ||||||
Nomura Real Estate Holdings, Inc. | 8,600 | 186,428 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | 277 | 500,314 | ||||||
Nomura Research Institute Ltd. | 21,000 | 419,621 | ||||||
NTT DOCOMO, Inc. | 10,000 | 255,346 | ||||||
Obic Co. Ltd. | 8,700 | 996,948 | ||||||
Odakyu Electric Railway Co. Ltd. | 9,000 | 216,182 | ||||||
Olympus Corp. | 57,300 | 776,294 | ||||||
Omron Corp. (a) | 6,200 | 341,652 | ||||||
Oracle Corp. Japan | 3,200 | 278,964 | ||||||
Oriental Land Co. Ltd. | 15,500 | 2,362,440 | ||||||
Pan Pacific International Holdings Corp. | 42,800 | 716,575 | ||||||
Park24 Co. Ltd. | 8,600 | 199,787 | ||||||
PeptiDream, Inc. * | 7,900 | 377,614 | ||||||
Rakuten, Inc. | 71,900 | 712,714 | ||||||
Recruit Holdings Co. Ltd. | 47,700 | 1,457,402 | ||||||
Sankyo Co. Ltd. | 7,700 | 264,968 | ||||||
Santen Pharmaceutical Co. Ltd. | 12,000 | 209,707 | ||||||
Secom Co. Ltd. | 8,100 | 741,198 | ||||||
Sega Sammy Holdings, Inc. | 13,200 | 185,172 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
106
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 16.6% (continued) | ||||||||
Sekisui Chemical Co. Ltd. | 14,500 | $ | 225,650 | |||||
SG Holdings Co. Ltd. | 18,400 | 450,912 | ||||||
Shimadzu Corp. | 7,900 | 200,874 | ||||||
Shimano, Inc. | 1,700 | 256,877 | ||||||
Shin-Etsu Chemical Co. Ltd. | 7,300 | 785,556 | ||||||
Shionogi & Co. Ltd. | 12,000 | 669,036 | ||||||
Shiseido Co. Ltd. | 10,000 | 802,592 | ||||||
SMC Corp. (a) | 500 | 214,914 | ||||||
SoftBank Group Corp. | 52,700 | 2,079,564 | ||||||
Sony Financial Holdings, Inc. | 29,900 | 651,044 | ||||||
Stanley Electric Co. Ltd. | 5,600 | 149,159 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 7,300 | 120,781 | ||||||
Sumitomo Realty & Development Co. Ltd. | 14,000 | 534,465 | ||||||
Suzuken Co. Ltd. | 8,000 | 430,637 | ||||||
Taiyo Nippon Sanso Corp. | 12,200 | 247,966 | ||||||
Terumo Corp. | 35,200 | 1,139,009 | ||||||
Tobu Railway Co. Ltd. | 7,400 | 240,402 | ||||||
Toho Co. Ltd. | 9,400 | 412,611 | ||||||
Toho Gas Co. Ltd. | 13,100 | 502,411 | ||||||
Tokio Marine Holdings, Inc. | 45,300 | 2,430,216 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 38,800 | 190,297 | ||||||
Tokyo Electron Ltd. | 1,600 | 307,398 | ||||||
Tokyu Corp. | 11,600 | 218,212 | ||||||
Toyo Seikan Group Holdings Ltd. | 9,200 | 143,563 | ||||||
Toyoda Gosei Co. Ltd. | 7,500 | 150,985 | ||||||
Toyota Motor Corp. | 58,100 | 3,902,011 | ||||||
Trend Micro, Inc. | 3,100 | 148,144 | ||||||
Unicharm Corp. | 12,200 | 387,765 | ||||||
United Urban Investment Corp., REIT | 235 | 450,203 | ||||||
USS Co. Ltd. | 10,400 | 202,535 | ||||||
West Japan Railway Co. | 6,900 | 583,817 | ||||||
Yakult Honsha Co. Ltd. | 3,300 | 185,255 | ||||||
Yamaha Corp. | 9,500 | 428,308 | ||||||
Yokogawa Electric Corp. | 8,500 | 156,194 | ||||||
|
| |||||||
72,097,852 | ||||||||
|
| |||||||
Macau - 0.1% | ||||||||
SJM Holdings Ltd. | 299,000 | 283,967 | ||||||
|
| |||||||
Netherlands - 3.0% | ||||||||
Adyen NV *(b) | 839 | 551,747 | ||||||
Akzo Nobel NV | 8,619 | 767,976 | ||||||
ASML Holding NV | 15,485 | 3,840,488 | ||||||
EXOR NV | 4,482 | 300,173 | ||||||
Heineken NV | 5,996 | 647,641 | ||||||
Koninklijke Ahold Delhaize NV | 38,989 | 975,023 | ||||||
Koninklijke DSM NV | 10,723 | 1,290,855 | ||||||
Koninklijke KPN NV | 126,633 | 394,644 | ||||||
Koninklijke Philips NV | 20,488 | 946,731 | ||||||
NN Group NV | 22,459 | 795,915 | ||||||
Royal Dutch Shell plc, Class A | 18,945 | 555,618 | ||||||
Wolters Kluwer NV | 29,135 | 2,125,836 | ||||||
|
| |||||||
13,192,647 | ||||||||
|
| |||||||
Norway - 0.5% | ||||||||
Gjensidige Forsikring ASA | 12,009 | 238,167 | ||||||
Mowi ASA | 29,844 | 689,313 | ||||||
Orkla ASA | 13,740 | 125,025 | ||||||
Schibsted ASA, Class B | 11,928 | 334,508 |
INVESTMENTS | SHARES | VALUE | ||||||
Norway - 0.5% (continued) | ||||||||
Telenor ASA | 29,385 | $ | 589,578 | |||||
Yara International ASA | 4,702 | 202,726 | ||||||
|
| |||||||
2,179,317 | ||||||||
|
| |||||||
Russia - 0.0% (c) | ||||||||
Evraz plc | 35,532 | 204,507 | ||||||
|
| |||||||
Singapore - 1.1% | ||||||||
Ascendas REIT, REIT | 181,000 | 408,774 | ||||||
CapitaLand Commercial Trust, REIT | 269,200 | 403,363 | ||||||
CapitaLand Ltd. | 83,200 | 212,674 | ||||||
CapitaLand Mall Trust, REIT | 205,200 | 390,639 | ||||||
ComfortDelGro Corp. Ltd. | 125,500 | 218,051 | ||||||
DBS Group Holdings Ltd. | 44,800 | 810,483 | ||||||
Jardine Cycle & Carriage Ltd. | 6,800 | 147,687 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 61,600 | 484,262 | ||||||
Singapore Airlines Ltd. | 25,600 | 169,325 | ||||||
Singapore Technologies Engineering Ltd. | 74,000 | 205,699 | ||||||
Singapore Telecommunications Ltd. | 104,600 | 234,694 | ||||||
United Overseas Bank Ltd. | 33,100 | 615,164 | ||||||
UOL Group Ltd. | 27,100 | 147,165 | ||||||
Venture Corp. Ltd. | 16,500 | 182,959 | ||||||
Wilmar International Ltd. | 75,800 | 204,583 | ||||||
|
| |||||||
4,835,522 | ||||||||
|
| |||||||
South Africa - 0.5% | ||||||||
Anglo American plc | 101,961 | 2,343,267 | ||||||
|
| |||||||
Spain - 2.2% | ||||||||
Aena SME SA (b) | 1,055 | 193,121 | ||||||
Amadeus IT Group SA | 7,283 | 521,838 | ||||||
Cellnex Telecom SA *(b) | 18,264 | 754,368 | ||||||
Endesa SA | 47,254 | 1,243,050 | ||||||
Ferrovial SA | 22,417 | 647,700 | ||||||
Iberdrola SA | 368,797 | 3,833,190 | ||||||
Naturgy Energy Group SA | 49,654 | 1,316,962 | ||||||
Red Electrica Corp. SA | 43,896 | 889,146 | ||||||
|
| |||||||
9,399,375 | ||||||||
|
| |||||||
Sweden - 2.5% | ||||||||
Alfa Laval AB | 18,809 | 370,991 | ||||||
Assa Abloy AB, Class B | 35,833 | 796,609 | ||||||
Atlas Copco AB, Class A | 17,322 | 533,399 | ||||||
Essity AB, Class B | 24,036 | 701,332 | ||||||
Hennes & Mauritz AB, Class B (a) | 52,396 | 1,015,663 | ||||||
Hexagon AB, Class B | 7,568 | 364,551 | ||||||
Husqvarna AB, Class B | 26,290 | 199,932 | ||||||
ICA Gruppen AB | 10,660 | 492,317 | ||||||
Industrivarden AB, Class C | 9,805 | 214,495 | ||||||
Investor AB, Class B | 21,443 | 1,047,217 | ||||||
Kinnevik AB, Class B | 5,531 | 145,420 | ||||||
L E Lundbergforetagen AB, Class B | 4,698 | 176,688 | ||||||
Sandvik AB | 23,575 | 367,015 | ||||||
Securitas AB, Class B | 12,926 | 197,936 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 49,768 | 457,303 | ||||||
Swedish Match AB | 15,161 | 627,029 | ||||||
Tele2 AB, Class B | 65,160 | 969,087 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 185,170 | 1,478,829 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
107
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Sweden - 2.5% (continued) | ||||||||
Telia Co. AB | 163,273 | $ | 730,402 | |||||
|
| |||||||
10,886,215 | ||||||||
|
| |||||||
Switzerland - 13.1% | ||||||||
Alcon, Inc. * | 10,240 | 597,298 | ||||||
Baloise Holding AG (Registered) | 3,867 | 692,869 | ||||||
Barry Callebaut AG (Registered) | 284 | 585,758 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 100 | 738,569 | ||||||
Coca-Cola HBC AG * | 15,239 | 497,714 | ||||||
EMS-Chemie Holding AG (Registered) | 463 | 288,494 | ||||||
Geberit AG (Registered) | 408 | 194,977 | ||||||
Givaudan SA (Registered) | 447 | 1,247,587 | ||||||
Kuehne + Nagel International AG (Registered) | 1,463 | 215,284 | ||||||
LafargeHolcim Ltd. (Registered) * | 10,635 | 523,708 | ||||||
Lonza Group AG (Registered) * | 2,228 | 753,980 | ||||||
Nestle SA (Registered) | 164,661 | 17,858,233 | ||||||
Novartis AG (Registered) | 118,049 | 10,245,117 | ||||||
Partners Group Holding AG | 1,893 | 1,453,741 | ||||||
Roche Holding AG | 37,432 | 10,898,877 | ||||||
SGS SA (Registered) | 122 | 302,429 | ||||||
Sika AG (Registered) | 8,410 | 1,230,483 | ||||||
Sonova Holding AG (Registered) | 3,538 | 823,225 | ||||||
Straumann Holding AG (Registered) | 782 | 639,636 | ||||||
Swiss Life Holding AG (Registered) | 3,645 | 1,742,676 | ||||||
Swiss Re AG | 14,202 | 1,481,891 | ||||||
Swisscom AG (Registered) | 281 | 138,638 | ||||||
Temenos AG (Registered) * | 3,131 | 524,286 | ||||||
Vifor Pharma AG | 1,761 | 281,459 | ||||||
Zurich Insurance Group AG | 8,168 | 3,128,409 | ||||||
|
| |||||||
57,085,338 | ||||||||
|
| |||||||
United Arab Emirates - 0.1% | ||||||||
NMC Health plc | 13,256 | 441,811 | ||||||
|
| |||||||
United Kingdom - 8.9% | ||||||||
3i Group plc | 56,789 | 812,785 | ||||||
Admiral Group plc | 13,052 | 339,410 | ||||||
Ashtead Group plc | 29,553 | 821,855 | ||||||
AstraZeneca plc | 80,625 | 7,198,934 | ||||||
Auto Trader Group plc (b) | 68,687 | 430,507 | ||||||
Aviva plc | 36,331 | 178,356 | ||||||
BAE Systems plc | 68,337 | 478,584 | ||||||
Barratt Developments plc | 36,186 | 288,064 | ||||||
Berkeley Group Holdings plc | 3,803 | 195,263 | ||||||
BP plc | 256,540 | 1,624,094 | ||||||
British American Tobacco plc | 7,024 | 259,398 | ||||||
BT Group plc | 75,609 | 165,842 | ||||||
Bunzl plc | 10,364 | 270,909 | ||||||
Burberry Group plc | 8,832 | 235,917 | ||||||
Compass Group plc | 63,198 | 1,626,257 | ||||||
Croda International plc | 4,518 | 269,887 | ||||||
DCC plc | 1,961 | 171,027 | ||||||
Diageo plc | 115,080 | 4,701,056 | ||||||
Direct Line Insurance Group plc | 141,918 | 523,608 | ||||||
easyJet plc | 16,101 | 227,245 | ||||||
Experian plc | 32,046 | 1,024,803 | ||||||
GlaxoSmithKline plc | 188,305 | 4,036,245 | ||||||
Hargreaves Lansdown plc | 23,127 | 590,480 |
INVESTMENTS | SHARES | VALUE | ||||||
United Kingdom - 8.9% (continued) | ||||||||
HSBC Holdings plc | 128,331 | $ | 983,306 | |||||
InterContinental Hotels Group plc | 4,113 | 256,673 | ||||||
Intertek Group plc | 14,454 | 972,931 | ||||||
ITV plc | 141,143 | 218,619 | ||||||
Legal & General Group plc | 133,260 | 406,752 | ||||||
Micro Focus International plc | 12,496 | 175,596 | ||||||
Mondi plc | 10,030 | 192,049 | ||||||
National Grid plc | 111,896 | 1,211,533 | ||||||
Next plc | 3,026 | 230,023 | ||||||
Pearson plc | 27,946 | 253,419 | ||||||
Prudential plc | 29,533 | 535,174 | ||||||
Reckitt Benckiser Group plc | 4,680 | 365,412 | ||||||
RELX plc | 26,060 | 618,918 | ||||||
Rolls-Royce Holdings plc * | 26,282 | 255,378 | ||||||
Sage Group plc (The) | 48,044 | 408,286 | ||||||
Smith & Nephew plc | 45,553 | 1,097,004 | ||||||
St James’s Place plc | 14,155 | 170,252 | ||||||
Tesco plc | 375,661 | 1,110,631 | ||||||
Unilever plc | 30,536 | 1,835,274 | ||||||
United Utilities Group plc | 35,450 | 359,836 | ||||||
Vodafone Group plc | 114,341 | 227,802 | ||||||
Whitbread plc | 7,536 | 397,744 | ||||||
|
| |||||||
38,753,138 | ||||||||
|
| |||||||
United States - 0.3% | ||||||||
Bausch Health Cos., Inc. (1)* | 15,831 | 345,334 | ||||||
Ferguson plc | 7,344 | 535,971 | ||||||
QIAGEN NV * | 12,681 | 415,286 | ||||||
|
| |||||||
1,296,591 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 422,166,379 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.3% | ||||||||
INVESTMENT COMPANIES - 2.3% | ||||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 1.79% (1)(d) | 15 | 15 | ||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(d) | 10,007,330 | 10,008,331 | ||||||
|
| |||||||
TOTALSHORT-TERM INVESTMENTS | 10,008,346 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.3% | ||||||||
Investment Companies - 0.3% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (1)(d)(e) | 142,314 | 142,314 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
108
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Investment Companies - 0.3% (continued) | ||||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (1)(d)(e) | 1,021,247 | $ | 1,021,350 | |||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 1,163,664 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.4% | 433,338,389 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.6% (f) | 2,653,452 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 435,991,841 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 23,262,042 | 5.3 | % | ||||
Consumer Discretionary | 43,321,999 | 9.9 | ||||||
Consumer Staples | 51,721,108 | 11.9 | ||||||
Energy | 12,614,526 | 2.9 | ||||||
Financials | 60,545,512 | 13.9 | ||||||
Health Care | 65,457,570 | 15.0 | ||||||
Industrials | 55,033,984 | 12.6 | ||||||
Information Technology | 33,056,321 | 7.6 | ||||||
Materials | 26,555,289 | 6.1 | ||||||
Real Estate | 21,852,851 | 5.0 | ||||||
Utilities | 28,745,177 | 6.6 | ||||||
Short-Term Investments | 10,008,346 | 2.3 | ||||||
Securities Lending Collateral | 1,163,664 | 0.3 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 433,338,389 | 99.4 | ||||||
Other Assets in Excess of Liabilities (f) | 2,653,452 | 0.6 | ||||||
|
|
|
| |||||
Net Assets | $ | 435,991,841 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $2,925,656. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $5,742,940, which represents approximately 1.32% of net assets of the fund. |
(c) | Represents less than 0.05% of net assets. |
(d) | Represents 7-day effective yield as of September 30, 2019. |
(e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $2,017,516 was received. (See Note 3). |
(f) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts | ||||||||||||||||
MSCI EAFEE-Mini Index | 112 | 12/2019 | USD | $10,631,040 | $(38,292 | ) | ||||||||||
|
| |||||||||||||||
$(38,292 | ) | |||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $630,180 | $630,180 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
109
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.2% | ||||||||
Aerospace & Defense - 3.6% | ||||||||
Boeing Co. (The) | 4,224 | $ | 1,607,105 | |||||
BWX Technologies, Inc. | 1,737 | 99,374 | ||||||
General Dynamics Corp. | 5,269 | 962,804 | ||||||
HEICO Corp. | 532 | 66,436 | ||||||
Huntington Ingalls Industries, Inc. | 1,500 | 317,685 | ||||||
L3Harris Technologies, Inc. | 1,256 | 262,052 | ||||||
Lockheed Martin Corp. | 6,149 | 2,398,479 | ||||||
Northrop Grumman Corp. | 5,628 | 2,109,318 | ||||||
Teledyne Technologies, Inc. * | 513 | 165,181 | ||||||
Textron, Inc. | 2,100 | 102,816 | ||||||
TransDigm Group, Inc. | 597 | 310,840 | ||||||
|
| |||||||
8,402,090 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.1% | ||||||||
FedEx Corp. | 1,700 | 247,469 | ||||||
|
| |||||||
Airlines - 0.6% | ||||||||
Alaska Air Group, Inc. | 1,420 | 92,172 | ||||||
Delta Air Lines, Inc. | 7,213 | 415,469 | ||||||
Southwest Airlines Co. | 9,927 | 536,157 | ||||||
United Airlines Holdings, Inc. * | 2,545 | 225,004 | ||||||
|
| |||||||
1,268,802 | ||||||||
|
| |||||||
Banks - 0.8% | ||||||||
Bank of America Corp. | 4,850 | 141,475 | ||||||
Comerica, Inc. | 1,500 | 98,985 | ||||||
Fifth Third Bancorp | 4,544 | 124,415 | ||||||
First Republic Bank | 4,040 | 390,668 | ||||||
Huntington Bancshares, Inc. | 10,400 | 148,408 | ||||||
JPMorgan Chase & Co. | 5,767 | 678,718 | ||||||
SVB Financial Group * | 973 | 203,308 | ||||||
|
| |||||||
1,785,977 | ||||||||
|
| |||||||
Beverages - 2.7% | ||||||||
Coca-Cola Co. (The) | 50,708 | 2,760,544 | ||||||
Constellation Brands, Inc., Class A | 4,147 | 859,590 | ||||||
Monster Beverage Corp. * | 4,800 | 278,688 | ||||||
PepsiCo, Inc. | 16,931 | 2,321,240 | ||||||
|
| |||||||
6,220,062 | ||||||||
|
| |||||||
Biotechnology - 0.6% | ||||||||
Amgen, Inc. | 847 | 163,903 | ||||||
Exact Sciences Corp. * | 3,891 | 351,630 | ||||||
Incyte Corp. * | 2,919 | 216,677 | ||||||
Ionis Pharmaceuticals, Inc. * | 3,549 | 212,620 | ||||||
Neurocrine Biosciences, Inc. * | 810 | 72,989 | ||||||
Regeneron Pharmaceuticals, Inc. * | 239 | 66,299 | ||||||
Vertex Pharmaceuticals, Inc. * | 2,305 | 390,513 | ||||||
|
| |||||||
1,474,631 | ||||||||
|
| |||||||
Building Products - 0.4% | ||||||||
AO Smith Corp. | 4,045 | 192,987 | ||||||
Armstrong World Industries, Inc. (a) | 3,593 | 347,443 | ||||||
Fortune Brands Home & Security, Inc. (a) | 1,893 | 103,547 | ||||||
Lennox International, Inc. | 462 | 112,252 | ||||||
Masco Corp. | 2,921 | 121,748 | ||||||
|
| |||||||
877,977 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Capital Markets - 2.4% | ||||||||
BlackRock, Inc. | 365 | $ | 162,659 | |||||
Cboe Global Markets, Inc. | 1,552 | 178,340 | ||||||
CME Group, Inc. | 5,657 | 1,195,550 | ||||||
E*TRADE Financial Corp. | 14,506 | 633,767 | ||||||
Interactive Brokers Group, Inc., Class A | 2,818 | 151,552 | ||||||
Intercontinental Exchange, Inc. | 4,335 | 399,990 | ||||||
LPL Financial Holdings, Inc. | 9,563 | 783,210 | ||||||
MarketAxess Holdings, Inc. | 1,154 | 377,935 | ||||||
Moody’s Corp. | 2,295 | 470,085 | ||||||
Morningstar, Inc. | 493 | 72,047 | ||||||
MSCI, Inc. | 1,038 | 226,025 | ||||||
Northern Trust Corp. | 2,636 | 245,992 | ||||||
S&P Global, Inc. | 3,044 | 745,719 | ||||||
|
| |||||||
5,642,871 | ||||||||
|
| |||||||
Chemicals - 1.1% | ||||||||
Air Products & Chemicals, Inc. | 1,909 | 423,531 | ||||||
Ecolab, Inc. | 4,488 | 888,803 | ||||||
Linde plc (United Kingdom) | 1,979 | 383,372 | ||||||
PPG Industries, Inc. | 2,626 | 311,207 | ||||||
Scotts Miracle-Gro Co. (The) | 658 | 66,998 | ||||||
Sherwin-Williams Co. (The) | 961 | 528,425 | ||||||
|
| |||||||
2,602,336 | ||||||||
|
| |||||||
Commercial Services & Supplies - 0.7% | ||||||||
Cintas Corp. | 848 | 227,349 | ||||||
Clean Harbors, Inc. * | 969 | 74,807 | ||||||
Copart, Inc. * | 2,139 | 171,826 | ||||||
Republic Services, Inc. | 6,393 | 553,314 | ||||||
Waste Management, Inc. | 5,772 | 663,780 | ||||||
|
| |||||||
1,691,076 | ||||||||
|
| |||||||
Communications Equipment - 1.4% | ||||||||
Arista Networks, Inc. * | 3,346 | 799,426 | ||||||
Cisco Systems, Inc. | 36,689 | 1,812,804 | ||||||
F5 Networks, Inc. * | 1,500 | 210,630 | ||||||
Motorola Solutions, Inc. | 1,279 | 217,954 | ||||||
Ubiquiti, Inc. | 2,306 | 272,708 | ||||||
|
| |||||||
3,313,522 | ||||||||
|
| |||||||
Construction & Engineering - 0.0% (b) | ||||||||
Jacobs Engineering Group, Inc. | 776 | 71,004 | ||||||
|
| |||||||
Construction Materials - 0.1% | ||||||||
Vulcan Materials Co. (a) | 1,445 | 218,542 | ||||||
|
| |||||||
Consumer Finance - 0.7% | ||||||||
American Express Co. | 3,959 | 468,271 | ||||||
Credit Acceptance Corp. * | 746 | 344,137 | ||||||
Discover Financial Services | 3,539 | 286,977 | ||||||
Santander Consumer USA Holdings, Inc. | 18,692 | 476,833 | ||||||
|
| |||||||
1,576,218 | ||||||||
|
| |||||||
Containers & Packaging - 0.2% | ||||||||
AptarGroup, Inc. | 567 | 67,161 | ||||||
Ball Corp. | 5,644 | 410,940 | ||||||
|
| |||||||
478,101 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
110
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Diversified Consumer Services - 0.4% | ||||||||
Bright Horizons Family Solutions, Inc. * | 2,462 | $ | 375,455 | |||||
Graham Holdings Co., Class B | 138 | 91,556 | ||||||
Service Corp. International (a) | 1,560 | 74,583 | ||||||
ServiceMaster Global Holdings, Inc. * | 5,872 | 328,245 | ||||||
|
| |||||||
869,839 | ||||||||
|
| |||||||
Diversified Financial Services - 0.0% (b) | ||||||||
Berkshire Hathaway, Inc., Class B * | 365 | 75,927 | ||||||
|
| |||||||
Diversified Telecommunication Services - 0.3% | ||||||||
Verizon Communications, Inc. | 12,450 | 751,482 | ||||||
|
| |||||||
Electric Utilities - 4.4% | ||||||||
Alliant Energy Corp. (a) | 13,865 | 747,739 | ||||||
American Electric Power Co., Inc. | 11,776 | 1,103,293 | ||||||
Avangrid, Inc. (a) | 2,699 | 141,023 | ||||||
Duke Energy Corp. | 3,519 | 337,331 | ||||||
Entergy Corp. | 6,202 | 727,867 | ||||||
Evergy, Inc. | 5,345 | 355,763 | ||||||
Eversource Energy | 9,302 | 795,042 | ||||||
FirstEnergy Corp. | 21,735 | 1,048,279 | ||||||
Hawaiian Electric Industries, Inc. | 8,069 | 368,027 | ||||||
NextEra Energy, Inc. | 9,730 | 2,266,993 | ||||||
OGE Energy Corp. | 4,396 | 199,491 | ||||||
Pinnacle West Capital Corp. | 2,560 | 248,499 | ||||||
Southern Co. (The) (a) | �� | 9,499 | 586,753 | |||||
Xcel Energy, Inc. | 17,237 | 1,118,509 | ||||||
|
| |||||||
10,044,609 | ||||||||
|
| |||||||
Electrical Equipment - 0.1% | ||||||||
Eaton Corp. plc | 2,334 | 194,072 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.4% | ||||||||
Cognex Corp. | 2,862 | 140,610 | ||||||
Corning, Inc. | 11,812 | 336,878 | ||||||
Dolby Laboratories, Inc., Class A | 1,816 | 117,386 | ||||||
Keysight Technologies, Inc. * | 1,638 | 159,296 | ||||||
Zebra Technologies Corp., Class A * | 696 | 143,634 | ||||||
|
| |||||||
897,804 | ||||||||
|
| |||||||
Entertainment - 2.3% | ||||||||
Activision Blizzard, Inc. | 10,763 | 569,578 | ||||||
Electronic Arts, Inc. * | 6,096 | 596,311 | ||||||
Live Nation Entertainment, Inc. * | 3,452 | 229,006 | ||||||
Madison Square Garden Co. (The), Class A * | 316 | 83,272 | ||||||
Netflix, Inc. * | 4,691 | 1,255,405 | ||||||
Take-Two Interactive Software, Inc. * | 733 | 91,874 | ||||||
Walt Disney Co. (The) | 19,487 | 2,539,546 | ||||||
|
| |||||||
5,364,992 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 7.6% | ||||||||
American Campus Communities, Inc. | 2,957 | 142,173 | ||||||
American Tower Corp. | 8,424 | 1,862,799 | ||||||
Americold Realty Trust | 20,366 | 754,968 | ||||||
Apartment Investment & Management Co., Class A | 4,141 | 215,912 | ||||||
AvalonBay Communities, Inc. | 3,362 | 723,939 | ||||||
Camden Property Trust | 1,997 | 221,687 |
INVESTMENTS | SHARES | VALUE | ||||||
Equity Real Estate Investment Trusts (REITs) - 7.6% (continued) | ||||||||
Crown Castle International Corp. | 4,065 | $ | 565,076 | |||||
CubeSmart | 6,412 | 223,779 | ||||||
CyrusOne, Inc. | 1,564 | 123,712 | ||||||
Digital Realty Trust, Inc. (a) | 4,081 | 529,755 | ||||||
Duke Realty Corp. | 3,458 | 117,468 | ||||||
EPR Properties | 1,957 | 150,415 | ||||||
Equinix, Inc. (a) | 459 | 264,751 | ||||||
Equity LifeStyle Properties, Inc. | 9,224 | 1,232,326 | ||||||
Equity Residential | 6,045 | 521,442 | ||||||
Essex Property Trust, Inc. | 1,860 | 607,569 | ||||||
Extra Space Storage, Inc. | 5,267 | 615,291 | ||||||
HCP, Inc. | 9,762 | 347,820 | ||||||
Kimco Realty Corp. | 6,748 | 140,898 | ||||||
Lamar Advertising Co., Class A | 852 | 69,804 | ||||||
Liberty Property Trust | 11,453 | 587,883 | ||||||
Life Storage, Inc. | 691 | 72,838 | ||||||
Medical Properties Trust, Inc. | 5,699 | 111,472 | ||||||
Mid-America Apartment Communities, Inc. | 4,260 | 553,843 | ||||||
National Retail Properties, Inc. | 7,777 | 438,623 | ||||||
Omega Healthcare Investors, Inc. | 1,796 | 75,055 | ||||||
Outfront Media, Inc. | 10,757 | 298,829 | ||||||
Public Storage | 3,890 | 954,100 | ||||||
Realty Income Corp. | 8,612 | 660,368 | ||||||
SBA Communications Corp. | 2,907 | 701,023 | ||||||
Spirit Realty Capital, Inc. | 11,886 | 568,864 | ||||||
STORE Capital Corp. | 8,339 | 311,962 | ||||||
Sun Communities, Inc. | 7,293 | 1,082,646 | ||||||
UDR, Inc. | 5,666 | 274,688 | ||||||
Ventas, Inc. | 2,821 | 206,018 | ||||||
Welltower, Inc. | 8,126 | 736,622 | ||||||
WP Carey, Inc. | 4,404 | 394,158 | ||||||
|
| |||||||
17,460,576 | ||||||||
|
| |||||||
Food & Staples Retailing - 2.9% | ||||||||
Casey’s General Stores, Inc. | 5,641 | 909,104 | ||||||
Costco Wholesale Corp. | 4,841 | 1,394,740 | ||||||
Sysco Corp. | 2,572 | 204,217 | ||||||
Walmart, Inc. | 35,150 | 4,171,602 | ||||||
|
| |||||||
6,679,663 | ||||||||
|
| |||||||
Food Products - 1.7% | ||||||||
Flowers Foods, Inc. | 6,133 | 141,856 | ||||||
General Mills, Inc. | 3,869 | 213,259 | ||||||
Hershey Co. (The) | 5,710 | 884,993 | ||||||
Hormel Foods Corp. | 2,863 | 125,199 | ||||||
McCormick & Co., Inc.(Non-Voting) | 2,857 | 446,549 | ||||||
Mondelez International, Inc., Class A | 19,323 | 1,068,948 | ||||||
Pilgrim’s Pride Corp. * | 7,994 | 256,168 | ||||||
Post Holdings, Inc. *(a) | 1,066 | 112,826 | ||||||
Tyson Foods, Inc., Class A | 6,516 | 561,288 | ||||||
|
| |||||||
3,811,086 | ||||||||
|
| |||||||
Gas Utilities - 0.3% | ||||||||
Atmos Energy Corp. | 6,554 | 746,435 | ||||||
|
| |||||||
Health Care Equipment & Supplies - 4.7% | ||||||||
Abbott Laboratories | 20,587 | 1,722,514 | ||||||
ABIOMED, Inc. * | 413 | 73,469 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
111
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Equipment & Supplies - 4.7% (continued) | ||||||||
Align Technology, Inc. * | 2,008 | $ | 363,287 | |||||
Baxter International, Inc. | 4,579 | 400,525 | ||||||
Becton Dickinson and Co. | 1,281 | 324,042 | ||||||
Boston Scientific Corp. * | 20,239 | 823,525 | ||||||
Danaher Corp. | 6,456 | 932,440 | ||||||
Dentsply Sirona, Inc. | 3,440 | 183,386 | ||||||
DexCom, Inc. * | 2,521 | 376,234 | ||||||
Edwards Lifesciences Corp. * | 3,270 | 719,106 | ||||||
Hologic, Inc. * | 1,780 | 89,872 | ||||||
IDEXX Laboratories, Inc. * | 2,339 | 636,044 | ||||||
Insulet Corp. *(a) | 1,891 | 311,883 | ||||||
Intuitive Surgical, Inc. * | 2,336 | 1,261,276 | ||||||
Masimo Corp. * | 1,502 | 223,483 | ||||||
Medtronic plc | 7,205 | 782,607 | ||||||
ResMed, Inc. | 1,105 | 149,297 | ||||||
STERIS plc | 1,263 | 182,491 | ||||||
Stryker Corp. | 3,827 | 827,780 | ||||||
Teleflex, Inc. | 1,073 | 364,552 | ||||||
West Pharmaceutical Services, Inc. | 671 | 95,161 | ||||||
|
| |||||||
10,842,974 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.4% | ||||||||
AmerisourceBergen Corp. | 1,061 | 87,352 | ||||||
Anthem, Inc. | 5,677 | 1,363,048 | ||||||
Centene Corp. * | 5,609 | 242,645 | ||||||
Chemed Corp. | 1,112 | 464,338 | ||||||
HCA Healthcare, Inc. | 2,023 | 243,610 | ||||||
UnitedHealth Group, Inc. | 14,744 | 3,204,166 | ||||||
|
| |||||||
5,605,159 | ||||||||
|
| |||||||
Health Care Technology - 0.2% | ||||||||
Veeva Systems, Inc., Class A * | 3,215 | 490,898 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.4% | ||||||||
Chipotle Mexican Grill, Inc. * | 653 | 548,827 | ||||||
Darden Restaurants, Inc. | 3,738 | 441,906 | ||||||
Domino’s Pizza, Inc. | 406 | 99,304 | ||||||
Dunkin’ Brands Group, Inc. | 1,320 | 104,755 | ||||||
Marriott International, Inc., Class A | 1,483 | 184,441 | ||||||
McDonald’s Corp. | 9,752 | 2,093,852 | ||||||
Starbucks Corp. | 18,639 | 1,648,060 | ||||||
Yum! Brands, Inc. | 3,082 | 349,591 | ||||||
|
| |||||||
5,470,736 | ||||||||
|
| |||||||
Household Durables - 0.6% | ||||||||
Garmin Ltd. | 3,240 | 274,396 | ||||||
NVR, Inc. * | 101 | 375,452 | ||||||
Roku, Inc. * | 5,004 | 509,207 | ||||||
Tempur Sealy International, Inc. * | 1,962 | 151,466 | ||||||
|
| |||||||
1,310,521 | ||||||||
|
| |||||||
Household Products - 2.5% | ||||||||
Church & Dwight Co., Inc. | 8,609 | 647,741 | ||||||
Clorox Co. (The) | 2,740 | 416,124 | ||||||
Kimberly-Clark Corp. | 1,676 | 238,076 | ||||||
Procter & Gamble Co. (The) | 35,498 | 4,415,241 | ||||||
|
| |||||||
5,717,182 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Independent Power and Renewable Electricity Producers - 0.0% (b) | ||||||||
AES Corp. | 4,262 | $ | 69,641 | |||||
|
| |||||||
Industrial Conglomerates - 0.9% | ||||||||
3M Co. | 5,514 | 906,502 | ||||||
Carlisle Cos., Inc. | 478 | 69,568 | ||||||
Honeywell International, Inc. | 5,345 | 904,374 | ||||||
Roper Technologies, Inc. | 290 | 103,414 | ||||||
|
| |||||||
1,983,858 | ||||||||
|
| |||||||
Insurance - 2.9% | ||||||||
Alleghany Corp. * | 89 | 71,001 | ||||||
American Financial Group, Inc. | 1,717 | 185,178 | ||||||
Aon plc | 3,090 | 598,131 | ||||||
Arch Capital Group Ltd. * | 8,904 | 373,790 | ||||||
Arthur J Gallagher & Co. | 770 | 68,969 | ||||||
Brown & Brown, Inc. | 1,864 | 67,216 | ||||||
Chubb Ltd. | 4,582 | 739,718 | ||||||
Cincinnati Financial Corp. | 4,055 | 473,097 | ||||||
CNA Financial Corp. | 1,603 | 78,948 | ||||||
Erie Indemnity Co., Class A | 2,120 | 393,578 | ||||||
Everest Re Group Ltd. | 999 | 265,824 | ||||||
Hartford Financial Services Group, Inc. (The) | 3,282 | 198,922 | ||||||
Markel Corp. * | 231 | 273,019 | ||||||
Marsh & McLennan Cos., Inc. | 671 | 67,133 | ||||||
Mercury General Corp. | 3,845 | 214,859 | ||||||
Old Republic International Corp. | 7,205 | 169,822 | ||||||
Progressive Corp. (The) | 7,933 | 612,824 | ||||||
RenaissanceRe Holdings Ltd. | 1,274 | 246,455 | ||||||
Travelers Cos., Inc. (The) | 3,459 | 514,319 | ||||||
Willis Towers Watson plc | 1,760 | 339,627 | ||||||
WR Berkley Corp. | 10,982 | 793,230 | ||||||
|
| |||||||
6,745,660 | ||||||||
|
| |||||||
Interactive Media & Services - 1.8% | ||||||||
Alphabet, Inc., Class A * | 1,509 | 1,842,700 | ||||||
Facebook, Inc., Class A * | 8,265 | 1,471,831 | ||||||
IAC/InterActiveCorp * | 1,557 | 339,379 | ||||||
Match Group, Inc. (a) | 7,349 | 525,013 | ||||||
|
| |||||||
4,178,923 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 2.8% | ||||||||
Amazon.com, Inc. * | 3,052 | 5,297,997 | ||||||
Booking Holdings, Inc. * | 259 | 508,316 | ||||||
eBay, Inc. | 5,946 | 231,775 | ||||||
Expedia Group, Inc. | 527 | 70,834 | ||||||
Wayfair, Inc., Class A *(a) | 2,955 | 331,315 | ||||||
|
| |||||||
6,440,237 | ||||||||
|
| |||||||
IT Services - 7.6% | ||||||||
Accenture plc, Class A | 7,038 | 1,353,759 | ||||||
Akamai Technologies, Inc. * | 1,027 | 93,847 | ||||||
Automatic Data Processing, Inc. | 4,254 | 686,681 | ||||||
Booz Allen Hamilton Holding Corp. | 3,407 | 241,965 | ||||||
Cognizant Technology Solutions Corp., Class A | 4,878 | 293,973 | ||||||
EPAM Systems, Inc. * | 1,173 | 213,861 | ||||||
Euronet Worldwide, Inc. * | 2,681 | 392,230 | ||||||
Fiserv, Inc. * | 6,684 | 692,396 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
112
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
IT Services - 7.6% (continued) | ||||||||
FleetCor Technologies, Inc. *(a) | 1,395 | $ | 400,058 | |||||
Global Payments, Inc. | 2,057 | 327,063 | ||||||
GoDaddy, Inc., Class A * | 1,956 | 129,057 | ||||||
Jack Henry & Associates, Inc. | 1,350 | 197,060 | ||||||
Mastercard, Inc., Class A | 12,975 | 3,523,621 | ||||||
MongoDB, Inc. *(a) | 3,015 | 363,247 | ||||||
Okta, Inc. * | 8,140 | 801,464 | ||||||
PayPal Holdings, Inc. * | 11,695 | 1,211,485 | ||||||
Square, Inc., Class A *(a) | 15,511 | 960,906 | ||||||
Twilio, Inc., Class A *(a) | 8,796 | 967,208 | ||||||
VeriSign, Inc. * | 939 | 177,124 | ||||||
Visa, Inc., Class A | 25,958 | 4,465,036 | ||||||
|
| |||||||
17,492,041 | ||||||||
|
| |||||||
Leisure Products - 0.1% | ||||||||
Brunswick Corp. | 1,969 | 102,624 | ||||||
Hasbro, Inc. | 1,547 | 183,614 | ||||||
|
| |||||||
286,238 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 1.2% | ||||||||
Bruker Corp. | 2,766 | 121,510 | ||||||
Illumina, Inc. * | 2,189 | 665,938 | ||||||
IQVIA Holdings, Inc. * | 2,083 | 311,159 | ||||||
Mettler-Toledo International, Inc. * | 149 | 104,956 | ||||||
Thermo Fisher Scientific, Inc. | 5,346 | 1,557,129 | ||||||
|
| |||||||
2,760,692 | ||||||||
|
| |||||||
Machinery - 1.6% | ||||||||
Caterpillar, Inc. | 4,750 | 599,973 | ||||||
Deere & Co. | 2,753 | 464,376 | ||||||
Dover Corp. | 2,076 | 206,687 | ||||||
Fortive Corp. | 2,886 | 197,864 | ||||||
Illinois Tool Works, Inc. | 3,505 | 548,497 | ||||||
Ingersoll-Rand plc | 3,592 | 442,570 | ||||||
Middleby Corp. (The) * | 1,800 | 210,420 | ||||||
Nordson Corp. | 909 | 132,950 | ||||||
Parker-Hannifin Corp. | 1,500 | 270,915 | ||||||
Xylem, Inc. | 6,645 | 529,075 | ||||||
|
| |||||||
3,603,327 | ||||||||
|
| |||||||
Media - 2.3% | ||||||||
Altice USA, Inc., Class A * | 14,041 | 402,696 | ||||||
Cable One, Inc. | 799 | 1,002,505 | ||||||
Charter Communications, Inc., Class A * | 3,106 | 1,280,045 | ||||||
Comcast Corp., Class A | 50,010 | 2,254,451 | ||||||
Liberty Broadband Corp., Class C * | 872 | 91,272 | ||||||
Nexstar Media Group, Inc., Class A | 683 | 69,878 | ||||||
Sinclair Broadcast Group, Inc., Class A | 5,379 | 229,898 | ||||||
|
| |||||||
5,330,745 | ||||||||
|
| |||||||
Metals & Mining - 0.2% | ||||||||
Royal Gold, Inc. | 4,263 | 525,244 | ||||||
|
| |||||||
Multiline Retail - 0.5% | ||||||||
Dollar General Corp. | 3,937 | 625,747 | ||||||
Dollar Tree, Inc. * | 2,285 | 260,856 | ||||||
Target Corp. | 3,485 | 372,581 | ||||||
|
| |||||||
1,259,184 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Multi-Utilities - 1.6% | ||||||||
Ameren Corp. | 10,204 | $ | 816,830 | |||||
CMS Energy Corp. | 10,782 | 689,509 | ||||||
Consolidated Edison, Inc. | 1,980 | 187,051 | ||||||
DTE Energy Co. | 4,596 | 611,084 | ||||||
NiSource, Inc. | 5,616 | 168,031 | ||||||
Public Service Enterprise Group, Inc. | 2,579 | 160,104 | ||||||
Sempra Energy | 1,637 | 241,638 | ||||||
WEC Energy Group, Inc. | 8,243 | 783,909 | ||||||
|
| |||||||
3,658,156 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 0.6% | ||||||||
Diamondback Energy, Inc. | 7,080 | 636,563 | ||||||
Kinder Morgan, Inc. | 11,028 | 227,287 | ||||||
ONEOK, Inc. | 3,149 | 232,050 | ||||||
Phillips 66 | 853 | 87,347 | ||||||
Valero Energy Corp. | 2,092 | 178,322 | ||||||
|
| |||||||
1,361,569 | ||||||||
|
| |||||||
Personal Products - 0.5% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 5,712 | 1,136,402 | ||||||
|
| |||||||
Pharmaceuticals - 2.6% | ||||||||
Eli Lilly & Co. | 7,307 | 817,142 | ||||||
Horizon Therapeutics plc * | 8,733 | 237,800 | ||||||
Johnson & Johnson | 4,675 | 604,851 | ||||||
Merck & Co., Inc. | 35,311 | 2,972,480 | ||||||
Pfizer, Inc. | 7,937 | 285,176 | ||||||
Zoetis, Inc. | 9,446 | 1,176,877 | ||||||
|
| |||||||
6,094,326 | ||||||||
|
| |||||||
Professional Services - 0.5% | ||||||||
CoStar Group, Inc. * | 838 | 497,102 | ||||||
Equifax, Inc. | 651 | 91,576 | ||||||
TransUnion | 3,347 | 271,475 | ||||||
Verisk Analytics, Inc. | 2,058 | 325,452 | ||||||
|
| |||||||
1,185,605 | ||||||||
|
| |||||||
Road & Rail - 1.1% | ||||||||
CSX Corp. | 10,461 | 724,634 | ||||||
Norfolk Southern Corp. | 2,500 | 449,150 | ||||||
Old Dominion Freight Line, Inc. | 1,956 | 332,461 | ||||||
Union Pacific Corp. | 6,194 | 1,003,304 | ||||||
|
| |||||||
2,509,549 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 2.6% | ||||||||
Advanced Micro Devices, Inc. * | 7,486 | 217,019 | ||||||
Analog Devices, Inc. | 977 | 109,160 | ||||||
Applied Materials, Inc. | 3,864 | 192,814 | ||||||
Broadcom, Inc. | 5,448 | 1,504,029 | ||||||
Intel Corp. | 3,504 | 180,561 | ||||||
Lam Research Corp. | 1,419 | 327,945 | ||||||
Microchip Technology, Inc. | 1,024 | 95,140 | ||||||
NVIDIA Corp. | 3,867 | 673,129 | ||||||
QUALCOMM, Inc. | 1,459 | 111,293 | ||||||
Skyworks Solutions, Inc. | 3,805 | 301,546 | ||||||
Teradyne, Inc. | 1,155 | 66,886 | ||||||
Texas Instruments, Inc. | 12,751 | 1,647,939 | ||||||
Universal Display Corp. | 1,222 | 205,174 | ||||||
Xilinx, Inc. | 3,261 | 312,730 | ||||||
|
| |||||||
5,945,365 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
113
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Software - 11.1% | ||||||||
Adobe, Inc. * | 10,510 | $ | 2,903,387 | |||||
Alteryx, Inc., Class A *(a) | 3,425 | 367,948 | ||||||
ANSYS, Inc. * | 2,671 | 591,252 | ||||||
Atlassian Corp. plc, Class A * | 8,956 | 1,123,441 | ||||||
Autodesk, Inc. * | 2,283 | 337,199 | ||||||
Avalara, Inc. *(a) | 2,414 | 162,438 | ||||||
Coupa Software, Inc. * | 1,178 | 152,633 | ||||||
Fortinet, Inc. * | 1,306 | 100,249 | ||||||
Guidewire Software, Inc. * | 2,220 | 233,944 | ||||||
Intuit, Inc. | 4,182 | 1,112,161 | ||||||
Microsoft Corp. | 97,266 | 13,522,892 | ||||||
Palo Alto Networks, Inc. * | 1,095 | 223,194 | ||||||
Paycom Software, Inc. * | 2,422 | 507,385 | ||||||
RingCentral, Inc., Class A * | 4,984 | 626,289 | ||||||
salesforce.com, Inc. * | 6,637 | 985,196 | ||||||
ServiceNow, Inc. * | 4,455 | 1,130,902 | ||||||
Splunk, Inc. * | 1,580 | 186,219 | ||||||
SS&C Technologies Holdings, Inc. | 2,522 | 130,059 | ||||||
Trade Desk, Inc. (The), Class A * | 536 | 100,527 | ||||||
VMware, Inc., Class A | 3,914 | 587,335 | ||||||
Zendesk, Inc. *(a) | 8,499 | 619,407 | ||||||
|
| |||||||
25,704,057 | ||||||||
|
| |||||||
Specialty Retail - 2.6% | ||||||||
AutoZone, Inc. * | 276 | 299,355 | ||||||
Best Buy Co., Inc. | 2,009 | 138,601 | ||||||
Burlington Stores, Inc. * | 2,806 | 560,695 | ||||||
Carvana Co. *(a) | 2,782 | 183,612 | ||||||
Home Depot, Inc. (The) | 6,163 | 1,429,939 | ||||||
Lowe’s Cos., Inc. | 5,244 | 576,630 | ||||||
O’Reilly Automotive, Inc. * | 1,795 | 715,325 | ||||||
Ross Stores, Inc. | 9,970 | 1,095,205 | ||||||
TJX Cos., Inc. (The) | 6,890 | 384,049 | ||||||
Tractor Supply Co. | 771 | 69,729 | ||||||
Ulta Beauty, Inc. * | 1,847 | 462,951 | ||||||
|
| |||||||
5,916,091 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.7% | ||||||||
Apple, Inc. | 6,103 | 1,366,889 | ||||||
Hewlett Packard Enterprise Co. | 5,467 | 82,935 | ||||||
NetApp, Inc. | 1,738 | 91,262 | ||||||
|
| |||||||
1,541,086 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.8% | ||||||||
Columbia Sportswear Co. (a) | 3,277 | 317,509 | ||||||
Lululemon Athletica, Inc. * | 1,508 | 290,335 | ||||||
NIKE, Inc., Class B | 8,122 | 762,818 | ||||||
VF Corp. | 4,055 | 360,854 | ||||||
|
| |||||||
1,731,516 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.1% | ||||||||
LendingTree, Inc. * | 604 | 187,500 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.0% (b) | ||||||||
HD Supply Holdings, Inc. * | 2,092 | 81,954 | ||||||
|
| |||||||
Water Utilities - 0.4% | ||||||||
American Water Works Co., Inc. | 6,713 | 833,956 | ||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Wireless Telecommunication Services - 0.5% | ||||||||
Telephone & Data Systems, Inc. | 2,493 | $ | 64,320 | |||||
T-Mobile US, Inc. * | 12,003 | 945,476 | ||||||
United States Cellular Corp. * | 1,850 | 69,523 | ||||||
|
| |||||||
1,079,319 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 221,846,874 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.6% | ||||||||
INVESTMENT COMPANIES - 3.6% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $8,416,979) | 8,417,865 | 8,418,707 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 2.9% | ||||||||
Investment Companies - 2.9% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (c)(d) | 829,414 | 829,414 | ||||||
Limited Purpose Cash Investment Fund 2.01% (c)(d) | 5,951,865 | 5,952,460 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 6,781,874 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.7% | 237,047,455 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.7)% (e) | (6,325,128) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 230,722,327 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 16,705,461 | 7.2 | % | ||||
Consumer Discretionary | 23,284,363 | 10.1 | ||||||
Consumer Staples | 23,564,395 | 10.2 | ||||||
Energy | 1,361,569 | 0.6 | ||||||
Financials | 16,014,153 | 6.9 | ||||||
Health Care | 27,268,681 | 11.8 | ||||||
Industrials | 22,116,782 | 9.6 | ||||||
Information Technology | 54,893,874 | 23.8 | ||||||
Materials | 3,824,223 | 1.7 | ||||||
Real Estate | 17,460,576 | 7.6 | ||||||
Utilities | 15,352,797 | 6.7 | ||||||
Short-Term Investments | 8,418,707 | 3.6 | ||||||
Securities Lending Collateral | 6,781,874 | 2.9 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 237,047,455 | 102.7 | ||||||
Liabilities in Excess of Other Assets (e) | (6,325,128 | ) | (2.7 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 230,722,327 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
114
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM LARGE CAP MOMENTUM STYLE FUND |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $6,613,675. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts | ||||||||||||||||
S&P 500E-Mini Index | 40 | 12/2019 | USD | $5,957,000 | $(47,784 | ) | ||||||||||
|
| |||||||||||||||
$(47,784 | ) | |||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
GSCO | ||||||||||||
Cash | $— | $353,745 | $353,745 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
115
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.5% | ||||||||
Aerospace & Defense - 1.8% | ||||||||
AAR Corp. | 932 | $ | 38,408 | |||||
Aerojet Rocketdyne Holdings, Inc. * | 3,654 | 184,563 | ||||||
AeroVironment, Inc. * | 1,257 | 67,325 | ||||||
Astronics Corp. * | 725 | 21,300 | ||||||
Axon Enterprise, Inc. *(a) | 1,996 | 113,333 | ||||||
Cubic Corp. | 892 | 62,824 | ||||||
Ducommun, Inc. * | 1,446 | 61,310 | ||||||
Kratos Defense & Security Solutions, Inc. *(a) | 5,829 | 108,390 | ||||||
Mercury Systems, Inc. * | 2,251 | 182,714 | ||||||
Moog, Inc., Class A (a) | 817 | 66,275 | ||||||
National Presto Industries, Inc. | 237 | 21,114 | ||||||
Triumph Group, Inc. | 1,016 | 23,246 | ||||||
Vectrus, Inc. * | 904 | 36,748 | ||||||
|
| |||||||
987,550 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.1% | ||||||||
Air Transport Services Group, Inc. * | 995 | 20,915 | ||||||
Forward Air Corp. | 274 | 17,459 | ||||||
Radiant Logistics, Inc. * | 3,096 | 16,006 | ||||||
|
| |||||||
54,380 | ||||||||
|
| |||||||
Airlines - 0.3% | ||||||||
Allegiant Travel Co. | 199 | 29,782 | ||||||
SkyWest, Inc. | 1,381 | 79,269 | ||||||
Spirit Airlines, Inc. * | 1,319 | 47,880 | ||||||
|
| |||||||
156,931 | ||||||||
|
| |||||||
Auto Components - 0.9% | ||||||||
Cooper Tire & Rubber Co. | 2,845 | 74,312 | ||||||
Dorman Products, Inc. * | 1,642 | 130,605 | ||||||
Fox Factory Holding Corp. * | 2,389 | 148,691 | ||||||
Gentherm, Inc. * | 1,871 | 76,870 | ||||||
LCI Industries | 251 | 23,054 | ||||||
Standard Motor Products, Inc. | 1,077 | 52,288 | ||||||
|
| |||||||
505,820 | ||||||||
|
| |||||||
Banks - 3.5% | ||||||||
Allegiance Bancshares, Inc. * | 1,709 | 54,842 | ||||||
Bank of Marin Bancorp | 389 | 16,140 | ||||||
Banner Corp. | 366 | 20,558 | ||||||
Carolina Financial Corp. | 2,944 | 104,630 | ||||||
Carter Bank & Trust * | 1,372 | 25,917 | ||||||
Central Pacific Financial Corp. | 835 | 23,714 | ||||||
City Holding Co. | 492 | 37,515 | ||||||
Community Bank System, Inc. | 939 | 57,927 | ||||||
Enterprise Financial Services Corp. | 616 | 25,102 | ||||||
First Bancorp/PR (United States) | 9,926 | 99,061 | ||||||
First Commonwealth Financial Corp. | 1,291 | 17,144 | ||||||
First Financial Bankshares, Inc. (a) | 3,075 | 102,490 | ||||||
First Interstate BancSystem, Inc., Class A | 1,826 | 73,478 | ||||||
First Merchants Corp. | 654 | 24,613 | ||||||
Fulton Financial Corp. | 997 | 16,131 | ||||||
Glacier Bancorp, Inc. | 1,725 | 69,793 | ||||||
Great Southern Bancorp, Inc. | 460 | 26,197 | ||||||
Great Western Bancorp, Inc. | 1,345 | 44,385 | ||||||
Horizon Bancorp, Inc. | 1,113 | 19,322 | ||||||
IBERIABANK Corp. | 249 | 18,809 | ||||||
Independent Bank Corp. | 910 | 67,932 |
INVESTMENTS | SHARES | VALUE | ||||||
Banks - 3.5% (continued) | ||||||||
Independent Bank Corp./MI | 4,596 | $ | 97,964 | |||||
Lakeland Financial Corp. | 1,783 | 78,416 | ||||||
National Bank Holdings Corp., Class A | 947 | 32,378 | ||||||
OFG Bancorp (United States) | 4,104 | 89,878 | ||||||
Old Second Bancorp, Inc. | 3,326 | 40,644 | ||||||
Peoples Bancorp, Inc. | 732 | 23,285 | ||||||
Preferred Bank | 592 | 31,009 | ||||||
QCR Holdings, Inc. | 517 | 19,636 | ||||||
Republic Bancorp, Inc., Class A | 560 | 24,332 | ||||||
S&T Bancorp, Inc. | 617 | 22,539 | ||||||
Seacoast Banking Corp. of Florida * | 1,369 | 34,649 | ||||||
ServisFirst Bancshares, Inc. | 4,062 | 134,655 | ||||||
Southside Bancshares, Inc. | 813 | 27,731 | ||||||
Towne Bank | 662 | 18,407 | ||||||
TriCo Bancshares | 718 | 26,063 | ||||||
TriState Capital Holdings, Inc. * | 1,369 | 28,804 | ||||||
Triumph Bancorp, Inc. * | 1,588 | 50,641 | ||||||
Trustmark Corp. (a) | 808 | 27,561 | ||||||
United Bankshares, Inc. | 1,495 | 56,616 | ||||||
United Community Banks, Inc. | 800 | 22,680 | ||||||
Veritex Holdings, Inc. | 1,029 | 24,969 | ||||||
Westamerica Bancorp | 737 | 45,827 | ||||||
|
| |||||||
1,904,384 | ||||||||
|
| |||||||
Beverages - 0.8% | ||||||||
Boston Beer Co., Inc. (The), Class A * | 762 | 277,429 | ||||||
Coca-Cola Consolidated, Inc. | 503 | 152,847 | ||||||
New Age Beverages Corp. *(a) | 8,157 | 22,513 | ||||||
|
| |||||||
452,789 | ||||||||
|
| |||||||
Biotechnology - 6.1% | ||||||||
ACADIA Pharmaceuticals, Inc. *(a) | 8,178 | 294,326 | ||||||
Acceleron Pharma, Inc. * | 1,265 | 49,980 | ||||||
Adverum Biotechnologies, Inc. * | 5,990 | 32,646 | ||||||
Affimed NV (Germany) * | 6,412 | 18,851 | ||||||
Arena Pharmaceuticals, Inc. * | 986 | 45,129 | ||||||
ArQule, Inc. * | 16,892 | 121,116 | ||||||
Arrowhead Pharmaceuticals, Inc. *(a) | 6,885 | 194,019 | ||||||
Athersys, Inc. * | 13,981 | 18,595 | ||||||
Avid Bioservices, Inc. * | 1,371 | 7,266 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 558 | 23,280 | ||||||
BioSpecifics Technologies Corp. * | 732 | 39,177 | ||||||
Blueprint Medicines Corp. * | 378 | 27,772 | ||||||
CareDx, Inc. * | 3,508 | 79,316 | ||||||
Catalyst Pharmaceuticals, Inc. *(a) | 13,909 | 73,857 | ||||||
CEL-SCI Corp. *(a) | 7,156 | 63,975 | ||||||
ChemoCentryx, Inc. * | 3,517 | 23,845 | ||||||
Coherus Biosciences, Inc. * | 1,320 | 26,743 | ||||||
CTI BioPharma Corp. * | 370 | 308 | ||||||
Denali Therapeutics, Inc. *(a) | 2,861 | 43,831 | ||||||
Dicerna Pharmaceuticals, Inc. * | 4,700 | 67,492 | ||||||
Eidos Therapeutics, Inc. *(a) | 1,332 | 47,912 | ||||||
Emergent BioSolutions, Inc. * | 721 | 37,694 | ||||||
Enanta Pharmaceuticals, Inc. * | 433 | 26,015 | ||||||
Esperion Therapeutics, Inc. * | 831 | 30,464 | ||||||
Fate Therapeutics, Inc. * | 5,702 | 88,552 | ||||||
Global Blood Therapeutics, Inc. *(a) | 2,385 | 115,720 | ||||||
Halozyme Therapeutics, Inc. * | 1,032 | 16,006 | ||||||
Homology Medicines, Inc. *(a) | 1,527 | 27,639 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
116
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Biotechnology - 6.1% (continued) | ||||||||
Invitae Corp. *(a) | 6,508 | $ | 125,409 | |||||
Iovance Biotherapeutics, Inc. * | 1,777 | 32,341 | ||||||
Krystal Biotech, Inc. * | 1,548 | 53,754 | ||||||
Kura Oncology, Inc. * | 1,090 | 16,535 | ||||||
MeiraGTx Holdings plc * | 1,258 | 20,065 | ||||||
Mirati Therapeutics, Inc. * | 2,330 | 181,530 | ||||||
Myriad Genetics, Inc. * | 657 | 18,810 | ||||||
Natera, Inc. * | 5,013 | 164,426 | ||||||
Oncocyte Corp. * | 13,942 | 29,278 | ||||||
PDL BioPharma, Inc. * | 6,466 | 13,967 | ||||||
Pfenex, Inc. * | 4,213 | 35,558 | ||||||
Protagonist Therapeutics, Inc. * | 2,461 | 29,557 | ||||||
PTC Therapeutics, Inc. * | 2,917 | 98,653 | ||||||
Ra Pharmaceuticals, Inc. *(a) | 4,124 | 97,533 | ||||||
Recro Pharma, Inc. * | 2,675 | 29,639 | ||||||
REGENXBIO, Inc. * | 1,384 | 49,270 | ||||||
Repligen Corp. * | 3,008 | 230,684 | ||||||
Retrophin, Inc. * | 1,727 | 20,016 | ||||||
Scholar Rock Holding Corp. *(a) | 2,042 | 18,276 | ||||||
Stemline Therapeutics, Inc. * | 1,613 | 16,791 | ||||||
Vanda Pharmaceuticals, Inc. * | 1,379 | 18,313 | ||||||
Veracyte, Inc. * | 4,288 | 102,912 | ||||||
Vericel Corp. * | 4,805 | 72,748 | ||||||
Viking Therapeutics, Inc. *(a) | 4,272 | 29,391 | ||||||
Voyager Therapeutics, Inc. * | 1,106 | 19,034 | ||||||
XBiotech, Inc. * | 2,869 | 30,010 | ||||||
Xencor, Inc. *(a) | 2,170 | 73,194 | ||||||
ZIOPHARM Oncology, Inc. *(a) | 5,260 | 22,513 | ||||||
|
| |||||||
3,291,733 | ||||||||
|
| |||||||
Building Products - 1.1% | ||||||||
AAON, Inc. (a) | 2,377 | 109,199 | ||||||
Advanced Drainage Systems, Inc. | 1,392 | 44,920 | ||||||
Continental Building Products, Inc. * | 1,526 | 41,645 | ||||||
CSW Industrials, Inc. | 564 | 38,933 | ||||||
Gibraltar Industries, Inc. * | 1,568 | 72,034 | ||||||
PGT Innovations, Inc. * | 1,534 | 26,492 | ||||||
Simpson Manufacturing Co., Inc. | 1,148 | 79,637 | ||||||
Trex Co., Inc. * | 2,195 | 199,591 | ||||||
|
| |||||||
612,451 | ||||||||
|
| |||||||
Capital Markets - 1.4% | ||||||||
Blucora, Inc. * | 2,792 | 60,419 | ||||||
Cohen & Steers, Inc. | 1,130 | 62,071 | ||||||
Federated Investors, Inc., Class B | 4,120 | 133,529 | ||||||
Hamilton Lane, Inc., Class A | 3,174 | 180,791 | ||||||
Houlihan Lokey, Inc. | 2,973 | 134,082 | ||||||
Moelis & Co., Class A | 776 | 25,492 | ||||||
Oppenheimer Holdings, Inc., Class A | 1,046 | 31,443 | ||||||
Piper Jaffray Cos. | 500 | 37,740 | ||||||
PJT Partners, Inc., Class A | 1,345 | 54,741 | ||||||
Stifel Financial Corp. | 1,000 | 57,380 | ||||||
|
| |||||||
777,688 | ||||||||
|
| |||||||
Chemicals - 1.2% | ||||||||
Advanced Emissions Solutions, Inc. | 2,111 | 31,327 | ||||||
Amyris, Inc. *(a) | 4,849 | 23,081 | ||||||
Balchem Corp. | 436 | 43,247 | ||||||
Chase Corp. | 298 | 32,598 |
INVESTMENTS | SHARES | VALUE | ||||||
Chemicals - 1.2% (continued) | ||||||||
Ferro Corp. * | 1,317 | $ | 15,620 | |||||
Hawkins, Inc. | 436 | 18,530 | ||||||
Ingevity Corp. * | 1,592 | 135,065 | ||||||
Innospec, Inc. | 790 | 70,421 | ||||||
Intrepid Potash, Inc. * | 10,284 | 33,629 | ||||||
Minerals Technologies, Inc. | 500 | 26,545 | ||||||
Quaker Chemical Corp. | 561 | 88,716 | ||||||
Sensient Technologies Corp. | 883 | 60,618 | ||||||
Stepan Co. | 710 | 68,913 | ||||||
|
| |||||||
648,310 | ||||||||
|
| |||||||
Commercial Services & Supplies - 2.9% | ||||||||
ABM Industries, Inc. | 3,631 | 131,878 | ||||||
Brady Corp., Class A | 2,519 | 133,633 | ||||||
Brink’s Co. (The) | 1,200 | 99,540 | ||||||
Casella Waste Systems, Inc., Class A *(a) | 2,339 | 100,437 | ||||||
CECO Environmental Corp. * | 2,887 | 20,166 | ||||||
Cimpress NV (Netherlands) *(a) | 277 | 36,520 | ||||||
Covanta Holding Corp. | 4,397 | 76,024 | ||||||
Ennis, Inc. | 807 | 16,309 | ||||||
Heritage-Crystal Clean, Inc. * | 1,063 | 28,169 | ||||||
Herman Miller, Inc. | 2,087 | 96,190 | ||||||
HNI Corp. | 664 | 23,572 | ||||||
Kimball International, Inc., Class B | 1,371 | 26,460 | ||||||
Knoll, Inc. | 927 | 23,499 | ||||||
McGrath RentCorp | 1,981 | 137,858 | ||||||
MSA Safety, Inc. | 1,218 | 132,896 | ||||||
SP Plus Corp. * | 660 | 24,420 | ||||||
Steelcase, Inc., Class A | 5,022 | 92,405 | ||||||
Team, Inc. * | 1,082 | 19,530 | ||||||
Tetra Tech, Inc. | 2,441 | 211,781 | ||||||
UniFirst Corp. | 166 | 32,390 | ||||||
US Ecology, Inc. | 716 | 45,781 | ||||||
Viad Corp. | 607 | 40,760 | ||||||
|
| |||||||
1,550,218 | ||||||||
|
| |||||||
Communications Equipment - 0.7% | ||||||||
ADTRAN, Inc. | 2,026 | 22,985 | ||||||
Comtech Telecommunications Corp. | 1,871 | 60,808 | ||||||
Harmonic, Inc. * | 7,195 | 47,343 | ||||||
Inseego Corp. *(a) | 7,473 | 35,870 | ||||||
InterDigital, Inc. | 771 | 40,454 | ||||||
Viavi Solutions, Inc. * | 11,171 | 156,450 | ||||||
|
| |||||||
363,910 | ||||||||
|
| |||||||
Construction & Engineering - 1.2% | ||||||||
Ameresco, Inc., Class A * | 2,545 | 40,898 | ||||||
Argan, Inc. | 593 | 23,299 | ||||||
Comfort Systems USA, Inc. | 1,792 | 79,260 | ||||||
EMCOR Group, Inc. | 1,408 | 121,257 | ||||||
Great Lakes Dredge & Dock Corp. * | 8,784 | 91,793 | ||||||
HC2 Holdings, Inc. *(a) | 962 | 2,261 | ||||||
MasTec, Inc. * | 1,541 | 100,057 | ||||||
NV5 Global, Inc. * | 1,032 | 70,455 | ||||||
Primoris Services Corp. | 853 | 16,727 | ||||||
Sterling Construction Co., Inc. * | 3,746 | 49,260 | ||||||
WillScot Corp. * | 1,871 | 29,150 | ||||||
|
| |||||||
624,417 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
117
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Consumer Finance - 0.3% | ||||||||
Enova International, Inc. *(a) | 1,107 | $ | 22,970 | |||||
EZCORP, Inc., Class A * | 5,444 | 35,141 | ||||||
FirstCash, Inc. | 812 | 74,436 | ||||||
Nelnet, Inc., Class A | 400 | 25,440 | ||||||
World Acceptance Corp. * | 142 | 18,107 | ||||||
|
| |||||||
176,094 | ||||||||
|
| |||||||
Containers & Packaging - 0.1% | ||||||||
UFP Technologies, Inc. * | 667 | 25,746 | ||||||
|
| |||||||
Distributors - 0.3% | ||||||||
Core-Mark Holding Co., Inc. | 2,637 | 84,687 | ||||||
Funko, Inc., Class A * | 2,658 | 54,689 | ||||||
|
| |||||||
139,376 | ||||||||
|
| |||||||
Diversified Consumer Services - 1.6% | ||||||||
Adtalem Global Education, Inc. * | 1,939 | 73,857 | ||||||
Career Education Corp. * | 9,718 | 154,419 | ||||||
Chegg, Inc. *(a) | 7,204 | 215,760 | ||||||
Collectors Universe, Inc. | 815 | 23,211 | ||||||
K12, Inc. * | 2,947 | 77,801 | ||||||
Laureate Education, Inc., Class A * | 6,111 | 101,290 | ||||||
Regis Corp. * | 3,337 | 67,474 | ||||||
Sotheby’s * | 639 | 36,410 | ||||||
Strategic Education, Inc. | 981 | 133,298 | ||||||
|
| |||||||
883,520 | ||||||||
|
| |||||||
Diversified Financial Services - 0.1% | ||||||||
Cannae Holdings, Inc. * | 1,929 | 52,990 | ||||||
|
| |||||||
Diversified Telecommunication Services - 1.0% | ||||||||
Anterix, Inc. * | 1,081 | 39,132 | ||||||
Bandwidth, Inc., Class A *(a) | 1,176 | 76,569 | ||||||
Cogent Communications Holdings, Inc. | 1,942 | 107,004 | ||||||
Intelsat SA * | 5,387 | 122,824 | ||||||
Iridium Communications, Inc. * | 5,839 | 124,254 | ||||||
Pareteum Corp. *(a) | 10,943 | 14,117 | ||||||
Vonage Holdings Corp. * | 6,024 | 68,071 | ||||||
|
| |||||||
551,971 | ||||||||
|
| |||||||
Electric Utilities - 1.9% | ||||||||
ALLETE, Inc. | 2,529 | 221,060 | ||||||
Genie Energy Ltd., Class B (a) | 3,602 | 26,871 | ||||||
MGE Energy, Inc. | 1,782 | 142,328 | ||||||
Otter Tail Corp. | 1,438 | 77,293 | ||||||
PNM Resources, Inc. | 3,804 | 198,112 | ||||||
Portland General Electric Co. | 6,535 | 368,378 | ||||||
|
| |||||||
1,034,042 | ||||||||
|
| |||||||
Electrical Equipment - 1.1% | ||||||||
American Superconductor Corp. * | 2,292 | 17,969 | ||||||
Atkore International Group, Inc. * | 1,098 | 33,324 | ||||||
AZZ, Inc. | 516 | 22,477 | ||||||
Encore Wire Corp. | 563 | 31,686 | ||||||
EnerSys | 435 | 28,684 | ||||||
Generac Holdings, Inc. *(a) | 2,879 | 225,541 | ||||||
Plug Power, Inc. *(a) | 15,010 | 39,476 | ||||||
Sunrun, Inc. *(a) | 6,676 | 111,523 | ||||||
Thermon Group Holdings, Inc. * | 1,079 | 24,795 | ||||||
Vivint Solar, Inc. *(a) | 8,085 | 52,876 | ||||||
|
| |||||||
588,351 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Electronic Equipment, Instruments & Components - 2.6% | ||||||||
Airgain, Inc. * | 1,439 | $ | 16,908 | |||||
AVX Corp. | 3,389 | 51,513 | ||||||
Badger Meter, Inc. | 1,814 | 97,412 | ||||||
Coda Octopus Group, Inc. *(a) | 1,842 | 15,123 | ||||||
ePlus, Inc. * | 949 | 72,209 | ||||||
Fabrinet (Thailand) *(a) | 1,982 | 103,659 | ||||||
Insight Enterprises, Inc. * | 1,746 | 97,235 | ||||||
Knowles Corp. *(a) | 4,301 | 87,482 | ||||||
Methode Electronics, Inc. | 887 | 29,839 | ||||||
MTS Systems Corp. | 463 | 25,581 | ||||||
Napco Security Technologies, Inc. * | 1,505 | 38,407 | ||||||
Novanta, Inc. * | 2,772 | 226,528 | ||||||
OSI Systems, Inc. * | 1,073 | 108,974 | ||||||
PAR Technology Corp. *(a) | 1,602 | 38,079 | ||||||
PC Connection, Inc. | 468 | 18,205 | ||||||
Plexus Corp. * | 600 | 37,506 | ||||||
Rogers Corp. * | 882 | 120,578 | ||||||
Sanmina Corp. * | 2,025 | 65,023 | ||||||
Tech Data Corp. * | 528 | 55,039 | ||||||
TTM Technologies, Inc. * | 2,264 | 27,609 | ||||||
Vishay Intertechnology, Inc. | 1,024 | 17,336 | ||||||
Vishay Precision Group, Inc. * | 778 | 25,472 | ||||||
|
| |||||||
1,375,717 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.6% | ||||||||
Cactus, Inc., Class A * | 2,174 | 62,916 | ||||||
DMC Global, Inc. | 2,204 | 96,932 | ||||||
Helix Energy Solutions Group, Inc. * | 5,406 | 43,572 | ||||||
Matrix Service Co. * | 4,167 | 71,422 | ||||||
ProPetro Holding Corp. * | 1,575 | 14,317 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 1,302 | 17,473 | ||||||
|
| |||||||
306,632 | ||||||||
|
| |||||||
Entertainment - 0.2% | ||||||||
Glu Mobile, Inc. * | 9,729 | 48,548 | ||||||
Liberty Media Corp.-Liberty Braves, Class C * | 1,059 | 29,387 | ||||||
Rosetta Stone, Inc. * | 1,597 | 27,788 | ||||||
|
| |||||||
105,723 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 8.9% | ||||||||
Acadia Realty Trust | 2,878 | 82,253 | ||||||
Agree Realty Corp. | 3,252 | 237,884 | ||||||
Alexander & Baldwin, Inc. | 706 | 17,304 | ||||||
Alexander’s, Inc. | 43 | 14,982 | ||||||
American Assets Trust, Inc. | 4,100 | 191,634 | ||||||
Armada Hoffler Properties, Inc. | 2,371 | 42,891 | ||||||
Bluerock Residential Growth REIT, Inc. | 1,363 | 16,043 | ||||||
CareTrust REIT, Inc. | 7,021 | 165,029 | ||||||
CoreCivic, Inc. | 1,403 | 24,244 | ||||||
EastGroup Properties, Inc. | 2,597 | 324,677 | ||||||
Essential Properties Realty Trust, Inc. | 2,290 | 52,464 | ||||||
First Industrial Realty Trust, Inc. | 4,910 | 194,240 | ||||||
Four Corners Property Trust, Inc. | 2,328 | 65,836 | ||||||
Front Yard Residential Corp. | 2,240 | 25,894 | ||||||
Getty Realty Corp. | 1,662 | 53,284 | ||||||
Gladstone Commercial Corp. | 2,751 | 64,649 | ||||||
Global Net Lease, Inc. | 3,770 | 73,515 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,906 | 55,560 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
118
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Equity Real Estate Investment Trusts (REITs) - 8.9% (continued) | ||||||||
Healthcare Realty Trust, Inc. | 4,245 | $ | 142,208 | |||||
Independence Realty Trust, Inc. | 5,020 | 71,836 | ||||||
Industrial Logistics Properties Trust | 1,293 | 27,476 | ||||||
Innovative Industrial Properties, Inc. | 1,733 | 160,077 | ||||||
Investors Real Estate Trust | 655 | 48,909 | ||||||
Jernigan Capital, Inc. | 1,105 | 21,271 | ||||||
Lexington Realty Trust | 7,626 | 78,167 | ||||||
LTC Properties, Inc. | 1,865 | 95,525 | ||||||
Monmouth Real Estate Investment Corp. | 2,025 | 29,180 | ||||||
National Health Investors, Inc. | 2,669 | 219,899 | ||||||
National Storage Affiliates Trust | 4,378 | 146,094 | ||||||
NexPoint Residential Trust, Inc. | 2,833 | 132,471 | ||||||
One Liberty Properties, Inc. | 932 | 25,658 | ||||||
Physicians Realty Trust | 6,539 | 116,067 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 2,835 | 59,195 | ||||||
Preferred Apartment Communities, Inc., Class A | 1,297 | 18,742 | ||||||
PS Business Parks, Inc. | 2,423 | 440,865 | ||||||
QTS Realty Trust, Inc., Class A | 1,596 | 82,050 | ||||||
Rexford Industrial Realty, Inc. | 6,604 | 290,708 | ||||||
Ryman Hospitality Properties, Inc. | 2,361 | 193,153 | ||||||
Sabra Health Care REIT, Inc. (a) | 5,998 | 137,714 | ||||||
Safehold, Inc. | 912 | 27,816 | ||||||
Saul Centers, Inc. | 490 | 26,710 | ||||||
Seritage Growth Properties, Class A | 484 | 20,565 | ||||||
STAG Industrial, Inc. | 5,578 | 164,439 | ||||||
Terreno Realty Corp. | 4,192 | 214,169 | ||||||
UMH Properties, Inc. | 1,668 | 23,485 | ||||||
Universal Health Realty Income Trust | 733 | 75,352 | ||||||
Xenia Hotels & Resorts, Inc. | 1,185 | 25,027 | ||||||
|
| |||||||
4,817,211 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.5% | ||||||||
Chefs’ Warehouse, Inc. (The) * | 2,306 | 92,978 | ||||||
Ingles Markets, Inc., Class A | 529 | 20,557 | ||||||
Performance Food Group Co. * | 3,505 | 161,265 | ||||||
|
| |||||||
274,800 | ||||||||
|
| |||||||
Food Products - 2.1% | ||||||||
Calavo Growers, Inc. | 552 | 52,539 | ||||||
Darling Ingredients, Inc. * | 3,728 | 71,317 | ||||||
Freshpet, Inc. * | 3,049 | 151,749 | ||||||
J&J Snack Foods Corp. | 892 | 171,264 | ||||||
John B Sanfilippo & Son, Inc. | 879 | 84,911 | ||||||
Lancaster Colony Corp. | 1,823 | 252,759 | ||||||
Sanderson Farms, Inc. | 1,057 | 159,956 | ||||||
Simply Good Foods Co. (The) * | 4,697 | 136,166 | ||||||
Tootsie Roll Industries, Inc. | 1,986 | 73,760 | ||||||
|
| |||||||
1,154,421 | ||||||||
|
| |||||||
Gas Utilities - 2.5% | ||||||||
Chesapeake Utilities Corp. | 739 | 70,441 | ||||||
New Jersey Resources Corp. | 5,276 | 238,581 | ||||||
Northwest Natural Holding Co. | 1,436 | 102,444 | ||||||
ONE Gas, Inc. | 4,732 | 454,793 | ||||||
South Jersey Industries, Inc. | 1,256 | 41,335 | ||||||
Southwest Gas Holdings, Inc. | 1,967 | 179,076 | ||||||
Spire, Inc. | 3,077 | 268,437 | ||||||
|
| |||||||
1,355,107 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Equipment & Supplies - 5.0% | ||||||||
Antares Pharma, Inc. * | 16,954 | $ | 56,711 | |||||
Apyx Medical Corp. * | 4,000 | 27,080 | ||||||
AtriCure, Inc. *(a) | 1,696 | 42,298 | ||||||
Atrion Corp. | 74 | 57,659 | ||||||
Avanos Medical, Inc. * | 453 | 16,969 | ||||||
BioLife Solutions, Inc. * | 1,074 | 17,855 | ||||||
BioSig Technologies, Inc. * | 2,916 | 24,057 | ||||||
Cardiovascular Systems, Inc. * | 1,509 | 71,708 | ||||||
CONMED Corp. | 863 | 82,977 | ||||||
CryoPort, Inc. * | 6,759 | 110,544 | ||||||
Glaukos Corp. *(a) | 1,894 | 118,394 | ||||||
Globus Medical, Inc., Class A * | 2,194 | 112,157 | ||||||
Haemonetics Corp. * | 2,565 | 323,549 | ||||||
Heska Corp. * | 789 | 55,916 | ||||||
Integer Holdings Corp. * | 1,417 | 107,069 | ||||||
iRhythm Technologies, Inc. *(a) | 775 | 57,435 | ||||||
Lantheus Holdings, Inc. * | 1,479 | 37,071 | ||||||
LeMaitre Vascular, Inc. | 1,341 | 45,835 | ||||||
LivaNova plc * | 370 | 27,302 | ||||||
Merit Medical Systems, Inc. * | 612 | 18,642 | ||||||
Mesa Laboratories, Inc. | 432 | 102,717 | ||||||
Misonix, Inc. * | 1,095 | 22,010 | ||||||
Natus Medical, Inc. * | 787 | 25,058 | ||||||
Neogen Corp. * | 640 | 43,590 | ||||||
Novocure Ltd. *(a) | 5,700 | 426,246 | ||||||
NuVasive, Inc. * | 1,087 | 68,894 | ||||||
OrthoPediatrics Corp. * | 618 | 21,791 | ||||||
Quidel Corp. * | 1,797 | 110,246 | ||||||
STAAR Surgical Co. *(a) | 2,932 | 75,587 | ||||||
Tactile Systems Technology, Inc. * | 1,324 | 56,032 | ||||||
Tandem Diabetes Care, Inc. * | 3,351 | 197,642 | ||||||
Wright Medical Group NV *(a) | 4,795 | 98,921 | ||||||
Zynex, Inc. (a) | 3,073 | 29,224 | ||||||
|
| |||||||
2,689,186 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.6% | ||||||||
Addus HomeCare Corp. * | 1,402 | 111,151 | ||||||
Amedisys, Inc. * | 2,211 | 289,663 | ||||||
BioTelemetry, Inc. * | 1,864 | 75,921 | ||||||
Catasys, Inc. *(a) | 1,248 | 19,668 | ||||||
CorVel Corp. * | 901 | 68,206 | ||||||
Ensign Group, Inc. (The) | 3,174 | 150,543 | ||||||
Hanger, Inc. * | 1,594 | 32,486 | ||||||
HealthEquity, Inc. * | 855 | 48,859 | ||||||
Joint Corp. (The) * | 1,379 | 25,663 | ||||||
LHC Group, Inc. * | 1,405 | 159,552 | ||||||
National HealthCare Corp. | 608 | 49,765 | ||||||
National Research Corp. | 400 | 23,100 | ||||||
PetIQ, Inc. * | 1,574 | 42,907 | ||||||
Providence Service Corp. (The) * | 400 | 23,784 | ||||||
R1 RCM, Inc. * | 10,227 | 91,327 | ||||||
RadNet, Inc. * | 2,195 | 31,520 | ||||||
Select Medical Holdings Corp. * | 2,988 | 49,511 | ||||||
Triple-S Management Corp., Class B (United States) * | 2,560 | 34,304 | ||||||
US Physical Therapy, Inc. | 700 | 91,385 | ||||||
|
| |||||||
1,419,315 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Technology - 1.2% | ||||||||
HMS Holdings Corp. * | 4,136 | $ | 142,547 | |||||
Inovalon Holdings, Inc., Class A *(a) | 5,641 | 92,456 | ||||||
Inspire Medical Systems, Inc. * | 1,262 | 77,007 | ||||||
Omnicell, Inc. * | 2,101 | 151,839 | ||||||
OptimizeRx Corp. * | 1,270 | 18,390 | ||||||
Tabula Rasa HealthCare, Inc. * | 1,022 | 56,149 | ||||||
Teladoc Health, Inc. * | 1,218 | 82,483 | ||||||
Vocera Communications, Inc. *(a) | 809 | 19,942 | ||||||
|
| |||||||
640,813 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.3% | ||||||||
Brinker International, Inc. (a) | 1,477 | 63,024 | ||||||
Churchill Downs, Inc. | 1,479 | 182,590 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 652 | 106,048 | ||||||
Dave & Buster’s Entertainment, Inc. | 1,144 | 44,559 | ||||||
Denny’s Corp. * | 2,000 | 45,530 | ||||||
Dine Brands Global, Inc. (a) | 1,471 | 111,590 | ||||||
Drive Shack, Inc. * | 5,264 | 22,688 | ||||||
Everi Holdings, Inc. * | 2,629 | 22,241 | ||||||
Habit Restaurants, Inc. (The), Class A * | 2,679 | 23,414 | ||||||
Jack in the Box, Inc. | 513 | 46,745 | ||||||
Lindblad Expeditions Holdings, Inc. * | 1,157 | 19,391 | ||||||
Ruth’s Hospitality Group, Inc. | 1,436 | 29,316 | ||||||
SeaWorld Entertainment, Inc. * | 5,569 | 146,576 | ||||||
Shake Shack, Inc., Class A *(a) | 1,836 | 180,001 | ||||||
Wingstop, Inc. (a) | 2,484 | 216,804 | ||||||
|
| |||||||
1,260,517 | ||||||||
|
| |||||||
Household Durables - 2.0% | ||||||||
Cavco Industries, Inc. * | 132 | 25,356 | ||||||
GoPro, Inc., Class A * | 4,659 | 24,157 | ||||||
Helen of Troy Ltd. * | 1,502 | 236,805 | ||||||
iRobot Corp. *(a) | 294 | 18,131 | ||||||
KB Home | 2,136 | 72,624 | ||||||
La-Z-Boy, Inc. | 1,058 | 35,538 | ||||||
LGI Homes, Inc. *(a) | 495 | 41,243 | ||||||
M/I Homes, Inc. * | 1,260 | 47,439 | ||||||
MDC Holdings, Inc. | 4,988 | 214,983 | ||||||
Meritage Homes Corp. * | 3,268 | 229,904 | ||||||
Taylor Morrison Home Corp. * | 2,863 | 74,266 | ||||||
TopBuild Corp. * | 614 | 59,208 | ||||||
TRI Pointe Group, Inc. * | 1,097 | 16,499 | ||||||
|
| |||||||
1,096,153 | ||||||||
|
| |||||||
Household Products - 0.5% | ||||||||
Central Garden & Pet Co., Class A * | 1,540 | 42,697 | ||||||
WD-40 Co. | 1,121 | 205,748 | ||||||
|
| |||||||
248,445 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.6% | ||||||||
Clearway Energy, Inc., Class C | 1,476 | 26,937 | ||||||
Ormat Technologies, Inc. | 570 | 42,345 | ||||||
Pattern Energy Group, Inc., Class A (a) | 4,208 | 113,321 | ||||||
TerraForm Power, Inc., Class A | 8,350 | 152,179 | ||||||
|
| |||||||
334,782 | ||||||||
|
| |||||||
Insurance - 2.7% | ||||||||
American Equity Investment Life Holding Co. | 737 | 17,835 | ||||||
AMERISAFE, Inc. | 1,251 | 82,704 |
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 2.7% (continued) | ||||||||
Argo Group International Holdings Ltd. | 2,544 | $ | 178,691 | |||||
eHealth, Inc. * | 1,757 | 117,350 | ||||||
Enstar Group Ltd. (United States) * | 621 | 117,940 | ||||||
Goosehead Insurance, Inc., Class A (a) | 2,138 | 105,510 | ||||||
James River Group Holdings Ltd. | 2,244 | 114,983 | ||||||
Kinsale Capital Group, Inc. | 429 | 44,320 | ||||||
MBIA, Inc. * | 2,965 | 27,367 | ||||||
National General Holdings Corp. | 3,386 | 77,946 | ||||||
RLI Corp. | 2,318 | 215,365 | ||||||
Safety Insurance Group, Inc. | 171 | 17,327 | ||||||
Selective Insurance Group, Inc. | 1,966 | 147,824 | ||||||
State Auto Financial Corp. | 515 | 16,681 | ||||||
Trupanion, Inc. *(a) | 796 | 20,234 | ||||||
United Fire Group, Inc. | 1,694 | 79,584 | ||||||
United Insurance Holdings Corp. | 2,600 | 36,374 | ||||||
Universal Insurance Holdings, Inc. | 1,100 | 32,989 | ||||||
|
| |||||||
1,451,024 | ||||||||
|
| |||||||
Interactive Media & Services - 0.3% | ||||||||
Cargurus, Inc. *(a) | 2,403 | 74,373 | ||||||
DHI Group, Inc. * | 7,603 | 29,271 | ||||||
QuinStreet, Inc. * | 3,929 | 49,466 | ||||||
Travelzoo * | 2,494 | 26,661 | ||||||
|
| |||||||
179,771 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.2% | ||||||||
1-800-Flowers.com, Inc., Class A * | 4,182 | 61,873 | ||||||
Rubicon Project, Inc. (The) * | 7,766 | 67,642 | ||||||
|
| |||||||
129,515 | ||||||||
|
| |||||||
IT Services - 2.6% | ||||||||
Carbonite, Inc. * | 1,317 | 20,400 | ||||||
Cardtronics plc, Class A * | 2,455 | 74,239 | ||||||
CSG Systems International, Inc. | 1,259 | 65,065 | ||||||
EVERTEC, Inc. (United States) (a) | 4,763 | 148,701 | ||||||
Evo Payments, Inc., Class A * | 2,519 | 70,834 | ||||||
ExlService Holdings, Inc. * | 374 | 25,043 | ||||||
I3 Verticals, Inc., Class A * | 852 | 17,142 | ||||||
KBR, Inc. | 7,056 | 173,154 | ||||||
LiveRamp Holdings, Inc. * | 3,583 | 153,926 | ||||||
ManTech International Corp., Class A | 1,140 | 81,407 | ||||||
MAXIMUS, Inc. | 2,275 | 175,767 | ||||||
NIC, Inc. (a) | 1,578 | 32,586 | ||||||
Paysign, Inc. *(a) | 4,297 | 43,400 | ||||||
Perficient, Inc. *(a) | 2,002 | 77,237 | ||||||
Perspecta, Inc. | 1,517 | 39,624 | ||||||
Science Applications International Corp. | 709 | 61,931 | ||||||
TTEC Holdings, Inc. | 691 | 33,085 | ||||||
Tucows, Inc., Class A *(a) | 1,347 | 72,954 | ||||||
Virtusa Corp. * | 1,703 | 61,342 | ||||||
|
| |||||||
1,427,837 | ||||||||
|
| |||||||
Leisure Products - 0.2% | ||||||||
Acushnet Holdings Corp. | 1,201 | 31,706 | ||||||
Callaway Golf Co. | 1,368 | 26,553 | ||||||
Clarus Corp. | 2,070 | 24,271 | ||||||
Sturm Ruger & Co., Inc. | 385 | 16,078 | ||||||
|
| |||||||
98,608 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
120
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Life Sciences Tools & Services - 1.4% | ||||||||
Accelerate Diagnostics, Inc. *(a) | 1,086 | $ | 20,167 | |||||
ChromaDex Corp. * | 3,840 | 15,111 | ||||||
Codexis, Inc. * | 7,090 | 97,239 | ||||||
Fluidigm Corp. * | 4,316 | 19,983 | ||||||
Medpace Holdings, Inc. * | 2,419 | 203,293 | ||||||
NanoString Technologies, Inc. * | 3,109 | 67,123 | ||||||
NeoGenomics, Inc. * | 6,206 | 118,659 | ||||||
Quanterix Corp. * | 1,720 | 37,771 | ||||||
Syneos Health, Inc. * | 3,186 | 169,527 | ||||||
|
| |||||||
748,873 | ||||||||
|
| |||||||
Machinery - 2.7% | ||||||||
Alamo Group, Inc. (a) | 289 | 34,021 | ||||||
Albany International Corp., Class A | 1,354 | 122,077 | ||||||
Chart Industries, Inc. * | 1,806 | 112,622 | ||||||
Columbus McKinnon Corp. | 620 | 22,587 | ||||||
Douglas Dynamics, Inc. | 715 | 31,868 | ||||||
ESCO Technologies, Inc. | 1,106 | 87,993 | ||||||
Federal Signal Corp. | 2,408 | 78,838 | ||||||
Franklin Electric Co., Inc. | 777 | 37,148 | ||||||
Harsco Corp. * | 1,908 | 36,176 | ||||||
John Bean Technologies Corp. | 541 | 53,792 | ||||||
Kadant, Inc. | 620 | 54,430 | ||||||
Luxfer Holdings plc (United Kingdom) | 1,438 | 22,404 | ||||||
Meritor, Inc. * | 1,955 | 36,167 | ||||||
Miller Industries, Inc. | 867 | 28,871 | ||||||
Mueller Industries, Inc. | 925 | 26,529 | ||||||
Mueller Water Products, Inc., Class A | 2,882 | 32,394 | ||||||
Proto Labs, Inc. * | 791 | 80,761 | ||||||
RBC Bearings, Inc. * | 841 | 139,530 | ||||||
Rexnord Corp. * | 1,793 | 48,501 | ||||||
Spartan Motors, Inc. | 3,385 | 46,442 | ||||||
SPX Corp. * | 2,755 | 110,228 | ||||||
SPX FLOW, Inc. * | 638 | 25,175 | ||||||
Standex International Corp. | 358 | 26,113 | ||||||
Tennant Co. | 272 | 19,230 | ||||||
TriMas Corp. * | 882 | 27,033 | ||||||
Watts Water Technologies, Inc., Class A | 1,139 | 106,758 | ||||||
|
| |||||||
1,447,688 | ||||||||
|
| |||||||
Marine - 0.1% | ||||||||
Matson, Inc. | 1,534 | 57,540 | ||||||
|
| |||||||
Media - 0.8% | ||||||||
Cardlytics, Inc. * | 444 | 14,883 | ||||||
EW Scripps Co. (The), Class A | 1,802 | 23,930 | ||||||
Fluent, Inc. * | 6,989 | 19,115 | ||||||
Gray Television, Inc. * | 4,265 | 69,605 | ||||||
Marchex, Inc., Class B * | 6,005 | 18,856 | ||||||
Meredith Corp. (a) | 1,307 | 47,915 | ||||||
MSG Networks, Inc., Class A * | 1,149 | 18,637 | ||||||
TechTarget, Inc. * | 1,420 | 31,985 | ||||||
TEGNA, Inc. | 11,129 | 172,833 | ||||||
|
| |||||||
417,759 | ||||||||
|
| |||||||
Metals & Mining - 0.6% | ||||||||
Allegheny Technologies, Inc. * | 1,392 | 28,188 | ||||||
Cleveland-Cliffs, Inc. | 2,879 | 20,786 | ||||||
Kaiser Aluminum Corp. | 258 | 25,534 |
INVESTMENTS | SHARES | VALUE | ||||||
Metals & Mining - 0.6% (continued) | ||||||||
Materion Corp. | 771 | $ | 47,309 | |||||
Novagold Resources, Inc. (Canada) * | 11,762 | 71,395 | ||||||
SunCoke Energy, Inc. * | 2,699 | 15,222 | ||||||
Warrior Met Coal, Inc. | 3,745 | 73,103 | ||||||
Worthington Industries, Inc. | 749 | 27,002 | ||||||
|
| |||||||
308,539 | ||||||||
|
| |||||||
Multiline Retail - 0.0% (b) | ||||||||
Dillard’s, Inc., Class A | 306 | 20,230 | ||||||
|
| |||||||
Multi-Utilities - 1.4% | ||||||||
Black Hills Corp. | 4,333 | 332,471 | ||||||
NorthWestern Corp. | 4,619 | 346,656 | ||||||
Unitil Corp. | 960 | 60,902 | ||||||
|
| |||||||
740,029 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.4% | ||||||||
Arch Coal, Inc., Class A | 528 | 39,178 | ||||||
CVR Energy, Inc. | 5,576 | 245,511 | ||||||
Delek US Holdings, Inc. | 644 | 23,377 | ||||||
DHT Holdings, Inc. (a) | 5,306 | 32,632 | ||||||
Energy Fuels, Inc. *(a) | 13,254 | 25,580 | ||||||
GasLog Ltd. (Monaco) | 1,757 | 22,578 | ||||||
Magnolia Oil & Gas Corp., Class A * | 6,098 | 67,688 | ||||||
Par Pacific Holdings, Inc. * | 1,797 | 41,079 | ||||||
REX American Resources Corp. * | 300 | 22,899 | ||||||
Scorpio Tankers, Inc. (Monaco) | 719 | 21,398 | ||||||
Uranium Energy Corp. *(a) | 20,939 | 20,413 | ||||||
W&T Offshore, Inc. * | 3,274 | 14,307 | ||||||
World Fuel Services Corp. | 4,606 | 183,964 | ||||||
|
| |||||||
760,604 | ||||||||
|
| |||||||
Paper & Forest Products - 0.2% | ||||||||
Louisiana-Pacific Corp. (a) | 2,687 | 66,046 | ||||||
Verso Corp., Class A * | 2,697 | 33,389 | ||||||
|
| |||||||
99,435 | ||||||||
|
| |||||||
Personal Products - 0.5% | ||||||||
Inter Parfums, Inc. | 1,562 | 109,293 | ||||||
Lifevantage Corp. * | 1,804 | 24,715 | ||||||
Medifast, Inc. | 514 | 53,266 | ||||||
Revlon, Inc., Class A *(a) | 1,108 | 26,027 | ||||||
USANA Health Sciences, Inc. * | 600 | 41,034 | ||||||
|
| |||||||
254,335 | ||||||||
|
| |||||||
Pharmaceuticals - 1.3% | ||||||||
Amphastar Pharmaceuticals, Inc. * | 1,947 | 38,609 | ||||||
ANI Pharmaceuticals, Inc. * | 633 | 46,133 | ||||||
Axsome Therapeutics, Inc. * | 3,234 | 65,456 | ||||||
BioDelivery Sciences International, Inc. * | 8,915 | 37,532 | ||||||
Cara Therapeutics, Inc. * | 2,484 | 45,408 | ||||||
Chiasma, Inc. *(a) | 5,756 | 28,492 | ||||||
CorMedix, Inc. * | 3,385 | 21,596 | ||||||
Dermira, Inc. * | 3,108 | 19,860 | ||||||
Evolus, Inc. *(a) | 1,150 | 17,963 | ||||||
MyoKardia, Inc. * | 541 | 28,213 | ||||||
Pacira BioSciences, Inc. * | 2,596 | 98,830 | ||||||
Phibro Animal Health Corp., Class A | 1,903 | 40,591 | ||||||
Reata Pharmaceuticals, Inc., Class A *(a) | 1,825 | 146,529 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
121
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Pharmaceuticals - 1.3% (continued) | ||||||||
Zogenix, Inc. *(a) | 792 | $ | 31,712 | |||||
Zynerba Pharmaceuticals, Inc. *(a) | 2,069 | 15,642 | ||||||
|
| |||||||
682,566 | ||||||||
|
| |||||||
Professional Services - 2.5% | ||||||||
ASGN, Inc. * | 1,159 | 72,855 | ||||||
Exponent, Inc. | 1,924 | 134,488 | ||||||
Forrester Research, Inc. | 656 | 21,084 | ||||||
Franklin Covey Co. * | 481 | 16,835 | ||||||
FTI Consulting, Inc. * | 2,105 | 223,109 | ||||||
Huron Consulting Group, Inc. * | 1,381 | 84,710 | ||||||
ICF International, Inc. | 770 | 65,042 | ||||||
Insperity, Inc. | 2,729 | 269,134 | ||||||
Kelly Services, Inc., Class A | 1,064 | 25,770 | ||||||
Kforce, Inc. | 1,548 | 58,568 | ||||||
Korn Ferry | 1,724 | 66,615 | ||||||
TriNet Group, Inc. * | 3,572 | 222,143 | ||||||
Willdan Group, Inc. *(a) | 2,362 | 82,859 | ||||||
|
| |||||||
1,343,212 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.3% | ||||||||
Kennedy-Wilson Holdings, Inc. | 4,690 | 102,805 | ||||||
Marcus & Millichap, Inc. *(a) | 662 | 23,494 | ||||||
RMR Group, Inc. (The), Class A | 1,060 | 48,209 | ||||||
|
| |||||||
174,508 | ||||||||
|
| |||||||
Road & Rail - 0.5% | ||||||||
ArcBest Corp. | 1,360 | 41,412 | ||||||
Heartland Express, Inc. | 1,079 | 23,209 | ||||||
Hertz Global Holdings, Inc. * | 3,183 | 44,053 | ||||||
Marten Transport Ltd. | 1,333 | 27,700 | ||||||
Saia, Inc. * | 533 | 49,942 | ||||||
Universal Logistics Holdings, Inc. | 3,521 | 81,969 | ||||||
|
| |||||||
268,285 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 3.0% | ||||||||
Ambarella, Inc. * | 1,018 | 63,966 | ||||||
Brooks Automation, Inc. | 1,519 | 56,249 | ||||||
Cabot Microelectronics Corp. | 786 | 110,991 | ||||||
Cirrus Logic, Inc. * | 1,490 | 79,834 | ||||||
Diodes, Inc. * | 1,639 | 65,806 | ||||||
DSP Group, Inc. * | 1,520 | 21,409 | ||||||
Enphase Energy, Inc. *(a) | 10,999 | 244,508 | ||||||
FormFactor, Inc. * | 2,803 | 52,262 | ||||||
Impinj, Inc. * | 1,697 | 52,318 | ||||||
Inphi Corp. * | 2,852 | 174,115 | ||||||
Lattice Semiconductor Corp. * | 10,362 | 189,469 | ||||||
MaxLinear, Inc. * | 2,048 | 45,834 | ||||||
Nanometrics, Inc. * | 818 | 26,683 | ||||||
PDF Solutions, Inc. * | 2,083 | 27,225 | ||||||
Photronics, Inc. * | 2,574 | 28,005 | ||||||
Rambus, Inc. * | 3,205 | 42,066 | ||||||
Semtech Corp. * | 2,508 | 121,914 | ||||||
Silicon Laboratories, Inc. *(a) | 570 | 63,469 | ||||||
SunPower Corp. * | 5,481 | 60,127 | ||||||
Xperi Corp. | 3,102 | 64,149 | ||||||
|
| |||||||
1,590,399 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Software - 6.3% | ||||||||
8x8, Inc. * | 3,178 | $ | 65,848 | |||||
ACI Worldwide, Inc. * | 5,425 | 169,938 | ||||||
Agilysys, Inc. *(a) | 1,107 | 28,350 | ||||||
Alarm.com Holdings, Inc. * | 2,103 | 98,084 | ||||||
Altair Engineering, Inc., Class A * | 2,376 | 82,257 | ||||||
Appfolio, Inc., Class A *(a) | 3,257 | 309,871 | ||||||
Appian Corp. * | 410 | 19,475 | ||||||
Blackline, Inc. *(a) | 2,116 | 101,166 | ||||||
Bottomline Technologies DE, Inc. * | 1,576 | 62,016 | ||||||
CommVault Systems, Inc. * | 496 | 22,176 | ||||||
Cornerstone OnDemand, Inc. * | 1,887 | 103,445 | ||||||
Digimarc Corp. * | 670 | 26,190 | ||||||
Digital Turbine, Inc. * | 10,658 | 68,691 | ||||||
Envestnet, Inc. *(a) | 1,881 | 106,653 | ||||||
Everbridge, Inc. * | 2,563 | 158,163 | ||||||
Five9, Inc. *(a) | 4,755 | 255,534 | ||||||
ForeScout Technologies, Inc. * | 591 | 22,411 | ||||||
Instructure, Inc. *(a) | 523 | 20,261 | ||||||
Intelligent Systems Corp. *(a) | 1,127 | 46,816 | ||||||
j2 Global, Inc. | 762 | 69,205 | ||||||
LivePerson, Inc. *(a) | 4,871 | 173,895 | ||||||
MicroStrategy, Inc., Class A * | 200 | 29,674 | ||||||
MobileIron, Inc. * | 5,450 | 35,670 | ||||||
Progress Software Corp. | 930 | 35,396 | ||||||
PROS Holdings, Inc. * | 2,235 | 133,206 | ||||||
Q2 Holdings, Inc. * | 2,294 | 180,928 | ||||||
Qualys, Inc. * | 1,417 | 107,083 | ||||||
Rapid7, Inc. * | 3,946 | 179,109 | ||||||
SharpSpring, Inc. *(a) | 2,334 | 22,640 | ||||||
ShotSpotter, Inc. * | 941 | 21,671 | ||||||
SPS Commerce, Inc. * | 2,092 | 98,470 | ||||||
Synchronoss Technologies, Inc. * | 3,728 | 20,131 | ||||||
Telaria, Inc. * | 5,593 | 38,648 | ||||||
Telenav, Inc. * | 3,217 | 15,377 | ||||||
Upland Software, Inc. * | 2,748 | 95,795 | ||||||
Varonis Systems, Inc. * | 621 | 37,123 | ||||||
Verint Systems, Inc. * | 3,343 | 143,013 | ||||||
VirnetX Holding Corp. * | 80 | 432 | ||||||
Workiva, Inc. *(a) | 2,770 | 121,409 | ||||||
Yext, Inc. *(a) | 3,191 | 50,705 | ||||||
Zix Corp. * | 4,729 | 34,238 | ||||||
|
| |||||||
3,411,163 | ||||||||
|
| |||||||
Specialty Retail - 2.1% | ||||||||
Aaron’s, Inc. | 3,354 | 215,528 | ||||||
America’s Car-Mart, Inc. *(a) | 413 | 37,872 | ||||||
Asbury Automotive Group, Inc. * | 542 | 55,463 | ||||||
Boot Barn Holdings, Inc. * | 2,761 | 96,359 | ||||||
Group 1 Automotive, Inc. | 476 | 43,940 | ||||||
Lithia Motors, Inc., Class A | 710 | 93,990 | ||||||
Monro, Inc. | 1,914 | 151,225 | ||||||
Murphy USA, Inc. * | 1,056 | 90,077 | ||||||
Rent-A-Center, Inc. | 5,199 | 134,082 | ||||||
RH * | 628 | 107,281 | ||||||
Shoe Carnival, Inc. | 955 | 30,951 | ||||||
Sleep Number Corp. * | 1,193 | 49,295 | ||||||
Zumiez, Inc. * | 1,102 | 34,906 | ||||||
|
| |||||||
1,140,969 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
122
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||||||
AstroNova, Inc. | 1,094 | $ | 17,690 | |||||
Avid Technology, Inc. * | 4,022 | 24,896 | ||||||
Stratasys Ltd. * | 3,003 | 63,979 | ||||||
|
| |||||||
106,565 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 1.2% | ||||||||
Crocs, Inc. *(a) | 6,253 | 173,583 | ||||||
Deckers Outdoor Corp. * | 1,881 | 277,184 | ||||||
Oxford Industries, Inc. | 539 | 38,646 | ||||||
Rocky Brands, Inc. | 1,617 | 53,733 | ||||||
Steven Madden Ltd. | 1,474 | 52,755 | ||||||
Wolverine World Wide, Inc. | 1,922 | 54,316 | ||||||
|
| |||||||
650,217 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 1.9% | ||||||||
Axos Financial, Inc. * | 775 | 21,429 | ||||||
Capitol Federal Financial, Inc. | 5,049 | 69,575 | ||||||
Essent Group Ltd. | 3,675 | 175,187 | ||||||
Federal Agricultural Mortgage Corp., Class C | 480 | 39,197 | ||||||
First Defiance Financial Corp. | 1,450 | 41,999 | ||||||
HomeStreet, Inc. * | 997 | 27,238 | ||||||
Kearny Financial Corp. | 1,887 | 24,607 | ||||||
Meta Financial Group, Inc. | 1,602 | 52,241 | ||||||
NMI Holdings, Inc., Class A * | 3,054 | 80,198 | ||||||
Northwest Bancshares, Inc. | 7,401 | 121,302 | ||||||
PennyMac Financial Services, Inc. * | 1,954 | 59,363 | ||||||
Radian Group, Inc. | 9,261 | 211,521 | ||||||
Walker & Dunlop, Inc. | 365 | 20,415 | ||||||
Washington Federal, Inc. | 779 | 28,815 | ||||||
Waterstone Financial, Inc. | 2,000 | 34,360 | ||||||
|
| |||||||
1,007,447 | ||||||||
|
| |||||||
Tobacco - 0.1% | ||||||||
Turning Point Brands, Inc. | 470 | 10,838 | ||||||
Universal Corp. | 445 | 24,391 | ||||||
|
| |||||||
35,229 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.7% | ||||||||
Aircastle Ltd. | 1,486 | 33,331 | ||||||
BMC Stock Holdings, Inc. * | 766 | 20,054 | ||||||
CAI International, Inc. * | 1,309 | 28,497 | ||||||
DXP Enterprises, Inc. * | 1,558 | 54,094 | ||||||
GATX Corp. | 893 | 69,234 | ||||||
Lawson Products, Inc. * | 643 | 24,903 | ||||||
MRC Global, Inc. * | 2,586 | 31,368 | ||||||
NOW, Inc. * | 4,672 | 53,588 | ||||||
Rush Enterprises, Inc., Class A | 649 | 25,039 | ||||||
Triton International Ltd. (United States) | 1,310 | 44,330 | ||||||
|
| |||||||
384,438 | ||||||||
|
| |||||||
Water Utilities - 1.1% | ||||||||
American States Water Co. | 3,497 | 314,240 | ||||||
AquaVenture Holdings Ltd. * | 1,930 | 37,500 | ||||||
Cadiz, Inc. *(a) | 2,241 | 27,990 | ||||||
California Water Service Group | 2,002 | 105,966 | ||||||
Middlesex Water Co. | 1,269 | 82,434 | ||||||
SJW Group | 509 | 34,760 | ||||||
|
| |||||||
602,890 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Wireless Telecommunication Services - 0.2% | ||||||||
Boingo Wireless, Inc. *(a) | 1,839 | $ | 20,413 | |||||
Shenandoah Telecommunications Co. | 2,219 | 70,498 | ||||||
|
| |||||||
90,911 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 52,092,079 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.3% | ||||||||
INVESTMENT COMPANIES - 3.3% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $1,762,335) | 1,762,430 | 1,762,606 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 13.1% | ||||||||
Investment Companies - 13.1% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (c)(d) | 865,636 | 865,636 | ||||||
Limited Purpose Cash Investment Fund 2.01% (c)(d) | 6,211,792 | 6,212,413 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 7,078,049 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 112.9% | 60,932,734 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (12.9)% (e) | (6,968,791 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 53,963,943 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 1,346,135 | 2.5 | % | ||||
Consumer Discretionary | 5,924,923 | 11.0 | ||||||
Consumer Staples | 2,420,018 | 4.5 | ||||||
Energy | 1,067,236 | 2.0 | ||||||
Financials | 5,369,627 | 9.9 | ||||||
Health Care | 9,472,485 | 17.6 | ||||||
Industrials | 8,075,463 | 15.0 | ||||||
Information Technology | 8,275,592 | 15.3 | ||||||
Materials | 1,082,030 | 2.0 | ||||||
Real Estate | 4,991,719 | 9.2 | ||||||
Utilities | 4,066,851 | 7.5 | ||||||
Short-Term Investments | 1,762,606 | 3.3 | ||||||
Securities Lending Collateral | 7,078,049 | 13.1 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 60,932,734 | 112.9 | ||||||
Liabilities in Excess of Other Assets (e) | (6,968,791 | ) | (12.9 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 53,963,943 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
123
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND |
All securities are United States companies, unless noted otherwise in parentheses
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $6,857,427. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts | ||||||||||||||||
Russell 2000E-Mini Index | 14 | 12/2019 | USD | $1,067,500 | $(40,450 | ) | ||||||||||
|
| |||||||||||||||
$(40,450 | ) | |||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
GSCO | ||||||||||||
Cash | $— | $91,481 | $91,481 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
124
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 94.7% | ||||||||
Australia - 7.2% | ||||||||
AGL Energy Ltd. | 10,943 | $ | 141,569 | |||||
Alumina Ltd. | 58,797 | 94,200 | ||||||
Aristocrat Leisure Ltd. | 15,788 | 326,419 | ||||||
ASX Ltd. | 900 | 49,320 | ||||||
Australia & New Zealand Banking Group Ltd. | 8,011 | 153,889 | ||||||
BHP Group plc | 15,882 | 339,228 | ||||||
Brambles Ltd. | 6,432 | 49,533 | ||||||
CIMIC Group Ltd. | 2,383 | 50,634 | ||||||
Cochlear Ltd. | 985 | 138,614 | ||||||
Coles Group Ltd. | 14,170 | 147,319 | ||||||
Commonwealth Bank of Australia | 18,721 | 1,021,219 | ||||||
Computershare Ltd. | 9,146 | 99,982 | ||||||
CSL Ltd. | 7,771 | 1,228,686 | ||||||
Dexus, REIT | 21,643 | 174,329 | ||||||
Flight Centre Travel Group Ltd. | 1,887 | 60,609 | ||||||
Fortescue Metals Group Ltd. | 23,391 | 139,228 | ||||||
Goodman Group, REIT | 52,739 | 504,806 | ||||||
GPT Group (The), REIT | 20,457 | 85,069 | ||||||
Insurance Australia Group Ltd. | 27,300 | 145,672 | ||||||
Macquarie Group Ltd. | 3,696 | 327,621 | ||||||
Mirvac Group, REIT | 15,859 | 32,763 | ||||||
Newcrest Mining Ltd. | 12,754 | 294,307 | ||||||
QBE Insurance Group Ltd. | 6,506 | 55,187 | ||||||
Ramsay Health Care Ltd. | 1,987 | 87,051 | ||||||
REA Group Ltd. | 1,574 | 115,071 | ||||||
Rio Tinto plc | 13,589 | 706,391 | ||||||
Santos Ltd. | 32,033 | 167,026 | ||||||
Scentre Group, REIT | 20,335 | 53,950 | ||||||
Sonic Healthcare Ltd. | 2,086 | 39,553 | ||||||
Telstra Corp. Ltd. | 95,481 | 226,334 | ||||||
Treasury Wine Estates Ltd. | 17,956 | 225,381 | ||||||
Wesfarmers Ltd. | 14,974 | 402,319 | ||||||
Woodside Petroleum Ltd. | 4,089 | 89,333 | ||||||
Woolworths Group Ltd. | 7,112 | 178,964 | ||||||
|
| |||||||
7,951,576 | ||||||||
|
| |||||||
Austria - 0.3% | ||||||||
ANDRITZ AG | 2,003 | 81,853 | ||||||
OMV AG | 3,816 | 204,532 | ||||||
Raiffeisen Bank International AG | 1,608 | 37,292 | ||||||
|
| |||||||
323,677 | ||||||||
|
| |||||||
Belgium - 1.2% | ||||||||
Ageas | 9,048 | 501,578 | ||||||
Anheuser-Busch InBev SA/NV | 1,587 | 151,050 | ||||||
Colruyt SA | 5,045 | 276,377 | ||||||
UCB SA | 4,595 | 333,378 | ||||||
Umicore SA | 2,789 | 105,377 | ||||||
|
| |||||||
1,367,760 | ||||||||
|
| |||||||
Canada - 12.6% | ||||||||
Agnico Eagle Mines Ltd. (1) | 6,452 | 345,769 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 22,246 | 681,728 | ||||||
Aurora Cannabis, Inc. (1)*(a) | 9,787 | 42,994 | ||||||
Bank of Montreal (1) | 1,218 | 89,710 | ||||||
Barrick Gold Corp. (1) | 29,260 | 506,200 | ||||||
BCE, Inc. (1) | 14,293 | 691,320 |
INVESTMENTS | SHARES | VALUE | ||||||
Canada - 12.6% (continued) | ||||||||
Brookfield Asset Management, Inc., Class A (1) | 12,892 | $ | 684,570 | |||||
CAE, Inc. (1) | 5,614 | 142,633 | ||||||
Cameco Corp. (1) | 4,367 | 41,466 | ||||||
Canadian National Railway Co. (1) | 10,317 | 926,376 | ||||||
Canadian Pacific Railway Ltd. (1) | 2,192 | 487,126 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 328 | 36,807 | ||||||
Canadian Utilities Ltd., Class A (1) | 1,073 | 31,627 | ||||||
Canopy Growth Corp. (1)*(a) | 2,214 | 50,719 | ||||||
CCL Industries, Inc., Class B (1) | 1,240 | 50,017 | ||||||
CGI, Inc. (1)* | 5,942 | 469,852 | ||||||
Constellation Software, Inc. (1) | 504 | 503,353 | ||||||
Cronos Group, Inc. (1)*(a) | 9,672 | 87,386 | ||||||
Emera, Inc. (1) | 7,235 | 317,612 | ||||||
Empire Co. Ltd., Class A (1) | 8,055 | 218,087 | ||||||
Enbridge, Inc. (1) | 11,174 | 392,189 | ||||||
Fairfax Financial Holdings Ltd. (1) | 122 | 53,778 | ||||||
Fortis, Inc. (1) | 17,220 | 728,001 | ||||||
Franco-Nevada Corp. (1) | 6,196 | 564,578 | ||||||
Gildan Activewear, Inc. (1) | 4,498 | 159,638 | ||||||
H&R REIT, REIT (1) | 5,248 | 91,623 | ||||||
Hydro One Ltd. (1)(b) | 2,110 | 39,004 | ||||||
Intact Financial Corp. (1) | 2,517 | 253,324 | ||||||
International Petroleum Corp. * | 3,493 | 12,473 | ||||||
Loblaw Cos. Ltd. (1) | 6,485 | 369,369 | ||||||
Metro, Inc. (1) | 7,911 | 348,303 | ||||||
Nutrien Ltd. (1) | 3,564 | 177,548 | ||||||
Onex Corp. (1) | 678 | 42,031 | ||||||
Open Text Corp. (1) | 4,296 | 175,232 | ||||||
Pembina Pipeline Corp. (1) | 3,029 | 112,280 | ||||||
Restaurant Brands International, Inc. (1) | 6,077 | 432,089 | ||||||
RioCan REIT, REIT (1) | 4,578 | 91,156 | ||||||
Rogers Communications, Inc., Class B (1) | 13,352 | 650,341 | ||||||
Royal Bank of Canada (1) | 9,009 | 730,798 | ||||||
Shopify, Inc., Class A (1)* | 2,201 | 684,962 | ||||||
SmartCentres REIT, REIT (1) | 4,443 | 108,992 | ||||||
Sun Life Financial, Inc. (1) | 2,113 | 94,482 | ||||||
TC Energy Corp. (1) | 2,520 | 130,484 | ||||||
Thomson Reuters Corp. (1) | 11,120 | 743,235 | ||||||
Toronto-Dominion Bank (The) (1) | 2,769 | 161,456 | ||||||
WSP Global, Inc. (1) | 2,856 | 166,917 | ||||||
|
| |||||||
13,919,635 | ||||||||
|
| |||||||
Chile - 0.0% (c) | ||||||||
Antofagasta plc | 3,557 | 39,268 | ||||||
|
| |||||||
China - 0.1% | ||||||||
BOC Hong Kong Holdings Ltd. | 24,500 | 83,134 | ||||||
|
| |||||||
Denmark - 3.0% | ||||||||
Carlsberg A/S, Class B | 874 | 129,158 | ||||||
Chr Hansen Holding A/S | 1,773 | 150,197 | ||||||
Coloplast A/S, Class B | 2,912 | 350,360 | ||||||
Demant A/S * | 4,023 | 102,989 | ||||||
DSV A/S | 3,495 | 332,200 | ||||||
Genmab A/S * | 153 | 31,087 | ||||||
ISS A/S | 1,327 | 32,808 | ||||||
Novo Nordisk A/S, Class B | 13,216 | 682,952 | ||||||
Novozymes A/S, Class B | 780 | 32,808 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
125
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Denmark - 3.0% (continued) | ||||||||
Orsted A/S (b) | 10,136 | $ | 942,229 | |||||
Tryg A/S | 11,965 | 342,803 | ||||||
Vestas Wind Systems A/S | 2,094 | 162,448 | ||||||
|
| |||||||
3,292,039 | ||||||||
|
| |||||||
Finland - 1.8% | ||||||||
Elisa OYJ | 1,881 | 96,973 | ||||||
Fortum OYJ | 28,358 | 670,277 | ||||||
Kone OYJ, Class B | 3,253 | 185,130 | ||||||
Neste OYJ | 10,448 | 345,668 | ||||||
Nokia OYJ | 64,401 | 325,245 | ||||||
Nokian Renkaat OYJ | 1,449 | 40,842 | ||||||
Sampo OYJ, Class A | 3,563 | 141,566 | ||||||
UPM-Kymmene OYJ | 5,712 | 168,668 | ||||||
Wartsila OYJ Abp | 4,467 | 49,981 | ||||||
|
| |||||||
2,024,350 | ||||||||
|
| |||||||
France - 5.0% | ||||||||
Accor SA (a) | 917 | 38,224 | ||||||
Airbus SE | 10,257 | 1,331,652 | ||||||
AXA SA | 6,712 | 171,383 | ||||||
BNP Paribas SA | 8,449 | 410,764 | ||||||
Capgemini SE | 1,863 | 219,370 | ||||||
Credit Agricole SA | 26,078 | 315,643 | ||||||
Dassault Systemes SE | 2,145 | 305,569 | ||||||
Electricite de France SA (a) | 7,138 | 79,849 | ||||||
EssilorLuxottica SA | 726 | 104,674 | ||||||
Hermes International | 304 | 209,966 | ||||||
Iliad SA (a) | 513 | 48,181 | ||||||
Kering SA | 94 | 47,901 | ||||||
L’Oreal SA | 548 | 153,258 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,758 | 697,505 | ||||||
Orange SA | 18,570 | 290,657 | ||||||
Peugeot SA | 2,366 | 59,052 | ||||||
Safran SA | 2,841 | 447,316 | ||||||
Sanofi | 811 | 75,125 | ||||||
TOTAL SA | 10,152 | 528,581 | ||||||
|
| |||||||
5,534,670 | ||||||||
|
| |||||||
Germany - 8.7% | ||||||||
adidas AG | 3,980 | 1,238,853 | ||||||
Allianz SE (Registered) | 5,590 | 1,301,196 | ||||||
Aroundtown SA | 5,752 | 47,048 | ||||||
Beiersdorf AG | 1,858 | 219,067 | ||||||
Brenntag AG | 1,127 | 54,506 | ||||||
Carl Zeiss Meditec AG | 513 | 58,469 | ||||||
Delivery Hero SE *(b) | 2,261 | 100,378 | ||||||
Deutsche Boerse AG | 2,889 | 450,566 | ||||||
Deutsche Telekom AG (Registered) | 49,698 | 833,585 | ||||||
Deutsche Wohnen SE | 9,722 | 354,887 | ||||||
E.ON SE | 54,715 | 531,972 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 833 | 70,601 | ||||||
Hannover Rueck SE | 3,192 | 539,477 | ||||||
HUGO BOSS AG | 1,731 | 92,676 | ||||||
Merck KGaA | 2,205 | 248,393 | ||||||
MTU Aero Engines AG | 862 | 229,048 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 1,457 | 376,340 |
INVESTMENTS | SHARES | VALUE | ||||||
Germany - 8.7% (continued) | ||||||||
Puma SE | 3,800 | $ | 294,027 | |||||
RWE AG | 8,885 | 277,679 | ||||||
SAP SE | 10,698 | 1,258,870 | ||||||
Siemens AG (Registered) | 831 | 88,955 | ||||||
Symrise AG | 1,711 | 166,324 | ||||||
Volkswagen AG | 319 | 54,837 | ||||||
Vonovia SE | 11,616 | 589,340 | ||||||
Wirecard AG | 826 | 132,193 | ||||||
|
| |||||||
9,609,287 | ||||||||
|
| |||||||
Hong Kong - 3.1% | ||||||||
AIA Group Ltd. | 125,000 | 1,178,882 | ||||||
CK Asset Holdings Ltd. | 10,500 | 71,138 | ||||||
CK Hutchison Holdings Ltd. | 7,000 | 61,797 | ||||||
CLP Holdings Ltd. | 26,000 | 273,283 | ||||||
Hang Seng Bank Ltd. | 4,300 | 92,655 | ||||||
Henderson Land Development Co. Ltd. | 24,157 | 112,519 | ||||||
Hong Kong & China Gas Co. Ltd. | 117,700 | 229,412 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 4,700 | 137,757 | ||||||
Link REIT, REIT | 30,500 | 336,442 | ||||||
MTR Corp. Ltd. | 19,500 | 109,359 | ||||||
New World Development Co. Ltd. | 51,000 | 66,232 | ||||||
PCCW Ltd. | 75,000 | 42,104 | ||||||
Power Assets Holdings Ltd. | 7,000 | 46,990 | ||||||
Shangri-La Asia Ltd. | 32,000 | 32,616 | ||||||
Sino Land Co. Ltd. | 28,000 | 42,084 | ||||||
Sun Hung Kai Properties Ltd. | 11,000 | 158,078 | ||||||
Swire Pacific Ltd., Class A | 5,000 | 46,536 | ||||||
Swire Properties Ltd. | 14,400 | 45,193 | ||||||
Techtronic Industries Co. Ltd. | 20,500 | 142,684 | ||||||
WH Group Ltd. (b) | 47,000 | 42,091 | ||||||
Wharf Real Estate Investment Co. Ltd. | 13,000 | 71,000 | ||||||
Wheelock & Co. Ltd. | 9,000 | 51,275 | ||||||
|
| |||||||
3,390,127 | ||||||||
|
| |||||||
Italy - 1.8% | ||||||||
Assicurazioni Generali SpA | 6,913 | 133,972 | ||||||
Enel SpA | 102,597 | 766,328 | ||||||
Eni SpA | 15,999 | 244,541 | ||||||
Ferrari NV | 3,660 | 564,786 | ||||||
Moncler SpA | 2,560 | 91,247 | ||||||
Recordati SpA | 1,120 | 48,035 | ||||||
Terna Rete Elettrica Nazionale SpA | 23,336 | 149,880 | ||||||
|
| |||||||
1,998,789 | ||||||||
|
| |||||||
Japan - 16.7% | ||||||||
Advantest Corp. (a) | 4,300 | 191,685 | ||||||
Aeon Co. Ltd. | 6,600 | 121,260 | ||||||
Alfresa Holdings Corp. | 3,100 | 69,460 | ||||||
ANA Holdings, Inc. (a) | 9,000 | 303,206 | ||||||
Asahi Group Holdings Ltd. | 3,900 | 193,686 | ||||||
Asahi Intecc Co. Ltd. | 2,300 | 60,682 | ||||||
Astellas Pharma, Inc. | 13,000 | 185,954 | ||||||
Bandai Namco Holdings, Inc. | 1,700 | 106,008 | ||||||
Bank of Kyoto Ltd. (The) | 1,000 | 39,339 | ||||||
Benesse Holdings, Inc. | 2,100 | 54,705 | ||||||
Bridgestone Corp. | 2,100 | 81,723 | ||||||
Canon, Inc. | 4,200 | 112,317 | ||||||
Central Japan Railway Co. | 1,400 | 288,693 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
126
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 16.7% (continued) | ||||||||
Chubu Electric Power Co., Inc. | 3,700 | $ | 53,671 | |||||
Chugai Pharmaceutical Co. Ltd. | 7,200 | 562,660 | ||||||
Chugoku Electric Power Co., Inc. (The) | 5,800 | 74,640 | ||||||
CyberAgent, Inc. | 1,500 | 57,821 | ||||||
Daicel Corp. | 5,700 | 48,493 | ||||||
Daifuku Co. Ltd. | 1,100 | 57,229 | ||||||
Daiichi Sankyo Co. Ltd. | 10,300 | 650,851 | ||||||
Daikin Industries Ltd. | 1,200 | 158,267 | ||||||
Daito Trust Construction Co. Ltd. | 700 | 89,655 | ||||||
Daiwa House Industry Co. Ltd. | 2,900 | 94,264 | ||||||
FamilyMart Co. Ltd. | 4,200 | 102,620 | ||||||
Fast Retailing Co. Ltd. | 1,100 | 656,204 | ||||||
Fuji Electric Co. Ltd. | 1,200 | 37,000 | ||||||
FUJIFILM Holdings Corp. | 2,000 | 88,101 | ||||||
Fujitsu Ltd. | 600 | 48,222 | ||||||
GMO Payment Gateway, Inc. | 700 | 46,986 | ||||||
Hikari Tsushin, Inc. | 500 | 108,472 | ||||||
Hoya Corp. | 6,900 | 565,130 | ||||||
Iida Group Holdings Co. Ltd. | 2,400 | 39,186 | ||||||
ITOCHU Corp. | 11,400 | 236,135 | ||||||
Japan Airlines Co. Ltd. | 2,300 | 68,309 | ||||||
Japan Prime Realty Investment Corp., REIT | 28 | 132,880 | ||||||
Japan Real Estate Investment Corp., REIT | 41 | 274,958 | ||||||
Japan Retail Fund Investment Corp., REIT | 46 | 97,336 | ||||||
Kakaku.com, Inc. | 3,100 | 76,581 | ||||||
Kaneka Corp. | 1,400 | 43,874 | ||||||
Kansai Electric Power Co., Inc. (The) | 8,200 | 91,842 | ||||||
Kao Corp. | 4,400 | 326,379 | ||||||
Keihan Holdings Co. Ltd. | 2,600 | 115,852 | ||||||
Keio Corp. | 1,000 | 62,441 | ||||||
Keisei Electric Railway Co. Ltd. | 2,700 | 111,465 | ||||||
Keyence Corp. | 600 | 373,474 | ||||||
Kikkoman Corp. | 4,200 | 201,493 | ||||||
Kirin Holdings Co. Ltd. | 6,500 | 138,319 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 800 | 61,097 | ||||||
Konami Holdings Corp. | 2,600 | 125,953 | ||||||
Kose Corp. | 600 | 101,873 | ||||||
Kyocera Corp. | 1,300 | 81,056 | ||||||
Kyowa Kirin Co. Ltd. | 2,300 | 44,791 | ||||||
Lion Corp. | 4,900 | 96,934 | ||||||
M3, Inc. | 2,800 | 67,760 | ||||||
Marui Group Co. Ltd. | 7,000 | 148,312 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 3,000 | 145,312 | ||||||
MEIJI Holdings Co. Ltd. | 1,100 | 80,462 | ||||||
Mitsubishi Corp. | 9,100 | 224,069 | ||||||
Mitsui & Co. Ltd. | 5,500 | 90,345 | ||||||
MonotaRO Co. Ltd. | 2,400 | 63,308 | ||||||
Murata Manufacturing Co. Ltd. | 3,800 | 184,177 | ||||||
Nexon Co. Ltd. * | 3,700 | 44,956 | ||||||
Nintendo Co. Ltd. | 200 | 74,499 | ||||||
Nippon Building Fund, Inc., REIT | 52 | 399,524 | ||||||
Nippon Electric Glass Co. Ltd. | 1,600 | 35,775 | ||||||
Nippon Express Co. Ltd. | 1,000 | 51,217 | ||||||
Nippon Paint Holdings Co. Ltd. | 1,800 | 94,145 | ||||||
Nippon Prologis REIT, Inc., REIT | 12 | 32,905 | ||||||
Nippon Telegraph & Telephone Corp. | 3,200 | 153,100 | ||||||
Nissan Chemical Corp. | 1,200 | 50,245 | ||||||
Nisshin Seifun Group, Inc. | 5,000 | 92,716 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 16.7% (continued) | ||||||||
Nissin Foods Holdings Co. Ltd. | 900 | $ | 65,224 | |||||
Nitori Holdings Co. Ltd. | 1,500 | 220,124 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | 36 | 65,023 | ||||||
Nomura Research Institute Ltd. | 8,250 | 164,851 | ||||||
NTT Data Corp. | 12,500 | 162,232 | ||||||
NTT DOCOMO, Inc. | 13,600 | 347,271 | ||||||
Obayashi Corp. | 5,200 | 52,005 | ||||||
Obic Co. Ltd. | 2,600 | 297,938 | ||||||
Ono Pharmaceutical Co. Ltd. | 1,800 | 32,782 | ||||||
Oracle Corp. Japan | 1,300 | 113,329 | ||||||
Oriental Land Co. Ltd. | 5,200 | 792,561 | ||||||
Otsuka Corp. | 1,000 | 40,022 | ||||||
Otsuka Holdings Co. Ltd. | 1,200 | 45,078 | ||||||
Pan Pacific International Holdings Corp. | 5,200 | 87,060 | ||||||
Park24 Co. Ltd. | 2,900 | 67,370 | ||||||
PeptiDream, Inc. * | 700 | 33,459 | ||||||
Rakuten, Inc. | 5,800 | 57,493 | ||||||
Recruit Holdings Co. Ltd. | 13,800 | 421,638 | ||||||
Ryohin Keikaku Co. Ltd. | 3,000 | 56,240 | ||||||
Santen Pharmaceutical Co. Ltd. | 3,800 | 66,407 | ||||||
Secom Co. Ltd. | 900 | 82,355 | ||||||
SG Holdings Co. Ltd. | 2,300 | 56,364 | ||||||
Shimadzu Corp. | 4,600 | 116,965 | ||||||
Shimano, Inc. | 1,100 | 166,214 | ||||||
Shimizu Corp. | 6,600 | 59,954 | ||||||
Shin-Etsu Chemical Co. Ltd. | 300 | 32,283 | ||||||
Shionogi & Co. Ltd. | 4,300 | 239,738 | ||||||
Shiseido Co. Ltd. | 4,600 | 369,192 | ||||||
SoftBank Group Corp. | 14,500 | 572,176 | ||||||
Sohgo Security Services Co. Ltd. | 2,000 | 105,190 | ||||||
Sony Corp. | 1,400 | 82,751 | ||||||
Sony Financial Holdings, Inc. | 2,900 | 63,145 | ||||||
Stanley Electric Co. Ltd. | 1,500 | 39,953 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 4,900 | 81,072 | ||||||
Sumitomo Realty & Development Co. Ltd. | 3,000 | 114,528 | ||||||
Suzuken Co. Ltd. | 1,100 | 59,213 | ||||||
Suzuki Motor Corp. | 1,500 | 63,899 | ||||||
Taisei Corp. | 1,900 | 73,942 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 500 | 36,560 | ||||||
TDK Corp. | 600 | 54,238 | ||||||
Terumo Corp. | 12,200 | 394,770 | ||||||
Toho Gas Co. Ltd. | 2,200 | 84,374 | ||||||
Tokio Marine Holdings, Inc. | 6,500 | 348,707 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 20,300 | 99,562 | ||||||
Tokyo Electron Ltd. | 200 | 38,425 | ||||||
Toyota Motor Corp. | 9,300 | 624,590 | ||||||
Trend Micro, Inc. | 3,300 | 157,702 | ||||||
Unicharm Corp. | 4,300 | 136,671 | ||||||
United Urban Investment Corp., REIT | 49 | 93,872 | ||||||
USS Co. Ltd. | 4,900 | 95,425 | ||||||
West Japan Railway Co. | 1,000 | 84,611 | ||||||
Yakult Honsha Co. Ltd. | 2,200 | 123,503 | ||||||
Yamaha Corp. | 5,500 | 247,968 | ||||||
Yokogawa Electric Corp. | 2,900 | 53,290 | ||||||
|
| |||||||
18,485,368 | ||||||||
|
| |||||||
Macau - 0.1% | ||||||||
Sands China Ltd. | 12,800 | 57,839 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
127
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Macau - 0.1% (continued) | ||||||||
SJM Holdings Ltd. | 47,000 | $ | 44,637 | |||||
|
| |||||||
102,476 | ||||||||
|
| |||||||
Netherlands - 4.7% | ||||||||
Adyen NV *(b) | 109 | 71,681 | ||||||
Akzo Nobel NV (a) | 2,058 | 183,373 | ||||||
ASML Holding NV | 3,817 | 946,667 | ||||||
Koninklijke Ahold Delhaize NV | 20,261 | 506,680 | ||||||
Koninklijke DSM NV | 2,023 | 243,532 | ||||||
Koninklijke Philips NV | 15,379 | 710,649 | ||||||
NN Group NV | 3,452 | 122,334 | ||||||
Royal Dutch Shell plc, Class A | 33,475 | 981,754 | ||||||
Royal Dutch Shell plc, Class B | 22,851 | 675,372 | ||||||
Wolters Kluwer NV | 10,278 | 749,935 | ||||||
|
| |||||||
5,191,977 | ||||||||
|
| |||||||
Norway - 0.3% | ||||||||
Mowi ASA | 10,990 | 253,838 | ||||||
Telenor ASA | 4,865 | 97,611 | ||||||
|
| |||||||
351,449 | ||||||||
|
| |||||||
Singapore - 0.8% | ||||||||
Ascendas REIT, REIT | 24,300 | 54,880 | ||||||
CapitaLand Commercial Trust, REIT | 39,000 | 58,437 | ||||||
CapitaLand Mall Trust, REIT | 17,500 | 33,315 | ||||||
DBS Group Holdings Ltd. | 28,000 | 506,550 | ||||||
Singapore Telecommunications Ltd. | 32,600 | 73,146 | ||||||
United Overseas Bank Ltd. | 6,800 | 126,378 | ||||||
UOL Group Ltd. | 9,700 | 52,675 | ||||||
|
| |||||||
905,381 | ||||||||
|
| |||||||
South Africa - 0.6% | ||||||||
Anglo American plc | 27,870 | 640,508 | ||||||
|
| |||||||
Spain - 2.7% | ||||||||
Aena SME SA (b) | 481 | 88,049 | ||||||
Amadeus IT Group SA | 8,587 | 615,272 | ||||||
Cellnex Telecom SA *(b) | 1,749 | 72,240 | ||||||
Endesa SA | 11,772 | 309,671 | ||||||
Ferrovial SA | 7,001 | 202,281 | ||||||
Grifols SA | 3,042 | 89,672 | ||||||
Iberdrola SA | 98,449 | 1,023,256 | ||||||
Naturgy Energy Group SA | 13,664 | 362,407 | ||||||
Red Electrica Corp. SA | 12,644 | 256,114 | ||||||
|
| |||||||
3,018,962 | ||||||||
|
| |||||||
Sweden - 1.9% | ||||||||
Assa Abloy AB, Class B | 11,725 | 260,661 | ||||||
Atlas Copco AB, Class A | 1,855 | 57,121 | ||||||
Essity AB, Class B | 2,275 | 66,381 | ||||||
Hennes & Mauritz AB, Class B (a) | 8,534 | 165,426 | ||||||
Hexagon AB, Class B | 4,438 | 213,779 | ||||||
ICA Gruppen AB | 1,355 | 62,579 | ||||||
Investor AB, Class B | 1,829 | 89,323 | ||||||
Lundin Petroleum AB | 1,027 | 30,788 | ||||||
Sandvik AB | 13,130 | 204,407 | ||||||
Swedish Match AB | 7,375 | 305,016 | ||||||
Tele2 AB, Class B | 8,627 | 128,304 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 45,047 | 359,761 |
INVESTMENTS | SHARES | VALUE | ||||||
Sweden - 1.9% (continued) | ||||||||
Telia Co. AB | 23,494 | $ | 105,100 | |||||
|
| |||||||
2,048,646 | ||||||||
|
| |||||||
Switzerland - 14.1% | ||||||||
Alcon, Inc. * | 6,118 | 356,862 | ||||||
Baloise Holding AG (Registered) | 623 | 111,626 | ||||||
Barry Callebaut AG (Registered) | 80 | 165,002 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 18 | 132,942 | ||||||
Cie Financiere Richemont SA (Registered) | 3,416 | 250,344 | ||||||
Coca-Cola HBC AG * | 2,201 | 71,886 | ||||||
EMS-Chemie Holding AG (Registered) | 421 | 262,324 | ||||||
Geberit AG (Registered) | 528 | 252,324 | ||||||
Givaudan SA (Registered) | 140 | 390,743 | ||||||
Kuehne + Nagel International AG (Registered) | 329 | 48,413 | ||||||
Lonza Group AG (Registered) * | 1,695 | 573,607 | ||||||
Nestle SA (Registered) | 42,206 | 4,577,432 | ||||||
Novartis AG (Registered) | 31,062 | 2,695,778 | ||||||
Partners Group Holding AG | 1,085 | 833,233 | ||||||
Roche Holding AG | 9,722 | 2,830,703 | ||||||
Schindler Holding AG | 229 | 51,247 | ||||||
SGS SA (Registered) | 15 | 37,184 | ||||||
Sika AG (Registered) (a) | 2,399 | 351,002 | ||||||
Sonova Holding AG (Registered) | 898 | 208,947 | ||||||
STMicroelectronics NV | 10,182 | 197,040 | ||||||
Straumann Holding AG (Registered) | 464 | 379,528 | ||||||
Swiss Life Holding AG (Registered) | 292 | 139,605 | ||||||
Swiss Re AG | 1,392 | 145,247 | ||||||
Swisscom AG (Registered) | 108 | 53,284 | ||||||
Temenos AG (Registered) * | 235 | 39,351 | ||||||
Vifor Pharma AG (a) | 561 | 89,664 | ||||||
Zurich Insurance Group AG | 856 | 327,855 | ||||||
|
| |||||||
15,573,173 | ||||||||
|
| |||||||
United Kingdom - 7.8% | ||||||||
3i Group plc | 5,219 | 74,696 | ||||||
Admiral Group plc | 1,746 | 45,404 | ||||||
Ashtead Group plc | 4,765 | 132,512 | ||||||
Associated British Foods plc | 1,417 | 40,114 | ||||||
AstraZeneca plc | 13,590 | 1,213,440 | ||||||
Auto Trader Group plc (b) | 29,518 | 185,009 | ||||||
BAE Systems plc | 37,113 | 259,913 | ||||||
Barratt Developments plc | 7,602 | 60,517 | ||||||
BP plc | 125,565 | 794,923 | ||||||
British American Tobacco plc | 18,876 | 697,096 | ||||||
Bunzl plc | 6,811 | 178,036 | ||||||
CNH Industrial NV | 5,768 | 58,736 | ||||||
Compass Group plc | 27,316 | 702,915 | ||||||
Diageo plc | 1,887 | 77,085 | ||||||
Direct Line Insurance Group plc | 42,210 | 155,734 | ||||||
Experian plc | 5,258 | 168,146 | ||||||
GlaxoSmithKline plc | 17,591 | 377,056 | ||||||
HSBC Holdings plc | 119,863 | 918,423 | ||||||
Intertek Group plc | 3,758 | 252,959 | ||||||
Legal & General Group plc | 45,149 | 137,809 | ||||||
Persimmon plc | 12,600 | 336,044 | ||||||
Prudential plc | 20,491 | 371,322 | ||||||
Reckitt Benckiser Group plc | 5,607 | 437,791 | ||||||
Sage Group plc (The) | 32,325 | 274,703 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
128
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
United Kingdom - 7.8% (continued) | ||||||||
Smith & Nephew plc | 3,009 | $ | 72,462 | |||||
Taylor Wimpey plc | 76,759 | 152,361 | ||||||
Unilever NV | 1,252 | 75,179 | ||||||
Vodafone Group plc | 172,430 | 343,533 | ||||||
Whitbread plc | 1,309 | 69,088 | ||||||
|
| |||||||
8,663,006 | ||||||||
|
| |||||||
United States - 0.2% | ||||||||
Bausch Health Cos., Inc. (1)* | 5,891 | 128,505 | ||||||
QIAGEN NV * | 2,407 | 78,826 | ||||||
|
| |||||||
207,331 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 104,722,589 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.5% | ||||||||
INVESTMENT COMPANIES - 3.5% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(d) | ||||||||
(Cost $3,876,945) | 3,877,135 | 3,877,523 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.8% | ||||||||
Investment Companies - 0.8% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (1)(d)(e) | 112,629 | 112,629 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (1)(d)(e) | 808,226 | 808,307 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 920,936 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.0% | 109,521,048 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.0% (f) | 1,141,490 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 110,662,538 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 5,505,152 | 5.0 | % | ||||
Consumer Discretionary | 10,798,838 | 9.8 | ||||||
Consumer Staples | 12,820,603 | 11.6 | ||||||
Energy | 4,751,409 | 4.3 | ||||||
Financials | 14,634,790 | 13.2 | ||||||
Health Care | 16,607,859 | 15.0 | ||||||
Industrials | 11,819,682 | 10.7 | ||||||
Information Technology | 9,253,666 | 8.4 | ||||||
Materials | 6,220,632 | 5.6 | ||||||
Real Estate | 4,728,709 | 4.3 | ||||||
Utilities | 7,581,249 | 6.8 | ||||||
Short-Term Investments | 3,877,523 | 3.5 | ||||||
Securities Lending Collateral | 920,936 | 0.8 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 109,521,048 | 99.0 | ||||||
Other Assets in Excess of Liabilities (f) | 1,141,490 | 1.0 | ||||||
|
|
|
| |||||
Net Assets | $ | 110,662,538 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $1,256,112. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $1,540,681, which represents approximately 1.39% of net assets of the fund. |
(c) | Represents less than 0.05% of net assets. |
(d) | Represents 7-day effective yield as of September 30, 2019. |
(e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $392,990 was received. (See Note 3). |
(f) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI EAFEE-Mini Index | 46 | 12/2019 | USD | $4,366,320 | $(14,075 | ) | ||||||||||||
|
| |||||||||||||||||
$(14,075 | ) | |||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
129
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR TM INTERNATIONAL MOMENTUM STYLE FUND |
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $257,190 | $257,190 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
130
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 95.7% | ||||||||
Aerospace & Defense - 1.1% | ||||||||
Boeing Co. (The) | 50,693 | $ | 19,287,166 | |||||
Curtiss-Wright Corp. | 19,992 | 2,586,365 | ||||||
General Dynamics Corp. | 15,365 | 2,807,646 | ||||||
Hexcel Corp. | 15,872 | 1,303,567 | ||||||
Huntington Ingalls Industries, Inc. | 5,644 | 1,195,343 | ||||||
L3Harris Technologies, Inc. | 6,782 | 1,414,997 | ||||||
Lockheed Martin Corp. | 20,121 | 7,848,397 | ||||||
Northrop Grumman Corp. | 17,631 | 6,607,923 | ||||||
Teledyne Technologies, Inc. * | 18,754 | 6,038,600 | ||||||
United Technologies Corp. | 33,592 | 4,585,980 | ||||||
|
| |||||||
53,675,984 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.4% | ||||||||
CH Robinson Worldwide, Inc. | 89,699 | 7,604,681 | ||||||
Expeditors International of Washington, Inc. | 71,959 | 5,345,834 | ||||||
FedEx Corp. | 49,790 | 7,247,931 | ||||||
|
| |||||||
20,198,446 | ||||||||
|
| |||||||
Airlines - 0.3% | ||||||||
Southwest Airlines Co. | 258,809 | 13,978,274 | ||||||
|
| |||||||
Banks - 3.5% | ||||||||
Bank of Hawaii Corp. (a) | 23,703 | 2,036,799 | ||||||
BB&T Corp. | 52,967 | 2,826,849 | ||||||
Commerce Bancshares, Inc. (a) | 45,185 | 2,740,470 | ||||||
Cullen/Frost Bankers, Inc. | 52,073 | 4,611,064 | ||||||
East West Bancorp, Inc. | 291,155 | 12,895,255 | ||||||
First Citizens BancShares, Inc., Class A | 4,244 | 2,001,258 | ||||||
First Hawaiian, Inc. | 94,612 | 2,526,141 | ||||||
JPMorgan Chase & Co. | 262,187 | 30,856,788 | ||||||
M&T Bank Corp. | 80,894 | 12,778,825 | ||||||
People’s United Financial, Inc. | 45,420 | 710,142 | ||||||
PNC Financial Services Group, Inc. (The) | 119,876 | 16,801,820 | ||||||
Popular, Inc. (United States) | 60,655 | 3,280,222 | ||||||
Prosperity Bancshares, Inc. (a) | 29,817 | 2,105,975 | ||||||
SVB Financial Group * | 127,147 | 26,567,366 | ||||||
US Bancorp | 621,018 | 34,367,136 | ||||||
Wells Fargo & Co. | 309,769 | 15,624,748 | ||||||
|
| |||||||
172,730,858 | ||||||||
|
| |||||||
Beverages - 3.4% | ||||||||
Brown-Forman Corp., Class B | 111,860 | 7,022,571 | ||||||
Coca-Cola Co. (The) | 1,268,460 | 69,054,962 | ||||||
Constellation Brands, Inc., Class A | 18,000 | 3,731,040 | ||||||
Monster Beverage Corp. * | 314,672 | 18,269,856 | ||||||
PepsiCo, Inc. | 520,556 | 71,368,228 | ||||||
|
| |||||||
169,446,657 | ||||||||
|
| |||||||
Biotechnology - 1.1% | ||||||||
AbbVie, Inc. | 20,922 | 1,584,214 | ||||||
Alexion Pharmaceuticals, Inc. * | 43,227 | 4,233,653 | ||||||
Alkermes plc * | 75,914 | 1,481,082 | ||||||
Amgen, Inc. | 41,330 | 7,997,768 | ||||||
Biogen, Inc. * | 155,265 | 36,148,797 | ||||||
Gilead Sciences, Inc. | 14,268 | 904,306 |
INVESTMENTS | SHARES | VALUE | ||||||
Biotechnology - 1.1% (continued) | ||||||||
Seattle Genetics, Inc. * | 19,065 | $ | 1,628,151 | |||||
Vertex Pharmaceuticals, Inc. * | 11,076 | 1,876,496 | ||||||
|
| |||||||
55,854,467 | ||||||||
|
| |||||||
Capital Markets - 3.8% | ||||||||
Ameriprise Financial, Inc. | 70,785 | 10,412,474 | ||||||
BlackRock, Inc. | 61,392 | 27,358,731 | ||||||
Cboe Global Markets, Inc. | 49,690 | 5,709,878 | ||||||
CME Group, Inc. | 201,830 | 42,654,752 | ||||||
FactSet Research Systems, Inc. | 20,618 | 5,009,555 | ||||||
Intercontinental Exchange, Inc. | 287,999 | 26,573,668 | ||||||
Morningstar, Inc. | 3,789 | 553,724 | ||||||
MSCI, Inc. | 2,198 | 478,615 | ||||||
Nasdaq, Inc. | 20,719 | 2,058,433 | ||||||
Northern Trust Corp. | 19,826 | 1,850,162 | ||||||
S&P Global, Inc. | 104,478 | 25,595,020 | ||||||
SEI Investments Co. | 71,226 | 4,220,497 | ||||||
State Street Corp. | 216,502 | 12,814,753 | ||||||
T. Rowe Price Group, Inc. | 175,718 | 20,075,782 | ||||||
|
| |||||||
185,366,044 | ||||||||
|
| |||||||
Chemicals - 3.1% | ||||||||
Air Products & Chemicals, Inc. | 114,815 | 25,472,856 | ||||||
Celanese Corp. | 5,974 | 730,561 | ||||||
Ecolab, Inc. | 258,761 | 51,245,028 | ||||||
Linde plc (United Kingdom) | 154,233 | 29,878,017 | ||||||
NewMarket Corp. | 4,069 | 1,920,934 | ||||||
PPG Industries, Inc. | 121,179 | 14,360,923 | ||||||
Sherwin-Williams Co. (The) | 56,210 | 30,908,193 | ||||||
|
| |||||||
154,516,512 | ||||||||
|
| |||||||
Commercial Services & Supplies - 1.2% | ||||||||
Cintas Corp. (a) | 44,118 | 11,828,036 | ||||||
Copart, Inc. * | 38,099 | 3,060,493 | ||||||
Republic Services, Inc. | 142,026 | 12,292,350 | ||||||
Rollins, Inc. | 122,701 | 4,180,423 | ||||||
Waste Management, Inc. | 252,734 | 29,064,410 | ||||||
|
| |||||||
60,425,712 | ||||||||
|
| |||||||
Communications Equipment - 1.1% | ||||||||
Cisco Systems, Inc. | 926,161 | 45,761,615 | ||||||
F5 Networks, Inc. * | 54,899 | 7,708,918 | ||||||
Ubiquiti, Inc. | 5,328 | 630,089 | ||||||
|
| |||||||
54,100,622 | ||||||||
|
| |||||||
Construction & Engineering - 0.1% | ||||||||
Fluor Corp. | 281,285 | 5,380,982 | ||||||
|
| |||||||
Consumer Finance - 1.4% | ||||||||
American Express Co. | 344,237 | 40,716,352 | ||||||
Capital One Financial Corp. | 19,510 | 1,775,020 | ||||||
Credit Acceptance Corp. *(a) | 21,887 | 10,096,692 | ||||||
Discover Financial Services | 196,737 | 15,953,403 | ||||||
Synchrony Financial | 54,263 | 1,849,826 | ||||||
|
| |||||||
70,391,293 | ||||||||
|
| |||||||
Containers & Packaging - 0.1% | ||||||||
AptarGroup, Inc. (a) | 20,164 | 2,388,426 | ||||||
Avery Dennison Corp. | 15,124 | 1,717,632 | ||||||
|
| |||||||
4,106,058 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
131
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Distributors - 0.1% | ||||||||
Pool Corp. | 21,125 | $ | 4,260,912 | |||||
|
| |||||||
Diversified Consumer Services - 0.2% | ||||||||
Bright Horizons Family Solutions, Inc. * | 18,637 | 2,842,142 | ||||||
H&R Block, Inc. | 271,556 | 6,414,153 | ||||||
|
| |||||||
9,256,295 | ||||||||
|
| |||||||
Diversified Financial Services - 0.0% (b) | ||||||||
Voya Financial, Inc. | 35,946 | 1,956,900 | ||||||
|
| |||||||
Diversified Telecommunication Services - 0.6% | ||||||||
AT&T, Inc. | 61,326 | 2,320,576 | ||||||
Verizon Communications, Inc. | 486,561 | 29,368,822 | ||||||
|
| |||||||
31,689,398 | ||||||||
|
| |||||||
Electric Utilities - 6.0% | ||||||||
Alliant Energy Corp. | 134,337 | 7,244,794 | ||||||
American Electric Power Co., Inc. | 260,774 | 24,431,916 | ||||||
Avangrid, Inc. (a) | 36,658 | 1,915,381 | ||||||
Duke Energy Corp. | 381,633 | 36,583,339 | ||||||
Edison International | 75,868 | 5,721,965 | ||||||
Entergy Corp. | 74,666 | 8,762,802 | ||||||
Evergy, Inc. | 183,274 | 12,198,717 | ||||||
Eversource Energy | 174,252 | 14,893,318 | ||||||
Exelon Corp. | 541,618 | 26,165,566 | ||||||
FirstEnergy Corp. | 35,730 | 1,723,258 | ||||||
Hawaiian Electric Industries, Inc. | 36,982 | 1,686,749 | ||||||
IDACORP, Inc. | 17,553 | 1,977,697 | ||||||
NextEra Energy, Inc. | 267,364 | 62,293,138 | ||||||
OGE Energy Corp. | 161,643 | 7,335,359 | ||||||
Pinnacle West Capital Corp. | 157,557 | 15,294,058 | ||||||
PPL Corp. | 513,675 | 16,175,626 | ||||||
Southern Co. (The) | 473,072 | 29,221,657 | ||||||
Xcel Energy, Inc. | 318,018 | 20,636,188 | ||||||
|
| |||||||
294,261,528 | ||||||||
|
| |||||||
Electrical Equipment - 0.4% | ||||||||
Emerson Electric Co. | 124,580 | 8,329,419 | ||||||
Hubbell, Inc. | 9,562 | 1,256,447 | ||||||
Rockwell Automation, Inc. | 59,943 | 9,878,606 | ||||||
|
| |||||||
19,464,472 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.5% | ||||||||
Amphenol Corp., Class A | 72,890 | 7,033,885 | ||||||
Cognex Corp. | 152,203 | 7,477,733 | ||||||
Dolby Laboratories, Inc., Class A | 26,488 | 1,712,184 | ||||||
FLIR Systems, Inc. (a) | 42,716 | 2,246,435 | ||||||
Keysight Technologies, Inc. * | 9,092 | 884,197 | ||||||
Littelfuse, Inc. | 10,291 | 1,824,697 | ||||||
National Instruments Corp. | 44,104 | 1,851,927 | ||||||
|
| |||||||
23,031,058 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.5% | ||||||||
Schlumberger Ltd. | 685,576 | 23,426,132 | ||||||
|
| |||||||
Entertainment - 0.5% | ||||||||
Live Nation Entertainment, Inc. *(a) | 15,388 | 1,020,840 | ||||||
Madison Square Garden Co. (The), Class A * | 11,138 | 2,935,086 |
INVESTMENTS | SHARES | VALUE | ||||||
Entertainment - 0.5% (continued) | ||||||||
Netflix, Inc. * | 9,355 | $ | 2,503,585 | |||||
Spotify Technology SA *(a) | 78,546 | 8,954,244 | ||||||
Walt Disney Co. (The) | 72,775 | 9,484,038 | ||||||
|
| |||||||
24,897,793 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 0.1% | ||||||||
Lamar Advertising Co., Class A | 20,075 | 1,644,745 | ||||||
Simon Property Group, Inc. (a) | 6,160 | 958,804 | ||||||
|
| |||||||
2,603,549 | ||||||||
|
| |||||||
Food & Staples Retailing - 2.9% | ||||||||
Casey’s General Stores, Inc. | 48,111 | 7,753,569 | ||||||
Costco Wholesale Corp. | 185,464 | 53,434,033 | ||||||
Sprouts Farmers Market, Inc. * | 110,792 | 2,142,717 | ||||||
Sysco Corp. | 264,417 | 20,994,710 | ||||||
Walmart, Inc. | 489,668 | 58,113,798 | ||||||
|
| |||||||
142,438,827 | ||||||||
|
| |||||||
Food Products - 3.5% | ||||||||
Archer-Daniels-Midland Co. | 25,226 | 1,036,032 | ||||||
Campbell Soup Co. (a) | 196,117 | 9,201,810 | ||||||
Flowers Foods, Inc. | 79,175 | 1,831,318 | ||||||
General Mills, Inc. | 163,312 | 9,001,757 | ||||||
Hershey Co. (The) | 127,713 | 19,794,238 | ||||||
Hormel Foods Corp. | 394,637 | 17,257,476 | ||||||
Ingredion, Inc. | 86,917 | 7,104,595 | ||||||
JM Smucker Co. (The) (a) | 91,413 | 10,057,258 | ||||||
Kellogg Co. | 99,241 | 6,386,158 | ||||||
Kraft Heinz Co. (The) | 583,665 | 16,304,682 | ||||||
Lamb Weston Holdings, Inc. | 200,108 | 14,551,854 | ||||||
McCormick & Co., Inc.(Non-Voting) | 112,509 | 17,585,157 | ||||||
Mondelez International, Inc., Class A | 672,635 | 37,210,168 | ||||||
Pilgrim’s Pride Corp. * | 70,459 | 2,257,859 | ||||||
Post Holdings, Inc. *(a) | 17,880 | 1,892,419 | ||||||
|
| |||||||
171,472,781 | ||||||||
|
| |||||||
Gas Utilities - 0.4% | ||||||||
Atmos Energy Corp. | 111,656 | 12,716,502 | ||||||
UGI Corp. | 126,607 | 6,364,534 | ||||||
|
| |||||||
19,081,036 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 4.2% | ||||||||
Abbott Laboratories | 163,950 | 13,717,696 | ||||||
ABIOMED, Inc. * | 23,266 | 4,138,789 | ||||||
Align Technology, Inc. * | 73,036 | 13,213,673 | ||||||
Baxter International, Inc. | 19,782 | 1,730,331 | ||||||
Becton Dickinson and Co. | 37,706 | 9,538,110 | ||||||
Cooper Cos., Inc. (The) | 33,784 | 10,033,848 | ||||||
Danaher Corp. | 181,447 | 26,206,390 | ||||||
Edwards Lifesciences Corp. * | 127,869 | 28,119,672 | ||||||
IDEXX Laboratories, Inc. * | 22,642 | 6,157,039 | ||||||
Intuitive Surgical, Inc. * | 79,607 | 42,982,207 | ||||||
Masimo Corp. * | 40,742 | 6,062,002 | ||||||
Medtronic plc | 112,448 | 12,214,102 | ||||||
ResMed, Inc. | 68,888 | 9,307,458 | ||||||
Stryker Corp. | 70,579 | 15,266,238 | ||||||
Varian Medical Systems, Inc. * | 46,830 | 5,576,985 | ||||||
West Pharmaceutical Services, Inc. | 34,960 | 4,958,027 | ||||||
|
| |||||||
209,222,567 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
132
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Providers & Services - 1.0% | ||||||||
Chemed Corp. | 10,766 | $ | 4,495,559 | |||||
Encompass Health Corp. | 10,920 | 691,017 | ||||||
Henry Schein, Inc. * | 285,618 | 18,136,743 | ||||||
MEDNAX, Inc. * | 106,355 | 2,405,750 | ||||||
Premier, Inc., Class A * | 25,286 | 731,271 | ||||||
UnitedHealth Group, Inc. | 116,052 | 25,220,421 | ||||||
|
| |||||||
51,680,761 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 3.9% | ||||||||
Chipotle Mexican Grill, Inc. * | 20,606 | 17,318,725 | ||||||
Choice Hotels International, Inc. | 18,775 | 1,670,224 | ||||||
Darden Restaurants, Inc. | 152,833 | 18,067,917 | ||||||
Domino’s Pizza, Inc. (a) | 7,702 | 1,883,832 | ||||||
Dunkin’ Brands Group, Inc. | 65,939 | 5,232,919 | ||||||
Las Vegas Sands Corp. | 59,338 | 3,427,363 | ||||||
McDonald’s Corp. | 290,411 | 62,354,146 | ||||||
Starbucks Corp. | 719,142 | 63,586,536 | ||||||
Wyndham Destinations, Inc. | 40,905 | 1,882,448 | ||||||
Yum! Brands, Inc. | 152,915 | 17,345,148 | ||||||
|
| |||||||
192,769,258 | ||||||||
|
| |||||||
Household Durables - 0.2% | ||||||||
Garmin Ltd. | 87,608 | 7,419,522 | ||||||
|
| |||||||
Household Products - 2.8% | ||||||||
Church & Dwight Co., Inc. | 132,027 | 9,933,711 | ||||||
Clorox Co. (The) | 123,640 | 18,777,207 | ||||||
Colgate-Palmolive Co. | 355,709 | 26,148,169 | ||||||
Kimberly-Clark Corp. | 82,880 | 11,773,104 | ||||||
Procter & Gamble Co. (The) | 563,925 | 70,140,991 | ||||||
|
| |||||||
136,773,182 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.3% | ||||||||
Vistra Energy Corp. | 494,057 | 13,206,144 | ||||||
|
| |||||||
Industrial Conglomerates - 1.6% | ||||||||
3M Co. | 202,997 | 33,372,707 | ||||||
Honeywell International, Inc. | 239,160 | 40,465,872 | ||||||
Roper Technologies, Inc. | 17,209 | 6,136,729 | ||||||
|
| |||||||
79,975,308 | ||||||||
|
| |||||||
Insurance - 6.8% | ||||||||
Aflac, Inc. | 328,132 | 17,167,866 | ||||||
Alleghany Corp. * | 13,283 | 10,596,646 | ||||||
Allstate Corp. (The) | 217,397 | 23,626,706 | ||||||
American Financial Group, Inc. | 33,010 | 3,560,128 | ||||||
Aon plc | 127,922 | 24,761,862 | ||||||
Arch Capital Group Ltd. * | 108,156 | 4,540,389 | ||||||
Arthur J Gallagher & Co. | 96,160 | 8,613,051 | ||||||
Assurant, Inc. | 58,831 | 7,402,116 | ||||||
Assured Guaranty Ltd. | 94,144 | 4,185,642 | ||||||
Athene Holding Ltd., Class A * | 66,059 | 2,778,442 | ||||||
Axis Capital Holdings Ltd. | 105,683 | 7,051,170 | ||||||
Brown & Brown, Inc. | 75,396 | 2,718,780 | ||||||
Chubb Ltd. | 238,026 | 38,426,917 | ||||||
Cincinnati Financial Corp. | 58,110 | 6,779,694 | ||||||
CNA Financial Corp. | 21,170 | 1,042,622 | ||||||
Erie Indemnity Co., Class A | 11,545 | 2,143,329 | ||||||
Everest Re Group Ltd. | 49,565 | 13,188,751 |
INVESTMENTS | SHARES | VALUE | ||||||
Insurance - 6.8% (continued) | ||||||||
Fidelity National Financial, Inc. | 186,213 | $ | 8,269,719 | |||||
First American Financial Corp. | 54,220 | 3,199,522 | ||||||
Globe Life, Inc. | 37,452 | 3,586,404 | ||||||
Hanover Insurance Group, Inc. (The) | 27,460 | 3,721,928 | ||||||
Hartford Financial Services Group, Inc. (The) | 96,899 | 5,873,048 | ||||||
Lincoln National Corp. | 139,676 | 8,425,256 | ||||||
Loews Corp. | 14,873 | 765,662 | ||||||
Markel Corp. * | 5,982 | 7,070,126 | ||||||
Marsh & McLennan Cos., Inc. | 189,504 | 18,959,875 | ||||||
Mercury General Corp. | 24,870 | 1,389,736 | ||||||
Old Republic International Corp. | 126,961 | 2,992,471 | ||||||
Progressive Corp. (The) | 284,952 | 22,012,542 | ||||||
Prudential Financial, Inc. | 17,253 | 1,551,907 | ||||||
Reinsurance Group of America, Inc. | 30,379 | 4,856,995 | ||||||
RenaissanceRe Holdings Ltd. (United States) | 54,650 | 10,572,043 | ||||||
Travelers Cos., Inc. (The) | 247,855 | 36,853,560 | ||||||
White Mountains Insurance Group Ltd. | 1,062 | 1,146,960 | ||||||
Willis Towers Watson plc | 56,416 | 10,886,596 | ||||||
WR Berkley Corp. | 92,964 | 6,714,790 | ||||||
|
| |||||||
337,433,251 | ||||||||
|
| |||||||
Interactive Media & Services - 2.1% | ||||||||
Alphabet, Inc., Class A * | 57,107 | 69,735,642 | ||||||
Facebook, Inc., Class A * | 187,694 | 33,424,547 | ||||||
TripAdvisor, Inc. * | 31,219 | 1,207,551 | ||||||
|
| |||||||
104,367,740 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 1.5% | ||||||||
Amazon.com, Inc. * | 26,414 | 45,852,326 | ||||||
Booking Holdings, Inc. * | 14,634 | 28,720,835 | ||||||
|
| |||||||
74,573,161 | ||||||||
|
| |||||||
IT Services - 6.4% | ||||||||
Accenture plc, Class A | 219,184 | 42,160,042 | ||||||
Akamai Technologies, Inc. * | 171,868 | 15,705,298 | ||||||
Amdocs Ltd. | 67,589 | 4,468,309 | ||||||
Automatic Data Processing, Inc. | 173,242 | 27,964,724 | ||||||
Broadridge Financial Solutions, Inc. | 36,384 | 4,527,261 | ||||||
Cognizant Technology Solutions Corp., Class A | 162,010 | 9,763,533 | ||||||
EPAM Systems, Inc. * | 31,704 | 5,780,273 | ||||||
Fiserv, Inc. * | 54,002 | 5,594,067 | ||||||
Gartner, Inc. * | 8,089 | 1,156,646 | ||||||
Genpact Ltd. | 97,293 | 3,770,104 | ||||||
Global Payments, Inc. | 6,121 | 973,239 | ||||||
International Business Machines Corp. | 60,464 | 8,792,675 | ||||||
Jack Henry & Associates, Inc. | 42,360 | 6,183,289 | ||||||
Mastercard, Inc., Class A | 239,652 | 65,082,294 | ||||||
Paychex, Inc. | 182,425 | 15,099,317 | ||||||
PayPal Holdings, Inc. * | 232,443 | 24,078,770 | ||||||
VeriSign, Inc. * | 64,122 | 12,095,333 | ||||||
Visa, Inc., Class A | 367,043 | 63,135,066 | ||||||
|
| |||||||
316,330,240 | ||||||||
|
| |||||||
Leisure Products - 0.0% (b) | ||||||||
Hasbro, Inc. | 15,640 | 1,856,312 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
133
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Life Sciences Tools & Services - 1.8% | ||||||||
Agilent Technologies, Inc. | 138,944 | $ | 10,647,279 | |||||
Bio-Techne Corp. | 15,181 | 2,970,466 | ||||||
Charles River Laboratories International, Inc. * | 15,818 | 2,093,829 | ||||||
Illumina, Inc. *(a) | 70,976 | 21,592,319 | ||||||
Mettler-Toledo International, Inc. * | 13,938 | 9,817,927 | ||||||
PerkinElmer, Inc. | 39,550 | 3,368,473 | ||||||
QIAGEN NV * | 46,281 | 1,525,885 | ||||||
Thermo Fisher Scientific, Inc. | 97,578 | 28,421,544 | ||||||
Waters Corp. * | 28,158 | 6,285,710 | ||||||
|
| |||||||
86,723,432 | ||||||||
|
| |||||||
Machinery - 1.0% | ||||||||
Cummins, Inc. | 9,380 | 1,525,845 | ||||||
Donaldson Co., Inc. (a) | 12,926 | 673,186 | ||||||
Dover Corp. | 41,412 | 4,122,979 | ||||||
Fortive Corp. | 42,185 | 2,892,204 | ||||||
Gates Industrial Corp. plc *(a) | 50,062 | 504,124 | ||||||
IDEX Corp. | 29,273 | 4,797,259 | ||||||
Illinois Tool Works, Inc. | 158,990 | 24,880,345 | ||||||
Lincoln Electric Holdings, Inc. | 27,050 | 2,346,858 | ||||||
Parker-Hannifin Corp. | 22,171 | 4,004,304 | ||||||
Toro Co. (The) | 17,614 | 1,291,106 | ||||||
Xylem, Inc. | 16,449 | 1,309,670 | ||||||
|
| |||||||
48,347,880 | ||||||||
|
| |||||||
Media - 0.3% | ||||||||
Cable One, Inc. | 1,135 | 1,424,084 | ||||||
John Wiley & Sons, Inc., Class A | 18,072 | 794,084 | ||||||
Omnicom Group, Inc. | 154,641 | 12,108,390 | ||||||
|
| |||||||
14,326,558 | ||||||||
|
| |||||||
Metals & Mining - 0.6% | ||||||||
Newmont Goldcorp Corp. | 627,484 | 23,794,193 | ||||||
Royal Gold, Inc. | 38,457 | 4,738,287 | ||||||
|
| |||||||
28,532,480 | ||||||||
|
| |||||||
Multiline Retail - 0.2% | ||||||||
Dollar General Corp. | 36,221 | 5,756,966 | ||||||
Target Corp. | 37,857 | 4,047,292 | ||||||
|
| |||||||
9,804,258 | ||||||||
|
| |||||||
Multi-Utilities - 4.8% | ||||||||
Ameren Corp. (a) | 261,939 | 20,968,217 | ||||||
CenterPoint Energy, Inc. | 529,177 | 15,970,562 | ||||||
CMS Energy Corp. | 224,295 | 14,343,665 | ||||||
Consolidated Edison, Inc. | 292,334 | 27,616,793 | ||||||
Dominion Energy, Inc. | 542,288 | 43,947,020 | ||||||
DTE Energy Co. | 135,871 | 18,065,408 | ||||||
MDU Resources Group, Inc. | 109,166 | 3,077,390 | ||||||
NiSource, Inc. | 163,733 | 4,898,891 | ||||||
Public Service Enterprise Group, Inc. | 279,576 | 17,356,078 | ||||||
Sempra Energy | 256,367 | 37,842,333 | ||||||
WEC Energy Group, Inc. | 326,142 | 31,016,104 | ||||||
|
| |||||||
235,102,461 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.9% | ||||||||
Antero Resources Corp. *(a) | 1,084,346 | 3,274,725 | ||||||
Centennial Resource Development, Inc., Class A *(a) | 801,753 | 3,619,915 |
INVESTMENTS | SHARES | VALUE | ||||||
Oil, Gas & Consumable Fuels - 1.9% (continued) | ||||||||
Chesapeake Energy Corp. *(a) | 3,274,241 | $ | 4,616,680 | |||||
Chevron Corp. | 34,802 | 4,127,517 | ||||||
ConocoPhillips | 17,570 | 1,001,139 | ||||||
EOG Resources, Inc. | 198,222 | 14,712,037 | ||||||
Exxon Mobil Corp. | 458,138 | 32,349,124 | ||||||
ONEOK, Inc. (a) | 294,816 | 21,724,991 | ||||||
Range Resources Corp. (a) | 1,417,813 | 5,416,046 | ||||||
Valero Energy Corp. | 14,002 | 1,193,530 | ||||||
|
| |||||||
92,035,704 | ||||||||
|
| |||||||
Personal Products - 0.6% | ||||||||
Estee Lauder Cos., Inc. (The), Class A | 138,089 | 27,472,807 | ||||||
Nu Skin Enterprises, Inc., Class A | 18,217 | 774,769 | ||||||
|
| |||||||
28,247,576 | ||||||||
|
| |||||||
Pharmaceuticals - 3.8% | ||||||||
Bristol-Myers Squibb Co. | 37,446 | 1,898,886 | ||||||
Eli Lilly & Co. | 354,535 | 39,647,649 | ||||||
Jazz Pharmaceuticals plc * | 8,421 | 1,079,067 | ||||||
Johnson & Johnson | 434,973 | 56,276,807 | ||||||
Merck & Co., Inc. | 322,415 | 27,140,895 | ||||||
Mylan NV * | 652,258 | 12,901,663 | ||||||
Perrigo Co. plc (a) | 73,517 | 4,108,865 | ||||||
Pfizer, Inc. | 548,616 | 19,711,773 | ||||||
Zoetis, Inc. | 208,410 | 25,965,802 | ||||||
|
| |||||||
188,731,407 | ||||||||
|
| |||||||
Professional Services - 0.7% | ||||||||
CoStar Group, Inc. * | 22,785 | 13,516,062 | ||||||
Equifax, Inc. | 9,609 | 1,351,698 | ||||||
Robert Half International, Inc. | 112,127 | 6,240,989 | ||||||
Verisk Analytics, Inc. | 75,313 | 11,909,998 | ||||||
|
| |||||||
33,018,747 | ||||||||
|
| |||||||
Road & Rail - 0.3% | ||||||||
Landstar System, Inc. | 41,886 | 4,715,526 | ||||||
Old Dominion Freight Line, Inc. | 35,782 | 6,081,867 | ||||||
Union Pacific Corp. | 36,731 | 5,949,687 | ||||||
|
| |||||||
16,747,080 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 1.7% | ||||||||
Analog Devices, Inc. | 25,044 | 2,798,166 | ||||||
Broadcom, Inc. | 23,760 | 6,559,423 | ||||||
Intel Corp. | 269,110 | 13,867,238 | ||||||
KLA Corp. | 8,121 | 1,294,893 | ||||||
Lam Research Corp. | 19,572 | 4,523,285 | ||||||
Maxim Integrated Products, Inc. | 43,630 | 2,526,613 | ||||||
Monolithic Power Systems, Inc. | 9,148 | 1,423,703 | ||||||
NVIDIA Corp. | 7,107 | 1,237,116 | ||||||
Skyworks Solutions, Inc. | 17,074 | 1,353,115 | ||||||
Texas Instruments, Inc. | 324,575 | 41,948,073 | ||||||
Xilinx, Inc. | 74,195 | 7,115,301 | ||||||
|
| |||||||
84,646,926 | ||||||||
|
| |||||||
Software - 4.2% | ||||||||
Adobe, Inc. * | 88,961 | 24,575,476 | ||||||
ANSYS, Inc. * | 46,957 | 10,394,402 | ||||||
Aspen Technology, Inc. * | 11,762 | 1,447,667 | ||||||
Cadence Design Systems, Inc. * | 142,727 | 9,431,400 | ||||||
Dropbox, Inc., Class A *(a) | 449,854 | 9,073,555 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
134
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Software - 4.2% (continued) | ||||||||
Fortinet, Inc. * | 204,050 | $ | 15,662,878 | |||||
Intuit, Inc. | 224,689 | 59,753,793 | ||||||
Manhattan Associates, Inc. * | 33,515 | 2,703,655 | ||||||
Microsoft Corp. | 456,536 | 63,472,200 | ||||||
Oracle Corp. | 61,492 | 3,383,905 | ||||||
Pegasystems, Inc. | 8,333 | 567,061 | ||||||
salesforce.com, Inc. * | 19,828 | 2,943,268 | ||||||
Synopsys, Inc. * | 9,270 | 1,272,307 | ||||||
VMware, Inc., Class A | 3,262 | 489,496 | ||||||
|
| |||||||
205,171,063 | ||||||||
|
| |||||||
Specialty Retail - 3.2% | ||||||||
AutoZone, Inc. * | 1,318 | 1,429,529 | ||||||
Best Buy Co., Inc. | 76,448 | 5,274,148 | ||||||
Foot Locker, Inc. | 73,931 | 3,190,862 | ||||||
Home Depot, Inc. (The) | 212,466 | 49,296,361 | ||||||
Lowe’s Cos., Inc. | 211,466 | 23,252,802 | ||||||
O’Reilly Automotive, Inc. * | 26,530 | 10,572,470 | ||||||
Ross Stores, Inc. | 249,469 | 27,404,170 | ||||||
TJX Cos., Inc. (The) | 365,341 | 20,364,107 | ||||||
Tractor Supply Co. | 76,328 | 6,903,104 | ||||||
Ulta Beauty, Inc. * | 14,971 | 3,752,481 | ||||||
Urban Outfitters, Inc. * | 94,021 | 2,641,050 | ||||||
Williams-Sonoma, Inc. | 86,236 | 5,862,323 | ||||||
|
| |||||||
159,943,407 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.4% | ||||||||
Apple, Inc. | 89,420 | 20,027,397 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 1.5% | ||||||||
Capri Holdings Ltd. *(a) | 398,695 | 13,220,726 | ||||||
Lululemon Athletica, Inc. * | 90,544 | 17,432,436 | ||||||
NIKE, Inc., Class B | 428,411 | 40,236,361 | ||||||
VF Corp. | 45,432 | 4,042,994 | ||||||
|
| |||||||
74,932,517 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.0% (b) | ||||||||
TFS Financial Corp. | 26,984 | 486,252 | ||||||
|
| |||||||
Tobacco - 0.3% | ||||||||
Altria Group, Inc. | 161,488 | 6,604,859 | ||||||
Philip Morris International, Inc. | 109,509 | 8,315,019 | ||||||
|
| |||||||
14,919,878 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.1% | ||||||||
Fastenal Co. | 48,978 | 1,600,111 | ||||||
WW Grainger, Inc. | 17,520 | 5,206,068 | ||||||
|
| |||||||
6,806,179 | ||||||||
|
| |||||||
Transportation Infrastructure - 0.1% | ||||||||
Macquarie Infrastructure Corp. | 76,292 | 3,011,245 | ||||||
|
| |||||||
Water Utilities - 0.5% | ||||||||
American Water Works Co., Inc. | 160,112 | 19,890,714 | ||||||
Aqua America, Inc. | 116,730 | 5,233,006 | ||||||
|
| |||||||
25,123,720 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Wireless Telecommunication Services - 0.6% | ||||||||
T-Mobile US, Inc. * | 345,326 | $ | 27,201,329 | |||||
|
| |||||||
TOTAL COMMON STOCKS | 4,717,507,532 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.8% | ||||||||
INVESTMENT COMPANIES - 3.8% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c)(d) | ||||||||
(Cost $183,508,130) | 183,506,793 | 183,525,144 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.9% | ||||||||
Investment Companies - 0.9% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA | ||||||||
BlackRock Liquidity FundsT-Fund Portfolio, Institutional Shares 1.87% (c)(e) | 5,539,502 | 5,539,502 | ||||||
Limited Purpose Cash Investment Fund 2.01% (c)(d)(e) | 39,751,406 | 39,755,381 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 45,294,883 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES |
| 4,946,327,559 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)% (f) | (17,864,999) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 4,928,462,560 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 202,482,819 | 4.1 | % | ||||
Consumer Discretionary | 534,815,643 | 10.8 | ||||||
Consumer Staples | 663,298,901 | 13.5 | ||||||
Energy | 115,461,835 | 2.3 | ||||||
Financials | 768,364,597 | 15.6 | ||||||
Health Care | 592,212,635 | 12.0 | ||||||
Industrials | 361,030,308 | 7.3 | ||||||
Information Technology | 703,307,307 | 14.3 | ||||||
Materials | 187,155,050 | 3.8 | ||||||
Real Estate | 2,603,549 | 0.1 | ||||||
Utilities | 586,774,888 | 11.9 | ||||||
Short-Term Investments | 183,525,144 | 3.8 | ||||||
Securities Lending Collateral | 45,294,883 | 0.9 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 4,946,327,559 | 100.4 | ||||||
Liabilities in Excess of Other Assets (f) | (17,864,999 | ) | (0.4 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 4,928,462,560 | 100.0 | % | ||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
135
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND |
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $43,291,726. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | For the period ended September 30, 2019, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
AFFILIATE | SHARES HELD AT 09/30/2018 | SHARES PURCHASED | SHARES SOLD | SHARES HELD AT 09/30/19 | VALUE AT 09/30/19 | DIVIDEND INCOME | NET REALIZED GAIN (LOSS) | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||||||
Other Affiliates: | ||||||||||||||||||||||||||||
SHORT-TERM INVESTMENTS - 3.8% |
| |||||||||||||||||||||||||||
INVESTMENT COMPANIES - 3.8% |
| |||||||||||||||||||||||||||
Limited Purpose Cash Investment Fund, 2.01% (a) (Cost $183,508,130) | 75,593,895 | 4,716,348,072 | (4,608,435,174) | 183,506,793 | $183,525,144 | $3,435,077 | $17,750 | $7,640 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
SECURITIES LENDING COLLATERAL - 0.8% |
| |||||||||||||||||||||||||||
Limited Purpose Cash Investment Fund, 2.01% (a) (Cost $39,751,406) | 5,738,479 | 69,304,786 | (35,291,859) | 39,751,406 | 39,755,381 | 118,038 | (4,148 | ) | 4,548 | |||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $223,280,525 | $3,553,115 | $13,602 | $12,188 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) | Represents 7-day effective yield as of September 30, 2019. |
(e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $206,860 was received. (See Note 3). |
(f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
S&P 500E-Mini Index | 1,051 | 12/2019 | USD | $156,520,175 | $(864,589 | ) | ||||||||||||
|
| |||||||||||||||||
$(864,589 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
GSCO | ||||||||||||
Cash | $— | $7,308,840 | $7,308,840 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
136
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.4% | ||||||||
Australia - 8.3% | ||||||||
AGL Energy Ltd. | 155,937 | $ | 2,017,350 | |||||
Alumina Ltd. | 152,611 | 244,503 | ||||||
Aristocrat Leisure Ltd. | 13,769 | 284,676 | ||||||
AusNet Services | 94,515 | 115,794 | ||||||
Australia & New Zealand Banking Group Ltd. | 34,236 | 657,662 | ||||||
BHP Group plc | 11,661 | 249,071 | ||||||
BlueScope Steel Ltd. | 23,605 | 191,729 | ||||||
Caltex Australia Ltd. | 59,409 | 1,055,611 | ||||||
CIMIC Group Ltd. | 14,462 | 307,290 | ||||||
Coca-Cola Amatil Ltd. | 71,312 | 513,156 | ||||||
Cochlear Ltd. | 9,887 | 1,391,343 | ||||||
Coles Group Ltd. | 54,368 | 565,237 | ||||||
Commonwealth Bank of Australia | 5,788 | 315,732 | ||||||
Crown Resorts Ltd. | 47,782 | 388,694 | ||||||
CSL Ltd. | 2,916 | 461,054 | ||||||
Flight Centre Travel Group Ltd. | 11,343 | 364,330 | ||||||
Fortescue Metals Group Ltd. | 100,279 | 596,882 | ||||||
Harvey Norman Holdings Ltd. | 37,067 | 113,395 | ||||||
Incitec Pivot Ltd. | 38,969 | 89,242 | ||||||
Insurance Australia Group Ltd. | 13,086 | 69,826 | ||||||
National Australia Bank Ltd. | 7,397 | 148,311 | ||||||
Newcrest Mining Ltd. | 45,488 | 1,049,666 | ||||||
REA Group Ltd. | 4,942 | 361,296 | ||||||
Rio Tinto plc | 3,538 | 183,914 | ||||||
Sonic Healthcare Ltd. | 30,852 | 584,986 | ||||||
South32 Ltd. | 231,922 | 409,039 | ||||||
Telstra Corp. Ltd. | 1,140,159 | 2,702,706 | ||||||
Washington H Soul Pattinson & Co. Ltd. | 22,758 | 323,370 | ||||||
Wesfarmers Ltd. | 32,922 | 884,543 | ||||||
Westpac Banking Corp. | 22,429 | 447,966 | ||||||
Woolworths Group Ltd. | 110,904 | 2,790,747 | ||||||
|
| |||||||
19,879,121 | ||||||||
|
| |||||||
Austria - 0.0% (a) | ||||||||
Raiffeisen Bank International AG | 4,606 | 106,821 | ||||||
|
| |||||||
Belgium - 1.9% | ||||||||
Ageas | 9,834 | 545,149 | ||||||
Anheuser-Busch InBev SA/NV | 5,631 | 535,956 | ||||||
Colruyt SA | 34,308 | 1,879,475 | ||||||
Groupe Bruxelles Lambert SA | 618 | 59,321 | ||||||
KBC Group NV | 5,168 | 335,669 | ||||||
Proximus SADP | 31,236 | 928,145 | ||||||
Solvay SA | 616 | 63,773 | ||||||
UCB SA | 3,079 | 223,389 | ||||||
|
| |||||||
4,570,877 | ||||||||
|
| |||||||
Canada - 11.9% | ||||||||
Agnico Eagle Mines Ltd. (1) | 12,718 | 681,570 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 37,076 | 1,136,193 | ||||||
Atco Ltd., Class I (1) | 1,360 | 49,766 | ||||||
Bank of Montreal (1) | 11,490 | 846,280 | ||||||
Bank of Nova Scotia (The) (1) | 17,764 | 1,008,975 | ||||||
BCE, Inc. (1) | 51,234 | 2,478,074 | ||||||
Canadian Imperial Bank of Commerce (1) | 10,966 | 904,777 | ||||||
Canadian National Railway Co. (1) | 13,103 | 1,176,535 | ||||||
Canadian Pacific Railway Ltd. (1) | 3,409 | 757,578 | ||||||
Canadian Tire Corp. Ltd., Class A (1) | 1,447 | 162,377 |
INVESTMENTS | SHARES | VALUE | ||||||
Canada - 11.9% (continued) | ||||||||
Canadian Utilities Ltd., Class A (1) | 25,614 | $ | 754,974 | |||||
CI Financial Corp. (1) | 42,079 | 613,947 | ||||||
Constellation Software, Inc. (1) | 221 | 220,716 | ||||||
Emera, Inc. (1) | 2,988 | 131,171 | ||||||
Empire Co. Ltd., Class A (1) | 43,405 | 1,175,180 | ||||||
Fortis, Inc. (1) | 23,042 | 974,135 | ||||||
Franco-Nevada Corp. (1) | 15,384 | 1,401,786 | ||||||
George Weston Ltd. (1) | 1,315 | 110,631 | ||||||
Hydro One Ltd. (1)(b) | 112,616 | 2,081,720 | ||||||
Imperial Oil Ltd. (1) | 17,395 | 452,978 | ||||||
Intact Financial Corp. (1) | 13,650 | 1,373,809 | ||||||
Kinross Gold Corp. (1)* | 104,226 | 479,887 | ||||||
Loblaw Cos. Ltd. (1) | 11,624 | 662,073 | ||||||
Magna International, Inc. (1) | 12,179 | 649,191 | ||||||
Manulife Financial Corp. (1) | 36,788 | 674,754 | ||||||
Metro, Inc. (1) | 3,452 | 151,983 | ||||||
Power Financial Corp. (1) | 45,691 | 1,059,461 | ||||||
Rogers Communications, Inc., Class B (1) | 13,888 | 676,448 | ||||||
Royal Bank of Canada (1) | 17,262 | 1,400,270 | ||||||
Saputo, Inc. (1) | 22,661 | 696,498 | ||||||
Shaw Communications, Inc., Class B (1) | 30,997 | 609,014 | ||||||
Sun Life Financial, Inc. (1) | 9,175 | 410,256 | ||||||
Suncor Energy, Inc. (1) | 23,506 | 741,454 | ||||||
Thomson Reuters Corp. (1) | 2,445 | 163,418 | ||||||
Toronto-Dominion Bank (The) (1) | 24,133 | 1,407,160 | ||||||
Wheaton Precious Metals Corp. (1) | 17,824 | 467,378 | ||||||
|
| |||||||
28,742,417 | ||||||||
|
| |||||||
Chile - 0.1% | ||||||||
Antofagasta plc | 18,359 | 202,675 | ||||||
|
| |||||||
China - 0.2% | ||||||||
BOC Hong Kong Holdings Ltd. | 70,500 | 239,222 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 225,600 | 156,861 | ||||||
|
| |||||||
396,083 | ||||||||
|
| |||||||
Colombia - 0.1% | ||||||||
Millicom International Cellular SA, SDR (c) | 3,630 | 176,153 | ||||||
|
| |||||||
Denmark - 2.4% | ||||||||
Carlsberg A/S, Class B | 347 | 51,279 | ||||||
Coloplast A/S, Class B | 12,676 | 1,525,124 | ||||||
DSV A/S | 4,038 | 383,812 | ||||||
H Lundbeck A/S | 3,975 | 131,782 | ||||||
ISS A/S | 2,639 | 65,245 | ||||||
Novo Nordisk A/S, Class B | 36,561 | 1,889,333 | ||||||
Novozymes A/S, Class B (c) | 11,837 | 497,877 | ||||||
Orsted A/S (b) | 11,227 | 1,043,647 | ||||||
Pandora A/S | 2,282 | 91,578 | ||||||
|
| |||||||
5,679,677 | ||||||||
|
| |||||||
Finland - 1.9% | ||||||||
Elisa OYJ | 11,953 | 616,227 | ||||||
Fortum OYJ | 24,078 | 569,114 | ||||||
Kone OYJ, Class B | 15,644 | 890,306 | ||||||
Neste OYJ | 28,488 | 942,515 | ||||||
Nokia OYJ | 96,224 | 485,960 | ||||||
Nokian Renkaat OYJ | 6,468 | 182,310 | ||||||
Nordea Bank Abp (c) | 19,982 | 141,741 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
137
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Finland - 1.9% (continued) | ||||||||
Nordea Bank Abp | 1,131 | $ | 8,012 | |||||
Orion OYJ, Class B | 8,805 | 328,100 | ||||||
Sampo OYJ, Class A | 11,313 | 449,491 | ||||||
Wartsila OYJ Abp | 2,851 | 31,900 | ||||||
|
| |||||||
4,645,676 | ||||||||
|
| |||||||
France - 6.6% | ||||||||
Aeroports de Paris | 1,214 | 215,935 | ||||||
Air Liquide SA | 5,720 | 814,071 | ||||||
AXA SA | 20,508 | 523,647 | ||||||
BNP Paribas SA | 5,327 | 258,982 | ||||||
Bouygues SA | 7,303 | 292,461 | ||||||
Danone SA | 7,784 | 685,628 | ||||||
Dassault Aviation SA | 172 | 243,289 | ||||||
Dassault Systemes SE | 4,259 | 606,722 | ||||||
Electricite de France SA (c) | 57,920 | 647,920 | ||||||
Engie SA | 69,716 | 1,137,916 | ||||||
Eutelsat Communications SA | 6,636 | 123,443 | ||||||
Hermes International | 2,019 | 1,394,481 | ||||||
Kering SA | 76 | 38,728 | ||||||
L’Oreal SA | 8,806 | 2,462,764 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,160 | 460,241 | ||||||
Natixis SA | 41,748 | 172,969 | ||||||
Pernod Ricard SA | 2,640 | 469,869 | ||||||
Peugeot SA | 14,621 | 364,922 | ||||||
Remy Cointreau SA | 1,483 | 196,862 | ||||||
Sanofi | 3,828 | 354,598 | ||||||
SCOR SE | 4,154 | 171,508 | ||||||
Societe BIC SA (c) | 11,282 | 757,368 | ||||||
Societe Generale SA | 1,761 | 48,238 | ||||||
Sodexo SA | 2,939 | 329,912 | ||||||
Suez | 49,436 | 776,965 | ||||||
Thales SA | 2,136 | 245,535 | ||||||
TOTAL SA | 30,641 | 1,595,377 | ||||||
Valeo SA | 13,724 | 444,754 | ||||||
|
| |||||||
15,835,105 | ||||||||
|
| |||||||
Germany - 3.8% | ||||||||
adidas AG | 1,278 | 397,803 | ||||||
Allianz SE (Registered) | 4,878 | 1,135,461 | ||||||
BASF SE | 6,107 | 426,990 | ||||||
Beiersdorf AG | 7,238 | 853,396 | ||||||
Carl Zeiss Meditec AG | 1,425 | 162,415 | ||||||
Continental AG | 5,781 | 741,742 | ||||||
Covestro AG (b) | 988 | 48,888 | ||||||
Deutsche Lufthansa AG (Registered) | 9,263 | 147,052 | ||||||
Evonik Industries AG | 2,967 | 73,244 | ||||||
FUCHS PETROLUB SE (Preference) | 6,094 | 228,548 | ||||||
Hannover Rueck SE | 3,177 | 536,942 | ||||||
HeidelbergCement AG | 1,816 | 131,206 | ||||||
Henkel AG & Co. KGaA (Preference) | 9,982 | 987,709 | ||||||
HUGO BOSS AG | 6,592 | 352,928 | ||||||
METRO AG | 15,401 | 242,972 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 350 | 90,404 | ||||||
SAP SE | 6,643 | 781,704 | ||||||
Siemens Healthineers AG (b) | 17,352 | 682,318 | ||||||
Telefonica Deutschland Holding AG | 260,587 | 726,437 | ||||||
Uniper SE | 3,949 | 129,512 |
INVESTMENTS | SHARES | VALUE | ||||||
Germany - 3.8% (continued) | ||||||||
Volkswagen AG (Preference) | 1,849 | $ | 314,488 | |||||
|
| |||||||
9,192,159 | ||||||||
|
| |||||||
Hong Kong - 3.3% | ||||||||
CLP Holdings Ltd. | 195,500 | 2,054,880 | ||||||
Hang Seng Bank Ltd. | 16,800 | 361,999 | ||||||
HK Electric Investments & HK Electric Investments Ltd. (d) | 1,056,000 | 1,006,388 | ||||||
HKT Trust & HKT Ltd. | 172,000 | 272,847 | ||||||
Hong Kong & China Gas Co. Ltd. | 774,416 | 1,509,437 | ||||||
MTR Corp. Ltd. | 151,000 | 846,832 | ||||||
Power Assets Holdings Ltd. | 233,500 | 1,567,449 | ||||||
Techtronic Industries Co. Ltd. | 17,500 | 121,803 | ||||||
Vitasoy International Holdings Ltd. | 50,000 | 202,672 | ||||||
WH Group Ltd. (b) | 85,000 | 76,122 | ||||||
|
| |||||||
8,020,429 | ||||||||
|
| |||||||
Italy - 0.5% | ||||||||
Assicurazioni Generali SpA | 20,165 | 390,791 | ||||||
Enel SpA | 89,661 | 669,705 | ||||||
Moncler SpA | 2,636 | 93,956 | ||||||
|
| |||||||
1,154,452 | ||||||||
|
| |||||||
Japan - 28.7% | ||||||||
ABC-Mart, Inc. | 14,800 | 940,804 | ||||||
Alfresa Holdings Corp. | 4,900 | 109,791 | ||||||
ANA Holdings, Inc. (c) | 7,500 | 252,672 | ||||||
Asahi Group Holdings Ltd. | 7,500 | 372,473 | ||||||
Asahi Kasei Corp. | 18,500 | 183,521 | ||||||
Astellas Pharma, Inc. | 96,300 | 1,377,491 | ||||||
Bandai Namco Holdings, Inc. | 16,400 | 1,022,664 | ||||||
Bridgestone Corp. | 24,700 | 961,223 | ||||||
Calbee, Inc. | 70,600 | 2,202,235 | ||||||
Canon, Inc. | 27,600 | 738,084 | ||||||
Casio Computer Co. Ltd. (c) | 13,600 | 211,649 | ||||||
Central Japan Railway Co. | 4,800 | 989,806 | ||||||
Chiba Bank Ltd. (The) | 14,500 | 74,996 | ||||||
Chubu Electric Power Co., Inc. | 7,400 | 107,342 | ||||||
Chugai Pharmaceutical Co. Ltd. | 8,400 | 656,436 | ||||||
Daicel Corp. | 21,500 | 182,911 | ||||||
East Japan Railway Co. | 10,500 | 1,004,036 | ||||||
Eisai Co. Ltd. | 11,200 | 572,175 | ||||||
Fast Retailing Co. Ltd. | 200 | 119,310 | ||||||
FUJIFILM Holdings Corp. | 21,100 | 929,464 | ||||||
Fujitsu Ltd. | 900 | 72,333 | ||||||
Fukuoka Financial Group, Inc. | 8,800 | 167,009 | ||||||
Hakuhodo DY Holdings, Inc. | 17,300 | 251,379 | ||||||
Hamamatsu Photonics KK | 9,000 | 335,774 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 7,800 | 343,360 | ||||||
Hitachi Ltd. | 11,800 | 441,912 | ||||||
Hoshizaki Corp. | 4,300 | 338,954 | ||||||
Hoya Corp. | 19,700 | 1,613,488 | ||||||
Isuzu Motors Ltd. | 3,200 | 35,448 | ||||||
ITOCHU Corp. | 51,900 | 1,075,037 | ||||||
Japan Airlines Co. Ltd. | 65,100 | 1,933,432 | ||||||
Japan Post Bank Co. Ltd. | 36,200 | 351,614 | ||||||
Japan Post Holdings Co. Ltd. | 51,000 | 470,607 | ||||||
Japan Tobacco, Inc. | 37,500 | 821,612 | ||||||
JTEKT Corp. | 5,300 | 61,210 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
138
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 28.7% (continued) | ||||||||
Kakaku.com, Inc. | 15,700 | $ | 387,844 | |||||
Kamigumi Co. Ltd. | 25,400 | 576,987 | ||||||
Kansai Electric Power Co., Inc. (The) | 9,300 | 104,163 | ||||||
Kansai Paint Co. Ltd. | 6,100 | 142,585 | ||||||
Kao Corp. | 6,100 | 452,479 | ||||||
KDDI Corp. | 85,400 | 2,228,320 | ||||||
Kikkoman Corp. | 700 | 33,582 | ||||||
Kirin Holdings Co. Ltd. | 25,900 | 551,147 | ||||||
Konica Minolta, Inc. | 18,100 | 126,637 | ||||||
Kose Corp. | 2,200 | 373,536 | ||||||
Kyocera Corp. | 3,400 | 211,992 | ||||||
Kyushu Railway Co. | 30,800 | 983,132 | ||||||
Lawson, Inc. | 6,200 | 317,474 | ||||||
Lion Corp. | 14,600 | 288,824 | ||||||
Maruichi Steel Tube Ltd. | 2,900 | 77,023 | ||||||
Mazda Motor Corp. | 50,600 | 453,544 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 17,000 | 823,435 | ||||||
Medipal Holdings Corp. | 34,500 | 770,117 | ||||||
MEIJI Holdings Co. Ltd. | 3,700 | 270,645 | ||||||
Mitsubishi Corp. | 55,300 | 1,361,647 | ||||||
Mitsubishi Electric Corp. | 6,400 | 85,377 | ||||||
Mitsubishi Tanabe Pharma Corp. | 29,000 | 319,589 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 27,000 | 137,507 | ||||||
Mitsui & Co. Ltd. | 32,600 | 535,501 | ||||||
Mizuho Financial Group, Inc. | 1,297,400 | 1,993,784 | ||||||
Murata Manufacturing Co. Ltd. | 1,500 | 72,701 | ||||||
Nexon Co. Ltd. * | 50,200 | 609,939 | ||||||
NH Foods Ltd. | 3,300 | 132,870 | ||||||
Nikon Corp. | 1,800 | 22,582 | ||||||
Nippon Express Co. Ltd. | 3,400 | 174,137 | ||||||
Nippon Paint Holdings Co. Ltd. | 1,900 | 99,375 | ||||||
Nippon Telegraph & Telephone Corp. | 31,000 | 1,483,155 | ||||||
Nissan Motor Co. Ltd. | 12,700 | 79,291 | ||||||
Nisshin Seifun Group, Inc. | 18,800 | 348,611 | ||||||
Nissin Foods Holdings Co. Ltd. | 8,100 | 587,015 | ||||||
Nitori Holdings Co. Ltd. | 1,200 | 176,100 | ||||||
Nitto Denko Corp. | 11,400 | 552,389 | ||||||
Nomura Research Institute Ltd. | 16,661 | 332,919 | ||||||
Omron Corp. | 13,300 | 732,898 | ||||||
Ono Pharmaceutical Co. Ltd. | 3,300 | 60,100 | ||||||
Oracle Corp. Japan | 7,700 | 671,257 | ||||||
Oriental Land Co. Ltd. | 6,900 | 1,051,667 | ||||||
Osaka Gas Co. Ltd. | 79,800 | 1,532,681 | ||||||
Otsuka Corp. | 22,900 | 916,493 | ||||||
Otsuka Holdings Co. Ltd. | 5,000 | 187,825 | ||||||
Pola Orbis Holdings, Inc. | 5,500 | 123,989 | ||||||
Recruit Holdings Co. Ltd. | 24,600 | 751,616 | ||||||
Rinnai Corp. | 12,700 | 855,758 | ||||||
Ryohin Keikaku Co. Ltd. | 5,000 | 93,733 | ||||||
Sankyo Co. Ltd. | 22,900 | 788,022 | ||||||
Secom Co. Ltd. | 9,800 | 896,758 | ||||||
Sekisui Chemical Co. Ltd. | 3,900 | 60,692 | ||||||
Seven & i Holdings Co. Ltd. | 50,800 | 1,946,924 | ||||||
Seven Bank Ltd. | 27,700 | 76,098 | ||||||
Shimamura Co. Ltd. | 1,700 | 135,061 | ||||||
Shimano, Inc. | 3,100 | 468,422 | ||||||
Shionogi & Co. Ltd. | 17,300 | 964,528 | ||||||
Softbank Corp. | 177,100 | 2,399,649 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 28.7% (continued) | ||||||||
Stanley Electric Co. Ltd. | 11,700 | $ | 311,635 | |||||
Sumitomo Corp. | 3,100 | 48,532 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 3,000 | 49,636 | ||||||
Sumitomo Heavy Industries Ltd. | 1,200 | 35,758 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 4,300 | 147,757 | ||||||
Sundrug Co. Ltd. | 28,700 | 905,582 | ||||||
Suntory Beverage & Food Ltd. | 39,500 | 1,691,069 | ||||||
Suzuken Co. Ltd. | 15,500 | 834,359 | ||||||
Suzuki Motor Corp. | 18,100 | 771,048 | ||||||
Sysmex Corp. | 10,800 | 725,568 | ||||||
T&D Holdings, Inc. | 48,100 | 513,984 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 3,200 | 233,985 | ||||||
Toho Co. Ltd. | 10,500 | 460,896 | ||||||
Toho Gas Co. Ltd. | 30,400 | 1,165,900 | ||||||
Tohoku Electric Power Co., Inc. | 38,100 | 372,400 | ||||||
Tokio Marine Holdings, Inc. | 6,700 | 359,436 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 87,900 | 431,110 | ||||||
Tokyo Electron Ltd. | 200 | 38,425 | ||||||
Tokyo Gas Co. Ltd. | 70,400 | 1,780,622 | ||||||
Toyo Suisan Kaisha Ltd. | 38,900 | 1,562,096 | ||||||
Toyota Motor Corp. | 4,000 | 268,641 | ||||||
USS Co. Ltd. | 26,300 | 512,179 | ||||||
West Japan Railway Co. | 10,400 | 879,956 | ||||||
Yakult Honsha Co. Ltd. | 11,500 | 645,586 | ||||||
Yamada Denki Co. Ltd. | 69,500 | 336,754 | ||||||
Yamaha Corp. | 1,200 | 54,102 | ||||||
Yamaha Motor Co. Ltd. | 3,000 | 54,690 | ||||||
|
| |||||||
69,506,084 | ||||||||
|
| |||||||
Macau - 0.6% | ||||||||
Galaxy Entertainment Group Ltd. | 100,000 | 619,973 | ||||||
Sands China Ltd. | 170,800 | 771,790 | ||||||
|
| |||||||
1,391,763 | ||||||||
|
| |||||||
Netherlands - 1.5% | ||||||||
Akzo Nobel NV | 4,481 | 399,269 | ||||||
ASML Holding NV | 3,193 | 791,907 | ||||||
Heineken NV | 2,163 | 233,630 | ||||||
Koninklijke Ahold Delhaize NV | 43,960 | 1,099,336 | ||||||
Koninklijke Vopak NV (c) | 9,266 | 476,263 | ||||||
Randstad NV | 2,500 | 122,740 | ||||||
Royal Dutch Shell plc, Class A | 19,109 | 560,428 | ||||||
|
| |||||||
3,683,573 | ||||||||
|
| |||||||
Norway - 2.1% | ||||||||
DNB ASA | 1,949 | 34,357 | ||||||
Equinor ASA | 32,984 | 624,789 | ||||||
Gjensidige Forsikring ASA | 32,786 | 650,225 | ||||||
Mowi ASA | 30,849 | 712,526 | ||||||
Norsk Hydro ASA | 167,638 | 590,283 | ||||||
Orkla ASA | 112,789 | 1,026,303 | ||||||
Telenor ASA | 62,583 | 1,255,659 | ||||||
Yara International ASA | 1,334 | 57,515 | ||||||
|
| |||||||
4,951,657 | ||||||||
|
| |||||||
Singapore - 3.6% | ||||||||
ComfortDelGro Corp. Ltd. | 736,800 | 1,280,160 | ||||||
DBS Group Holdings Ltd. | 68,100 | 1,232,005 | ||||||
Genting Singapore Ltd. | 754,500 | 480,393 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
139
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Singapore - 3.6% (continued) | ||||||||
Jardine Cycle & Carriage Ltd. | 1,700 | $ | 36,922 | |||||
Oversea-Chinese Banking Corp. Ltd. | 134,400 | 1,056,572 | ||||||
SATS Ltd. | 161,400 | 565,952 | ||||||
Singapore Airlines Ltd. | 113,300 | 749,397 | ||||||
Singapore Telecommunications Ltd. | 573,100 | 1,285,883 | ||||||
United Overseas Bank Ltd. | 58,200 | 1,081,648 | ||||||
Wilmar International Ltd. | 306,900 | 828,317 | ||||||
|
| |||||||
8,597,249 | ||||||||
|
| |||||||
South Africa - 0.2% | ||||||||
Anglo American plc | 20,479 | 470,648 | ||||||
|
| |||||||
Spain - 1.5% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 40,234 | 209,437 | ||||||
Endesa SA | 13,559 | 356,679 | ||||||
Iberdrola SA | 77,077 | 801,121 | ||||||
Industria de Diseno Textil SA | 28,514 | 882,439 | ||||||
Mapfre SA | 65,467 | 176,320 | ||||||
Red Electrica Corp. SA | 57,865 | 1,172,098 | ||||||
|
| |||||||
3,598,094 | ||||||||
|
| |||||||
Sweden - 3.0% | ||||||||
Atlas Copco AB, Class A | 19,161 | 590,027 | ||||||
Essity AB, Class B | 44,961 | 1,311,890 | ||||||
Hennes & Mauritz AB, Class B | 43,388 | 841,049 | ||||||
ICA Gruppen AB | 18,248 | 842,758 | ||||||
Investor AB, Class B | 6,133 | 299,519 | ||||||
L E Lundbergforetagen AB, Class B | 8,324 | 313,058 | ||||||
Securitas AB, Class B | 34,057 | 521,516 | ||||||
Skanska AB, Class B | 49,614 | 1,004,443 | ||||||
Svenska Handelsbanken AB, Class A | 2,802 | 26,213 | ||||||
Swedish Match AB | 11,013 | 455,476 | ||||||
Tele2 AB, Class B | 29,785 | 442,975 | ||||||
Telia Co. AB | 139,404 | 623,624 | ||||||
|
| |||||||
7,272,548 | ||||||||
|
| |||||||
Switzerland - 4.9% | ||||||||
Alcon, Inc. * | 2,254 | 131,476 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 31 | 228,956 | ||||||
Coca-Cola HBC AG * | 25,235 | 824,188 | ||||||
Credit Suisse Group AG (Registered) * | 41,285 | 505,044 | ||||||
EMS-Chemie Holding AG (Registered) (c) | 562 | 350,180 | ||||||
Geberit AG (Registered) | 423 | 202,146 | ||||||
Kuehne + Nagel International AG (Registered) | 4,362 | 641,880 | ||||||
LafargeHolcim Ltd. (Registered) * | 949 | 46,732 | ||||||
Nestle SA (Registered) | 21,363 | 2,316,915 | ||||||
Novartis AG (Registered) | 11,270 | 978,089 | ||||||
Partners Group Holding AG | 212 | 162,807 | ||||||
Roche Holding AG | 6,777 | 1,973,223 | ||||||
Schindler Holding AG | 1,698 | 379,991 | ||||||
SGS SA (Registered) | 496 | 1,229,546 | ||||||
Sika AG (Registered) | 2,220 | 324,812 | ||||||
Sonova Holding AG (Registered) | 1,598 | 371,824 | ||||||
Swatch Group AG (The) | 438 | 116,290 | ||||||
Swisscom AG (Registered) | 887 | 437,621 | ||||||
UBS Group AG (Registered) * | 25,595 | 290,617 | ||||||
Zurich Insurance Group AG | 638 | 244,359 | ||||||
|
| |||||||
11,756,696 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
United Kingdom - 9.2% | ||||||||
Admiral Group plc | 20,048 | $ | 521,338 | |||||
Associated British Foods plc | 27,947 | 791,147 | ||||||
AstraZeneca plc | 10,504 | 937,893 | ||||||
Aviva plc | 111,130 | 545,558 | ||||||
Barclays plc | 489,615 | 902,116 | ||||||
Barratt Developments plc | 73,837 | 587,790 | ||||||
Berkeley Group Holdings plc | 4,493 | 230,691 | ||||||
BP plc | 57,637 | 364,886 | ||||||
British American Tobacco plc | 8,440 | 311,691 | ||||||
BT Group plc | 63,247 | 138,727 | ||||||
Bunzl plc | 1,929 | 50,423 | ||||||
Burberry Group plc | 42,615 | 1,138,316 | ||||||
Compass Group plc | 21,373 | 549,986 | ||||||
Diageo plc | 50,862 | 2,077,728 | ||||||
Direct Line Insurance Group plc | 371,840 | 1,371,908 | ||||||
easyJet plc | 5,063 | 71,458 | ||||||
Fiat Chrysler Automobiles NV | 46,559 | 603,303 | ||||||
GlaxoSmithKline plc | 24,653 | 528,428 | ||||||
Hargreaves Lansdown plc | 10,356 | 264,410 | ||||||
HSBC Holdings plc | 89,959 | 689,289 | ||||||
Imperial Brands plc | 11,065 | 248,478 | ||||||
ITV plc | 483,244 | 748,504 | ||||||
Kingfisher plc | 103,321 | 262,579 | ||||||
Legal & General Group plc | 199,597 | 609,234 | ||||||
Marks & Spencer Group plc | 98,848 | 223,888 | ||||||
Mondi plc | 26,110 | 499,939 | ||||||
National Grid plc | 75,317 | 815,480 | ||||||
Next plc | 6,479 | 492,504 | ||||||
Pearson plc | 58,828 | 533,463 | ||||||
Persimmon plc | 24,614 | 656,460 | ||||||
Reckitt Benckiser Group plc | 10,025 | 782,746 | ||||||
Sage Group plc (The) | 17,119 | 145,480 | ||||||
Smith & Nephew plc | 51,219 | 1,233,452 | ||||||
SSE plc | 19,116 | 292,434 | ||||||
Taylor Wimpey plc | 667,509 | 1,324,960 | ||||||
Vodafone Group plc | 98,237 | 195,718 | ||||||
Whitbread plc | 9,889 | 521,933 | ||||||
|
| |||||||
22,264,338 | ||||||||
|
| |||||||
United States - 0.1% | ||||||||
Ferguson plc | 3,329 | 242,953 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 232,337,248 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 2.4% | ||||||||
INVESTMENT COMPANIES - 2.4% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(e) | ||||||||
(Cost $5,820,471) | 5,820,704 | 5,821,286 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
140
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
SECURITIES LENDING COLLATERAL - 0.9% | ||||||||
Investment Companies - 0.9% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (1)(e)(f) | 264,792 | $ | 264,792 | |||||
Limited Purpose Cash Investment Fund 2.01% (1)(e)(f) | 1,900,147 | 1,900,338 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 2,165,130 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.7% | 240,323,664 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% (g) | 618,294 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 240,941,958 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 23,154,147 | 9.6 | % | ||||
Consumer Discretionary | 29,004,764 | 12.0 | ||||||
Consumer Staples | 44,166,240 | 18.3 | ||||||
Energy | 7,137,671 | 3.0 | ||||||
Financials | 32,394,380 | 13.4 | ||||||
Health Care | 22,707,273 | 9.4 | ||||||
Industrials | 26,440,400 | 11.0 | ||||||
Information Technology | 8,653,380 | 3.6 | ||||||
Materials | 12,509,122 | 5.2 | ||||||
Utilities | 26,169,871 | 10.9 | ||||||
Short-Term Investments | 5,821,286 | 2.4 | ||||||
Securities Lending Collateral | 2,165,130 | 0.9 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 240,323,664 | 99.7 | ||||||
Other Assets in Excess of Liabilities (g) | 618,294 | 0.3 | ||||||
|
|
|
| |||||
Net Assets | $ | 240,941,958 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $3,932,695, which represents approximately 1.63% of net assets of the fund. |
(c) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $2,474,530. |
(d) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2019, the value of these securities amounted to $1,006,388 or 0.42% of net assets. |
(e) | Represents 7-day effective yield as of September 30, 2019. |
(f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan; additional non-cash collateral of $426,405 was received. (See Note 3). |
(g) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI EAFEE-Mini Index | 63 | 12/2019 | USD | $5,979,960 | $(15,197 | ) | ||||||||||||
|
| |||||||||||||||||
$(15,197 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $249,885 | $249,885 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
141
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 96.8% | ||||||||
Brazil - 4.3% | ||||||||
Ambev SA, ADR (1)* | 112,266 | $ | 518,669 | |||||
BB Seguridade Participacoes SA (1) | 29,300 | 248,083 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)* | 35,013 | 415,954 | ||||||
Engie Brasil Energia SA (1) | 46,475 | 496,522 | ||||||
Equatorial Energia SA (1) | 7,600 | 183,701 | ||||||
Hypera SA (1)* | 7,800 | 63,077 | ||||||
IRB Brasil Resseguros S/A (1) | 15,000 | 135,345 | ||||||
Lojas Renner SA (1)* | 10,450 | 126,684 | ||||||
Porto Seguro SA (1) | 2,300 | 32,715 | ||||||
Sul America SA (1) | 14,200 | 163,123 | ||||||
Telefonica Brasil SA, ADR (1) | 42,832 | 564,097 | ||||||
TIM Participacoes SA, ADR (1) | 35,927 | 515,912 | ||||||
WEG SA (1) | 16,854 | 98,570 | ||||||
|
| |||||||
3,562,452 | ||||||||
|
| |||||||
Chile - 4.0% | ||||||||
Aguas Andinas SA, Class A (1) | 1,097,313 | 600,162 | ||||||
Banco de Chile (1) | 5,985,339 | 838,103 | ||||||
Banco de Credito e Inversiones SA (1) | 516 | 32,498 | ||||||
Banco Santander Chile, ADR (1) | 3,765 | 105,420 | ||||||
Cia Cervecerias Unidas SA, ADR (1) | 36,976 | 820,497 | ||||||
Embotelladora Andina SA (Preference), Class B (1) | 64,380 | 215,439 | ||||||
Enel Chile SA, ADR (1) | 56,274 | 236,914 | ||||||
SACI Falabella (1) | 74,481 | 416,252 | ||||||
|
| |||||||
3,265,285 | ||||||||
|
| |||||||
China - 18.8% | ||||||||
3SBio, Inc. *(a) | 19,500 | 32,247 | ||||||
Agricultural Bank of China Ltd., Class H | 639,000 | 250,230 | ||||||
ANTA Sports Products Ltd. | 28,000 | 231,453 | ||||||
Bank of Beijing Co. Ltd., Class A | 839,717 | 630,970 | ||||||
Bank of China Ltd., Class H | 647,000 | 253,735 | ||||||
Bank of Communications Co. Ltd., Class H | 296,000 | 193,218 | ||||||
Beijing Capital International Airport Co. Ltd., Class H | 194,000 | 165,541 | ||||||
China Communications Services Corp. Ltd., Class H | 200,000 | 113,385 | ||||||
China Construction Bank Corp., Class H | 508,000 | 387,075 | ||||||
China Education Group Holdings Ltd. (b) | 74,000 | 108,710 | ||||||
China Everbright Bank Co. Ltd., Class H | 135,000 | 57,509 | ||||||
China Huishan Dairy Holdings Co. Ltd. (3)*(c) | 700,000 | 1 | ||||||
China Longyuan Power Group Corp. Ltd., Class H | 473,000 | 265,769 | ||||||
China Medical System Holdings Ltd. | 28,000 | 33,257 | ||||||
China Mobile Ltd. | 143,500 | 1,188,719 | ||||||
China Resources Beer Holdings Co. Ltd. | 26,000 | 137,752 | ||||||
China Resources Gas Group Ltd. | 154,000 | 762,071 | ||||||
China Resources Pharmaceutical Group Ltd. (a) | 98,000 | 91,682 | ||||||
China Resources Power Holdings Co. Ltd. | 356,000 | 431,930 | ||||||
China Shenhua Energy Co. Ltd., Class H | 145,000 | 291,109 | ||||||
China Telecom Corp. Ltd., Class H | 1,632,000 | 743,147 | ||||||
China Tower Corp. Ltd., Class H (a)(d) | 1,268,000 | 287,771 | ||||||
China Unicom Hong Kong Ltd. | 404,000 | 427,705 | ||||||
China United Network Communications Ltd., Class A | 53,400 | 45,006 |
INVESTMENTS | SHARES | VALUE | ||||||
China - 18.8% (continued) | ||||||||
China Yangtze Power Co. Ltd., Class A | 103,229 | $ | 263,805 | |||||
CSPC Pharmaceutical Group Ltd. | 248,000 | 497,692 | ||||||
Dali Foods Group Co. Ltd. (a) | 576,000 | 353,452 | ||||||
ENN Energy Holdings Ltd. | 48,200 | 498,837 | ||||||
Guangdong Investment Ltd. | 558,000 | 1,092,076 | ||||||
Hengan International Group Co. Ltd. | 6,000 | 39,316 | ||||||
Hua Hong Semiconductor Ltd. (a) | 57,000 | 113,507 | ||||||
Huaneng Renewables Corp. Ltd., Class H | 1,148,000 | 390,429 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 807,000 | 540,638 | ||||||
Industrial Bank Co. Ltd., Class A | 40,200 | 98,843 | ||||||
Jiangsu Expressway Co. Ltd., Class H | 170,000 | 215,870 | ||||||
Jiangsu Yanghe Brewery Joint-Stock Co. Ltd., Class A | 15,400 | 224,608 | ||||||
Kunlun Energy Co. Ltd. | 172,000 | 148,208 | ||||||
Kweichow Moutai Co. Ltd., Class A | 4,149 | 668,766 | ||||||
PICC Property & Casualty Co. Ltd., Class H | 34,000 | 39,672 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 456,000 | 469,589 | ||||||
Shanghai Pudong Development Bank Co. Ltd., Class A | 14,900 | 24,732 | ||||||
Shenzhou International Group Holdings Ltd. | 16,000 | 208,725 | ||||||
Sinopec Shanghai Petrochemical Co. Ltd., Class H | 550,000 | 159,894 | ||||||
Sinopharm Group Co. Ltd., Class H | 12,000 | 37,512 | ||||||
Tencent Holdings Ltd. | 17,800 | 744,538 | ||||||
Tingyi Cayman Islands Holding Corp. | 198,000 | 278,748 | ||||||
Tong Ren Tang Technologies Co. Ltd., Class H | 89,000 | 80,889 | ||||||
Uni-President China Holdings Ltd. | 340,000 | 366,828 | ||||||
Want Want China Holdings Ltd. | 235,000 | 187,656 | ||||||
Wuliangye Yibin Co. Ltd., Class A | 3,200 | 58,231 | ||||||
Zhongsheng Group Holdings Ltd. | 107,500 | 339,633 | ||||||
Zhuzhou CRRC Times Electric Co. Ltd., Class H | 29,700 | 122,919 | ||||||
|
| |||||||
15,395,605 | ||||||||
|
| |||||||
Hong Kong - 1.2% | ||||||||
China Gas Holdings Ltd. | 43,000 | 166,109 | ||||||
Haier Electronics Group Co. Ltd. | 82,000 | 213,516 | ||||||
SSY Group Ltd. | 68,000 | 53,707 | ||||||
Sun Art Retail Group Ltd. | 578,000 | 586,258 | ||||||
|
| |||||||
1,019,590 | ||||||||
|
| |||||||
India - 8.4% | ||||||||
Axis Bank Ltd., GDR (b) | 1,867 | 90,924 | ||||||
Bharti Infratel Ltd. | 70,406 | 255,797 | ||||||
Britannia Industries Ltd. | 4,670 | 194,154 | ||||||
Coal India Ltd. | 87,070 | 245,817 | ||||||
Dabur India Ltd. | 4,728 | 29,861 | ||||||
Dr Reddy’s Laboratories Ltd. | 3,754 | 143,048 | ||||||
Hindustan Unilever Ltd. | 44,398 | 1,242,304 | ||||||
Infosys Ltd., ADR (1) | 61,886 | 703,644 | ||||||
InterGlobe Aviation Ltd. (a) | 6,625 | 176,915 | ||||||
ITC Ltd. | 280,469 | 1,029,037 | ||||||
Larsen & Toubro Ltd., GDR (b) | 10,081 | 209,875 | ||||||
Nestle India Ltd. | 4,473 | 877,052 | ||||||
NTPC Ltd. | 23,786 | 39,457 | ||||||
Oil & Natural Gas Corp. Ltd. | 121,703 | 226,534 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
142
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
India - 8.4% (continued) | ||||||||
Page Industries Ltd. | 373 | $ | 118,597 | |||||
Reliance Industries Ltd., GDR (a) | 7,223 | 269,122 | ||||||
State Bank of India, GDR *(b) | 4,168 | 160,114 | ||||||
Tata Consultancy Services Ltd. | 14,448 | 428,066 | ||||||
Wipro Ltd., ADR (1) | 138,656 | 506,094 | ||||||
|
| |||||||
6,946,412 | ||||||||
|
| |||||||
Indonesia - 2.0% | ||||||||
Bank Central Asia Tbk. PT | 335,400 | 717,076 | ||||||
Hanjaya Mandala Sampoerna Tbk. PT | 1,467,800 | 236,712 | ||||||
Telekomunikasi Indonesia Persero Tbk. PT | 782,200 | 236,217 | ||||||
Unilever Indonesia Tbk. PT | 129,700 | 424,706 | ||||||
|
| |||||||
1,614,711 | ||||||||
|
| |||||||
Malaysia - 6.9% | ||||||||
AirAsia Group Bhd. | 249,000 | 104,621 | ||||||
DiGi.Com Bhd. | 204,000 | 231,369 | ||||||
Genting Bhd. | 130,000 | 178,298 | ||||||
Hong Leong Bank Bhd. | 130,200 | 508,704 | ||||||
IHH Healthcare Bhd. | 46,900 | 63,605 | ||||||
Kuala Lumpur Kepong Bhd. | 15,400 | 84,902 | ||||||
Malayan Banking Bhd. | 352,900 | 716,997 | ||||||
Malaysia Airports Holdings Bhd. | 14,300 | 29,541 | ||||||
Nestle Malaysia Bhd. | 11,300 | 393,027 | ||||||
Petronas Chemicals Group Bhd. | 435,800 | 784,152 | ||||||
Petronas Gas Bhd. | 144,500 | 565,185 | ||||||
PPB Group Bhd. | 109,600 | 474,491 | ||||||
Public Bank Bhd. | 215,100 | 1,031,222 | ||||||
Sime Darby Plantation Bhd. | 204,300 | 230,604 | ||||||
Tenaga Nasional Bhd. | 70,200 | 228,720 | ||||||
Westports Holdings Bhd. | 66,000 | 65,076 | ||||||
|
| |||||||
5,690,514 | ||||||||
|
| |||||||
Mexico - 5.4% | ||||||||
Alsea SAB de CV (1)* | 16,300 | 37,896 | ||||||
Arca Continental SAB de CV (1) | 69,600 | 376,215 | ||||||
Coca-Cola Femsa SAB de CV, ADR (1) | 2,018 | 122,331 | ||||||
El Puerto de Liverpool SAB de CV, Class C1 (1) | 8,700 | 47,671 | ||||||
Fomento Economico Mexicano SAB de CV, ADR (1) | 4,174 | 382,255 | ||||||
Gruma SAB de CV, Class B (1) | 31,105 | 318,301 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV, ADR (1) | 6,476 | 625,064 | ||||||
Grupo Aeroportuario del Sureste SAB de CV, ADR (1) | 1,447 | 220,668 | ||||||
Grupo Bimbo SAB de CV, Series A (1) | 60,100 | 109,608 | ||||||
Grupo Financiero Banorte SAB de CV, Class O (1) | 6,700 | 36,012 | ||||||
Infraestructura Energetica Nova SAB de CV (1)* | 28,700 | 114,079 | ||||||
Kimberly-Clark de Mexico SAB de CV, Class A (1)* | 91,500 | 183,751 | ||||||
Promotora y Operadora de Infraestructura SAB de CV (1) | 73,340 | 657,584 | ||||||
Wal-Mart de Mexico SAB de CV (1) | 402,400 | 1,192,477 | ||||||
|
| |||||||
4,423,912 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Philippines - 0.5% | ||||||||
Bank of the Philippine Islands | 167,390 | $ | 300,419 | |||||
BDO Unibank, Inc. | 12,190 | 33,631 | ||||||
Jollibee Foods Corp. | 8,570 | 36,717 | ||||||
|
| |||||||
370,767 | ||||||||
|
| |||||||
Poland - 1.6% | ||||||||
Bank Polska Kasa Opieki SA | 10,812 | 276,004 | ||||||
LPP SA | 260 | 558,265 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 30,228 | 35,423 | ||||||
Powszechny Zaklad Ubezpieczen SA | 30,380 | 283,391 | ||||||
Santander Bank Polska SA | 1,688 | 131,959 | ||||||
|
| |||||||
1,285,042 | ||||||||
|
| |||||||
Russia - 0.5% | ||||||||
Novolipetsk Steel PJSC, GDR (b) | 3,301 | 71,686 | ||||||
Severstal PJSC, GDR (b) | 20,460 | 293,504 | ||||||
Tatneft PJSC, ADR | 1,177 | 74,669 | ||||||
|
| |||||||
439,859 | ||||||||
|
| |||||||
South Africa - 7.4% | ||||||||
Absa Group Ltd. | 4,155 | 41,965 | ||||||
Bid Corp. Ltd. | 2,641 | 56,127 | ||||||
Bidvest Group Ltd. (The) | 12,420 | 156,545 | ||||||
Capitec Bank Holdings Ltd. | 5,923 | 503,520 | ||||||
Clicks Group Ltd. | 12,880 | 182,931 | ||||||
Exxaro Resources Ltd. | 12,795 | 110,355 | ||||||
FirstRand Ltd. | 93,749 | 385,174 | ||||||
Foschini Group Ltd. (The) | 23,135 | 249,915 | ||||||
Kumba Iron Ore Ltd. | 21,508 | 531,416 | ||||||
Mr Price Group Ltd. | 54,385 | 568,934 | ||||||
Naspers Ltd., Class N | 216 | 32,704 | ||||||
Nedbank Group Ltd. | 2,862 | 42,885 | ||||||
Netcare Ltd. | 33,487 | 38,766 | ||||||
Pick n Pay Stores Ltd. | 164,150 | 644,715 | ||||||
RMB Holdings Ltd. | 175,983 | 873,049 | ||||||
Sanlam Ltd. | 6,667 | 32,838 | ||||||
Shoprite Holdings Ltd. | 15,793 | 127,890 | ||||||
SPAR Group Ltd. (The) | 13,671 | 172,531 | ||||||
Standard Bank Group Ltd. | 27,503 | 317,307 | ||||||
Telkom SA SOC Ltd. | 21,288 | 99,240 | ||||||
Tiger Brands Ltd. | 30,449 | 423,250 | ||||||
Truworths International Ltd. | 100,228 | 350,799 | ||||||
Vodacom Group Ltd. | 22,566 | 178,474 | ||||||
|
| |||||||
6,121,330 | ||||||||
|
| |||||||
South Korea - 11.9% | ||||||||
Amorepacific Corp. | 3,031 | 355,633 | ||||||
BGF retail Co. Ltd. | 2,158 | 355,179 | ||||||
Celltrion, Inc. * | 1,021 | 139,677 | ||||||
Cheil Worldwide, Inc. | 12,831 | 265,903 | ||||||
DB Insurance Co. Ltd. | 10,818 | 465,969 | ||||||
GS Holdings Corp. | 3,479 | 146,236 | ||||||
Hyundai Glovis Co. Ltd. | 2,099 | 273,413 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 7,322 | 161,436 | ||||||
Hyundai Mobis Co. Ltd. | 689 | 144,995 | ||||||
Industrial Bank of Korea | 6,020 | 66,410 | ||||||
Kangwon Land, Inc. | 28,745 | 709,802 | ||||||
Kia Motors Corp. | 3,822 | 145,722 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
143
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND |
INVESTMENTS | SHARES | VALUE | ||||||
South Korea - 11.9% (continued) | ||||||||
KT&G Corp. | 13,952 | $ | 1,230,920 | |||||
LG Household & Health Care Ltd. | 310 | 338,341 | ||||||
Medy-Tox, Inc. | 750 | 225,568 | ||||||
NCSoft Corp. | 1,533 | 667,551 | ||||||
S-1 Corp. | 8,200 | 672,824 | ||||||
Samsung Electronics Co. Ltd. | 24,731 | 1,012,587 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 3,303 | 615,427 | ||||||
Samsung Life Insurance Co. Ltd. | 2,063 | 122,594 | ||||||
Samsung SDS Co. Ltd. | 2,132 | 339,276 | ||||||
SK Hynix, Inc. | 8,448 | 580,211 | ||||||
SK Innovation Co. Ltd. | 197 | 27,279 | ||||||
SK Telecom Co. Ltd. | 2,094 | 421,952 | ||||||
Woongjin Coway Co. Ltd. | 2,743 | 194,303 | ||||||
Yuhan Corp. | 609 | 116,230 | ||||||
|
| |||||||
9,795,438 | ||||||||
|
| |||||||
Taiwan - 16.1% | ||||||||
Advantech Co. Ltd. | 33,998 | 299,052 | ||||||
Asustek Computer, Inc. | 34,000 | 226,265 | ||||||
Chang Hwa Commercial Bank Ltd. | 875,212 | 610,522 | ||||||
Chunghwa Telecom Co. Ltd. | 334,600 | 1,196,597 | ||||||
CTBC Financial Holding Co. Ltd. | 321,000 | 213,076 | ||||||
Delta Electronics, Inc. | 7,000 | 29,907 | ||||||
E.Sun Financial Holding Co. Ltd. | 523,961 | 443,240 | ||||||
Eclat Textile Co. Ltd. | 20,000 | 268,570 | ||||||
Eva Airways Corp. | 290,000 | 127,549 | ||||||
Far EasTone Telecommunications Co. Ltd. | 407,000 | 950,712 | ||||||
Feng TAY Enterprise Co. Ltd. | 20,944 | 150,111 | ||||||
First Financial Holding Co. Ltd. | 1,495,197 | 1,049,952 | ||||||
Formosa Chemicals & Fibre Corp. | 14,000 | 39,141 | ||||||
Formosa Petrochemical Corp. | 130,000 | 411,317 | ||||||
Formosa Plastics Corp. | 10,000 | 30,463 | ||||||
Fubon Financial Holding Co. Ltd. | 165,000 | 236,893 | ||||||
Hua Nan Financial Holdings Co. Ltd. | 1,093,582 | 738,143 | ||||||
Mega Financial Holding Co. Ltd. | 763,000 | 706,781 | ||||||
Nien Made Enterprise Co. Ltd. | 13,000 | 113,953 | ||||||
Novatek Microelectronics Corp. | 22,000 | 126,252 | ||||||
President Chain Store Corp. | 125,000 | 1,168,418 | ||||||
Ruentex Industries Ltd. * | 14,000 | 30,200 | ||||||
Shanghai Commercial & Savings Bank Ltd. (The) | 16,000 | 26,877 | ||||||
Taiwan Cooperative Financial Holding Co. Ltd. | 628,481 | 415,080 | ||||||
Taiwan Mobile Co. Ltd. | 324,000 | 1,169,430 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | 26,955 | 1,252,869 | ||||||
Uni-President Enterprises Corp. | 262,172 | 632,659 | ||||||
Walsin Technology Corp. | 69,000 | 388,373 | ||||||
Yageo Corp. | 26,000 | 206,575 | ||||||
|
| |||||||
13,258,977 | ||||||||
|
| |||||||
Thailand - 7.8% | ||||||||
Advanced Info Service PCL, NVDR | 31,200 | 224,605 | ||||||
Airports of Thailand PCL, NVDR | 502,400 | 1,228,417 | ||||||
Bangkok Bank PCL, NVDR | 36,900 | 209,312 | ||||||
Bangkok Dusit Medical Services PCL, NVDR | 1,027,300 | 812,742 | ||||||
BTS Group Holdings PCL, NVDR | 356,800 | 156,221 | ||||||
Bumrungrad Hospital PCL, NVDR | 159,200 | 665,890 |
INVESTMENTS | SHARES | VALUE | ||||||
Thailand - 7.8% (continued) | ||||||||
CP ALL PCL, NVDR | 12,700 | $ | 33,708 | |||||
Electricity Generating PCL, NVDR | 33,000 | 387,383 | ||||||
Home Product Center PCL, NVDR | 1,770,000 | 990,342 | ||||||
Kasikornbank PCL, NVDR | 47,200 | 241,564 | ||||||
Krung Thai Bank PCL, NVDR | 857,300 | 482,549 | ||||||
Ratch Group PCL, NVDR | 11,300 | 26,400 | ||||||
Robinson PCL, NVDR | 307,900 | 641,357 | ||||||
Siam Cement PCL (The), NVDR | 3,700 | 49,340 | ||||||
Siam Commercial Bank PCL (The), NVDR | 77,700 | 299,884 | ||||||
|
| |||||||
6,449,714 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 79,639,608 | |||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
CORPORATE BONDS - 0.0% (e) | ||||||||
India - 0.0% (e) | ||||||||
Britannia Industries Ltd. 8.00%, 8/28/2022 | ||||||||
(Cost $72) | $ | 4,670 | 65 | |||||
|
| |||||||
NO. OF RIGHTS | ||||||||
RIGHTS - 0.0% (e) | ||||||||
Taiwan - 0.0% (e) | ||||||||
Shanghai Commercial & Savings Bank Ltd. (The), expiring 10/7/2019 (3)*(c) | ||||||||
(Cost $—) | 1,299 | 675 | ||||||
|
| |||||||
SHARES | ||||||||
SHORT-TERM INVESTMENTS - 2.7% | ||||||||
INVESTMENT COMPANIES - 2.7% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(f) | ||||||||
(Cost $2,244,921) | 2,244,921 | 2,245,145 | ||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.1% | ||||||||
Investment Companies - 0.1% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA | ||||||||
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | ||||||||
1.87% (1)(f)(g) | 6,366 | 6,366 | ||||||
Limited Purpose Cash Investment Fund | ||||||||
2.01% (1)(f)(g) | 45,680 | 45,684 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 52,050 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.6% | 81,937,543 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.4% (h) | 325,561 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 82,263,104 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
144
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 10,414,738 | 12.7 | % | ||||
Consumer Discretionary | 7,214,124 | 8.8 | ||||||
Consumer Staples | 18,080,378 | 22.0 | ||||||
Energy | 1,837,862 | 2.2 | ||||||
Financials | 17,621,483 | 21.4 | ||||||
Health Care | 3,565,178 | 4.3 | ||||||
Industrials | 5,420,599 | 6.6 | ||||||
Information Technology | 6,212,679 | 7.5 | ||||||
Materials | 1,959,597 | 2.4 | ||||||
Utilities | 7,313,710 | 8.9 | ||||||
Short-Term Investments | 2,245,145 | 2.7 | ||||||
Securities Lending Collateral | 52,050 | 0.1 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 81,937,543 | 99.6 | ||||||
Other Assets in Excess of Liabilities (h) | 325,561 | 0.4 | ||||||
|
|
|
| |||||
Net Assets | $ | 82,263,104 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at |
September 30, 2019 amounted to $1,324,696, which represents approximately 1.61% of net assets of the fund. |
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2019, the value of these securities amounted to $934,813 or 1.14% of net assets. |
(c) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $676, which represents approximately 0.00% of net assets of the fund. |
(d) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $47,208. |
(e) | Represents less than 0.05% of net assets. |
(f) | Represents 7-day effective yield as of September 30, 2019. |
(g) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(h) | Includes appreciation/(depreciation) 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). |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI Emerging MarketsE-Mini Index | 31 | 12/2019 | USD | $1,552,945 | $(52,849 | ) | ||||||||||||
|
| |||||||||||||||||
$(52,849 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $150,229 | $150,229 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
145
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 88.9% | ||||||||
Australia - 2.3% | ||||||||
ASX Ltd. | 891 | $ | 48,826 | |||||
BHP Group Ltd. | 14,837 | 366,630 | ||||||
BHP Group plc | 69,063 | 1,475,138 | ||||||
BlueScope Steel Ltd. | 29,125 | 236,564 | ||||||
CIMIC Group Ltd. | 9,030 | 191,870 | ||||||
Dexus, REIT | 14,068 | 113,314 | ||||||
Fortescue Metals Group Ltd. | 147,657 | 878,886 | ||||||
Goodman Group, REIT | 25,367 | 242,807 | ||||||
GPT Group (The), REIT | 42,925 | 178,500 | ||||||
Lendlease Group | 2,927 | 34,717 | ||||||
Mirvac Group, REIT | 95,677 | 197,656 | ||||||
Newcrest Mining Ltd. | 18,088 | 417,393 | ||||||
Rio Tinto plc | 19,936 | 1,036,326 | ||||||
Santos Ltd. | 17,234 | 89,861 | ||||||
Scentre Group, REIT | 45,435 | 120,541 | ||||||
South32 Ltd. | 558,747 | 985,457 | ||||||
Stockland, REIT | 49,658 | 152,534 | ||||||
Vicinity Centres, REIT | 79,436 | 137,820 | ||||||
|
| |||||||
6,904,840 | ||||||||
|
| |||||||
Belgium - 0.4% | ||||||||
Ageas | 21,935 | 1,215,969 | ||||||
|
| |||||||
Canada - 2.5% | ||||||||
Agnico Eagle Mines Ltd. (1) | 3,479 | 186,443 | ||||||
Air Canada (1)* | 10,468 | 341,414 | ||||||
Alimentation Couche-Tard, Inc., Class B (1) | 22,560 | 691,351 | ||||||
Barrick Gold Corp. (1) | 43,823 | 758,141 | ||||||
CGI, Inc. (1)* | 8,981 | 710,156 | ||||||
Constellation Software, Inc. (1) | 959 | 957,769 | ||||||
Cronos Group, Inc. (1)*(a) | 17,192 | 155,329 | ||||||
Empire Co. Ltd., Class A (1) | 4,175 | 113,037 | ||||||
Franco-Nevada Corp. (1) | 2,074 | 188,982 | ||||||
Great-West Lifeco, Inc. (1) | 1,345 | 32,294 | ||||||
Magna International, Inc. (1) | 10,142 | 540,611 | ||||||
Manulife Financial Corp. (1) | 31,536 | 578,424 | ||||||
Open Text Corp. (1) | 15,240 | 621,632 | ||||||
Power Corp. of Canada (1) | 1,646 | 37,918 | ||||||
Power Financial Corp. (1) | 3,449 | 79,974 | ||||||
RioCan REIT, REIT (1) | 6,747 | 134,344 | ||||||
Shopify, Inc., Class A (1)* | 1,228 | 382,160 | ||||||
Teck Resources Ltd., Class B (1) | 55,584 | 901,192 | ||||||
|
| |||||||
7,411,171 | ||||||||
|
| |||||||
China - 0.3% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 1,439,500 | 1,000,892 | ||||||
|
| |||||||
Denmark - 1.1% | ||||||||
Danske Bank A/S | 5,712 | 79,467 | ||||||
H Lundbeck A/S | 14,476 | 479,918 | ||||||
Novo Nordisk A/S, Class B | 14,438 | 746,101 | ||||||
Pandora A/S | 50,994 | 2,046,426 | ||||||
|
| |||||||
3,351,912 | ||||||||
|
| |||||||
Finland - 0.2% | ||||||||
Kone OYJ, Class B | 7,387 | 420,397 |
INVESTMENTS | SHARES | VALUE | ||||||
Finland - 0.2% (continued) | ||||||||
Orion OYJ, Class B | 4,565 | $ | 170,105 | |||||
|
| |||||||
590,502 | ||||||||
|
| |||||||
France - 2.8% | ||||||||
AXA SA | 57,953 | 1,479,760 | ||||||
BNP Paribas SA | 9,012 | 438,135 | ||||||
Cie de Saint-Gobain | 9,354 | 366,609 | ||||||
CNP Assurances | 13,915 | 268,902 | ||||||
Electricite de France SA (a) | 107,973 | 1,207,837 | ||||||
Engie SA | 97,390 | 1,589,615 | ||||||
Kering SA | 637 | 324,606 | ||||||
Klepierre SA, REIT | 4,718 | 160,225 | ||||||
Orange SA | 8,722 | 136,516 | ||||||
Peugeot SA | 18,045 | 450,380 | ||||||
Sanofi | 4,518 | 418,515 | ||||||
Schneider Electric SE | 5,617 | 491,162 | ||||||
Societe Generale SA | 5,908 | 161,833 | ||||||
TOTAL SA | 11,494 | 598,455 | ||||||
Unibail-Rodamco-Westfield, REIT | 2,005 | 292,288 | ||||||
|
| |||||||
8,384,838 | ||||||||
|
| |||||||
Germany - 3.4% | ||||||||
adidas AG | 4,011 | 1,248,503 | ||||||
Allianz SE (Registered) | 9,807 | 2,282,795 | ||||||
Commerzbank AG | 19,998 | 115,766 | ||||||
Covestro AG (b) | 12,148 | 601,108 | ||||||
Deutsche Lufthansa AG (Registered) | 80,178 | 1,272,838 | ||||||
E.ON SE | 173,908 | 1,690,839 | ||||||
Fresenius SE & Co. KGaA | 1,365 | 63,856 | ||||||
HOCHTIEF AG | 3,356 | 382,451 | ||||||
Infineon Technologies AG | 10,470 | 188,112 | ||||||
KION Group AG | 8,094 | 425,655 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 699 | 180,550 | ||||||
Porsche Automobil Holding SE (Preference) | 865 | 56,075 | ||||||
SAP SE | 5,509 | 648,263 | ||||||
Siemens AG (Registered) | 9,423 | 1,008,686 | ||||||
|
| |||||||
10,165,497 | ||||||||
|
| |||||||
Hong Kong - 1.7% | ||||||||
CK Asset Holdings Ltd. | 235,500 | 1,595,535 | ||||||
CK Hutchison Holdings Ltd. | 18,500 | 163,320 | ||||||
CK Infrastructure Holdings Ltd. | 2,749 | 18,487 | ||||||
Henderson Land Development Co. Ltd. | 77,000 | 358,652 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 5,269 | 154,435 | ||||||
Kerry Properties Ltd. | 101,000 | 310,990 | ||||||
Link REIT, REIT | 18,329 | 202,185 | ||||||
New World Development Co. Ltd. | 580,000 | 753,223 | ||||||
PCCW Ltd. | 19,406 | 10,894 | ||||||
Sun Hung Kai Properties Ltd. | 8,000 | 114,966 | ||||||
Swire Properties Ltd. | 46,000 | 144,366 | ||||||
WH Group Ltd. (b) | 1,004,000 | 899,140 | ||||||
Wharf Holdings Ltd. (The) | 49,000 | 106,877 | ||||||
Wheelock & Co. Ltd. | 20,000 | 113,943 | ||||||
|
| |||||||
4,947,013 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
146
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Italy - 1.3% | ||||||||
Assicurazioni Generali SpA | 13,034 | $ | 252,595 | |||||
Enel SpA | 415,301 | 3,102,006 | ||||||
Eni SpA | 10,781 | 164,785 | ||||||
Leonardo SpA | 40,552 | 476,690 | ||||||
|
| |||||||
3,996,076 | ||||||||
|
| |||||||
Japan - 6.5% | ||||||||
Aeon Mall Co. Ltd. | 700 | 11,075 | ||||||
Alfresa Holdings Corp. | 4,700 | 105,310 | ||||||
Alps Alpine Co. Ltd. | 10,700 | 200,920 | ||||||
Amada Holdings Co. Ltd. | 14,200 | 153,878 | ||||||
Astellas Pharma, Inc. | 131,300 | 1,878,136 | ||||||
Dai-ichi Life Holdings, Inc. | 82,600 | 1,255,759 | ||||||
Daito Trust Construction Co. Ltd. | 486 | 62,246 | ||||||
Daiwa House Industry Co. Ltd. | 2,451 | 79,669 | ||||||
Fujitsu Ltd. | 6,011 | 483,106 | ||||||
Hitachi High-Technologies Corp. | 4,758 | 276,583 | ||||||
Hitachi Ltd. | 23,200 | 868,845 | ||||||
Hoya Corp. | 1,200 | 98,284 | ||||||
Hulic Co. Ltd. | 1,500 | 15,400 | ||||||
ITOCHU Corp. | 9,000 | 186,423 | ||||||
Japan Airlines Co. Ltd. | 26,000 | 772,185 | ||||||
Japan Post Holdings Co. Ltd. | 51,200 | 472,453 | ||||||
Japan Real Estate Investment Corp., REIT | 30 | 201,189 | ||||||
Japan Retail Fund Investment Corp., REIT | 64 | 135,424 | ||||||
Japan Tobacco, Inc. | 7,000 | 153,367 | ||||||
Kajima Corp. | 20,200 | 266,123 | ||||||
Kamigumi Co. Ltd. | 11,600 | 263,506 | ||||||
Marubeni Corp. | 89,000 | 593,538 | ||||||
Mazda Motor Corp. | 9,600 | 86,048 | ||||||
Mitsubishi Corp. | 16,600 | 408,740 | ||||||
Mitsubishi Estate Co. Ltd. | 5,764 | 111,456 | ||||||
Mitsubishi Heavy Industries Ltd. | 6,900 | 271,228 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 26,400 | 134,452 | ||||||
Mitsui Fudosan Co. Ltd. | 4,598 | 114,431 | ||||||
MS&AD Insurance Group Holdings, Inc. | 5,500 | 178,773 | ||||||
Nexon Co. Ltd. * | 10,200 | 123,932 | ||||||
Nikon Corp. | 49,100 | 615,977 | ||||||
Nintendo Co. Ltd. | 1,300 | 484,245 | ||||||
Nippon Building Fund, Inc., REIT | 21 | 161,346 | ||||||
Nippon Express Co. Ltd. | 4,600 | 235,597 | ||||||
Nippon Telegraph & Telephone Corp. | 4,196 | 200,752 | ||||||
Nitto Denko Corp. | 1,900 | 92,065 | ||||||
Nomura Real Estate Holdings, Inc. | 1,000 | 21,678 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | 117 | 211,324 | ||||||
NTT DOCOMO, Inc. | 5,300 | 135,334 | ||||||
Olympus Corp. | 13,400 | 181,542 | ||||||
Persol Holdings Co. Ltd. | 5,200 | 98,836 | ||||||
Resona Holdings, Inc. | 168,900 | 726,801 | ||||||
Shinsei Bank Ltd. | 35,900 | 524,938 | ||||||
Shionogi & Co. Ltd. | 9,600 | 535,229 | ||||||
SoftBank Group Corp. | 3,600 | 142,058 | ||||||
Sony Corp. | 25,900 | 1,530,901 | ||||||
Sumitomo Corp. | 49,800 | 779,642 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 18,400 | 304,435 | ||||||
Sumitomo Heavy Industries Ltd. | 17,400 | 518,488 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 15,800 | 542,921 | ||||||
Sumitomo Realty & Development Co. Ltd. | 2,624 | 100,174 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 6.5% (continued) | ||||||||
Suzuken Co. Ltd. | 2,100 | $ | 113,042 | |||||
Taiheiyo Cement Corp. | 15,100 | 405,758 | ||||||
Tokyo Electron Ltd. | 2,300 | 441,885 | ||||||
Tokyu Fudosan Holdings Corp. | 2,900 | 18,560 | ||||||
Toyota Tsusho Corp. | 4,300 | 139,568 | ||||||
|
| |||||||
19,225,575 | ||||||||
|
| |||||||
Luxembourg - 0.1% | ||||||||
SES SA, FDR | 12,747 | 232,345 | ||||||
|
| |||||||
Macau - 0.1% | ||||||||
Wynn Macau Ltd. | 160,800 | 313,346 | ||||||
|
| |||||||
Malta - 0.0% (c) | ||||||||
BGP Holdings plc (3)*(d)(e) | 96,388 | 131 | ||||||
|
| |||||||
Netherlands - 2.1% | ||||||||
Adyen NV *(a)(b) | 512 | 336,704 | ||||||
ASML Holding NV | 1,058 | 262,398 | ||||||
ING Groep NV | 19,668 | 205,466 | ||||||
Koninklijke Ahold Delhaize NV | 130,511 | 3,263,774 | ||||||
Koninklijke Philips NV | 23,095 | 1,067,198 | ||||||
NN Group NV | 11,780 | 417,467 | ||||||
Royal Dutch Shell plc, Class A | 5,529 | 162,154 | ||||||
Royal Dutch Shell plc, Class B | 22,741 | 672,120 | ||||||
|
| |||||||
6,387,281 | ||||||||
|
| |||||||
Russia - 0.2% | ||||||||
Evraz plc | 113,423 | 652,814 | ||||||
|
| |||||||
Singapore - 0.2% | ||||||||
ComfortDelGro Corp. Ltd. | 381,300 | 662,493 | ||||||
Singapore Exchange Ltd. | 4,067 | 24,951 | ||||||
|
| |||||||
687,444 | ||||||||
|
| |||||||
South Africa - 0.3% | ||||||||
Anglo American plc | 35,556 | 817,148 | ||||||
|
| |||||||
Spain - 1.8% | ||||||||
ACS Actividades de Construccion y Servicios SA | 9,860 | 393,966 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 179,893 | 936,430 | ||||||
Enagas SA | 20,282 | 468,849 | ||||||
Endesa SA | 40,767 | 1,072,404 | ||||||
Iberdrola SA | 166,017 | 1,725,544 | ||||||
Naturgy Energy Group SA | 5,611 | 148,819 | ||||||
Red Electrica Corp. SA | 9,526 | 192,956 | ||||||
Telefonica SA | 44,117 | 337,104 | ||||||
|
| |||||||
5,276,072 | ||||||||
|
| |||||||
Sweden - 1.2% | ||||||||
Investor AB, Class B | 2,204 | 107,637 | ||||||
Kinnevik AB, Class B (a) | 1,380 | 36,283 | ||||||
Sandvik AB | 41,962 | 653,263 | ||||||
Skanska AB, Class B | 7,812 | 158,155 | ||||||
Swedish Match AB | 19,422 | 803,255 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 155,229 | 1,239,711 | ||||||
Volvo AB, Class B | 50,252 | 705,193 | ||||||
|
| |||||||
3,703,497 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
147
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Switzerland - 2.9% | ||||||||
Glencore plc * | 230,369 | $ | 694,229 | |||||
Nestle SA (Registered) | 13,094 | 1,420,104 | ||||||
Novartis AG (Registered) | 9,065 | 786,724 | ||||||
Roche Holding AG | 13,692 | 3,986,627 | ||||||
Sonova Holding AG (Registered) | 3,778 | 879,068 | ||||||
Zurich Insurance Group AG | 2,442 | 935,305 | ||||||
|
| |||||||
8,702,057 | ||||||||
|
| |||||||
United Kingdom - 2.4% | ||||||||
3i Group plc | 9,545 | 136,612 | ||||||
AstraZeneca plc | 978 | 87,325 | ||||||
Aviva plc | 149,977 | 736,265 | ||||||
BAE Systems plc | 20,368 | 142,643 | ||||||
Barclays plc | 472,194 | 870,017 | ||||||
Barratt Developments plc | 28,554 | 227,308 | ||||||
Berkeley Group Holdings plc | 5,669 | 291,072 | ||||||
BP plc | 28,417 | 179,901 | ||||||
BT Group plc | 359,386 | 788,283 | ||||||
Burberry Group plc | 18,209 | 486,392 | ||||||
Centrica plc | 595,640 | 540,120 | ||||||
Direct Line Insurance Group plc | 92,681 | 341,948 | ||||||
Fiat Chrysler Automobiles NV | 60,607 | 785,334 | ||||||
GlaxoSmithKline plc | 3,818 | 81,837 | ||||||
HSBC Holdings plc | 43,610 | 334,151 | ||||||
Meggitt plc | 15,912 | 124,130 | ||||||
Micro Focus International plc | 6,336 | 89,035 | ||||||
Persimmon plc | 17,671 | 471,289 | ||||||
Unilever plc | 5,942 | 357,126 | ||||||
|
| |||||||
7,070,788 | ||||||||
|
| |||||||
United States - 55.1% | ||||||||
Accenture plc, Class A (1) | 676 | 130,029 | ||||||
Adobe, Inc. (1)* | 5,484 | 1,514,955 | ||||||
Akamai Technologies, Inc. (1)* | 7,908 | 722,633 | ||||||
Alexion Pharmaceuticals, Inc. (1)* | 1,130 | 110,672 | ||||||
Allergan plc (1) | 2,326 | 391,443 | ||||||
Alliance Data Systems Corp. (1) | 638 | 81,747 | ||||||
Allstate Corp. (The) (1) | 14,175 | 1,540,539 | ||||||
Alphabet, Inc., Class A (1)* | 1,840 | 2,246,898 | ||||||
Alphabet, Inc., Class C (1)* | 2,218 | 2,703,742 | ||||||
Altria Group, Inc. (1) | 52,145 | 2,132,731 | ||||||
Amazon.com, Inc. (1)* | 962 | 1,669,945 | ||||||
American Airlines Group, Inc. (1)(a) | 34,665 | 934,915 | ||||||
American Electric Power Co., Inc. (1) | 21,816 | 2,043,941 | ||||||
American Financial Group, Inc. (1) | 924 | 99,653 | ||||||
American Tower Corp., REIT (1) | 4,396 | 972,087 | ||||||
Analog Devices, Inc. (1) | 4,029 | 450,160 | ||||||
Anthem, Inc. (1) | 2,773 | 665,797 | ||||||
Apple, Inc. (1) | 33,199 | 7,435,579 | ||||||
Applied Materials, Inc. (1) | 70,338 | 3,509,865 | ||||||
Arch Capital Group Ltd. (1)* | 4,072 | 170,943 | ||||||
Athene Holding Ltd., Class A (1)* | 3,280 | 137,957 | ||||||
AvalonBay Communities, Inc., REIT (1) | 811 | 174,633 | ||||||
Berkshire Hathaway, Inc., Class B (1)* | 9,167 | 1,906,919 | ||||||
Best Buy Co., Inc. (1) | 15,749 | 1,086,524 | ||||||
Biogen, Inc. (1)* | 15,033 | 3,499,982 | ||||||
Boeing Co. (The) (1) | 283 | 107,673 | ||||||
Boston Properties, Inc., REIT (1) | 869 | 112,675 | ||||||
Bristol-Myers Squibb Co. (1) | 6,759 | 342,749 |
INVESTMENTS | SHARES | VALUE | ||||||
United States - 55.1% (continued) | ||||||||
Bunge Ltd. (1) | 2,782 | $ | 157,517 | |||||
Cadence Design Systems, Inc. (1)* | 17,671 | 1,167,700 | ||||||
Capital One Financial Corp. (1) | 1,768 | 160,853 | ||||||
Caterpillar, Inc. (1) | 3,352 | 423,391 | ||||||
CBS Corp.(Non-Voting), Class B (1) | 3,991 | 161,117 | ||||||
CDW Corp. (1) | 5,046 | 621,869 | ||||||
Celgene Corp. (1)* | 3,386 | 336,230 | ||||||
Cisco Systems, Inc. (1) | 42,297 | 2,089,895 | ||||||
Citizens Financial Group, Inc. (1) | 18,202 | 643,805 | ||||||
Cognizant Technology Solutions Corp., Class A (1) | 5,092 | 306,869 | ||||||
Colgate-Palmolive Co. (1) | 30,852 | 2,267,931 | ||||||
Comcast Corp., Class A (1) | 20,472 | 922,878 | ||||||
Comerica, Inc. (1) | 9,799 | 646,636 | ||||||
ConocoPhillips (1) | 9,363 | 533,504 | ||||||
Consolidated Edison, Inc. (1) | 9,812 | 926,940 | ||||||
Crown Castle International Corp., REIT (1) | 1,970 | 273,850 | ||||||
Cummins, Inc. (1) | 5,613 | 913,067 | ||||||
Delta Air Lines, Inc. (1) | 58,500 | 3,369,600 | ||||||
Discover Financial Services (1) | 18,491 | 1,499,435 | ||||||
DTE Energy Co. (1) | 835 | 111,022 | ||||||
Duke Energy Corp. (1) | 4,644 | 445,174 | ||||||
DXC Technology Co. (1) | 45,259 | 1,335,141 | ||||||
Eastman Chemical Co. (1) | 3,520 | 259,882 | ||||||
Eaton Corp. plc (1) | 9,254 | 769,470 | ||||||
eBay, Inc. (1) | 27,261 | 1,062,634 | ||||||
Edison International (1) | 1,191 | 89,825 | ||||||
Edwards Lifesciences Corp. (1)* | 579 | 127,328 | ||||||
Electronic Arts, Inc. (1)* | 11,971 | 1,171,003 | ||||||
Eli Lilly & Co. (1) | 6,262 | 700,279 | ||||||
Equinix, Inc., REIT (1) | 222 | 128,050 | ||||||
Equity Residential, REIT (1) | 2,048 | 176,660 | ||||||
Essex Property Trust, Inc., REIT (1) | 720 | 235,188 | ||||||
Everest Re Group Ltd. (1) | 2,372 | 631,165 | ||||||
Exelon Corp. (1) | 75,529 | 3,648,805 | ||||||
F5 Networks, Inc. (1)* | 1,041 | 146,177 | ||||||
Facebook, Inc., Class A (1)* | 16,611 | 2,958,087 | ||||||
Fifth Third Bancorp (1) | 20,238 | 554,116 | ||||||
Flex Ltd. (1)* | 22,507 | 235,536 | ||||||
Fortinet, Inc. (1)* | 7,018 | 538,702 | ||||||
Garmin Ltd. (1) | 5,858 | 496,114 | ||||||
Gilead Sciences, Inc. (1) | 27,371 | 1,734,774 | ||||||
HCA Healthcare, Inc. (1) | 9,639 | 1,160,728 | ||||||
HD Supply Holdings, Inc. (1)* | 2,897 | 113,490 | ||||||
HollyFrontier Corp. (1) | 2,498 | 133,993 | ||||||
Home Depot, Inc. (The) (1) | 1,083 | 251,278 | ||||||
Honeywell International, Inc. (1) | 2,299 | 388,991 | ||||||
HP, Inc. (1) | 122,320 | 2,314,294 | ||||||
Humana, Inc. (1) | 943 | 241,097 | ||||||
Huntington Ingalls Industries, Inc. (1) | 1,811 | 383,552 | ||||||
Ingredion, Inc. (1) | 1,472 | 120,321 | ||||||
Intel Corp. (1) | 49,201 | 2,535,328 | ||||||
International Business Machines Corp. (1) | 10,948 | 1,592,058 | ||||||
International Paper Co. (1)(a) | 3,037 | 127,007 | ||||||
Intuit, Inc. (1) | 4,628 | 1,230,770 | ||||||
Johnson & Johnson (1) | 25,107 | 3,248,344 | ||||||
Kohl’s Corp. (1) | 14,987 | 744,254 | ||||||
L Brands, Inc. (1) | 31,843 | 623,804 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
148
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
United States - 55.1% (continued) | ||||||||
Lam Research Corp. (1) | 6,858 | $ | 1,584,952 | |||||
Las Vegas Sands Corp. (1) | 3,138 | 181,251 | ||||||
Lincoln National Corp. (1) | 3,999 | 241,220 | ||||||
Lockheed Martin Corp. (1) | 2,371 | 924,832 | ||||||
LyondellBasell Industries NV, Class A (1) | 3,113 | 278,520 | ||||||
ManpowerGroup, Inc. (1) | 13,633 | 1,148,444 | ||||||
Mastercard, Inc., Class A (1) | 9,886 | 2,684,741 | ||||||
McDonald’s Corp. (1) | 1,597 | 342,892 | ||||||
McKesson Corp. (1) | 6,834 | 933,934 | ||||||
Medtronic plc (1) | 17,487 | 1,899,438 | ||||||
Merck & Co., Inc. (1) | 26,114 | 2,198,277 | ||||||
MetLife, Inc. (1) | 37,089 | 1,749,117 | ||||||
Micron Technology, Inc. (1)* | 37,196 | 1,593,849 | ||||||
Microsoft Corp. (1) | 53,094 | 7,381,658 | ||||||
Mondelez International, Inc., Class A (1) | 4,444 | 245,842 | ||||||
Monster Beverage Corp. (1)* | 10,362 | 601,618 | ||||||
Mylan NV (1)* | 92,668 | 1,832,973 | ||||||
Newmont Goldcorp Corp. (1) | 13,183 | 499,899 | ||||||
NIKE, Inc., Class B (1) | 5,656 | 531,212 | ||||||
Norwegian Cruise Line Holdings Ltd. (1)* | 23,489 | 1,216,026 | ||||||
Oracle Corp. (1) | 29,486 | 1,622,615 | ||||||
O’Reilly Automotive, Inc. (1)* | 710 | 282,942 | ||||||
PayPal Holdings, Inc. (1)* | 2,365 | 244,990 | ||||||
PepsiCo, Inc. (1) | 16,321 | 2,237,609 | ||||||
Pfizer, Inc. (1) | 59,876 | 2,151,345 | ||||||
Philip Morris International, Inc. (1) | 13,759 | 1,044,721 | ||||||
Phillips 66 (1) | 5,810 | 594,944 | ||||||
Pinnacle West Capital Corp. (1) | 20,343 | 1,974,695 | ||||||
Procter & Gamble Co. (The) (1) | 27,747 | 3,451,172 | ||||||
Prologis, Inc., REIT (1) | 2,980 | 253,956 | ||||||
Public Service Enterprise Group, Inc. (1) | 8,116 | 503,841 | ||||||
Public Storage, REIT (1) | 2,484 | 609,251 | ||||||
PVH Corp. (1) | 5,413 | 477,589 | ||||||
QUALCOMM, Inc. (1) | 31,243 | 2,383,216 | ||||||
Ralph Lauren Corp. (1) | 9,323 | 890,067 | ||||||
Raytheon Co. (1) | 1,979 | 388,260 | ||||||
Robert Half International, Inc. (1) | 11,343 | 631,351 | ||||||
S&P Global, Inc. (1) | 1,101 | 269,723 | ||||||
Signature Bank (1) | 1,012 | 120,651 | ||||||
Simon Property Group, Inc., REIT (1) | 1,723 | 268,185 | ||||||
Skyworks Solutions, Inc. (1) | 12,969 | 1,027,793 | ||||||
Southwest Airlines Co. (1) | 44,195 | 2,386,972 | ||||||
Spirit AeroSystems Holdings, Inc., Class A (1) | 8,548 | 702,988 | ||||||
Starbucks Corp. (1) | 23,947 | 2,117,394 | ||||||
Steel Dynamics, Inc. (1) | 5,574 | 166,105 | ||||||
Synchrony Financial (1) | 101,992 | 3,476,906 | ||||||
Texas Instruments, Inc. (1) | 11,366 | 1,468,942 | ||||||
Thermo Fisher Scientific, Inc. (1) | 641 | 186,704 | ||||||
Tractor Supply Co. (1) | 1,577 | 142,624 | ||||||
Travelers Cos., Inc. (The) (1) | 3,034 | 451,125 | ||||||
Twitter, Inc. (1)* | 37,096 | 1,528,355 | ||||||
Tyson Foods, Inc., Class A (1) | 28,858 | 2,485,828 | ||||||
Ulta Beauty, Inc. (1)* | 337 | 84,469 | ||||||
United Airlines Holdings, Inc. (1)* | 34,626 | 3,061,285 | ||||||
UnitedHealth Group, Inc. (1) | 5,286 | 1,148,754 | ||||||
Unum Group (1) | 11,821 | 351,320 | ||||||
Valero Energy Corp. (1) | 1,320 | 112,517 |
INVESTMENTS | SHARES | VALUE | ||||||
United States - 55.1% (continued) | ||||||||
Ventas, Inc., REIT (1) | 2,800 | $ | 204,484 | |||||
VeriSign, Inc. (1)* | 1,793 | 338,214 | ||||||
Verizon Communications, Inc. (1) | 18,465 | 1,114,547 | ||||||
Walmart, Inc. (1) | 16,891 | 2,004,624 | ||||||
Wells Fargo & Co. (1) | 46,759 | 2,358,524 | ||||||
Welltower, Inc., REIT (1) | 3,001 | 272,041 | ||||||
Xerox Holdings Corp. (1) | 39,660 | 1,186,231 | ||||||
Xilinx, Inc. (1) | 4,736 | 454,182 | ||||||
|
| |||||||
164,389,660 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 265,426,868 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 8.3% | ||||||||
INVESTMENT COMPANIES - 8.3% | ||||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 1.79% (1)(f)(g) | 2,444,507 | 2,444,507 | ||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(f) | 22,477,193 | 22,479,441 | ||||||
|
| |||||||
TOTALSHORT-TERM INVESTMENTS | 24,923,948 | |||||||
|
| |||||||
SECURITIES LENDING COLLATERAL - 0.5% | ||||||||
Investment Companies - 0.5% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (1)(f)(h) | 194,781 | 194,781 | ||||||
Limited Purpose Cash Investment Fund 2.01% (1)(f)(h) | 1,397,750 | 1,397,890 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 1,592,671 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.7% | 291,943,487 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.3% (i) | 6,909,504 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 298,852,991 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
149
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 15,398,090 | 5.2 | % | ||||
Consumer Discretionary | 21,675,286 | 7.2 | ||||||
Consumer Staples | 24,451,066 | 8.2 | ||||||
Energy | 3,242,235 | 1.1 | ||||||
Financials | 33,337,013 | 11.2 | ||||||
Health Care | 35,049,429 | 11.7 | ||||||
Industrials | 30,717,858 | 10.3 | ||||||
Information Technology | 57,637,970 | 19.3 | ||||||
Materials | 12,025,687 | 4.0 | ||||||
Real Estate | 10,390,514 | 3.5 | ||||||
Utilities | 21,501,720 | 7.2 | ||||||
Short-Term Investments | 24,923,948 | 8.3 | ||||||
Securities Lending Collateral | 1,592,671 | 0.5 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 291,943,487 | 97.7 | ||||||
Other Assets in Excess of Liabilities (i) | 6,909,504 | 2.3 | ||||||
|
|
|
| |||||
Net Assets | $ | 298,852,991 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $1,466,295. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures |
approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $1,836,952, which represents approximately 0.61% of net assets of the fund. |
(c) | Represents less than 0.05% of net assets. |
(d) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $131, which represents approximately 0.00% of net assets of the fund. |
(e) | Restricted Security. |
(f) | Represents 7-day effective yield as of September 30, 2019. |
(g) | All or a portion of the security pledged as collateral for forward foreign currency exchange contracts. |
(h) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(i) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
Total return swap contracts outstanding as of September 30, 2019:
Over the Counter
REFERENCE ENTITY | PAYMENTS FUND | PAYMENTS RECEIVED BY FUND | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
Hang Seng Index October Futures | Decreases in total return of reference entity | Increases in total return of reference entity | At termination | GSIN | 10/30/2019 | HKD | 15,625,200 | $1,088 | ||||||||||||||||
MSCI Japan Net Return Index | Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread(-0.40%) | Increases in total return of reference entity | Monthly | JPMC | 12/20/2019 | JPY | 558,305,685 | 133,147 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
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AQR GLOBAL EQUITY FUND |
REFERENCE ENTITY | PAYMENTS FUND | PAYMENTS RECEIVED BY FUND | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
MSCI Italy Net Return Index | Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread(-0.20%) | Increases in total return of reference entity | Monthly | JPMC | 12/20/2019 | EUR | 5,453,491 | $ 77,677 | ||||||||||||||||
|
| |||||||||||||||||||||||
211,912 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||
Swiss Market Index December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | CITI | 12/20/2019 | CHF | (2,111,340 | ) | (16,511 | ) | ||||||||||||||
MSCI Switzerland Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread(-0.40%) | Monthly | JPMC | 12/18/2019 | CHF | (1,673,338 | ) | (13,313 | ) | ||||||||||||||
MSCI Spain Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the EURIBOR plus or minus a specified spread(-0.60%) | Monthly | JPMC | 12/18/2019 | EUR | (187,003 | ) | (3,807 | ) | ||||||||||||||
MSCI Sweden Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the Stockholm Interbank Offered Rate (“STIBOR”) plus or minus a specified spread(-0.70%) | Monthly | JPMC | 12/18/2019 | SEK | (28,034,412 | ) | (32,076 | ) | ||||||||||||||
|
| |||||||||||||||||||||||
(65,707 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
$146,205 | ||||||||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
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Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts | ||||||||||||||||
CAC 40 10 Euro Index | 330 | 10/2019 | EUR | $20,415,636 | $241,253 | |||||||||||
Hang Seng Index | 20 | 10/2019 | HKD | 3,322,658 | 8,954 | |||||||||||
DAX Index | 25 | 12/2019 | EUR | 8,454,606 | 35,614 | |||||||||||
FTSE 100 Index | 158 | 12/2019 | GBP | 14,343,844 | 171,498 | |||||||||||
FTSE/MIB Index | 145 | 12/2019 | EUR | 17,436,856 | 221,502 | |||||||||||
TOPIX Index | 26 | 12/2019 | JPY | 3,818,543 | (28,920 | ) | ||||||||||
|
| |||||||||||||||
649,901 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Amsterdam Exchange Index | (92 | ) | 10/2019 | EUR | (11,634,955 | ) | (117,103 | ) | ||||||||
IBEX 35 Index | (6 | ) | 10/2019 | EUR | (603,778 | ) | (15,329 | ) | ||||||||
OMXS30 Index | (44 | ) | 10/2019 | SEK | (736,496 | ) | 3,904 | |||||||||
S&P 500E-Mini Index | (67 | ) | 12/2019 | USD | (9,977,975 | ) | 23,750 | |||||||||
S&P/TSX 60 Index | (69 | ) | 12/2019 | CAD | (10,375,650 | ) | 4,057 | |||||||||
SPI 200 Index | (98 | ) | 12/2019 | AUD | (11,049,538 | ) | (30,798 | ) | ||||||||
|
| |||||||||||||||
(131,519 | ) | |||||||||||||||
|
| |||||||||||||||
$518,382 | ||||||||||||||||
|
|
Forward foreign currency contracts outstanding as of September 30, 2019:
Over the Counter
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
AUD | 7,555,000 | USD | 5,079,976 | CITG | 12/18/2019 | $31,935 | ||||||||||||||
AUD | 7,555,000 | USD | 5,079,982 | JPMC | 12/18/2019 | 31,929 | ||||||||||||||
CAD | 11,357,287 | USD | 8,549,789 | CITG | 12/18/2019 | 34,039 | ||||||||||||||
CAD | 11,357,278 | USD | 8,549,793 | JPMC | 12/18/2019 | 34,029 | ||||||||||||||
GBP | 4,087,684 | USD | 5,007,008 | CITG | 12/18/2019 | 35,348 | ||||||||||||||
GBP | 4,087,687 | USD | 5,007,018 | JPMC | 12/18/2019 | 35,343 | ||||||||||||||
HKD | 1,447,500 | USD | 184,646 | CITG | 12/18/2019 | 180 | ||||||||||||||
HKD | 1,447,500 | USD | 184,646 | JPMC | 12/18/2019 | 179 | ||||||||||||||
ILS | 1,072,999 | USD | 306,530 | CITG | 12/18/2019 | 3,448 | ||||||||||||||
ILS | 1,073,000 | USD | 306,531 | JPMC | 12/18/2019 | 3,448 | ||||||||||||||
SGD | 58,000 | USD | 41,817 | CITG | 12/18/2019 | 185 | ||||||||||||||
SGD | 58,000 | USD | 41,817 | JPMC | 12/18/2019 | 185 | ||||||||||||||
USD | 325,754 | AUD | 474,500 | CITG | 12/18/2019 | 4,694 | ||||||||||||||
USD | 325,753 | AUD | 474,500 | JPMC | 12/18/2019 | 4,694 | ||||||||||||||
USD | 17,339,159 | CHF | 16,928,992 | CITG | 12/18/2019 | 257,746 | ||||||||||||||
USD | 17,339,154 | CHF | 16,929,008 | JPMC | 12/18/2019 | 257,725 | ||||||||||||||
USD | 1,319,395 | DKK | 8,796,000 | CITG | 12/18/2019 | 26,926 | ||||||||||||||
USD | 1,319,393 | DKK | 8,796,000 | JPMC | 12/18/2019 | 26,924 | ||||||||||||||
USD | 8,535,273 | EUR | 7,660,494 | CITG | 12/18/2019 | 134,792 | ||||||||||||||
USD | 8,535,306 | EUR | 7,660,506 | JPMC | 12/18/2019 | 134,812 | ||||||||||||||
USD | 507,238 | GBP | 407,000 | CITG | 12/18/2019 | 5,184 | ||||||||||||||
USD | 507,237 | GBP | 407,000 | JPMC | 12/18/2019 | 5,183 | ||||||||||||||
USD | 105,282 | HKD | 824,000 | CITG | 12/18/2019 | 70 | ||||||||||||||
USD | 105,282 | HKD | 824,000 | JPMC | 12/18/2019 | 70 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
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Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
USD | 825,312 | JPY | 87,552,000 | CITG | 12/18/2019 | $ 10,874 | ||||||||||||||
USD | 825,311 | JPY | 87,552,000 | JPMC | 12/18/2019 | 10,873 | ||||||||||||||
USD | 2,804,009 | NOK | 25,189,499 | CITG | 12/18/2019 | 31,732 | ||||||||||||||
USD | 2,804,005 | NOK | 25,189,500 | JPMC | 12/18/2019 | 31,729 | ||||||||||||||
USD | 2,682,715 | NZD | 4,188,000 | CITG | 12/18/2019 | 55,499 | ||||||||||||||
USD | 2,682,712 | NZD | 4,188,000 | JPMC | 12/18/2019 | 55,495 | ||||||||||||||
USD | 4,512,120 | SEK | 43,365,501 | CITG | 12/18/2019 | 82,993 | ||||||||||||||
USD | 4,512,114 | SEK | 43,365,500 | JPMC | 12/18/2019 | 82,987 | ||||||||||||||
USD | 79,919 | SGD | 110,000 | CITG | 12/18/2019 | 260 | ||||||||||||||
USD | 79,919 | SGD | 110,000 | JPMC | 12/18/2019 | 260 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 1,431,770 | |||||||||||||||||||
|
| |||||||||||||||||||
AUD | 8,932,500 | USD | 6,079,081 | CITG | 12/18/2019 | (35,117 | ) | |||||||||||||
AUD | 8,932,500 | USD | 6,079,089 | JPMC | 12/18/2019 | (35,124 | ) | |||||||||||||
CAD | 6,255,719 | USD | 4,748,655 | CITG | 12/18/2019 | (20,587 | ) | |||||||||||||
CAD | 6,255,714 | USD | 4,748,657 | JPMC | 12/18/2019 | (20,594 | ) | |||||||||||||
CHF | 1,206,000 | USD | 1,224,571 | CITG | 12/18/2019 | (7,713 | ) | |||||||||||||
CHF | 1,206,000 | USD | 1,224,572 | JPMC | 12/18/2019 | (7,715 | ) | |||||||||||||
DKK | 2,808,000 | USD | 418,562 | CITG | 12/18/2019 | (5,960 | ) | |||||||||||||
DKK | 2,808,000 | USD | 418,563 | JPMC | 12/18/2019 | (5,961 | ) | |||||||||||||
EUR | 865,000 | USD | 957,889 | CITG | 12/18/2019 | (9,332 | ) | |||||||||||||
EUR | 865,000 | USD | 957,891 | JPMC | 12/18/2019 | (9,333 | ) | |||||||||||||
GBP | 3,011,812 | USD | 3,734,263 | CITG | 12/18/2019 | (19,047 | ) | |||||||||||||
GBP | 3,011,814 | USD | 3,734,270 | JPMC | 12/18/2019 | (19,052 | ) | |||||||||||||
HKD | 415,500 | USD | 53,171 | CITG | 12/18/2019 | (117 | ) | |||||||||||||
HKD | 415,500 | USD | 53,171 | JPMC | 12/18/2019 | (117 | ) | |||||||||||||
JPY | 169,771,000 | USD | 1,590,308 | CITG | 12/18/2019 | (11,040 | ) | |||||||||||||
JPY | 169,771,000 | USD | 1,590,310 | JPMC | 12/18/2019 | (11,042 | ) | |||||||||||||
NZD | 16,584,996 | USD | 10,603,746 | CITG | 12/18/2019 | (199,643 | ) | |||||||||||||
NZD | 16,585,005 | USD | 10,603,765 | JPMC | 12/18/2019 | (199,657 | ) | |||||||||||||
SEK | 2,837,500 | USD | 293,975 | CITG | 12/18/2019 | (4,168 | ) | |||||||||||||
SEK | 2,837,500 | USD | 293,975 | JPMC | 12/18/2019 | (4,168 | ) | |||||||||||||
SGD | 21,500 | USD | 15,623 | CITG | 12/18/2019 | (53 | ) | |||||||||||||
SGD | 21,500 | USD | 15,623 | JPMC | 12/18/2019 | (53 | ) | |||||||||||||
USD | 41,164 | AUD | 61,000 | CITG | 12/18/2019 | (110 | ) | |||||||||||||
USD | 41,164 | AUD | 61,000 | JPMC | 12/18/2019 | (110 | ) | |||||||||||||
USD | 426,123 | CAD | 564,500 | CITG | 12/18/2019 | (525 | ) | |||||||||||||
USD | 426,123 | CAD | 564,500 | JPMC | 12/18/2019 | (526 | ) | |||||||||||||
USD | 53,270 | GBP | 43,500 | CITG | 12/18/2019 | (389 | ) | |||||||||||||
USD | 53,270 | GBP | 43,500 | JPMC | 12/18/2019 | (389 | ) | |||||||||||||
USD | 999,970 | HKD | 7,841,006 | CITG | 12/18/2019 | (1,214 | ) | |||||||||||||
USD | 999,967 | HKD | 7,840,994 | JPMC | 12/18/2019 | (1,215 | ) | |||||||||||||
USD | 20,866 | ILS | 73,000 | CITG | 12/18/2019 | (223 | ) | |||||||||||||
USD | 20,866 | ILS | 73,000 | JPMC | 12/18/2019 | (223 | ) | |||||||||||||
USD | 205,358 | SGD | 285,000 | CITG | 12/18/2019 | (1,033 | ) | |||||||||||||
USD | 205,358 | SGD | 285,000 | JPMC | 12/18/2019 | (1,033 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (632,583 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | $799,187 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Schedule of Investments | September 30, 2019 |
AQR GLOBAL EQUITY FUND |
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $5,314,535 | $5,314,535 | |||||||||
| ||||||||||||
CITG | ||||||||||||
Cash | (270,000 | ) | — | (270,000 | ) | |||||||
Investment Companies | 231,306 | — | 231,306 | |||||||||
| ||||||||||||
GSIN | ||||||||||||
Cash | 42,399 | — | 42,399 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Investment Companies | 2,213,201 | — | 2,213,201 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
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Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 89.8% | ||||||||
Australia - 7.3% | ||||||||
AGL Energy Ltd. | 12,157 | $ | 157,275 | |||||
ASX Ltd. | 5,022 | 275,203 | ||||||
Aurizon Holdings Ltd. | 384,589 | 1,533,105 | ||||||
Australia & New Zealand Banking Group Ltd. | 11,501 | 220,930 | ||||||
BHP Group Ltd. | 50,669 | 1,252,059 | ||||||
BHP Group plc | 117,007 | 2,499,188 | ||||||
BlueScope Steel Ltd. | 195,821 | 1,590,532 | ||||||
Brambles Ltd. | 79,688 | 613,678 | ||||||
CIMIC Group Ltd. | 78,033 | 1,658,051 | ||||||
Coles Group Ltd. | 15,979 | 166,126 | ||||||
Crown Resorts Ltd. | 12,294 | 100,008 | ||||||
Dexus, REIT | 23,093 | 186,008 | ||||||
Fortescue Metals Group Ltd. | 81,963 | 487,861 | ||||||
Goodman Group, REIT | 54,028 | 517,144 | ||||||
GPT Group (The), REIT | 55,477 | 230,696 | ||||||
Lendlease Group | 24,576 | 291,493 | ||||||
Mirvac Group, REIT | 104,753 | 216,406 | ||||||
Newcrest Mining Ltd. | 14,940 | 344,750 | ||||||
QBE Insurance Group Ltd. | 17,521 | 148,620 | ||||||
Rio Tinto Ltd. | 7,677 | 480,848 | ||||||
Rio Tinto plc | 28,264 | 1,469,236 | ||||||
Scentre Group, REIT | 104,047 | 276,042 | ||||||
South32 Ltd. | 992,611 | 1,750,661 | ||||||
Stockland, REIT | 62,453 | 191,836 | ||||||
Telstra Corp. Ltd. | 217,707 | 516,067 | ||||||
Treasury Wine Estates Ltd. | 5,181 | 65,031 | ||||||
Vicinity Centres, REIT | 94,695 | 164,294 | ||||||
|
| |||||||
17,403,148 | ||||||||
|
| |||||||
Belgium - 1.1% | ||||||||
Ageas | 19,246 | 1,066,904 | ||||||
Groupe Bruxelles Lambert SA | 1,290 | 123,825 | ||||||
KBC Group NV | 6,844 | 444,527 | ||||||
Telenet Group Holding NV | 2,001 | 94,426 | ||||||
UCB SA | 12,835 | 931,210 | ||||||
|
| |||||||
2,660,892 | ||||||||
|
| |||||||
Chile - 0.0% (a) | ||||||||
Antofagasta plc | 5,567 | 61,457 | ||||||
|
| |||||||
China - 0.3% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 1,082,900 | 752,946 | ||||||
|
| |||||||
Denmark - 2.1% | ||||||||
Danske Bank A/S | 19,842 | 276,049 | ||||||
H Lundbeck A/S | 10,950 | 363,021 | ||||||
Novo Nordisk A/S, Class B | 61,984 | 3,203,098 | ||||||
Pandora A/S | 29,583 | 1,187,187 | ||||||
|
| |||||||
5,029,355 | ||||||||
|
| |||||||
Finland - 1.4% | ||||||||
Fortum OYJ | 58,120 | 1,373,740 | ||||||
Kone OYJ, Class B | 2,363 | 134,479 | ||||||
Nokia OYJ | 254,323 | 1,284,408 | ||||||
Orion OYJ, Class B | 11,382 | 424,126 | ||||||
Sampo OYJ, Class A | 1,554 | 61,744 | ||||||
|
| |||||||
3,278,497 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
France - 9.1% | ||||||||
Atos SE (b) | 9,295 | $ | 654,269 | |||||
AXA SA | 46,701 | 1,192,453 | ||||||
BNP Paribas SA | 17,929 | 871,652 | ||||||
Bureau Veritas SA | 4,110 | 98,927 | ||||||
Carrefour SA | 3,552 | 62,133 | ||||||
Cie de Saint-Gobain | 1,693 | 66,353 | ||||||
CNP Assurances | 21,991 | 424,968 | ||||||
Credit Agricole SA | 31,352 | 379,478 | ||||||
Dassault Aviation SA | 154 | 217,829 | ||||||
Dassault Systemes SE | 6,099 | 868,841 | ||||||
Electricite de France SA (b) | 141,508 | 1,582,975 | ||||||
Engie SA | 189,960 | 3,100,558 | ||||||
Hermes International | 533 | 368,132 | ||||||
Ingenico Group SA | 777 | 75,731 | ||||||
Ipsen SA | 643 | 60,999 | ||||||
Kering SA | 4,209 | 2,144,842 | ||||||
Klepierre SA, REIT | 5,535 | 187,971 | ||||||
L’Oreal SA | 3,941 | 1,102,175 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 305 | 121,012 | ||||||
Orange SA | 9,780 | 153,076 | ||||||
Peugeot SA | 100,860 | 2,517,338 | ||||||
Publicis Groupe SA | 1,286 | 63,278 | ||||||
Sanofi | 20,150 | 1,866,551 | ||||||
Sartorius Stedim Biotech | 715 | 100,009 | ||||||
Schneider Electric SE | 6,782 | 593,032 | ||||||
Societe BIC SA | 1,145 | 76,865 | ||||||
Societe Generale SA | 18,458 | 505,604 | ||||||
Thales SA | 10,656 | 1,224,917 | ||||||
TOTAL SA | 8,671 | 451,471 | ||||||
Unibail-Rodamco-Westfield, REIT | 3,742 | 545,506 | ||||||
|
| |||||||
21,678,945 | ||||||||
|
| |||||||
Germany - 8.5% | ||||||||
adidas AG | 7,304 | 2,273,514 | ||||||
Allianz SE (Registered) | 15,802 | 3,678,263 | ||||||
Bayer AG (Registered) | 5,959 | 419,830 | ||||||
Covestro AG (c) | 3,427 | 169,575 | ||||||
Deutsche Boerse AG | 3,287 | 512,637 | ||||||
Deutsche Lufthansa AG (Registered) | 32,342 | 513,434 | ||||||
Deutsche Post AG (Registered) | 1,938 | 64,584 | ||||||
Deutsche Telekom AG (Registered) | 5,903 | 99,011 | ||||||
Deutsche Wohnen SE | 9,934 | 362,626 | ||||||
E.ON SE | 137,995 | 1,341,671 | ||||||
Fresenius Medical Care AG & Co. KGaA | 11,331 | 761,446 | ||||||
Fresenius SE & Co. KGaA | 10,315 | 482,542 | ||||||
HeidelbergCement AG | 973 | 70,299 | ||||||
HOCHTIEF AG | 1,866 | 212,650 | ||||||
Infineon Technologies AG | 29,324 | 526,857 | ||||||
KION Group AG | 15,428 | 811,343 | ||||||
Porsche Automobil Holding SE (Preference) | 4,664 | 302,353 | ||||||
SAP SE | 35,413 | 4,167,168 | ||||||
Siemens AG (Registered) | 29,868 | 3,197,224 | ||||||
Vonovia SE | 7,064 | 358,393 | ||||||
|
| |||||||
20,325,420 | ||||||||
|
| |||||||
Hong Kong - 3.6% | ||||||||
CK Asset Holdings Ltd. | 336,500 | 2,279,818 | ||||||
CK Infrastructure Holdings Ltd. | 17,827 | 119,887 | ||||||
CLP Holdings Ltd. | 24,500 | 257,517 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
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AQR INTERNATIONAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Hong Kong - 3.6% (continued) | ||||||||
Henderson Land Development Co. Ltd. | 165,380 | $ | 770,311 | |||||
HKT Trust & HKT Ltd. | 90,000 | 142,769 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 20,254 | 593,646 | ||||||
Kerry Properties Ltd. | 306,000 | 942,207 | ||||||
Link REIT, REIT | 55,882 | 616,427 | ||||||
New World Development Co. Ltd. | 406,000 | 527,256 | ||||||
PCCW Ltd. | 64,000 | 35,929 | ||||||
Sun Hung Kai Properties Ltd. | 9,500 | 136,522 | ||||||
Swire Properties Ltd. | 57,400 | 180,144 | ||||||
WH Group Ltd. (c) | 1,210,000 | 1,083,625 | ||||||
Wheelock & Co. Ltd. | 78,000 | 444,379 | ||||||
Yue Yuen Industrial Holdings Ltd. | 147,500 | 402,982 | ||||||
|
| |||||||
8,533,419 | ||||||||
|
| |||||||
Italy - 2.4% | ||||||||
Assicurazioni Generali SpA | 27,465 | 532,263 | ||||||
Enel SpA | 491,617 | 3,672,034 | ||||||
Intesa Sanpaolo SpA | 300,896 | 712,768 | ||||||
Leonardo SpA | 66,295 | 779,299 | ||||||
Poste Italiane SpA (c) | 5,778 | 65,679 | ||||||
|
| |||||||
5,762,043 | ||||||||
|
| |||||||
Japan - 21.1% | ||||||||
Alfresa Holdings Corp. | 14,800 | 331,613 | ||||||
Alps Alpine Co. Ltd. | 40,700 | 764,248 | ||||||
Aozora Bank Ltd. | 2,600 | 65,157 | ||||||
Astellas Pharma, Inc. | 223,700 | 3,199,840 | ||||||
Brother Industries Ltd. | 26,100 | 475,588 | ||||||
Central Japan Railway Co. | 400 | 82,484 | ||||||
Chubu Electric Power Co., Inc. | 4,400 | 63,825 | ||||||
Dai-ichi Life Holdings, Inc. | 62,300 | 947,141 | ||||||
Daito Trust Construction Co. Ltd. | 2,487 | 318,531 | ||||||
Daiwa House Industry Co. Ltd. | 8,395 | 272,877 | ||||||
East Japan Railway Co. | 700 | 66,936 | ||||||
Fuji Electric Co. Ltd. | 17,700 | 545,754 | ||||||
FUJIFILM Holdings Corp. | 10,800 | 475,745 | ||||||
Fujitsu Ltd. | 17,300 | 1,390,406 | ||||||
Hitachi High-Technologies Corp. | 24,900 | 1,447,442 | ||||||
Hitachi Ltd. | 82,900 | 3,104,622 | ||||||
Hoshizaki Corp. | 2,200 | 173,418 | ||||||
Hoya Corp. | 8,500 | 696,175 | ||||||
Hulic Co. Ltd. | 8,000 | 82,133 | ||||||
IHI Corp. | 29,600 | 648,412 | ||||||
Isuzu Motors Ltd. | 23,700 | 262,534 | ||||||
ITOCHU Corp. | 19,800 | 410,130 | ||||||
Japan Airlines Co. Ltd. | 88,000 | 2,613,549 | ||||||
Japan Post Holdings Co. Ltd. | 51,300 | 473,375 | ||||||
Japan Real Estate Investment Corp., REIT | 26 | 174,364 | ||||||
Japan Retail Fund Investment Corp., REIT | 73 | 154,468 | ||||||
Japan Tobacco, Inc. | 10,400 | 227,860 | ||||||
JFE Holdings, Inc. | 5,400 | 65,407 | ||||||
JTEKT Corp. | 12,200 | 140,899 | ||||||
Kamigumi Co. Ltd. | 14,000 | 318,024 | ||||||
KDDI Corp. | 3,000 | 78,278 | ||||||
Kyocera Corp. | 1,100 | 68,586 | ||||||
Marubeni Corp. | 166,000 | 1,107,049 | ||||||
Mazda Motor Corp. | 105,500 | 945,630 | ||||||
Medipal Holdings Corp. | 3,600 | 80,360 | ||||||
Mitsubishi Corp. | 32,400 | 797,782 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 21.1% (continued) | ||||||||
Mitsubishi Estate Co. Ltd. | 22,820 | $ | 441,260 | |||||
Mitsubishi Gas Chemical Co., Inc. | 7,600 | 102,219 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 150,791 | 767,958 | ||||||
Mitsui Fudosan Co. Ltd. | 18,105 | 450,581 | ||||||
MS&AD Insurance Group Holdings, Inc. | 5,300 | 172,272 | ||||||
Nexon Co. Ltd. * | 9,600 | 116,642 | ||||||
Nikon Corp. | 104,000 | 1,304,717 | ||||||
Nintendo Co. Ltd. | 5,000 | 1,862,482 | ||||||
Nippon Building Fund, Inc., REIT | 35 | 268,910 | ||||||
Nippon Express Co. Ltd. | 18,500 | 947,510 | ||||||
Nippon Telegraph & Telephone Corp. | 1,400 | 66,981 | ||||||
Nitto Denko Corp. | 1,400 | 67,837 | ||||||
Nomura Real Estate Holdings, Inc. | 3,900 | 84,543 | ||||||
NTT DOCOMO, Inc. | 26,800 | 684,328 | ||||||
Obayashi Corp. | 20,200 | 202,019 | ||||||
Olympus Corp. | 5,100 | 69,094 | ||||||
ORIX Corp. | 4,200 | 62,828 | ||||||
Panasonic Corp. | 7,900 | 64,383 | ||||||
Persol Holdings Co. Ltd. | 21,300 | 404,846 | ||||||
Pola Orbis Holdings, Inc. | 10,700 | 241,215 | ||||||
Renesas Electronics Corp. * | 106,700 | 699,228 | ||||||
Resona Holdings, Inc. | 342,900 | 1,475,548 | ||||||
Rohm Co. Ltd. | 7,900 | 609,106 | ||||||
Seven & i Holdings Co. Ltd. | 8,500 | 325,765 | ||||||
Shinsei Bank Ltd. | 58,200 | 851,014 | ||||||
Shionogi & Co. Ltd. | 42,900 | 2,391,805 | ||||||
Showa Denko KK | 2,800 | 73,888 | ||||||
SoftBank Group Corp. | 21,500 | 848,399 | ||||||
Sompo Holdings, Inc. | 1,600 | 67,195 | ||||||
Sony Corp. | 45,000 | 2,659,867 | ||||||
Subaru Corp. | 2,700 | 76,356 | ||||||
SUMCO Corp. | 51,900 | 707,019 | ||||||
Sumitomo Corp. | 102,500 | 1,604,685 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 13,100 | 216,745 | ||||||
Sumitomo Heavy Industries Ltd. | 37,200 | 1,108,491 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 9,336 | 320,805 | ||||||
Sumitomo Realty & Development Co. Ltd. | 5,661 | 216,115 | ||||||
Suzuken Co. Ltd. | 8,400 | 452,169 | ||||||
Sysmex Corp. | 8,800 | 591,204 | ||||||
Taiheiyo Cement Corp. | 8,200 | 220,346 | ||||||
Taisei Corp. | 13,500 | 525,380 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 1,700 | 124,304 | ||||||
Tokyo Electric Power Co. Holdings, Inc. * | 13,800 | 67,683 | ||||||
Tokyo Electron Ltd. | 14,100 | 2,708,946 | ||||||
Tokyu Fudosan Holdings Corp. | 12,883 | 82,453 | ||||||
Toyota Tsusho Corp. | 7,300 | 236,941 | ||||||
|
| |||||||
50,714,724 | ||||||||
|
| |||||||
Luxembourg - 0.3% | ||||||||
ArcelorMittal | 4,622 | 65,024 | ||||||
SES SA, FDR | 29,836 | 543,834 | ||||||
|
| |||||||
608,858 | ||||||||
|
| |||||||
Macau - 0.2% | ||||||||
Wynn Macau Ltd. | 217,600 | 424,031 | ||||||
|
| |||||||
Malta - 0.0% (a) | ||||||||
BGP Holdings plc (3)*(d)(e) | 143,427 | 195 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
156
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Netherlands - 5.6% | ||||||||
Adyen NV *(b)(c) | 844 | $ | 555,035 | |||||
Aegon NV | 20,562 | 85,397 | ||||||
ASML Holding NV | 3,518 | 872,511 | ||||||
ING Groep NV | 74,566 | 778,971 | ||||||
Koninklijke Ahold Delhaize NV | 79,788 | 1,995,310 | ||||||
Koninklijke Philips NV | 69,971 | 3,233,294 | ||||||
Randstad NV | 1,947 | 95,590 | ||||||
Royal Dutch Shell plc, Class A | 82,099 | 2,407,796 | ||||||
Royal Dutch Shell plc, Class B | 65,170 | 1,926,129 | ||||||
Wolters Kluwer NV | 17,986 | 1,312,349 | ||||||
|
| |||||||
13,262,382 | ||||||||
|
| |||||||
Russia - 0.2% | ||||||||
Evraz plc | 92,688 | 533,473 | ||||||
|
| |||||||
Singapore - 0.3% | ||||||||
Ascendas REIT, REIT | 81,637 | 184,371 | ||||||
CapitaLand Commercial Trust, REIT | 92,500 | 138,600 | ||||||
CapitaLand Mall Trust, REIT | 38,494 | 73,281 | ||||||
ComfortDelGro Corp. Ltd. | 43,500 | 75,579 | ||||||
Singapore Exchange Ltd. | 25,572 | 156,885 | ||||||
|
| |||||||
628,716 | ||||||||
|
| |||||||
South Africa - 0.6% | ||||||||
Anglo American plc | 39,126 | 899,193 | ||||||
Investec plc | 81,484 | 419,186 | ||||||
|
| |||||||
1,318,379 | ||||||||
|
| |||||||
Spain - 3.3% | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 201,820 | 1,050,571 | ||||||
CaixaBank SA | 28,980 | 76,014 | ||||||
Enagas SA | 24,787 | 572,989 | ||||||
Endesa SA | 94,714 | 2,491,518 | ||||||
Iberdrola SA | 91,861 | 954,782 | ||||||
Industria de Diseno Textil SA | 34,303 | 1,061,595 | ||||||
Mapfre SA | 204,409 | 550,526 | ||||||
Naturgy Energy Group SA | 9,309 | 246,900 | ||||||
Red Electrica Corp. SA | 22,047 | 446,578 | ||||||
Telefonica SA | 42,726 | 326,476 | ||||||
|
| |||||||
7,777,949 | ||||||||
|
| |||||||
Sweden - 3.1% | ||||||||
Atlas Copco AB, Class B | 6,481 | 175,499 | ||||||
Essity AB, Class B | 10,667 | 311,246 | ||||||
Hennes & Mauritz AB, Class B | 16,719 | 324,087 | ||||||
Investor AB, Class B | 9,454 | 461,708 | ||||||
Sandvik AB | 83,335 | 1,297,356 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 10,446 | 95,985 | ||||||
Swedbank AB, Class A | 12,375 | 178,221 | ||||||
Swedish Match AB | 59,788 | 2,472,714 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 208,159 | 1,662,428 | ||||||
Volvo AB, Class B | 26,602 | 373,309 | ||||||
|
| |||||||
7,352,553 | ||||||||
|
| |||||||
Switzerland - 9.1% | ||||||||
Adecco Group AG (Registered) | 12,827 | 709,818 | ||||||
Coca-Cola HBC AG * | 58,973 | 1,926,088 | ||||||
Credit Suisse Group AG (Registered) * | 8,882 | 108,655 | ||||||
Glencore plc * | 152,562 | 459,753 |
INVESTMENTS | SHARES | VALUE | ||||||
Switzerland - 9.1% (continued) | ||||||||
LafargeHolcim Ltd. (Registered) * | 4,831 | $ | 237,897 | |||||
Nestle SA (Registered) | 60,091 | 6,517,142 | ||||||
Novartis AG (Registered) | 17,940 | 1,556,959 | ||||||
Roche Holding AG | 14,656 | 4,267,310 | ||||||
Sonova Holding AG (Registered) | 10,588 | 2,463,624 | ||||||
STMicroelectronics NV | 3,245 | 62,797 | ||||||
Swatch Group AG (The) | 260 | 69,030 | ||||||
Swiss Life Holding AG (Registered) | 134 | 64,065 | ||||||
UBS Group AG (Registered) * | 83,882 | 952,433 | ||||||
Zurich Insurance Group AG | 6,166 | 2,361,627 | ||||||
|
| |||||||
21,757,198 | ||||||||
|
| |||||||
United Kingdom - 10.2% | ||||||||
3i Group plc | 29,271 | 418,937 | ||||||
AstraZeneca plc | 13,976 | 1,247,905 | ||||||
Aviva plc | 363,488 | 1,784,430 | ||||||
BAE Systems plc | 47,593 | 333,308 | ||||||
Barclays plc | 1,001,366 | 1,845,017 | ||||||
Barratt Developments plc | 83,391 | 663,846 | ||||||
Berkeley Group Holdings plc | 12,474 | 640,471 | ||||||
BP plc | 233,102 | 1,475,714 | ||||||
British American Tobacco plc | 20,870 | 770,735 | ||||||
British Land Co. plc (The), REIT | 28,168 | 202,635 | ||||||
BT Group plc | 380,281 | 834,114 | ||||||
Burberry Group plc | 56,548 | 1,510,490 | ||||||
Centrica plc | 271,135 | 245,862 | ||||||
Compass Group plc | 2,957 | 76,092 | ||||||
Diageo plc | 27,533 | 1,124,732 | ||||||
Direct Line Insurance Group plc | 258,160 | 952,485 | ||||||
Experian plc | 8,913 | 285,030 | ||||||
Fiat Chrysler Automobiles NV | 105,474 | 1,366,712 | ||||||
GlaxoSmithKline plc | 51,121 | 1,095,759 | ||||||
HSBC Holdings plc | 217,728 | 1,668,289 | ||||||
Imperial Brands plc | 10,124 | 227,346 | ||||||
Land Securities Group plc, REIT | 21,547 | 226,934 | ||||||
Lloyds Banking Group plc | 288,221 | 191,068 | ||||||
London Stock Exchange Group plc | 5,349 | 480,339 | ||||||
Marks & Spencer Group plc | 182,273 | 412,843 | ||||||
Meggitt plc | 13,850 | 108,044 | ||||||
National Grid plc | 6,138 | 66,458 | ||||||
Persimmon plc | 27,168 | 724,575 | ||||||
Prudential plc | 10,131 | 183,586 | ||||||
Reckitt Benckiser Group plc | 5,796 | 452,548 | ||||||
RELX plc | 34,060 | 808,916 | ||||||
Royal Bank of Scotland Group plc | 100,731 | 256,752 | ||||||
Standard Life Aberdeen plc | 23,144 | 81,285 | ||||||
Taylor Wimpey plc | 200,770 | 398,515 | ||||||
Unilever plc | 18,843 | 1,132,501 | ||||||
Vodafone Group plc | 140,230 | 279,381 | ||||||
|
| |||||||
24,573,654 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 214,438,234 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 6.4% | ||||||||
INVESTMENT COMPANIES - 6.4% | ||||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 1.79% (1)(f)(g) | 2,760,577 | 2,760,577 | ||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(f) | 12,519,460 | 12,520,712 | ||||||
|
| |||||||
TOTALSHORT-TERM INVESTMENTS | 15,281,289 | |||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
157
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
SECURITIES LENDING COLLATERAL - 0.2% | ||||||||
Investment Companies - 0.2% | ||||||||
Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 1.87% (1)(f)(h) | 61,028 | $ | 61,028 | |||||
Limited Purpose Cash Investment Fund 2.01% (1)(f)(h) | 437,935 | 437,978 | ||||||
|
| |||||||
TOTAL SECURITIES LENDING COLLATERAL |
| 499,006 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.4% | 230,218,529 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.6% (i) | 8,665,707 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 238,884,236 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 6,745,471 | 2.8 | % | ||||
Consumer Discretionary | 22,403,143 | 9.4 | ||||||
Consumer Staples | 20,204,292 | 8.5 | ||||||
Energy | 6,261,110 | 2.6 | ||||||
Financials | 32,493,133 | 13.6 | ||||||
Health Care | 30,630,992 | 12.8 | ||||||
Industrials | 30,057,825 | 12.6 | ||||||
Information Technology | 23,180,978 | 9.7 | ||||||
Materials | 12,901,503 | 5.4 | ||||||
Real Estate | 12,797,536 | 5.4 | ||||||
Utilities | 16,762,251 | 7.0 | ||||||
Short-Term Investments | 15,281,289 | 6.4 | ||||||
Securities Lending Collateral | 499,006 | 0.2 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 230,218,529 | 96.4 | ||||||
Other Assets in Excess of Liabilities (i) | 8,665,707 | 3.6 | ||||||
|
|
|
| |||||
Net Assets | $ | 238,884,236 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets. |
(b) | The security or a portion of this security is on loan at September 30, 2019. The total value of securities on loan at September 30, 2019 was $474,242. |
(c) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $1,873,914, which represents approximately 0.78% of net assets of the fund. |
(d) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $195, which represents approximately 0.00% of net assets of the fund. |
(e) | Restricted Security. |
(f) | Represents 7-day effective yield as of September 30, 2019. |
(g) | All or a portion of the security pledged as collateral for forward foreign currency exchange contracts. |
(h) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan (See Note 3). |
(i) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
(3) | Level 3 security (See Note 4). |
Total return swap contracts outstanding as of September 30, 2019:
Over the Counter
REFERENCE ENTITY | PAYMENTS FUND | PAYMENTS RECEIVED BY FUND | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
MSCI Italy Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.20%) | Increases in total return of reference entity | Monthly | JPMC | 12/20/2019 | EUR | 6,499,866 | $92,582 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
158
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
REFERENCE ENTITY | PAYMENTS FUND | PAYMENTS RECEIVED BY FUND | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
MSCI France Net Return Index | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread(-0.10%) | Increases in total return of reference entity | Monthly | JPMC | 12/20/2019 | EUR | 871,639 | $ 16,374 | ||||||||||||||||
|
| |||||||||||||||||||||||
108,956 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||
Swiss Market Index December Futures | Increases in total return of reference entity | Decreases in total return of reference entity | At termination | JPMC | 12/20/2019 | CHF | (11,361,020 | ) | (39,149 | ) | ||||||||||||||
MSCI Switzerland Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread(-0.40%) | Monthly | JPMC | 12/18/2019 | CHF | (2,254,571 | ) | (17,938 | ) | ||||||||||||||
MSCI Sweden Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the STIBOR plus or minus a specified spread(-0.70%) | Monthly | JPMC | 12/18/2019 | SEK | (19,784,285 | ) | (22,636 | ) | ||||||||||||||
MSCI Netherlands Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the EURIBOR plus or minus a specified spread(-0.10%) | Monthly | JPMC | 12/18/2019 | EUR | (1,980,269 | ) | (34,947 | ) | ||||||||||||||
MSCI Switzerland Net Return Index | Increases in total return of reference entity | Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread(-0.40%) | Monthly | JPMC | 12/18/2019 | CHF | (3,198,858 | ) | (21,912 | ) | ||||||||||||||
MSCI Singapore Net Return Index | Decreases in total return of reference entity and pays the Singapore Interbank Offered Rate (“SIBOR”) plus or minus a specified spread (0.20%) | Increases in total return of reference entity | Monthly | JPMC | 12/20/2019 | SGD | 5,897 | (42 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
159
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
REFERENCE ENTITY | PAYMENTS FUND | PAYMENTS RECEIVED BY FUND | PAYMENT FREQUENCY | COUNTERPARTY | MATURITY DATE | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||||
MSCI Singapore Net Return Index | Decreases in total return of reference entity and pays the SIBOR plus or minus a specified spread (0.20%) | Increases in total return of reference entity | Monthly | JPMC | 12/20/2019 | SGD | 1,592,271 | $ (12,456 | ) | |||||||||||||||
|
| |||||||||||||||||||||||
(149,080 | ) | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
$(40,124 | ) | |||||||||||||||||||||||
|
|
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts | ||||||||||||||||
CAC 40 10 Euro Index | 319 | 10/2019 | EUR | $19,735,115 | $231,558 | |||||||||||
IBEX 35 Index | 25 | 10/2019 | EUR | 2,515,741 | 64,431 | |||||||||||
MSCI Singapore Index | 18 | 10/2019 | SGD | 467,858 | (898 | ) | ||||||||||
DAX Index | 21 | 12/2019 | EUR | 7,101,869 | 24,472 | |||||||||||
FTSE 100 Index | 35 | 12/2019 | GBP | 3,177,434 | 4,830 | |||||||||||
FTSE/MIB Index | 156 | 12/2019 | EUR | 18,759,652 | 242,281 | |||||||||||
TOPIX Index | 26 | 12/2019 | JPY | 3,818,543 | (51,087 | ) | ||||||||||
|
| |||||||||||||||
515,587 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Amsterdam Exchange Index | (50 | ) | 10/2019 | EUR | (6,323,345 | ) | (63,551 | ) | ||||||||
Hang Seng Index | (5 | ) | 10/2019 | HKD | (830,665 | ) | (2,202 | ) | ||||||||
OMXS30 Index | (288 | ) | 10/2019 | SEK | (4,820,699 | ) | 9,261 | |||||||||
SPI 200 Index | (111 | ) | 12/2019 | AUD | (12,515,294 | ) | (28,269 | ) | ||||||||
|
| |||||||||||||||
(84,761 | ) | |||||||||||||||
|
| |||||||||||||||
$430,826 | ||||||||||||||||
|
|
Forward foreign currency contracts outstanding as of September 30, 2019:
Over the Counter
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
AUD | 9,996,026 | USD | 6,721,320 | CITG | 12/18/2019 | $42,254 | ||||||||||||||
AUD | 9,996,024 | USD | 6,721,327 | JPMC | 12/18/2019 | 42,246 | ||||||||||||||
GBP | 7,376,030 | USD | 9,036,492 | CITG | 12/18/2019 | 62,198 | ||||||||||||||
GBP | 7,376,030 | USD | 9,036,504 | JPMC | 12/18/2019 | 62,189 | ||||||||||||||
HKD | 1,000,005 | USD | 127,541 | CITG | 12/18/2019 | 146 | ||||||||||||||
HKD | 999,995 | USD | 127,540 | JPMC | 12/18/2019 | 145 | ||||||||||||||
ILS | 2,527,000 | USD | 721,850 | CITG | 12/18/2019 | 8,178 | ||||||||||||||
ILS | 2,527,000 | USD | 721,851 | JPMC | 12/18/2019 | 8,177 | ||||||||||||||
SGD | 1,209,650 | USD | 871,482 | CITG | 12/18/2019 | 4,519 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
160
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
SGD | 1,209,650 | USD | 871,483 | JPMC | 12/18/2019 | $ 4,517 | ||||||||||||||
USD | 369,408 | AUD | 542,000 | CITG | 12/18/2019 | 2,677 | ||||||||||||||
USD | 369,408 | AUD | 542,000 | JPMC | 12/18/2019 | 2,676 | ||||||||||||||
USD | 11,225,405 | CHF | 10,963,404 | CITG | 12/18/2019 | 163,292 | ||||||||||||||
USD | 11,225,383 | CHF | 10,963,396 | JPMC | 12/18/2019 | 163,278 | ||||||||||||||
USD | 1,036,320 | DKK | 6,912,500 | CITG | 12/18/2019 | 20,609 | ||||||||||||||
USD | 1,036,319 | DKK | 6,912,500 | JPMC | 12/18/2019 | 20,608 | ||||||||||||||
USD | 10,851,513 | EUR | 9,739,296 | CITG | 12/18/2019 | 171,422 | ||||||||||||||
USD | 10,851,546 | EUR | 9,739,304 | JPMC | 12/18/2019 | 171,447 | ||||||||||||||
USD | 2,995,231 | GBP | 2,403,500 | CITG | 12/18/2019 | 30,397 | ||||||||||||||
USD | 2,995,228 | GBP | 2,403,500 | JPMC | 12/18/2019 | 30,393 | ||||||||||||||
USD | 76,049 | HKD | 595,000 | CITG | 12/18/2019 | 75 | ||||||||||||||
USD | 76,048 | HKD | 595,000 | JPMC | 12/18/2019 | 75 | ||||||||||||||
USD | 4,159,641 | JPY | 440,618,600 | CITG | 12/18/2019 | 60,857 | ||||||||||||||
USD | 4,159,636 | JPY | 440,618,600 | JPMC | 12/18/2019 | 60,852 | ||||||||||||||
USD | 10,236,463 | NZD | 16,102,500 | CITG | 12/18/2019 | 135,041 | ||||||||||||||
USD | 10,236,450 | NZD | 16,102,500 | JPMC | 12/18/2019 | 135,029 | ||||||||||||||
USD | 3,642,038 | SEK | 35,044,000 | CITG | 12/18/2019 | 62,826 | ||||||||||||||
USD | 3,642,034 | SEK | 35,044,000 | JPMC | 12/18/2019 | 62,821 | ||||||||||||||
USD | 62,071 | SGD | 85,500 | CITG | 12/18/2019 | 154 | ||||||||||||||
USD | 62,071 | SGD | 85,500 | JPMC | 12/18/2019 | 154 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 1,529,252 | |||||||||||||||||||
|
| |||||||||||||||||||
AUD | 12,238,026 | USD | 8,322,898 | CITG | 12/18/2019 | (42,329 | ) | |||||||||||||
AUD | 12,238,024 | USD | 8,322,907 | JPMC | 12/18/2019 | (42,339 | ) | |||||||||||||
CHF | 1,929,500 | USD | 1,957,349 | CITG | 12/18/2019 | (10,477 | ) | |||||||||||||
CHF | 1,929,500 | USD | 1,957,352 | JPMC | 12/18/2019 | (10,479 | ) | |||||||||||||
DKK | 3,892,000 | USD | 580,679 | CITG | 12/18/2019 | (8,795 | ) | |||||||||||||
DKK | 3,892,000 | USD | 580,679 | JPMC | 12/18/2019 | (8,796 | ) | |||||||||||||
EUR | 1,365,500 | USD | 1,523,910 | CITG | 12/18/2019 | (26,506 | ) | |||||||||||||
EUR | 1,365,500 | USD | 1,523,912 | JPMC | 12/18/2019 | (26,507 | ) | |||||||||||||
GBP | 4,254,122 | USD | 5,267,653 | CITG | 12/18/2019 | (19,986 | ) | |||||||||||||
GBP | 4,254,118 | USD | 5,267,654 | JPMC | 12/18/2019 | (19,993 | ) | |||||||||||||
JPY | 572,317,000 | USD | 5,370,830 | CITG | 12/18/2019 | (46,942 | ) | |||||||||||||
JPY | 572,317,000 | USD | 5,370,836 | JPMC | 12/18/2019 | (46,949 | ) | |||||||||||||
NZD | 23,875,004 | USD | 15,264,669 | CITG | 12/18/2019 | (287,399 | ) | |||||||||||||
NZD | 23,874,996 | USD | 15,264,683 | JPMC | 12/18/2019 | (287,420 | ) | |||||||||||||
SEK | 1,061,000 | USD | 110,210 | CITG | 12/18/2019 | (1,845 | ) | |||||||||||||
SEK | 1,061,000 | USD | 110,210 | JPMC | 12/18/2019 | (1,845 | ) | |||||||||||||
SGD | 4,500 | USD | 3,270 | CITG | 12/18/2019 | (11 | ) | |||||||||||||
SGD | 4,500 | USD | 3,270 | JPMC | 12/18/2019 | (11 | ) | |||||||||||||
USD | 320,202 | AUD | 474,500 | CITG | 12/18/2019 | (857 | ) | |||||||||||||
USD | 320,202 | AUD | 474,500 | JPMC | 12/18/2019 | (857 | ) | |||||||||||||
USD | 182,114 | GBP | 148,500 | CITG | 12/18/2019 | (1,068 | ) | |||||||||||||
USD | 182,114 | GBP | 148,500 | JPMC | 12/18/2019 | (1,068 | ) | |||||||||||||
USD | 286,893 | HKD | 2,249,004 | CITG | 12/18/2019 | (272 | ) | |||||||||||||
USD | 286,891 | HKD | 2,248,996 | JPMC | 12/18/2019 | (273 | ) | |||||||||||||
USD | 28,423 | ILS | 99,500 | CITG | 12/18/2019 | (321 | ) | |||||||||||||
USD | 28,423 | ILS | 99,500 | JPMC | 12/18/2019 | (321 | ) | |||||||||||||
USD | 6,148 | SGD | 8,500 | CITG | 12/18/2019 | (8 | ) | |||||||||||||
USD | 6,148 | SGD | 8,500 | JPMC | 12/18/2019 | (8 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (893,682 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | $635,570 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
161
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND |
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
BARC | ||||||||||||
Cash | $— | $4,327,743 | $4,327,743 | |||||||||
| ||||||||||||
CITG | ||||||||||||
Cash | (240,000 | ) | — | (240,000 | ) | |||||||
Investment Companies | 8,176 | — | 8,176 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Investment Companies | 2,752,401 | — | 2,752,401 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
162
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
LONG POSITIONS - 126.6% | ||||||||
COMMON STOCKS - 122.1% | ||||||||
Aerospace & Defense - 3.6% | ||||||||
Boeing Co. (The) (a) | 437 | $ | 166,265 | |||||
Curtiss-Wright Corp. | 415 | 53,689 | ||||||
Huntington Ingalls Industries, Inc. | 222 | 47,017 | ||||||
Lockheed Martin Corp. | 214 | 83,473 | ||||||
Raytheon Co. | 142 | 27,859 | ||||||
Spirit AeroSystems Holdings, Inc., Class A | 1,324 | 108,886 | ||||||
Teledyne Technologies, Inc. * | 74 | 23,827 | ||||||
|
| |||||||
511,016 | ||||||||
|
| |||||||
Airlines - 0.8% | ||||||||
Delta Air Lines, Inc. | 1,084 | 62,438 | ||||||
Southwest Airlines Co. | 341 | 18,418 | ||||||
United Airlines Holdings, Inc. * | 397 | 35,099 | ||||||
|
| |||||||
115,955 | ||||||||
|
| |||||||
Auto Components - 1.0% | ||||||||
Dana, Inc. | 2,069 | 29,876 | ||||||
Delphi Technologies plc | 2,489 | 33,353 | ||||||
Garrett Motion, Inc. (Switzerland) * | 794 | 7,908 | ||||||
Goodyear Tire & Rubber Co. (The) | 3,513 | 50,605 | ||||||
Lear Corp. | 169 | 19,925 | ||||||
|
| |||||||
141,667 | ||||||||
|
| |||||||
Banks - 3.8% | ||||||||
Bank of America Corp. | 2,628 | 76,659 | ||||||
Citigroup, Inc. | 1,670 | 115,364 | ||||||
Fifth Third Bancorp | 336 | 9,200 | ||||||
First Citizens BancShares, Inc., Class A | 51 | 24,049 | ||||||
JPMorgan Chase & Co. | 908 | 106,863 | ||||||
PNC Financial Services Group, Inc. (The) | 90 | 12,614 | ||||||
Popular, Inc. (Puerto Rico) | 1,037 | 56,081 | ||||||
SunTrust Banks, Inc. | 249 | 17,131 | ||||||
Wells Fargo & Co. | 2,392 | 120,652 | ||||||
|
| |||||||
538,613 | ||||||||
|
| |||||||
Beverages - 1.0% | ||||||||
Monster Beverage Corp. * | 1,161 | 67,407 | ||||||
PepsiCo, Inc. | 488 | 66,905 | ||||||
|
| |||||||
134,312 | ||||||||
|
| |||||||
Biotechnology - 4.5% | ||||||||
AbbVie, Inc. (a) | 347 | 26,275 | ||||||
Alexion Pharmaceuticals, Inc. * | 509 | 49,852 | ||||||
Alkermes plc * | 2,238 | 43,663 | �� | |||||
Amgen, Inc. | 107 | 20,706 | ||||||
Biogen, Inc. *(a) | 903 | 210,236 | ||||||
Celgene Corp. * | 401 | 39,819 | ||||||
Exelixis, Inc. * | 5,372 | 95,004 | ||||||
Gilead Sciences, Inc. | 1,616 | 102,422 | ||||||
Incyte Corp. * | 319 | 23,679 | ||||||
Regeneron Pharmaceuticals, Inc. * | 69 | 19,141 | ||||||
|
| |||||||
630,797 | ||||||||
|
| |||||||
Building Products - 0.4% | ||||||||
Armstrong World Industries, Inc. | 167 | 16,149 | ||||||
Masco Corp. | 864 | 36,011 |
INVESTMENTS | SHARES | VALUE | ||||||
Building Products - 0.4% (continued) | ||||||||
Resideo Technologies, Inc. * | 402 | $ | 5,769 | |||||
|
| |||||||
57,929 | ||||||||
|
| |||||||
Capital Markets - 1.0% | ||||||||
Ameriprise Financial, Inc. | 286 | 42,071 | ||||||
Moody’s Corp. | 115 | 23,555 | ||||||
Morgan Stanley | 814 | 34,733 | ||||||
S&P Global, Inc. | 152 | 37,237 | ||||||
|
| |||||||
137,596 | ||||||||
|
| |||||||
Chemicals - 1.0% | ||||||||
Cabot Corp. | 681 | 30,863 | ||||||
Celanese Corp. | 507 | 62,001 | ||||||
Eastman Chemical Co. | 247 | 18,236 | ||||||
PolyOne Corp. | 784 | 25,598 | ||||||
|
| |||||||
136,698 | ||||||||
|
| |||||||
Commercial Services & Supplies - 2.3% | ||||||||
Clean Harbors, Inc. * | 677 | 52,264 | ||||||
Deluxe Corp. | 262 | 12,880 | ||||||
Herman Miller, Inc. | 1,358 | 62,590 | ||||||
HNI Corp. | 2,971 | 105,471 | ||||||
Waste Management, Inc. | 812 | 93,380 | ||||||
|
| |||||||
326,585 | ||||||||
|
| |||||||
Communications Equipment - 1.8% | ||||||||
Ciena Corp. * | 445 | 17,457 | ||||||
Cisco Systems, Inc. (a) | 3,963 | 195,812 | ||||||
F5 Networks, Inc. * | 197 | 27,663 | ||||||
Juniper Networks, Inc. | 568 | 14,058 | ||||||
|
| |||||||
254,990 | ||||||||
|
| |||||||
Consumer Finance - 0.9% | ||||||||
Synchrony Financial | 3,700 | 126,133 | ||||||
|
| |||||||
Containers & Packaging - 0.2% | ||||||||
Berry Global Group, Inc. * | 238 | 9,346 | ||||||
International Paper Co. | 459 | 19,196 | ||||||
|
| |||||||
28,542 | ||||||||
|
| |||||||
Diversified Consumer Services - 0.5% | ||||||||
Graham Holdings Co., Class B | 6 | 3,981 | ||||||
H&R Block, Inc. | 789 | 18,636 | ||||||
WW International, Inc. * | 1,308 | 49,468 | ||||||
|
| |||||||
72,085 | ||||||||
|
| |||||||
Diversified Financial Services - 1.4% | ||||||||
Berkshire Hathaway, Inc., Class B *(a) | 958 | 199,283 | ||||||
|
| |||||||
Diversified Telecommunication Services - 1.1% | ||||||||
AT&T, Inc. | 1,267 | 47,943 | ||||||
Verizon Communications, Inc. | 1,867 | 112,692 | ||||||
|
| |||||||
160,635 | ||||||||
|
| |||||||
Electric Utilities - 2.2% | ||||||||
American Electric Power Co., Inc. | 75 | 7,027 | ||||||
Exelon Corp. (a) | 4,410 | 213,047 | ||||||
IDACORP, Inc. | 559 | 62,982 | ||||||
Pinnacle West Capital Corp. | 294 | 28,539 | ||||||
|
| |||||||
311,595 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
163
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Electrical Equipment - 1.0% | ||||||||
Eaton Corp. plc | 590 | $ | 49,058 | |||||
Emerson Electric Co. | 250 | 16,715 | ||||||
GrafTech International Ltd. | 1,475 | 18,880 | ||||||
nVent Electric plc | 2,642 | 58,230 | ||||||
|
| |||||||
142,883 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 1.2% | ||||||||
Belden, Inc. | 222 | 11,841 | ||||||
CDW Corp. | 466 | 57,430 | ||||||
Tech Data Corp. * | 611 | 63,691 | ||||||
Vishay Intertechnology, Inc. | 2,280 | 38,600 | ||||||
|
| |||||||
171,562 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.0% (b) | ||||||||
McDermott International, Inc. * | 1,344 | 2,715 | ||||||
Nabors Industries Ltd. | 995 | 1,861 | ||||||
Patterson-UTI Energy, Inc. | 268 | 2,291 | ||||||
|
| |||||||
6,867 | ||||||||
|
| |||||||
Entertainment - 2.1% | ||||||||
Activision Blizzard, Inc. | 911 | 48,210 | ||||||
Electronic Arts, Inc. * | 1,267 | 123,938 | ||||||
Viacom, Inc., Class B | 168 | 4,037 | ||||||
Walt Disney Co. (The) | 942 | 122,761 | ||||||
Zynga, Inc., Class A * | 619 | 3,603 | ||||||
|
| |||||||
302,549 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 0.4% | ||||||||
American Tower Corp. | 63 | 13,931 | ||||||
AvalonBay Communities, Inc. | 49 | 10,551 | ||||||
Brixmor Property Group, Inc. | 1,198 | 24,308 | ||||||
Retail Properties of America, Inc., Class A | 220 | 2,710 | ||||||
|
| |||||||
51,500 | ||||||||
|
| |||||||
Food & Staples Retailing - 1.3% | ||||||||
Walmart, Inc. (a) | 1,532 | 181,818 | ||||||
|
| |||||||
Food Products - 2.3% | ||||||||
Archer-Daniels-Midland Co. | 1,560 | 64,069 | ||||||
Bunge Ltd. | 946 | 53,563 | ||||||
Ingredion, Inc. | 165 | 13,487 | ||||||
Tyson Foods, Inc., Class A (a) | 2,242 | 193,126 | ||||||
|
| |||||||
324,245 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 4.9% | ||||||||
Abbott Laboratories | 185 | 15,479 | ||||||
Align Technology, Inc. * | 244 | 44,144 | ||||||
Baxter International, Inc. | 1,851 | 161,907 | ||||||
Boston Scientific Corp. * | 759 | 30,884 | ||||||
Danaher Corp. | 560 | 80,881 | ||||||
Dentsply Sirona, Inc. | 822 | 43,821 | ||||||
Edwards Lifesciences Corp. * | 250 | 54,977 | ||||||
Inogen, Inc. * | 1,731 | 82,932 | ||||||
Masimo Corp. * | 151 | 22,467 | ||||||
Medtronic plc | 1,269 | 137,839 | ||||||
NuVasive, Inc. * | 246 | 15,591 | ||||||
Varian Medical Systems, Inc. * | 28 | 3,335 | ||||||
|
| |||||||
694,257 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Providers & Services - 1.8% | ||||||||
Cardinal Health, Inc. | 624 | $ | 29,447 | |||||
Humana, Inc. | 102 | 26,078 | ||||||
McKesson Corp. | 793 | 108,371 | ||||||
UnitedHealth Group, Inc. | 385 | 83,668 | ||||||
|
| |||||||
247,564 | ||||||||
|
| |||||||
Health Care Technology - 1.1% | ||||||||
Cerner Corp. (a) | 1,532 | 104,437 | ||||||
Veeva Systems, Inc., Class A * | 328 | 50,082 | ||||||
|
| |||||||
154,519 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.0% | ||||||||
Caesars Entertainment Corp. * | 284 | 3,311 | ||||||
Las Vegas Sands Corp. | 1,691 | 97,672 | ||||||
Norwegian Cruise Line Holdings Ltd. * | 1,949 | 100,900 | ||||||
Starbucks Corp. | 969 | 85,679 | ||||||
|
| |||||||
287,562 | ||||||||
|
| |||||||
Household Durables - 1.1% | ||||||||
Garmin Ltd. | 517 | 43,785 | ||||||
PulteGroup, Inc. | 2,060 | 75,293 | ||||||
Roku, Inc. * | 149 | 15,162 | ||||||
Toll Brothers, Inc. | 114 | 4,680 | ||||||
Tupperware Brands Corp. | 698 | 11,077 | ||||||
|
| |||||||
149,997 | ||||||||
|
| |||||||
Household Products - 2.1% | ||||||||
Colgate-Palmolive Co. | 370 | 27,199 | ||||||
Kimberly-Clark Corp. | 411 | 58,383 | ||||||
Procter & Gamble Co. (The) (a) | 1,638 | 203,734 | ||||||
|
| |||||||
289,316 | ||||||||
|
| |||||||
Industrial Conglomerates - 0.7% | ||||||||
3M Co. | 36 | 5,918 | ||||||
Honeywell International, Inc. | 512 | 86,631 | ||||||
|
| |||||||
92,549 | ||||||||
|
| |||||||
Insurance - 4.6% | ||||||||
Aflac, Inc. | 1,909 | 99,879 | ||||||
Allstate Corp. (The) | 1,082 | 117,592 | ||||||
American National Insurance Co. | 48 | 5,939 | ||||||
Assured Guaranty Ltd. | 946 | 42,059 | ||||||
Athene Holding Ltd., Class A * | 1,082 | 45,509 | ||||||
Fidelity National Financial, Inc. | 1,414 | 62,796 | ||||||
First American Financial Corp. | 683 | 40,304 | ||||||
Mercury General Corp. | 769 | 42,972 | ||||||
MetLife, Inc. | 855 | 40,322 | ||||||
Progressive Corp. (The) | 112 | 8,652 | ||||||
Prudential Financial, Inc. | 36 | 3,238 | ||||||
Reinsurance Group of America, Inc. (a) | 372 | 59,475 | ||||||
Travelers Cos., Inc. (The) | 419 | 62,301 | ||||||
Unum Group | 367 | 10,907 | ||||||
|
| |||||||
641,945 | ||||||||
|
| |||||||
Interactive Media & Services - 7.6% | ||||||||
Alphabet, Inc., Class A *(a) | 224 | 273,535 | ||||||
Alphabet, Inc., Class C *(a) | 144 | 175,536 | ||||||
Cars.com, Inc. * | 1,762 | 15,823 | ||||||
Facebook, Inc., Class A *(a) | 1,978 | 352,242 | ||||||
IAC/InterActiveCorp * | 420 | 91,548 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
164
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Interactive Media & Services - 7.6% (continued) | ||||||||
TripAdvisor, Inc. * | 1,087 | $ | 42,045 | |||||
Twitter, Inc. * | 2,660 | 109,592 | ||||||
Yelp, Inc. * | 155 | 5,386 | ||||||
|
| |||||||
1,065,707 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.8% | ||||||||
Amazon.com, Inc. *(a) | 297 | 515,565 | ||||||
Booking Holdings, Inc. * | 8 | 15,701 | ||||||
eBay, Inc. | 2,937 | 114,484 | ||||||
Qurate Retail, Inc., Series A * | 3,319 | 34,236 | ||||||
|
| |||||||
679,986 | ||||||||
|
| |||||||
IT Services - 6.0% | ||||||||
Accenture plc, Class A | 25 | 4,809 | ||||||
Akamai Technologies, Inc. * | 1,184 | 108,194 | ||||||
Alliance Data Systems Corp. | 23 | 2,947 | ||||||
Amdocs Ltd. | 150 | 9,916 | ||||||
Booz Allen Hamilton Holding Corp. | 142 | 10,085 | ||||||
CACI International, Inc., Class A * | 219 | 50,646 | ||||||
Cognizant Technology Solutions Corp., Class A | 972 | 58,578 | ||||||
Conduent, Inc. * | 2,259 | 14,051 | ||||||
DXC Technology Co. | 3,293 | 97,143 | ||||||
EPAM Systems, Inc. * | 310 | 56,519 | ||||||
International Business Machines Corp. (a) | 1,310 | 190,500 | ||||||
Mastercard, Inc., Class A (a) | 245 | 66,535 | ||||||
MAXIMUS, Inc. | 363 | 28,045 | ||||||
PayPal Holdings, Inc. * | 854 | 88,466 | ||||||
VeriSign, Inc. * | 276 | 52,062 | ||||||
|
| |||||||
838,496 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 2.2% | ||||||||
Agilent Technologies, Inc. | 1,206 | 92,416 | ||||||
Bruker Corp. | 958 | 42,085 | ||||||
Charles River Laboratories International, Inc. * | 132 | 17,473 | ||||||
Thermo Fisher Scientific, Inc. | 556 | 161,946 | ||||||
|
| |||||||
313,920 | ||||||||
|
| |||||||
Machinery - 4.1% | ||||||||
Allison Transmission Holdings, Inc. | 80 | 3,764 | ||||||
Caterpillar, Inc. | 784 | 99,027 | ||||||
Crane Co. | 116 | 9,353 | ||||||
Cummins, Inc. (a) | 1,155 | 187,884 | ||||||
Gates Industrial Corp. plc *(a) | 1,923 | 19,365 | ||||||
Ingersoll-Rand plc | 687 | 84,645 | ||||||
ITT, Inc. | 969 | 59,293 | ||||||
Kennametal, Inc. | 583 | 17,922 | ||||||
Oshkosh Corp. | 1,013 | 76,785 | ||||||
Timken Co. (The) | 540 | 23,495 | ||||||
|
| |||||||
581,533 | ||||||||
|
| |||||||
Media - 3.9% | ||||||||
Altice USA, Inc., Class A * | 318 | 9,120 | ||||||
AMC Networks, Inc., Class A * | 1,603 | 78,804 | ||||||
CBS Corp.(Non-Voting), Class B | 2,617 | 105,648 | ||||||
Comcast Corp., Class A (a) | 4,338 | 195,557 | ||||||
Nexstar Media Group, Inc., Class A (a) | 88 | 9,003 | ||||||
Sinclair Broadcast Group, Inc., Class A (a) | 2,259 | 96,550 |
INVESTMENTS | SHARES | VALUE | ||||||
Media - 3.9% (continued) | ||||||||
TEGNA, Inc. | 3,972 | $ | 61,685 | |||||
|
| |||||||
556,367 | ||||||||
|
| |||||||
Metals & Mining - 0.8% | ||||||||
Reliance Steel & Aluminum Co. | 583 | 58,102 | ||||||
Steel Dynamics, Inc. | 1,840 | 54,832 | ||||||
|
| |||||||
112,934 | ||||||||
|
| |||||||
Multiline Retail - 0.8% | ||||||||
Dollar General Corp. | 38 | 6,040 | ||||||
Kohl’s Corp. | 329 | 16,338 | ||||||
Target Corp. | 798 | 85,314 | ||||||
|
| |||||||
107,692 | ||||||||
|
| |||||||
Multi-Utilities - 0.8% | ||||||||
Black Hills Corp. | 496 | 38,058 | ||||||
NorthWestern Corp. | 828 | 62,141 | ||||||
Public Service Enterprise Group, Inc. | 257 | 15,955 | ||||||
|
| |||||||
116,154 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 4.3% | ||||||||
Cabot Oil & Gas Corp. | 1,881 | 33,049 | ||||||
Chevron Corp. | 203 | 24,076 | ||||||
ConocoPhillips (a) | 1,040 | 59,259 | ||||||
Devon Energy Corp. | 594 | 14,292 | ||||||
Exxon Mobil Corp. | 514 | 36,293 | ||||||
HollyFrontier Corp. | 865 | 46,399 | ||||||
Marathon Oil Corp. | 1,473 | 18,074 | ||||||
Occidental Petroleum Corp. | 80 | 3,558 | ||||||
Phillips 66 (a) | 1,472 | 150,733 | ||||||
Pioneer Natural Resources Co. | 96 | 12,074 | ||||||
Southwestern Energy Co. * | 2,270 | 4,381 | ||||||
Valero Energy Corp. | 802 | 68,362 | ||||||
Whiting Petroleum Corp. * | 3,708 | 29,775 | ||||||
World Fuel Services Corp. | 2,701 | 107,878 | ||||||
|
| |||||||
608,203 | ||||||||
|
| |||||||
Personal Products - 0.0% (b) | ||||||||
Nu Skin Enterprises, Inc., Class A | 127 | 5,401 | ||||||
|
| |||||||
Pharmaceuticals - 4.0% | ||||||||
Allergan plc | 163 | 27,431 | ||||||
Bristol-Myers Squibb Co. | 1,038 | 52,637 | ||||||
Eli Lilly & Co. | 32 | 3,579 | ||||||
Jazz Pharmaceuticals plc * | 32 | 4,100 | ||||||
Johnson & Johnson (a) | 1,296 | 167,677 | ||||||
Merck & Co., Inc. (a) | 1,373 | 115,579 | ||||||
Mylan NV * | 2,546 | 50,360 | ||||||
Pfizer, Inc. (a) | 4,011 | 144,115 | ||||||
|
| |||||||
565,478 | ||||||||
|
| |||||||
Professional Services - 1.3% | ||||||||
CoStar Group, Inc. * | 59 | 34,999 | ||||||
Insperity, Inc. | 493 | 48,619 | ||||||
ManpowerGroup, Inc. | 478 | 40,267 | ||||||
Robert Half International, Inc. | 1,123 | 62,506 | ||||||
|
| |||||||
186,391 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
165
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Road & Rail - 0.2% | ||||||||
Avis Budget Group, Inc. * | 269 | $ | 7,602 | |||||
CSX Corp. | 48 | 3,325 | ||||||
Norfolk Southern Corp. | 82 | 14,732 | ||||||
|
| |||||||
25,659 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 6.9% | ||||||||
Applied Materials, Inc. (a) | 3,784 | 188,822 | ||||||
Broadcom, Inc. | 141 | 38,926 | ||||||
Cirrus Logic, Inc. * | 877 | 46,990 | ||||||
Intel Corp. (a) | 3,474 | 179,015 | ||||||
Lam Research Corp. | 306 | 70,720 | ||||||
Micron Technology, Inc. * | 3,016 | 129,236 | ||||||
QUALCOMM, Inc. | 1,764 | 134,558 | ||||||
Skyworks Solutions, Inc. | 914 | 72,434 | ||||||
Texas Instruments, Inc. | 369 | 47,689 | ||||||
Xilinx, Inc. (a) | 637 | 61,088 | ||||||
|
| |||||||
969,478 | ||||||||
|
| |||||||
Software - 8.7% | ||||||||
2U, Inc. * | 514 | 8,368 | ||||||
Adobe, Inc. * | 367 | 101,384 | ||||||
Aspen Technology, Inc. * | 362 | 44,555 | ||||||
Autodesk, Inc. * | 33 | 4,874 | ||||||
Cadence Design Systems, Inc. * | 1,629 | 107,644 | ||||||
CommVault Systems, Inc. * | 969 | 43,324 | ||||||
Dropbox, Inc., Class A * | 345 | 6,959 | ||||||
Fortinet, Inc. * | 603 | 46,286 | ||||||
Intuit, Inc. | 419 | 111,429 | ||||||
Manhattan Associates, Inc. * | 476 | 38,399 | ||||||
Microsoft Corp. (a) | 4,145 | 576,279 | ||||||
Oracle Corp. | 2,262 | 124,478 | ||||||
Symantec Corp. | 284 | 6,711 | ||||||
|
| |||||||
1,220,690 | ||||||||
|
| |||||||
Specialty Retail - 3.0% | ||||||||
AutoZone, Inc. * | 35 | 37,962 | ||||||
Best Buy Co., Inc. | 1,400 | 96,586 | ||||||
Home Depot, Inc. (The) | 429 | 99,536 | ||||||
L Brands, Inc. | 353 | 6,915 | ||||||
Michaels Cos., Inc. (The) * | 7,402 | 72,466 | ||||||
Murphy USA, Inc. * | 32 | 2,730 | ||||||
Sally Beauty Holdings, Inc. * | 1,497 | 22,290 | ||||||
Signet Jewelers Ltd. | 1,205 | 20,196 | ||||||
TJX Cos., Inc. (The) | 627 | 34,949 | ||||||
Tractor Supply Co. | 141 | 12,752 | ||||||
Urban Outfitters, Inc. * | 723 | 20,309 | ||||||
|
| |||||||
426,691 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 4.5% | ||||||||
Apple, Inc. (a) | 2,467 | 552,534 | ||||||
HP, Inc. | 3,463 | 65,520 | ||||||
Xerox Holdings Corp. | 324 | 9,691 | ||||||
|
| |||||||
627,745 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 2.1% | ||||||||
Deckers Outdoor Corp. * | 578 | 85,174 | ||||||
Lululemon Athletica, Inc. * | 293 | 56,411 | ||||||
NIKE, Inc., Class B | 421 | 39,541 | ||||||
Ralph Lauren Corp. | 379 | 36,183 |
INVESTMENTS | SHARES | VALUE | ||||||
Textiles, Apparel & Luxury Goods - 2.1% (continued) | ||||||||
Skechers U.S.A., Inc., Class A * | 2,042 | $ | 76,269 | |||||
|
| |||||||
293,578 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.7% | ||||||||
MGIC Investment Corp. (a) | 8,251 | 103,798 | ||||||
|
| |||||||
Tobacco - 0.3% | ||||||||
Philip Morris International, Inc. | 583 | 44,267 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.0% | ||||||||
HD Supply Holdings, Inc. * | 890 | 34,866 | ||||||
WESCO International, Inc. * | 2,096 | 100,126 | ||||||
|
| |||||||
134,992 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 17,208,724 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS - 3.4% | ||||||||
SPDR S&P 500 ETF Trust | ||||||||
(Cost $482,986) | 1,618 | 480,174 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 1.1% | ||||||||
INVESTMENT COMPANIES - 1.1% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (c) | ||||||||
(Cost $146,773) | 146,772 | 146,786 | ||||||
|
| |||||||
TOTAL LONG POSITIONS | 17,835,684 | |||||||
|
| |||||||
SHORT POSITIONS - (28.6)% | ||||||||
COMMON STOCKS - (28.6)% | ||||||||
Aerospace & Defense - (0.4)% | ||||||||
BWX Technologies, Inc. | (286 | ) | (16,362 | ) | ||||
TransDigm Group, Inc. | (91 | ) | (47,381 | ) | ||||
|
| |||||||
(63,743 | ) | |||||||
|
| |||||||
Auto Components - (1.3)% | ||||||||
Adient plc | (3,165 | ) | (72,668 | ) | ||||
Aptiv plc | (576 | ) | (50,354 | ) | ||||
Visteon Corp. * | (699 | ) | (57,696 | ) | ||||
|
| |||||||
(180,718 | ) | |||||||
|
| |||||||
Automobiles - (0.6)% | ||||||||
Tesla, Inc. * | (340 | ) | (81,896 | ) | ||||
|
| |||||||
Banks - (1.3)% | ||||||||
Home BancShares, Inc. | (2,425 | ) | (45,578 | ) | ||||
Pinnacle Financial Partners, Inc. | (991 | ) | (56,239 | ) | ||||
Sterling Bancorp | (235 | ) | (4,714 | ) | ||||
SVB Financial Group * | (49 | ) | (10,238 | ) | ||||
United Bankshares, Inc. | (1,718 | ) | (65,061 | ) | ||||
|
| |||||||
(181,830 | ) | |||||||
|
| |||||||
Biotechnology - (3.3)% | ||||||||
Agios Pharmaceuticals, Inc. * | (598 | ) | (19,375 | ) | ||||
Alnylam Pharmaceuticals, Inc. * | (598 | ) | (48,091 | ) | ||||
Bluebird Bio, Inc. * | (1,199 | ) | (110,092 | ) | ||||
Exact Sciences Corp. * | (857 | ) | (77,447 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
166
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Biotechnology - (3.3)% (continued) | ||||||||
Ionis Pharmaceuticals, Inc. * | (625 | ) | $ | (37,444 | ) | |||
Ligand Pharmaceuticals, Inc. * | (465 | ) | (46,286 | ) | ||||
Neurocrine Biosciences, Inc. * | (250 | ) | (22,527 | ) | ||||
Sage Therapeutics, Inc. * | (695 | ) | (97,502 | ) | ||||
|
| |||||||
(458,764 | ) | |||||||
|
| |||||||
Capital Markets - (0.4)% | ||||||||
Virtu Financial, Inc., Class A | (3,637 | ) | (59,501 | ) | ||||
|
| |||||||
Chemicals - (1.3)% | ||||||||
Albemarle Corp. | (1,353 | ) | (94,061 | ) | ||||
Chemours Co. (The) | (353 | ) | (5,274 | ) | ||||
Element Solutions, Inc. * | (590 | ) | (6,006 | ) | ||||
International Flavors & Fragrances, Inc. | (596 | ) | (73,123 | ) | ||||
|
| |||||||
(178,464 | ) | |||||||
|
| |||||||
Commercial Services & Supplies - (0.6)% | ||||||||
Stericycle, Inc. * | (1,595 | ) | (81,233 | ) | ||||
|
| |||||||
Communications Equipment - (0.7)% | ||||||||
Lumentum Holdings, Inc. * | (1,316 | ) | (70,485 | ) | ||||
ViaSat, Inc. * | (457 | ) | (34,421 | ) | ||||
|
| |||||||
(104,906 | ) | |||||||
|
| |||||||
Construction & Engineering - (0.2)% | ||||||||
Dycom Industries, Inc. * | (189 | ) | (9,649 | ) | ||||
Granite Construction, Inc. | (679 | ) | (21,816 | ) | ||||
|
| |||||||
(31,465 | ) | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components - (1.0)% | ||||||||
Cognex Corp. | (1,061 | ) | (52,127 | ) | ||||
IPG Photonics Corp. * | (381 | ) | (51,663 | ) | ||||
Littelfuse, Inc. | (174 | ) | (30,852 | ) | ||||
|
| |||||||
(134,642 | ) | |||||||
|
| |||||||
Energy Equipment & Services - (2.0)% | ||||||||
Baker Hughes a GE Co. | (3,915 | ) | (90,828 | ) | ||||
Core Laboratories NV | (207 | ) | (9,650 | ) | ||||
National Oilwell Varco, Inc. | (777 | ) | (16,472 | ) | ||||
Transocean Ltd. * | (19,465 | ) | (87,009 | ) | ||||
Valaris plc | (15,081 | ) | (72,540 | ) | ||||
|
| |||||||
(276,499 | ) | |||||||
|
| |||||||
Entertainment - (0.3)% | ||||||||
World Wrestling Entertainment, Inc., Class A | (558 | ) | (39,702 | ) | ||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - (0.3)% | ||||||||
Colony Capital, Inc. | (4,700 | ) | (28,294 | ) | ||||
Macerich Co. (The) | (572 | ) | (18,069 | ) | ||||
|
| |||||||
(46,363 | ) | |||||||
|
| |||||||
Food Products - (0.9)% | ||||||||
Conagra Brands, Inc. | (3,037 | ) | (93,175 | ) | ||||
Hain Celestial Group, Inc. (The) * | (658 | ) | (14,131 | ) | ||||
Kraft Heinz Co. (The) | (525 | ) | (14,666 | ) | ||||
|
| |||||||
(121,972 | ) | |||||||
|
| |||||||
Health Care Equipment & Supplies - (0.9)% | ||||||||
Cantel Medical Corp. | (67 | ) | (5,012 | ) | ||||
DexCom, Inc. * | (112 | ) | (16,715 | ) |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Equipment & Supplies - (0.9)% (continued) | ||||||||
Insulet Corp. * | (593 | ) | $ | (97,803 | ) | |||
Penumbra, Inc. * | (24 | ) | (3,228 | ) | ||||
|
| |||||||
(122,758 | ) | |||||||
|
| |||||||
Health Care Providers & Services - (0.9)% | ||||||||
Acadia Healthcare Co., Inc. * | (3,879 | ) | (120,559 | ) | ||||
|
| |||||||
Hotels, Restaurants & Leisure - (0.9)% | ||||||||
Papa John’s International, Inc. | (277 | ) | (14,501 | ) | ||||
Penn National Gaming, Inc. * | (3,535 | ) | (65,840 | ) | ||||
Scientific Games Corp. * | (2,175 | ) | (44,261 | ) | ||||
|
| |||||||
(124,602 | ) | |||||||
|
| |||||||
Household Products - (0.3)% | ||||||||
Energizer Holdings, Inc. | (940 | ) | (40,965 | ) | ||||
|
| |||||||
Interactive Media & Services - (0.2)% | ||||||||
Zillow Group, Inc., Class C * | (1,054 | ) | (31,430 | ) | ||||
|
| |||||||
Internet & Direct Marketing Retail - (0.1)% | ||||||||
GrubHub, Inc. * | (317 | ) | (17,819 | ) | ||||
|
| |||||||
IT Services - (0.1)% | ||||||||
MongoDB, Inc. * | (139 | ) | (16,747 | ) | ||||
|
| |||||||
Leisure Products - (0.1)% | ||||||||
Mattel, Inc. * | (867 | ) | (9,875 | ) | ||||
|
| |||||||
Life Sciences Tools & Services - 0.0% (b) | ||||||||
Syneos Health, Inc. * | (122 | ) | (6,492 | ) | ||||
|
| |||||||
Machinery - (1.8)% | ||||||||
Wabtec Corp. | (2,575 | ) | (185,039 | ) | ||||
Welbilt, Inc. * | (3,817 | ) | (64,355 | ) | ||||
|
| |||||||
(249,394 | ) | |||||||
|
| |||||||
Media - (0.1)% | ||||||||
Meredith Corp. | (536 | ) | (19,650 | ) | ||||
|
| |||||||
Metals & Mining - (1.1)% | ||||||||
Allegheny Technologies, Inc. * | (1,480 | ) | (29,970 | ) | ||||
Compass Minerals International, Inc. | (294 | ) | (16,608 | ) | ||||
Freeport-McMoRan, Inc. | (5,611 | ) | (53,697 | ) | ||||
Newmont Goldcorp Corp. | (140 | ) | (5,309 | ) | ||||
Royal Gold, Inc. | (280 | ) | (34,499 | ) | ||||
United States Steel Corp. | (1,250 | ) | (14,437 | ) | ||||
|
| |||||||
(154,520 | ) | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels - (4.0)% | ||||||||
Apache Corp. | (725 | ) | (18,560 | ) | ||||
Callon Petroleum Co. * | (9,087 | ) | (39,438 | ) | ||||
Cheniere Energy, Inc. * | (468 | ) | (29,512 | ) | ||||
Chesapeake Energy Corp. * | (3,390 | ) | (4,780 | ) | ||||
CNX Resources Corp. * | (2,259 | ) | (16,400 | ) | ||||
Concho Resources, Inc. | (694 | ) | (47,123 | ) | ||||
Equitrans Midstream Corp. | (3,217 | ) | (46,807 | ) | ||||
Hess Corp. | (1,064 | ) | (64,351 | ) | ||||
Matador Resources Co. * | (5,186 | ) | (85,725 | ) | ||||
Murphy Oil Corp. | (1,328 | ) | (29,362 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
167
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Oil, Gas & Consumable Fuels - (4.0)% (continued) | ||||||||
Noble Energy, Inc. | (2,994 | ) | $ | (67,245 | ) | |||
Oasis Petroleum, Inc. * | (4,711 | ) | (16,300 | ) | ||||
Range Resources Corp. | (1,053 | ) | (4,022 | ) | ||||
Targa Resources Corp. | (2,361 | ) | (94,841 | ) | ||||
|
| |||||||
(564,466 | ) | |||||||
|
| |||||||
Personal Products - (0.1)% | ||||||||
Coty, Inc., Class A | (879 | ) | (9,238 | ) | ||||
|
| |||||||
Pharmaceuticals - (0.7)% | ||||||||
Catalent, Inc. * | (867 | ) | (41,321 | ) | ||||
Nektar Therapeutics * | (2,816 | ) | (51,294 | ) | ||||
Perrigo Co. plc | (199 | ) | (11,122 | ) | ||||
|
| |||||||
(103,737 | ) | |||||||
|
| |||||||
Road & Rail - (0.5)% | ||||||||
Knight-Swift Transportation Holdings, Inc. | (1,856 | ) | (67,373 | ) | ||||
|
| |||||||
Semiconductors & Semiconductor Equipment - (0.9)% | ||||||||
Advanced Micro Devices, Inc. * | (202 | ) | (5,856 | ) | ||||
Marvell Technology Group Ltd. | (2,934 | ) | (73,262 | ) | ||||
Microchip Technology, Inc. | (355 | ) | (32,983 | ) | ||||
MKS Instruments, Inc. | (48 | ) | (4,430 | ) | ||||
Universal Display Corp. | (78 | ) | (13,096 | ) | ||||
|
| |||||||
(129,627 | ) | |||||||
|
| |||||||
Software - 0.0% (b) | ||||||||
Coupa Software, Inc. * | (47 | ) | (6,090 | ) | ||||
|
| |||||||
Specialty Retail - (0.6)% | ||||||||
Tiffany & Co. | (963 | ) | (89,203 | ) | ||||
|
| |||||||
Technology Hardware, Storage & Peripherals - (0.2)% | ||||||||
Dell Technologies, Inc., Class C * | (157 | ) | (8,142 | ) | ||||
Western Digital Corp. | (312 | ) | (18,608 | ) | ||||
|
| |||||||
(26,750 | ) | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - (0.2)% | ||||||||
Carter’s, Inc. | (91 | ) | (8,300 | ) | ||||
Under Armour, Inc., Class A * | (1,238 | ) | (24,686 | ) | ||||
|
| |||||||
(32,986 | ) | |||||||
|
| |||||||
Thrifts & Mortgage Finance - (0.1)% | ||||||||
LendingTree, Inc. * | (38 | ) | (11,796 | ) | ||||
|
| |||||||
Trading Companies & Distributors - (0.2)% | ||||||||
Univar Solutions, Inc. * | (1,440 | ) | (29,894 | ) | ||||
|
| |||||||
TOTAL COMMON STOCKS | (4,027,669 | ) | ||||||
|
| |||||||
TOTAL SHORT POSITIONS | (4,027,669 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.0% | 13,808,015 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.0% | 283,863 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 14,091,878 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 1,994,477 | 14.2 | % | ||||
Consumer Discretionary | 1,622,161 | 11.5 | ||||||
Consumer Staples | 807,184 | 5.7 | ||||||
Energy | (225,896 | ) | (1.6 | ) | ||||
Exchange Traded Funds | 480,174 | 3.4 | ||||||
Financials | 1,494,239 | 10.6 | ||||||
Health Care | 1,794,225 | 12.7 | ||||||
Industrials | 1,652,390 | 11.7 | ||||||
Information Technology | 3,664,200 | 26.0 | ||||||
Materials | (54,811 | ) | (0.4 | ) | ||||
Real Estate | 5,137 | 0.1 | ||||||
Utilities | 427,749 | 3.1 | ||||||
Short-Term Investments | 146,786 | 1.0 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 13,808,015 | 98.0 | ||||||
Other Assets in Excess of Liabilities | 283,863 | 2.0 | ||||||
|
|
|
| |||||
Net Assets | $ | 14,091,878 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $4,441,740. |
(b) | Represents less than 0.05% of net assets. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
All securities are Level 1 with respect to ASC 820 (See Note 4).
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
168
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
LONG POSITIONS - 123.0% | ||||||||
COMMON STOCKS - 118.9% | ||||||||
Aerospace & Defense - 2.8% | ||||||||
AAR Corp. | 153 | $ | 6,305 | |||||
Astronics Corp. * | 275 | 8,080 | ||||||
Ducommun, Inc. * | 181 | 7,674 | ||||||
Moog, Inc., Class A (a) | 159 | 12,898 | ||||||
Vectrus, Inc. * | 708 | 28,780 | ||||||
Wesco Aircraft Holdings, Inc. * | 62 | 683 | ||||||
|
| |||||||
64,420 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.4% | ||||||||
Hub Group, Inc., Class A * | 190 | 8,835 | ||||||
|
| |||||||
Airlines - 0.3% | ||||||||
Allegiant Travel Co. | 14 | 2,095 | ||||||
SkyWest, Inc. | 80 | 4,592 | ||||||
|
| |||||||
6,687 | ||||||||
|
| |||||||
Auto Components - 0.7% | ||||||||
Cooper-Standard Holdings, Inc. * | 51 | 2,085 | ||||||
Dana, Inc. | 596 | 8,606 | ||||||
Stoneridge, Inc. * | 148 | 4,584 | ||||||
|
| |||||||
15,275 | ||||||||
|
| |||||||
Banks - 4.5% | ||||||||
1st Source Corp. | 18 | 823 | ||||||
Atlantic Capital Bancshares, Inc. * | 261 | 4,526 | ||||||
BancFirst Corp. | 51 | 2,826 | ||||||
Bancorp, Inc. (The) * | 1,772 | 17,543 | ||||||
Bank of NT Butterfield & Son Ltd. (The) | 59 | 1,749 | ||||||
Cadence BanCorp | 168 | 2,947 | ||||||
Customers Bancorp, Inc. * | 231 | 4,791 | ||||||
First Bancorp/PR | 860 | 8,583 | ||||||
First Merchants Corp. | 13 | 489 | ||||||
Great Southern Bancorp, Inc. | 168 | 9,567 | ||||||
Great Western Bancorp, Inc. | 18 | 594 | ||||||
Hanmi Financial Corp. | 180 | 3,380 | ||||||
Hilltop Holdings, Inc. (a) | 854 | 20,402 | ||||||
IBERIABANK Corp. | 37 | 2,795 | ||||||
International Bancshares Corp. | 282 | 10,891 | ||||||
LegacyTexas Financial Group, Inc. | 56 | 2,438 | ||||||
OFG Bancorp | 381 | 8,344 | ||||||
|
| |||||||
102,688 | ||||||||
|
| |||||||
Beverages - 0.3% | ||||||||
Boston Beer Co., Inc. (The), Class A * | 3 | 1,092 | ||||||
National Beverage Corp. | 140 | 6,211 | ||||||
|
| |||||||
7,303 | ||||||||
|
| |||||||
Biotechnology - 6.0% | ||||||||
ACADIA Pharmaceuticals, Inc. * | 143 | 5,147 | ||||||
Acorda Therapeutics, Inc. * | 99 | 284 | ||||||
Aduro Biotech, Inc. * | 2,538 | 2,690 | ||||||
Affimed NV (Germany) * | 1,352 | 3,975 | ||||||
Alder Biopharmaceuticals, Inc. * | 79 | 1,490 | ||||||
Amicus Therapeutics, Inc. * | 215 | 1,724 | ||||||
Arena Pharmaceuticals, Inc. * | 79 | 3,616 | ||||||
BioSpecifics Technologies Corp. * | 87 | 4,656 | ||||||
CareDx, Inc. * | 286 | 6,467 |
INVESTMENTS | SHARES | VALUE | ||||||
Biotechnology - 6.0% (continued) | ||||||||
Catalyst Pharmaceuticals, Inc. * | 653 | $ | 3,468 | |||||
Chimerix, Inc. * | 233 | 548 | ||||||
CytomX Therapeutics, Inc. * | 88 | 650 | ||||||
Eagle Pharmaceuticals, Inc. * | 55 | 3,111 | ||||||
Emergent BioSolutions, Inc. *(a) | 282 | 14,743 | ||||||
Enanta Pharmaceuticals, Inc. *(a) | 181 | 10,875 | ||||||
Epizyme, Inc. * | 33 | 340 | ||||||
FibroGen, Inc. * | 60 | 2,219 | ||||||
Genomic Health, Inc. *(a) | 31 | 2,102 | ||||||
Halozyme Therapeutics, Inc. * | 187 | 2,900 | ||||||
ImmunoGen, Inc. * | 135 | 327 | ||||||
Insmed, Inc. * | 120 | 2,117 | ||||||
Intercept Pharmaceuticals, Inc. * | 33 | 2,190 | ||||||
Invitae Corp. * | 19 | 366 | ||||||
Ironwood Pharmaceuticals, Inc. * | 262 | 2,249 | ||||||
Myriad Genetics, Inc. *(a) | 372 | 10,650 | ||||||
Natera, Inc. * | 206 | 6,757 | ||||||
PDL BioPharma, Inc. * | 1,337 | 2,888 | ||||||
Portola Pharmaceuticals, Inc. * | 71 | 1,904 | ||||||
PTC Therapeutics, Inc. * | 121 | 4,092 | ||||||
REGENXBIO, Inc. * | 230 | 8,188 | ||||||
Repligen Corp. * | 67 | 5,138 | ||||||
Sangamo Therapeutics, Inc. * | 144 | 1,303 | ||||||
Seres Therapeutics, Inc. * | 215 | 862 | ||||||
Spark Therapeutics, Inc. * | 36 | 3,491 | ||||||
Veracyte, Inc. *(a) | 275 | 6,600 | ||||||
Vericel Corp. * | 414 | 6,268 | ||||||
Voyager Therapeutics, Inc. * | 40 | 688 | ||||||
|
| |||||||
137,083 | ||||||||
|
| |||||||
Building Products - 2.5% | ||||||||
Builders FirstSource, Inc. *(a) | 1,863 | 38,331 | ||||||
CSW Industrials, Inc. (a) | 238 | 16,429 | ||||||
JELD-WEN Holding, Inc. * | 169 | 3,260 | ||||||
|
| |||||||
58,020 | ||||||||
|
| |||||||
Capital Markets - 1.2% | ||||||||
Blucora, Inc. * | 51 | 1,104 | ||||||
Brightsphere Investment Group, Inc. | 118 | 1,169 | ||||||
Federated Investors, Inc., Class B | 167 | 5,413 | ||||||
Oppenheimer Holdings, Inc., Class A | 407 | 12,234 | ||||||
Virtus Investment Partners, Inc. | 7 | 774 | ||||||
Waddell & Reed Financial, Inc., Class A | 152 | 2,611 | ||||||
Westwood Holdings Group, Inc. | 179 | 4,953 | ||||||
|
| |||||||
28,258 | ||||||||
|
| |||||||
Chemicals - 1.4% | ||||||||
AdvanSix, Inc. * | 204 | 5,247 | ||||||
FutureFuel Corp. | 252 | 3,009 | ||||||
Ingevity Corp. * | 31 | 2,630 | ||||||
Kraton Corp. * | 45 | 1,453 | ||||||
OMNOVA Solutions, Inc. * | 47 | 473 | ||||||
PolyOne Corp. | 248 | 8,097 | ||||||
Rayonier Advanced Materials, Inc. | 52 | 225 | ||||||
Stepan Co. | 7 | 680 | ||||||
Trinseo SA (a) | 260 | 11,167 | ||||||
|
| |||||||
32,981 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
169
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Commercial Services & Supplies - 5.2% | ||||||||
Advanced Disposal Services, Inc. * | 79 | $ | 2,573 | |||||
Brady Corp., Class A | 73 | 3,873 | ||||||
Ennis, Inc. | 218 | 4,406 | ||||||
Heritage-Crystal Clean, Inc. * | 195 | 5,167 | ||||||
Herman Miller, Inc. | 208 | 9,587 | ||||||
HNI Corp. | 71 | 2,520 | ||||||
Kimball International, Inc., Class B | 1,067 | 20,593 | ||||||
Knoll, Inc. | 31 | 786 | ||||||
LSC Communications, Inc. | 7,613 | 10,506 | ||||||
McGrath RentCorp (a) | 274 | 19,068 | ||||||
Pitney Bowes, Inc. | 358 | 1,636 | ||||||
SP Plus Corp. * | 253 | 9,361 | ||||||
Steelcase, Inc., Class A | 663 | 12,199 | ||||||
Tetra Tech, Inc. | 141 | 12,233 | ||||||
UniFirst Corp. | 27 | 5,268 | ||||||
|
| |||||||
119,776 | ||||||||
|
| |||||||
Communications Equipment - 1.4% | ||||||||
Acacia Communications, Inc. *(a) | 43 | 2,812 | ||||||
ADTRAN, Inc. | 547 | 6,206 | ||||||
Digi International, Inc. * | 798 | 10,869 | ||||||
Extreme Networks, Inc. * | 1,621 | 11,793 | ||||||
|
| |||||||
31,680 | ||||||||
|
| |||||||
Construction & Engineering - 1.8% | ||||||||
Comfort Systems USA, Inc. | 115 | 5,087 | ||||||
EMCOR Group, Inc. (a) | 170 | 14,640 | ||||||
Great Lakes Dredge & Dock Corp. * | 1,516 | 15,842 | ||||||
MYR Group, Inc. * | 13 | 407 | ||||||
Sterling Construction Co., Inc. * | 322 | 4,234 | ||||||
|
| |||||||
40,210 | ||||||||
|
| |||||||
Consumer Finance - 1.0% | ||||||||
Enova International, Inc. * | 354 | 7,345 | ||||||
FirstCash, Inc. | 49 | 4,492 | ||||||
Green Dot Corp., Class A * | 68 | 1,717 | ||||||
LendingClub Corp. * | 90 | 1,177 | ||||||
Regional Management Corp. * | 277 | 7,800 | ||||||
World Acceptance Corp. * | 5 | 638 | ||||||
|
| |||||||
23,169 | ||||||||
|
| |||||||
Diversified Consumer Services - 2.2% | ||||||||
American Public Education, Inc. * | 521 | 11,639 | ||||||
Career Education Corp. *(a) | 800 | 12,712 | ||||||
K12, Inc. *(a) | 693 | 18,295 | ||||||
Regis Corp. * | 258 | 5,217 | ||||||
WW International, Inc. * | 79 | 2,988 | ||||||
|
| |||||||
50,851 | ||||||||
|
| |||||||
Diversified Financial Services - 0.1% | ||||||||
Cannae Holdings, Inc. * | 77 | 2,115 | ||||||
|
| |||||||
Diversified Telecommunication Services - 0.7% | ||||||||
ATN International, Inc. | 101 | 5,895 | ||||||
Consolidated Communications Holdings, Inc. | 304 | 1,447 | ||||||
Frontier Communications Corp. * | 204 | 177 | ||||||
Vonage Holdings Corp. * | 798 | 9,018 | ||||||
|
| |||||||
16,537 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Electric Utilities - 1.6% | ||||||||
ALLETE, Inc. | 46 | $ | 4,021 | |||||
El Paso Electric Co. | 19 | 1,274 | ||||||
Genie Energy Ltd., Class B | 1,126 | 8,400 | ||||||
PNM Resources, Inc. | 162 | 8,437 | ||||||
Portland General Electric Co. (a) | 280 | 15,784 | ||||||
|
| |||||||
37,916 | ||||||||
|
| |||||||
Electrical Equipment - 2.2% | ||||||||
American Superconductor Corp. * | 448 | 3,512 | ||||||
Atkore International Group, Inc. *(a) | 1,266 | 38,423 | ||||||
Encore Wire Corp. | 150 | 8,442 | ||||||
|
| |||||||
50,377 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 4.2% | ||||||||
Anixter International, Inc. * | 191 | 13,202 | ||||||
Coda Octopus Group, Inc. * | 203 | 1,667 | ||||||
ePlus, Inc. *(a) | 187 | 14,229 | ||||||
Fabrinet (Thailand) * | 103 | 5,387 | ||||||
II-VI, Inc. * | 30 | 1,056 | ||||||
Insight Enterprises, Inc. *(a) | 365 | 20,327 | ||||||
Methode Electronics, Inc. | 8 | 269 | ||||||
PC Connection, Inc. | 167 | 6,496 | ||||||
ScanSource, Inc. * | 84 | 2,566 | ||||||
Tech Data Corp. * | 102 | 10,633 | ||||||
Vishay Intertechnology, Inc. (a) | 973 | 16,473 | ||||||
Vishay Precision Group, Inc. * | 107 | 3,503 | ||||||
|
| |||||||
95,808 | ||||||||
|
| |||||||
Energy Equipment & Services - 1.2% | ||||||||
Forum Energy Technologies, Inc. * | 2,494 | 3,866 | ||||||
FTS International, Inc. * | 1,705 | 3,819 | ||||||
Keane Group, Inc. * | 1,345 | 8,151 | ||||||
Mammoth Energy Services, Inc. | 204 | 506 | ||||||
Matrix Service Co. * | 327 | 5,605 | ||||||
ProPetro Holding Corp. * | 493 | 4,481 | ||||||
Superior Energy Services, Inc. * | 15,922 | 2,070 | ||||||
|
| |||||||
28,498 | ||||||||
|
| |||||||
Entertainment - 0.4% | ||||||||
Eros International plc (India) * | 776 | 1,482 | ||||||
Glu Mobile, Inc. * | 1,574 | 7,854 | ||||||
|
| |||||||
9,336 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 2.5% | ||||||||
Alexander’s, Inc. | 3 | 1,045 | ||||||
Ashford Hospitality Trust, Inc. | 1,345 | 4,452 | ||||||
Braemar Hotels & Resorts, Inc. | 1,365 | 12,817 | ||||||
Cedar Realty Trust, Inc. | 2,246 | 6,738 | ||||||
CoreCivic, Inc. | 175 | 3,024 | ||||||
CorePoint Lodging, Inc. | 63 | 637 | ||||||
Franklin Street Properties Corp. | 593 | 5,017 | ||||||
GEO Group, Inc. (The) | 115 | 1,994 | ||||||
Getty Realty Corp. | 183 | 5,867 | ||||||
Industrial Logistics Properties Trust | 66 | 1,403 | ||||||
Kite Realty Group Trust | 180 | 2,907 | ||||||
Mack-Cali Realty Corp. | 98 | 2,123 | ||||||
RPT Realty | 136 | 1,843 | ||||||
Xenia Hotels & Resorts, Inc. | 337 | 7,117 | ||||||
|
| |||||||
56,984 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
170
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Food & Staples Retailing - 1.2% | ||||||||
BJ’s Wholesale Club Holdings, Inc. * | 140 | $ | 3,622 | |||||
Ingles Markets, Inc., Class A | 227 | 8,821 | ||||||
Natural Grocers by Vitamin Cottage, Inc. * | 88 | 879 | ||||||
Performance Food Group Co. * | 79 | 3,635 | ||||||
SpartanNash Co. | 589 | 6,968 | ||||||
Weis Markets, Inc. | 90 | 3,432 | ||||||
|
| |||||||
27,357 | ||||||||
|
| |||||||
Food Products - 0.7% | ||||||||
Darling Ingredients, Inc. * | 507 | 9,699 | ||||||
John B Sanfilippo & Son, Inc. | 33 | 3,188 | ||||||
Sanderson Farms, Inc. | 16 | 2,421 | ||||||
|
| |||||||
15,308 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 4.8% | ||||||||
AngioDynamics, Inc. * | 116 | 2,137 | ||||||
Cardiovascular Systems, Inc. * | 214 | 10,169 | ||||||
Conformis, Inc. * | 3,456 | 6,428 | ||||||
GenMark Diagnostics, Inc. * | 655 | 3,969 | ||||||
Globus Medical, Inc., Class A *(a) | 205 | 10,480 | ||||||
Haemonetics Corp. *(a) | 157 | 19,804 | ||||||
Inogen, Inc. * | 23 | 1,102 | ||||||
Integer Holdings Corp. * | 129 | 9,747 | ||||||
iRadimed Corp. * | 48 | 1,009 | ||||||
Lantheus Holdings, Inc. * | 502 | 12,583 | ||||||
LeMaitre Vascular, Inc. | 78 | 2,666 | ||||||
Meridian Bioscience, Inc. | 59 | 560 | ||||||
NuVasive, Inc. * | 51 | 3,233 | ||||||
OraSure Technologies, Inc. * | 573 | 4,280 | ||||||
Orthofix Medical, Inc. * | 17 | 901 | ||||||
Surmodics, Inc. * | 230 | 10,520 | ||||||
Tandem Diabetes Care, Inc. *(a) | 88 | 5,190 | ||||||
Utah Medical Products, Inc. | 54 | 5,176 | ||||||
|
| |||||||
109,954 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.9% | ||||||||
Amedisys, Inc. *(a) | 101 | 13,232 | ||||||
CorVel Corp. *(a) | 294 | 22,256 | ||||||
Cross Country Healthcare, Inc. * | 562 | 5,789 | ||||||
Ensign Group, Inc. (The) | 117 | 5,549 | ||||||
HealthEquity, Inc. *(a) | 80 | 4,572 | ||||||
Magellan Health, Inc. * | 141 | 8,756 | ||||||
Providence Service Corp. (The) * | 18 | 1,070 | ||||||
Tenet Healthcare Corp. * | 132 | 2,920 | ||||||
Triple-S Management Corp., Class B * | 151 | 2,023 | ||||||
|
| |||||||
66,167 | ||||||||
|
| |||||||
Health Care Technology - 2.7% | ||||||||
Allscripts Healthcare Solutions, Inc. * | 104 | 1,142 | ||||||
Castlight Health, Inc., Class B * | 5,034 | 7,098 | ||||||
HealthStream, Inc. * | 571 | 14,783 | ||||||
HMS Holdings Corp. *(a) | 457 | 15,751 | ||||||
NextGen Healthcare, Inc. *(a) | 869 | 13,617 | ||||||
Omnicell, Inc. * | 135 | 9,756 | ||||||
|
| |||||||
62,147 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.2% | ||||||||
BJ’s Restaurants, Inc. | 207 | 8,040 | ||||||
Bloomin’ Brands, Inc. (a) | 683 | 12,929 |
INVESTMENTS | SHARES | VALUE | ||||||
Hotels, Restaurants & Leisure - 2.2% (continued) | ||||||||
Boyd Gaming Corp. | 256 | $ | 6,131 | |||||
Cheesecake Factory, Inc. (The) | 8 | 334 | ||||||
Eldorado Resorts, Inc. * | 74 | 2,950 | ||||||
Everi Holdings, Inc. * | 197 | 1,667 | ||||||
International Speedway Corp., Class A | 118 | 5,311 | ||||||
Ruth’s Hospitality Group, Inc. | 571 | 11,657 | ||||||
Texas Roadhouse, Inc. | 30 | 1,576 | ||||||
|
| |||||||
50,595 | ||||||||
|
| |||||||
Household Durables - 5.8% | ||||||||
Beazer Homes USA, Inc. * | 1,161 | 17,299 | ||||||
Cavco Industries, Inc. *(a) | 65 | 12,486 | ||||||
Hooker Furniture Corp. | 148 | 3,173 | ||||||
Installed Building Products, Inc. *(a) | 320 | 18,349 | ||||||
KB Home | 430 | 14,620 | ||||||
La-Z-Boy, Inc. | 69 | 2,318 | ||||||
M/I Homes, Inc. *(a) | 398 | 14,985 | ||||||
Meritage Homes Corp. * | 134 | 9,427 | ||||||
Taylor Morrison Home Corp. * | 395 | 10,246 | ||||||
Tupperware Brands Corp. | 1,075 | 17,060 | ||||||
Universal Electronics, Inc. * | 255 | 12,979 | ||||||
|
| |||||||
132,942 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers - 0.5% | ||||||||
Clearway Energy, Inc., Class C | 282 | 5,146 | ||||||
TerraForm Power, Inc., Class A | 305 | 5,559 | ||||||
|
| |||||||
10,705 | ||||||||
|
| |||||||
Insurance - 4.3% | ||||||||
Argo Group International Holdings Ltd. | 187 | 13,135 | ||||||
CNO Financial Group, Inc. | 252 | 3,989 | ||||||
eHealth, Inc. * | 26 | 1,737 | ||||||
Employers Holdings, Inc. (a) | 530 | 23,097 | ||||||
Enstar Group Ltd. * | 12 | 2,279 | ||||||
Genworth Financial, Inc., Class A * | 530 | 2,332 | ||||||
Kinsale Capital Group, Inc. | 22 | 2,273 | ||||||
Maiden Holdings Ltd. * | 4,799 | 3,599 | ||||||
National General Holdings Corp. (a) | 425 | 9,783 | ||||||
National Western Life Group, Inc., Class A | 29 | 7,783 | ||||||
Safety Insurance Group, Inc. | 101 | 10,234 | ||||||
Stewart Information Services Corp. | 26 | 1,009 | ||||||
Third Point Reinsurance Ltd. * | 787 | 7,862 | ||||||
Universal Insurance Holdings, Inc. | 332 | 9,957 | ||||||
|
| |||||||
99,069 | ||||||||
|
| |||||||
Interactive Media & Services - 0.3% | ||||||||
Liberty TripAdvisor Holdings, Inc., Class A * | 175 | 1,647 | ||||||
QuinStreet, Inc. * | 39 | 491 | ||||||
Travelzoo * | 145 | 1,550 | ||||||
Yelp, Inc. * | 88 | 3,058 | ||||||
|
| |||||||
6,746 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.6% | ||||||||
1-800-Flowers.com, Inc., Class A * | 877 | 12,975 | ||||||
|
| |||||||
IT Services - 2.4% | ||||||||
Cardtronics plc, Class A * | 54 | 1,633 | ||||||
EVERTEC, Inc. | 603 | 18,826 | ||||||
Hackett Group, Inc. (The) | 202 | 3,325 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
171
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
IT Services - 2.4% (continued) | ||||||||
KBR, Inc. (a) | 136 | $ | 3,337 | |||||
Limelight Networks, Inc. * | 1,909 | 5,784 | ||||||
MAXIMUS, Inc. | 133 | 10,275 | ||||||
NIC, Inc. | 38 | 785 | ||||||
Perficient, Inc. * | 43 | 1,659 | ||||||
Perspecta, Inc. | 220 | 5,746 | ||||||
Sykes Enterprises, Inc. * | 37 | 1,134 | ||||||
Unisys Corp. * | 402 | 2,987 | ||||||
|
| |||||||
55,491 | ||||||||
|
| |||||||
Leisure Products - 0.6% | ||||||||
Johnson Outdoors, Inc., Class A | 139 | 8,140 | ||||||
MasterCraft Boat Holdings, Inc. * | 440 | 6,567 | ||||||
|
| |||||||
14,707 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 1.2% | ||||||||
Cambrex Corp. * | 39 | 2,320 | ||||||
Fluidigm Corp. * | 1,336 | 6,186 | ||||||
Medpace Holdings, Inc. *(a) | 221 | 18,573 | ||||||
Pacific Biosciences of California, Inc. * | 146 | 753 | ||||||
|
| |||||||
27,832 | ||||||||
|
| |||||||
Machinery - 3.6% | ||||||||
CIRCOR International, Inc. * | 22 | 826 | ||||||
Columbus McKinnon Corp. | 80 | 2,914 | ||||||
Commercial Vehicle Group, Inc. * | 1,289 | 9,294 | ||||||
EnPro Industries, Inc. | 63 | 4,325 | ||||||
Franklin Electric Co., Inc. (a) | 217 | 10,375 | ||||||
Gorman-Rupp Co. (The) | 122 | 4,244 | ||||||
Harsco Corp. *(a) | 432 | 8,191 | ||||||
Hillenbrand, Inc. | 41 | 1,266 | ||||||
Kennametal, Inc. (a) | 404 | 12,419 | ||||||
Lydall, Inc. * | 123 | 3,064 | ||||||
Meritor, Inc. * | 202 | 3,737 | ||||||
Milacron Holdings Corp. * | 80 | 1,333 | ||||||
Mueller Water Products, Inc., Class A | 305 | 3,428 | ||||||
Standex International Corp. | 35 | 2,553 | ||||||
TriMas Corp. *(a) | 417 | 12,781 | ||||||
Wabash National Corp. | 172 | 2,496 | ||||||
|
| |||||||
83,246 | ||||||||
|
| |||||||
Marine - 0.3% | ||||||||
Scorpio Bulkers, Inc. | 1,249 | 7,594 | ||||||
|
| |||||||
Media - 0.9% | ||||||||
EW Scripps Co. (The), Class A | 378 | 5,020 | ||||||
Fluent, Inc. * | 2,330 | 6,373 | ||||||
Gray Television, Inc. * | 273 | 4,455 | ||||||
National CineMedia, Inc. | 110 | 902 | ||||||
Tribune Publishing Co. | 390 | 3,346 | ||||||
|
| |||||||
20,096 | ||||||||
|
| |||||||
Metals & Mining - 3.6% | ||||||||
Carpenter Technology Corp. | 45 | 2,325 | ||||||
Commercial Metals Co. | 438 | 7,612 | ||||||
Gold Resource Corp. | 618 | 1,885 | ||||||
Materion Corp. (a) | 259 | 15,892 | ||||||
Olympic Steel, Inc. | 80 | 1,152 | ||||||
Ryerson Holding Corp. * | 2,254 | 19,227 |
INVESTMENTS | SHARES | VALUE | ||||||
Metals & Mining - 3.6% (continued) | ||||||||
Schnitzer Steel Industries, Inc., Class A | 364 | $ | 7,520 | |||||
SunCoke Energy, Inc. * | 255 | 1,438 | ||||||
Warrior Met Coal, Inc. | 1,315 | 25,669 | ||||||
|
| |||||||
82,720 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) - 0.5% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 181 | 3,470 | ||||||
Blackstone Mortgage Trust, Inc., Class A | 152 | 5,449 | ||||||
Invesco Mortgage Capital, Inc. | 139 | 2,128 | ||||||
|
| |||||||
11,047 | ||||||||
|
| |||||||
Multiline Retail - 0.2% | ||||||||
Big Lots, Inc. | 221 | 5,415 | ||||||
|
| |||||||
Multi-Utilities - 0.2% | ||||||||
Avista Corp. | 79 | 3,827 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 3.7% | ||||||||
Abraxas Petroleum Corp. * | 8,906 | 4,520 | ||||||
Amplify Energy Corp. | 291 | 1,796 | ||||||
Arch Coal, Inc., Class A (a) | 154 | 11,427 | ||||||
CONSOL Energy, Inc. * | 107 | 1,672 | ||||||
CVR Energy, Inc. (a) | 404 | 17,788 | ||||||
Delek US Holdings, Inc. | 89 | 3,231 | ||||||
Laredo Petroleum, Inc. * | 1,319 | 3,179 | ||||||
Montage Resources Corp. * | 322 | 1,217 | ||||||
Nordic American Tankers Ltd. | 1,126 | 2,432 | ||||||
Northern Oil and Gas, Inc. * | 2,466 | 4,833 | ||||||
Peabody Energy Corp. | 49 | 721 | ||||||
SandRidge Energy, Inc. * | 804 | 3,779 | ||||||
SemGroup Corp., Class A | 86 | 1,405 | ||||||
Teekay Tankers Ltd., Class A * | 7,287 | 9,473 | ||||||
W&T Offshore, Inc. * | 2,601 | 11,366 | ||||||
World Fuel Services Corp. | 176 | 7,030 | ||||||
|
| |||||||
85,869 | ||||||||
|
| |||||||
Paper & Forest Products - 0.4% | ||||||||
Boise Cascade Co. | 162 | 5,280 | ||||||
Verso Corp., Class A * | 235 | 2,909 | ||||||
|
| |||||||
8,189 | ||||||||
|
| |||||||
Personal Products - 1.0% | ||||||||
elf Beauty, Inc. * | 53 | 928 | ||||||
Medifast, Inc. (a) | 102 | 10,570 | ||||||
USANA Health Sciences, Inc. *(a) | 171 | 11,695 | ||||||
|
| |||||||
23,193 | ||||||||
|
| |||||||
Pharmaceuticals - 1.6% | ||||||||
Akorn, Inc. * | 542 | 2,060 | ||||||
Assertio Therapeutics, Inc. * | 6,998 | 8,957 | ||||||
Corcept Therapeutics, Inc. * | 272 | 3,845 | ||||||
Endo International plc * | 1,139 | 3,656 | ||||||
Innoviva, Inc. * | 239 | 2,519 | ||||||
Lannett Co., Inc. * | 42 | 470 | ||||||
Mallinckrodt plc * | 245 | 590 | ||||||
Pacira BioSciences, Inc. * | 159 | 6,053 | ||||||
Phibro Animal Health Corp., Class A | 329 | 7,018 | ||||||
Supernus Pharmaceuticals, Inc. * | 26 | 715 | ||||||
|
| |||||||
35,883 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
172
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Professional Services - 5.8% | ||||||||
Barrett Business Services, Inc. | 221 | $ | 19,629 | |||||
BG Staffing, Inc. | 173 | 3,306 | ||||||
CRA International, Inc. | 142 | 5,960 | ||||||
Heidrick & Struggles International, Inc. | 457 | 12,476 | ||||||
Insperity, Inc. (a) | 294 | 28,994 | ||||||
Kelly Services, Inc., Class A | 115 | 2,786 | ||||||
Kforce, Inc. | 1,078 | 40,786 | ||||||
Resources Connection, Inc. | 117 | 1,988 | ||||||
TrueBlue, Inc. * | 801 | 16,901 | ||||||
|
| |||||||
132,826 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.1% | ||||||||
Cushman & Wakefield plc * | 117 | 2,168 | ||||||
|
| |||||||
Road & Rail - 1.1% | ||||||||
ArcBest Corp. | 194 | 5,908 | ||||||
Avis Budget Group, Inc. * | 24 | 678 | ||||||
Covenant Transportation Group, Inc., Class A * | 371 | 6,099 | ||||||
Universal Logistics Holdings, Inc. | 550 | 12,804 | ||||||
|
| |||||||
25,489 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 5.6% | ||||||||
Advanced Energy Industries, Inc. * | 102 | 5,856 | ||||||
Amkor Technology, Inc. * | 1,306 | 11,885 | ||||||
Axcelis Technologies, Inc. * | 221 | 3,777 | ||||||
AXT, Inc. * | 621 | 2,211 | ||||||
Cabot Microelectronics Corp. | 68 | 9,602 | ||||||
CEVA, Inc. * | 44 | 1,314 | ||||||
Cirrus Logic, Inc. * | 94 | 5,036 | ||||||
Enphase Energy, Inc. * | 440 | 9,781 | ||||||
FormFactor, Inc. * | 110 | 2,051 | ||||||
Lattice Semiconductor Corp. *(a) | 1,006 | 18,395 | ||||||
Nanometrics, Inc. * | 291 | 9,492 | ||||||
NeoPhotonics Corp. * | 1,462 | 8,904 | ||||||
Photronics, Inc. * | 549 | 5,973 | ||||||
Rudolph Technologies, Inc. * | 40 | 1,054 | ||||||
Semtech Corp. * | 194 | 9,430 | ||||||
SMART Global Holdings, Inc. * | 384 | 9,784 | ||||||
SunPower Corp. *(a) | 1,046 | 11,475 | ||||||
Synaptics, Inc. * | 40 | 1,598 | ||||||
|
| |||||||
127,618 | ||||||||
|
| |||||||
Software - 5.3% | ||||||||
A10 Networks, Inc. * | 780 | 5,413 | ||||||
Agilysys, Inc. * | 80 | 2,049 | ||||||
Avaya Holdings Corp. * | 91 | 931 | ||||||
Bottomline Technologies DE, Inc. * | 63 | 2,479 | ||||||
Box, Inc., Class A * | 416 | 6,889 | ||||||
ChannelAdvisor Corp. * | 539 | 5,029 | ||||||
Cision Ltd. * | 443 | 3,406 | ||||||
CommVault Systems, Inc. * | 77 | 3,443 | ||||||
eGain Corp. * | 1,584 | 12,680 | ||||||
Five9, Inc. * | 8 | 430 | ||||||
j2 Global, Inc. | 66 | 5,994 | ||||||
MicroStrategy, Inc., Class A * | 84 | 12,463 | ||||||
Mitek Systems, Inc. * | 36 | 347 | ||||||
MobileIron, Inc. * | 1,045 | 6,839 | ||||||
OneSpan, Inc. * | 336 | 4,872 | ||||||
Progress Software Corp. (a) | 228 | 8,678 |
INVESTMENTS | SHARES | VALUE | ||||||
Software - 5.3% (continued) | ||||||||
Qualys, Inc. * | 119 | $ | 8,993 | |||||
SPS Commerce, Inc. *(a) | 290 | 13,650 | ||||||
Verint Systems, Inc. *(a) | 274 | 11,722 | ||||||
Zix Corp. * | 795 | 5,756 | ||||||
|
| |||||||
122,063 | ||||||||
|
| |||||||
Specialty Retail - 3.1% | ||||||||
American Eagle Outfitters, Inc. | 132 | 2,141 | ||||||
America’s Car-Mart, Inc. * | 16 | 1,467 | ||||||
Asbury Automotive Group, Inc. * | 43 | 4,400 | ||||||
Bed Bath & Beyond, Inc. | 299 | 3,181 | ||||||
Boot Barn Holdings, Inc. * | 91 | 3,176 | ||||||
Cato Corp. (The), Class A | 462 | 8,136 | ||||||
Citi Trends, Inc. | 369 | 6,753 | ||||||
Genesco, Inc. * | 152 | 6,083 | ||||||
Hibbett Sports, Inc. * | 24 | 550 | ||||||
Office Depot, Inc. | 2,175 | 3,817 | ||||||
Shoe Carnival, Inc. | 48 | 1,556 | ||||||
Signet Jewelers Ltd. | 190 | 3,184 | ||||||
Sleep Number Corp. *(a) | 319 | 13,181 | ||||||
Sonic Automotive, Inc., Class A | 221 | 6,942 | ||||||
Tilly’s, Inc., Class A | 640 | 6,042 | ||||||
Zumiez, Inc. * | 27 | 855 | ||||||
|
| |||||||
71,464 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.7% | ||||||||
Avid Technology, Inc. * | 1,520 | 9,409 | ||||||
Diebold Nixdorf, Inc. * | 537 | 6,014 | ||||||
|
| |||||||
15,423 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 2.0% | ||||||||
Crocs, Inc. *(a) | 293 | 8,134 | ||||||
Deckers Outdoor Corp. *(a) | 169 | 24,904 | ||||||
Movado Group, Inc. | 99 | 2,461 | ||||||
Vera Bradley, Inc. * | 1,080 | 10,908 | ||||||
|
| |||||||
46,407 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 1.4% | ||||||||
Dime Community Bancshares, Inc. | 129 | 2,762 | ||||||
Essent Group Ltd. | 77 | 3,671 | ||||||
Federal Agricultural Mortgage Corp., Class C | 14 | 1,143 | ||||||
First Defiance Financial Corp. | 230 | 6,662 | ||||||
Radian Group, Inc. (a) | 741 | 16,924 | ||||||
|
| |||||||
31,162 | ||||||||
|
| |||||||
Tobacco - 0.1% | ||||||||
Pyxus International, Inc. * | 152 | 1,988 | ||||||
|
| |||||||
Trading Companies & Distributors - 2.8% | ||||||||
BMC Stock Holdings, Inc. *(a) | 515 | 13,483 | ||||||
DXP Enterprises, Inc. * | 35 | 1,215 | ||||||
Foundation Building Materials, Inc. * | 56 | 868 | ||||||
GMS, Inc. *(a) | 819 | 23,522 | ||||||
Herc Holdings, Inc. * | 22 | 1,023 | ||||||
Rush Enterprises, Inc., Class A | 231 | 8,912 | ||||||
Systemax, Inc. | 397 | 8,738 | ||||||
Titan Machinery, Inc. * | 148 | 2,122 | ||||||
Veritiv Corp. * | 239 | 4,321 | ||||||
|
| |||||||
64,204 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
173
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Water Utilities - 0.1% | ||||||||
SJW Group | 45 | $ | 3,073 | |||||
|
| |||||||
TOTAL COMMON STOCKS | 2,727,766 | |||||||
|
| |||||||
EXCHANGE TRADED FUNDS - 0.9% | ||||||||
iShares Russell 2000 ETF | 137 | 20,733 | ||||||
|
| |||||||
| NO. OF RIGHTS | | ||||||
RIGHTS - 0.0% (b) | ||||||||
Chemicals - 0.0% (b) | ||||||||
Schulman, Inc., CVR (3)*(c) | 44 | 19 | ||||||
|
| |||||||
SHARES | ||||||||
SHORT-TERM INVESTMENTS - 3.2% | ||||||||
INVESTMENT COMPANIES - 3.2% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (d) | ||||||||
(Cost $72,448) | 72,442 | 72,449 | ||||||
|
| |||||||
TOTAL LONG POSITIONS | 2,820,967 | |||||||
|
| |||||||
SHORT POSITIONS - (27.0)% | ||||||||
COMMON STOCKS - (27.0)% | ||||||||
Aerospace & Defense - (0.3)% | ||||||||
Axon Enterprise, Inc. * | (79 | ) | (4,486 | ) | ||||
Kratos Defense & Security Solutions, Inc. * | (128 | ) | (2,380 | ) | ||||
|
| |||||||
(6,866 | ) | |||||||
|
| |||||||
Air Freight & Logistics - (0.3)% | ||||||||
Air Transport Services Group, Inc. * | (304 | ) | (6,390 | ) | ||||
|
| |||||||
Auto Components - (1.1)% | ||||||||
Dorman Products, Inc. * | (12 | ) | (955 | ) | ||||
Motorcar Parts of America, Inc. * | (1,377 | ) | (23,271 | ) | ||||
|
| |||||||
(24,226 | ) | |||||||
|
| |||||||
Beverages - (0.5)% | ||||||||
Primo Water Corp. * | (1,009 | ) | (12,391 | ) | ||||
|
| |||||||
Biotechnology - (1.0)% | ||||||||
Assembly Biosciences, Inc. * | (122 | ) | (1,199 | ) | ||||
Flexion Therapeutics, Inc. * | (193 | ) | (2,645 | ) | ||||
Immunomedics, Inc. * | (50 | ) | (663 | ) | ||||
Karyopharm Therapeutics, Inc. * | (265 | ) | (2,549 | ) | ||||
Krystal Biotech, Inc. * | (28 | ) | (972 | ) | ||||
Medicines Co. (The) * | (257 | ) | (12,850 | ) | ||||
OPKO Health, Inc. * | (704 | ) | (1,472 | ) | ||||
Protagonist Therapeutics, Inc. * | (90 | ) | (1,081 | ) | ||||
|
| |||||||
(23,431 | ) | |||||||
|
| |||||||
Building Products - (1.6)% | ||||||||
AAON, Inc. | (462 | ) | (21,224 | ) | ||||
American Woodmark Corp. * | (85 | ) | (7,558 | ) | ||||
Cornerstone Building Brands, Inc. * | (1,201 | ) | (7,266 | ) | ||||
|
| |||||||
(36,048 | ) | |||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Capital Markets - (0.1)% | ||||||||
Greenhill & Co., Inc. | (72 | ) | $ | (945 | ) | |||
WisdomTree Investments, Inc. | (244 | ) | (1,275 | ) | ||||
|
| |||||||
(2,220 | ) | |||||||
|
| |||||||
Chemicals - (0.6)% | ||||||||
Flotek Industries, Inc. * | (3,167 | ) | (6,967 | ) | ||||
Tronox Holdings plc, Class A | (752 | ) | (6,242 | ) | ||||
|
| |||||||
(13,209 | ) | |||||||
|
| |||||||
Commercial Services & Supplies - (0.6)% | ||||||||
Cimpress NV (Netherlands) * | (45 | ) | (5,933 | ) | ||||
Team, Inc. * | (412 | ) | (7,436 | ) | ||||
|
| |||||||
(13,369 | ) | |||||||
|
| |||||||
Communications Equipment - (1.0)% | ||||||||
Harmonic, Inc. * | (955 | ) | (6,284 | ) | ||||
Infinera Corp. * | (3,185 | ) | (17,358 | ) | ||||
|
| |||||||
(23,642 | ) | |||||||
|
| |||||||
Construction & Engineering - (0.4)% | ||||||||
Argan, Inc. | (97 | ) | (3,811 | ) | ||||
NV5 Global, Inc. * | (5 | ) | (341 | ) | ||||
WillScot Corp. * | (332 | ) | (5,173 | ) | ||||
|
| |||||||
(9,325 | ) | |||||||
|
| |||||||
Electrical Equipment - (0.4)% | ||||||||
TPI Composites, Inc. * | (419 | ) | (7,856 | ) | ||||
Vivint Solar, Inc. * | (141 | ) | (922 | ) | ||||
|
| |||||||
(8,778 | ) | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components - (0.7)% | ||||||||
nLight, Inc. * | (454 | ) | (7,110 | ) | ||||
PAR Technology Corp. * | (359 | ) | (8,533 | ) | ||||
|
| |||||||
(15,643 | ) | |||||||
|
| |||||||
Energy Equipment & Services - (1.8)% | ||||||||
Diamond Offshore Drilling, Inc. * | (1,676 | ) | (9,319 | ) | ||||
Dril-Quip, Inc. * | (154 | ) | (7,728 | ) | ||||
Frank’s International NV * | (307 | ) | (1,458 | ) | ||||
KLX Energy Services Holdings, Inc. * | (351 | ) | (3,034 | ) | ||||
McDermott International, Inc. * | (4,665 | ) | (9,423 | ) | ||||
Noble Corp. plc * | (4,809 | ) | (6,108 | ) | ||||
Oceaneering International, Inc. * | (24 | ) | (325 | ) | ||||
Oil States International, Inc. * | (276 | ) | (3,671 | ) | ||||
US Silica Holdings, Inc. | (145 | ) | (1,386 | ) | ||||
|
| |||||||
(42,452 | ) | |||||||
|
| |||||||
Entertainment - (0.1)% | ||||||||
Liberty Media Corp.-Liberty Braves, Class C * | (105 | ) | (2,914 | ) | ||||
|
| |||||||
Health Care Equipment & Supplies - (0.4)% | ||||||||
CryoPort, Inc. * | (189 | ) | (3,091 | ) | ||||
IntriCon Corp. * | (96 | ) | (1,866 | ) | ||||
Sientra, Inc. * | (97 | ) | (629 | ) | ||||
ViewRay, Inc. * | (903 | ) | (2,619 | ) | ||||
|
| |||||||
(8,205 | ) | |||||||
|
| |||||||
Health Care Providers & Services - (0.5)% | ||||||||
American Renal Associates Holdings, Inc. * | (176 | ) | (1,113 | ) | ||||
Diplomat Pharmacy, Inc. * | (701 | ) | (3,435 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
174
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Health Care Providers & Services - (0.5)% (continued) | ||||||||
PetIQ, Inc. * | (235 | ) | $ | (6,406 | ) | |||
R1 RCM, Inc. * | (99 | ) | (884 | ) | ||||
Tivity Health, Inc. * | (51 | ) | (848 | ) | ||||
|
| |||||||
(12,686 | ) | |||||||
|
| |||||||
Health Care Technology - (0.8)% | ||||||||
Inovalon Holdings, Inc., Class A * | (233 | ) | (3,819 | ) | ||||
Tabula Rasa HealthCare, Inc. * | (161 | ) | (8,845 | ) | ||||
Vocera Communications, Inc. * | (205 | ) | (5,053 | ) | ||||
|
| |||||||
(17,717 | ) | |||||||
|
| |||||||
Household Durables - (0.3)% | ||||||||
LGI Homes, Inc. * | (90 | ) | (7,499 | ) | ||||
|
| |||||||
Insurance - 0.0% (b) | ||||||||
MBIA, Inc. * | (139 | ) | (1,283 | ) | ||||
|
| |||||||
IT Services - (0.6)% | ||||||||
USA Technologies, Inc. * | (804 | ) | (5,893 | ) | ||||
Verra Mobility Corp. * | (534 | ) | (7,663 | ) | ||||
|
| |||||||
(13,556 | ) | |||||||
|
| |||||||
Leisure Products - (0.4)% | ||||||||
Vista Outdoor, Inc. * | (1,422 | ) | (8,802 | ) | ||||
|
| |||||||
Machinery - (1.7)% | ||||||||
Energy Recovery, Inc. * | (345 | ) | (3,196 | ) | ||||
Evoqua Water Technologies Corp. * | (730 | ) | (12,425 | ) | ||||
Helios Technologies, Inc. | (128 | ) | (5,193 | ) | ||||
Lindsay Corp. | (141 | ) | (13,092 | ) | ||||
NN, Inc. | (408 | ) | (2,909 | ) | ||||
REV Group, Inc. | (164 | ) | (1,874 | ) | ||||
|
| |||||||
(38,689 | ) | |||||||
|
| |||||||
Media - (0.6)% | ||||||||
Cardlytics, Inc. * | (396 | ) | (13,274 | ) | ||||
Entercom Communications Corp., Class A | (276 | ) | (922 | ) | ||||
|
| |||||||
(14,196 | ) | |||||||
|
| |||||||
Metals & Mining - (2.0)% | ||||||||
Century Aluminum Co. * | (1,486 | ) | (9,860 | ) | ||||
Hecla Mining Co. | (17,648 | ) | (31,060 | ) | ||||
Novagold Resources, Inc. (Canada) * | (685 | ) | (4,158 | ) | ||||
|
| |||||||
(45,078 | ) | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels - (2.6)% | ||||||||
Altus Midstream Co., Class A * | (2,603 | ) | (7,367 | ) | ||||
Callon Petroleum Co. * | (1,107 | ) | (4,804 | ) | ||||
Carrizo Oil & Gas, Inc. * | (101 | ) | (867 | ) | ||||
Chaparral Energy, Inc., Class A * | (2,660 | ) | (3,564 | ) | ||||
CNX Resources Corp. * | (490 | ) | (3,557 | ) | ||||
Golar LNG Ltd. | (399 | ) | (5,183 | ) | ||||
HighPoint Resources Corp. * | (3,241 | ) | (5,153 | ) | ||||
International Seaways, Inc. * | (168 | ) | (3,236 | ) | ||||
Jagged Peak Energy, Inc. * | (950 | ) | (6,897 | ) | ||||
Magnolia Oil & Gas Corp., Class A * | (765 | ) | (8,492 | ) | ||||
Matador Resources Co. * | (403 | ) | (6,662 | ) | ||||
Oasis Petroleum, Inc. * | (187 | ) | (647 | ) | ||||
Roan Resources, Inc. * | (470 | ) | (578 | ) | ||||
Southwestern Energy Co. * | (699 | ) | (1,349 | ) |
INVESTMENTS | SHARES | VALUE | ||||||
Oil, Gas & Consumable Fuels - (2.6)% (continued) | ||||||||
Unit Corp. * | (543 | ) | $ | (1,835 | ) | |||
|
| |||||||
(60,191 | ) | |||||||
|
| |||||||
Paper & Forest Products - (0.2)% | ||||||||
Clearwater Paper Corp. * | (270 | ) | (5,702 | ) | ||||
|
| |||||||
Pharmaceuticals - (1.7)% | ||||||||
Aclaris Therapeutics, Inc. * | (414 | ) | (447 | ) | ||||
Aerie Pharmaceuticals, Inc. * | (112 | ) | (2,153 | ) | ||||
Marinus Pharmaceuticals, Inc. * | (1,779 | ) | (2,740 | ) | ||||
Optinose, Inc. * | (1,275 | ) | (8,925 | ) | ||||
Revance Therapeutics, Inc. * | (823 | ) | (10,699 | ) | ||||
WaVe Life Sciences Ltd. * | (146 | ) | (2,997 | ) | ||||
Xeris Pharmaceuticals, Inc. * | (1,006 | ) | (9,889 | ) | ||||
Zogenix, Inc. * | (10 | ) | (400 | ) | ||||
|
| |||||||
(38,250 | ) | |||||||
|
| |||||||
Professional Services - (1.1)% | ||||||||
Willdan Group, Inc. * | (706 | ) | (24,767 | ) | ||||
|
| |||||||
Semiconductors & Semiconductor Equipment - (0.6)% | ||||||||
Adesto Technologies Corp. * | (514 | ) | (4,400 | ) | ||||
Brooks Automation, Inc. | (113 | ) | (4,184 | ) | ||||
Inphi Corp. * | (43 | ) | (2,625 | ) | ||||
MaxLinear, Inc. * | (80 | ) | (1,791 | ) | ||||
|
| |||||||
(13,000 | ) | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - (0.1)% | ||||||||
3D Systems Corp. * | (175 | ) | (1,426 | ) | ||||
|
| |||||||
Thrifts & Mortgage Finance - (1.0)% | ||||||||
Meta Financial Group, Inc. | (699 | ) | (22,794 | ) | ||||
|
| |||||||
Trading Companies & Distributors - (1.9)% | ||||||||
Beacon Roofing Supply, Inc. * | (205 | ) | (6,874 | ) | ||||
BlueLinx Holdings, Inc. * | (917 | ) | (29,647 | ) | ||||
CAI International, Inc. * | (117 | ) | (2,547 | ) | ||||
SiteOne Landscape Supply, Inc. * | (64 | ) | (4,737 | ) | ||||
|
| |||||||
(43,805 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS | (618,550 | ) | ||||||
|
| |||||||
TOTAL SHORT POSITIONS | (618,550 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 96.0% | 2,202,417 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.0% | 90,824 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 2,293,241 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
175
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 35,605 | 1.6 | % | ||||
Consumer Discretionary | 360,102 | 15.7 | ||||||
Consumer Staples | 62,759 | 2.7 | ||||||
Energy | 11,723 | 0.5 | ||||||
Exchange Traded Funds | 20,733 | 0.9 | ||||||
Financials | 271,212 | 11.8 | ||||||
Health Care | 338,778 | 14.8 | ||||||
Industrials | 473,648 | 20.7 | ||||||
Information Technology | 380,816 | 16.6 | ||||||
Materials | 59,919 | 2.6 | ||||||
Real Estate | 59,152 | 2.6 | ||||||
Utilities | 55,521 | 2.3 | ||||||
Short-Term Investments | 72,449 | 3.2 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 2,202,417 | 96.0 | ||||||
Other Assets in Excess of Liabilities | 90,824 | 4.0 | ||||||
|
|
|
| |||||
Net Assets | $ | 2,293,241 | 100.0 | % | ||||
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $685,930. |
(b) | Represents less than 0.05% of net assets. |
(c) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $19, which represents approximately 0.00% of net assets of the fund. |
(d) | Represents 7-day effective yield as of September 30, 2019. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(3) | Level 3 security (See Note 4). |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
176
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
LONG POSITIONS - 127.0% | ||||||||
COMMON STOCKS - 126.4% | ||||||||
Australia - 13.7% | ||||||||
AGL Energy Ltd. | 748 | $ | 9,677 | |||||
AMP Ltd. | 5,587 | 6,891 | ||||||
Ansell Ltd. | 1,071 | 19,826 | ||||||
Aurizon Holdings Ltd. | 33,221 | 132,430 | ||||||
Australia & New Zealand Banking Group Ltd. | 6,442 | 123,749 | ||||||
BHP Group Ltd. | 5,327 | 131,633 | ||||||
BHP Group plc | 18,419 | 393,417 | ||||||
BlueScope Steel Ltd. | 18,780 | 152,538 | ||||||
Brambles Ltd. | 6,763 | 52,082 | ||||||
Caltex Australia Ltd. | 1,507 | 26,777 | ||||||
CIMIC Group Ltd. | 6,523 | 138,601 | ||||||
Cochlear Ltd. | 190 | 26,738 | ||||||
Coles Group Ltd. | 15,937 | 165,689 | ||||||
Commonwealth Bank of Australia | 368 | 20,074 | ||||||
Dexus, REIT | 6,472 | 52,130 | ||||||
Fortescue Metals Group Ltd. | 22,264 | 132,520 | ||||||
Goodman Group, REIT | 5,489 | 52,540 | ||||||
GPT Group (The), REIT | 5,521 | 22,959 | ||||||
Iluka Resources Ltd. | 30,458 | 164,509 | ||||||
Mirvac Group, REIT | 12,917 | 26,685 | ||||||
Newcrest Mining Ltd. | 4,347 | 100,310 | ||||||
Qantas Airways Ltd. | 41,387 | 175,881 | ||||||
QBE Insurance Group Ltd. | 11,296 | 95,817 | ||||||
Rio Tinto Ltd. | 994 | 62,259 | ||||||
Rio Tinto plc | 7,191 | 373,807 | ||||||
Santos Ltd. | 10,192 | 53,143 | ||||||
Scentre Group, REIT | 20,611 | 54,682 | ||||||
South32 Ltd. | 225,804 | 398,249 | ||||||
Telstra Corp. Ltd. | 21,801 | 51,678 | ||||||
TPG Telecom Ltd. | 107 | 502 | ||||||
Vicinity Centres, REIT | 11,572 | 20,077 | ||||||
Vocus Group Ltd. * | 4,156 | 9,771 | ||||||
Woodside Petroleum Ltd. | 1,088 | 23,770 | ||||||
|
| |||||||
3,271,411 | ||||||||
|
| |||||||
Austria - 0.1% | ||||||||
ams AG * | 701 | 31,280 | ||||||
|
| |||||||
Belgium - 0.8% | ||||||||
Ageas | 1,579 | 87,532 | ||||||
bpost SA | 3,191 | 33,440 | ||||||
KBC Group NV | 673 | 43,712 | ||||||
UCB SA | 396 | 28,731 | ||||||
|
| |||||||
193,415 | ||||||||
|
| |||||||
China - 0.9% | ||||||||
Yangzijiang Shipbuilding Holdings Ltd. | 299,200 | 208,035 | ||||||
|
| |||||||
Denmark - 3.8% | ||||||||
Carlsberg A/S, Class B | 174 | 25,713 | ||||||
Danske Bank A/S | 1,509 | 20,994 | ||||||
GN Store Nord A/S (a) | 5,738 | 232,598 | ||||||
H Lundbeck A/S (a) | 5,888 | 195,203 | ||||||
Jyske Bank A/S (Registered) * | 265 | 8,557 | ||||||
Novo Nordisk A/S, Class B (a) | 4,013 | 207,377 | ||||||
Pandora A/S | 4,253 | 170,676 |
INVESTMENTS | SHARES | VALUE | ||||||
Denmark - 3.8% (continued) | ||||||||
Rockwool International A/S, Class B | 316 | $ | 63,184 | |||||
|
| |||||||
924,302 | ||||||||
|
| |||||||
Finland - 1.7% | ||||||||
Fortum OYJ | 366 | 8,651 | ||||||
Kone OYJ, Class B | 306 | 17,415 | �� | |||||
Neste OYJ (a) | 219 | 7,246 | ||||||
Nokia OYJ (a) | 54,146 | 273,453 | ||||||
Orion OYJ, Class B | 1,966 | 73,259 | ||||||
Sampo OYJ, Class A | 959 | 38,103 | ||||||
|
| |||||||
418,127 | ||||||||
|
| |||||||
France - 13.1% | ||||||||
Air France-KLM * | 2,057 | 21,524 | ||||||
Atos SE (a) | 2,579 | 181,534 | ||||||
AXA SA (a) | 9,828 | 250,946 | ||||||
BioMerieux | 101 | 8,353 | ||||||
BNP Paribas SA | 1,920 | 93,344 | ||||||
Bureau Veritas SA | 1,797 | 43,253 | ||||||
Capgemini SE | 1,509 | 177,686 | ||||||
Cie de Saint-Gobain | 212 | 8,309 | ||||||
CNP Assurances | 2,489 | 48,099 | ||||||
Credit Agricole SA | 2,531 | 30,635 | ||||||
Danone SA | 101 | 8,896 | ||||||
Dassault Aviation SA | 9 | 12,730 | ||||||
Dassault Systemes SE | 902 | 128,496 | ||||||
Electricite de France SA | 16,280 | 182,116 | ||||||
Engie SA | 5,052 | 82,460 | ||||||
Eutelsat Communications SA | 512 | 9,524 | ||||||
Faurecia SE | 250 | 11,852 | ||||||
Ingenico Group SA | 259 | 25,244 | ||||||
Kering SA (a) | 367 | 187,018 | ||||||
Klepierre SA, REIT | 785 | 26,659 | ||||||
L’Oreal SA | 234 | 65,442 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 182 | 72,210 | ||||||
Pernod Ricard SA | 45 | 8,009 | ||||||
Peugeot SA (a) | 16,565 | 413,441 | ||||||
Publicis Groupe SA | 338 | 16,631 | ||||||
Renault SA | 291 | 16,701 | ||||||
Safran SA | 262 | 41,252 | ||||||
Sanofi (a) | 2,678 | 248,071 | ||||||
Sartorius Stedim Biotech | 415 | 58,047 | ||||||
Schneider Electric SE | 1,347 | 117,785 | ||||||
Societe BIC SA | 120 | 8,056 | ||||||
Societe Generale SA | 1,693 | 46,375 | ||||||
Sopra Steria Group | 205 | 25,530 | ||||||
SPIE SA | 1,225 | 24,512 | ||||||
TOTAL SA (a) | 6,197 | 322,658 | ||||||
Unibail-Rodamco-Westfield, REIT | 568 | 82,803 | ||||||
Vinci SA | 488 | 52,567 | ||||||
|
| |||||||
3,158,768 | ||||||||
|
| |||||||
Germany - 12.4% | ||||||||
adidas AG (a) | 245 | 76,261 | ||||||
Allianz SE (Registered) (a) | 2,482 | 577,740 | ||||||
Carl Zeiss Meditec AG | 540 | 61,547 | ||||||
CECONOMY AG * | 7,916 | 42,812 | ||||||
Covestro AG (b) | 1,722 | 85,208 | ||||||
Deutsche Boerse AG | 347 | 54,118 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
177
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Germany - 12.4% (continued) | ||||||||
Deutsche Lufthansa AG (Registered) | 4,423 | $ | 70,216 | |||||
Deutsche Wohnen SE | 842 | 30,736 | ||||||
E.ON SE (a) | 28,565 | 277,726 | ||||||
Fresenius Medical Care AG & Co. KGaA (a) | 3,176 | 213,428 | ||||||
Fresenius SE & Co. KGaA | 945 | 44,208 | ||||||
Henkel AG & Co. KGaA (Preference) | 300 | 29,685 | ||||||
HOCHTIEF AG | 228 | 25,983 | ||||||
Infineon Technologies AG | 8,267 | 148,531 | ||||||
KION Group AG | 1,669 | 87,771 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 579 | 149,554 | ||||||
ProSiebenSat.1 Media SE | 11,961 | 164,767 | ||||||
Rheinmetall AG | 145 | 18,341 | ||||||
SAP SE (a) | 3,839 | 451,748 | ||||||
Siemens AG (Registered) | 1,309 | 140,122 | ||||||
Software AG | 6,549 | 179,801 | ||||||
Vonovia SE | 1,077 | 54,642 | ||||||
|
| |||||||
2,984,945 | ||||||||
|
| |||||||
Hong Kong - 3.9% | ||||||||
CK Asset Holdings Ltd. | 40,000 | 271,004 | ||||||
Henderson Land Development Co. Ltd. | 2,000 | 9,316 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 2,500 | 73,275 | ||||||
Hysan Development Co. Ltd. | 5,000 | 20,163 | ||||||
Kerry Properties Ltd. (a) | 46,000 | 141,639 | ||||||
Link REIT, REIT | 2,500 | 27,577 | ||||||
New World Development Co. Ltd. | 49,000 | 63,634 | ||||||
Swire Properties Ltd. | 25,600 | 80,343 | ||||||
WH Group Ltd. (b) | 226,500 | 202,844 | ||||||
Yue Yuen Industrial Holdings Ltd. | 17,500 | 47,811 | ||||||
|
| |||||||
937,606 | ||||||||
|
| |||||||
Italy - 3.3% | ||||||||
A2A SpA | 8,254 | 15,147 | ||||||
Assicurazioni Generali SpA | 2,506 | 48,566 | ||||||
BPER Banca | 15,718 | 60,729 | ||||||
Enel SpA (a) | 33,728 | 251,925 | ||||||
Eni SpA | 9,072 | 138,663 | ||||||
Italgas SpA | 8,682 | 56,026 | ||||||
Leonardo SpA | 9,469 | 111,308 | ||||||
UniCredit SpA | 1,301 | 15,335 | ||||||
Unipol Gruppo SpA | 18,164 | 96,719 | ||||||
UnipolSai Assicurazioni SpA | 3,154 | 8,387 | ||||||
|
| |||||||
802,805 | ||||||||
|
| |||||||
Japan - 26.6% | ||||||||
Advantest Corp. | 400 | 17,831 | ||||||
Aisin Seiki Co. Ltd. | 1,100 | 34,778 | ||||||
Alfresa Holdings Corp. | 2,600 | 58,256 | ||||||
Alps Alpine Co. Ltd. | 3,100 | 58,211 | ||||||
Astellas Pharma, Inc. (a) | 18,300 | 261,766 | ||||||
Brother Industries Ltd. | 3,500 | 63,776 | ||||||
Chugoku Bank Ltd. (The) (a) | 4,300 | 40,611 | ||||||
Dai Nippon Printing Co. Ltd. | 600 | 15,565 | ||||||
Dai-ichi Life Holdings, Inc. | 3,600 | 54,730 | ||||||
Daiwa House Industry Co. Ltd. | 1,300 | 42,256 | ||||||
Eisai Co. Ltd. | 500 | 25,544 | ||||||
Fuji Electric Co. Ltd. | 2,800 | 86,334 | ||||||
Fujitsu Ltd. | 2,200 | 176,815 |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 26.6% (continued) | ||||||||
GungHo Online Entertainment, Inc. | 1,220 | $ | 27,751 | |||||
Hachijuni Bank Ltd. (The) | 37,600 | 154,041 | ||||||
Haseko Corp. | 11,800 | 138,004 | ||||||
Hitachi High-Technologies Corp. | 2,000 | 116,260 | ||||||
Hitachi Ltd. (a) | 7,300 | 273,387 | ||||||
Hoshizaki Corp. | 400 | 31,531 | ||||||
Hoya Corp. | 1,800 | 147,425 | ||||||
IHI Corp. | 1,600 | 35,049 | ||||||
ITOCHU Corp. | 500 | 10,357 | ||||||
Japan Airlines Co. Ltd. (a) | 8,600 | 255,415 | ||||||
Kajima Corp. (a) | 7,800 | 102,760 | ||||||
Kamigumi Co. Ltd. (a) | 8,800 | 199,901 | ||||||
Kose Corp. (a) | 100 | 16,979 | ||||||
Mabuchi Motor Co. Ltd. | 500 | 18,752 | ||||||
Marubeni Corp. | 14,800 | 98,701 | ||||||
Mazda Motor Corp. | 11,900 | 106,664 | ||||||
Medipal Holdings Corp. | 400 | 8,929 | ||||||
MINEBEA MITSUMI, Inc. | 2,500 | 39,909 | ||||||
Mitsubishi Corp. | 2,300 | 56,633 | ||||||
Mitsubishi Electric Corp. | 3,100 | 41,355 | ||||||
Mitsubishi Estate Co. Ltd. | 2,300 | 44,474 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 4,700 | 63,215 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 21,000 | 106,950 | ||||||
Mitsui Fudosan Co. Ltd. | 1,600 | 39,819 | ||||||
Mixi, Inc. | 8,300 | 175,227 | ||||||
Murata Manufacturing Co. Ltd. | 400 | 19,387 | ||||||
Nikon Corp. | 11,500 | 144,272 | ||||||
Nippon Express Co. Ltd. | 1,200 | 61,460 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 4,700 | 224,865 | ||||||
NTT DOCOMO, Inc. | 3,100 | 79,157 | ||||||
Olympus Corp. | 8,000 | 108,383 | ||||||
Otsuka Corp. | 200 | 8,004 | ||||||
Persol Holdings Co. Ltd. | 3,800 | 72,226 | ||||||
Pola Orbis Holdings, Inc. | 2,600 | 58,613 | ||||||
Renesas Electronics Corp. * | 15,000 | 98,298 | ||||||
Rohm Co. Ltd. | 1,500 | 115,653 | ||||||
SCSK Corp. | 200 | 9,412 | ||||||
Shinsei Bank Ltd. | 7,600 | 111,129 | ||||||
Shionogi & Co. Ltd. (a) | 3,400 | 189,560 | ||||||
SoftBank Group Corp. (a) | 4,200 | 165,734 | ||||||
Sojitz Corp. | 50,200 | 156,166 | ||||||
Sony Corp. (a) | 4,800 | 283,720 | ||||||
SUMCO Corp. | 5,700 | 77,649 | ||||||
Sumitomo Corp. | 9,000 | 140,899 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 3,500 | 57,909 | ||||||
Sumitomo Heavy Industries Ltd. | 4,100 | 122,172 | ||||||
Sumitomo Mitsui Financial Group, Inc. (a) | 2,200 | 75,597 | ||||||
Sumitomo Realty & Development Co. Ltd. | 700 | 26,723 | ||||||
Sundrug Co. Ltd. | 2,300 | 72,573 | ||||||
Suzuken Co. Ltd. | 300 | 16,149 | ||||||
Sysmex Corp. | 1,100 | 73,900 | ||||||
Taiheiyo Cement Corp. | 2,000 | 53,743 | ||||||
TDK Corp. | 200 | 18,079 | ||||||
THK Co. Ltd. | 1,800 | 47,688 | ||||||
Tokyo Electron Ltd. (a) | 1,400 | 268,973 | ||||||
Tosoh Corp. | 6,000 | 79,931 | ||||||
Toyota Boshoku Corp. | 1,400 | 19,690 | ||||||
Toyota Tsusho Corp. | 1,200 | 38,949 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
178
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - 26.6% (continued) | ||||||||
Trend Micro, Inc. | 400 | $ | 19,115 | |||||
Yamaguchi Financial Group, Inc. | 1,500 | 10,360 | ||||||
|
| |||||||
6,372,099 | ||||||||
|
| |||||||
Luxembourg - 0.4% | ||||||||
Aperam SA | 282 | 6,854 | ||||||
ArcelorMittal | 6,005 | 84,481 | ||||||
SES SA, FDR | 533 | 9,715 | ||||||
|
| |||||||
101,050 | ||||||||
|
| |||||||
Macau - 0.1% | ||||||||
Wynn Macau Ltd. | 7,200 | 14,030 | ||||||
|
| |||||||
Malta - 0.3% | ||||||||
Kindred Group plc, SDR | 13,954 | 81,444 | ||||||
|
| |||||||
Netherlands - 6.2% | ||||||||
ABN AMRO Bank NV, CVA (b) | 766 | 13,494 | ||||||
Adyen NV *(b) | 31 | 20,386 | ||||||
ASM International NV | 1,161 | 106,814 | ||||||
ASML Holding NV | 70 | 17,361 | ||||||
ASR Nederland NV (a) | 6,012 | 221,840 | ||||||
ING Groep NV | 8,578 | 89,612 | ||||||
Koninklijke Ahold Delhaize NV (a) | 8,945 | 223,694 | ||||||
Koninklijke Philips NV | 1,721 | 79,526 | ||||||
Randstad NV | 1,712 | 84,052 | ||||||
Royal Dutch Shell plc, Class A | 5,529 | 162,154 | ||||||
Royal Dutch Shell plc, Class B | 6,484 | 191,638 | ||||||
Signify NV (a)(b) | 7,221 | 198,452 | ||||||
Wolters Kluwer NV | 1,084 | 79,094 | ||||||
|
| |||||||
1,488,117 | ||||||||
|
| |||||||
Norway - 1.6% | ||||||||
DNB ASA | 2,598 | 45,798 | ||||||
Equinor ASA | 2,594 | 49,136 | ||||||
Leroy Seafood Group ASA | 5,941 | 36,141 | ||||||
Salmar ASA (a) | 5,680 | 249,365 | ||||||
|
| |||||||
380,440 | ||||||||
|
| |||||||
Portugal - 0.1% | ||||||||
Galp Energia SGPS SA | 1,205 | 18,122 | ||||||
|
| |||||||
Russia - 1.0% | ||||||||
Evraz plc | 40,468 | 232,917 | ||||||
|
| |||||||
Singapore - 1.0% | ||||||||
ComfortDelGro Corp. Ltd. | 117,600 | 204,325 | ||||||
Genting Singapore Ltd. | 19,500 | 12,416 | ||||||
Venture Corp. Ltd. | 2,700 | 29,939 | ||||||
|
| |||||||
246,680 | ||||||||
|
| |||||||
South Africa - 1.1% | ||||||||
Anglo American plc | 9,643 | 221,615 | ||||||
Investec plc | 7,653 | 39,370 | ||||||
|
| |||||||
260,985 | ||||||||
|
| |||||||
Spain - 5.4% | ||||||||
ACS Actividades de Construccion y Servicios SA | 4,132 | 165,098 | ||||||
Amadeus IT Group SA | 1,468 | 105,185 |
INVESTMENTS | SHARES | VALUE | ||||||
Spain - 5.4% (continued) | ||||||||
Banco Bilbao Vizcaya Argentaria SA | 18,979 | $ | 98,795 | |||||
Banco de Sabadell SA | 37,905 | 36,750 | ||||||
Banco Santander SA | 23,633 | 96,158 | ||||||
Bankia SA | 6,559 | 12,376 | ||||||
CaixaBank SA | 14,818 | 38,867 | ||||||
Enagas SA | 953 | 22,030 | ||||||
Endesa SA (a) | 11,817 | 310,855 | ||||||
Iberdrola SA | 20,002 | 207,896 | ||||||
Mediaset Espana Comunicacion SA | 1,592 | 10,262 | ||||||
Naturgy Energy Group SA | 1,573 | 41,720 | ||||||
Red Electrica Corp. SA | 3,844 | 77,863 | ||||||
Telefonica SA | 11,091 | 84,748 | ||||||
|
| |||||||
1,308,603 | ||||||||
|
| |||||||
Sweden - 3.4% | ||||||||
Atlas Copco AB, Class B | 307 | 8,313 | ||||||
Essity AB, Class B | 2,231 | 65,097 | ||||||
Fingerprint Cards AB, Class B * | 25,903 | 52,474 | ||||||
Getinge AB, Class B | 10,907 | 152,459 | ||||||
Hennes & Mauritz AB, Class B | 629 | 12,193 | ||||||
Investor AB, Class B | 1,119 | 54,649 | ||||||
Sandvik AB | 1,934 | 30,108 | ||||||
SSAB AB, Class A | 3,330 | 9,259 | ||||||
Swedish Match AB | 2,232 | 92,311 | ||||||
Swedish Orphan Biovitrum AB * | 10,181 | 155,757 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 19,787 | 158,025 | ||||||
Volvo AB, Class B | 1,862 | 26,130 | ||||||
|
| |||||||
816,775 | ||||||||
|
| |||||||
Switzerland - 10.0% | ||||||||
Adecco Group AG (Registered) | 2,785 | 154,116 | ||||||
Coca-Cola HBC AG * | 811 | 26,488 | ||||||
Glencore plc * | 36,691 | 110,570 | ||||||
Nestle SA (Registered) (a) | 6,920 | 750,506 | ||||||
Novartis AG (Registered) (a) | 1,120 | 97,201 | ||||||
Roche Holding AG (a) | 2,267 | 660,070 | ||||||
Sonova Holding AG (Registered) | 777 | 180,793 | ||||||
STMicroelectronics NV | 4,261 | 82,548 | ||||||
UBS Group AG (Registered) * | 13,440 | 152,604 | ||||||
Zurich Insurance Group AG | 523 | 200,313 | ||||||
|
| |||||||
2,415,209 | ||||||||
|
| |||||||
United Kingdom - 15.5% | ||||||||
Aggreko plc | 3,747 | 38,277 | ||||||
AstraZeneca plc | 1,457 | 130,094 | ||||||
Aviva plc | 3,801 | 18,660 | ||||||
Babcock International Group plc | 3,604 | 24,717 | ||||||
Barclays plc | 60,661 | 111,768 | ||||||
Berkeley Group Holdings plc | 927 | 47,596 | ||||||
British American Tobacco plc | 4,001 | 147,758 | ||||||
British Land Co. plc (The), REIT | 4,014 | 28,876 | ||||||
BT Group plc | 26,277 | 57,636 | ||||||
Burberry Group plc | 6,442 | 172,076 | ||||||
Centrica plc | 20,242 | 18,355 | ||||||
Compass Group plc | 351 | 9,032 | ||||||
ConvaTec Group plc (b) | 5,044 | 10,863 | ||||||
Diageo plc | 2,590 | 105,802 | ||||||
Dialog Semiconductor plc * | 2,680 | 126,927 | ||||||
Dixons Carphone plc | 29,430 | 42,997 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
179
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
United Kingdom - 15.5% (continued) | ||||||||
Drax Group plc | 72,742 | $ | 247,040 | |||||
Fiat Chrysler Automobiles NV | 21,980 | 284,814 | ||||||
G4S plc | 2,870 | 6,684 | ||||||
GlaxoSmithKline plc | 5,512 | 118,148 | ||||||
Hays plc | 19,433 | 36,026 | ||||||
HSBC Holdings plc | 21,924 | 167,987 | ||||||
Imperial Brands plc | 1,830 | 41,095 | ||||||
Inchcape plc | 7,959 | 61,784 | ||||||
Indivior plc * | 160,413 | 95,666 | ||||||
Kingfisher plc | 8,255 | 20,979 | ||||||
Land Securities Group plc, REIT | 4,815 | 50,712 | ||||||
Lloyds Banking Group plc | 31,480 | 20,869 | ||||||
London Stock Exchange Group plc | 563 | 50,557 | ||||||
Man Group plc | 96,713 | 207,635 | ||||||
Marks & Spencer Group plc | 3,185 | 7,214 | ||||||
Meggitt plc | 8,695 | 67,830 | ||||||
Moneysupermarket.com Group plc | 58,484 | 271,982 | ||||||
National Grid plc | 664 | 7,189 | ||||||
Persimmon plc | 712 | 18,989 | ||||||
Playtech plc | 9,516 | 49,860 | ||||||
Provident Financial plc | 8,096 | 40,557 | ||||||
Reckitt Benckiser Group plc | 949 | 74,097 | ||||||
RELX plc | 2,648 | 62,889 | ||||||
Royal Mail plc | 20,911 | 54,294 | ||||||
Segro plc, REIT | 4,978 | 49,628 | ||||||
Smith & Nephew plc | 1,155 | 27,815 | ||||||
Standard Chartered plc | 9,091 | 76,309 | ||||||
Tate & Lyle plc | 5,311 | 48,049 | ||||||
Taylor Wimpey plc | 14,314 | 28,412 | ||||||
Unilever plc | 2,010 | 120,805 | ||||||
Vodafone Group plc | 100,793 | 200,811 | ||||||
|
| |||||||
3,708,160 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 30,375,325 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 0.6% | ||||||||
INVESTMENT COMPANIES - 0.6% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(c) | ||||||||
(Cost $145,788) | 145,782 | 145,796 | ||||||
|
| |||||||
TOTAL LONG POSITIONS | 30,521,121 | |||||||
|
| |||||||
SHORT POSITIONS - (29.0)% | ||||||||
COMMON STOCKS - (29.0)% | ||||||||
Australia - (2.1)% | ||||||||
Challenger Ltd. | (45,201 | ) | (225,106 | ) | ||||
SEEK Ltd. | (9,541 | ) | (138,396 | ) | ||||
WorleyParsons Ltd. | (16,215 | ) | (142,251 | ) | ||||
|
| |||||||
(505,753 | ) | |||||||
|
| |||||||
Belgium - (0.5)% | ||||||||
Galapagos NV * | (161 | ) | (24,529 | ) | ||||
Umicore SA | (2,788 | ) | (105,340 | ) | ||||
|
| |||||||
(129,869 | ) | |||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
Denmark - (1.8)% | ||||||||
AP Moller - Maersk A/S, Class B | (210 | ) | $ | (237,391 | ) | |||
Chr Hansen Holding A/S | (963 | ) | (81,579 | ) | ||||
Dfds A/S | (3,186 | ) | (115,574 | ) | ||||
|
| |||||||
(434,544 | ) | |||||||
|
| |||||||
Finland - (0.6)% | ||||||||
Huhtamaki OYJ | (558 | ) | (22,231 | ) | ||||
Outokumpu OYJ | (50,264 | ) | (132,372 | ) | ||||
|
| |||||||
(154,603 | ) | |||||||
|
| |||||||
France - (3.4)% | ||||||||
Altran Technologies SA | (25,313 | ) | (397,417 | ) | ||||
Elior Group SA (b) | (14,000 | ) | (185,928 | ) | ||||
Iliad SA | (686 | ) | (64,430 | ) | ||||
Valeo SA | (5,162 | ) | (167,285 | ) | ||||
|
| |||||||
(815,060 | ) | |||||||
|
| |||||||
Germany - (4.7)% | ||||||||
1&1 Drillisch AG | (917 | ) | (28,585 | ) | ||||
Aurubis AG | (644 | ) | (28,705 | ) | ||||
Delivery Hero SE *(b) | (7,310 | ) | (324,530 | ) | ||||
Deutsche Bank AG (Registered) | (15,668 | ) | (117,074 | ) | ||||
Fraport AG Frankfurt Airport Services Worldwide | (630 | ) | (53,396 | ) | ||||
Sartorius AG (Preference) | (43 | ) | (7,839 | ) | ||||
thyssenkrupp AG | (28,914 | ) | (400,101 | ) | ||||
TUI AG | (4,446 | ) | (51,636 | ) | ||||
United Internet AG (Registered) | (1,184 | ) | (42,191 | ) | ||||
Wacker Chemie AG | (95 | ) | (6,243 | ) | ||||
Zalando SE *(b) | (1,195 | ) | (54,563 | ) | ||||
|
| |||||||
(1,114,863 | ) | |||||||
|
| |||||||
Italy - (1.5)% | ||||||||
Banco BPM SpA | (13,046 | ) | (26,621 | ) | ||||
DiaSorin SpA | (98 | ) | (11,397 | ) | ||||
Ferrari NV | (99 | ) | (15,277 | ) | ||||
FinecoBank Banca Fineco SpA | (1,622 | ) | (17,161 | ) | ||||
Freni Brembo SpA | (7,746 | ) | (75,518 | ) | ||||
Pirelli & C SpA (b) | (33,411 | ) | (197,856 | ) | ||||
Saipem SpA * | (4,832 | ) | (21,839 | ) | ||||
|
| |||||||
(365,669 | ) | |||||||
|
| |||||||
Japan - (2.8)% | ||||||||
Aeon Co. Ltd. | (1,800 | ) | (33,071 | ) | ||||
Asics Corp. | (600 | ) | (10,290 | ) | ||||
CyberAgent, Inc. | (2,900 | ) | (111,788 | ) | ||||
Daiichi Sankyo Co. Ltd. | (200 | ) | (12,638 | ) | ||||
Hitachi Chemical Co. Ltd. | (1,300 | ) | (42,644 | ) | ||||
Hitachi Metals Ltd. | (2,400 | ) | (26,064 | ) | ||||
Hokuriku Electric Power Co. | (10,000 | ) | (67,363 | ) | ||||
Japan Airport Terminal Co. Ltd. | (300 | ) | (13,059 | ) | ||||
Kansai Paint Co. Ltd. | (1,500 | ) | (35,062 | ) | ||||
Keio Corp. | (200 | ) | (12,488 | ) | ||||
MonotaRO Co. Ltd. | (1,400 | ) | (36,929 | ) | ||||
Nippon Paint Holdings Co. Ltd. | (1,500 | ) | (78,455 | ) | ||||
Sega Sammy Holdings, Inc. | (900 | ) | (12,625 | ) | ||||
Seven Bank Ltd. | (3,100 | ) | (8,516 | ) | ||||
Sumitomo Metal Mining Co. Ltd. | (2,400 | ) | (74,955 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
180
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
Japan - (2.8)% (continued) | ||||||||
Taiyo Nippon Sanso Corp. | (1,600 | ) | $ | (32,520 | ) | |||
Yaskawa Electric Corp. | (1,600 | ) | (59,388 | ) | ||||
|
| |||||||
(667,855 | ) | |||||||
|
| |||||||
Luxembourg - 0.0% (d) | ||||||||
Tenaris SA | (724 | ) | (7,679 | ) | ||||
|
| |||||||
Netherlands - (1.2)% | ||||||||
Altice Europe NV * | (24,669 | ) | (128,959 | ) | ||||
Boskalis Westminster | (2,431 | ) | (50,679 | ) | ||||
Koninklijke Vopak NV | (1,280 | ) | (65,791 | ) | ||||
OCI NV * | (961 | ) | (22,666 | ) | ||||
SBM Offshore NV | (1,629 | ) | (27,015 | ) | ||||
|
| |||||||
(295,110 | ) | |||||||
|
| |||||||
Norway - (0.3)% | ||||||||
Yara International ASA | (1,510 | ) | (65,103 | ) | ||||
|
| |||||||
Singapore - (0.1)% | ||||||||
Keppel Corp. Ltd. | (3,100 | ) | (13,313 | ) | ||||
|
| |||||||
Spain - (1.7)% | ||||||||
Cellnex Telecom SA (b) | (10,019 | ) | (413,820 | ) | ||||
|
| |||||||
Sweden - (0.8)% | ||||||||
BillerudKorsnas AB | (3,753 | ) | (40,580 | ) | ||||
Hexpol AB | (1,391 | ) | (10,677 | ) | ||||
Husqvarna AB, Class B | (7,292 | ) | (55,455 | ) | ||||
Svenska Cellulosa AB SCA, Class B | (2,030 | ) | (18,089 | ) | ||||
Tele2 AB, Class B | (4,190 | ) | (62,315 | ) | ||||
|
| |||||||
(187,116 | ) | |||||||
|
| |||||||
Switzerland - (0.6)% | ||||||||
Idorsia Ltd. * | (926 | ) | (22,781 | ) | ||||
Lonza Group AG (Registered) * | (159 | ) | (53,807 | ) | ||||
Sika AG (Registered) | (242 | ) | (35,407 | ) | ||||
Sunrise Communications Group AG (b) | (91 | ) | (7,081 | ) | ||||
Vifor Pharma AG | (177 | ) | (28,290 | ) | ||||
|
| |||||||
(147,366 | ) | |||||||
|
| |||||||
United Arab Emirates - (1.4)% | ||||||||
NMC Health plc | (9,993 | ) | (333,058 | ) | ||||
|
| |||||||
United Kingdom - (3.8)% | ||||||||
ASOS plc * | (3,575 | ) | (108,851 | ) | ||||
CYBG plc | (6,944 | ) | (9,785 | ) | ||||
easyJet plc | (2,176 | ) | (30,711 | ) | ||||
GVC Holdings plc | (14,694 | ) | (134,221 | ) | ||||
Hargreaves Lansdown plc | (684 | ) | (17,464 | ) | ||||
John Wood Group plc | (47,179 | ) | (219,954 | ) | ||||
Merlin Entertainments plc (b) | (30,094 | ) | (167,449 | ) | ||||
Ocado Group plc * | (2,848 | ) | (46,325 | ) | ||||
Severn Trent plc | (4,344 | ) | (115,626 | ) | ||||
St James’s Place plc | (2,278 | ) | (27,399 | ) | ||||
Subsea 7 SA | (3,617 | ) | (37,202 | ) | ||||
Thomas Cook Group plc (3)(e) | (80,093 | ) | (1 | ) | ||||
|
| |||||||
(914,988 | ) | |||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
United States - (1.7)% | ||||||||
James Hardie Industries plc, CHESS | (23,890 | ) | $ | (401,299 | ) | |||
|
| |||||||
TOTAL COMMON STOCKS | (6,967,068 | ) | ||||||
|
| |||||||
TOTAL SHORT POSITIONS | (6,967,068 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.0% | 23,554,053 | |||||||
|
| |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 2.0% (f) | 486,211 | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 24,040,264 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 429,611 | 1.8 | % | ||||
Consumer Discretionary | 1,293,917 | 5.4 | ||||||
Consumer Staples | 2,602,580 | 10.8 | ||||||
Energy | 471,576 | 2.0 | ||||||
Financials | 3,898,510 | 16.2 | ||||||
Health Care | 3,579,258 | 14.9 | ||||||
Industrials | 3,775,091 | 15.7 | ||||||
Information Technology | 3,207,010 | 13.3 | ||||||
Materials | 1,196,942 | 5.0 | ||||||
Real Estate | 1,320,076 | 5.5 | ||||||
Utilities | 1,633,686 | 6.8 | ||||||
Short-Term Investments | 145,796 | 0.6 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 23,554,053 | 98.0 | ||||||
Other Assets in Excess of Liabilities (f) | 486,211 | 2.0 | ||||||
|
|
|
| |||||
Net Assets | $ | 24,040,264 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $7,691,927. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $(819,980), which represents approximately (3.41)% of net assets of the fund. |
(c) | Represents 7-day effective yield as of September 30, 2019. |
(d) | Represents less than 0.05% of net assets. |
(e) | Security fair valued as of September 30, 2019 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2019 amounted to $(1), which represents approximately (0.00)% of net assets of the fund. |
(f) | Includes appreciation/(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). |
(3) | Level 3 security (See Note 4). |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
181
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
MSCI EAFEE-Mini Index | 2 | 12/2019 | USD | $189,840 | $(148 | ) | ||||||||||||
|
| |||||||||||||||||
$(148 | ) | |||||||||||||||||
|
|
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMS | ||||||||||||
Cash | $— | $12,312 | $12,312 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
182
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
COMMON STOCKS - 70.5% | ||||||||
Brazil - 8.5% | ||||||||
B3 SA - Brasil Bolsa Balcao (1) | 5,500 | $ | 58,006 | |||||
Banco do Brasil SA (1)* | 5,300 | 58,167 | ||||||
CCR SA (1) | 1,700 | 7,058 | ||||||
Centrais Eletricas Brasileiras SA (1) | 5,700 | 55,217 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)* | 11,021 | 130,928 | ||||||
Cia Energetica de Minas Gerais (Preference) (1) | 9,200 | 31,796 | ||||||
Cielo SA (1) | 34,300 | 66,042 | ||||||
EDP - Energias do Brasil SA (1) | 14,600 | 68,029 | ||||||
Embraer SA, ADR (1) | 535 | 9,229 | ||||||
Petroleo Brasileiro SA (Preference) (1) | 6,900 | 45,685 | ||||||
Sul America SA (1) | 1,440 | 16,542 | ||||||
TIM Participacoes SA, ADR (1) | 6,617 | 95,020 | ||||||
|
| |||||||
641,719 | ||||||||
|
| |||||||
Chile - 0.9% | ||||||||
Banco de Chile, ADR (1) | 979 | 27,510 | ||||||
Banco de Credito e Inversiones SA (1) | 96 | 6,046 | ||||||
Empresas CMPC SA (1) | 1,358 | 3,159 | ||||||
Enel Americas SA, ADR (1) | 740 | 6,741 | ||||||
Enel Chile SA, ADR (1) | 795 | 3,347 | ||||||
Itau CorpBanca (1) | 2,610,795 | 19,769 | ||||||
|
| |||||||
66,572 | ||||||||
|
| |||||||
China - 7.7% | ||||||||
58.com, Inc., ADR (1)* | 225 | 11,095 | ||||||
Alibaba Group Holding Ltd., ADR (1)* | 1,946 | 325,430 | ||||||
Autohome, Inc., ADR (1)* | 120 | 9,976 | ||||||
Baidu, Inc., ADR (1)* | 396 | 40,693 | ||||||
Ctrip.com International Ltd., ADR (1)* | 554 | 16,227 | ||||||
Huazhu Group Ltd., ADR (1) | 253 | 8,354 | ||||||
JD.com, Inc., ADR (1)* | 979 | 27,618 | ||||||
Momo, Inc., ADR (1) | 229 | 7,094 | ||||||
NetEase, Inc., ADR (1) | 96 | 25,553 | ||||||
New Oriental Education & Technology Group, Inc., ADR (1)* | 200 | 22,152 | ||||||
Pinduoduo, Inc., ADR (1)* | 288 | 9,279 | ||||||
TAL Education Group, ADR (1)* | 692 | 23,694 | ||||||
Vipshop Holdings Ltd., ADR (1)* | 1,170 | 10,436 | ||||||
Yum China Holdings, Inc. (1) | 629 | 28,575 | ||||||
ZTO Express Cayman, Inc., ADR (1) | 554 | 11,817 | ||||||
|
| |||||||
577,993 | ||||||||
|
| |||||||
Hungary - 0.5% | ||||||||
MOL Hungarian Oil & Gas plc | 2,681 | 25,218 | ||||||
OTP Bank Nyrt. | 224 | 9,331 | ||||||
|
| |||||||
34,549 | ||||||||
|
| |||||||
India - 2.0% | ||||||||
Wipro Ltd., ADR (1) | 41,403 | 151,121 | ||||||
|
| |||||||
Indonesia - 2.5% | ||||||||
Adaro Energy Tbk. PT | 232,300 | 21,120 | ||||||
Bank Mandiri Persero Tbk. PT | 22,000 | 10,821 | ||||||
Bank Negara Indonesia Persero Tbk. PT | 126,400 | 65,411 | ||||||
Bukit Asam Tbk. PT | 15,500 | 2,469 | ||||||
Charoen Pokphand Indonesia Tbk. PT | 9,000 | 3,392 | ||||||
Perusahaan Gas Negara Tbk. PT | 52,400 | 7,753 |
INVESTMENTS | SHARES | VALUE | ||||||
Indonesia - 2.5% (continued) | ||||||||
Telekomunikasi Indonesia Persero Tbk. PT | 11,200 | $ | 3,382 | |||||
Unilever Indonesia Tbk. PT | 4,300 | 14,080 | ||||||
United Tractors Tbk. PT | 42,800 | 62,038 | ||||||
|
| |||||||
190,466 | ||||||||
|
| |||||||
Peru - 0.6% | ||||||||
Credicorp Ltd. (1) | 110 | 22,928 | ||||||
Southern Copper Corp. (1) | 653 | 22,287 | ||||||
|
| |||||||
45,215 | ||||||||
|
| |||||||
Philippines - 0.9% | ||||||||
Ayala Corp. | 700 | 11,954 | ||||||
Ayala Land, Inc. | 17,620 | 16,816 | ||||||
BDO Unibank, Inc. | 5,390 | 14,871 | ||||||
International Container Terminal Services, Inc. | 1,130 | 2,630 | ||||||
SM Prime Holdings, Inc. | 29,900 | 21,463 | ||||||
|
| |||||||
67,734 | ||||||||
|
| |||||||
Poland - 3.4% | ||||||||
CD Projekt SA | 239 | 14,542 | ||||||
Cyfrowy Polsat SA | 1,094 | 7,205 | ||||||
Dino Polska SA *(a) | 102 | 3,995 | ||||||
Jastrzebska Spolka Weglowa SA | 5,824 | 31,664 | ||||||
KGHM Polska Miedz SA * | 584 | 11,657 | ||||||
PGE Polska Grupa Energetyczna SA * | 93,402 | 186,159 | ||||||
|
| |||||||
255,222 | ||||||||
|
| |||||||
Qatar - 0.7% | ||||||||
Industries Qatar QSC | 4,800 | 14,404 | ||||||
Qatar Islamic Bank SAQ | 514 | 2,205 | ||||||
Qatar National Bank QPSC | 6,688 | 35,480 | ||||||
|
| |||||||
52,089 | ||||||||
|
| |||||||
Romania - 0.2% | ||||||||
NEPI Rockcastle plc | 1,382 | 12,107 | ||||||
|
| |||||||
Russia - 0.2% | ||||||||
Mobile TeleSystems PJSC, ADR (1) | 1,588 | 12,863 | ||||||
|
| |||||||
South Africa - 4.1% | ||||||||
Anglo American Platinum Ltd. | 586 | 35,332 | ||||||
AngloGold Ashanti Ltd., ADR (1) | 1,098 | 20,060 | ||||||
Aspen Pharmacare Holdings Ltd. | 771 | 4,382 | ||||||
Bid Corp. Ltd. | 555 | 11,795 | ||||||
Discovery Ltd. | 311 | 2,345 | ||||||
Gold Fields Ltd., ADR (1) | 1,122 | 5,520 | ||||||
Growthpoint Properties Ltd., REIT | 4,046 | 6,176 | ||||||
Investec Ltd. | 1,715 | 9,025 | ||||||
Momentum Metropolitan Holdings | 4,672 | 5,747 | ||||||
Mr Price Group Ltd. | 1,452 | 15,190 | ||||||
MultiChoice Group * | 9,728 | 75,731 | ||||||
Naspers Ltd., Class N | 129 | 19,532 | ||||||
Pick n Pay Stores Ltd. | 779 | 3,060 | ||||||
Redefine Properties Ltd., REIT | 5,685 | 2,939 | ||||||
Remgro Ltd. | 830 | 8,941 | ||||||
RMB Holdings Ltd. | 478 | 2,371 | ||||||
Sappi Ltd. | 1,285 | 3,183 | ||||||
SPAR Group Ltd. (The) | 324 | 4,089 | ||||||
Truworths International Ltd. | 22,146 | 77,512 | ||||||
|
| |||||||
312,930 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
183
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
INVESTMENTS | SHARES | VALUE | ||||||
South Korea - 21.4% | ||||||||
Amorepacific Corp. | 200 | $ | 23,466 | |||||
BGF retail Co. Ltd. | 18 | 2,963 | ||||||
BNK Financial Group, Inc. | 3,020 | 18,126 | ||||||
CJ CheilJedang Corp. | 21 | 4,112 | ||||||
Daelim Industrial Co. Ltd. | 298 | 25,896 | ||||||
Hana Financial Group, Inc. | 3,623 | 106,650 | ||||||
Hanwha Chemical Corp. | 394 | 5,910 | ||||||
Hanwha Corp. | 478 | 10,078 | ||||||
Hanwha Life Insurance Co. Ltd. | 14,568 | 28,979 | ||||||
Hyundai Department Store Co. Ltd. | 1,552 | 101,261 | ||||||
Hyundai Engineering & Construction Co. Ltd. | 842 | 32,523 | ||||||
Hyundai Glovis Co. Ltd. | 29 | 3,778 | ||||||
Hyundai Marine & Fire Insurance Co. Ltd. | 117 | 2,580 | ||||||
Kia Motors Corp. | 1,806 | 68,858 | ||||||
Korea Gas Corp. | 959 | 31,726 | ||||||
Korea Investment Holdings Co. Ltd. | 2,206 | 138,591 | ||||||
Korea Zinc Co. Ltd. | 150 | 56,145 | ||||||
KT Corp., ADR (1) | 4,404 | 49,809 | ||||||
Kumho Petrochemical Co. Ltd. | 353 | 21,109 | ||||||
LG Chem Ltd. | 27 | 6,751 | ||||||
LG Electronics, Inc. | 1,969 | 110,850 | ||||||
LG Uplus Corp. | 947 | 10,791 | ||||||
NH Investment & Securities Co. Ltd. | 585 | 6,204 | ||||||
Samsung Electronics Co. Ltd. | 9,955 | 407,597 | ||||||
Samsung Engineering Co. Ltd. * | 569 | 7,982 | ||||||
Samsung Heavy Industries Co. Ltd. * | 1,731 | 11,385 | ||||||
Samsung Life Insurance Co. Ltd. | 93 | 5,527 | ||||||
Samsung SDS Co. Ltd. | 148 | 23,552 | ||||||
Samsung Securities Co. Ltd. | 157 | 4,632 | ||||||
SK Hynix, Inc. | 3,979 | 273,279 | ||||||
Woongjin Coway Co. Ltd. | 125 | 8,854 | ||||||
Woori Financial Group, Inc. | 1,138 | 11,829 | ||||||
|
| |||||||
1,621,793 | ||||||||
|
| |||||||
Taiwan - 12.9% | ||||||||
China Airlines Ltd. | 250,000 | 73,157 | ||||||
China Development Financial Holding Corp. | 592,000 | 176,319 | ||||||
Formosa Plastics Corp. | 1,000 | 3,046 | ||||||
Globalwafers Co. Ltd. | 3,000 | 30,256 | ||||||
Nan Ya Plastics Corp. | 2,000 | 4,493 | ||||||
Nanya Technology Corp. | 33,000 | 85,714 | ||||||
Phison Electronics Corp. | 6,000 | 53,361 | ||||||
Pou Chen Corp. | 5,000 | 6,410 | ||||||
President Chain Store Corp. | 10,000 | 93,473 | ||||||
Realtek Semiconductor Corp. * | 5,000 | 37,070 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | 6,004 | 279,065 | ||||||
Uni-President Enterprises Corp. | 57,000 | 137,549 | ||||||
United Microelectronics Corp. | 7,000 | 3,002 | ||||||
|
| |||||||
982,915 | ||||||||
|
| |||||||
United Arab Emirates - 0.8% | ||||||||
Abu Dhabi Commercial Bank PJSC | 2,268 | 4,858 | ||||||
Emaar Properties PJSC | 16,269 | 20,449 | ||||||
Emirates Telecommunications Group Co. PJSC | 2,696 | 12,111 | ||||||
First Abu Dhabi Bank PJSC | 5,106 | 20,942 | ||||||
|
| |||||||
58,360 | ||||||||
|
|
INVESTMENTS | SHARES | VALUE | ||||||
United States - 3.2% | ||||||||
JBS SA (1) | 30,500 | $ | 240,186 | |||||
|
| |||||||
TOTAL COMMON STOCKS | 5,323,834 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS - 31.5% | ||||||||
INVESTMENT COMPANIES - 31.5% | ||||||||
Goldman Sachs Financial Square Funds - Treasury Instruments Fund, 1.79% (1)(b)(c) | 1,470,759 | 1,470,759 | ||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(b) | 909,522 | 909,612 | ||||||
|
| |||||||
TOTALSHORT-TERM INVESTMENTS | 2,380,371 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.0% | 7,704,205 | |||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (2.0)% (d) | (154,353) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 7,549,852 | ||||||
|
|
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 375,865 | 5.0 | % | ||||
Consumer Discretionary | 880,231 | 11.7 | ||||||
Consumer Staples | 542,160 | 7.2 | ||||||
Energy | 156,529 | 2.1 | ||||||
Financials | 900,752 | 11.9 | ||||||
Health Care | 4,382 | 0.0(e | ) | |||||
Industrials | 221,889 | 2.9 | ||||||
Information Technology | 1,410,060 | 18.7 | ||||||
Materials | 230,316 | 3.0 | ||||||
Real Estate | 79,952 | 1.1 | ||||||
Utilities | 521,698 | 6.9 | ||||||
Short-Term Investments | 2,380,371 | 31.5 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 7,704,205 | 102.0 | ||||||
Liabilities in Excess of Other Assets (d) | (154,353 | ) | (2.0 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 7,549,852 | 100.0 | % | ||||
|
|
|
|
* | Non-income producing security. |
(a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $3,995, which represents approximately 0.05% of net assets of the fund. |
(b) | Represents 7-day effective yield as of September 30, 2019. |
(c) | All or a portion of the security pledged as collateral for swap contracts. |
(d) | Includes appreciation/(depreciation) on futures and swap contracts. |
(e) | Represents less than 0.05% of 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. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
184
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||
Long Contracts | ||||||||||||||||
MSCI Emerging MarketsE-Mini Index | 4 | 12/2019 | USD | $200,380 | $(5,903 | ) | ||||||||||
|
| |||||||||||||||
$(5,903 | ) | |||||||||||||||
|
|
Total Return Basket Swaps Outstanding at September 30, 2019
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | ABSOLUTE NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 5) | ||||||||||||||
JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Hong Kong Interbank Offered Rate plus or minus a specified spread(-2.75% to 0.40%), which is denominated in HKD based on the local currencies of the positions within the swap. | 28-62 months maturity ranging from 12/20/2021-10/18/2024 | $3,489,849 | $(393,942 | ) | $6,645 | $(387,297 | ) | ||||||||||||
|
|
The following table represents required component disclosures associated with the total return basket swap as of period end.
REFERENCE ENTITY | SHARES | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | PERCENTAGE OF SWAP VALUE | ||||||||||||
Long Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
China | ||||||||||||||||
AAC Technologies Holdings, Inc. | 5,500 | $ | 29,015 | $ | (954 | ) | 0.2 | % | ||||||||
Air China Ltd. | 24,000 | 21,065 | (2,862 | ) | 0.7 | |||||||||||
ANTA Sports Products Ltd. | 13,000 | 107,460 | 19,116 | (4.9 | ) | |||||||||||
BAIC Motor Corp. Ltd. | 30,000 | 18,533 | 1,033 | (0.3 | ) | |||||||||||
Beijing Capital International Airport Co. Ltd. | 50,000 | 42,665 | (12,609 | ) | 3.3 | |||||||||||
China Hongqiao Group Ltd. | 22,000 | 14,047 | (643 | ) | 0.2 | |||||||||||
China Longyuan Power Group Corp. Ltd. | 282,000 | 158,450 | (51,040 | ) | 13.2 | |||||||||||
China Medical System Holdings Ltd. | 173,000 | 205,482 | (2,638 | ) | 0.7 | |||||||||||
China Mobile Ltd. | 21,500 | 178,101 | (41,620 | ) | 10.7 | |||||||||||
China National Building Material Co. Ltd. | 86,000 | 77,136 | (15,698 | ) | 4.1 | |||||||||||
China Overseas Land & Investment Ltd. | 10,000 | 31,462 | (4,884 | ) | 1.3 | |||||||||||
China Resources Cement Holdings Ltd. | 78,000 | 78,233 | (10,188 | ) | 2.6 | |||||||||||
China Resources Land Ltd. | 6,000 | 25,132 | 2,535 | (0.7 | ) | |||||||||||
China Resources Power Holdings Co. Ltd. | 18,000 | 21,839 | (3,265 | ) | 0.8 | |||||||||||
China Taiping Insurance Holdings Co. Ltd. | 18,000 | 40,174 | (7,067 | ) | 1.8 | |||||||||||
China Vanke Co. Ltd. | 3,500 | 12,181 | (2,609 | ) | 0.7 | |||||||||||
Country Garden Holdings Co. Ltd. | 14,000 | 17,732 | (4,661 | ) | 1.2 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
185
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | PERCENTAGE OF SWAP VALUE | ||||||||||||
China (continued) | ||||||||||||||||
Country Garden Services Holdings Co. Ltd. | 5,000 | $ | 14,420 | $ | 31 | (0.0 | ) % | |||||||||
Far East Horizon Ltd. | 15,000 | 13,931 | (556 | ) | 0.1 | |||||||||||
Haitian International Holdings Ltd. | 95,000 | 194,507 | (51,229 | ) | 13.2 | |||||||||||
Hua Hong Semiconductor Ltd. | 49,000 | 97,576 | (5,390 | ) | 1.4 | |||||||||||
Jiangxi Copper Co. Ltd. | 10,000 | 11,581 | (714 | ) | 0.2 | |||||||||||
Li Ning Co. Ltd. | 14,000 | 40,166 | 1,899 | (0.5 | ) | |||||||||||
Longfor Group Holdings Ltd. | 3,500 | 13,072 | 3,558 | (0.9 | ) | |||||||||||
MMG Ltd. | 80,000 | 18,878 | (12,418 | ) | 3.2 | |||||||||||
New China Life Insurance Co. Ltd. | 20,300 | 80,223 | (17,419 | ) | 4.5 | |||||||||||
People’s Insurance Co. Group of China Ltd. (The) | 30,000 | 12,011 | 279 | (0.1 | ) | |||||||||||
PICC Property & Casualty Co. Ltd. | 91,000 | 106,182 | 11,361 | (2.9 | ) | |||||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. | 68,000 | 70,026 | �� | 11,465 | (3.0 | ) | ||||||||||
Shimao Property Holdings Ltd. | 3,000 | 8,761 | 1,179 | (0.3 | ) | |||||||||||
Sinopec Engineering Group Co. Ltd. | 73,000 | 45,863 | (22,518 | ) | 5.8 | |||||||||||
Sinopec Shanghai Petrochemical Co. Ltd. | 148,000 | 43,026 | (22,665 | ) | 5.9 | |||||||||||
Sinotruk Hong Kong Ltd. | 45,500 | 67,482 | (2,377 | ) | 0.6 | |||||||||||
Sunac China Holdings Ltd. | 4,000 | 16,079 | 2,009 | (0.5 | ) | |||||||||||
Tencent Holdings Ltd. | 5,500 | 230,054 | (38,349 | ) | 9.9 | |||||||||||
Tingyi Cayman Islands Holding Corp. | 8,000 | 11,263 | (1,212 | ) | 0.3 | |||||||||||
Uni-President China Holdings Ltd. | 154,000 | 166,152 | 14,699 | (3.8 | ) | |||||||||||
Hong Kong | ||||||||||||||||
Haier Electronics Group Co. Ltd. | 8,000 | 20,831 | (1,008 | ) | 0.3 | |||||||||||
Kingboard Laminates Holdings Ltd. | 175,500 | 158,284 | (1,299 | ) | 0.3 | |||||||||||
Short Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
China | ||||||||||||||||
BBMG Corp. | (187,000 | ) | (53,652 | ) | 6,284 | (1.6 | ) | |||||||||
Beijing Enterprises Water Group Ltd. | (260,000 | ) | (133,035 | ) | (2,216 | ) | 0.6 | |||||||||
Brilliance China Automotive Holdings Ltd. | (178,000 | ) | (191,220 | ) | (22,852 | ) | 5.9 | |||||||||
China International Capital Corp. Ltd. | (22,000 | ) | (42,699 | ) | (8,595 | ) | 2.2 | |||||||||
China State Construction International Holdings Ltd. | (24,000 | ) | (22,553 | ) | 2,221 | (0.6 | ) | |||||||||
Guangzhou Automobile Group Co. Ltd. | (44,000 | ) | (42,109 | ) | 338 | (0.1 | ) | |||||||||
Meituan Dianping | (7,800 | ) | (79,664 | ) | (14,505 | ) | 3.7 | |||||||||
Shanghai Fosun Pharmaceutical Group Co. Ltd. | (8,000 | ) | (21,478 | ) | 5,499 | (1.4 | ) | |||||||||
Xinyi Solar Holdings Ltd. | (262,000 | ) | (157,408 | ) | (61,360 | ) | 15.8 | |||||||||
Yanzhou Coal Mining Co. Ltd. | (50,000 | ) | (50,778 | ) | (8,544 | ) | 2.2 | |||||||||
Hong Kong | ||||||||||||||||
China Gas Holdings Ltd. | (22,000 | ) | (84,986 | ) | 1,501 | (0.4 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
186
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | ABSOLUTE NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 5) | ||||||||||||||
JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread (0.00% to 0.50%), which is denominated in MXN based on the local currencies of the positions within the swap. | 28-61 months maturity ranging from 12/20/2021- 12/21/2023 | $189,716 | $(2,092 | ) | $5,803 | $3,711 | |||||||||||||
|
|
The following table represents required component disclosures associated with the total return basket swap as of period end.
REFERENCE ENTITY | SHARES | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | PERCENTAGE OF SWAP VALUE | ||||||||||||
Long Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
Mexico | ||||||||||||||||
Alfa SAB de CV | 63,000 | $ | 55,325 | $ | (16,924 | ) | (456.1 | )% | ||||||||
Fibra Uno Administracion SA de CV | 11,800 | 17,245 | 1,831 | 49.3 | ||||||||||||
Grupo Financiero Banorte SAB de CV | 4,400 | 23,650 | (5,658 | ) | (152.5 | ) | ||||||||||
Grupo Mexico SAB de CV | 6,600 | 15,431 | (740 | ) | (19.9 | ) | ||||||||||
Wal-Mart de Mexico SAB de CV | 26,343 | 78,065 | 19,399 | 522.8 |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | ABSOLUTE NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 5) | ||||||||||||||
JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread(-0.40%), which is denominated in PLN based on the local currencies of the positions within the swap. | 58-61 months maturity ranging from 12/11/2023- 12/19/2023 | $178,230 | $(42,678 | ) | $1,628 | $(41,050 | ) | ||||||||||||
|
|
The following table represents required component disclosures associated with the total return basket swap as of period end.
REFERENCE ENTITY | SHARES | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | PERCENTAGE OF SWAP VALUE | ||||||||||||
Short Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
Poland | ||||||||||||||||
CCC SA | (995 | ) | $(34,350 | ) | $ | 12,376 | (30.1 | )% | ||||||||
Dino Polska SA | (3,674 | ) | (143,880 | ) | (55,054 | ) | 134.1 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
187
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | ABSOLUTE NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 5) | ||||||||||||||
JPMC | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread(-7.00% to 1.25%), which is denominated in USD based on the local currencies of the positions within the swap. | 28-62 months maturity ranging from 12/20/2021- 10/02/2024 | $2,775,665 | $225,998 | $52,890 | $278,888 | ||||||||||||||
|
|
The following table represents required component disclosures associated with the total return basket swap as of period end.
REFERENCE ENTITY | SHARES | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | PERCENTAGE OF SWAP VALUE | ||||||||||||
Long Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
China | ||||||||||||||||
Agricultural Bank of China Ltd. | 21,600 | $ | 10,478 | $ | (817 | ) | (0.3 | )% | ||||||||
Bank of China Ltd. | 60,200 | 30,210 | (532 | ) | (0.2 | ) | ||||||||||
Bank of Communications Co. Ltd. | 36,413 | 27,819 | (1,510 | ) | (0.5 | ) | ||||||||||
Jiangsu Hengrui Medicine Co. Ltd. | 1,680 | 18,996 | 5,987 | 2.1 | ||||||||||||
India | ||||||||||||||||
Axis Bank Ltd. | 2,616 | 127,401 | 19,586 | 7.0 | ||||||||||||
Larsen & Toubro Ltd. | 6,762 | 140,777 | 3,483 | 1.2 | ||||||||||||
Reliance Industries Ltd. | 7,436 | 277,058 | 66,863 | 24.0 | ||||||||||||
State Bank of India | 1,961 | 75,332 | (2,376 | ) | (0.9 | ) | ||||||||||
Malaysia | ||||||||||||||||
Malaysia Airports Holdings Bhd. | 95,500 | 197,283 | (19,243 | ) | (6.9 | ) | ||||||||||
RHB Bank Bhd. | 16,700 | 22,499 | 682 | 0.2 | ||||||||||||
Russia | ||||||||||||||||
Gazprom PJSC, ADR | 8,257 | 56,917 | 15,835 | 5.7 | ||||||||||||
LUKOIL PJSC, ADR | 581 | 47,992 | 9,229 | 3.3 | ||||||||||||
MMC Norilsk Nickel PJSC, ADR | 999 | 25,560 | 2,735 | 1.0 | ||||||||||||
Novatek PJSC | 163 | 33,024 | 10,552 | 3.8 | ||||||||||||
Rosneft Oil Co. PJSC | 2,281 | 14,615 | 1,579 | 0.6 | ||||||||||||
Severstal PJSC | 3,910 | 56,090 | (6,366 | ) | (2.3 | ) | ||||||||||
Surgutneftegas PJSC, ADR | 2,437 | 13,049 | 1,210 | 0.4 | ||||||||||||
Saudi Arabia | ||||||||||||||||
Al Rajhi Bank | 3,801 | 64,195 | (3,285 | ) | (1.2 | ) | ||||||||||
National Commercial Bank | 2,133 | 26,199 | (2,468 | ) | (0.9 | ) | ||||||||||
Riyad Bank | 2,480 | 16,124 | (1,284 | ) | (0.5 | ) | ||||||||||
Samba Financial Group | 2,151 | 16,410 | (1,367 | ) | (0.5 | ) | ||||||||||
Saudi Basic Industries Corp. | 1,033 | 25,351 | (3,482 | ) | (1.2 | ) | ||||||||||
Saudi Telecom Co. | 759 | 22,005 | 1,029 | 0.4 | ||||||||||||
Thailand | ||||||||||||||||
Bangkok Bank PCL | 6,400 | 36,303 | (4,650 | ) | (1.7 | ) | ||||||||||
Central Pattana PCL | 9,100 | 20,241 | (3,760 | ) | (1.3 | ) | ||||||||||
Krung Thai Bank PCL | 17,400 | 9,794 | (1,016 | ) | (0.4 | ) | ||||||||||
PTT Exploration & Production PCL | 4,900 | 19,395 | 791 | 0.3 | ||||||||||||
Ratch Group PCL | 5,400 | 12,616 | (176 | ) | (0.1 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
188
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | PERCENTAGE OF SWAP VALUE | ||||||||||||
Short Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
Brazil | ||||||||||||||||
Cosan SA | (1,700 | ) | $ | (21,804 | ) | $ | (1,241 | ) | (0.4 | ) % | ||||||
Petroleo Brasileiro SA (Preference) | (10,400 | ) | (68,859 | ) | (1,407 | ) | (0.5 | ) | ||||||||
Suzano SA | (15,100 | ) | (122,655 | ) | 3,919 | 1.4 | ||||||||||
Ultrapar Participacoes SA | (5,100 | ) | (22,683 | ) | (564 | ) | (0.2 | ) | ||||||||
India | ||||||||||||||||
ICICI Bank Ltd., ADR | (4,133 | ) | (50,340 | ) | (2,461 | ) | (0.9 | ) | ||||||||
Infosys Ltd., ADR | (2,452 | ) | (27,879 | ) | (1,638 | ) | (0.6 | ) | ||||||||
Tata Motors Ltd., ADR | (2,464 | ) | (20,673 | ) | 5,639 | 2.0 | ||||||||||
South Korea | ||||||||||||||||
Celltrion Healthcare Co. Ltd. | (379 | ) | (15,936 | ) | 1,922 | 0.7 | ||||||||||
Celltrion, Inc. | (763 | ) | (104,382 | ) | 23,314 | 8.4 | ||||||||||
CJ CheilJedang Corp. | (523 | ) | (102,411 | ) | 60,009 | 21.5 | ||||||||||
CJ Logistics Corp. | (677 | ) | (81,684 | ) | 18,600 | 6.7 | ||||||||||
Korea Shipbuilding & Offshore Engineering Co. Ltd. | (1,426 | ) | (147,627 | ) | (4,405 | ) | (1.6 | ) | ||||||||
LG Chem Ltd. | (248 | ) | (62,012 | ) | 15,268 | 5.5 | ||||||||||
Lotte Corp. | (2,183 | ) | (66,094 | ) | 33,498 | 12.0 | ||||||||||
Samsung Biologics Co. Ltd. | (115 | ) | (29,516 | ) | (1,820 | ) | (0.7 | ) | ||||||||
Samsung Heavy Industries Co. Ltd. | (1,731 | ) | (11,385 | ) | 82 | 0.0 | ||||||||||
SK Innovation Co. Ltd. | (79 | ) | (10,939 | ) | (784 | ) | (0.3 | ) | ||||||||
S-Oil Corp. | (1,169 | ) | (96,923 | ) | (11,853 | ) | (4.3 | ) | ||||||||
Taiwan | ||||||||||||||||
Airtac International Group | (1,000 | ) | (11,915 | ) | (32 | ) | (0.0 | ) | ||||||||
Formosa Petrochemical Corp. | (4,000 | ) | (12,656 | ) | 717 | 0.3 | ||||||||||
Hiwin Technologies Corp. | (3,090 | ) | (26,933 | ) | 1,034 | 0.4 | ||||||||||
Tatung Co. Ltd. | (51,000 | ) | (27,963 | ) | 3,772 | 1.4 |
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED | TOTAL | |||||||||
JPMC | ||||||||||||
Investment Companies | $1,470,759 | $— | $1,470,759 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 18,886 | 18,886 | |||||||||
|
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
189
Table of Contents
Schedule of Investments | September 30, 2019 |
Abbreviations
ADR - American Depositary Receipt
CHESS - Clearing House Electronic Subregister System Depository Interest
CVA - Dutch Certification
CVR - Contingent Value Rights
FDR - Fiduciary Depositary Receipt
GDR - Global Depositary Receipt
NVDR -Non-Voting Depositary Receipt
OYJ - Public Traded Company
PJSC - Public Joint Stock Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
SCA - Limited partnership with share capital
SDR - Swedish Depositary Receipt
SPDR - Standard & Poor’s Depositary Receipt
Currencies
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
The following abbreviations are used for counterparty descriptions:
BARC - Barclays Capital, Inc.
CITG - Citigroup Global Markets, Inc.
CITI - Citibank NA
GSCO - Goldman Sachs & Co.
GSIN - Goldman Sachs International
JPMC - J.P. Morgan Chase Bank, NA
JPMS - J.P. Morgan Securities LLC
The following reference rates, and their values as ofperiod-end, are used for security descriptions:
Euro Interbank Offered Rate (“EURIBOR”):-0.46%
Hong Kong Interbank Offered Rate (“HIBOR”): 1.88%
London Interbank Offered Rate (“LIBOR”): 2.02%
Mexico Equilibrium Interbank Interest Rate: 8.03%
Singapore Interbank Offered Rate (“SIBOR”): 1.87%
Stockholm Interbank Offered Rate (“STIBOR”):-0.15%
Warsaw Interbank Offered Rate(“WIBOR”): 1.53%
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Assets and Liabilities | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities of unaffiliated issuers, at cost | $ | 1,171,360,408 | $ | 527,979,373 | $ | 250,491,569 | $ | 196,987,624 | ||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 1,455,085,585 | $ | 580,822,953 | $ | 273,370,235 | $ | 226,198,113 | ||||||||
Cash | — | 594,454 | 185,457 | 7,749 | ||||||||||||
Cash denominated in foreign currencies‡ | — | — | 630,722 | 899,462 | ||||||||||||
Deposits with brokers for futures contracts | 741,805 | 335,527 | 287,443 | 294,401 | ||||||||||||
Variation margin on futures contracts | 481,245 | 177,410 | 19,679 | 25,284 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | — | — | 164,082 | ||||||||||||
Foreign tax reclaims | — | — | 1,353,486 | 1,514 | ||||||||||||
Dividends | 1,068,522 | 619,728 | 969,515 | 475,186 | ||||||||||||
Capital shares sold | 1,305,885 | 559,859 | 479,746 | 57,398 | ||||||||||||
Prepaid expenses | 51,985 | 33,521 | 29,495 | 26,740 | ||||||||||||
Total Assets | 1,458,735,027 | 583,143,452 | 277,325,778 | 228,149,929 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Due to broker | 83,554 | 129,011 | — | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | — | — | — | 74,117 | ||||||||||||
Collateral received on securities loaned | 10,380,864 | 30,053,944 | 4,280,151 | — | ||||||||||||
Accrued investment advisory fees | 352,210 | 215,390 | 79,347 | 83,374 | ||||||||||||
Accrued distribution fees—Class N | 11,889 | 1,732 | 872 | 803 | ||||||||||||
Capital shares redeemed | 581,445 | 466,890 | 515,078 | 73,129 | ||||||||||||
Other accrued expenses and liabilities | 272,529 | 119,892 | 109,826 | 131,666 | ||||||||||||
Total Liabilities | 11,682,491 | 30,986,859 | 4,985,274 | 363,089 | ||||||||||||
Net Assets | $ | 1,447,052,536 | $ | 552,156,593 | $ | 272,340,504 | $ | 227,786,840 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 1,110,997,642 | $ | 507,056,605 | $ | 266,522,850 | $ | 227,011,355 | ||||||||
Total distributable earnings (loss) | 336,054,894 | 45,099,988 | 5,817,654 | 775,485 | ||||||||||||
Net Assets | $ | 1,447,052,536 | $ | 552,156,593 | $ | 272,340,504 | $ | 227,786,840 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 361,920,147 | $ | 42,197,030 | $ | 50,188,946 | $ | 47,542,221 | ||||||||
Class N | 57,420,713 | 8,304,051 | 4,260,536 | 3,889,618 | ||||||||||||
Class R6 | 1,027,711,676 | 501,655,512 | 217,891,022 | 176,355,001 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 21,495,275 | 3,421,056 | 4,539,084 | 5,019,914 | ||||||||||||
Class N | 3,426,131 | 675,817 | 386,367 | 410,943 | ||||||||||||
Class R6 | 61,063,089 | 40,608,465 | 19,726,567 | 18,593,520 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 16.84 | $ | 12.33 | $ | 11.06 | $ | 9.47 | ||||||||
Class N | $ | 16.76 | $ | 12.29 | $ | 11.03 | $ | 9.47 | ||||||||
Class R6 | $ | 16.83 | $ | 12.35 | $ | 11.05 | $ | 9.48 | ||||||||
* Includes market value of securities out on loan | $ | 10,042,722 | $ | 29,121,070 | $ | 4,083,757 | $ | — | ||||||||
‡ Cash denominated in foreign currencies at cost | $ | — | $ | — | $ | 633,036 | $ | 908,873 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Assets and Liabilities | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities of unaffiliated issuers, at cost | $ | 259,986,264 | $ | 23,100,995 | $ | 173,303,124 | $ | 292,304,443 | ||||||||
�� | ||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 317,543,118 | $ | 25,531,222 | $ | 191,918,269 | $ | 339,749,797 | ||||||||
Cash | — | 11,038 | 145,115 | 10,632 | ||||||||||||
Cash denominated in foreign currencies‡ | — | — | 446,379 | 1,410,918 | ||||||||||||
Deposits with brokers for futures contracts | 360,154 | 21,413 | 203,163 | 363,220 | ||||||||||||
Variation margin on futures contracts | 38,612 | 1,156 | 14,050 | 31,792 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | 15,593 | — | 842,727 | ||||||||||||
Foreign tax reclaims | — | — | 680,762 | 3,928 | ||||||||||||
Dividends | 256,652 | 28,206 | 697,911 | 737,951 | ||||||||||||
Capital shares sold | 200,532 | 5,588 | 21,319 | 146,865 | ||||||||||||
Due from Investment Adviser | — | 5,609 | — | — | ||||||||||||
Prepaid expenses | 23,212 | 16,372 | 20,671 | 20,492 | ||||||||||||
Total Assets | 318,422,280 | 25,636,197 | 194,147,639 | 343,318,322 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Securities purchased | — | — | — | 381,483 | ||||||||||||
Collateral received on securities loaned | 4,299,670 | 1,820,937 | 3,769,241 | — | ||||||||||||
Accrued investment advisory fees | 62,135 | — | 42,858 | 129,494 | ||||||||||||
Accrued distribution fees—Class N | 264 | 737 | 247 | 140 | ||||||||||||
Capital shares redeemed | 97,773 | — | 79,946 | 54,057 | ||||||||||||
Other accrued expenses and liabilities | 96,439 | 61,584 | 93,073 | 158,880 | ||||||||||||
Total Liabilities | 4,556,281 | 1,883,258 | 3,985,365 | 724,054 | ||||||||||||
Net Assets | $ | 313,865,999 | $ | 23,752,939 | $ | 190,162,274 | $ | 342,594,268 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 251,768,972 | $ | 21,772,093 | $ | 173,156,733 | $ | 301,566,848 | ||||||||
Total distributable earnings (loss) | 62,097,027 | 1,980,846 | 17,005,541 | 41,027,420 | ||||||||||||
Net Assets | $ | 313,865,999 | $ | 23,752,939 | $ | 190,162,274 | $ | 342,594,268 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 92,990,127 | $ | 17,949,782 | $ | 29,185,308 | $ | 36,721,687 | ||||||||
Class N | 1,287,843 | 3,573,315 | 1,218,783 | 677,217 | ||||||||||||
Class R6 | 219,588,029 | 2,229,842 | 159,758,183 | 305,195,364 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 7,096,418 | 1,675,394 | 2,768,517 | 3,766,704 | ||||||||||||
Class N | 98,233 | 334,038 | 115,900 | 69,305 | ||||||||||||
Class R6 | 16,736,861 | 207,703 | 15,125,392 | 31,270,615 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 13.10 | $ | 10.71 | $ | 10.54 | $ | 9.75 | ||||||||
Class N | $ | 13.11 | $ | 10.70 | $ | 10.52 | $ | 9.77 | ||||||||
Class R6 | $ | 13.12 | $ | 10.74 | $ | 10.56 | $ | 9.76 | ||||||||
* Includes market value of securities out on loan | $ | 4,169,328 | $ | 1,765,874 | $ | 3,535,414 | $ | 188,312 | ||||||||
‡ Cash denominated in foreign currencies at cost | $ | — | $ | — | $ | 447,476 | $ | 1,418,390 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Assets and Liabilities | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR TM LARGE CAP MOMENTUM STYLE FUND | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in securities of unaffiliated issuers, at cost | $ | 736,925,156 | $ | 231,298,150 | $ | 381,356,849 | $ | 157,921,336 | ||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 968,102,653 | $ | 266,262,289 | $ | 433,338,389 | $ | 237,047,455 | ||||||||
Cash | — | — | 93,683 | — | ||||||||||||
Cash denominated in foreign currencies‡ | 380 | — | 917,894 | — | ||||||||||||
Deposits with brokers for futures contracts | 817,320 | 175,255 | 554,314 | 276,560 | ||||||||||||
Variation margin on futures contracts | 86,775 | 2,894 | 37,574 | 29,401 | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | — | 286,162 | — | ||||||||||||
Foreign tax reclaims | — | — | 1,221,579 | — | ||||||||||||
Dividends | 863,347 | 287,550 | 913,677 | 201,554 | ||||||||||||
Capital shares sold | 682,004 | 181,897 | 336,470 | 82,012 | ||||||||||||
Prepaid expenses | 49,763 | 31,863 | 33,794 | 22,550 | ||||||||||||
Total Assets | 970,602,242 | 266,941,748 | 437,733,536 | 237,659,532 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Securities purchased | — | — | 84,741 | — | ||||||||||||
Collateral received on securities loaned | 21,428,811 | 6,269,765 | 1,163,664 | 6,781,874 | ||||||||||||
Accrued investment advisory fees | 184,993 | 85,887 | 117,500 | 31,781 | ||||||||||||
Accrued distribution fees—Class N | 14,077 | 926 | 7,571 | 1,215 | ||||||||||||
Capital shares redeemed | 742,449 | 100,231 | 205,816 | 32,265 | ||||||||||||
Other accrued expenses and liabilities | 263,231 | 118,037 | 162,403 | 90,070 | ||||||||||||
Total Liabilities | 22,633,561 | 6,574,846 | 1,741,695 | 6,937,205 | ||||||||||||
Net Assets | $ | 947,968,681 | $ | 260,366,902 | $ | 435,991,841 | $ | 230,722,327 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 635,740,426 | $ | 214,569,440 | $ | 403,418,991 | $ | 147,094,613 | ||||||||
Total distributable earnings (loss) | 312,228,255 | 45,797,462 | 32,572,850 | 83,627,714 | ||||||||||||
Net Assets | $ | 947,968,681 | $ | 260,366,902 | $ | 435,991,841 | $ | 230,722,327 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 678,251,642 | $ | 201,555,211 | $ | 270,031,401 | $ | 120,654,529 | ||||||||
Class N | 67,654,417 | 4,394,521 | 36,693,652 | 5,875,490 | ||||||||||||
Class R6 | 202,062,622 | 54,417,170 | 129,266,788 | 104,192,308 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 30,048,212 | 10,802,837 | 18,029,990 | 5,057,125 | ||||||||||||
Class N | 2,998,876 | 235,513 | 2,455,631 | 247,576 | ||||||||||||
Class R6 | 8,974,959 | 2,924,829 | 8,642,014 | 4,372,234 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 22.57 | $ | 18.66 | $ | 14.98 | $ | 23.86 | ||||||||
Class N | $ | 22.56 | $ | 18.66 | $ | 14.94 | $ | 23.73 | ||||||||
Class R6 | $ | 22.51 | $ | 18.61 | $ | 14.96 | $ | 23.83 | ||||||||
* Includes market value of securities out on loan | $ | 20,899,621 | $ | 6,031,174 | $ | 2,925,656 | $ | 6,613,675 | ||||||||
‡ Cash denominated in foreign currencies at cost | $ | 423 | $ | — | $ | 917,679 | $ | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Assets and Liabilities | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | AQR INTERNATIONAL DEFENSIVE STYLE FUND | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments in securities of unaffiliated issuers, at cost | $ | 52,350,655 | $ | 95,051,716 | $ | 3,952,810,212 | $ | 220,978,212 | ||||||||
Investments in securities of affiliated issuers, at cost | — | — | 223,259,536 | — | ||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 60,932,734 | $ | 109,521,048 | $ | 4,723,047,034 | $ | 240,323,664 | ||||||||
Investments in securities of affiliated issuers, at value* | — | — | 223,280,525 | — | ||||||||||||
Cash | — | 933,142 | — | 181,544 | ||||||||||||
Cash denominated in foreign currencies‡ | — | 212,366 | — | 731,191 | ||||||||||||
Deposits with brokers for futures contracts | 50,257 | 227,807 | 7,283,432 | 312,331 | ||||||||||||
Variation margin on futures contracts | 774 | 15,308 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | — | 118,539 | — | — | ||||||||||||
Foreign tax reclaims | — | 357,593 | — | 416,747 | ||||||||||||
Dividends | 58,530 | 189,511 | 4,476,804 | 1,000,232 | ||||||||||||
Capital shares sold | 61,216 | 110,996 | 21,056,273 | 537,070 | ||||||||||||
Prepaid expenses | 22,403 | 20,464 | 311,768 | 35,239 | ||||||||||||
Total Assets | 61,125,914 | 111,706,774 | 4,979,455,836 | 243,538,018 | ||||||||||||
LIABILITIES: |
| |||||||||||||||
Variation margin on futures contracts | — | — | 839,181 | 77,643 | ||||||||||||
Payables: | ||||||||||||||||
Collateral received on securities loaned | 7,078,049 | 920,936 | 45,294,883 | 2,165,130 | ||||||||||||
Accrued investment advisory fees | 2,307 | 17,988 | 839,492 | 57,462 | ||||||||||||
Accrued distribution fees—Class N | 606 | 656 | 79,394 | 1,474 | ||||||||||||
Capital shares redeemed | 16,325 | 17,989 | 2,954,339 | 164,907 | ||||||||||||
Other accrued expenses and liabilities | 64,684 | 86,667 | 985,987 | 129,444 | ||||||||||||
Total Liabilities | 7,161,971 | 1,044,236 | 50,993,276 | 2,596,060 | ||||||||||||
Net Assets | $ | 53,963,943 | $ | 110,662,538 | $ | 4,928,462,560 | $ | 240,941,958 | ||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 44,523,338 | $ | 111,918,640 | $ | 4,119,569,026 | $ | 218,603,051 | ||||||||
Total distributable earnings (loss) | 9,440,605 | (1,256,102 | ) | 808,893,534 | 22,338,907 | |||||||||||
Net Assets | $ | 53,963,943 | $ | 110,662,538 | $ | 4,928,462,560 | $ | 240,941,958 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 50,756,746 | $ | 51,426,384 | $ | 3,262,596,029 | $ | 202,227,671 | ||||||||
Class N | 2,904,600 | 3,188,906 | 389,896,469 | 7,220,823 | ||||||||||||
Class R6 | 302,597 | 56,047,248 | 1,275,970,062 | 31,493,464 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 2,769,248 | 3,896,248 | 142,901,883 | 15,447,857 | ||||||||||||
Class N | 159,765 | 243,411 | 17,129,740 | 533,988 | ||||||||||||
Class R6 | 16,516 | 4,257,531 | 55,947,519 | 2,406,271 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 18.33 | $ | 13.20 | $ | 22.83 | $ | 13.09 | ||||||||
Class N | $ | 18.18 | $ | 13.10 | $ | 22.76 | $ | 13.52 | ||||||||
Class R6 | $ | 18.32 | $ | 13.16 | $ | 22.81 | $ | 13.09 | ||||||||
* Includes market value of securities out on loan | $ | 6,857,427 | $ | 1,256,112 | $ | 43,291,726 | $ | 2,474,530 | ||||||||
‡ Cash denominated in foreign currencies at cost | $ | — | $ | 213,394 | $ | — | $ | 733,689 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Assets and Liabilities | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments in securities of unaffiliated issuers, at cost | $ | 78,273,131 | $ | 264,093,616 | $ | 216,307,687 | $ | 15,247,969 | ||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 81,937,543 | $ | 291,943,487 | $ | 230,218,529 | $ | 17,835,684 | ||||||||
Cash | 18,735 | 1,065,629 | 752,728 | — | ||||||||||||
Cash denominated in foreign currencies‡ | 317,911 | 507,766 | 432,449 | — | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 1,431,770 | 1,529,252 | — | ||||||||||||
Unrealized appreciation on OTC swaps | — | 211,912 | 108,956 | — | ||||||||||||
Due from broker | — | 61,912 | — | — | ||||||||||||
Deposits with brokers for futures contracts | 89,304 | 5,631,896 | 4,831,477 | — | ||||||||||||
Variation margin on futures contracts | 8,076 | 201,021 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Securities sold | 10,689 | — | 21,538,480 | — | ||||||||||||
Foreign tax reclaims | 2,704 | 573,345 | 2,215,525 | — | ||||||||||||
Dividends | 90,195 | 528,018 | 712,967 | 13,540 | ||||||||||||
Capital shares sold | 19,895 | 8,403 | 278,186 | 314,381 | ||||||||||||
Due from Investment Adviser | — | — | — | 3,960 | ||||||||||||
Prepaid expenses | 29,351 | 22,487 | 18,241 | 13,138 | ||||||||||||
Total Assets | 82,524,403 | 302,187,646 | 262,636,790 | 18,180,703 | ||||||||||||
LIABILITIES: |
| |||||||||||||||
Securities sold short, at value (proceeds $—, $—, $— and $4,573,397, respectively) | — | — | — | 4,027,669 | ||||||||||||
Due to custodian | — | — | — | 1,091 | ||||||||||||
Due to broker | — | 270,000 | 242,112 | — | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 632,583 | 893,682 | — | ||||||||||||
Unrealized depreciation on OTC swaps | — | 65,707 | 149,080 | — | ||||||||||||
Variation margin on futures contracts | — | — | 72,908 | — | ||||||||||||
Payables: | ||||||||||||||||
Securities purchased | 4,360 | 330,008 | 21,534,610 | — | ||||||||||||
Collateral received on securities loaned | 52,050 | 1,592,671 | 499,006 | — | ||||||||||||
Accrued investment advisory fees | 10,446 | 143,381 | 105,706 | — | ||||||||||||
Accrued distribution fees—Class N | 1,401 | 837 | 1,648 | 129 | ||||||||||||
Capital shares redeemed | 12,364 | 162,055 | 91,071 | — | ||||||||||||
Dividends payable on securities sold short | — | — | — | 4,768 | ||||||||||||
Other accrued expenses and liabilities | 180,678 | 137,413 | 162,731 | 55,168 | ||||||||||||
Total Liabilities | 261,299 | 3,334,655 | 23,752,554 | 4,088,825 | ||||||||||||
Net Assets | $ | 82,263,104 | $ | 298,852,991 | $ | 238,884,236 | $ | 14,091,878 | ||||||||
NET ASSETS CONSIST OF: |
| |||||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 89,803,651 | $ | 285,121,441 | $ | 246,392,612 | $ | 11,806,263 | ||||||||
Total distributable earnings (loss) | (7,540,547 | ) | 13,731,550 | (7,508,376 | ) | 2,285,615 | ||||||||||
Net Assets | $ | 82,263,104 | $ | 298,852,991 | $ | 238,884,236 | $ | 14,091,878 | ||||||||
NET ASSETS: | ||||||||||||||||
Class I | $ | 75,351,609 | $ | 187,408,060 | $ | 191,080,272 | $ | 12,084,556 | ||||||||
Class N | 6,721,433 | 4,572,633 | 7,950,708 | 630,597 | ||||||||||||
Class R6 | 190,062 | 106,872,298 | 39,853,256 | 1,376,725 | ||||||||||||
SHARES OUTSTANDING: | ||||||||||||||||
Class I | 8,295,543 | 22,854,497 | 20,115,445 | 986,277 | ||||||||||||
Class N | 723,242 | 562,804 | 815,866 | 51,420 | ||||||||||||
Class R6 | 20,983 | 12,930,642 | 3,921,532 | 112,288 | ||||||||||||
NET ASSET VALUE: | ||||||||||||||||
Class I | $ | 9.08 | $ | 8.20 | $ | 9.50 | $ | 12.25 | ||||||||
Class N | $ | 9.29 | $ | 8.12 | $ | 9.75 | $ | 12.26 | ||||||||
Class R6 | $ | 9.06 | $ | 8.27 | $ | 10.16 | $ | 12.26 | ||||||||
* Includes market value of securities out on loan | $ | 47,208 | $ | 1,466,295 | $ | 474,242 | $ | — | ||||||||
‡ Cash denominated in foreign currencies at cost | $ | 318,465 | $ | 508,994 | $ | 433,799 | $ | — |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Assets and Liabilities | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | ||||||||||
ASSETS: |
| |||||||||||
Investments in securities of unaffiliated issuers, at cost | $ | 2,713,266 | $ | 30,948,754 | $ | 7,688,474 | ||||||
Investments in securities of unaffiliated issuers, at value | $ | 2,820,967 | $ | 30,521,121 | $ | 7,704,205 | ||||||
Cash | — | — | 1,095 | |||||||||
Cash denominated in foreign currencies‡ | — | 109,211 | 33,069 | |||||||||
Unrealized appreciation on OTC swaps | — | — | 282,599 | |||||||||
Deposits with brokers for futures contracts | — | 10,671 | 11,526 | |||||||||
Variation margin on futures contracts | — | 1,493 | 1,457 | |||||||||
Receivables: | ||||||||||||
Securities sold | — | — | 12,220 | |||||||||
Foreign tax reclaims | — | 96,506 | 389 | |||||||||
Dividends | 2,324 | 107,006 | 12,527 | |||||||||
Capital shares sold | 119,085 | 235,264 | 1,312 | |||||||||
Due from Investment Adviser | 11,308 | — | 5,622 | |||||||||
Prepaid expenses | 13,043 | 14,377 | 13,329 | |||||||||
Total Assets | 2,966,727 | 31,095,649 | 8,079,350 | |||||||||
LIABILITIES: |
| |||||||||||
Securities sold short, at value (proceeds $723,234, $7,956,335 and $—, respectively) | 618,550 | 6,967,068 | — | |||||||||
Due to custodian | 570 | 7,953 | — | |||||||||
Unrealized depreciation on OTC swaps | — | — | 428,347 | |||||||||
Payables: | ||||||||||||
Securities purchased | — | — | 5,450 | |||||||||
Accrued investment advisory fees | — | 3,270 | — | |||||||||
Accrued distribution fees—Class N | 97 | 146 | 120 | |||||||||
Capital shares redeemed | — | 250 | 26,616 | |||||||||
Dividends payable on securities sold short | 609 | 12,376 | — | |||||||||
Other accrued expenses and liabilities | 53,660 | 64,322 | 68,965 | |||||||||
Total Liabilities | 673,486 | 7,055,385 | 529,498 | |||||||||
Net Assets | $ | 2,293,241 | $ | 24,040,264 | $ | 7,549,852 | ||||||
NET ASSETS CONSIST OF: |
| |||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 2,501,421 | $ | 35,697,878 | $ | 14,174,857 | ||||||
Total distributable earnings (loss) | (208,180 | ) | (11,657,614 | ) | (6,625,005 | ) | ||||||
Net Assets | $ | 2,293,241 | $ | 24,040,264 | $ | 7,549,852 | ||||||
NET ASSETS: | ||||||||||||
Class I | $ | 790,070 | $ | 23,257,509 | $ | 4,133,121 | ||||||
Class N | 471,044 | 705,114 | 578,379 | |||||||||
Class R6 | 1,032,127 | 77,641 | 2,838,352 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I | 85,565 | 2,173,106 | 387,524 | |||||||||
Class N | 51,236 | 65,844 | 54,191 | |||||||||
Class R6 | 111,710 | 7,249 | 266,274 | |||||||||
NET ASSET VALUE: | ||||||||||||
Class I | $ | 9.23 | $ | 10.70 | $ | 10.67 | ||||||
Class N | $ | 9.19 | $ | 10.71 | $ | 10.67 | ||||||
Class R6 | $ | 9.24 | $ | 10.71 | $ | 10.66 | ||||||
‡ Cash denominated in foreign currencies at cost | $ | — | $ | 109,272 | $ | 33,290 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Operations | September 30, 2019 |
AQR LARGE CAP | AQR SMALL CAP | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING | |||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income: | ||||||||||||||||
Unaffiliated issuers† | $26,850,832 | $8,727,633 | $9,590,541 | $7,471,838 | ||||||||||||
Securities lending income, net | 59,130 | 1,005,924 | 14,492 | 11,707 | ||||||||||||
Total Income | 26,909,962 | 9,733,557 | 9,605,033 | 7,483,545 | ||||||||||||
EXPENSES: |
| |||||||||||||||
Investment advisory fees | 4,665,522 | 3,095,860 | 1,403,077 | 1,487,564 | ||||||||||||
Custody fees | 58,246 | 29,738 | 58,139 | 107,007 | ||||||||||||
Administration & accounting fees | 329,211 | 141,144 | 76,225 | 62,709 | ||||||||||||
Legal fees | 59,324 | 22,981 | 11,341 | 9,189 | ||||||||||||
Audit & tax fees | 37,108 | 35,210 | 36,805 | 36,396 | ||||||||||||
Shareholder reporting fees | 110,092 | 64,205 | 35,772 | 33,608 | ||||||||||||
Transfer agent fees | 468,001 | 70,591 | 92,316 | 65,294 | ||||||||||||
Trustee fees | 73,845 | 30,111 | 15,583 | 12,599 | ||||||||||||
Distribution fees—Class N | 155,056 | 18,504 | 13,129 | 10,988 | ||||||||||||
Interest expense | 12,877 | — | 28,390 | 4,076 | ||||||||||||
Interfund lending expense | — | — | 1,278 | — | ||||||||||||
Recoupment of waiver | 4,727 | — | — | — | ||||||||||||
Registration fees | 87,358 | 56,516 | 58,940 | 53,930 | ||||||||||||
Pricing fee | 12 | 2,315 | 24,047 | 24,106 | ||||||||||||
Other expenses | 89,763 | 53,953 | 53,430 | 55,945 | ||||||||||||
Total Expenses | 6,151,142 | 3,621,128 | 1,908,472 | 1,963,411 | ||||||||||||
Less fee waivers and/or reimbursements | (59,215) | (132,802) | (229,051) | (282,536) | ||||||||||||
Net Expenses | 6,091,927 | 3,488,326 | 1,679,421 | 1,680,875 | ||||||||||||
Net Investment Income (Loss) | 20,818,035 | 6,245,231 | 7,925,612 | 5,802,670 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Transactions in investment securities of unaffiliated issuers | 42,105,315 | (7,721,937) | (6,537,540) | (5,353,696) | ||||||||||||
Settlement of foreign currency and foreign currency transactions | — | — | 104,814 | (212,895) | ||||||||||||
Expiration or closing of futures contracts | 1,586,011 | (666) | 221,401 | 477,792 | ||||||||||||
Net realized gain (loss) | 43,691,326 | (7,722,603) | (6,211,325) | (5,088,799) | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $—, $— and $294,104) | (156,097,879) | (85,607,982) | (18,352,525) | (15,046,333) | ||||||||||||
Foreign currency and foreign currency transactions | — | — | (99,759) | (20,278) | ||||||||||||
Futures contracts | 22,502 | (22,364) | (36,120) | (228,347) | ||||||||||||
Net change in unrealized appreciation (depreciation) | (156,075,377) | (85,630,346) | (18,488,404) | (15,294,958) | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (112,384,051) | (93,352,949) | (24,699,729) | (20,383,757) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $(91,566,016) | $(87,107,718) | $(16,774,117) | $(14,581,087) | ||||||||||||
† Net of foreign taxes withheld of | $10,540 | $3,345 | $982,729 | $602,588 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Operations | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income: | ||||||||||||||||
Unaffiliated issuers† | $4,978,380 | $362,497 | $6,180,498 | $10,080,719 | ||||||||||||
Securities lending income, net | 2,365 | 43,142 | 20,851 | 22,912 | ||||||||||||
Total Income | 4,980,745 | 405,639 | 6,201,349 | 10,103,631 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 888,031 | 126,997 | 831,317 | 2,022,150 | ||||||||||||
Custody fees | 20,779 | 19,839 | 47,231 | 149,756 | ||||||||||||
Administration & accounting fees | 74,475 | 19,093 | 51,186 | 80,406 | ||||||||||||
Legal fees | 11,682 | 963 | 7,021 | 12,571 | ||||||||||||
Audit & tax fees | 31,800 | 32,535 | 36,323 | 36,971 | ||||||||||||
Shareholder reporting fees | 26,573 | 4,903 | 19,874 | 25,899 | ||||||||||||
Transfer agent fees | 106,823 | 40,079 | 46,848 | 47,236 | ||||||||||||
Trustee fees | 14,817 | 2,179 | 9,548 | 16,639 | ||||||||||||
Distribution fees—Class N | 3,385 | 10,189 | 3,362 | 2,723 | ||||||||||||
Interest expense | — | 2,060 | 975 | — | ||||||||||||
Registration fees | 60,163 | 47,092 | 53,888 | 53,210 | ||||||||||||
Pricing fee | — | 81 | 22,915 | 23,049 | ||||||||||||
Other expenses | 39,451 | 28,568 | 32,524 | 73,221 | ||||||||||||
Total Expenses | 1,277,979 | 334,578 | 1,163,012 | 2,543,831 | ||||||||||||
Less fee waivers and/or reimbursements | (142,897) | (159,385) | (201,809) | (306,373) | ||||||||||||
Net Expenses | 1,135,082 | 175,193 | 961,203 | 2,237,458 | ||||||||||||
Net Investment Income (Loss) | 3,845,663 | 230,446 | 5,240,146 | 7,866,173 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Transactions in investment securities of unaffiliated issuers | 1,207,107 | (587,356) | 26,178 | (840,678) | ||||||||||||
Settlement of foreign currency and foreign currency transactions | — | — | (29,025) | (142,871) | ||||||||||||
Expiration or closing of futures contracts | 865,248 | (18,305) | 89,593 | (91,726) | ||||||||||||
Net realized gain (loss) | 2,072,355 | (605,661) | 86,746 | (1,075,275) | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $—, $—, $— and $360,398) | (12,994,514) | (4,554,664) | (9,514,915) | (24,597,277) | ||||||||||||
Foreign currency and foreign currency transactions | — | — | (23,248) | (24,257) | ||||||||||||
Futures contracts | (96,443) | (13,514) | (45,656) | (335,796) | ||||||||||||
Net change in unrealized appreciation (depreciation) | (13,090,957) | (4,568,178) | (9,583,819) | (24,957,330) | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (11,018,602) | (5,173,839) | (9,497,073) | (26,032,605) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $(7,172,939) | $(4,943,393) | $(4,256,927) | $(18,166,432) | ||||||||||||
† Net of foreign taxes withheld of | $4,110 | $325 | $608,045 | $1,005,145 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Operations | September 30, 2019 |
AQR LARGE CAP | AQR SMALL CAP | AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR TM LARGE CAP MOMENTUM STYLE FUND | |||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income: | ||||||||||||||||
Unaffiliated issuers | $14,920,753 | $2,614,198 | $11,116,393 | $3,392,396 | ||||||||||||
Securities lending income, net | 114,463 | 375,784 | 109,529 | 24,800 | ||||||||||||
Total Income | 15,035,216 | 2,989,982 | 11,225,922 | 3,417,196 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,330,861 | 1,252,387 | 1,676,195 | 538,928 | ||||||||||||
Custody fees | 39,446 | 34,118 | 79,948 | 17,931 | ||||||||||||
Administration & accounting fees | 202,201 | 69,962 | 98,510 | 57,465 | ||||||||||||
Legal fees | 34,520 | 10,140 | 15,910 | 8,210 | ||||||||||||
Audit & tax fees | 33,425 | 31,993 | 37,842 | 31,459 | ||||||||||||
Shareholder reporting fees | 67,066 | 25,972 | 42,634 | 19,650 | ||||||||||||
Transfer agent fees | 816,882 | 268,929 | 367,281 | 133,987 | ||||||||||||
Trustee fees | 44,633 | 13,876 | 20,280 | 10,968 | ||||||||||||
Distribution fees—Class N | 163,610 | 8,488 | 90,056 | 21,714 | ||||||||||||
Interest expense | 29,667 | 4,517 | 4,064 | — | ||||||||||||
Registration fees | 76,369 | 61,405 | 62,333 | 49,255 | ||||||||||||
Pricing fee | — | 793 | 24,186 | — | ||||||||||||
Other expenses | 61,784 | 36,720 | 53,594 | 39,612 | ||||||||||||
Total Expenses | 3,900,464 | 1,819,300 | 2,572,833 | 929,179 | ||||||||||||
Less fee waivers and/or reimbursements | (92,800) | (158,855) | (234,609) | (139,567) | ||||||||||||
Net Expenses | 3,807,664 | 1,660,445 | 2,338,224 | 789,612 | ||||||||||||
Net Investment Income (Loss) | 11,227,552 | 1,329,537 | 8,887,698 | 2,627,584 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Transactions in investment securities of unaffiliated issuers | 84,640,861 | 15,090,056 | (16,312,281) | 3,648,212 | ||||||||||||
Settlement of foreign currency and foreign currency transactions | — | — | (61,156) | — | ||||||||||||
Expiration or closing of futures contracts | 2,152,389 | (739,063) | 309,533 | 169,350 | ||||||||||||
Net realized gain (loss) | 86,793,250 | 14,350,993 | (16,063,904) | 3,817,562 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment securities of unaffiliated issuers | (104,031,612) | (57,753,141) | (7,944,606) | (5,883,748) | ||||||||||||
Foreign currency and foreign currency transactions | (24) | — | (31,158) | — | ||||||||||||
Futures contracts | (263,818) | (138,926) | (124,542) | (68,741) | ||||||||||||
Net change in unrealized appreciation (depreciation) | (104,295,454) | (57,892,067) | (8,100,306) | (5,952,489) | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (17,502,204) | (43,541,074) | (24,164,210) | (2,134,927) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $(6,274,652) | $(42,211,537) | $(15,276,512) | $492,657 | ||||||||||||
† Net of foreign taxes withheld of | $— | $1,524 | $1,147,608 | $— |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Operations | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND | AQR TM STYLE FUND | AQR LARGE CAP | AQR INTERNATIONAL DEFENSIVE STYLE FUND | |||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income: | ||||||||||||||||
Unaffiliated issuers† | $536,716 | $2,976,029 | $59,470,365 | $7,077,529 | ||||||||||||
Affiliated issuers | — | — | 3,435,077 | — | ||||||||||||
Securities lending income, net | 67,104 | 28,912 | 169,324 | 7,691 | ||||||||||||
Total Income | 603,820 | 3,004,941 | 63,074,766 | 7,085,220 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 245,031 | 435,511 | 8,035,240 | 893,377 | ||||||||||||
Custody fees | 25,932 | 43,492 | 98,670 | 50,765 | ||||||||||||
Administration & accounting fees | 25,080 | 36,010 | 635,111 | 58,940 | ||||||||||||
Legal fees | 2,154 | 4,240 | 118,694 | 8,642 | ||||||||||||
Audit & tax fees | 31,279 | 36,045 | 43,783 | 36,481 | ||||||||||||
Shareholder reporting fees | 9,083 | 10,951 | 291,327 | 18,541 | ||||||||||||
Transfer agent fees | 71,499 | 70,721 | 2,083,777 | 207,852 | ||||||||||||
Trustee fees | 3,554 | 6,053 | 145,840 | 11,264 | ||||||||||||
Distribution fees—Class N | 8,433 | 14,640 | 841,668 | 14,561 | ||||||||||||
Interest expense | 2,002 | 10,437 | — | — | ||||||||||||
Recoupment of waiver | — | — | 41,933 | — | ||||||||||||
Registration fees | 53,022 | 50,082 | 472,206 | 61,771 | ||||||||||||
Pricing fee | 183 | 23,843 | 77 | 24,066 | ||||||||||||
Other expenses | 26,370 | 36,772 | 141,631 | 37,719 | ||||||||||||
Total Expenses | 503,622 | 778,797 | 12,949,957 | 1,423,979 | ||||||||||||
Less fee waivers and/or reimbursements | (165,776) | (208,044) | (338,119) | (208,984) | ||||||||||||
Net Expenses | 337,846 | 570,753 | 12,611,838 | 1,214,995 | ||||||||||||
Net Investment Income (Loss) | 265,974 | 2,434,188 | 50,462,928 | 5,870,225 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Transactions in investment securities of unaffiliated issuers | 567,567 | (5,164,295) | (6,641,290) | (1,245,262) | ||||||||||||
Transactions in investment securities of affiliated issuers | — | — | 13,602 | — | ||||||||||||
Settlement of foreign currency and foreign currency transactions | — | (28,557) | — | (18,290) | ||||||||||||
Expiration or closing of futures contracts | 79,206 | 102,602 | 4,731,019 | (400,350) | ||||||||||||
Net realized gain (loss) | 646,773 | (5,090,250) | (1,896,669) | (1,663,902) | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment securities of unaffiliated issuers | (8,473,761) | (2,581,950) | 326,285,614 | (2,121,777) | ||||||||||||
Investment securities of affiliated issuers | — | — | 12,188 | — | ||||||||||||
Foreign currency and foreign currency transactions | — | (12,813) | — | (15,323) | ||||||||||||
Futures contracts | (27,957) | (34,754) | (910,152) | (78,414) | ||||||||||||
Net change in unrealized appreciation (depreciation) | (8,501,718) | (2,629,517) | 325,387,650 | (2,215,514) | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (7,854,945) | (7,719,767) | 323,490,981 | (3,879,416) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $(7,588,971) | $(5,285,579) | $373,953,909 | $1,990,809 | ||||||||||||
† Net of foreign taxes withheld of | $279 | $304,920 | $537 | $656,075 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Operations | September 30, 2019 |
AQR EMERGING | AQR GLOBAL | AQR INTERNATIONAL EQUITY FUND | AQR LARGE CAP | |||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income: | ||||||||||||||||
Unaffiliated issuers† | $2,391,234 | $7,948,055 | $11,643,466 | $332,020 | ||||||||||||
Securities lending income, net | 4,634 | 25,427 | 1,948 | — | ||||||||||||
Total Income | 2,395,868 | 7,973,482 | 11,645,414 | 332,020 | ||||||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 457,116 | 1,884,855 | 2,307,812 | 90,484 | ||||||||||||
Custody fees | 62,617 | 45,871 | 88,896 | 58 | ||||||||||||
Administration & accounting fees | 30,803 | 78,110 | 88,817 | 16,915 | ||||||||||||
Legal fees | 3,567 | 12,688 | 12,567 | — | ||||||||||||
Audit & tax fees | 37,389 | 39,206 | 42,822 | 32,610 | ||||||||||||
Shareholder reporting fees | 12,510 | 25,911 | 40,484 | 4,722 | ||||||||||||
Transfer agent fees | 100,589 | 197,785 | 330,017 | 29,691 | ||||||||||||
Trustee fees | 4,848 | 15,977 | 17,661 | 1,708 | ||||||||||||
Distribution fees—Class N | 24,816 | 8,807 | 22,325 | 1,630 | ||||||||||||
Dividends on securities sold short (Note 3) | — | — | — | 85,870 | ||||||||||||
Interest expense | 975 | 344 | 12,741 | — | ||||||||||||
Interfund lending expense | 283 | — | 841 | — | ||||||||||||
Recoupment of waiver | — | 1,743 | — | — | ||||||||||||
Registration fees | 49,417 | 61,587 | 75,223 | 43,591 | ||||||||||||
Pricing fee | 19,436 | 28,542 | 31,623 | — | ||||||||||||
Other expenses | 31,596 | 33,543 | 61,857 | 22,659 | ||||||||||||
Total Expenses | 835,962 | 2,434,969 | 3,133,686 | 329,938 | ||||||||||||
Less fee waivers and/or reimbursements | (226,007) | (41,392) | (138,101) | (124,218) | ||||||||||||
Net Expenses | 609,955 | 2,393,577 | 2,995,585 | 205,720 | ||||||||||||
Net Investment Income (Loss) | 1,785,913 | 5,579,905 | 8,649,829 | 126,300 | ||||||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Transactions in investment securities of unaffiliated issuers (net of deferred capital gain country tax accruals of $30,474, $—, $— and $—) | (848,813) | (11,443,166) | (15,819,362) | (219,719) | ||||||||||||
Settlement of foreign currency and foreign currency transactions | (7,410) | (76,719) | 243,492 | — | ||||||||||||
Settlement of forward foreign currency contracts | — | 935,386 | (368,261) | — | ||||||||||||
Expiration or closing of futures contracts | (206,589) | 85,521 | 16,809 | — | ||||||||||||
Closed short positions in securities | — | — | — | (228,367) | ||||||||||||
Expiration or closing of swap contracts | — | (1,708,165) | (2,891,663) | — | ||||||||||||
Net realized gain (loss) | (1,062,812) | (12,207,143) | (18,818,985) | (448,086) | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investment securities of unaffiliated issuers (net of increase in deferred capital gain country tax accruals of $25,281, $—, $— and $—) | (4,236,874) | (14,848,710) | (15,446,654) | (1,055,502) | ||||||||||||
Foreign currency and foreign currency transactions | (1,823) | 667 | (33,059) | — | ||||||||||||
Forward foreign currency exchange contracts | — | 1,244,544 | 916,930 | — | ||||||||||||
Futures contracts | (104,952) | (1,338,101) | (4,772,741) | — | ||||||||||||
Short positions in securities | — | — | — | 682,784 | ||||||||||||
Swap contracts | — | (950,933) | (205,040) | — | ||||||||||||
Net change in unrealized appreciation (depreciation) | (4,343,649) | (15,892,533) | (19,540,564) | (372,718) | ||||||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (5,406,461) | (28,099,676) | (38,359,549) | (820,804) | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $(3,620,548) | $(22,519,771) | $(29,709,720) | $(694,504) | ||||||||||||
† Net of foreign taxes withheld of | $263,786 | $483,231 | $1,246,999 | $121 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Operations | September 30, 2019 |
AQR SMALL CAP | AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | AQR EMERGING | ||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income: | ||||||||||||
Unaffiliated issuers† | 36,869 | $1,350,670 | $300,567 | |||||||||
Total Income | 36,869 | 1,350,670 | 300,567 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 18,989 | 260,098 | 131,607 | |||||||||
Custody fees | 59 | — | 60,127 | |||||||||
Administration & accounting fees | 14,300 | 21,258 | 17,111 | |||||||||
Legal fees | 2,778 | 354 | 191 | |||||||||
Audit & tax fees | 34,528 | 37,636 | 35,551 | |||||||||
Shareholder reporting fees | 3,649 | 13,849 | 6,288 | |||||||||
Transfer agent fees | 17,403 | 50,425 | 25,493 | |||||||||
Trustee fees | 1,112 | 2,650 | 1,681 | |||||||||
Distribution fees—Class N | 1,222 | 8,440 | 6,659 | |||||||||
Dividends on securities sold short (Note 3) | 10,083 | 340,561 | — | |||||||||
Interest expense | — | 1,331 | 3,163 | |||||||||
Registration fees | 43,537 | 47,675 | 44,847 | |||||||||
Pricing fee | 40 | — | 60 | |||||||||
Other expenses | 23,282 | 28,988 | 31,647 | |||||||||
Total Expenses | 170,982 | 813,265 | 364,425 | |||||||||
Less fee waivers and/or reimbursements | (138,256) | (134,639) | (200,953) | |||||||||
Net Expenses | 32,726 | 678,626 | 163,472 | |||||||||
Net Investment Income (Loss) | 4,143 | 672,044 | 137,095 | |||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Transactions in investment securities of unaffiliated issuers | (107,820) | (11,534,802) | (3,030,133) | |||||||||
Settlement of foreign currency and foreign currency transactions | — | 4,541 | (28,121) | |||||||||
Expiration or closing of futures contracts | — | (123,448) | 28,273 | |||||||||
Closed short positions in securities | 51,736 | 2,186,849 | — | |||||||||
Expiration or closing of swap contracts | — | — | (1,386,482) | |||||||||
Net realized gain (loss) | (56,084) | (9,466,860) | (4,416,463) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investment securities of unaffiliated issuers | (511,059) | 1,438,585 | 740,254 | |||||||||
Foreign currency and foreign currency transactions | — | (2,566) | (1,314) | |||||||||
Futures contracts | — | (15,791) | (20,382) | |||||||||
Short positions in securities | 124,470 | 272,890 | — | |||||||||
Swap contracts | — | — | (144,423) | |||||||||
Net change in unrealized appreciation (depreciation) | (386,589) | 1,693,118 | 574,135 | |||||||||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | (442,673) | (7,773,742) | (3,842,328) | |||||||||
Net increase (decrease) in net assets resulting from operations | $(438,530) | $(7,101,698) | $(3,705,233) | |||||||||
† Net of foreign taxes withheld of | $10 | $120,585 | $28,434 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
202
Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 20,818,035 | $ | 26,303,949 | $ | 6,245,231 | $ | 5,323,028 | ||||||||
Net realized gain (loss) | 43,691,326 | 115,957,572 | (7,722,603 | ) | 73,361,907 | |||||||||||
Net change in unrealized appreciation (depreciation) | (156,075,377 | ) | 114,189,604 | (85,630,346 | ) | (12,611,693 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (91,566,016 | ) | 256,451,125 | (87,107,718 | ) | 66,073,242 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (29,255,991 | ) | (10,776,250 | ) | (5,107,307 | ) | (5,462,948 | ) | ||||||||
Class N | (4,037,015 | ) | (1,302,797 | ) | (713,157 | ) | (690,037 | ) | ||||||||
Class R6 | (70,459,300 | ) | (30,638,035 | ) | (64,613,496 | ) | (64,425,548 | ) | ||||||||
Total distributions | (103,752,306 | ) | (42,717,082 | ) | (70,433,960 | ) | (70,578,533 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 76,666,928 | 95,787,362 | 24,301,994 | 15,582,728 | ||||||||||||
Reinvestment of distributions | 27,844,268 | 9,776,384 | 5,096,676 | 5,462,948 | ||||||||||||
Cost of shares redeemed | (198,249,995 | ) | (108,671,308 | ) | (36,310,691 | ) | (14,167,311 | ) | ||||||||
Net increase (decrease) from capital transactions | (93,738,799 | ) | (3,107,562 | ) | (6,912,021 | ) | 6,878,365 | |||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 11,088,415 | 25,335,787 | 4,653,780 | 3,216,149 | ||||||||||||
Reinvestment of distributions | 4,032,863 | 1,300,872 | 711,291 | 687,488 | ||||||||||||
Cost of shares redeemed | (21,694,110 | ) | (25,474,909 | ) | (3,140,219 | ) | (4,669,146 | ) | ||||||||
Net increase (decrease) from capital transactions | (6,572,832 | ) | 1,161,750 | 2,224,852 | (765,509 | ) | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 220,595,627 | 350,817,533 | 86,312,953 | 83,802,921 | ||||||||||||
Reinvestment of distributions | 70,083,771 | 30,519,773 | 59,445,615 | 59,088,320 | ||||||||||||
Cost of shares redeemed | (492,971,510 | ) | (414,196,743 | ) | (176,803,604 | ) | (196,791,558 | ) | ||||||||
Net increase (decrease) from capital transactions | (202,292,112 | ) | (32,859,437 | ) | (31,045,036 | ) | (53,900,317 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital transactions | (302,603,743 | ) | (34,805,249 | ) | (35,732,205 | ) | (47,787,461 | ) | ||||||||
Total increase (decrease) in net assets | (497,922,065 | ) | 178,928,794 | (193,273,883 | ) | (52,292,752 | ) | |||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 1,944,974,601 | 1,766,045,807 | 745,430,476 | 797,723,228 | ||||||||||||
End of period | $ | 1,447,052,536 | $ | 1,944,974,601 | $ | 552,156,593 | $ | 745,430,476 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 204) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
203
Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 26,927,588 | 27,105,928 | 3,884,358 | 3,425,976 | ||||||||||||
Shares sold | 4,765,437 | 5,333,007 | 2,002,640 | 999,126 | ||||||||||||
Shares issued on reinvestment of distributions | 1,916,330 | 550,162 | 457,922 | 365,415 | ||||||||||||
Shares redeemed | (12,114,080 | ) | (6,061,509 | ) | (2,923,864 | ) | (906,159 | ) | ||||||||
Shares outstanding, end of period | 21,495,275 | 26,927,588 | 3,421,056 | 3,884,358 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 3,794,725 | 3,733,125 | 492,827 | 538,645 | ||||||||||||
Shares sold | 692,786 | 1,415,274 | 368,035 | 205,765 | ||||||||||||
Shares issued on reinvestment of distributions | 278,320 | 73,454 | 64,023 | 46,078 | ||||||||||||
Shares redeemed | (1,339,700 | ) | (1,427,128 | ) | (249,068 | ) | (297,661 | ) | ||||||||
Shares outstanding, end of period | 3,426,131 | 3,794,725 | 675,817 | 492,827 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 72,590,387 | 73,872,372 | 42,484,766 | 45,548,724 | ||||||||||||
Shares sold | 13,687,568 | 19,575,372 | 6,863,675 | 5,393,761 | ||||||||||||
Shares issued on reinvestment of distributions | 4,826,706 | 1,719,424 | 5,336,231 | 3,949,754 | ||||||||||||
Shares redeemed | (30,041,572 | ) | (22,576,781 | ) | (14,076,207 | ) | (12,407,473 | ) | ||||||||
Shares outstanding, end of period | 61,063,089 | 72,590,387 | 40,608,465 | 42,484,766 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 7,925,612 | $ | 11,551,805 | $ | 5,802,670 | $ | 6,226,903 | ||||||||
Net realized gain (loss) | (6,211,325 | ) | 17,742,504 | (5,088,799 | ) | 8,610,084 | ||||||||||
Net change in unrealized appreciation (depreciation) | (18,488,404 | ) | (24,519,767 | ) | (15,294,958 | ) | (24,866,761 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (16,774,117 | ) | 4,774,542 | (14,581,087 | ) | (10,029,774 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (2,139,990 | ) | (1,871,811 | ) | (884,434 | ) | (1,550,648 | ) | ||||||||
Class N | (193,368 | ) | (162,279 | ) | (94,743 | ) | (84,835 | ) | ||||||||
Class R6 | (8,221,394 | ) | (9,653,985 | ) | (5,027,138 | ) | (3,875,940 | ) | ||||||||
Total distributions | (10,554,752 | ) | (11,688,075 | ) | (6,006,315 | ) | (5,511,423 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 26,409,442 | 26,293,510 | 29,208,136 | 25,979,657 | ||||||||||||
Reinvestment of distributions | 2,135,307 | 1,868,748 | 884,434 | 1,550,537 | ||||||||||||
Cost of shares redeemed | (56,350,552 | ) | (20,451,269 | ) | (15,070,134 | ) | (95,086,495 | ) | ||||||||
Net increase (decrease) from capital transactions | (27,805,803 | ) | 7,710,989 | 15,022,436 | (67,556,301 | ) | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 1,117,601 | 2,806,811 | 1,055,493 | 9,802,946 | ||||||||||||
Reinvestment of distributions | 192,003 | 161,205 | 94,743 | 84,835 | ||||||||||||
Cost of shares redeemed | (3,432,493 | ) | (4,820,322 | ) | (2,235,536 | ) | (11,280,986 | ) | ||||||||
Net increase (decrease) from capital transactions | (2,122,889 | ) | (1,852,306 | ) | (1,085,300 | ) | (1,393,205 | ) | ||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 48,846,761 | 56,823,039 | 33,831,342 | 112,121,781 | ||||||||||||
Reinvestment of distributions | 8,108,462 | 9,578,079 | 4,976,491 | 3,839,830 | ||||||||||||
Cost of shares redeemed | (146,764,111 | ) | (116,207,995 | ) | (112,987,983 | ) | (49,354,536 | ) | ||||||||
Net increase (decrease) from capital transactions | (89,808,888 | ) | (49,806,877 | ) | (74,180,150 | ) | 66,607,075 | |||||||||
Net increase (decrease) in net assets resulting from capital transactions | (119,737,580 | ) | (43,948,194 | ) | (60,243,014 | ) | (2,342,431 | ) | ||||||||
Total increase (decrease) in net assets | (147,066,449 | ) | (50,861,727 | ) | (80,830,416 | ) | (17,883,628 | ) | ||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 419,406,953 | 470,268,680 | 308,617,256 | 326,500,884 | ||||||||||||
End of period | $ | 272,340,504 | $ | 419,406,953 | $ | 227,786,840 | $ | 308,617,256 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 206) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 7,029,983 | 6,382,844 | 3,431,269 | 9,084,086 | ||||||||||||
Shares sold | 2,518,735 | 2,185,654 | 3,074,691 | 2,323,815 | ||||||||||||
Shares issued on reinvestment of distributions | 216,782 | 156,381 | 98,270 | 141,990 | ||||||||||||
Shares redeemed | (5,226,416 | ) | (1,694,896 | ) | (1,584,316 | ) | (8,118,622 | ) | ||||||||
Shares outstanding, end of period | 4,539,084 | 7,029,983 | 5,019,914 | 3,431,269 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 587,720 | 741,408 | 522,910 | 629,566 | ||||||||||||
Shares sold | 104,665 | 233,747 | 111,531 | 900,890 | ||||||||||||
Shares issued on reinvestment of distributions | 19,493 | 13,501 | 10,515 | 7,769 | ||||||||||||
Shares redeemed | (325,511 | ) | (400,936 | ) | (234,013 | ) | (1,015,315 | ) | ||||||||
Shares outstanding, end of period | 386,367 | 587,720 | 410,943 | 522,910 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 28,081,392 | 32,248,885 | 26,340,267 | 20,749,080 | ||||||||||||
Shares sold | 4,601,367 | 4,735,673 | 3,536,675 | 9,659,418 | ||||||||||||
Shares issued on reinvestment of distributions | 824,031 | 802,856 | 552,943 | 351,311 | ||||||||||||
Shares redeemed | (13,780,223 | ) | (9,706,022 | ) | (11,836,365 | ) | (4,419,542 | ) | ||||||||
Shares outstanding, end of period | 19,726,567 | 28,081,392 | 18,593,520 | 26,340,267 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 3,845,663 | $ | 3,688,218 | $ | 230,446 | $ | 168,422 | ||||||||
Net realized gain (loss) | 2,072,355 | 2,705,323 | (605,661 | ) | 1,215,134 | |||||||||||
Net change in unrealized appreciation (depreciation) | (13,090,957 | ) | 29,885,351 | (4,568,178 | ) | 1,831,318 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (7,172,939 | ) | 36,278,892 | (4,943,393 | ) | 3,214,874 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (1,097,266 | ) | (818,162 | ) | (888,512 | ) | (602,144 | ) | ||||||||
Class N | (9,211 | ) | (21,911 | ) | (156,965 | ) | (137,360 | ) | ||||||||
Class R6 | (2,768,055 | ) | (2,148,486 | ) | (102,358 | ) | (65,206 | ) | ||||||||
Total distributions | (3,874,532 | ) | (2,988,559 | ) | (1,147,835 | ) | (804,710 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 34,012,624 | 21,740,496 | 9,706,331 | 5,052,196 | ||||||||||||
Reinvestment of distributions | 1,092,204 | 813,559 | 888,512 | 601,692 | ||||||||||||
Cost of shares redeemed | (26,498,029 | ) | (8,616,650 | ) | (13,799,453 | ) | (2,891,525 | ) | ||||||||
Net increase (decrease) from capital transactions | 8,606,799 | 13,937,405 | (3,204,610 | ) | 2,762,363 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 331,491 | 659,520 | 3,251,071 | 1,998,957 | ||||||||||||
Reinvestment of distributions | 9,211 | 21,911 | 156,965 | 137,360 | ||||||||||||
Cost of shares redeemed | (1,222,576 | ) | (892,234 | ) | (5,282,013 | ) | (1,601,248 | ) | ||||||||
Net increase (decrease) from capital transactions | (881,874 | ) | (210,803 | ) | (1,873,977 | ) | 535,069 | |||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 62,099,679 | 49,575,877 | 2,200,000 | — | ||||||||||||
Reinvestment of distributions | 2,759,941 | 2,145,431 | 102,358 | 65,206 | ||||||||||||
Cost of shares redeemed | (48,750,879 | ) | (25,434,061 | ) | (2,214,265 | ) | — | |||||||||
Net increase (decrease) from capital transactions | 16,108,741 | 26,287,247 | 88,093 | 65,206 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 23,833,666 | 40,013,849 | (4,990,494 | ) | 3,362,638 | |||||||||||
Total increase (decrease) in net assets | 12,786,195 | 73,304,182 | (11,081,722 | ) | 5,772,802 | |||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 301,079,804 | 227,775,622 | 34,834,661 | 29,061,859 | ||||||||||||
End of period | $ | 313,865,999 | $ | 301,079,804 | $ | 23,752,939 | $ | 34,834,661 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 208) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR TM LARGE CAP MULTI-STYLE FUND | AQR TM SMALL CAP MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 6,377,943 | 5,295,943 | 1,995,387 | 1,766,988 | ||||||||||||
Shares sold | 2,818,483 | 1,676,676 | 915,815 | 410,222 | ||||||||||||
Shares issued on reinvestment of distributions | 96,741 | 63,214 | 91,411 | 49,974 | ||||||||||||
Shares redeemed | (2,196,749 | ) | (657,890 | ) | (1,327,219 | ) | (231,797 | ) | ||||||||
Shares outstanding, end of period | 7,096,418 | 6,377,943 | 1,675,394 | 1,995,387 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 167,713 | 183,388 | 506,568 | 457,078 | ||||||||||||
Shares sold | 26,412 | 50,916 | 298,773 | 166,366 | ||||||||||||
Shares issued on reinvestment of distributions | 814 | 1,705 | 16,149 | 11,437 | ||||||||||||
Shares redeemed | (96,706 | ) | (68,296 | ) | (487,452 | ) | (128,313 | ) | ||||||||
Shares outstanding, end of period | 98,233 | 167,713 | 334,038 | 506,568 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 15,366,286 | 13,352,220 | 198,460 | 193,053 | ||||||||||||
Shares sold | 5,071,394 | 3,792,122 | 196,779 | — | ||||||||||||
Shares issued on reinvestment of distributions | 244,459 | 166,700 | 10,520 | 5,407 | ||||||||||||
Shares redeemed | (3,945,278 | ) | (1,944,756 | ) | (198,056 | ) | — | |||||||||
Shares outstanding, end of period | 16,736,861 | 15,366,286 | 207,703 | 198,460 |
The accompanying notes are an integral part of these financial statements. |
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 5,240,146 | $ | 4,369,425 | $ | 7,866,173 | $ | 7,400,800 | ||||||||
Net realized gain (loss) | 86,746 | 1,535,987 | (1,075,275 | ) | 517,840 | |||||||||||
Net change in unrealized appreciation (depreciation) | (9,583,819 | ) | (3,311,001 | ) | (24,957,330 | ) | (18,402,848 | ) | ||||||||
Net increase (decrease) in net assets resulting from operations | (4,256,927 | ) | 2,594,411 | (18,166,432 | ) | (10,484,208 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (560,998 | ) | (644,479 | ) | (468,070 | ) | (286,290 | ) | ||||||||
Class N | (26,702 | ) | (47,940 | ) | (19,782 | ) | (31,785 | ) | ||||||||
Class R6 | (3,512,605 | ) | (3,770,415 | ) | (6,711,111 | ) | (5,586,088 | ) | ||||||||
Total distributions | (4,100,305 | ) | (4,462,834 | ) | (7,198,963 | ) | (5,904,163 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 16,496,548 | 8,564,970 | 31,578,334 | 5,010,657 | ||||||||||||
Reinvestment of distributions | 560,998 | 639,789 | 457,476 | 277,677 | ||||||||||||
Cost of shares redeemed | (15,106,987 | ) | (5,986,354 | ) | (10,833,640 | ) | (4,025,314 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,950,559 | 3,218,405 | 21,202,170 | 1,263,020 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 196,357 | 539,743 | 173,890 | 537,217 | ||||||||||||
Reinvestment of distributions | 26,702 | 47,940 | 19,782 | 31,785 | ||||||||||||
Cost of shares redeemed | (478,074 | ) | (1,087,872 | ) | (1,078,564 | ) | (1,093,736 | ) | ||||||||
Net increase (decrease) from capital transactions | (255,015 | ) | (500,189 | ) | (884,892 | ) | (524,734 | ) | ||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 41,431,180 | 27,806,384 | 29,626,938 | 15,239,075 | ||||||||||||
Reinvestment of distributions | 3,506,710 | 3,766,767 | 6,706,777 | 5,584,281 | ||||||||||||
Cost of shares redeemed | (39,785,578 | ) | (20,020,485 | ) | (20,702,236 | ) | (26,016,762 | ) | ||||||||
Net increase (decrease) from capital transactions | 5,152,312 | 11,552,666 | 15,631,479 | (5,193,406 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 6,847,856 | 14,270,882 | 35,948,757 | (4,455,120 | ) | |||||||||||
Total increase (decrease) in net assets | (1,509,376 | ) | 12,402,459 | 10,583,362 | (20,843,491 | ) | ||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 191,671,650 | 179,269,191 | 332,010,906 | 352,854,397 | ||||||||||||
End of period | $ | 190,162,274 | $ | 191,671,650 | $ | 342,594,268 | $ | 332,010,906 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 210) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 2,596,584 | 2,306,712 | 1,632,300 | 1,529,628 | ||||||||||||
Shares sold | 1,632,264 | 764,768 | 3,206,157 | 447,137 | ||||||||||||
Shares issued on reinvestment of distributions | 60,064 | 57,073 | 49,085 | 24,552 | ||||||||||||
Shares redeemed | (1,520,395 | ) | (531,969 | ) | (1,120,838 | ) | (369,017 | ) | ||||||||
Shares outstanding, end of period | 2,768,517 | 2,596,584 | 3,766,704 | 1,632,300 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 140,413 | 186,870 | 158,387 | 207,005 | ||||||||||||
Shares sold | 19,240 | 48,084 | 17,624 | 46,682 | ||||||||||||
Shares issued on reinvestment of distributions | 2,862 | 4,284 | 2,113 | 2,808 | ||||||||||||
Shares redeemed | (46,615 | ) | (98,825 | ) | (108,819 | ) | �� | (98,108 | ) | |||||||
Shares outstanding, end of period | 115,900 | 140,413 | 69,305 | 158,387 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 14,573,362 | 13,549,216 | 29,565,703 | 29,960,986 | ||||||||||||
Shares sold | 4,108,613 | 2,458,198 | 3,060,090 | 1,347,163 | ||||||||||||
Shares issued on reinvestment of distributions | 375,049 | 335,420 | 718,840 | 493,747 | ||||||||||||
Shares redeemed | (3,931,632 | ) | (1,769,472 | ) | (2,074,018 | ) | (2,236,193 | ) | ||||||||
Shares outstanding, end of period | 15,125,392 | 14,573,362 | 31,270,615 | 29,565,703 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 11,227,552 | $ | 8,933,124 | $ | 1,329,537 | $ | 827,127 | ||||||||
Net realized gain (loss) | 86,793,250 | 91,679,378 | 14,350,993 | 60,712,063 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (104,295,454 | ) | 129,534,690 | (57,892,067 | ) | 8,547,276 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (6,274,652 | ) | 230,147,192 | (42,211,537 | ) | 70,086,466 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (72,200,119 | ) | (76,341,133 | ) | (53,206,130 | ) | (32,807,701 | ) | ||||||||
Class N | (5,900,343 | ) | (5,133,765 | ) | (445,612 | ) | (99,309 | ) | ||||||||
Class R6 | (9,607,587 | ) | (5,802,831 | ) | (3,791,401 | ) | (1,143,211 | ) | ||||||||
Total distributions | (87,708,049 | ) | (87,277,729 | ) | (57,443,143 | ) | (34,050,221 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 208,971,708 | 163,829,903 | 53,263,679 | 45,235,866 | ||||||||||||
Reinvestment of distributions | 71,979,907 | 76,128,358 | 53,171,180 | 32,791,199 | ||||||||||||
Cost of shares redeemed | (509,906,777 | ) | (246,125,073 | ) | (159,487,211 | ) | (125,115,397 | ) | ||||||||
Net increase (decrease) from capital transactions | (228,955,162 | ) | (6,166,812 | ) | (53,052,352 | ) | (47,088,332 | ) | ||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 16,267,408 | 15,958,025 | 2,912,333 | 1,813,033 | ||||||||||||
Reinvestment of distributions | 5,899,882 | 5,133,360 | 445,611 | 99,309 | ||||||||||||
Cost of shares redeemed | (26,220,425 | ) | (11,837,299 | ) | (1,032,215 | ) | (951,481 | ) | ||||||||
Net increase (decrease) from capital transactions | (4,053,135 | ) | 9,254,086 | 2,325,729 | 960,861 | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 123,089,068 | 42,405,165 | 42,869,795 | 8,229,692 | ||||||||||||
Reinvestment of distributions | 9,584,078 | 5,772,894 | 3,789,230 | 1,142,144 | ||||||||||||
Cost of shares redeemed | (23,523,121 | ) | (22,976,645 | ) | (6,572,867 | ) | (1,722,087 | ) | ||||||||
Net increase (decrease) from capital transactions | 109,150,025 | 25,201,414 | 40,086,158 | 7,649,749 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (123,858,272 | ) | 28,288,688 | (10,640,465 | ) | (38,477,722 | ) | |||||||||
Total increase (decrease) in net assets | (217,840,973 | ) | 171,158,151 | (110,295,145 | ) | (2,441,477 | ) | |||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 1,165,809,654 | 994,651,503 | 370,662,047 | 373,103,524 | ||||||||||||
End of period | $ | 947,968,681 | $ | 1,165,809,654 | $ | 260,366,902 | $ | 370,662,047 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 212) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 39,475,038 | 39,535,338 | 12,775,107 | 14,479,520 | ||||||||||||
Shares sold | 9,718,404 | 7,100,399 | 2,827,525 | 1,806,138 | ||||||||||||
Shares issued on reinvestment of distributions | 3,924,750 | 3,516,321 | 3,319,050 | 1,394,777 | ||||||||||||
Shares redeemed | (23,069,980 | ) | (10,677,020 | ) | (8,118,845 | ) | (4,905,328 | ) | ||||||||
Shares outstanding, end of period | 30,048,212 | 39,475,038 | 10,802,837 | 12,775,107 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 3,100,311 | 2,686,851 | 104,431 | 69,288 | ||||||||||||
Shares sold | 762,646 | 691,541 | 154,904 | 68,924 | ||||||||||||
Shares issued on reinvestment of distributions | 321,169 | 236,888 | 27,764 | 4,217 | ||||||||||||
Shares redeemed | (1,185,250 | ) | (514,969 | ) | (51,586 | ) | (37,998 | ) | ||||||||
Shares outstanding, end of period | 2,998,876 | 3,100,311 | 235,513 | 104,431 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 4,088,262 | 3,001,708 | 780,973 | 480,490 | ||||||||||||
Shares sold | 5,498,392 | 1,830,232 | 2,268,772 | 318,663 | ||||||||||||
Shares issued on reinvestment of distributions | 524,293 | 267,388 | 237,420 | 48,705 | ||||||||||||
Shares redeemed | (1,135,988 | ) | (1,011,066 | ) | (362,336 | ) | (66,885 | ) | ||||||||
Shares outstanding, end of period | 8,974,959 | 4,088,262 | 2,924,829 | 780,973 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR TM LARGE CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 8,887,698 | $ | 7,928,075 | $ | 2,627,584 | $ | 1,759,417 | ||||||||
Net realized gain (loss) | (16,063,904 | ) | 16,893,422 | 3,817,562 | 1,745,014 | |||||||||||
Net change in unrealized appreciation (depreciation) | (8,100,306 | ) | (7,558,752 | ) | (5,952,489 | ) | 41,796,827 | |||||||||
Net increase (decrease) in net assets resulting from operations | (15,276,512 | ) | 17,262,745 | 492,657 | 45,301,258 | |||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (5,928,748 | ) | (7,041,640 | ) | (931,706 | ) | (716,329 | ) | ||||||||
Class N | (566,839 | ) | (676,884 | ) | (63,962 | ) | (65,175 | ) | ||||||||
Class R6 | (1,236,921 | ) | (1,097,301 | ) | (922,374 | ) | (777,211 | ) | ||||||||
Total distributions | (7,732,508 | ) | (8,815,825 | ) | (1,918,042 | ) | (1,558,715 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 80,801,406 | 72,031,543 | 30,205,232 | 16,390,697 | ||||||||||||
Reinvestment of distributions | 5,922,874 | 7,039,182 | 926,582 | 716,292 | ||||||||||||
Cost of shares redeemed | (146,355,156 | ) | (63,862,539 | ) | (22,859,210 | ) | (12,862,332 | ) | ||||||||
Net increase (decrease) from capital transactions | (59,630,876 | ) | 15,208,186 | 8,272,604 | 4,244,657 | |||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 9,323,125 | 9,462,734 | 3,335,552 | 5,079,649 | ||||||||||||
Reinvestment of distributions | 566,839 | 676,884 | 63,962 | 65,175 | ||||||||||||
Cost of shares redeemed | (11,286,951 | ) | (4,340,652 | ) | (10,394,463 | ) | (2,566,725 | ) | ||||||||
Net increase (decrease) from capital transactions | (1,396,987 | ) | 5,798,966 | (6,994,949 | ) | 2,578,099 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 78,971,586 | 23,220,150 | 17,591,041 | 18,538,623 | ||||||||||||
Reinvestment of distributions | 1,236,921 | 1,097,301 | 922,374 | 776,372 | ||||||||||||
Cost of shares redeemed | (13,252,960 | ) | (7,166,865 | ) | (16,054,920 | ) | (21,657,707 | ) | ||||||||
Net increase (decrease) from capital transactions | 66,955,547 | 17,150,586 | 2,458,495 | (2,342,712 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 5,927,684 | 38,157,738 | 3,736,150 | 4,480,044 | ||||||||||||
Total increase (decrease) in net assets | (17,081,336 | ) | 46,604,658 | 2,310,765 | 48,222,587 | |||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 453,073,177 | 406,468,519 | 228,411,562 | 180,188,975 | ||||||||||||
End of period | $ | 435,991,841 | $ | 453,073,177 | $ | 230,722,327 | $ | 228,411,562 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 214) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR TM LARGE CAP MOMENTUM STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 22,041,901 | 21,061,118 | 4,686,066 | 4,484,510 | ||||||||||||
Shares sold | 5,646,060 | 4,535,715 | 1,373,586 | 751,698 | ||||||||||||
Shares issued on reinvestment of distributions | 454,557 | 450,363 | 47,444 | 34,388 | ||||||||||||
Shares redeemed | (10,112,528 | ) | (4,005,295 | ) | (1,049,971 | ) | (584,530 | ) | ||||||||
Shares outstanding, end of period | 18,029,990 | 22,041,901 | 5,057,125 | 4,686,066 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 2,564,776 | 2,200,569 | 566,003 | 440,406 | ||||||||||||
Shares sold | 645,947 | 594,470 | 154,337 | 238,388 | ||||||||||||
Shares issued on reinvestment of distributions | 43,536 | 43,362 | 3,285 | 3,142 | ||||||||||||
Shares redeemed | (798,628 | ) | (273,625 | ) | (476,049 | ) | (115,933 | ) | ||||||||
Shares outstanding, end of period | 2,455,631 | 2,564,776 | 247,576 | 566,003 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 4,048,617 | 2,964,194 | 4,240,403 | 4,353,778 | ||||||||||||
Shares sold | 5,433,386 | 1,465,684 | 815,846 | 860,572 | ||||||||||||
Shares issued on reinvestment of distributions | 95,148 | 70,340 | 47,301 | 37,344 | ||||||||||||
Shares redeemed | (935,137 | ) | (451,601 | ) | (731,316 | ) | (1,011,291 | ) | ||||||||
Shares outstanding, end of period | 8,642,014 | 4,048,617 | 4,372,234 | 4,240,403 |
The accompanying notes are an integral part of these financial statements. |
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 265,974 | $ | 118,806 | $ | 2,434,188 | $ | 2,308,085 | ||||||||
Net realized gain (loss) | 646,773 | 4,268,207 | (5,090,250 | ) | (46,077 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (8,501,718 | ) | 6,085,405 | (2,629,517 | ) | 772,434 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (7,588,971 | ) | 10,472,418 | (5,285,579 | ) | 3,034,442 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (4,001,037 | ) | (169,922 | ) | (927,157 | ) | (797,114 | ) | ||||||||
Class N | (262,280 | ) | (10,537 | ) | (146,595 | ) | (85,403 | ) | ||||||||
Class R6 | (16,756 | ) | (821 | ) | (1,201,377 | ) | (1,116,578 | ) | ||||||||
Total distributions | (4,280,073 | ) | (181,280 | ) | (2,275,129 | ) | (1,999,095 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 12,666,621 | 10,834,814 | 19,505,173 | 19,357,361 | ||||||||||||
Reinvestment of distributions | 4,001,037 | 169,922 | 927,157 | 797,114 | ||||||||||||
Cost of shares redeemed | (17,878,395 | ) | (5,456,512 | ) | (23,861,121 | ) | (6,113,073 | ) | ||||||||
Net increase (decrease) from capital transactions | (1,210,737 | ) | 5,548,224 | (3,428,791 | ) | 14,041,402 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 2,289,484 | 2,527,376 | 2,262,242 | 3,893,025 | ||||||||||||
Reinvestment of distributions | 262,280 | 10,537 | 146,595 | 85,403 | ||||||||||||
Cost of shares redeemed | (4,373,452 | ) | (898,531 | ) | (6,530,671 | ) | (979,905 | ) | ||||||||
Net increase (decrease) from capital transactions | (1,821,688 | ) | 1,639,382 | (4,121,834 | ) | 2,998,523 | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 104,981 | — | 21,970,735 | 12,953,829 | ||||||||||||
Reinvestment of distributions | 16,756 | 821 | 1,201,377 | 1,114,827 | ||||||||||||
Cost of shares redeemed | (4,754 | ) | (8,633 | ) | (26,517,708 | ) | (8,789,957 | ) | ||||||||
Net increase (decrease) from capital transactions | 116,983 | (7,812 | ) | (3,345,596 | ) | 5,278,699 | ||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (2,915,442 | ) | 7,179,794 | (10,896,221 | ) | 22,318,624 | ||||||||||
Total increase (decrease) in net assets | (14,784,486 | ) | 17,470,932 | (18,456,929 | ) | 23,353,971 | ||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 68,748,429 | 51,277,497 | 129,119,467 | 105,765,496 | ||||||||||||
End of period | $ | 53,963,943 | $ | 68,748,429 | $ | 110,662,538 | $ | 129,119,467 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 216) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Statements of Changes in Net Assets | September 30, 2019 |
AQR TM SMALL CAP MOMENTUM STYLE FUND | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 2,783,889 | 2,509,919 | 4,221,232 | 3,220,835 | ||||||||||||
Shares sold | 743,368 | 524,732 | 1,564,618 | 1,378,829 | ||||||||||||
Shares issued on reinvestment of distributions | 256,971 | 8,638 | 81,116 | 57,512 | ||||||||||||
Shares redeemed | (1,014,980 | ) | (259,400 | ) | (1,970,718 | ) | (435,944 | ) | ||||||||
Shares outstanding, end of period | 2,769,248 | 2,783,889 | 3,896,248 | 4,221,232 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 255,490 | 170,348 | 567,899 | 352,156 | ||||||||||||
Shares sold | 129,115 | 127,061 | 184,515 | 279,751 | ||||||||||||
Shares issued on reinvestment of distributions | 16,954 | 539 | 12,893 | 6,193 | ||||||||||||
Shares redeemed | (241,794 | ) | (42,458 | ) | (521,896 | ) | (70,201 | ) | ||||||||
Shares outstanding, end of period | 159,765 | 255,490 | 243,411 | 567,899 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 10,115 | 10,527 | 4,539,868 | 4,159,523 | ||||||||||||
Shares sold | 5,598 | — | 1,803,368 | 925,199 | ||||||||||||
Shares issued on reinvestment of distributions | 1,078 | 42 | 105,476 | 80,668 | ||||||||||||
Shares redeemed | (275 | ) | (454 | ) | (2,191,181 | ) | (625,522 | ) | ||||||||
Shares outstanding, end of period | 16,516 | 10,115 | 4,257,531 | 4,539,868 |
The accompanying notes are an integral part of these financial statements. |
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Statements of Changes in Net Assets | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND | AQR INTERNATIONAL DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 50,462,928 | $ | 22,477,406 | $ | 5,870,225 | $ | 4,695,024 | ||||||||
Net realized gain (loss) | (1,896,669 | ) | 11,562,453 | (1,663,902 | ) | 18,479 | ||||||||||
Net change in unrealized appreciation (depreciation) | 325,387,650 | 227,431,616 | (2,215,514 | ) | 1,444,405 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 373,953,909 | 261,471,475 | 1,990,809 | 6,157,908 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (26,688,622 | ) | (18,654,170 | ) | (3,814,503 | ) | (3,331,251 | ) | ||||||||
Class N | (3,849,447 | ) | (5,492,715 | ) | (45,275 | ) | (496,071 | ) | ||||||||
Class R6 | (5,023,387 | ) | (6,324,648 | ) | (854,388 | ) | (542,164 | ) | ||||||||
Total distributions | (35,561,456 | ) | (30,471,533 | ) | (4,714,166 | ) | (4,369,486 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 1,972,562,955 | 810,293,817 | 83,305,651 | 55,344,839 | ||||||||||||
Reinvestment of distributions | 26,229,527 | 18,133,691 | 3,814,503 | 3,331,251 | ||||||||||||
Cost of shares redeemed | (475,596,047 | ) | (267,178,907 | ) | (56,301,703 | ) | (30,897,704 | ) | ||||||||
Net increase (decrease) from capital transactions | 1,523,196,435 | 561,248,601 | 30,818,451 | 27,778,386 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 235,713,923 | 186,299,595 | 5,348,176 | 1,017,221 | ||||||||||||
Reinvestment of distributions | 3,846,554 | 5,487,991 | 45,275 | 496,071 | ||||||||||||
Cost of shares redeemed | (188,127,052 | ) | (162,802,126 | ) | (2,630,209 | ) | (27,897,011 | ) | ||||||||
Net increase (decrease) from capital transactions | 51,433,425 | 28,985,460 | 2,763,242 | (26,383,719 | ) | |||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 1,093,165,453 | 149,983,329 | 14,332,783 | 12,207,346 | ||||||||||||
Reinvestment of distributions | 4,786,377 | 6,238,950 | 854,388 | 542,164 | ||||||||||||
Cost of shares redeemed | (203,426,938 | ) | (87,148,011 | ) | (12,042,134 | ) | (3,902,657 | ) | ||||||||
Net increase (decrease) from capital transactions | 894,524,892 | 69,074,268 | 3,145,037 | 8,846,853 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 2,469,154,752 | 659,308,329 | 36,726,730 | 10,241,520 | ||||||||||||
Total increase (decrease) in net assets | 2,807,547,205 | 890,308,271 | 34,003,373 | 12,029,942 | ||||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 2,120,915,355 | 1,230,607,084 | 206,938,585 | 194,908,643 | ||||||||||||
End of period | $ | 4,928,462,560 | $ | 2,120,915,355 | $ | 240,941,958 | $ | 206,938,585 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 218) |
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR LARGE CAP DEFENSIVE STYLE FUND | AQR INTERNATIONAL DEFENSIVE STYLE FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 70,944,959 | 43,542,452 | 12,996,510 | 10,933,855 | ||||||||||||
Shares sold | 93,334,532 | 40,283,448 | 6,646,937 | 4,112,394 | ||||||||||||
Shares issued on reinvestment of distributions | 1,404,150 | 947,919 | 325,470 | 250,470 | ||||||||||||
Shares redeemed | (22,781,758 | ) | (13,828,860 | ) | (4,521,060 | ) | (2,300,209 | ) | ||||||||
Shares outstanding, end of period | 142,901,883 | 70,944,959 | 15,447,857 | 12,996,510 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 14,651,012 | 13,152,323 | 311,098 | 2,216,623 | ||||||||||||
Shares sold | 11,304,205 | 9,463,472 | 420,572 | 74,336 | ||||||||||||
Shares issued on reinvestment of distributions | 206,139 | 287,329 | 3,729 | 36,342 | ||||||||||||
Shares redeemed | (9,031,616 | ) | (8,252,112 | ) | (201,411 | ) | (2,016,203 | ) | ||||||||
Shares outstanding, end of period | 17,129,740 | 14,651,012 | 533,988 | 311,098 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 14,618,977 | 10,858,002 | 2,148,850 | 1,486,721 | ||||||||||||
Shares sold | 50,596,500 | 7,774,083 | 1,138,497 | 910,345 | ||||||||||||
Shares issued on reinvestment of distributions | 256,642 | 326,818 | 72,962 | 40,826 | ||||||||||||
Shares redeemed | (9,524,600 | ) | (4,339,926 | ) | (954,038 | ) | (289,042 | ) | ||||||||
Shares outstanding, end of period | 55,947,519 | 14,618,977 | 2,406,271 | 2,148,850 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Statements of Changes in Net Assets | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 1,785,913 | $ | 1,521,046 | $ | 5,579,905 | $ | 4,670,399 | ||||||||
Net realized gain (loss) | (1,062,812 | ) | (442,833 | ) | (12,207,143 | ) | (183,515 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (4,343,649 | ) | 1,090,686 | (15,892,533 | ) | 13,990,609 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (3,620,548 | ) | 2,168,899 | (22,519,771 | ) | 18,477,493 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (1,307,483 | ) | (1,062,921 | ) | (3,432,665 | ) | (5,971,499 | ) | ||||||||
Class N | (170,906 | ) | (73,559 | ) | (125,954 | ) | (93,517 | ) | ||||||||
Class R6 | (3,638 | ) | (3,683 | ) | (6,749,720 | ) | (8,440,765 | ) | ||||||||
Total distributions | (1,482,027 | ) | (1,140,163 | ) | (10,308,339 | ) | (14,505,781 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 19,466,019 | 19,640,073 | 125,296,360 | 189,043,769 | ||||||||||||
Reinvestment of distributions | 1,307,483 | 1,062,921 | 3,432,610 | 5,948,575 | ||||||||||||
Cost of shares redeemed | (17,450,795 | ) | (7,485,865 | ) | (126,870,718 | ) | (37,557,817 | ) | ||||||||
Net increase (decrease) from capital transactions | 3,322,707 | 13,217,129 | 1,858,252 | 157,434,527 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 4,021,685 | 6,009,703 | 4,112,047 | 1,143,324 | ||||||||||||
Reinvestment of distributions | 170,906 | 73,559 | 125,954 | 93,517 | ||||||||||||
Cost of shares redeemed | (6,819,403 | ) | (1,037,741 | ) | (1,572,315 | ) | (1,421,316 | ) | ||||||||
Net increase (decrease) from capital transactions | (2,626,812 | ) | 5,045,521 | 2,665,686 | (184,475 | ) | ||||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | — | — | 5,606,419 | 28,557,257 | ||||||||||||
Reinvestment of distributions | 3,638 | 3,683 | 6,749,720 | 8,440,765 | ||||||||||||
Cost of shares redeemed | — | (19,572 | ) | (59,698,432 | ) | (13,692,590 | ) | |||||||||
Net increase (decrease) from capital transactions | 3,638 | (15,889 | ) | (47,342,293 | ) | 23,305,432 | ||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 699,533 | 18,246,761 | (42,818,355 | ) | 180,555,484 | |||||||||||
Total increase (decrease) in net assets | (4,403,042 | ) | 19,275,497 | (75,646,465 | ) | 184,527,196 | ||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 86,666,146 | 67,390,649 | 374,499,456 | 189,972,260 | ||||||||||||
End of period | $ | 82,263,104 | $ | 86,666,146 | $ | 298,852,991 | $ | 374,499,456 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 220) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 7,937,988 | 6,592,892 | 21,833,772 | 4,671,412 | ||||||||||||
Shares sold | 2,113,972 | 1,993,757 | 16,079,422 | 20,630,784 | ||||||||||||
Shares issued on reinvestment of distributions | 147,738 | 108,683 | 467,022 | 667,629 | ||||||||||||
Shares redeemed | (1,904,155 | ) | (757,344 | ) | (15,525,719 | ) | (4,136,053 | ) | ||||||||
Shares outstanding, end of period | 8,295,543 | 7,937,988 | 22,854,497 | 21,833,772 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 1,011,849 | 509,044 | 234,167 | 255,046 | ||||||||||||
Shares sold | 430,692 | 599,651 | 509,744 | 126,366 | ||||||||||||
Shares issued on reinvestment of distributions | 18,843 | 7,341 | 17,254 | 10,531 | ||||||||||||
Shares redeemed | (738,142 | ) | (104,187 | ) | (198,361 | ) | (157,776 | ) | ||||||||
Shares outstanding, end of period | 723,242 | 1,011,849 | 562,804 | 234,167 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 20,571 | 22,106 | 18,868,677 | 16,309,218 | ||||||||||||
Shares sold | — | — | 662,076 | 3,120,635 | ||||||||||||
Shares issued on reinvestment of distributions | 412 | 378 | 910,893 | 939,952 | ||||||||||||
Shares redeemed | — | (1,913 | ) | (7,511,004 | ) | (1,501,128 | ) | |||||||||
Shares outstanding, end of period | 20,983 | 20,571 | 12,930,642 | 18,868,677 |
The accompanying notes are an integral part of these financial statements. |
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Statements of Changes in Net Assets | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND | AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 8,649,829 | $ | 8,703,205 | $ | 126,300 | $ | 153,170 | ||||||||
Net realized gain (loss) | (18,818,985 | ) | 2,903,816 | (448,086 | ) | (448,914 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (19,540,564 | ) | (18,998,017 | ) | (372,718 | ) | 2,307,841 | |||||||||
Net increase (decrease) in net assets resulting from operations | (29,709,720 | ) | (7,390,996 | ) | (694,504 | ) | 2,012,097 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Class I | (9,369,303 | ) | (32,028,888 | ) | (123,468 | ) | (133,818 | ) | ||||||||
Class N | (212,664 | ) | (1,432,451 | ) | (4,837 | ) | (2,636 | ) | ||||||||
Class R6 | (1,034,678 | ) | (3,935,384 | ) | (12,733 | ) | (19,501 | ) | ||||||||
Total distributions | (10,616,645 | ) | (37,396,723 | ) | (141,038 | ) | (155,955 | ) | ||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 67,537,610 | 150,167,056 | 3,130,567 | 5,959,715 | ||||||||||||
Reinvestment of distributions | 8,627,660 | 29,711,153 | 123,468 | 133,818 | ||||||||||||
Cost of shares redeemed | (241,429,553 | ) | (95,825,332 | ) | (6,993,569 | ) | (4,690,532 | ) | ||||||||
Net increase (decrease) from capital transactions | (165,264,283 | ) | 84,052,877 | (3,739,534 | ) | 1,403,001 | ||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | 178,831 | 13,150,275 | 17,800 | 146,602 | ||||||||||||
Reinvestment of distributions | 117,652 | 1,312,338 | 4,837 | 2,636 | ||||||||||||
Cost of shares redeemed | (4,341,967 | ) | (14,711,432 | ) | (142,586 | ) | (473,515 | ) | ||||||||
Net increase (decrease) from capital transactions | (4,045,484 | ) | (248,819 | ) | (119,949 | ) | (324,277 | ) | ||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | 6,728,314 | 12,877,931 | — | — | ||||||||||||
Reinvestment of distributions | 1,034,678 | 3,935,384 | 12,733 | 19,501 | ||||||||||||
Cost of shares redeemed | (8,583,463 | ) | (11,544,367 | ) | (370,000 | ) | (372,902 | ) | ||||||||
Net increase (decrease) from capital transactions | (820,471 | ) | 5,268,948 | (357,267 | ) | (353,401 | ) | |||||||||
Net increase (decrease) in net assets resulting from capital transactions | (170,130,238 | ) | 89,073,006 | (4,216,750 | ) | 725,323 | ||||||||||
Total increase (decrease) in net assets | (210,456,603 | ) | 44,285,287 | (5,052,292 | ) | 2,581,465 | ||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 449,340,839 | 405,055,552 | 19,144,170 | 16,562,705 | ||||||||||||
End of period | $ | 238,884,236 | $ | 449,340,839 | $ | 14,091,878 | $ | 19,144,170 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 222) |
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND | AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 37,314,673 | 29,670,936 | 1,320,495 | 1,201,816 | ||||||||||||
Shares sold | 7,067,114 | 13,619,612 | 269,935 | 496,007 | ||||||||||||
Shares issued on reinvestment of distributions | 972,679 | 2,728,297 | 11,770 | 11,096 | ||||||||||||
Shares redeemed | (25,239,021 | ) | (8,704,172 | ) | (615,923 | ) | (388,424 | ) | ||||||||
Shares outstanding, end of period | 20,115,445 | 37,314,673 | 986,277 | 1,320,495 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 1,219,218 | 1,251,644 | 61,640 | 90,163 | ||||||||||||
Shares sold | 18,036 | 1,137,530 | 1,547 | 11,944 | ||||||||||||
Shares issued on reinvestment of distributions | 12,915 | 117,593 | 460 | 218 | ||||||||||||
Shares redeemed | (434,303 | ) | (1,287,549 | ) | (12,227 | ) | (40,685 | ) | ||||||||
Shares outstanding, end of period | 815,866 | 1,219,218 | 51,420 | 61,640 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 3,993,723 | 3,560,850 | 144,619 | 174,492 | ||||||||||||
Shares sold | 659,427 | 1,083,990 | — | — | ||||||||||||
Shares issued on reinvestment of distributions | 109,143 | 338,673 | 1,214 | 1,616 | ||||||||||||
Shares redeemed | (840,761 | ) | (989,790 | ) | (33,545 | ) | (31,489 | ) | ||||||||
Shares outstanding, end of period | 3,921,532 | 3,993,723 | 112,288 | 144,619 |
The accompanying notes are an integral part of these financial statements. |
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Table of Contents
Statements of Changes in Net Assets | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 4,143 | $ | (19,579 | ) | $ | 672,044 | $ | 1,295,926 | |||||||
Net realized gain (loss) | (56,084 | ) | (235,992 | ) | (9,466,860 | ) | (3,361,857 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (386,589 | ) | 354,742 | 1,693,118 | (2,523,719 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (438,530 | ) | 99,171 | (7,101,698 | ) | (4,589,650 | ) | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||||||||||
Distributable earnings | ||||||||||||||||
Class I | — | (12,632 | ) | (1,135,762 | ) | (179,771 | ) | |||||||||
Class N | — | (3,898 | ) | (152,621 | ) | (62,248 | ) | |||||||||
Class R6 | — | (13,750 | ) | (2,908 | ) | (22,470 | ) | |||||||||
Total | — | (30,280 | ) | (1,291,291 | ) | (264,489 | ) | |||||||||
Return of capital: | ||||||||||||||||
Class I | — | (1,266 | ) | — | — | |||||||||||
Class N | — | (500 | ) | — | — | |||||||||||
Class R6 | — | (1,160 | ) | — | — | |||||||||||
Total | — | (2,926 | ) | — | — | |||||||||||
Total distributions | — | (33,206 | ) | (1,291,291 | ) | (264,489 | ) | |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold | 332,801 | 714,894 | 11,497,897 | 59,836,354 | ||||||||||||
Reinvestment of distributions | — | 13,898 | 1,135,527 | 179,771 | ||||||||||||
Cost of shares redeemed | (726,157 | ) | (737,762 | ) | (37,992,328 | ) | (8,145,103 | ) | ||||||||
Net increase (decrease) from capital transactions | (393,356 | ) | (8,970 | ) | (25,358,904 | ) | 51,871,022 | |||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold | — | 208 | 290,115 | 13,627,325 | ||||||||||||
Reinvestment of distributions | — | 4,398 | 152,424 | 62,248 | ||||||||||||
Cost of shares redeemed | (39,704 | ) | (8,008 | ) | (11,538,273 | ) | (1,377,377 | ) | ||||||||
Net increase (decrease) from capital transactions | (39,704 | ) | (3,402 | ) | (11,095,734 | ) | 12,312,196 | |||||||||
CLASS R6 | ||||||||||||||||
Proceeds from shares sold | — | 20,000 | 30,168 | 1,012,141 | ||||||||||||
Reinvestment of distributions | — | 14,910 | 2,907 | 22,470 | ||||||||||||
Cost of shares redeemed | (131,524 | ) | (56,998 | ) | (1,726,223 | ) | (1,560,366 | ) | ||||||||
Net increase (decrease) from capital transactions | (131,524 | ) | (22,088 | ) | (1,693,148 | ) | (525,755 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital transactions | (564,584 | ) | (34,460 | ) | (38,147,786 | ) | 63,657,463 | |||||||||
Total increase (decrease) in net assets | (1,003,114 | ) | 31,505 | (46,540,775 | ) | 58,803,324 | ||||||||||
NET ASSETS: |
| |||||||||||||||
Beginning of period | 3,296,355 | 3,264,850 | 70,581,039 | 11,777,715 | ||||||||||||
End of period | $ | 2,293,241 | $ | 3,296,355 | $ | 24,040,264 | $ | 70,581,039 | ||||||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 224) |
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Statements of Changes in Net Assets | September 30, 2019 |
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | |||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||||||||||
CLASS I |
| |||||||||||||||
Shares outstanding, beginning of period | 130,496 | 130,756 | 4,512,297 | 559,080 | ||||||||||||
Shares sold | 35,200 | 69,373 | 1,067,442 | 4,587,751 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,323 | 111,875 | 13,957 | ||||||||||||
Shares redeemed | (80,131 | ) | (70,956 | ) | (3,518,508 | ) | (648,491 | ) | ||||||||
Shares outstanding, end of period | 85,565 | 130,496 | 2,173,106 | 4,512,297 | ||||||||||||
CLASS N |
| |||||||||||||||
Shares outstanding, beginning of period | 55,474 | 55,789 | 1,104,502 | 156,150 | ||||||||||||
Shares sold | — | 19 | 25,231 | 1,051,980 | ||||||||||||
Shares issued on reinvestment of distributions | — | 419 | 14,988 | 4,844 | ||||||||||||
Shares redeemed | (4,238 | ) | (753 | ) | (1,078,877 | ) | (108,472 | ) | ||||||||
Shares outstanding, end of period | 51,236 | 55,474 | 65,844 | 1,104,502 | ||||||||||||
CLASS R6 |
| |||||||||||||||
Shares outstanding, beginning of period | 126,690 | 129,090 | 162,897 | 207,857 | ||||||||||||
Shares sold | — | 1,907 | 2,716 | 78,149 | ||||||||||||
Shares issued on reinvestment of distributions | — | 1,420 | 286 | 1,745 | ||||||||||||
Shares redeemed | (14,980 | ) | (5,727 | ) | (158,650 | ) | (124,854 | ) | ||||||||
Shares outstanding, end of period | 111,710 | 126,690 | 7,249 | 162,897 |
The accompanying notes are an integral part of these financial statements. |
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Statements of Changes in Net Assets | September 30, 2019 |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | ||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||
OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 137,095 | $ | 414,395 | ||||
Net realized gain (loss) | (4,416,463 | ) | (3,254,355 | ) | ||||
Net change in unrealized appreciation (depreciation) | 574,135 | (1,513,596 | ) | |||||
Net increase (decrease) in net assets resulting from operations | (3,705,233 | ) | (4,353,556 | ) | ||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class I | (179,906 | ) | (84,119 | ) | ||||
Class N | (58,165 | ) | (19,157 | ) | ||||
Class R6 | (63,380 | ) | (241,766 | ) | ||||
Total distributions | (301,451 | ) | (345,042 | ) | ||||
CAPITAL TRANSACTIONS: |
| |||||||
CLASS I | ||||||||
Proceeds from shares sold | 1,574,994 | 23,216,965 | ||||||
Reinvestment of distributions | 179,906 | 82,736 | ||||||
Cost of shares redeemed | (16,451,256 | ) | (4,717,912 | ) | ||||
Net increase (decrease) from capital transactions | (14,696,356 | ) | 18,581,789 | |||||
CLASS N | ||||||||
Proceeds from shares sold | 127,199 | 11,184,219 | ||||||
Reinvestment of distributions | 58,165 | 19,157 | ||||||
Cost of shares redeemed | (8,860,178 | ) | (1,399,406 | ) | ||||
Net increase (decrease) from capital transactions | (8,674,814 | ) | 9,803,970 | |||||
CLASS R6 | ||||||||
Proceeds from shares sold | 3,679 | 511,840 | ||||||
Reinvestment of distributions | 63,380 | 241,766 | ||||||
Cost of shares redeemed | (2,508,523 | ) | (12,023,206 | ) | ||||
Net increase (decrease) from capital transactions | (2,441,464 | ) | (11,269,600 | ) | ||||
Net increase (decrease) in net assets resulting from capital transactions | (25,812,634 | ) | 17,116,159 | |||||
Total increase (decrease) in net assets | (29,819,318 | ) | 12,417,561 | |||||
NET ASSETS: |
| |||||||
Beginning of period | 37,369,170 | 24,951,609 | ||||||
End of period | $ | 7,549,852 | $ | 37,369,170 | ||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 226) |
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AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | ||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE YEAR ENDED SEPTEMBER 30, 2018 | |||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||
CLASS I |
| |||||||
Shares outstanding, beginning of period | 1,703,182 | 406,006 | ||||||
Shares sold | 137,572 | 1,651,223 | ||||||
Shares issued on reinvestment of distributions | 17,216 | 6,249 | ||||||
Shares redeemed | (1,470,446 | ) | (360,296 | ) | ||||
Shares outstanding, end of period | 387,524 | 1,703,182 | ||||||
CLASS N |
| |||||||
Shares outstanding, beginning of period | 841,893 | 154,227 | ||||||
Shares sold | 11,006 | 791,443 | ||||||
Shares issued on reinvestment of distributions | 5,555 | 1,448 | ||||||
Shares redeemed | (804,263 | ) | (105,225 | ) | ||||
Shares outstanding, end of period | 54,191 | 841,893 | ||||||
CLASS R6 |
| |||||||
Shares outstanding, beginning of period | 478,572 | 1,405,781 | ||||||
Shares sold | 313 | 37,048 | ||||||
Shares issued on reinvestment of distributions | 6,071 | 18,260 | ||||||
Shares redeemed | (218,682 | ) | (982,517 | ) | ||||
Shares outstanding, end of period | 266,274 | 478,572 |
The accompanying notes are an integral part of these financial statements. |
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Statements of Cash Flows | September 30, 2019 |
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | ||||||||||
CASH FLOWS FROM (USED IN) OPERATING ACTIVITIES: | ||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | (694,504 | ) | $ | (438,530 | ) | $ | (7,101,698 | ) | |||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||||||||||
Payments to purchase securities | (15,238,287 | ) | (2,231,029 | ) | (33,851,992 | ) | ||||||
Payments to cover short positions in securities | (8,178,997 | ) | (1,082,725 | ) | (23,752,456 | ) | ||||||
Proceeds from sale of securities | 20,593,990 | 3,131,581 | 81,849,445 | |||||||||
Proceeds from short positions in securities | 7,006,871 | 870,449 | 12,538,841 | |||||||||
(Purchases) sales of short-term investments, net | 130,207 | 4,460 | 1,621,625 | |||||||||
Realized (gain) loss on investments in securities | 219,719 | 107,820 | 11,534,802 | |||||||||
Realized (gain) loss on short positions in securities | 228,367 | (51,736 | ) | (2,186,849 | ) | |||||||
Change in unrealized (appreciation) depreciation on investments in securities | 1,055,502 | 511,059 | (1,438,585 | ) | ||||||||
Change in unrealized (appreciation) depreciation on short positions in securities | (682,784 | ) | (124,470 | ) | (272,890 | ) | ||||||
(Increases) decreases in operating assets: | ||||||||||||
Deposits with brokers for futures contracts | — | — | 64,353 | |||||||||
Variation margin on futures contracts | — | — | (1,493 | ) | ||||||||
Foreign tax reclaim | — | — | (24,451 | ) | ||||||||
Dividends | 1,319 | (171 | ) | 145,010 | ||||||||
Due from Investment Adviser | (3,960 | ) | (6,687 | ) | — | |||||||
Prepaid expenses | (1,294 | ) | (1,282 | ) | (1,485 | ) | ||||||
Increases (decreases) in operating liabilities | ||||||||||||
Variation margin on futures contracts | — | — | (12,364 | ) | ||||||||
Accrued investment advisory fees | (5,549 | ) | — | (25,911 | ) | |||||||
Accrued distribution fees—Class N | (29 | ) | (24 | ) | (2,577 | ) | ||||||
Dividends payable on securities sold short | (4,509 | ) | (1,225 | ) | (31,709 | ) | ||||||
Other accrued expenses and liabilities | (5,478 | ) | (4,428 | ) | (22,829 | ) | ||||||
Net cash provided by (used in) operating activities | $ | 4,420,584 | $ | 683,062 | $ | 39,026,787 | ||||||
CASH FLOWS FROM (USED IN) FINANCING ACTIVITIES | ||||||||||||
Proceeds from shares sold | 2,833,986 | 213,716 | 11,924,102 | |||||||||
Payments on shares redeemed | (7,506,155 | ) | (897,385 | ) | (51,307,662 | ) | ||||||
Cash distributions paid | — | — | (433 | ) | ||||||||
Due to custodian | 1,091 | 570 | 7,953 | |||||||||
Net cash provided by (used in) financing activities | $ | (4,671,078 | ) | $ | (683,099 | ) | $ | (39,376,040 | ) | |||
Net change in cash and cash denominated in foreign currencies | (250,494 | ) | (37 | ) | (349,253 | ) | ||||||
Cash, beginning of period | 250,494 | 37 | 458,464 | |||||||||
Cash, end of period** | $ | — | $ | — | $ | 109,211 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $28,654, $6,576 and $97,848.
Non-cash financing activities consist of reinvestment of distributions in the amount $141,038, $— and $1,290,858. |
** | The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities that sum to the total of the same such amounts disclosed in the Statement of Cash Flows: |
FUND | CASH | CASH DENOMINATED IN FOREIGN CURRENCIES | TOTAL CASH AND CASH DENOMINATED IN FOREIGN CURRENCIES | |||||||||
AQR International Relaxed Constraint Equity Fund | $ | — | $ | 109,211 | $ | 109,211 |
The accompanying notes are an integral part of these financial statements. |
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS I6 |
| |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $18.83 | 0.21 | 7 | (1.06 | ) | (0.85 | ) | (0.27 | ) | (0.87 | ) | — | (1.14 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $16.87 | 0.23 | 2.13 | 2.36 | (0.22 | ) | (0.18 | ) | — | (0.40 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $14.00 | 0.22 | 2.84 | 3.06 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $13.25 | 0.19 | 0.68 | 0.87 | (0.12 | ) | (0.00 | )8 | — | (0.12 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.36 | 0.16 | (0.15 | ) | 0.01 | (0.06 | ) | (0.06 | ) | — | (0.12 | ) | ||||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS N |
| |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $18.74 | 0.17 | 7 | (1.06 | ) | (0.89 | ) | (0.22 | ) | (0.87 | ) | — | (1.09 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $16.79 | 0.18 | 2.13 | 2.31 | (0.18 | ) | (0.18 | ) | — | (0.36 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.94 | 0.18 | 2.82 | 3.00 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $13.19 | 0.16 | 0.68 | 0.84 | (0.09 | ) | (0.00 | )8 | — | (0.09 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.33 | 0.13 | (0.16 | ) | (0.03 | ) | (0.05 | ) | (0.06 | ) | — | (0.11 | ) | |||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND CLASS R6 |
| |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $18.83 | 0.23 | 7 | (1.07 | ) | (0.84 | ) | (0.29 | ) | (0.87 | ) | — | (1.16 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $16.87 | 0.25 | 2.13 | 2.38 | (0.24 | ) | (0.18 | ) | — | (0.42 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $14.00 | 0.24 | 2.84 | 3.08 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $13.25 | 0.21 | 0.68 | 0.89 | (0.14 | ) | (0.00 | )8 | — | (0.14 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.36 | 0.18 | (0.17 | ) | 0.01 | (0.06 | ) | (0.06 | ) | — | (0.12 | ) | ||||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS I6 |
| |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $15.88 | 0.11 | 7 | (2.14 | ) | (2.03 | ) | (0.08 | ) | (1.44 | ) | — | (1.52 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $16.09 | 0.10 | 1.27 | 1.37 | (0.12 | ) | (1.46 | ) | — | (1.58 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.96 | 0.12 | 9 | 2.39 | 2.51 | (0.14 | ) | (0.24 | ) | — | (0.38 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $12.30 | 0.13 | 1.56 | 1.69 | (0.03 | ) | (0.00 | )8 | — | (0.03 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.34 | 0.12 | 10 | 0.02 | 11 | 0.14 | (0.03 | ) | (0.15 | ) | — | (0.18 | ) | |||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS N |
| |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $15.82 | 0.08 | 7 | (2.12 | ) | (2.04 | ) | (0.05 | ) | (1.44 | ) | — | (1.49 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $16.01 | 0.06 | 1.28 | 1.34 | (0.07 | ) | (1.46 | ) | — | (1.53 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.90 | 0.08 | 9 | 2.37 | 2.45 | (0.10 | ) | (0.24 | ) | — | (0.34 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $12.25 | 0.10 | 1.55 | 1.65 | (0.00 | )8 | (0.00 | )8 | — | — | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.30 | 0.09 | 10 | 0.01 | 11 | 0.10 | (0.00 | )8 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
AQR SMALL CAP MULTI-STYLE FUND CLASS R6 |
| |||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $15.91 | 0.13 | 7 | (2.15 | ) | (2.02 | ) | (0.10 | ) | (1.44 | ) | — | (1.54 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $16.11 | 0.11 | 1.29 | 1.40 | (0.14 | ) | (1.46 | ) | — | (1.60 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.98 | 0.13 | 9 | 2.39 | 2.52 | (0.15 | ) | (0.24 | ) | — | (0.39 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $12.31 | 0.16 | 1.55 | 1.71 | (0.04 | ) | (0.00 | )8 | — | (0.04 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.35 | 0.15 | 10 | 0.00 | 8,11 | 0.15 | (0.04 | ) | (0.15 | ) | — | (0.19 | ) |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$16.84 | (3.55 | )% | $361,920 | 0.44 | % | 0.44 | % | 0.44 | % | 1.29 | %7 | 55 | % | |||||||||||||||||||||
$18.83 | 14.11 | % | $507,109 | 0.44 | % | 0.44 | % | 0.44 | % | 1.28 | % | 64 | % | |||||||||||||||||||||
$16.87 | 22.01 | % | $457,339 | 0.45 | % | 0.44 | % | 0.44 | % | 1.46 | % | 61 | % | |||||||||||||||||||||
$14.00 | 6.61 | % | $627,269 | 0.46 | % | 0.45 | % | 0.45 | % | 1.43 | % | 80 | % | |||||||||||||||||||||
$13.25 | 0.03 | % | $490,709 | 0.54 | % | 0.49 | % | 0.49 | % | 1.17 | % | 59 | % | |||||||||||||||||||||
$16.76 | (3.84 | )% | $57,421 | 0.70 | % | 0.70 | % | 0.70 | % | 1.02 | %7 | 55 | % | |||||||||||||||||||||
$18.74 | 13.83 | % | $71,104 | 0.70 | % | 0.70 | % | 0.70 | % | 1.02 | % | 64 | % | |||||||||||||||||||||
$16.79 | 21.69 | % | $62,679 | 0.71 | % | 0.70 | % | 0.70 | % | 1.19 | % | 61 | % | |||||||||||||||||||||
$13.94 | 6.40 | % | $64,718 | 0.71 | % | 0.70 | % | 0.70 | % | 1.18 | % | 80 | % | |||||||||||||||||||||
$13.19 | (0.25 | )% | $59,733 | 0.79 | % | 0.74 | % | 0.74 | % | 0.93 | % | 59 | % | |||||||||||||||||||||
$16.83 | (3.50 | )% | $1,027,712 | 0.35 | % | 0.35 | % | 0.35 | % | 1.38 | %7 | 55 | % | |||||||||||||||||||||
$18.83 | 14.20 | % | $1,366,762 | 0.35 | % | 0.35 | % | 0.35 | % | 1.37 | % | 64 | % | |||||||||||||||||||||
$16.87 | 22.18 | % | $1,246,028 | 0.36 | % | 0.35 | % | 0.35 | % | 1.54 | % | 61 | % | |||||||||||||||||||||
$14.00 | 6.71 | % | $792,665 | 0.37 | % | 0.35 | % | 0.35 | % | 1.52 | % | 80 | % | |||||||||||||||||||||
$13.25 | 0.07 | % | $563,785 | 0.42 | % | 0.36 | % | 0.36 | % | 1.28 | % | 59 | % | |||||||||||||||||||||
$12.33 | (11.74 | )% | $42,197 | 0.66 | % | 0.64 | % | 0.64 | % | 0.92 | %7 | 70 | % | |||||||||||||||||||||
$15.88 | 9.18 | % | $61,690 | 0.66 | % | 0.65 | % | 0.64 | % | 0.63 | % | 64 | % | |||||||||||||||||||||
$16.09 | 18.12 | % | $55,115 | 0.69 | % | 0.65 | % | 0.65 | % | 0.79 | %9 | 61 | % | |||||||||||||||||||||
$13.96 | 13.74 | % | $45,483 | 0.75 | % | 0.65 | % | 0.65 | % | 1.00 | % | 96 | % | |||||||||||||||||||||
$12.30 | 1.02 | % | $26,634 | 1.17 | % | 0.68 | % | 0.68 | % | 0.88 | %10 | 228 | % | |||||||||||||||||||||
$12.29 | (11.94 | )% | $8,304 | 0.92 | % | 0.90 | % | 0.90 | % | 0.66 | %7 | 70 | % | |||||||||||||||||||||
$15.82 | 8.94 | % | $7,795 | 0.92 | % | 0.90 | % | 0.90 | % | 0.38 | % | 64 | % | |||||||||||||||||||||
$16.01 | 17.79 | % | $8,624 | 0.94 | % | 0.90 | % | 0.90 | % | 0.53 | %9 | 61 | % | |||||||||||||||||||||
$13.90 | 13.51 | % | $9,733 | 0.99 | % | 0.90 | % | 0.90 | % | 0.76 | % | 96 | % | |||||||||||||||||||||
$12.25 | 0.72 | % | $5,681 | 1.40 | % | 0.93 | % | 0.93 | % | 0.65 | %10 | 228 | % | |||||||||||||||||||||
$12.35 | (11.66 | )% | $501,656 | 0.57 | % | 0.55 | % | 0.55 | % | 1.02 | %7 | 70 | % | |||||||||||||||||||||
$15.91 | 9.34 | % | $675,945 | 0.57 | % | 0.55 | % | 0.55 | % | 0.73 | % | 64 | % | |||||||||||||||||||||
$16.11 | 18.17 | % | $733,984 | 0.59 | % | 0.55 | % | 0.55 | % | 0.89 | %9 | 61 | % | |||||||||||||||||||||
$13.98 | 13.90 | % | $687,986 | 0.62 | % | 0.55 | % | 0.55 | % | 1.23 | % | 96 | % | |||||||||||||||||||||
$12.31 | 1.06 | % | $9,494 | 0.96 | % | 0.55 | % | 0.55 | % | 1.17 | %10 | 228 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.76 | 0.28 | (0.60 | ) | (0.32 | ) | (0.38 | ) | — | — | (0.38 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.95 | 0.28 | (0.18 | ) | 0.10 | (0.29 | ) | — | — | (0.29 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.23 | 0.24 | 1.74 | 1.98 | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $10.21 | 0.26 | (0.09 | ) | 0.17 | (0.15 | ) | — | — | (0.15 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.47 | 0.27 | 10 | (1.26 | ) | (0.99 | ) | (0.19 | ) | (0.08 | ) | — | (0.27 | ) | ||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.73 | 0.24 | (0.59 | ) | (0.35 | ) | (0.35 | ) | — | — | (0.35 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.92 | 0.24 | (0.17 | ) | 0.07 | (0.26 | ) | — | — | (0.26 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.20 | 0.21 | 1.75 | 1.96 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $10.20 | 0.23 | (0.10 | ) | 0.13 | (0.13 | ) | — | — | (0.13 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.44 | 0.24 | 10 | (1.25 | ) | (1.01 | ) | (0.15 | ) | (0.08 | ) | — | (0.23 | ) | ||||||||||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.75 | 0.28 | (0.59 | ) | (0.31 | ) | (0.39 | ) | — | — | (0.39 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.94 | 0.29 | (0.18 | ) | 0.11 | (0.30 | ) | — | — | (0.30 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.22 | 0.26 | 1.73 | 1.99 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $10.20 | 0.25 | (0.07 | ) | 0.18 | (0.16 | ) | — | — | (0.16 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.47 | 0.30 | 10 | (1.28 | ) | (0.98 | ) | (0.21 | ) | (0.08 | ) | — | (0.29 | ) | ||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.17 | 0.24 | 7 | (0.72 | ) | (0.48 | ) | (0.22 | ) | — | — | (0.22 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $10.71 | 0.15 | (0.51 | ) | (0.36 | ) | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.95 | 0.18 | 1.75 | 1.93 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.19 | 0.15 | 0.81 | 0.96 | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $9.96 | 0.27 | (1.97 | ) | (1.70 | ) | (0.07 | ) | — | — | (0.07 | ) | ||||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.16 | 0.19 | 7 | (0.69 | ) | (0.50 | ) | (0.19 | ) | — | — | (0.19 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $10.68 | 0.16 | (0.53 | ) | (0.37 | ) | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.93 | 0.14 | 1.76 | 1.90 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.17 | 0.13 | 0.81 | 0.94 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $9.95 | 0.29 | (2.01 | ) | (1.72 | ) | (0.06 | ) | — | — | (0.06 | ) | ||||||||||||||||||||
AQR EMERGING MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.19 | 0.22 | 7 | (0.70 | ) | (0.48 | ) | (0.23 | ) | — | — | (0.23 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $10.72 | 0.22 | (0.56 | ) | (0.34 | ) | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.97 | 0.19 | 1.74 | 1.93 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.20 | 0.16 | 0.81 | 0.97 | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $9.96 | 0.45 | (2.14 | ) | (1.69 | ) | (0.07 | ) | — | — | (0.07 | ) |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$11.06 | (2.37 | )% | $50,189 | 0.67 | % | 0.60 | % | 0.60 | % | 2.56 | % | 57 | % | |||||||||||||||||||||
$11.76 | 0.81 | % | $82,661 | 0.64 | % | 0.60 | % | 0.60 | % | 2.36 | % | 61 | % | |||||||||||||||||||||
$11.95 | 19.91 | % | $76,307 | 0.65 | % | 0.60 | %12 | 0.60 | %12 | 2.26 | %13 | 55 | % | |||||||||||||||||||||
$10.23 | 1.62 | % | $68,288 | 0.68 | % | 0.59 | % | 0.59 | % | 2.62 | % | 106 | % | |||||||||||||||||||||
$10.21 | (8.78 | )% | $40,047 | 0.82 | % | 0.64 | % | 0.64 | % | 2.45 | %10 | 236 | % | |||||||||||||||||||||
$11.03 | (2.62 | )% | $4,261 | 0.92 | % | 0.85 | % | 0.85 | % | 2.25 | % | 57 | % | |||||||||||||||||||||
$11.73 | 0.51 | % | $6,892 | 0.89 | % | 0.85 | % | 0.85 | % | 2.04 | % | 61 | % | |||||||||||||||||||||
$11.92 | 19.69 | % | $8,836 | 0.91 | % | 0.85 | %12 | 0.85 | %12 | 1.95 | %13 | 55 | % | |||||||||||||||||||||
$10.20 | 1.28 | % | $8,491 | 0.93 | % | 0.85 | % | 0.85 | % | 2.32 | % | 106 | % | |||||||||||||||||||||
$10.20 | (8.92 | )% | $4,142 | 1.06 | % | 0.88 | % | 0.88 | % | 2.19 | %10 | 236 | % | |||||||||||||||||||||
$11.05 | (2.27 | )% | $217,891 | 0.57 | % | 0.50 | % | 0.50 | % | 2.54 | % | 57 | % | |||||||||||||||||||||
$11.75 | 0.90 | % | $329,854 | 0.54 | % | 0.50 | % | 0.50 | % | 2.44 | % | 61 | % | |||||||||||||||||||||
$11.94 | 20.04 | % | $385,126 | 0.56 | % | 0.50 | %12 | 0.50 | %12 | 2.41 | %13 | 55 | % | |||||||||||||||||||||
$10.22 | 1.71 | % | $301,294 | 0.59 | % | 0.50 | % | 0.50 | % | 2.52 | % | 106 | % | |||||||||||||||||||||
$10.20 | (8.68 | )% | $241,780 | 0.66 | % | 0.51 | % | 0.51 | % | 2.70 | %10 | 236 | % | |||||||||||||||||||||
$9.47 | (4.57 | )% | $47,542 | 0.86 | % | 0.74 | % | 0.74 | % | 2.53 | %7 | 66 | % | |||||||||||||||||||||
$10.17 | (3.48 | )% | $34,903 | 0.87 | % | 0.75 | % | 0.75 | % | 1.33 | % | 60 | % | |||||||||||||||||||||
$10.71 | 22.17 | % | $97,264 | 0.89 | % | 0.75 | % | 0.75 | % | 1.93 | % | 53 | % | |||||||||||||||||||||
$8.95 | 11.97 | % | $73,793 | 0.95 | % | 0.75 | % | 0.75 | % | 1.85 | % | 94 | % | |||||||||||||||||||||
$8.19 | (17.14 | )% | $48,992 | 1.39 | % | 0.79 | % | 0.79 | % | 2.79 | % | 317 | % | |||||||||||||||||||||
$9.47 | (4.81 | )% | $3,890 | 1.12 | % | 1.00 | % | 1.00 | % | 1.99 | %7 | 66 | % | |||||||||||||||||||||
$10.16 | (3.58 | )% | $5,311 | 1.12 | % | 1.00 | % | 1.00 | % | 1.42 | % | 60 | % | |||||||||||||||||||||
$10.68 | 21.82 | % | $6,726 | 1.14 | % | 1.00 | % | 1.00 | % | 1.54 | % | 53 | % | |||||||||||||||||||||
$8.93 | 11.72 | % | $7,600 | 1.20 | % | 1.00 | % | 1.00 | % | 1.64 | % | 94 | % | |||||||||||||||||||||
$8.17 | (17.34 | )% | $4,494 | 1.61 | % | 1.04 | % | 1.04 | % | 2.98 | % | 317 | % | |||||||||||||||||||||
$9.48 | (4.54 | )% | $176,355 | 0.77 | % | 0.65 | % | �� | 0.65 | % | 2.31 | %7 | 66 | % | ||||||||||||||||||||
$10.19 | (3.29 | )% | $268,403 | 0.77 | % | 0.65 | % | 0.65 | % | 2.02 | % | 60 | % | |||||||||||||||||||||
$10.72 | 22.13 | % | $222,511 | 0.79 | % | 0.65 | % | 0.65 | % | 2.01 | % | 53 | % | |||||||||||||||||||||
$8.97 | 12.13 | % | $184,112 | 0.85 | % | 0.65 | % | 0.65 | % | 1.96 | % | 94 | % | |||||||||||||||||||||
$8.20 | (17.06 | )% | $135,503 | 0.89 | % | 0.65 | % | 0.65 | % | 4.66 | % | 317 | % |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | September 30, 2019 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.73 | 0.16 | 7 | (0.62 | ) | (0.46 | ) | (0.17 | ) | — | — | (0.17 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.09 | 0.17 | 1.62 | 1.79 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.00 | 0.16 | 2.05 | 2.21 | (0.12 | ) | (0.00 | )8 | — | (0.12 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.42 | 0.15 | 0.49 | 0.64 | (0.05 | ) | (0.01 | ) | — | (0.06 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.08 | (0.66 | ) | (0.58 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.68 | 0.13 | 7 | (0.60 | ) | (0.47 | ) | (0.10 | ) | — | — | (0.10 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.05 | 0.14 | 1.61 | 1.75 | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.97 | 0.13 | 2.05 | 2.18 | (0.10 | ) | (0.00 | )8 | — | (0.10 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.40 | 0.13 | 0.48 | 0.61 | (0.03 | ) | (0.01 | ) | — | (0.04 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.06 | (0.66 | ) | (0.60 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.75 | 0.17 | 7 | (0.62 | ) | (0.45 | ) | (0.18 | ) | — | — | (0.18 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.10 | 0.18 | 1.63 | 1.81 | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.01 | 0.17 | 2.05 | 2.22 | (0.13 | ) | (0.00 | )8 | — | (0.13 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.42 | 0.16 | 0.49 | 0.65 | (0.05 | ) | (0.01 | ) | — | (0.06 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.08 | (0.66 | ) | (0.58 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.91 | 0.10 | 7 | (1.80 | ) | (1.70 | ) | (0.08 | ) | (0.42 | ) | — | (0.50 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.03 | 0.07 | 1.14 | 1.21 | (0.07 | ) | (0.26 | ) | — | (0.33 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.31 | 0.09 | 1.74 | 1.83 | (0.11 | ) | — | — | (0.11 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.21 | 0.12 | 16 | 1.04 | 1.16 | (0.06 | ) | — | — | (0.06 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.05 | (0.84 | ) | (0.79 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.86 | 0.07 | 7 | (1.78 | ) | (1.71 | ) | (0.03 | ) | (0.42 | ) | — | (0.45 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.98 | 0.04 | 1.14 | 1.18 | (0.04 | ) | (0.26 | ) | — | (0.30 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.28 | 0.05 | 1.74 | 1.79 | (0.09 | ) | — | — | (0.09 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.20 | 0.10 | 16 | 1.03 | 1.13 | (0.05 | ) | — | — | (0.05 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.04 | (0.84 | ) | (0.80 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.94 | 0.11 | 7 | (1.80 | ) | (1.69 | ) | (0.09 | ) | (0.42 | ) | — | (0.51 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.06 | 0.08 | 1.14 | 1.22 | (0.08 | ) | (0.26 | ) | — | (0.34 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.32 | 0.10 | 1.76 | 1.86 | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.22 | 0.12 | 16 | 1.04 | 1.16 | (0.06 | ) | — | — | (0.06 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.06 | (0.84 | ) | (0.78 | ) | — | — | — | — |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$13.10 | (3.17 | )% | $92,990 | 0.50 | % | 0.45 | % | 0.45 | % | 1.23 | %7 | 59 | % | |||||||||||||||||||||
$13.73 | 14.86 | % | $87,556 | 0.48 | % | 0.45 | % | 0.45 | % | 1.31 | % | 69 | % | |||||||||||||||||||||
$12.09 | 22.33 | % | $64,006 | 0.53 | % | 0.45 | % | 0.45 | % | 1.44 | % | 77 | % | |||||||||||||||||||||
$10.00 | 6.82 | % | $39,964 | 0.59 | %14 | 0.43 | % | 0.43 | % | 1.57 | % | 173 | % | |||||||||||||||||||||
$9.42 | (5.80 | )% | $2,087 | 1.66 | %14 | 0.46 | % | 0.46 | % | 1.20 | % | 207 | % | |||||||||||||||||||||
$13.11 | (3.34 | )% | $1,288 | 0.72 | % | 0.67 | % | 0.67 | % | 1.00 | %7 | 59 | % | |||||||||||||||||||||
$13.68 | 14.57 | % | $2,295 | 0.74 | % | 0.70 | % | 0.70 | % | 1.05 | % | 69 | % | |||||||||||||||||||||
$12.05 | 22.04 | % | $2,210 | 0.78 | % | 0.70 | % | 0.70 | % | 1.20 | % | 77 | % | |||||||||||||||||||||
$9.97 | 6.48 | % | $2,165 | 0.84 | %14 | 0.69 | % | 0.69 | % | 1.34 | % | 173 | % | |||||||||||||||||||||
$9.40 | (6.00 | )% | $135 | 2.48 | %14 | 0.70 | % | 0.70 | % | 0.99 | % | 207 | % | |||||||||||||||||||||
$13.12 | (3.06 | )% | $219,588 | 0.40 | % | 0.35 | % | 0.35 | % | 1.33 | %7 | 59 | % | |||||||||||||||||||||
$13.75 | 15.03 | % | $211,229 | 0.39 | % | 0.35 | % | 0.35 | % | 1.41 | % | 69 | % | |||||||||||||||||||||
$12.10 | 22.37 | % | $161,560 | 0.43 | % | 0.35 | % | 0.35 | % | 1.54 | % | 77 | % | |||||||||||||||||||||
$10.01 | 6.95 | % | $98,092 | 0.53 | %14 | 0.35 | % | 0.35 | % | 1.63 | % | 173 | % | |||||||||||||||||||||
$9.42 | (5.80 | )% | $26,703 | 1.41 | %14 | 0.36 | % | 0.36 | % | 1.33 | % | 207 | % | |||||||||||||||||||||
$10.71 | (12.76 | )% | $17,950 | 1.28 | % | 0.65 | % | 0.65 | % | 0.94 | %7 | 86 | % | |||||||||||||||||||||
$12.91 | 10.23 | % | $25,755 | 1.06 | % | 0.65 | % | 0.65 | % | 0.56 | % | 80 | % | |||||||||||||||||||||
$12.03 | 17.79 | % | $21,257 | 1.23 | % | 0.65 | % | 0.65 | % | 0.79 | % | 92 | % | |||||||||||||||||||||
$10.31 | 12.64 | % | $13,792 | 1.90 | %14 | 0.64 | % | 0.64 | % | 1.27 | %16 | 179 | % | |||||||||||||||||||||
$9.21 | (7.90 | )% | $1,702 | 5.66 | %14 | 0.65 | % | 0.65 | % | 0.77 | % | 98 | % | |||||||||||||||||||||
$10.70 | (12.92 | )% | $3,573 | 1.51 | % | 0.90 | % | 0.90 | % | 0.69 | %7 | 86 | % | |||||||||||||||||||||
$12.86 | 10.00 | % | $6,512 | 1.31 | % | 0.90 | % | 0.90 | % | 0.30 | % | 80 | % | |||||||||||||||||||||
$11.98 | 17.44 | % | $5,478 | 1.47 | % | 0.90 | % | 0.90 | % | 0.48 | % | 92 | % | |||||||||||||||||||||
$10.28 | 12.34 | % | $2,970 | 2.03 | %14 | 0.88 | % | 0.88 | % | 1.05 | %16 | 179 | % | |||||||||||||||||||||
$9.20 | (8.00 | )% | $128 | 6.53 | %14 | 0.92 | % | 0.92 | % | 0.59 | % | 98 | % | |||||||||||||||||||||
$10.74 | (12.60 | )% | $2,230 | 1.19 | % | 0.55 | % | 0.55 | % | 1.04 | %7 | 86 | % | |||||||||||||||||||||
$12.94 | 10.30 | % | $2,568 | 0.96 | % | 0.55 | % | 0.55 | % | 0.66 | % | 80 | % | |||||||||||||||||||||
$12.06 | 18.04 | % | $2,327 | 1.13 | % | 0.55 | % | 0.55 | % | 0.90 | % | 92 | % | |||||||||||||||||||||
$10.32 | 12.63 | % | $1,973 | 2.29 | %14 | 0.55 | % | 0.55 | % | 1.26 | %16 | 179 | % | |||||||||||||||||||||
$9.22 | (7.80 | )% | $1,660 | 6.28 | %14 | 0.57 | % | 0.57 | % | 0.96 | % | 98 | % |
The accompanying notes are an integral part of these financial statements. |
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.05 | 0.28 | (0.56 | ) | (0.28 | ) | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.16 | 0.25 | (0.09 | ) | 0.16 | (0.27 | ) | — | — | (0.27 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.44 | 0.23 | 1.68 | 1.91 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.40 | 0.24 | (0.08 | )11 | 0.16 | (0.12 | ) | — | — | (0.12 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.18 | (0.78 | ) | (0.60 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.01 | 0.25 | (0.55 | ) | (0.30 | ) | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.12 | 0.22 | (0.09 | ) | 0.13 | (0.24 | ) | — | — | (0.24 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.42 | 0.20 | 1.68 | 1.88 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.39 | 0.22 | (0.08 | )11 | 0.14 | (0.11 | ) | — | — | (0.11 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.15 | (0.76 | ) | (0.61 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.08 | 0.29 | (0.57 | ) | (0.28 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.18 | 0.26 | (0.08 | ) | 0.18 | (0.28 | ) | — | — | (0.28 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.45 | 0.24 | 1.69 | 1.93 | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.41 | 0.25 | (0.09 | )11 | 0.16 | (0.12 | ) | — | — | (0.12 | ) | |||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.18 | (0.77 | ) | (0.59 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.58 | 0.25 | (0.86 | ) | (0.61 | ) | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.12 | 0.23 | 17 | (0.59 | ) | (0.36 | ) | (0.18 | ) | — | — | (0.18 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.27 | 0.18 | 1.88 | 2.06 | (0.21 | ) | — | — | (0.21 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.31 | 0.17 | 0.82 | 0.99 | (0.03 | ) | — | — | (0.03 | ) | ||||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.21 | (1.90 | ) | (1.69 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.57 | 0.16 | (0.79 | ) | (0.63 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.12 | 0.19 | 17 | (0.59 | ) | (0.40 | ) | (0.15 | ) | — | — | (0.15 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.28 | 0.15 | 1.89 | 2.04 | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.30 | 0.17 | 0.81 | 0.98 | — | — | — | — | ||||||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.19 | (1.89 | ) | (1.70 | ) | — | — | — | — | ||||||||||||||||||||||
AQR TM EMERGING MULTI-STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.59 | 0.23 | (0.83 | ) | (0.60 | ) | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.13 | 0.24 | 17 | (0.59 | ) | (0.35 | ) | (0.19 | ) | — | — | (0.19 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.28 | 0.19 | 1.88 | 2.07 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.32 | 0.18 | 0.82 | 1.00 | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||||||||||
FOR THE PERIOD 2/11/1515—9/30/15 | $10.00 | 0.22 | (1.90 | ) | (1.68 | ) | — | — | — | — |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$10.54 | (2.30 | )% | $29,185 | 0.71 | % | 0.60 | % | 0.60 | % | 2.75 | % | 66 | % | |||||||||||||||||||||
$11.05 | 1.39 | % | $28,704 | 0.68 | % | 0.60 | % | 0.60 | % | 2.26 | % | 54 | % | |||||||||||||||||||||
$11.16 | 20.71 | % | $25,736 | 0.71 | % | 0.60 | % | 0.60 | % | 2.31 | % | 52 | % | |||||||||||||||||||||
$9.44 | 1.68 | % | $20,094 | 0.81 | %14 | 0.59 | % | 0.58 | % | 2.58 | % | 135 | % | |||||||||||||||||||||
$9.40 | (6.00 | )% | $3,213 | 1.42 | %14 | 0.61 | % | 0.61 | % | 2.85 | % | 172 | % | |||||||||||||||||||||
$10.52 | (2.51 | )% | $1,219 | 0.96 | % | 0.85 | % | 0.85 | % | 2.47 | % | 66 | % | |||||||||||||||||||||
$11.01 | 1.17 | % | $1,546 | 0.94 | % | 0.85 | % | 0.85 | % | 1.99 | % | 54 | % | |||||||||||||||||||||
$11.12 | 20.39 | % | $2,078 | 0.97 | % | 0.85 | % | 0.85 | % | 2.03 | % | 52 | % | |||||||||||||||||||||
$9.42 | 1.43 | % | $1,592 | 1.07 | %14 | 0.82 | % | 0.82 | % | 2.41 | % | 135 | % | |||||||||||||||||||||
$9.39 | (6.10 | )% | $143 | 2.65 | %14 | 0.81 | % | 0.81 | % | 2.28 | % | 172 | % | |||||||||||||||||||||
$10.56 | (2.27 | )% | $159,758 | 0.61 | % | 0.50 | % | 0.50 | % | 2.86 | % | 66 | % | |||||||||||||||||||||
$11.08 | 1.56 | % | $161,422 | 0.59 | % | 0.50 | % | 0.50 | % | 2.34 | % | 54 | % | |||||||||||||||||||||
$11.18 | 20.89 | % | $151,455 | 0.62 | % | 0.50 | % | 0.50 | % | 2.42 | % | 52 | % | |||||||||||||||||||||
$9.45 | 1.71 | % | $116,641 | 0.72 | %14 | 0.50 | % | 0.50 | % | 2.73 | % | 135 | % | |||||||||||||||||||||
$9.41 | (5.90 | )% | $41,373 | 1.22 | %14 | 0.51 | % | 0.51 | % | 2.81 | % | 172 | % | |||||||||||||||||||||
$9.75 | (5.68 | )% | $36,722 | 0.84 | % | 0.75 | % | 0.75 | % | 2.51 | % | 62 | % | |||||||||||||||||||||
$10.58 | (3.35 | )% | $17,266 | 0.85 | % | 0.74 | % | 0.74 | % | 2.01 | %17 | 54 | % | |||||||||||||||||||||
$11.12 | 22.99 | % | $17,013 | 0.86 | % | 0.74 | % | 0.74 | % | 1.89 | % | 51 | % | |||||||||||||||||||||
$9.27 | 12.02 | % | $12,711 | 0.94 | %14 | 0.72 | % | 0.72 | % | 2.00 | % | 181 | % | |||||||||||||||||||||
$8.31 | (16.90 | )% | $2,986 | 2.66 | %14 | 0.77 | % | 0.77 | % | 3.46 | % | 173 | % | |||||||||||||||||||||
$9.77 | (5.92 | )% | $677 | 1.09 | % | 1.00 | % | 1.00 | % | 1.64 | % | 62 | % | |||||||||||||||||||||
$10.57 | (3.70 | )% | $1,675 | 1.11 | % | 1.00 | % | 1.00 | % | 1.63 | %17 | 54 | % | |||||||||||||||||||||
$11.12 | 22.64 | % | $2,301 | 1.12 | % | 1.00 | % | 1.00 | % | 1.58 | % | 51 | % | |||||||||||||||||||||
$9.28 | 11.81 | % | $2,163 | 1.20 | %14 | 0.95 | % | 0.95 | % | 2.01 | % | 181 | % | |||||||||||||||||||||
$8.30 | (17.00 | )% | $881 | 3.06 | %14 | 1.03 | % | 1.03 | % | 3.08 | % | 173 | % | |||||||||||||||||||||
$9.76 | (5.59 | )% | $305,195 | 0.74 | % | 0.65 | % | 0.65 | % | 2.32 | % | 62 | % | |||||||||||||||||||||
$10.59 | (3.27 | )% | $313,070 | 0.76 | % | 0.65 | % | 0.65 | % | 2.07 | %17 | 54 | % | |||||||||||||||||||||
$11.13 | 23.05 | % | $333,540 | 0.77 | % | 0.65 | % | 0.65 | % | 1.94 | % | 51 | % | |||||||||||||||||||||
$9.28 | 12.05 | % | $272,799 | 0.87 | %14 | 0.65 | % | 0.65 | % | 2.09 | % | 181 | % | |||||||||||||||||||||
$8.32 | (16.80 | )% | $15,381 | 2.46 | %14 | 0.67 | % | 0.67 | % | 3.66 | % | 173 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Financial Highlights | September 30, 2019 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $24.99 | 0.26 | 7 | (0.44 | ) | (0.18 | ) | (0.22 | ) | (2.02 | ) | — | (2.24 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $22.00 | 0.19 | 4.77 | 4.96 | (0.21 | ) | (1.76 | ) | — | (1.97 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $20.44 | 0.24 | 2.88 | 3.12 | (0.32 | ) | (1.24 | ) | — | (1.56 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $19.96 | 0.27 | 1.87 | 2.14 | (0.21 | ) | (1.45 | ) | — | (1.66 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.89 | 0.23 | (0.10 | ) | 0.13 | (0.14 | ) | (1.92 | ) | — | (2.06 | ) | ||||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $24.96 | 0.21 | 7 | (0.43 | ) | (0.22 | ) | (0.16 | ) | (2.02 | ) | — | (2.18 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $21.98 | 0.13 | 4.77 | 4.90 | (0.16 | ) | (1.76 | ) | — | (1.92 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $20.42 | 0.19 | 2.87 | 3.06 | (0.26 | ) | (1.24 | ) | — | (1.50 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $19.92 | 0.21 | 1.88 | 2.09 | (0.14 | ) | (1.45 | ) | — | (1.59 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.85 | 0.17 | (0.10 | ) | 0.07 | (0.08 | ) | (1.92 | ) | — | (2.00 | ) | ||||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $24.94 | 0.29 | 7 | (0.45 | ) | (0.16 | ) | (0.25 | ) | (2.02 | ) | — | (2.27 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $21.96 | 0.22 | 4.75 | 4.97 | (0.23 | ) | (1.76 | ) | — | (1.99 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $20.41 | 0.26 | 2.87 | 3.13 | (0.34 | ) | (1.24 | ) | — | (1.58 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $19.94 | 0.29 | 1.86 | 2.15 | (0.23 | ) | (1.45 | ) | — | (1.68 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.89 | 0.23 | (0.08 | ) | 0.15 | (0.18 | ) | (1.92 | ) | — | (2.10 | ) | ||||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $27.14 | 0.09 | 7 | (3.83 | ) | (3.74 | ) | (0.04 | ) | (4.70 | ) | — | (4.74 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $24.83 | 0.05 | 17 | 4.58 | 4.63 | (0.06 | ) | (2.26 | ) | — | (2.32 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $20.80 | 0.10 | 9 | 4.10 | 4.20 | (0.17 | ) | — | — | (0.17 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $19.10 | 0.15 | 1.79 | 1.94 | (0.16 | ) | (0.08 | ) | — | (0.24 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.09 | 0.15 | 10 | 0.26 | 11 | 0.41 | (0.04 | ) | (2.36 | ) | — | (2.40 | ) | |||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $27.14 | 0.05 | 7 | (3.83 | ) | (3.78 | ) | (0.00 | )8 | (4.70 | ) | — | (4.70 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $24.82 | (0.00 | )8,17 | 4.58 | 4.58 | — | (2.26 | ) | — | (2.26 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $20.68 | 0.05 | 9 | 4.09 | 4.14 | — | — | — | — | |||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $18.99 | 0.09 | 1.78 | 1.87 | (0.10 | ) | (0.08 | ) | — | (0.18 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.00 | 0.09 | 10 | 0.26 | 11 | 0.35 | — | (2.36 | ) | — | (2.36 | ) | ||||||||||||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $27.10 | 0.13 | 7 | (3.85 | ) | (3.72 | ) | (0.07 | ) | (4.70 | ) | — | (4.77 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $24.79 | 0.08 | 17 | 4.58 | 4.66 | (0.09 | ) | (2.26 | ) | — | (2.35 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $20.77 | 0.12 | 9 | 4.09 | 4.21 | (0.19 | ) | — | — | (0.19 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $19.09 | 0.13 | 1.81 | 1.94 | (0.18 | ) | (0.08 | ) | — | (0.26 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $21.10 | 0.13 | 10 | 0.29 | 11 | 0.42 | (0.07 | ) | (2.36 | ) | — | (2.43 | ) |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | September 30, 2019 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$22.57 | 1.38 | % | $678,252 | 0.41 | % | 0.40 | % | 0.40 | % | 1.21 | %7 | 61 | % | |||||||||||||||||||||
$24.99 | 23.94 | % | $986,458 | 0.40 | % | 0.39 | % | 0.39 | % | 0.84 | % | 66 | % | |||||||||||||||||||||
$22.00 | 16.37 | % | $869,688 | 0.41 | % | 0.40 | % | 0.40 | % | 1.19 | % | 88 | % | |||||||||||||||||||||
$20.44 | 11.12 | % | $820,914 | 0.42 | % | 0.40 | % | 0.40 | % | 1.34 | % | 77 | % | |||||||||||||||||||||
$19.96 | 0.18 | % | $874,115 | 0.50 | % | 0.45 | % | 0.45 | % | 1.06 | % | 90 | % | |||||||||||||||||||||
$22.56 | 1.14 | % | $67,654 | 0.66 | % | 0.65 | % | 0.65 | % | 0.97 | %7 | 61 | % | |||||||||||||||||||||
$24.96 | 23.61 | % | $77,381 | 0.65 | % | 0.65 | % | 0.65 | % | 0.58 | % | 66 | % | |||||||||||||||||||||
$21.98 | 16.07 | % | $59,044 | 0.66 | % | 0.65 | % | 0.65 | % | 0.94 | % | 88 | % | |||||||||||||||||||||
$20.42 | 10.89 | % | $57,644 | 0.66 | % | 0.65 | % | 0.65 | % | 1.08 | % | 77 | % | |||||||||||||||||||||
$19.92 | (0.10 | )% | $68,535 | 0.77 | % | 0.70 | % | 0.70 | % | 0.81 | % | 90 | % | |||||||||||||||||||||
$22.51 | 1.48 | % | $202,063 | 0.31 | % | 0.30 | % | 0.30 | % | 1.33 | %7 | 61 | % | |||||||||||||||||||||
$24.94 | 24.06 | % | $101,971 | 0.30 | % | 0.30 | % | 0.30 | % | 0.93 | % | 66 | % | |||||||||||||||||||||
$21.96 | 16.47 | % | $65,920 | 0.31 | % | 0.30 | % | 0.30 | % | 1.28 | % | 88 | % | |||||||||||||||||||||
$20.41 | 11.23 | % | $59,108 | 0.32 | % | 0.30 | % | 0.30 | % | 1.45 | % | 77 | % | |||||||||||||||||||||
$19.94 | 0.28 | % | $62,973 | 0.36 | % | 0.31 | % | 0.31 | % | 1.09 | % | 90 | % | |||||||||||||||||||||
$18.66 | (10.90 | )% | $201,555 | 0.66 | % | 0.60 | % | 0.60 | % | 0.46 | %7 | 79 | % | |||||||||||||||||||||
$27.14 | 20.11 | % | $346,665 | 0.63 | % | 0.60 | % | 0.60 | % | 0.21 | %17 | 73 | % | |||||||||||||||||||||
$24.83 | 20.30 | % | $359,470 | 0.64 | % | 0.60 | % | 0.60 | % | 0.46 | %9 | 86 | % | |||||||||||||||||||||
$20.80 | 10.24 | % | $317,154 | 0.65 | % | 0.60 | % | 0.60 | % | 0.77 | % | 85 | % | |||||||||||||||||||||
$19.10 | 1.17 | % | $316,232 | 0.68 | % | 0.63 | % | 0.62 | % | 0.69 | %10 | 86 | % | |||||||||||||||||||||
$18.66 | (11.09 | )% | $4,395 | 0.91 | % | 0.85 | % | 0.85 | % | 0.28 | %7 | 79 | % | |||||||||||||||||||||
$27.14 | 19.84 | % | $2,835 | 0.85 | % | 0.83 | % | 0.83 | % | (0.02 | )%17 | 73 | % | |||||||||||||||||||||
$24.82 | 20.02 | % | $1,720 | 0.86 | % | 0.82 | % | 0.82 | % | 0.24 | %9 | 86 | % | |||||||||||||||||||||
$20.68 | 9.96 | % | $1,574 | 0.91 | % | 0.84 | % | 0.84 | % | 0.47 | % | 85 | % | |||||||||||||||||||||
$18.99 | 0.89 | % | $8,195 | 0.94 | % | 0.88 | % | 0.87 | % | 0.43 | %10 | 86 | % | |||||||||||||||||||||
$18.61 | (10.80 | )% | $54,417 | 0.56 | % | 0.50 | % | 0.50 | % | 0.67 | %7 | 79 | % | |||||||||||||||||||||
$27.10 | 20.26 | % | $21,162 | 0.53 | % | 0.50 | % | 0.50 | % | 0.31 | %17 | 73 | % | |||||||||||||||||||||
$24.79 | 20.39 | % | $11,914 | 0.54 | % | 0.50 | % | 0.50 | % | 0.54 | %9 | 86 | % | |||||||||||||||||||||
$20.77 | 10.30 | % | $8,490 | 0.56 | % | 0.50 | % | 0.50 | % | 0.69 | % | 85 | % | |||||||||||||||||||||
$19.09 | 1.25 | % | $77,416 | 0.59 | % | 0.50 | % | 0.50 | % | 0.62 | %10 | 86 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $15.82 | 0.31 | (0.87 | ) | (0.56 | ) | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $15.50 | 0.29 | 0.37 | 0.66 | (0.34 | ) | — | — | (0.34 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.86 | 0.31 | 1.65 | 1.96 | (0.32 | ) | — | — | (0.32 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $13.24 | 0.25 | 0.59 | 0.84 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.95 | 0.28 | (1.51 | ) | (1.23 | ) | (0.31 | ) | (0.17 | ) | — | (0.48 | ) | |||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $15.77 | 0.27 | (0.86 | ) | (0.59 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $15.46 | 0.26 | 0.36 | 0.62 | (0.31 | ) | — | — | (0.31 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.82 | 0.28 | 1.65 | 1.93 | (0.29 | ) | — | — | (0.29 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $13.19 | 0.21 | 0.60 | 0.81 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.89 | 0.25 | (1.51 | ) | (1.26 | ) | (0.27 | ) | (0.17 | ) | — | (0.44 | ) | |||||||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $15.80 | 0.33 | (0.87 | ) | (0.54 | ) | (0.30 | ) | — | — | (0.30 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $15.49 | 0.32 | 0.35 | 0.67 | (0.36 | ) | — | — | (0.36 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $13.85 | 0.33 | 1.65 | 1.98 | (0.34 | ) | — | — | (0.34 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $13.23 | 0.27 | 0.59 | 0.86 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.94 | 0.33 | (1.53 | ) | (1.20 | ) | (0.34 | ) | (0.17 | ) | — | (0.51 | ) | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $24.08 | 0.27 | (0.29 | ) | (0.02 | ) | (0.20 | ) | — | — | (0.20 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $19.43 | 0.18 | 4.63 | 4.81 | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $16.97 | 0.20 | 2.51 | 2.71 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $15.54 | 0.23 | 16 | 1.35 | 1.58 | (0.15 | ) | — | — | (0.15 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $15.90 | 0.18 | (0.19 | ) | (0.01 | ) | (0.08 | ) | (0.27 | ) | — | (0.35 | ) | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $23.94 | 0.20 | (0.28 | ) | (0.08 | ) | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $19.36 | 0.12 | 4.61 | 4.73 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $16.92 | 0.15 | 2.51 | 2.66 | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $15.50 | 0.20 | 16 | 1.36 | 1.56 | (0.14 | ) | — | — | (0.14 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $15.86 | 0.15 | (0.20 | ) | (0.05 | ) | (0.04 | ) | (0.27 | ) | — | (0.31 | ) | |||||||||||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $24.06 | 0.29 | (0.30 | ) | (0.01 | ) | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $19.41 | 0.20 | 4.63 | 4.83 | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $16.95 | 0.22 | 2.51 | 2.73 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $15.54 | 0.24 | 16 | 1.36 | 1.60 | (0.19 | ) | — | — | (0.19 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $15.90 | 0.19 | (0.19 | ) | 0.00 | 8 | (0.09 | ) | (0.27 | ) | — | (0.36 | ) |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$14.98 | (3.26 | )% | $270,031 | 0.61 | % | 0.55 | % | 0.55 | % | 2.12 | % | 70 | % | |||||||||||||||||||||
$15.82 | 4.31 | % | $348,643 | 0.60 | % | 0.55 | % | 0.55 | % | 1.84 | % | 65 | % | |||||||||||||||||||||
$15.50 | 14.67 | % | $326,526 | 0.63 | % | 0.55 | %12 | 0.55 | %12 | 2.26 | %13 | 84 | % | |||||||||||||||||||||
$13.86 | 6.40 | % | $272,002 | 0.63 | % | 0.55 | % | 0.55 | % | 1.89 | % | 85 | % | |||||||||||||||||||||
$13.24 | (8.40 | )% | $257,299 | 0.68 | % | 0.60 | % | 0.60 | % | 1.95 | % | 112 | % | |||||||||||||||||||||
$14.94 | (3.51 | )% | $36,694 | 0.86 | % | 0.80 | % | 0.80 | % | 1.86 | % | 70 | % | |||||||||||||||||||||
$15.77 | 4.02 | % | $40,452 | 0.85 | % | 0.80 | % | 0.80 | % | 1.61 | % | 65 | % | |||||||||||||||||||||
$15.46 | 14.38 | % | $34,030 | 0.88 | % | 0.80 | %12 | 0.80 | %12 | 1.99 | %13 | 84 | % | |||||||||||||||||||||
$13.82 | 6.16 | % | $30,502 | 0.87 | % | 0.80 | % | 0.79 | % | 1.59 | % | 85 | % | |||||||||||||||||||||
$13.19 | (8.62 | )% | $35,343 | 0.94 | % | 0.85 | % | 0.85 | % | 1.71 | % | 112 | % | |||||||||||||||||||||
$14.96 | (3.15 | )% | $129,267 | 0.51 | % | 0.45 | % | 0.45 | % | 2.25 | % | 70 | % | |||||||||||||||||||||
$15.80 | 4.34 | % | $63,978 | 0.50 | % | 0.45 | % | 0.45 | % | 1.99 | % | 65 | % | |||||||||||||||||||||
$15.49 | 14.80 | % | $45,913 | 0.53 | % | 0.45 | %12 | 0.45 | %12 | 2.35 | %13 | 84 | % | |||||||||||||||||||||
$13.85 | 6.53 | % | $35,382 | 0.53 | % | 0.45 | % | 0.45 | % | 1.98 | % | 85 | % | |||||||||||||||||||||
$13.23 | (8.24 | )% | $31,058 | 0.55 | % | 0.46 | % | 0.46 | % | 2.31 | % | 112 | % | |||||||||||||||||||||
$23.86 | 0.08 | % | $120,655 | 0.46 | % | 0.40 | % | 0.40 | % | 1.18 | % | 60 | % | |||||||||||||||||||||
$24.08 | 24.87 | % | $112,851 | 0.45 | % | 0.40 | % | 0.40 | % | 0.82 | % | 50 | % | |||||||||||||||||||||
$19.43 | 16.16 | % | $87,151 | 0.48 | % | 0.40 | % | 0.40 | % | 1.14 | % | 57 | % | |||||||||||||||||||||
$16.97 | 10.22 | % | $67,397 | 0.49 | % | 0.40 | % | 0.40 | % | 1.39 | %16 | 49 | % | |||||||||||||||||||||
$15.54 | (0.16 | )% | $56,141 | 0.65 | % | 0.48 | % | 0.48 | % | 1.08 | % | 62 | % | |||||||||||||||||||||
$23.73 | (0.21 | )% | $5,875 | 0.71 | % | 0.65 | % | 0.65 | % | 0.92 | % | 60 | % | |||||||||||||||||||||
$23.94 | 24.53 | % | $13,548 | 0.70 | % | 0.65 | % | 0.65 | % | 0.57 | % | 50 | % | |||||||||||||||||||||
$19.36 | 15.89 | % | $8,524 | 0.70 | % | 0.65 | % | 0.65 | % | 0.78 | % | 57 | % | |||||||||||||||||||||
$16.92 | 10.11 | % | $161 | 0.65 | % | 0.56 | % | 0.56 | % | 1.22 | %16 | 49 | % | |||||||||||||||||||||
$15.50 | (0.39 | )% | $147 | 0.75 | % | 0.64 | % | 0.64 | % | 0.89 | % | 62 | % | |||||||||||||||||||||
$23.83 | 0.15 | % | $104,192 | 0.36 | % | 0.30 | % | 0.30 | % | 1.28 | % | 60 | % | |||||||||||||||||||||
$24.06 | 25.00 | % | $102,013 | 0.35 | % | 0.30 | % | 0.30 | % | 0.92 | % | 50 | % | |||||||||||||||||||||
$19.41 | 16.30 | % | $84,514 | 0.38 | % | 0.30 | % | 0.30 | % | 1.25 | % | 57 | % | |||||||||||||||||||||
$16.95 | 10.32 | % | $80,190 | 0.39 | % | 0.30 | % | 0.30 | % | 1.48 | %16 | 49 | % | |||||||||||||||||||||
$15.54 | (0.09 | )% | $70,197 | 0.43 | % | 0.31 | % | 0.31 | % | 1.15 | % | 62 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Financial Highlights | September 30, 2019 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $22.56 | 0.09 | 7 | (2.69 | ) | (2.60 | ) | (0.04 | ) | (1.59 | ) | — | (1.63 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $19.06 | 0.04 | 3.52 | 3.56 | (0.05 | ) | (0.01 | ) | — | (0.06 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $15.86 | 0.08 | 3.24 | 3.32 | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $14.51 | 0.12 | 1.33 | 1.45 | (0.10 | ) | — | — | (0.10 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.72 | 0.11 | 10 | 0.23 | 11 | 0.34 | (0.01 | ) | (0.54 | ) | — | (0.55 | ) | |||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $22.39 | 0.04 | 7 | (2.66 | ) | (2.62 | ) | — | (1.59 | ) | — | (1.59 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $18.96 | (0.01 | ) | 3.49 | 3.48 | (0.04 | ) | (0.01 | ) | — | (0.05 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $15.79 | 0.03 | 3.23 | 3.26 | (0.09 | ) | — | — | (0.09 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $14.44 | 0.10 | 1.33 | 1.43 | (0.08 | ) | — | — | (0.08 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.67 | 0.07 | 10 | 0.24 | 11 | 0.31 | — | (0.54 | ) | — | (0.54 | ) | ||||||||||||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $22.56 | 0.12 | 7 | (2.71 | ) | (2.59 | ) | (0.06 | ) | (1.59 | ) | — | (1.65 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $19.06 | 0.07 | 3.51 | 3.58 | (0.07 | ) | (0.01 | ) | — | (0.08 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $15.86 | 0.10 | 3.23 | 3.33 | (0.13 | ) | — | — | (0.13 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $14.50 | 0.14 | 1.34 | 1.48 | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.72 | 0.12 | 10 | 0.24 | 11 | 0.36 | (0.04 | ) | (0.54 | ) | — | (0.58 | ) | |||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.86 | 0.28 | (0.68 | ) | (0.40 | ) | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $13.70 | 0.27 | 0.13 | 0.40 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $12.27 | 0.27 | 1.45 | 1.72 | (0.29 | ) | — | — | (0.29 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $11.70 | 0.23 | 0.49 | 0.72 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.09 | 0.20 | (1.28 | ) | (1.08 | ) | (0.25 | ) | (0.06 | ) | — | (0.31 | ) | |||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.77 | 0.23 | (0.66 | ) | (0.43 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $13.63 | 0.24 | 0.13 | 0.37 | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $12.22 | 0.27 | 1.41 | 1.68 | (0.27 | ) | — | — | (0.27 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $11.68 | 0.19 | 0.51 | 0.70 | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.06 | 0.21 | (1.30 | ) | (1.09 | ) | (0.23 | ) | (0.06 | ) | — | (0.29 | ) | |||||||||||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.83 | 0.29 | (0.68 | ) | (0.39 | ) | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $13.67 | 0.27 | 0.14 | 0.41 | (0.25 | ) | — | — | (0.25 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $12.24 | 0.28 | 1.45 | 1.73 | (0.30 | ) | — | — | (0.30 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $11.70 | 0.23 | 0.50 | 0.73 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $13.09 | 0.31 | (1.37 | ) | (1.06 | ) | (0.27 | ) | (0.06 | ) | — | (0.33 | ) |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$18.33 | (10.23 | )% | $50,757 | 0.91 | % | 0.60 | % | 0.60 | % | 0.50 | %7 | 66 | % | |||||||||||||||||||||
$22.56 | 18.75 | % | $62,800 | 0.81 | % | 0.60 | % | 0.60 | % | 0.22 | % | 67 | % | |||||||||||||||||||||
$19.06 | 21.02 | % | $47,847 | 0.92 | % | 0.60 | % | 0.60 | % | 0.47 | % | 69 | % | |||||||||||||||||||||
$15.86 | 10.07 | % | $33,229 | 1.10 | % | 0.60 | % | 0.60 | % | 0.83 | % | 92 | % | |||||||||||||||||||||
$14.51 | 2.13 | % | $19,992 | 1.34 | % | 0.64 | % | 0.64 | % | 0.68 | %10 | 111 | % | |||||||||||||||||||||
$18.18 | (10.44 | )% | $2,905 | 1.14 | % | 0.83 | % | 0.83 | % | 0.24 | %7 | 66 | % | |||||||||||||||||||||
$22.39 | 18.43 | % | $5,720 | 1.06 | % | 0.85 | % | 0.85 | % | (0.04 | )% | 67 | % | |||||||||||||||||||||
$18.96 | 20.73 | % | $3,230 | 1.12 | % | 0.84 | % | 0.84 | % | 0.15 | % | 69 | % | |||||||||||||||||||||
$15.79 | 9.95 | % | $154 | 1.26 | % | 0.76 | % | 0.76 | % | 0.65 | % | 92 | % | |||||||||||||||||||||
$14.44 | 1.90 | % | $127 | 1.49 | % | 0.86 | % | 0.86 | % | 0.45 | %10 | 111 | % | |||||||||||||||||||||
$18.32 | (10.14 | )% | $302 | 0.81 | % | 0.50 | % | 0.50 | % | 0.64 | %7 | 66 | % | |||||||||||||||||||||
$22.56 | 18.85 | % | $228 | 0.71 | % | 0.50 | % | 0.50 | % | 0.32 | % | 67 | % | |||||||||||||||||||||
$19.06 | 21.11 | % | $200 | 0.83 | % | 0.50 | % | 0.50 | % | 0.58 | % | 69 | % | |||||||||||||||||||||
$15.86 | 10.24 | % | $166 | 1.00 | % | 0.50 | % | 0.50 | % | 0.92 | % | 92 | % | |||||||||||||||||||||
$14.50 | 2.23 | % | $97 | 1.24 | % | 0.54 | % | 0.54 | % | 0.77 | %10 | 111 | % | |||||||||||||||||||||
$13.20 | (2.58 | )% | $51,427 | 0.74 | % | 0.55 | % | 0.55 | % | 2.18 | % | 49 | % | |||||||||||||||||||||
$13.86 | 2.93 | % | $58,512 | 0.70 | % | 0.55 | % | 0.55 | % | 1.90 | % | 34 | % | |||||||||||||||||||||
$13.70 | 14.49 | % | $44,119 | 0.74 | % | 0.55 | %12 | 0.55 | %12 | 2.22 | %13 | 62 | % | |||||||||||||||||||||
$12.27 | 6.18 | % | $33,887 | 0.76 | % | 0.55 | % | 0.55 | % | 1.90 | % | 87 | % | |||||||||||||||||||||
$11.70 | (8.36 | )% | $23,699 | 0.94 | % | 0.65 | % | 0.65 | % | 1.57 | % | 147 | % | |||||||||||||||||||||
$13.10 | (2.89 | )% | $3,189 | 0.99 | % | 0.80 | % | 0.80 | % | 1.86 | % | 49 | % | |||||||||||||||||||||
$13.77 | 2.75 | % | $7,817 | 0.95 | % | 0.80 | % | 0.80 | % | 1.75 | % | 34 | % | |||||||||||||||||||||
$13.63 | 14.23 | % | $4,800 | 0.95 | % | 0.80 | %12 | 0.80 | %12 | 2.08 | %13 | 62 | % | |||||||||||||||||||||
$12.22 | 6.01 | % | $160 | 0.93 | % | 0.72 | % | 0.72 | % | 1.61 | % | 87 | % | |||||||||||||||||||||
$11.68 | (8.51 | )% | $103 | 1.03 | % | 0.79 | % | 0.78 | % | 1.69 | % | 147 | % | |||||||||||||||||||||
$13.16 | (2.54 | )% | $56,047 | 0.64 | % | 0.45 | % | 0.45 | % | 2.32 | % | 49 | % | |||||||||||||||||||||
$13.83 | 3.03 | % | $62,790 | 0.60 | % | 0.45 | % | 0.45 | % | 1.95 | % | 34 | % | |||||||||||||||||||||
$13.67 | 14.66 | % | $56,847 | 0.65 | % | 0.45 | %12 | 0.45 | %12 | 2.27 | %13 | 62 | % | |||||||||||||||||||||
$12.24 | 6.25 | % | $55,739 | 0.66 | % | 0.45 | % | 0.45 | % | 1.97 | % | 87 | % | |||||||||||||||||||||
$11.70 | (8.25 | )% | $48,003 | 0.70 | % | 0.46 | % | 0.46 | % | 2.40 | % | 147 | % |
The accompanying notes are an integral part of these financial statements. |
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $21.18 | 0.34 | 1.62 | 1.96 | (0.23 | ) | (0.08 | ) | — | (0.31 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $18.23 | 0.30 | 3.10 | 3.40 | (0.27 | ) | (0.18 | ) | — | (0.45 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $15.71 | 0.29 | 2.55 | 2.84 | (0.23 | ) | (0.09 | ) | — | (0.32 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $14.64 | 0.27 | 1.70 | 1.97 | (0.14 | ) | (0.76 | ) | — | (0.90 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.07 | 0.24 | 1.04 | 1.28 | (0.29 | ) | (0.42 | ) | — | (0.71 | ) | |||||||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $21.11 | 0.28 | 1.62 | 1.90 | (0.17 | ) | (0.08 | ) | — | (0.25 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $18.18 | 0.25 | 3.09 | 3.34 | (0.23 | ) | (0.18 | ) | — | (0.41 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $15.68 | 0.25 | 2.54 | 2.79 | (0.20 | ) | (0.09 | ) | — | (0.29 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $14.64 | 0.23 | 1.70 | 1.93 | (0.13 | ) | (0.76 | ) | — | (0.89 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.04 | 0.20 | 1.05 | 1.25 | (0.23 | ) | (0.42 | ) | — | (0.65 | ) | |||||||||||||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $21.15 | 0.35 | 1.63 | 1.98 | (0.24 | ) | (0.08 | ) | — | (0.32 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $18.21 | 0.32 | 3.09 | 3.41 | (0.29 | ) | (0.18 | ) | — | (0.47 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $15.69 | 0.30 | 2.55 | 2.85 | (0.24 | ) | (0.09 | ) | — | (0.33 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $14.62 | 0.29 | 1.69 | 1.98 | (0.15 | ) | (0.76 | ) | — | (0.91 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $14.07 | 0.26 | 1.03 | 1.29 | (0.32 | ) | (0.42 | ) | — | (0.74 | ) | |||||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.38 | 0.34 | (0.35 | ) | (0.01 | ) | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $13.27 | 0.32 | 17 | 0.10 | 0.42 | (0.29 | ) | (0.02 | ) | — | (0.31 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $12.10 | 0.30 | 9 | 1.04 | 1.34 | (0.17 | ) | — | — | (0.17 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $10.95 | 0.29 | 1.09 | 1.38 | (0.23 | ) | — | — | (0.23 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.37 | 0.28 | (1.10 | ) | (0.82 | ) | (0.32 | ) | (0.28 | ) | — | (0.60 | ) | |||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.71 | 0.33 | (0.36 | ) | (0.03 | ) | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $13.58 | 0.26 | 17 | 0.14 | 0.40 | (0.25 | ) | (0.02 | ) | — | (0.27 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $12.40 | 0.28 | 9 | 1.06 | 1.34 | (0.16 | ) | — | — | (0.16 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $11.20 | 0.30 | 1.09 | 1.39 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.35 | 0.23 | (1.10 | ) | (0.87 | ) | — | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $13.38 | 0.33 | (0.33 | ) | 0.00 | 8 | (0.29 | ) | — | — | (0.29 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $13.26 | 0.34 | 17 | 0.10 | 0.44 | (0.30 | ) | (0.02 | ) | — | (0.32 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $12.09 | 0.31 | 9 | 1.03 | 1.34 | (0.17 | ) | — | — | (0.17 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $10.94 | 0.36 | 1.03 | 1.39 | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $12.37 | 0.29 | (1.10 | ) | (0.81 | ) | (0.34 | ) | (0.28 | ) | — | (0.62 | ) |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$22.83 | 9.59 | % | $3,262,596 | 0.39 | % | 0.38 | % | 0.38 | % | 1.60 | % | 20 | % | |||||||||||||||||||||
$21.18 | 18.92 | % | $1,502,430 | 0.39 | % | 0.39 | % | 0.39 | % | 1.52 | % | 18 | % | |||||||||||||||||||||
$18.23 | 18.32 | % | $793,828 | 0.41 | % | 0.40 | % | 0.40 | % | 1.69 | % | 16 | % | |||||||||||||||||||||
$15.71 | 14.00 | % | $519,984 | 0.42 | % | 0.39 | % | 0.39 | % | 1.79 | % | 8 | % | |||||||||||||||||||||
$14.64 | 9.13 | % | $158,468 | 0.55 | % | 0.45 | % | 0.45 | % | 1.65 | % | 24 | % | |||||||||||||||||||||
$22.76 | 9.30 | % | $389,897 | 0.66 | % | 0.65 | % | 0.65 | % | 1.33 | % | 20 | % | |||||||||||||||||||||
$21.11 | 18.58 | % | $309,274 | 0.65 | % | 0.64 | % | 0.64 | % | 1.27 | % | 18 | % | |||||||||||||||||||||
$18.18 | 17.99 | % | $239,074 | 0.67 | % | 0.65 | % | 0.65 | % | 1.46 | % | 16 | % | |||||||||||||||||||||
$15.68 | 13.70 | % | $226,020 | 0.68 | % | 0.65 | % | 0.65 | % | 1.53 | % | 8 | % | |||||||||||||||||||||
$14.64 | 8.97 | % | $30,629 | 0.81 | % | 0.70 | % | 0.70 | % | 1.38 | % | 24 | % | |||||||||||||||||||||
$22.81 | 9.72 | % | $1,275,970 | 0.31 | % | 0.30 | % | 0.30 | % | 1.61 | % | 20 | % | |||||||||||||||||||||
$21.15 | 18.99 | % | $309,211 | 0.30 | % | 0.30 | % | 0.30 | % | 1.61 | % | 18 | % | |||||||||||||||||||||
$18.21 | 18.43 | % | $197,705 | 0.32 | % | 0.30 | % | 0.30 | % | 1.79 | % | 16 | % | |||||||||||||||||||||
$15.69 | 14.13 | % | $127,311 | 0.33 | % | 0.30 | % | 0.30 | % | 1.87 | % | 8 | % | |||||||||||||||||||||
$14.62 | 9.23 | % | $109 | 0.45 | % | 0.35 | % | 0.34 | % | 1.76 | % | 24 | % | |||||||||||||||||||||
$13.09 | 0.18 | % | $202,228 | 0.64 | % | 0.55 | % | 0.55 | % | 2.64 | % | 24 | % | |||||||||||||||||||||
$13.38 | 3.15 | % | $173,932 | 0.63 | % | 0.55 | % | 0.55 | % | 2.41 | %17 | 21 | % | |||||||||||||||||||||
$13.27 | 11.29 | % | $145,091 | 0.67 | % | 0.55 | %12 | 0.55 | %12 | 2.43 | %9,13 | 3 | % | |||||||||||||||||||||
$12.10 | 12.84 | % | $96,844 | 0.83 | % | 0.54 | % | 0.54 | % | 2.51 | % | 83 | % | |||||||||||||||||||||
$10.95 | (6.89 | )% | $34,191 | 1.11 | % | 0.60 | % | 0.60 | % | 2.40 | % | 47 | % | |||||||||||||||||||||
$13.52 | (0.10 | )% | $7,221 | 0.89 | % | 0.80 | % | 0.80 | % | 2.51 | % | 24 | % | |||||||||||||||||||||
$13.71 | 2.90 | % | $4,266 | 0.88 | % | 0.80 | % | 0.80 | % | 1.84 | %17 | 21 | % | |||||||||||||||||||||
$13.58 | 11.01 | % | $30,102 | 0.92 | % | 0.80 | %12 | 0.80 | %12 | 2.21 | %9,13 | 3 | % | |||||||||||||||||||||
$12.40 | 12.59 | % | $21,135 | 1.08 | % | 0.79 | % | 0.78 | % | 2.51 | % | 83 | % | |||||||||||||||||||||
$11.20 | (7.15 | )% | $141 | 1.43 | % | 0.86 | % | 0.86 | % | 1.94 | % | 47 | % | |||||||||||||||||||||
$13.09 | 0.26 | % | $31,493 | 0.54 | % | 0.45 | % | 0.45 | % | 2.58 | % | 24 | % | |||||||||||||||||||||
$13.38 | 3.32 | % | $28,741 | 0.53 | % | 0.45 | % | 0.45 | % | 2.54 | %17 | 21 | % | |||||||||||||||||||||
$13.26 | 11.38 | % | $19,716 | 0.57 | % | 0.45 | %12 | 0.45 | %12 | 2.57 | %9,13 | 3 | % | |||||||||||||||||||||
$12.09 | 12.95 | % | $14,668 | 0.67 | % | 0.45 | % | 0.45 | % | 3.06 | % | 83 | % | |||||||||||||||||||||
$10.94 | (6.78 | )% | $89 | 1.01 | % | 0.50 | % | 0.50 | % | 2.45 | % | 47 | % |
The accompanying notes are an integral part of these financial statements. |
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.64 | 0.20 | (0.59 | ) | (0.39 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $9.44 | 0.19 | 0.17 | 0.36 | (0.16 | ) | — | — | (0.16 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.80 | 0.17 | 0.61 | 0.78 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.21 | 0.16 | 0.69 | 0.85 | (0.26 | ) | — | — | (0.26 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.46 | 0.19 | (2.26 | ) | (2.07 | ) | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.86 | 0.18 | (0.60 | ) | (0.42 | ) | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $9.67 | 0.19 | 0.14 | 0.33 | (0.14 | ) | — | — | (0.14 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $9.00 | 0.20 | 0.59 | 0.79 | (0.12 | ) | — | — | (0.12 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.34 | 0.15 | 0.70 | 0.85 | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.45 | 0.12 | (2.23 | ) | (2.11 | ) | — | — | — | — | ||||||||||||||||||||||
AQR EMERGING DEFENSIVE STYLE FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.61 | 0.21 | (0.58 | ) | (0.37 | ) | (0.18 | ) | — | — | (0.18 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $9.42 | 0.19 | 0.17 | 0.36 | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.77 | 0.18 | 0.62 | 0.80 | (0.15 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $8.21 | 0.17 | 0.67 | 0.84 | (0.28 | ) | — | — | (0.28 | ) | ||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.46 | 0.21 | (2.27 | ) | (2.06 | ) | (0.19 | ) | — | — | (0.19 | ) | ||||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.11 | 0.15 | (0.72 | ) | (0.57 | ) | (0.13 | ) | (0.21 | ) | — | (0.34 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $8.89 | 0.13 | 0.54 | 0.67 | (0.08 | ) | (0.37 | ) | — | (0.45 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.12 | 0.11 | 1.43 | 1.54 | (0.18 | ) | (0.59 | ) | — | (0.77 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $7.80 | 0.10 | 0.76 | 0.86 | (0.12 | ) | (0.42 | ) | — | (0.54 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $8.91 | 0.12 | 10 | (0.23 | ) | (0.11 | ) | (0.15 | ) | (0.85 | ) | — | (1.00 | ) | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.06 | 0.13 | (0.73 | ) | (0.60 | ) | (0.13 | ) | (0.21 | ) | — | (0.34 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $8.84 | 0.09 | 0.55 | 0.64 | (0.05 | ) | (0.37 | ) | — | (0.42 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.07 | 0.09 | 1.43 | 1.52 | (0.16 | ) | (0.59 | ) | — | (0.75 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $7.73 | 0.10 | 0.72 | 0.82 | (0.06 | ) | (0.42 | ) | — | (0.48 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $8.85 | 0.10 | 10 | (0.23 | ) | (0.13 | ) | (0.14 | ) | (0.85 | ) | — | (0.99 | ) | ||||||||||||||||||
AQR GLOBAL EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.19 | 0.14 | (0.70 | ) | (0.56 | ) | (0.15 | ) | (0.21 | ) | — | (0.36 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $8.96 | 0.13 | 0.55 | 0.68 | (0.08 | ) | (0.37 | ) | — | (0.45 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $8.18 | 0.12 | 1.45 | 1.57 | (0.20 | ) | (0.59 | ) | — | (0.79 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $7.85 | 0.12 | 0.75 | 0.87 | (0.12 | ) | (0.42 | ) | — | (0.54 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $8.96 | 0.14 | 10 | (0.24 | ) | (0.10 | ) | (0.16 | ) | (0.85 | ) | — | (1.01 | ) |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$9.08 | (4.02 | )% | $75,352 | 0.97 | % | 0.70 | % | 0.70 | % | 2.18 | % | 30 | % | |||||||||||||||||||||
$9.64 | 3.77 | % | $76,491 | 0.97 | % | 0.70 | % | 0.70 | % | 1.94 | % | 16 | % | |||||||||||||||||||||
$9.44 | 9.17 | % | $62,261 | 1.07 | % | 0.70 | % | 0.70 | % | 1.99 | % | 17 | % | |||||||||||||||||||||
$8.80 | 10.73 | % | $49,612 | 1.15 | % | 0.68 | % | 0.68 | % | 1.90 | % | 23 | % | |||||||||||||||||||||
$8.21 | (20.07 | )% | $27,221 | 1.12 | % | 0.76 | % | 0.76 | % | 1.92 | % | 117 | % | |||||||||||||||||||||
$9.29 | (4.21 | )% | $6,721 | 1.22 | % | 0.95 | % | 0.95 | % | 1.92 | % | 30 | % | |||||||||||||||||||||
$9.86 | 3.39 | % | $9,977 | 1.22 | % | 0.95 | % | 0.95 | % | 1.95 | % | 16 | % | |||||||||||||||||||||
$9.67 | 9.04 | % | $4,922 | 1.28 | % | 0.93 | % | 0.93 | % | 2.21 | % | 17 | % | |||||||||||||||||||||
$9.00 | 10.42 | % | $207 | 1.38 | % | 0.91 | % | 0.91 | % | 1.79 | % | 23 | % | |||||||||||||||||||||
$8.34 | (20.19 | )% | $54 | 1.40 | % | 1.03 | % | 1.03 | % | 1.22 | % | 117 | % | |||||||||||||||||||||
$9.06 | (3.83 | )% | $190 | 0.87 | % | 0.60 | % | 0.60 | % | 2.27 | % | 30 | % | |||||||||||||||||||||
$9.61 | 3.76 | % | $198 | 0.87 | % | 0.60 | % | 0.60 | % | 1.94 | % | 16 | % | |||||||||||||||||||||
$9.42 | 9.40 | % | $208 | 0.97 | % | 0.60 | % | 0.60 | % | 2.02 | % | 17 | % | |||||||||||||||||||||
$8.77 | 10.67 | % | $190 | 1.05 | % | 0.60 | % | 0.60 | % | 2.06 | % | 23 | % | |||||||||||||||||||||
$8.21 | (19.96 | )% | $75 | 1.08 | % | 0.66 | % | 0.65 | % | 2.16 | % | 117 | % | |||||||||||||||||||||
$8.20 | (5.78 | )% | $187,408 | 0.81 | % | 0.80 | % | 0.80 | % | 1.82 | % | 122 | % | |||||||||||||||||||||
$9.11 | 7.65 | % | $198,954 | 0.82 | % | 0.80 | % | 0.80 | % | 1.42 | % | 87 | % | |||||||||||||||||||||
$8.89 | 20.70 | % | $41,551 | 0.89 | % | 0.82 | % | 0.82 | % | 1.37 | % | 88 | % | |||||||||||||||||||||
$8.12 | 11.33 | % | $33,013 | 0.96 | % | 0.89 | % | 0.89 | % | 1.36 | % | 78 | % | |||||||||||||||||||||
$7.80 | (1.64 | )% | $34,186 | 0.90 | % | 0.90 | % | 0.90 | % | 1.49 | %10 | 73 | % | |||||||||||||||||||||
$8.12 | (6.17 | )% | $4,573 | 1.06 | % | 1.05 | % | 1.05 | % | 1.59 | % | 122 | % | |||||||||||||||||||||
$9.06 | 7.36 | % | $2,120 | 1.07 | % | 1.05 | % | 1.05 | % | 1.02 | % | 87 | % | |||||||||||||||||||||
$8.84 | 20.57 | % | $2,254 | 1.14 | % | 1.07 | % | 1.07 | % | 1.09 | % | 88 | % | |||||||||||||||||||||
$8.07 | 10.93 | % | $1,712 | 1.20 | % | 1.13 | % | 1.12 | % | 1.28 | % | 78 | % | |||||||||||||||||||||
$7.73 | (1.86 | )% | $765 | 1.17 | % | 1.17 | % | 1.17 | % | 1.18 | %10 | 73 | % | |||||||||||||||||||||
$8.27 | (5.67 | )% | $106,872 | 0.72 | % | 0.70 | % | 0.70 | % | 1.72 | % | 122 | % | |||||||||||||||||||||
$9.19 | 7.74 | % | $173,425 | 0.72 | % | 0.70 | % | 0.70 | % | 1.39 | % | 87 | % | |||||||||||||||||||||
$8.96 | 20.98 | % | $146,167 | 0.77 | % | 0.70 | % | 0.70 | % | 1.48 | % | 88 | % | |||||||||||||||||||||
$8.18 | 11.33 | % | $106,573 | 0.77 | % | 0.70 | % | 0.70 | % | 1.59 | % | 78 | % | |||||||||||||||||||||
$7.85 | (1.47 | )% | $85,017 | 0.71 | % | 0.70 | % | 0.70 | % | 1.69 | %10 | 73 | % |
The accompanying notes are an integral part of these financial statements. |
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PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.49 | 0.23 | (0.97 | ) | (0.74 | ) | (0.17 | ) | (0.08 | ) | — | (0.25 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.66 | 0.22 | 17 | (0.32 | ) | (0.10 | ) | (0.25 | ) | (0.82 | ) | — | (1.07 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.17 | 0.20 | 1.73 | 1.93 | (0.30 | ) | (0.14 | ) | — | (0.44 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.61 | 0.21 | 0.67 | 0.88 | (0.20 | ) | (0.12 | ) | — | (0.32 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $10.99 | 0.21 | (0.71 | ) | (0.50 | ) | (0.33 | ) | (0.55 | ) | — | (0.88 | ) | |||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.74 | 0.22 | (0.99 | ) | (0.77 | ) | (0.14 | ) | (0.08 | ) | — | (0.22 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.88 | 0.21 | 17 | (0.33 | ) | (0.12 | ) | (0.20 | ) | (0.82 | ) | — | (1.02 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.35 | 0.18 | 1.77 | 1.95 | (0.28 | ) | (0.14 | ) | — | (0.42 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $9.77 | 0.19 | 0.68 | 0.87 | (0.17 | ) | (0.12 | ) | — | (0.29 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.15 | 0.17 | (0.70 | ) | (0.53 | ) | (0.30 | ) | (0.55 | ) | — | (0.85 | ) | |||||||||||||||||||
AQR INTERNATIONAL EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $11.20 | 0.26 | (1.04 | ) | (0.78 | ) | (0.18 | ) | (0.08 | ) | — | (0.26 | ) | |||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.39 | 0.24 | 17 | (0.35 | ) | (0.11 | ) | (0.26 | ) | (0.82 | ) | — | (1.08 | ) | ||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2017 | $10.77 | 0.27 | 1.81 | 2.08 | (0.32 | ) | (0.14 | ) | — | (0.46 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2016 | $10.16 | 0.16 | 0.77 | 0.93 | (0.20 | ) | (0.12 | ) | — | (0.32 | ) | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2015 | $11.56 | 0.18 | (0.68 | ) | (0.50 | ) | (0.35 | ) | (0.55 | ) | — | (0.90 | ) | |||||||||||||||||||
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.54 | 0.10 | (0.29 | ) | (0.19 | ) | (0.10 | ) | — | — | (0.10 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.30 | 0.11 | 1.24 | 1.35 | (0.11 | ) | — | — | (0.11 | ) | ||||||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.09 | 1.21 | 1.30 | — | — | — | — | ||||||||||||||||||||||||
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.54 | 0.08 | (0.28 | ) | (0.20 | ) | (0.08 | ) | — | — | (0.08 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.27 | 0.07 | 1.25 | 1.32 | (0.05 | ) | — | — | (0.05 | ) | ||||||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.06 | 1.21 | 1.27 | — | — | — | — | ||||||||||||||||||||||||
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.55 | 0.11 | (0.29 | ) | (0.18 | ) | (0.11 | ) | — | — | (0.11 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $11.30 | 0.12 | 1.24 | 1.36 | (0.11 | ) | — | — | (0.11 | ) | ||||||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.09 | 1.21 | 1.30 | — | — | — | — | ||||||||||||||||||||||||
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.54 | 0.01 | 7 | (1.32 | ) | (1.31 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $10.35 | (0.06 | ) | 0.36 | 0.30 | (0.10 | ) | — | (0.01 | ) | (0.11 | ) | ||||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | (0.01 | ) | 0.36 | 0.35 | — | — | — | — | |||||||||||||||||||||||
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.52 | (0.01 | )7 | (1.32 | ) | (1.33 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $10.32 | (0.08 | ) | 0.36 | 0.28 | (0.07 | ) | — | (0.01 | ) | (0.08 | ) | ||||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | (0.03 | ) | 0.35 | 0.32 | — | — | — | — | |||||||||||||||||||||||
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $10.55 | 0.02 | 7 | (1.33 | ) | (1.31 | ) | — | — | — | — | |||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $10.35 | (0.05 | ) | 0.36 | 0.31 | (0.10 | ) | — | (0.01 | ) | (0.11 | ) | ||||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | (0.00 | )8 | 0.35 | 0.35 | — | — | — | — |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | September 30, 2019 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$9.50 | (6.86 | )% | $191,080 | 0.88 | % | 0.84 | % | 0.84 | % | 2.43 | % | 91 | % | |||||||||||||||||||||
$10.49 | (1.24 | )% | $391,509 | 0.88 | % | 0.86 | % | 0.86 | % | 1.97 | %17 | 87 | % | |||||||||||||||||||||
$11.66 | 19.96 | % | $346,078 | 0.98 | % | 0.91 | %12 | 0.91 | %12 | 1.89 | %13 | 83 | % | |||||||||||||||||||||
$10.17 | 9.34 | % | $370,530 | 0.97 | % | 0.95 | % | 0.95 | % | 2.14 | % | 62 | % | |||||||||||||||||||||
$9.61 | (4.79 | )% | $320,807 | 0.92 | % | 0.92 | % | 0.92 | % | 1.98 | % | 84 | % | |||||||||||||||||||||
$9.75 | (7.03 | )% | $7,951 | 1.05 | % | 1.01 | % | 1.01 | % | 2.20 | % | 91 | % | |||||||||||||||||||||
$10.74 | (1.41 | )% | $13,090 | 1.10 | % | 1.09 | % | 1.09 | % | 1.85 | %17 | 87 | % | |||||||||||||||||||||
$11.88 | 19.68 | % | $14,873 | 1.24 | % | 1.16 | %12 | 1.16 | %12 | 1.71 | %13 | 83 | % | |||||||||||||||||||||
$10.35 | 9.04 | % | $37,297 | 1.20 | % | 1.18 | % | 1.18 | % | 1.89 | % | 62 | % | |||||||||||||||||||||
$9.77 | (4.99 | )% | $36,174 | 1.21 | % | 1.21 | % | 1.21 | % | 1.61 | % | 84 | % | |||||||||||||||||||||
$10.16 | (6.80 | )% | $39,853 | 0.80 | % | 0.76 | % | 0.76 | % | 2.56 | % | 91 | % | |||||||||||||||||||||
$11.20 | (1.23 | )% | $44,742 | 0.79 | % | 0.77 | % | 0.77 | % | 2.04 | %17 | 87 | % | |||||||||||||||||||||
$12.39 | 20.20 | % | $44,105 | 0.85 | % | 0.81 | %12 | 0.81 | %12 | 2.39 | %13 | 83 | % | |||||||||||||||||||||
$10.77 | 9.40 | % | $14,387 | 0.77 | % | 0.77 | % | 0.77 | % | 1.57 | % | 62 | % | |||||||||||||||||||||
$10.16 | (4.59 | )% | $32,648 | 0.75 | % | 0.75 | % | 0.75 | % | 1.61 | % | 84 | % | |||||||||||||||||||||
$12.25 | (1.36 | )% | $12,084 | 2.19 | % | 1.37 | % | 0.80 | % | 0.84 | % | 118 | % | |||||||||||||||||||||
$12.54 | 11.95 | % | $16,556 | 2.06 | %14 | 1.33 | % | 0.80 | % | 0.88 | % | 119 | % | |||||||||||||||||||||
$11.30 | 13.00 | % | $13,575 | 2.69 | %14 | 1.40 | % | 0.78 | % | 1.06 | % | 139 | % | |||||||||||||||||||||
$12.26 | (1.50 | )% | $631 | 2.35 | % | 1.52 | % | 0.95 | % | 0.68 | % | 118 | % | |||||||||||||||||||||
$12.54 | 11.72 | % | $773 | 2.30 | %14 | 1.56 | % | 1.03 | % | 0.60 | % | 119 | % | |||||||||||||||||||||
$11.27 | 12.70 | % | $1,016 | 4.22 | %14 | 1.65 | % | 1.03 | % | 0.72 | % | 139 | % | |||||||||||||||||||||
$12.26 | (1.24 | )% | $1,377 | 2.09 | % | 1.27 | % | 0.70 | % | 0.93 | % | 118 | % | |||||||||||||||||||||
$12.55 | 12.09 | % | $1,815 | 1.98 | %14 | 1.23 | % | 0.70 | % | 0.97 | % | 119 | % | |||||||||||||||||||||
$11.30 | 13.00 | % | $1,972 | 3.94 | %14 | 1.32 | % | 0.70 | % | 1.02 | % | 139 | % | |||||||||||||||||||||
$9.23 | (12.43 | )% | $790 | 7.09 | % | 1.33 | % | 0.90 | % | 0.20 | %7 | 108 | % | |||||||||||||||||||||
$10.54 | 2.86 | % | $1,376 | 5.29 | %14 | 1.70 | % | 0.98 | % | (0.57 | )% | 135 | % | |||||||||||||||||||||
$10.35 | 3.50 | % | $1,353 | 6.62 | %14 | 1.41 | % | 0.98 | % | (0.10 | )% | 124 | % | |||||||||||||||||||||
$9.19 | (12.64 | )% | $471 | 7.45 | % | 1.58 | % | 1.15 | % | (0.01 | )%7 | 108 | % | |||||||||||||||||||||
$10.52 | 2.70 | % | $584 | 5.58 | %14 | 1.94 | % | 1.22 | % | (0.81 | )% | 135 | % | |||||||||||||||||||||
$10.32 | 3.20 | % | $576 | 6.82 | %14 | 1.64 | % | 1.22 | % | (0.34 | )% | 124 | % | |||||||||||||||||||||
$9.24 | (12.42 | )% | $1,032 | 7.19 | % | 1.34 | % | 0.90 | % | 0.23 | %7 | 108 | % | |||||||||||||||||||||
$10.55 | 3.04 | % | $1,336 | 5.27 | %14 | 1.62 | % | 0.90 | % | (0.48 | )% | 135 | % | |||||||||||||||||||||
$10.35 | 3.50 | % | $1,336 | 6.53 | %14 | 1.33 | % | 0.90 | % | (0.02 | )% | 124 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
247
Table of Contents
Financial Highlights | September 30, 2019 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Return of Capital | Total Distributions | |||||||||||||||||||||||||
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.22 | 0.24 | (1.36 | ) | (1.12 | ) | (0.40 | ) | — | — | (0.40 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.76 | 0.31 | 17 | (0.75 | ) | (0.44 | ) | (0.09 | ) | (0.01 | ) | — | (0.10 | ) | ||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.21 | 2.55 | 2.76 | — | — | — | — | ||||||||||||||||||||||||
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.17 | 0.02 | (1.14 | ) | (1.12 | ) | (0.34 | ) | — | — | (0.34 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.73 | 0.26 | 17 | (0.73 | ) | (0.47 | ) | (0.08 | ) | (0.01 | ) | — | (0.09 | ) | ||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.18 | 2.55 | 2.73 | — | — | — | — | ||||||||||||||||||||||||
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.23 | 0.03 | (1.13 | ) | (1.10 | ) | (0.42 | ) | — | — | (0.42 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.77 | 0.22 | 17 | (0.66 | ) | (0.44 | ) | (0.09 | ) | (0.01 | ) | — | (0.10 | ) | ||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.21 | 2.56 | 2.77 | — | — | — | — | ||||||||||||||||||||||||
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.37 | 0.12 | (1.60 | ) | (1.48 | ) | (0.22 | ) | — | — | (0.22 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.69 | 0.17 | 17 | (0.32 | ) | (0.15 | ) | (0.11 | ) | (0.06 | ) | — | (0.17 | ) | ||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.08 | 2.61 | 2.69 | — | — | — | — | ||||||||||||||||||||||||
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.33 | 0.01 | (1.50 | ) | (1.49 | ) | (0.17 | ) | — | — | (0.17 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.66 | 0.15 | 17 | (0.34 | ) | (0.19 | ) | (0.08 | ) | (0.06 | ) | — | (0.14 | ) | ||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.07 | 2.59 | 2.66 | — | — | — | — | ||||||||||||||||||||||||
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS R6 | ||||||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $12.38 | 0.18 | (1.66 | ) | (1.48 | ) | (0.24 | ) | — | — | (0.24 | ) | ||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2018 | $12.70 | 0.09 | 17 | (0.23 | ) | (0.14 | ) | (0.12 | ) | (0.06 | ) | — | (0.18 | ) | ||||||||||||||||||
FOR THE PERIOD 12/14/1615—9/30/17 | $10.00 | 0.07 | 2.63 | 2.70 | — | — | — | — |
The accompanying notes are an integral part of these financial statements. |
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RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4 | Net Investment Income (Loss) | Portfolio Turnover Rate5 | |||||||||||||||||||||||||||
$10.70 | (8.95 | )% | $23,257 | 2.33 | % | 1.93 | % | 0.95 | % | 2.15 | % | 127 | % | |||||||||||||||||||||
$12.22 | (3.45 | )% | $55,144 | 2.12 | %14 | 1.94 | % | 0.95 | % | 2.44 | %17 | 106 | % | |||||||||||||||||||||
$12.76 | 27.60 | % | $7,136 | 3.81 | %14 | 1.88 | % | 0.94 | % | 2.28 | % | 162 | % | |||||||||||||||||||||
$10.71 | (9.05 | )% | $705 | 2.41 | % | 2.15 | % | 1.17 | % | 0.22 | % | 127 | % | |||||||||||||||||||||
$12.17 | (3.68 | )% | $13,444 | 2.38 | %14 | 2.19 | % | 1.20 | % | 2.00 | %17 | 106 | % | |||||||||||||||||||||
$12.73 | 27.30 | % | $1,988 | 4.19 | %14 | 2.12 | % | 1.18 | % | 1.98 | % | 162 | % | |||||||||||||||||||||
$10.71 | (8.83 | )% | $78 | 2.05 | % | 1.83 | % | 0.85 | % | 0.24 | % | 127 | % | |||||||||||||||||||||
$12.23 | (3.42 | )% | $1,993 | 2.16 | %14 | 1.84 | % | 0.85 | % | 1.72 | %17 | 106 | % | |||||||||||||||||||||
$12.77 | 27.70 | % | $2,654 | 4.18 | %14 | 1.79 | % | 0.85 | % | 2.36 | % | 162 | % | |||||||||||||||||||||
$10.67 | (11.89 | )% | $4,133 | 2.60 | % | 1.13 | % | 1.13 | % | 1.05 | % | 80 | % | |||||||||||||||||||||
$12.37 | (1.30 | )% | $21,063 | 1.57 | %14 | 1.15 | % | 1.15 | % | 1.24 | %17 | 168 | % | |||||||||||||||||||||
$12.69 | 26.90 | % | $5,151 | 3.82 | %14 | 1.14 | % | 1.14 | % | 0.89 | % | 114 | % | |||||||||||||||||||||
$10.67 | (12.05 | )% | $579 | 2.39 | % | 1.37 | % | 1.37 | % | 0.06 | % | 80 | % | |||||||||||||||||||||
$12.33 | (1.60 | )% | $10,383 | 1.81 | %14 | 1.40 | % | 1.40 | % | 1.13 | %17 | 168 | % | |||||||||||||||||||||
$12.66 | 26.60 | % | $1,953 | 4.16 | %14 | 1.38 | % | 1.38 | % | 0.77 | % | 114 | % | |||||||||||||||||||||
$10.66 | (11.88 | )% | $2,838 | 2.80 | % | 1.05 | % | 1.05 | % | 1.62 | % | 80 | % | |||||||||||||||||||||
$12.38 | (1.25 | )% | $5,923 | 1.49 | %14 | 1.05 | % | 1.05 | % | 0.67 | %17 | 168 | % | |||||||||||||||||||||
$12.70 | 27.00 | % | $17,848 | 3.66 | %14 | 1.05 | % | 1.05 | % | 0.71 | % | 114 | % |
The accompanying notes are an integral part of these financial statements. |
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* | Annualized for periods less than one year. |
1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
2 | 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 | 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. |
4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
5 | Portfolio turnover is not annualized. |
6 | Effective April 1, 2015 Class L shares were renamed Class I Shares. |
7 | For the period ended September 30, 2019 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Large Cap Multi-Style Fund—Class I | $0.19 | 1.18 | % | |||||
AQR Large Cap Multi-Style Fund—Class N | 0.15 | 0.90 | ||||||
AQR Large Cap Multi-Style Fund—Class R6 | 0.21 | 1.27 | ||||||
AQR Small Cap Multi-Style Fund—Class I | 0.09 | 0.77 | ||||||
AQR Small Cap Multi-Style Fund—Class N | 0.06 | 0.51 | ||||||
AQR Small Cap Multi-Style Fund—Class R6 | 0.11 | 0.87 | ||||||
AQR Emerging Multi-Style Fund—Class I | 0.21 | 2.22 | ||||||
AQR Emerging Multi-Style Fund—Class N | 0.16 | 1.69 | ||||||
AQR Emerging Multi-Style Fund—Class R6 | 0.19 | 2.01 | ||||||
AQR TM Large Cap Multi-Style Fund—Class I | 0.14 | 1.09 | ||||||
AQR TM Large Cap Multi-Style Fund—Class N | 0.11 | 0.86 | ||||||
AQR TM Large Cap Multi-Style Fund—Class R6 | 0.15 | 1.19 | ||||||
AQR TM Small Cap Multi-Style Fund—Class I | 0.07 | 0.69 | ||||||
AQR TM Small Cap Multi-Style Fund—Class N | 0.04 | 0.44 | ||||||
AQR TM Small Cap Multi-Style Fund—Class R6 | 0.08 | 0.79 | ||||||
AQR TM Emerging Multi-Style Fund—Class I | 0.23 | 2.28 | ||||||
AQR TM Emerging Multi-Style Fund—Class N | 0.14 | 1.41 | ||||||
AQR TM Emerging Multi-Style Fund—Class R6 | 0.21 | 2.09 | ||||||
AQR Large Cap Momentum Style Fund—Class I | 0.23 | 1.09 | ||||||
AQR Large Cap Momentum Style Fund—Class N | 0.18 | 0.85 | ||||||
AQR Large Cap Momentum Style Fund—Class R6 | 0.26 | 1.21 | ||||||
AQR Small Cap Momentum Style Fund—Class I | 0.07 | 0.34 | ||||||
AQR Small Cap Momentum Style Fund—Class N | 0.03 | 0.16 | ||||||
AQR Small Cap Momentum Style Fund—Class R6 | 0.11 | 0.55 | ||||||
AQR TM Small Cap Momentum Style Fund—Class I | 0.06 | 0.35 | ||||||
AQR TM Small Cap Momentum Style Fund—Class N | 0.01 | 0.09 | ||||||
AQR TM Small Cap Momentum Style Fund—Class R6 | 0.09 | 0.49 | ||||||
AQR Small Cap Relaxed Constraint Equity Fund—Class I | (0.02 | ) | (0.12 | ) | ||||
AQR Small Cap Relaxed Constraint Equity Fund—Class N | (0.04 | ) | (0.33 | ) | ||||
AQR Small Cap Relaxed Constraint Equity Fund—Class R6 | (0.01 | ) | (0.09 | ) |
8 | Amount is less than $.005 per share. |
9 | For the period ended September 30, 2017 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Small Cap Multi-Style Fund—Class I | $0.10 | 0.63 | % | |||||
AQR Small Cap Multi-Style Fund—Class N | 0.06 | 0.37 | ||||||
AQR Small Cap Multi-Style Fund—Class R6 | 0.11 | 0.73 | ||||||
AQR Small Cap Momentum Style Fund—Class I | 0.08 | 0.35 | ||||||
AQR Small Cap Momentum Style Fund—Class N | 0.03 | 0.13 | ||||||
AQR Small Cap Momentum Style Fund—Class R6 | 0.10 | 0.43 | ||||||
AQR International Defensive Style Fund—Class I | 0.28 | 2.24 | ||||||
AQR International Defensive Style Fund—Class N | 0.26 | 2.02 | ||||||
AQR International Defensive Style Fund—Class R6 | 0.29 | 2.38 |
The accompanying notes are an integral part of these financial statements. |
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10 | For the period ended September 30, 2015 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR Small Cap Multi-Style Fund—Class I | $0.10 | 0.76 | % | |||||
AQR Small Cap Multi-Style Fund—Class N | 0.07 | 0.53 | ||||||
AQR Small Cap Multi-Style Fund—Class R6 | 0.13 | 1.05 | ||||||
AQR International Multi-Style Fund—Class I | 0.25 | 2.28 | ||||||
AQR International Multi-Style Fund—Class N | 0.22 | 2.02 | ||||||
AQR International Multi-Style Fund—Class R6 | 0.28 | 2.53 | ||||||
AQR Small Cap Momentum Style Fund—Class I | 0.13 | 0.58 | ||||||
AQR Small Cap Momentum Style Fund—Class N | 0.07 | 0.32 | ||||||
AQR Small Cap Momentum Style Fund—Class R6 | 0.11 | 0.51 | ||||||
AQR TM Small Cap Momentum Style Fund—Class I | 0.09 | 0.57 | ||||||
AQR TM Small Cap Momentum Style Fund—Class N | 0.05 | 0.34 | ||||||
AQR TM Small Cap Momentum Style Fund—Class R6 | 0.10 | 0.66 | ||||||
AQR Global Equity Fund—Class I | 0.10 | 1.26 | ||||||
AQR Global Equity Fund—Class N | 0.08 | 0.95 | ||||||
AQR Global Equity Fund—Class R6 | 0.12 | 1.46 |
11 | The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
12 | Excludes impact of IRS closing agreement tax expense. |
13 | Includes impact of IRS closing agreement reimbursement. |
14 | Certain expenses incurred by the Fund were not annualized for the period. |
15 | Commencement of operations. |
16 | For the period ended September 30, 2016 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR TM Small Cap Multi-Style Fund—Class I | $0.11 | 1.14 | % | |||||
AQR TM Small Cap Multi-Style Fund—Class N | 0.09 | 0.92 | ||||||
AQR TM Small Cap Multi-Style Fund—Class R6 | 0.11 | 1.13 | ||||||
AQR TM Large Cap Momentum Style Fund—Class I | 0.21 | 1.27 | ||||||
AQR TM Large Cap Momentum Style Fund—Class N | 0.18 | 1.10 | ||||||
AQR TM Large Cap Momentum Style Fund—Class R6 | 0.22 | 1.36 |
17 | For the period ended September 30, 2018 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
FUND | NET INVESTMENT INCOME PER SHARE | NET INVESTMENT INCOME RATIO | ||||||
AQR TM Emerging Multi-Style Fund—Class I | $0.22 | 1.90 | % | |||||
AQR TM Emerging Multi-Style Fund—Class N | 0.18 | 1.52 | ||||||
AQR TM Emerging Multi-Style Fund—Class R6 | 0.23 | 1.96 | ||||||
AQR Small Cap Momentum Style Fund—Class I | 0.03 | 0.12 | ||||||
AQR Small Cap Momentum Style Fund—Class N | (0.02 | ) | (0.11 | ) | ||||
AQR Small Cap Momentum Style Fund—Class R6 | 0.06 | 0.22 | ||||||
AQR International Defensive Style Fund—Class I | 0.28 | 2.14 | ||||||
AQR International Defensive Style Fund—Class N | 0.22 | 1.57 | ||||||
AQR International Defensive Style Fund—Class R6 | 0.30 | 2.27 | ||||||
AQR International Equity Fund—Class I | 0.21 | 1.86 | ||||||
AQR International Equity Fund—Class N | 0.20 | 1.74 | ||||||
AQR International Equity Fund—Class R6 | 0.23 | 1.93 | ||||||
AQR International Relaxed Constraint Equity Fund—Class I | 0.29 | 2.28 | ||||||
AQR International Relaxed Constraint Equity Fund—Class N | 0.24 | 1.84 | ||||||
AQR International Relaxed Constraint Equity Fund—Class R6 | 0.20 | 1.56 | ||||||
AQR Emerging Relaxed Constraint Equity Fund—Class I | 0.14 | 1.04 | ||||||
AQR Emerging Relaxed Constraint Equity Fund—Class N | 0.12 | 0.93 | ||||||
AQR Emerging Relaxed Constraint Equity Fund—Class R6 | 0.06 | 0.47 |
The accompanying notes are an integral part of these financial statements. |
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Notes to Financial Statements | September 30, 2019 |
1. Organization
AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is anopen-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of September 30, 2019, the Trust consists of thirty-nine active series, twenty-three of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.
The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek long-termafter-tax capital appreciation. Each Fund offers Class I, Class N and Class R6 shares.
2. Significant Accounting Policies
The Funds are investment companies and apply specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard CodificationTopic 946 Financial Services — Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 4.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statements of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
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Notes to Financial Statements | September 30, 2019 |
Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Certain fixed-income investments may pay interestin-kind, which represents contractual interest accrued and increases the principal balance. Dividend income (expense) net of foreign taxes withheld, if any, is recorded on theex-dividend date or when the Fund first learns of theex-date dividend notification. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.
Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear differentsub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income,non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. The Funds are charged for those expenses that are directly attributable to each Fund. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.
The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are“more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet themore-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of September 30, 2019, the Funds had no examinations in progress.
Distributions to Shareholders: Distributions to shareholders are recorded on theex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statements of Changes in Net Assets and have been recorded to paid in capital.
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. Securities and Other Investments
Affiliate Investments: Certain investments may be classified as an affiliate or a controlled affiliate of the Funds on the Schedule of Investments.Section 2a-3 of the 1940 Act defines an affiliate as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. Further, pursuant to the 1940 Act, control is presumed to exist when, among other things, a Fund owns more than 25% of the outstanding voting securities of portfolio company.
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Additionally, certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising significant influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments, if applicable.
Securities Sold Short:Certain Funds may engage in short sales, which is when a Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on theex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, which could be unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Funds are required to pledge cash or liquid securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. Cash deposited with the broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
Fund | ||||
AQR Large Cap Relaxed Constraint Equity Fund | $ | 28,654 | ||
AQR Small Cap Relaxed Constraint Equity Fund | 6,576 | |||
AQR International Relaxed Constraint Equity Fund | 97,848 |
Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not receive the return of the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities.Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in theover-the-counter (“OTC”) market where payments are settled through direct
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payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedules of Investments include the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an upfront payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date or closing of swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps aretwo-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) from the expiration or closing of swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Basket Swaps: Certain Funds may enter into a total return basket swap agreement to obtain exposure to a portfolio of long and/or short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. The absolute notional value of the total return basket swap represents the accumulated notional value of the underlying long components and absolute notional value of the short components held within the total return basket swap at period end. The notional value of each component represents the market value at period end. The Funds have the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset generally monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Funds and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Funds and the counterparty. The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. A change in the market value of a total return basket swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash or securities issued by the U.S. Treasury valued at 102% to 105% of the market value of the securities on loan. The Funds may invest cash collateral in money market funds as indicated on the Schedule of Investments. 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.
Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. 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. 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 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 the Securities Lending Agency Agreement between the Funds and the lending agent. Securities lending income, net on the Statements of Operations represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.
Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. At period end, Funds with investments securities on loan disclose the balance of such securities on loan in the footnotes to the Schedule of Investments. The fair value of the Funds’
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investment securities on loan and a related liability for collateral received on securities loaned are both presented gross on the Statements of Assets and Liabilities.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to i.) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which are referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on centrally cleared swaps and Variation margin on futures contracts. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash).
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities. As governed by the relevant Master Agreements, interest expense may be incurred if a counterparty charges the Fund interest on collateral posted directly to a Fund’s custodian account.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.
4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the
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measurement date. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).
The Adviser has established a Valuation Committee (the “VC”) to assist the Board with oversight and monitoring of the valuation of the Funds’ investments. This includes administering, implementing and overseeing the continual appropriateness of valuation approaches applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had an active ready market for the investments existed. These differences could be material.
Fair Value Hierarchy:Various inputs are utilized in determining the value of each Fund’s investments. These inputs are summarized in the three broad levels as follows:
Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs. Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) andclosed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite in which each security trades and are therefore classified Level 1. Investments in mutual funds are valued daily at their NAVs which are also classified as Level 1.
An equity for which no sales are reported, as in the case of a security that is traded in theover-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, American Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.
Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government
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agency securities, investment-grade corporate bonds, and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are generally based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.
The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/ornon-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.
Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market. For option contracts, if no sales occurred on such date, the contracts will be valued at the mid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.
AQR LARGE CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 1,418,174,536 | $ | — | $ | — | $ | 1,418,174,536 | ||||||||
Securities Lending Collateral | 10,380,864 | — | — | 10,380,864 | ||||||||||||
Short-Term Investments | 26,530,185 | — | — | 26,530,185 | ||||||||||||
Total Assets | $ | 1,455,085,585 | $ | — | $ | — | $ | 1,455,085,585 |
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AQR LARGE CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (102,358 | ) | $ | — | $ | — | $ | (102,358 | ) | ||||||
Total Liabilities | $ | (102,358 | ) | $ | — | $ | — | $ | (102,358 | ) | ||||||
AQR SMALL CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 541,428,632 | $ | — | $ | — | $ | 541,428,632 | ||||||||
Preferred Stocks | 71,529 | — | — | 71,529 | ||||||||||||
Securities Lending Collateral | 30,053,944 | — | — | 30,053,944 | ||||||||||||
Short-Term Investments | 9,268,848 | — | — | 9,268,848 | ||||||||||||
Total Assets | $ | 580,822,953 | $ | — | $ | — | $ | 580,822,953 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (177,230 | ) | $ | — | $ | — | $ | (177,230 | ) | ||||||
Total Liabilities | $ | (177,230 | ) | $ | — | $ | — | $ | (177,230 | ) | ||||||
AQR INTERNATIONAL MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 23,453,657 | $ | 241,358,092 | $ | — | $ | 264,811,749 | ||||||||
Securities Lending Collateral | 4,280,151 | — | — | 4,280,151 | ||||||||||||
Short-Term Investments | 4,278,335 | — | — | 4,278,335 | ||||||||||||
Total Assets | $ | 32,012,143 | $ | 241,358,092 | $ | — | $ | 273,370,235 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (45,929 | ) | $ | — | $ | — | $ | (45,929 | ) | ||||||
Total Liabilities | $ | (45,929 | ) | $ | — | $ | — | $ | (45,929 | ) | ||||||
AQR EMERGING MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 58,456,779 | $ | 162,733,429 | $ | — | $ | 221,190,208 | ||||||||
Rights† | — | — | 3,081 | 3,081 | ||||||||||||
Short-Term Investments | 5,004,824 | — | — | 5,004,824 | ||||||||||||
Total Assets | $ | 63,461,603 | $ | 162,733,429 | $ | 3,081 | $ | 226,198,113 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (167,597 | ) | $ | — | $ | — | $ | (167,597 | ) | ||||||
Total Liabilities | $ | (167,597 | ) | $ | — | $ | — | $ | (167,597 | ) | ||||||
AQR TM LARGE CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 304,173,495 | $ | — | $ | — | $ | 304,173,495 | ||||||||
Securities Lending Collateral | 4,299,670 | — | — | 4,299,670 | ||||||||||||
Short-Term Investments | 9,069,953 | — | — | 9,069,953 | ||||||||||||
Total Assets | $ | 317,543,118 | $ | — | $ | — | $ | 317,543,118 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (71,819 | ) | $ | — | $ | — | $ | (71,819 | ) | ||||||
Total Liabilities | $ | (71,819 | ) | $ | — | $ | — | $ | (71,819 | ) | ||||||
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AQR TM SMALL CAP MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 22,958,064 | $ | — | $ | — | $ | 22,958,064 | ||||||||
Preferred Stocks | 2,754 | — | — | 2,754 | ||||||||||||
Securities Lending Collateral | 1,820,937 | — | — | 1,820,937 | ||||||||||||
Short-Term Investments | 749,467 | — | — | 749,467 | ||||||||||||
Total Assets | $ | 25,531,222 | $ | — | $ | — | $ | 25,531,222 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (17,616 | ) | $ | — | $ | — | $ | (17,616 | ) | ||||||
Total Liabilities | $ | (17,616 | ) | $ | — | $ | — | $ | (17,616 | ) | ||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 16,517,097 | $ | 167,562,144 | $ | — | $ | 184,079,241 | ||||||||
Securities Lending Collateral | 3,769,241 | — | — | 3,769,241 | ||||||||||||
Short-Term Investments | 4,069,787 | — | — | 4,069,787 | ||||||||||||
Total Assets | $ | 24,356,125 | $ | 167,562,144 | $ | — | $ | 191,918,269 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (18,750 | ) | $ | — | $ | — | $ | (18,750 | ) | ||||||
Total Liabilities | $ | (18,750 | ) | $ | — | $ | — | $ | (18,750 | ) | ||||||
AQR TM EMERGING MULTI-STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 85,190,286 | $ | 246,479,330 | $ | — | $ | 331,669,616 | ||||||||
Rights† | — | — | 6,204 | 6,204 | ||||||||||||
Short-Term Investments | 8,073,977 | — | — | 8,073,977 | ||||||||||||
Total Assets | $ | 93,264,263 | $ | 246,479,330 | $ | 6,204 | $ | 339,749,797 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (216,508 | ) | $ | — | $ | — | $ | (216,508 | ) | ||||||
Total Liabilities | $ | (216,508 | ) | $ | — | $ | — | $ | (216,508 | ) | ||||||
AQR LARGE CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 922,415,488 | $ | — | $ | — | $ | 922,415,488 | ||||||||
Securities Lending Collateral | 21,428,811 | — | — | 21,428,811 | ||||||||||||
Short-Term Investments | 24,258,354 | — | — | 24,258,354 | ||||||||||||
Total Assets | $ | 968,102,653 | $ | — | $ | — | $ | 968,102,653 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (164,738 | ) | $ | — | $ | — | $ | (164,738 | ) | ||||||
Total Liabilities | $ | (164,738 | ) | $ | — | $ | — | $ | (164,738 | ) | ||||||
AQR SMALL CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 253,935,868 | $ | — | $ | — | (a) | $ | 253,935,868 | |||||||
Securities Lending Collateral | 6,269,765 | — | — | 6,269,765 | ||||||||||||
Short-Term Investments | 6,056,656 | — | — | 6,056,656 | ||||||||||||
Total Assets | $ | 266,262,289 | $ | — | $ | — | (a) | $ | 266,262,289 |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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AQR SMALL CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (141,096 | ) | $ | — | $ | — | $ | (141,096 | ) | ||||||
Total Liabilities | $ | (141,096 | ) | $ | — | $ | — | $ | (141,096 | ) | ||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 53,693,484 | $ | 368,472,895 | $ | — | $ | 422,166,379 | ||||||||
Securities Lending Collateral | 1,163,664 | — | — | 1,163,664 | ||||||||||||
Short-Term Investments | 10,008,346 | — | — | 10,008,346 | ||||||||||||
Total Assets | $ | 64,865,494 | $ | 368,472,895 | $ | — | $ | 433,338,389 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (38,292 | ) | $ | — | $ | — | $ | (38,292 | ) | ||||||
Total Liabilities | $ | (38,292 | ) | $ | — | $ | — | $ | (38,292 | ) | ||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 221,846,874 | $ | — | $ | — | $ | 221,846,874 | ||||||||
Securities Lending Collateral | 6,781,874 | — | — | 6,781,874 | ||||||||||||
Short-Term Investments | 8,418,707 | — | — | 8,418,707 | ||||||||||||
Total Assets | $ | 237,047,455 | $ | — | $ | — | $ | 237,047,455 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (47,784 | ) | $ | — | $ | — | $ | (47,784 | ) | ||||||
Total Liabilities | $ | (47,784 | ) | $ | — | $ | — | $ | (47,784 | ) | ||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 52,092,079 | $ | — | $ | — | $ | 52,092,079 | ||||||||
Securities Lending Collateral | 7,078,049 | — | — | 7,078,049 | ||||||||||||
Short-Term Investments | 1,762,606 | — | — | 1,762,606 | ||||||||||||
Total Assets | $ | 60,932,734 | $ | — | $ | — | $ | 60,932,734 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (40,450 | ) | $ | — | $ | — | $ | (40,450 | ) | ||||||
Total Liabilities | $ | (40,450 | ) | $ | — | $ | — | $ | (40,450 | ) | ||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 14,035,667 | $ | 90,686,922 | $ | — | $ | 104,722,589 | ||||||||
Securities Lending Collateral | 920,936 | — | — | 920,936 | ||||||||||||
Short-Term Investments | 3,877,523 | — | — | 3,877,523 | ||||||||||||
Total Assets | $ | 18,834,126 | $ | 90,686,922 | $ | — | $ | 109,521,048 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (14,075 | ) | $ | — | $ | — | $ | (14,075 | ) | ||||||
Total Liabilities | $ | (14,075 | ) | $ | — | $ | — | $ | (14,075 | ) | ||||||
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AQR LARGE CAP DEFENSIVE STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 4,717,507,532 | $ | — | $ | — | $ | 4,717,507,532 | ||||||||
Securities Lending Collateral | 45,294,883 | — | — | 45,294,883 | ||||||||||||
Short-Term Investments | 183,525,144 | — | — | 183,525,144 | ||||||||||||
Total Assets | $ | 4,946,327,559 | $ | — | $ | — | $ | 4,946,327,559 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (864,589 | ) | $ | — | $ | — | $ | (864,589 | ) | ||||||
Total Liabilities | $ | (864,589 | ) | $ | — | $ | — | $ | (864,589 | ) | ||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 28,742,417 | $ | 203,594,831 | $ | — | $ | 232,337,248 | ||||||||
Securities Lending Collateral | 2,165,130 | — | — | 2,165,130 | ||||||||||||
Short-Term Investments | 5,821,286 | — | — | 5,821,286 | ||||||||||||
Total Assets | $ | 36,728,833 | $ | 203,594,831 | $ | — | $ | 240,323,664 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (15,197 | ) | $ | — | $ | — | $ | (15,197 | ) | ||||||
Total Liabilities | $ | (15,197 | ) | $ | — | $ | — | $ | (15,197 | ) | ||||||
AQR EMERGING DEFENSIVE STYLE FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 13,714,256 | $ | 65,925,351 | $ | 1 | $ | 79,639,608 | ||||||||
Corporate Bonds† | — | 65 | — | 65 | ||||||||||||
Rights† | — | — | 675 | 675 | ||||||||||||
Securities Lending Collateral | 52,050 | — | — | 52,050 | ||||||||||||
Short-Term Investments | 2,245,145 | — | — | 2,245,145 | ||||||||||||
Total Assets | $ | 16,011,451 | $ | 65,925,416 | $ | 676 | $ | 81,937,543 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (52,849 | ) | $ | — | $ | — | $ | (52,849 | ) | ||||||
Total Liabilities | $ | (52,849 | ) | $ | — | $ | — | $ | (52,849 | ) | ||||||
AQR GLOBAL EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 171,800,831 | $ | 93,625,906 | $ | 131 | $ | 265,426,868 | ||||||||
Securities Lending Collateral | 1,592,671 | — | — | 1,592,671 | ||||||||||||
Short-Term Investments | 24,923,948 | — | — | 24,923,948 | ||||||||||||
Futures Contracts* | 710,532 | — | — | 710,532 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 1,431,770 | — | 1,431,770 | ||||||||||||
Total Return Swaps Contracts* | — | 211,912 | — | 211,912 | ||||||||||||
Total Assets | $ | 199,027,982 | $ | 95,269,588 | $ | 131 | $ | 294,297,701 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (192,150 | ) | $ | — | $ | — | $ | (192,150 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (632,583 | ) | — | (632,583 | ) | ||||||||||
Total Return Swaps Contracts* | — | (65,707 | ) | — | (65,707 | ) | ||||||||||
Total Liabilities | $ | (192,150 | ) | $ | (698,290 | ) | $ | — | $ | (890,440 | ) | |||||
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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AQR INTERNATIONAL EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | — | $ | 214,438,039 | $ | 195 | $ | 214,438,234 | ||||||||
Securities Lending Collateral | 499,006 | — | — | 499,006 | ||||||||||||
Short-Term Investments | 15,281,289 | — | — | 15,281,289 | ||||||||||||
Futures Contracts* | 576,833 | — | — | 576,833 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 1,529,252 | — | 1,529,252 | ||||||||||||
Total Return Swaps Contracts* | — | 108,956 | — | 108,956 | ||||||||||||
Total Assets | $ | 16,357,128 | $ | 216,076,247 | $ | 195 | $ | 232,433,570 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (146,007 | ) | $ | — | $ | — | $ | (146,007 | ) | ||||||
Forward Foreign Currency Exchange Contracts* | — | (893,682 | ) | — | (893,682 | ) | ||||||||||
Total Return Swaps Contracts* | — | (149,080 | ) | — | (149,080 | ) | ||||||||||
Total Liabilities | $ | (146,007 | ) | $ | (1,042,762 | ) | $ | — | $ | (1,188,769 | ) | |||||
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 17,208,724 | $ | — | $ | — | $ | 17,208,724 | ||||||||
Exchange Traded Funds | 480,174 | — | — | 480,174 | ||||||||||||
Short-Term Investments | 146,786 | — | — | 146,786 | ||||||||||||
Total Assets | $ | 17,835,684 | $ | — | $ | — | $ | 17,835,684 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short) | $ | (4,027,669 | ) | $ | — | $ | — | $ | (4,027,669 | ) | ||||||
Total Liabilities | $ | (4,027,669 | ) | $ | — | $ | — | $ | (4,027,669 | ) | ||||||
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 2,727,766 | $ | — | $ | — | $ | 2,727,766 | ||||||||
Exchange Traded Funds | 20,733 | — | — | 20,733 | ||||||||||||
Rights | — | — | 19 | 19 | ||||||||||||
Short-Term Investments | 72,449 | — | — | 72,449 | ||||||||||||
Total Assets | $ | 2,820,948 | $ | — | $ | 19 | $ | 2,820,967 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks (Sold Short) | $ | (618,550 | ) | $ | — | $ | — | $ | (618,550 | ) | ||||||
Total Liabilities | $ | (618,550 | ) | $ | — | $ | — | $ | (618,550 | ) | ||||||
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | — | $ | 30,375,325 | $ | — | $ | 30,375,325 | ||||||||
Short-Term Investments | 145,796 | — | — | 145,796 | ||||||||||||
Total Assets | $ | 145,796 | $ | 30,375,325 | $ | — | $ | 30,521,121 | ||||||||
LIABILITIES | ||||||||||||||||
Common Stocks(Sold Short) † | $ | — | $ | (6,967,067 | ) | $ | (1 | ) | $ | (6,967,068 | ) | |||||
Futures Contracts* | (148 | ) | — | — | (148 | ) | ||||||||||
Total Liabilities | $ | (148 | ) | $ | (6,967,067 | ) | $ | (1 | ) | $ | (6,967,216 | ) | ||||
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Common Stocks† | $ | 2,090,123 | $ | 3,233,711 | $ | — | $ | 5,323,834 | ||||||||
Short-Term Investments | 2,380,371 | — | — | 2,380,371 | ||||||||||||
Total Return Basket Swaps Contracts* | — | 282,599 | — | 282,599 | ||||||||||||
Total Assets | $ | 4,470,494 | $ | 3,516,310 | $ | — | $ | 7,986,804 | ||||||||
LIABILITIES | ||||||||||||||||
Futures Contracts* | $ | (5,903 | ) | $ | — | $ | — | $ | (5,903 | ) | ||||||
Total Return Basket Swaps Contracts* | — | (428,347 | ) | — | (428,347 | ) | ||||||||||
Total Liabilities | $ | (5,903 | ) | $ | (428,347 | ) | $ | — | $ | (434,250 | ) |
* | Derivative instruments, including futures, forward foreign currency exchange, total return swap and total return basket swap contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
† | Please refer to the Schedule of Investments to view securities segregated by country. |
(a) | Security has zero value |
Transfers to Level 3 or from Level 3 are generally due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.
During the period ended September 30, 2019, there were no transfers to or from level 3 for any of the Funds. There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for the AQR Emerging Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, and AQR International Relaxed Constraint Equity Fund.
The fair values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
5. Federal Income Tax Matters
At September 30, 2019, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:
FUND | COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET (DEPRECIATION) | ||||||||||||
AQR Large Cap Multi-Style Fund | $ | 1,172,213,897 | $ | 320,076,144 | $ | (37,306,814 | ) | $ | 282,769,330 | |||||||
AQR Small Cap Multi-Style Fund | 529,476,553 | 83,191,417 | (32,022,247 | ) | 51,169,170 | |||||||||||
AQR International Multi-Style Fund | 251,682,131 | 35,420,989 | (13,778,814 | ) | 21,642,175 | |||||||||||
AQR Emerging Multi-Style Fund | 197,377,280 | 41,025,572 | (12,372,336 | ) | 28,653,236 | |||||||||||
AQR TM Large Cap Multi-Style Fund | 259,941,811 | 62,840,352 | (5,310,864 | ) | 57,529,488 | |||||||||||
AQR TM Small Cap Multi-Style Fund | 23,083,618 | 3,419,800 | (989,812 | ) | 2,429,988 | |||||||||||
AQR TM International Multi-Style Fund | 173,793,582 | 25,625,822 | (7,519,885 | ) | 18,105,937 | |||||||||||
AQR TM Emerging Multi-Style Fund | 292,169,981 | 62,287,805 | (14,924,497 | ) | 47,363,308 | |||||||||||
AQR Large Cap Momentum Style Fund | 736,636,730 | 242,271,451 | (10,970,266 | ) | 231,301,185 | |||||||||||
AQR Small Cap Momentum Style Fund | 231,191,559 | 46,509,634 | (11,580,000 | ) | 34,929,634 | |||||||||||
AQR International Momentum Style Fund | 383,180,457 | 60,333,638 | (10,213,998 | ) | 50,119,640 |
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FUND | COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET (DEPRECIATION) | ||||||||||||
AQR TM Large Cap Momentum Style Fund | $ | 157,846,700 | $ | 79,688,835 | $ | (535,864 | ) | $ | 79,152,971 | |||||||
AQR TM Small Cap Momentum Style Fund | 52,302,039 | 10,320,270 | (1,730,025 | ) | 8,590,245 | |||||||||||
AQR TM International Momentum Style Fund | 95,390,631 | 18,050,078 | (3,933,736 | ) | 14,116,342 | |||||||||||
AQR Large Cap Defensive Style Fund | 4,175,357,161 | 812,184,040 | (42,078,231 | ) | 770,105,809 | |||||||||||
AQR International Defensive Style Fund | 221,375,974 | 30,407,251 | (11,474,758 | ) | 18,932,493 | |||||||||||
AQR Emerging Defensive Style Fund | 78,292,278 | 10,246,583 | (6,654,167 | ) | 3,592,416 | |||||||||||
AQR Global Equity Fund | 267,274,557 | 36,638,568 | (10,505,864 | ) | 26,132,704 | |||||||||||
AQR International Equity Fund | 220,678,510 | 23,418,430 | (12,852,139 | ) | 10,566,291 | |||||||||||
AQR Large Cap Relaxed Constraint Equity Fund | 10,687,487 | 3,893,564 | (773,036 | ) | 3,120,528 | |||||||||||
AQR Small Cap Relaxed Constraint Equity Fund | 1,991,824 | 521,367 | (310,774 | ) | 210,593 | |||||||||||
AQR International Relaxed Constraint Equity Fund | 23,113,062 | 3,571,458 | (3,130,615 | ) | 440,843 | |||||||||||
AQR Emerging Relaxed Constraint Equity Fund | 7,647,364 | 975,410 | (1,070,220 | ) | (94,810 | ) |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on passive foreign investment companies (“PFIC”) andnon-taxable dividends from fund investments including Real Estate Investment Trusts (“REITs”).
As of September 30, 2019, the components of distributable earnings on a tax basis were as follows:
FUND | CURRENT DISTRIBUTABLE ORDINARY INCOME | CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS | NET UNREALIZED APPRECIATION (DEPRECIATION) | POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS | OTHER TEMPORARY DIFFERENCES | TOTAL ACCUMULATED EARNINGS | ||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | 12,346,617 | $ | 40,938,947 | $ | 282,769,330 | $ | — | $ | — | $ | 336,054,894 | ||||||||||||
AQR Small Cap Multi-Style Fund | 4,440,155 | 338,822 | 51,169,170 | (10,848,159 | ) | — | 45,099,988 | |||||||||||||||||
AQR International Multi-Style Fund | 7,310,228 | (17,185,660 | ) | 21,584,205 | (5,891,119 | ) | — | 5,817,654 | ||||||||||||||||
AQR Emerging Multi-Style Fund | 5,511,334 | (29,482,558 | ) | 28,639,060 | (3,892,351 | ) | — | 775,485 | ||||||||||||||||
AQR TM Large Cap Multi-Style Fund | 2,746,101 | 1,821,439 | 57,529,487 | — | — | 62,097,027 | ||||||||||||||||||
AQR TM Small Cap Multi-Style Fund | 161,216 | (610,359 | ) | 2,429,989 | — | — | 1,980,846 | |||||||||||||||||
AQR TM International Multi-Style Fund | 4,954,937 | (6,030,672 | ) | 18,081,276 | — | — | 17,005,541 | |||||||||||||||||
AQR TM Emerging Multi-Style Fund | 7,570,795 | (12,426,896 | ) | 47,345,762 | (1,462,241 | ) | — | 41,027,420 | ||||||||||||||||
AQR Large Cap Momentum Style Fund | 7,178,646 | 73,748,467 | 231,301,142 | — | — | 312,228,255 | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | 858,569 | 10,009,259 | 34,929,634 | — | — | 45,797,462 | ||||||||||||||||||
AQR International Momentum Style Fund | 9,454,455 | (12,875,747 | ) | 50,076,073 | (14,081,931 | ) | — | 32,572,850 | ||||||||||||||||
AQR TM Large Cap Momentum Style Fund | 1,990,737 | 2,484,006 | 79,152,971 | — | — | 83,627,714 | ||||||||||||||||||
AQR TM Small Cap Momentum Style Fund | 207,026 | 643,334 | 8,590,245 | — | — | 9,440,605 | ||||||||||||||||||
AQR TM International Momentum Style Fund | 2,496,042 | (13,550,897 | ) | 14,103,096 | (4,304,343 | ) | — | (1,256,102 | ) | |||||||||||||||
AQR Large Cap Defensive Style Fund | 41,696,933 | (2,909,208 | ) | 770,105,809 | — | — | 808,893,534 | |||||||||||||||||
AQR International Defensive Style Fund | 5,431,823 | (706,759 | ) | 18,914,091 | (1,300,248 | ) | — | 22,338,907 | ||||||||||||||||
AQR Emerging Defensive Style Fund | 1,683,527 | (11,793,711 | ) | 3,512,041 | (942,404 | ) | — | (7,540,547 | ) | |||||||||||||||
AQR Global Equity Fund | 3,679,832 | (7,287,642 | ) | 24,644,894 | (7,302,041 | ) | (3,493 | ) | 13,731,550 | |||||||||||||||
AQR International Equity Fund | 6,634,791 | — | 3,675,784 | (17,818,951 | ) | — | (7,508,376 | ) | ||||||||||||||||
AQR Large Cap Relaxed Constraint Equity Fund | 88,530 | (599,174 | ) | 3,120,459 | (324,200 | ) | — | 2,285,615 | ||||||||||||||||
AQR Small Cap Relaxed Constraint Equity Fund | — | (372,656 | ) | 210,593 | (46,117 | ) | — | (208,180 | ) | |||||||||||||||
AQR International Relaxed Constraint Equity Fund | 692,739 | (5,168,069 | ) | 435,862 | (7,618,146 | ) | — | (11,657,614 | ) | |||||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | — | (3,267,420 | ) | (93,982 | ) | (3,263,603 | ) | — | (6,625,005 | ) |
The differences between book basis and tax basis components of distributable earnings are primarily attributable to wash sales loss deferrals, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, mark to market on PFIC investments, mark to market on equity swaps,non-taxable dividends from fund investments including REITs, loss deferrals from tax straddles, and capital loss carry forwards.
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Notes to Financial Statements | September 30, 2019 |
As of September 30, 2019, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:
FUND | TOTAL DISTRIBUTABLE EARNINGS (LOSS) | PAID-IN CAPITAL | ||||||
AQR Large Cap Multi-Style Fund | $ | (3,997,011 | ) | $ | 3,997,011 | |||
AQR Small Cap Multi-Style Fund | (55,549 | ) | 55,549 | |||||
AQR Emerging Multi-Style Fund | 4,493 | (4,493 | ) | |||||
AQR TM Emerging Multi-Style Fund | 6,872 | (6,872 | ) | |||||
AQR Large Cap Momentum Style Fund | (12,543,770 | ) | 12,543,770 | |||||
AQR Small Cap Momentum Style Fund | (1,571,228 | ) | 1,571,228 | |||||
AQR Small Cap Relaxed Constraint Equity Fund | 14,687 | (14,687 | ) | |||||
AQR International Relaxed Constraint Equity Fund | (654 | ) | 654 | |||||
AQR Emerging Relaxed Constraint Equity Fund | 1,123,213 | (1,123,213 | ) |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of certain non deductible expenses, net operating losses, and redemptions utilized as distributions. The result of operations and net assets were not affected by the reclassifications.
The tax character of distributions paid during the fiscal year-ends September 30, 2019 and September 30, 2018 were as follows:
SEPTEMBER 30, 2019 | SEPTEMBER 30, 2018 | |||||||||||||||||||||||
FUND | ORDINARY | CAPITAL GAINS | RETURN OF CAPITAL | ORDINARY | CAPITAL GAINS | RETURN OF CAPITAL | ||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | 27,591,439 | $ | 76,160,867 | $ | — | $ | 24,214,628 | $ | 18,502,454 | $ | — | ||||||||||||
AQR Small Cap Multi-Style Fund | 11,619,753 | 58,814,207 | — | 32,228,573 | 38,349,960 | — | ||||||||||||||||||
AQR International Multi-Style Fund | 10,554,752 | — | — | 11,688,075 | — | — | ||||||||||||||||||
AQR Emerging Multi-Style Fund | 6,006,315 | — | — | 5,511,423 | — | — | ||||||||||||||||||
AQR TM Large Cap Multi-Style Fund | 3,874,532 | — | — | 2,988,559 | — | — | ||||||||||||||||||
AQR TM Small Cap Multi-Style Fund | 162,233 | 985,602 | — | 229,172 | 575,538 | — | ||||||||||||||||||
AQR TM International Multi-Style Fund | 4,100,305 | — | — | 4,462,834 | — | — | ||||||||||||||||||
AQR TM Emerging Multi-Style Fund | 7,198,963 | — | — | 5,904,163 | — | — | ||||||||||||||||||
AQR Large Cap Momentum Style Fund | 23,493,413 | 64,214,636 | — | 9,582,619 | 77,695,110 | — | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | 1,463,483 | 55,979,660 | — | 937,060 | 33,113,161 | — | ||||||||||||||||||
AQR International Momentum Style Fund | 7,732,508 | — | — | 8,815,825 | — | — | ||||||||||||||||||
AQR TM Large Cap Momentum Style Fund | 1,918,042 | — | — | 1,558,715 | — | — | ||||||||||||||||||
AQR TM Small Cap Momentum Style Fund | 98,045 | 4,182,028 | — | 132,400 | 48,880 | — | ||||||||||||||||||
AQR TM International Momentum Style Fund | 2,275,129 | — | — | 1,999,095 | — | — | ||||||||||||||||||
AQR Large Cap Defensive Style Fund | 25,853,029 | 9,708,427 | — | 22,563,901 | 7,907,632 | — | ||||||||||||||||||
AQR International Defensive Style Fund | 4,714,166 | — | — | 4,369,486 | — | — | ||||||||||||||||||
AQR Emerging Defensive Style Fund | 1,482,027 | — | — | 1,140,163 | — | — | ||||||||||||||||||
AQR Global Equity Fund | 4,193,245 | 6,115,094 | — | 9,041,338 | 5,464,443 | — | ||||||||||||||||||
AQR International Equity Fund | 7,323,967 | 3,292,678 | — | 26,222,287 | 11,174,436 | — | ||||||||||||||||||
AQR Large Cap Relaxed Constraint Equity Fund | 141,038 | — | — | 155,955 | — | — | ||||||||||||||||||
AQR Small Cap Relaxed Constraint Equity Fund | — | — | — | 30,280 | — | 2,926 | ||||||||||||||||||
AQR International Relaxed Constraint Equity Fund | 1,291,291 | — | — | 264,489 | — | — | ||||||||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | 301,451 | — | — | 345,042 | — | — |
During the year ended September 30, 2019, the Funds utilized capital loss carryforwards in the amounts listed below:
FUND | SHORT-TERM | LONG-TERM | ||||||
AQR TM Large Cap Multi-Style Fund | $ | 53,380 | $ | — | ||||
AQR TM Large Cap Momentum Style Fund | 1,274,725 | — | ||||||
AQR Large Cap Relaxed Constraint Equity Fund | — | 11,128 |
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Notes to Financial Statements | September 30, 2019 |
As of September 30, 2019, for federal income tax purposes, the following Funds have capital loss carryforwards, with no expiration, available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations.
FUND | SHORT-TERM | LONG-TERM | ||||||
AQR International Multi-Style Fund | $ | 17,084,330 | $ | 101,330 | ||||
AQR Emerging Multi-Style Fund | 29,482,558 | — | ||||||
AQR TM Small Cap Multi-Style Fund | 610,359 | — | ||||||
AQR TM International Multi-Style Fund | 6,030,672 | — | ||||||
AQR TM Emerging Multi-Style Fund | 12,426,896 | — | ||||||
AQR International Momentum Style Fund | 12,875,747 | — | ||||||
AQR TM International Momentum Style Fund | 13,550,897 | — | ||||||
AQR Large Cap Defensive Style Fund | 2,909,208 | — | ||||||
AQR International Defensive Style Fund | 126,821 | 579,938 | ||||||
AQR Emerging Defensive Style Fund | 5,552,414 | 6,241,297 | ||||||
AQR Global Equity Fund | 7,287,642 | — | ||||||
AQR Large Cap Relaxed Constraint Equity Fund | 599,174 | — | ||||||
AQR Small Cap Relaxed Constraint Equity Fund | 372,656 | — | ||||||
AQR International Relaxed Constraint Equity Fund | 5,168,069 | — | ||||||
AQR Emerging Relaxed Constraint Equity Fund | 2,960,046 | 307,374 |
6. Investment Transactions
During the year ended September 30, 2019, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:
FUND | PURCHASES | SALES | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||||
AQR Large Cap Multi-Style Fund | $ | 840,806,793 | $ | 1,194,822,079 | $ | — | $ | — | ||||||||
AQR Small Cap Multi-Style Fund | 422,766,379 | 510,691,624 | — | — | ||||||||||||
AQR International Multi-Style Fund | 175,437,626 | 293,238,179 | — | — | ||||||||||||
AQR Emerging Multi-Style Fund | 160,432,642 | 218,666,866 | — | — | ||||||||||||
AQR TM Large Cap Multi-Style Fund | 193,788,246 | 169,693,926 | — | — | ||||||||||||
AQR TM Small Cap Multi-Style Fund | 21,512,475 | 27,334,737 | — | — | ||||||||||||
AQR TM International Multi-Style Fund | 127,344,476 | 118,643,141 | — | — | ||||||||||||
AQR TM Emerging Multi-Style Fund | 240,530,905 | 204,190,802 | — | — | ||||||||||||
AQR Large Cap Momentum Style Fund | 558,478,755 | 755,896,732 | — | — | ||||||||||||
AQR Small Cap Momentum Style Fund | 219,011,995 | 289,438,255 | — | — | ||||||||||||
AQR International Momentum Style Fund | 296,752,186 | 285,785,294 | — | — | ||||||||||||
AQR TM Large Cap Momentum Style Fund | 129,352,473 | 126,057,238 | — | — | ||||||||||||
AQR TM Small Cap Momentum Style Fund | 35,128,210 | 41,999,985 | — | — | ||||||||||||
AQR TM International Momentum Style Fund | 51,588,117 | 63,859,563 | — | — | ||||||||||||
AQR Large Cap Defensive Style Fund | 2,966,883,935 | 608,984,002 | — | — | ||||||||||||
AQR International Defensive Style Fund | 91,067,739 | 52,196,834 | — | — | ||||||||||||
AQR Emerging Defensive Style Fund | 27,148,561 | 24,250,867 | — | — | ||||||||||||
AQR Global Equity Fund | 345,954,066 | 384,421,793 | — | — | ||||||||||||
AQR International Equity Fund | 287,867,473 | 434,385,495 | — | — | ||||||||||||
AQR Large Cap Relaxed Constraint Equity Fund | 14,944,432 | 20,593,323 | 7,006,871 | 8,178,997 | ||||||||||||
AQR Small Cap Relaxed Constraint Equity Fund | 2,234,925 | 3,131,080 | 870,449 | 1,082,725 | ||||||||||||
AQR International Relaxed Constraint Equity Fund | 33,747,901 | 81,682,207 | 12,538,841 | 23,697,257 | ||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | 8,381,231 | 27,385,480 | — | — |
7. Derivative Instruments and Activities
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.
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Notes to Financial Statements | September 30, 2019 |
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at September 30, 2019.
ASSETS | LIABILITIES | |||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | — | $ | — | $ | — | $ | 102,358 | $ | — | $ | — | ||||||||||||
AQR Small Cap Multi-Style Fund | — | — | — | 177,230 | — | — | ||||||||||||||||||
AQR International Multi-Style Fund | — | — | — | 45,929 | — | — | ||||||||||||||||||
AQR Emerging Multi-Style Fund | — | — | — | 167,597 | — | — | ||||||||||||||||||
AQR TM Large Cap Multi-Style Fund | — | — | — | 71,819 | — | — | ||||||||||||||||||
AQR TM Small Cap Multi-Style Fund | — | — | — | 17,616 | — | — | ||||||||||||||||||
AQR TM International Multi-Style Fund | — | — | — | 18,750 | — | — | ||||||||||||||||||
AQR TM Emerging Multi-Style Fund | — | — | — | 216,508 | — | — | ||||||||||||||||||
AQR Large Cap Momentum Style Fund | — | — | — | 164,738 | — | — | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | — | — | — | 141,096 | — | — | ||||||||||||||||||
AQR International Momentum Style Fund | — | — | — | 38,292 | — | — | ||||||||||||||||||
AQR TM Large Cap Momentum Style Fund | — | — | — | 47,784 | — | — | ||||||||||||||||||
AQR TM Small Cap Momentum Style Fund | — | — | — | 40,450 | — | — | ||||||||||||||||||
AQR TM International Momentum Style Fund | — | — | — | 14,075 | — | — | ||||||||||||||||||
AQR Large Cap Defensive Style Fund | — | — | — | 864,589 | — | — | ||||||||||||||||||
AQR International Defensive Style Fund | — | — | — | 15,197 | — | — | ||||||||||||||||||
AQR Emerging Defensive Style Fund | — | — | — | 52,849 | — | — | ||||||||||||||||||
AQR Global Equity Fund | 710,532 | 211,912 | — | 192,150 | 65,707 | — | ||||||||||||||||||
AQR International Equity Fund | 576,833 | 108,956 | — | 146,007 | 149,080 | — | ||||||||||||||||||
AQR International Relaxed Constraint Equity Fund | — | — | — | 148 | — | — | ||||||||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | — | 282,599 | — | 5,903 | 428,347 | — | ||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
AQR Global Equity Fund | — | — | 1,431,770 | — | — | 632,583 | ||||||||||||||||||
AQR International Equity Fund | — | — | 1,529,252 | — | — | 893,682 | ||||||||||||||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||
AQR Large Cap Multi-Style Fund | — | — | — | 102,358 | — | — | ||||||||||||||||||
AQR Small Cap Multi-Style Fund | — | — | — | 177,230 | — | — | ||||||||||||||||||
AQR International Multi-Style Fund | — | — | — | 45,929 | — | — | ||||||||||||||||||
AQR Emerging Multi-Style Fund | — | — | — | 167,597 | — | — | ||||||||||||||||||
AQR TM Large Cap Multi-Style Fund | — | — | — | 71,819 | — | — | ||||||||||||||||||
AQR TM Small Cap Multi-Style Fund | — | — | — | 17,616 | — | — | ||||||||||||||||||
AQR TM International Multi-Style Fund | — | — | — | 18,750 | — | — | ||||||||||||||||||
AQR TM Emerging Multi-Style Fund | — | — | — | 216,508 | — | — | ||||||||||||||||||
AQR Large Cap Momentum Style Fund | — | — | — | 164,738 | — | — | ||||||||||||||||||
AQR Small Cap Momentum Style Fund | — | — | — | 141,096 | — | — | ||||||||||||||||||
AQR International Momentum Style Fund | — | — | — | 38,292 | — | — | ||||||||||||||||||
AQR TM Large Cap Momentum Style Fund | — | — | — | 47,784 | — | — | ||||||||||||||||||
AQR TM Small Cap Momentum Style Fund | — | — | — | 40,450 | — | — | ||||||||||||||||||
AQR TM International Momentum Style Fund | — | — | — | 14,075 | — | — | ||||||||||||||||||
AQR Large Cap Defensive Style Fund | — | — | — | 864,589 | — | — | ||||||||||||||||||
AQR International Defensive Style Fund | — | — | — | 15,197 | — | — | ||||||||||||||||||
AQR Emerging Defensive Style Fund | — | — | — | 52,849 | — | — | ||||||||||||||||||
AQR Global Equity Fund | 518,382 | 146,205 | 799,187 | — | — | — | ||||||||||||||||||
AQR International Equity Fund | 430,826 | — | 635,570 | — | 40,124 | — | ||||||||||||||||||
AQR International Relaxed Constraint Equity Fund | — | — | — | 148 | — | — | ||||||||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | — | — | — | 5,903 | 145,748 | — |
* | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
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Notes to Financial Statements | September 30, 2019 |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended September 30, 2019:
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||
AQR Large Cap Multi-Style Fund | $ | 1,586,011 | $ | — | $ | — | $ | 22,502 | $ | — | $ | — | ||||||||||||
AQR Small Cap Multi-Style Fund | (666 | ) | — | — | (22,364 | ) | — | — | ||||||||||||||||
AQR International Multi-Style Fund | 221,401 | — | — | (36,120 | ) | — | — | |||||||||||||||||
AQR Emerging Multi-Style Fund | 477,792 | — | — | (228,347 | ) | — | — | |||||||||||||||||
AQR TM Large Cap Multi-Style Fund | 865,248 | — | — | (96,443 | ) | — | — | |||||||||||||||||
AQR TM Small Cap Multi-Style Fund | (18,305 | ) | — | — | (13,514 | ) | — | — | ||||||||||||||||
AQR TM International Multi-Style Fund | 89,593 | — | — | (45,656 | ) | — | — | |||||||||||||||||
AQR TM Emerging Multi-Style Fund | (91,726 | ) | — | — | (335,796 | ) | — | — | ||||||||||||||||
AQR Large Cap Momentum Style Fund | 2,152,389 | — | — | (263,818 | ) | — | — | |||||||||||||||||
AQR Small Cap Momentum Style Fund | (739,063 | ) | — | — | (138,926 | ) | — | — | ||||||||||||||||
AQR International Momentum Style Fund | 309,533 | — | — | (124,542 | ) | — | — | |||||||||||||||||
AQR TM Large Cap Momentum Style Fund | 169,350 | — | — | (68,741 | ) | — | — | |||||||||||||||||
AQR TM Small Cap Momentum Style Fund | 79,206 | — | — | (27,957 | ) | — | — | |||||||||||||||||
AQR TM International Momentum Style Fund | 102,602 | — | — | (34,754 | ) | — | — | |||||||||||||||||
AQR Large Cap Defensive Style Fund | 4,731,019 | — | — | (910,152 | ) | — | — | |||||||||||||||||
AQR International Defensive Style Fund | (400,350 | ) | — | — | (78,414 | ) | — | — | ||||||||||||||||
AQR Emerging Defensive Style Fund | (206,589 | ) | — | — | (104,952 | ) | — | — | ||||||||||||||||
AQR Global Equity Fund | 85,521 | (1,708,165 | ) | — | (1,338,101 | ) | (950,933 | ) | — | |||||||||||||||
AQR International Equity Fund | 16,809 | (2,891,663 | ) | — | (4,772,741 | ) | (205,040 | ) | — | |||||||||||||||
AQR International Relaxed Constraint Equity Fund | (123,448 | ) | — | — | (15,791 | ) | — | — | ||||||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | 28,273 | (1,386,482 | ) | — | (20,382 | ) | (144,423 | ) | — | |||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
AQR Global Equity Fund | — | — | 935,386 | — | — | 1,244,544 | ||||||||||||||||||
AQR International Equity Fund | — | — | (368,261 | ) | — | — | 916,930 |
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Notes to Financial Statements | September 30, 2019 |
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of September 30, 2019:
AQR GLOBAL EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | CASH COLLATERAL (RECEIVED)/ PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITG | Forward Foreign Currency Exchange Contracts | $ | 715,905 | $ | (316,271 | ) | $ | 399,634 | $ | — | $ | (270,000 | ) | $ | 129,634 | |||||||||||
GSIN | Total Return Swaps Contracts | 1,088 | — | 1,088 | — | — | 1,088 | |||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 715,865 | (316,312 | ) | 399,553 | |||||||||||||||||||||
Total Return Swaps Contracts | 210,824 | (49,196 | ) | 161,628 | ||||||||||||||||||||||
Total JPMC | 926,689 | (365,508 | ) | 561,181 | — | — | 561,181 | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,643,682 | (681,779 | ) | 961,903 | — | (270,000 | ) | 691,903 | ||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | CASH COLLATERAL RECEIVED/ (PLEDGED) (a) | NET AMOUNT | |||||||||||||||||||
CITG | Forward Foreign Currency Exchange Contracts | $ | 316,271 | $ | (316,271 | ) | $ | — | ||||||||||||||||||
CITI | Total Return Swaps Contracts | 16,511 | — | 16,511 | — | — | 16,511 | |||||||||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 316,312 | (316,312 | ) | — | |||||||||||||||||||||
Total Return Swaps Contracts | 49,196 | (49,196 | ) | — | ||||||||||||||||||||||
Total JPMC | 365,508 | (365,508 | ) | — | — | — | — | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 698,290 | (681,779 | ) | 16,511 | — | — | 16,511 |
(a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 2,486,906. |
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Notes to Financial Statements | September 30, 2019 |
AQR INTERNATIONAL EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | CASH COLLATERAL (RECEIVED)/ PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITG | Forward Foreign Currency Exchange Contracts | $ | 764,645 | $ | (446,816 | ) | $ | 317,829 | $ | — | $ | (240,000 | ) | $ | 77,829 | |||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 764,607 | (446,866 | ) | 317,741 | |||||||||||||||||||||
Total Return Swaps Contracts | 108,956 | (108,956 | ) | — | ||||||||||||||||||||||
Total JPMC | 873,563 | (555,822 | ) | 317,741 | — | — | 317,741 | |||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,638,208 | (1,002,638 | ) | 635,570 | — | (240,000 | ) | 395,570 | ||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | CASH COLLATERAL RECEIVED/ (PLEDGED) (a) | NET AMOUNT | |||||||||||||||||||
CITG | Forward Foreign Currency Exchange Contracts | $ | 446,816 | $ | (446,816 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 446,866 | (446,866 | ) | — | |||||||||||||||||||||
Total Return Swaps Contracts | 149,080 | (108,956 | ) | 40,124 | ||||||||||||||||||||||
Total JPMC | 595,946 | (555,822 | ) | 40,124 | — | (40,124 | ) | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 1,042,762 | (1,002,638 | ) | 40,124 | — | (40,124 | ) | — |
(a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 2,720,453. |
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | CASH COLLATERAL (RECEIVED)/ PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
JPMC | Total Return Basket Swaps Contracts | $ | 282,599 | $ | (282,599 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 282,599 | (282,599 | ) | — | — | — | — |
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AQR EMERGING RELAXED CONSTRAINT EQUITY FUND (continued)
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | CASH COLLATERAL RECEIVED/ (PLEDGED) (a) | NET AMOUNT | |||||||||||||||||||
JPMC | Total Return Basket Swaps Contracts | $ | 428,347 | $ | (282,599 | ) | $ | 145,748 | $ | — | $ | (145,748 | ) | $ | — | |||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 428,347 | (282,599 | ) | 145,748 | — | (145,748 | ) | — |
(a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,325,011 |
For the year ended September 30, 2019, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
AQR LARGE CAP MULTI-STYLE FUND | AQR SMALL CAP MULTI-STYLE FUND | AQR INTERNATIONAL MULTI-STYLE FUND | AQR EMERGING MULTI-STYLE FUND | AQR TM LARGE CAP MULTI-STYLE FUND | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance—Long | $ | 24,652,011 | $ | 12,807,541 | $ | 7,101,850 | $ | 4,112,037 | $ | 6,129,974 | ||||||||||
Average Notional Balance—Short | — | — | — | — | — | |||||||||||||||
Ending Notional Balance—Long | 14,147,875 | 4,422,500 | 5,505,360 | 5,159,785 | 7,744,100 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | — | — | |||||||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND | AQR TM INTERNATIONAL MULTI-STYLE FUND | AQR TM EMERGING MULTI-STYLE FUND | AQR LARGE CAP MOMENTUM STYLE FUND | AQR SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance—Long | $ | 298,156 | $ | 4,078,379 | $ | 6,751,077 | $ | 20,174,340 | $ | 2,376,922 | ||||||||||
Average Notional Balance—Short | — | — | — | — | — | |||||||||||||||
Ending Notional Balance—Long | 457,500 | 3,891,720 | 6,362,065 | 17,573,150 | 3,736,250 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | — | — | |||||||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND | AQR TM LARGE CAP MOMENTUM STYLE FUND | AQR TM SMALL CAP MOMENTUM STYLE FUND | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | AQR LARGE CAP DEFENSIVE STYLE FUND | ||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance—Long | $ | 10,645,329 | $ | 3,998,646 | $ | 1,053,001 | $ | 3,370,778 | $ | 97,876,349 | ||||||||||
Average Notional Balance—Short | — | — | — | — | — | |||||||||||||||
Ending Notional Balance—Long | 10,631,040 | 5,957,000 | 1,067,500 | 4,366,320 | 156,520,175 | |||||||||||||||
Ending Notional Balance—Short | — | — | — | — | — |
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Notes to Financial Statements | September 30, 2019 |
AQR INTERNATIONAL DEFENSIVE STYLE FUND | AQR EMERGING DEFENSIVE STYLE FUND | AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance—Long | $ | 5,177,750 | $ | 1,891,687 | $ | 52,020,095 | $ | 75,051,969 | ||||||||
Average Notional Balance—Short | — | — | 40,495,690 | 38,606,568 | ||||||||||||
Ending Notional Balance—Long | 5,979,960 | 1,552,945 | 67,792,143 | 55,576,212 | ||||||||||||
Ending Notional Balance—Short | — | — | 44,378,392 | 24,490,003 | ||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||
Average Settlement Value—Purchased | — | — | 145,554,650 | 171,009,435 | ||||||||||||
Average Settlement Value—Sold | — | — | 161,162,875 | 172,648,435 | ||||||||||||
Ending Value—Purchased | — | — | 97,779,283 | 111,760,361 | ||||||||||||
Ending Value—Sold | — | — | 81,565,861 | 90,955,820 | ||||||||||||
Total Return Swaps: | ||||||||||||||||
Average Notional Balance—Long | — | — | 25,422,219 | 21,775,858 | ||||||||||||
Average Notional Balance—Short | — | — | 1,337,098 | 9,425,935 | ||||||||||||
Ending Notional Balance—Long | — | — | 13,101,149 | 9,190,863 | ||||||||||||
Ending Notional Balance—Short | — | — | 2,612,820 | 1,750,968 | ||||||||||||
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | |||||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance—Long | $ | 772,107 | $ | 451,407 | ||||||||||||
Average Notional Balance—Short | — | — | ||||||||||||||
Ending Notional Balance—Long | 189,840 | 200,380 | ||||||||||||||
Ending Notional Balance—Short | — | — | ||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||
Average Notional of Underlying Positions—Long | — | 8,567,611 | ||||||||||||||
Average Notional of Underlying Positions—Short | — | 4,520,187 | ||||||||||||||
Ending Notional Balance—Long | — | 4,353,388 | ||||||||||||||
Ending Notional Balance—Short | — | 2,280,076 |
* | Notional values as of each quarter end are used to calculate the average represented. |
8. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds, pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017, as amended (the “Investment Management Agreement”), or the Investment Management Agreement II, dated November 13, 2015, as amended (“Investment Management Agreement II”), each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Management Agreement II collectively referred to herein as the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makesday-to-day investment decisions for each Fund, and manages each Fund’s investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
FUND | RATIO | |||
AQR Large Cap Multi-Style Fund | 0.30 | % | ||
AQR Small Cap Multi-Style Fund | 0.50 | |||
AQR International Multi-Style Fund | 0.45 | |||
AQR Emerging Multi-Style Fund | 0.60 | |||
AQR TM Large Cap Multi-Style Fund | 0.30 | |||
AQR TM Small Cap Multi-Style Fund | 0.50 |
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Notes to Financial Statements | September 30, 2019 |
FUND | RATIO | |||
AQR TM International Multi-Style Fund | 0.45 | % | ||
AQR TM Emerging Multi-Style Fund | 0.60 | |||
AQR Large Cap Momentum Style Fund | 0.25 | |||
AQR Small Cap Momentum Style Fund | 0.45 | |||
AQR International Momentum Style Fund | 0.40 | |||
AQR TM Large Cap Momentum Style Fund | 0.25 | |||
AQR TM Small Cap Momentum Style Fund | 0.45 | |||
AQR TM International Momentum Style Fund | 0.40 | |||
AQR Large Cap Defensive Style Fund | 0.25 | |||
AQR International Defensive Style Fund | 0.40 | |||
AQR Emerging Defensive Style Fund | 0.55 | |||
AQR Global Equity Fund | 0.60 | |||
AQR International Equity Fund | 0.65 | |||
AQR Large Cap Relaxed Constraint Equity Fund | 0.60 | |||
AQR Small Cap Relaxed Constraint Fund | 0.80 | |||
AQR International Relaxed Constraint Fund | 0.75 | |||
AQR Emerging Relaxed Constraint Fund | 0.95 |
The Trust and the Adviser have entered into an agreement (the “Expense Limitation Agreement”) whereby the Adviser has agreed to reimburse operating expenses of each Fund at least through January 28, 2020 for Class I, N, and R6 shares. Pursuant to the Expense Limitation Agreement, the Adviser has agreed to reimburse each Fund in an amount sufficient to limit Fund operating expenses other than management fees and12b-1 fees, and exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, expenses related to class action claims and extraordinary expenses, at no more than the following ratios:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Large Cap Multi-Style Fund | 0.15 | % | 0.15 | % | 0.05 | % | ||||||
AQR Small Cap Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR International Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR Emerging Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM Large Cap Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM Small Cap Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM International Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM Emerging Multi-Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR Large Cap Momentum Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR Small Cap Momentum Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR International Momentum Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM Large Cap Momentum Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM Small Cap Momentum Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR TM International Momentum Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR Large Cap Defensive Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR International Defensive Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR Emerging Defensive Style Fund | 0.15 | 0.15 | 0.05 | |||||||||
AQR Global Equity Fund | 0.20 | 0.20 | 0.10 | |||||||||
AQR International Equity Fund | 0.20 | 0.20 | 0.10 | |||||||||
AQR Large Cap Relaxed Constraint Equity Fund | 0.20 | 0.20 | 0.10 | |||||||||
AQR Small Cap Relaxed Constraint Equity Fund | 0.20 | 0.20 | 0.10 | |||||||||
AQR International Relaxed Constraint Equity Fund | 0.20 | 0.20 | 0.10 | |||||||||
AQR Emerging Relaxed Constraint Equity Fund | 0.20 | 0.20 | 0.10 |
Prior to January 29, 2019, pursuant to the Expense Limitation Agreement, the Adviser agreed to waive fees and/or reimburse expenses of each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, expenses related to class action claims and extraordinary expenses, exceeded the following ratios:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Large Cap Multi-Style Fund | 0.45 | % | 0.70 | % | 0.35 | % | ||||||
AQR Small Cap Multi-Style Fund | 0.65 | 0.90 | 0.55 | |||||||||
AQR International Multi-Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR Emerging Multi-Style Fund | 0.75 | 1.00 | 0.65 | |||||||||
AQR TM Large Cap Multi-Style Fund | 0.45 | 0.70 | 0.35 | |||||||||
AQR TM Small Cap Multi-Style Fund | 0.65 | 0.90 | 0.55 |
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FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR TM International Multi-Style Fund | 0.60 | % | 0.85 | % | 0.50 | % | ||||||
AQR TM Emerging Multi-Style Fund | 0.75 | 1.00 | 0.65 | |||||||||
AQR Large Cap Momentum Style Fund | 0.40 | 0.65 | 0.30 | |||||||||
AQR Small Cap Momentum Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR International Momentum Style Fund | 0.55 | 0.80 | 0.45 | |||||||||
AQR TM Large Cap Momentum Style Fund | 0.40 | 0.65 | 0.30 | |||||||||
AQR TM Small Cap Momentum Style Fund | 0.60 | 0.85 | 0.50 | |||||||||
AQR TM International Momentum Style Fund | 0.55 | 0.80 | 0.45 | |||||||||
AQR Large Cap Defensive Style Fund | 0.40 | 0.65 | 0.30 | |||||||||
AQR International Defensive Style Fund | 0.55 | 0.80 | 0.45 | |||||||||
AQR Emerging Defensive Style Fund | 0.70 | 0.95 | 0.60 | |||||||||
AQR Global Equity Fund | 0.80 | 1.05 | 0.70 | |||||||||
AQR International Equity Fund | 0.85 | 1.10 | 0.75 | |||||||||
AQR Large Cap Relaxed Constraint Fund | 0.80 | 1.05 | 0.70 | |||||||||
AQR Small Cap Relaxed Constraint Fund | 1.00 | 1.25 | 0.90 | |||||||||
AQR International Relaxed Constraint Fund | 0.95 | 1.20 | 0.85 | |||||||||
AQR Emerging Relaxed Constraint Fund | 1.15 | 1.40 | 1.05 |
For the year ended September 30, 2019 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
FUND | INVESTMENT ADVISORY FEES WAIVED | EXPENSE REIMBURSEMENTS | TOTAL | |||||||||
AQR Large Cap Multi-Style Fund | $ | 28,429 | $ | 30,786 | $ | 59,215 | ||||||
AQR Small Cap Multi-Style Fund | 29,606 | 103,196 | 132,802 | |||||||||
AQR International Multi-Style Fund | 74,885 | 154,166 | 229,051 | |||||||||
AQR Emerging Multi-Style Fund | 100,934 | 181,602 | 282,536 | |||||||||
AQR TM Large Cap Multi-Style Fund | 36,017 | 106,880 | 142,897 | |||||||||
AQR TM Small Cap Multi-Style Fund | 44,069 | 115,316 | 159,385 | |||||||||
AQR TM International Multi-Style Fund | 60,758 | 141,051 | 201,809 | |||||||||
AQR TM Emerging Multi-Style Fund | 96,480 | 209,893 | 306,373 | |||||||||
AQR Large Cap Momentum Style Fund | 31,205 | 61,595 | 92,800 | |||||||||
AQR Small Cap Momentum Style Fund | 46,676 | 112,179 | 158,855 | |||||||||
AQR International Momentum Style Fund | 72,986 | 161,623 | 234,609 | |||||||||
AQR TM Large Cap Momentum Style Fund | 36,559 | 103,008 | 139,567 | |||||||||
AQR TM Small Cap Momentum Style Fund | 44,051 | 121,725 | 165,776 | |||||||||
AQR TM International Momentum Style Fund | 66,271 | �� | 141,773 | 208,044 | ||||||||
AQR Large Cap Defensive Style Fund | 4,724 | 333,395 | 338,119 | |||||||||
AQR International Defensive Style Fund | 58,408 | 150,576 | 208,984 | |||||||||
AQR Emerging Defensive Style Fund | 68,469 | 157,538 | 226,007 | |||||||||
AQR Global Equity Fund | 24,557 | 16,835 | 41,392 | |||||||||
AQR International Equity Fund | 23,841 | 114,260 | 138,101 | |||||||||
AQR Large Cap Relaxed Constraint Equity Fund | 31,680 | 92,538 | 124,218 | |||||||||
AQR Small Cap Relaxed Constraint Equity Fund | 6,699 | 131,557 | 138,256 | |||||||||
AQR International Relaxed Constraint Equity Fund | 34,863 | 99,776 | 134,639 | |||||||||
AQR Emerging Relaxed Constraint Equity Fund | 55,261 | 145,692 | 200,953 |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during thethirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Expense Limitation Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and/or expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the total annual operating expenses or the other operating expenses, as applicable, attributable to a share class of the Fund during a year in which such repayment is made to exceed either of (i) the applicable limits in effect at the time of the waiver and/or reimbursement and (ii) the applicable limits in effect at the time of recapture.
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Notes to Financial Statements | September 30, 2019 |
For the year ended September 30, 2019, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at September 30, 2019 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, | TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||
2020 | 2021 | 2022 | ||||||||||||||||||
AQR LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 16,354 | $ | 53,902 | $ | 37,548 | $ | — | $ | 16,354 | ||||||||||
Class N | 2,403 | 8,091 | 5,688 | — | 2,403 | |||||||||||||||
Class R6 | 40,458 | 143,411 | 102,953 | — | 40,458 | |||||||||||||||
Totals | $ | 59,215 | $ | 205,404 | $ | 146,189 | $ | — | $ | 59,215 | ||||||||||
AQR SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 9,987 | $ | 37,417 | $ | 18,244 | $ | 9,186 | $ | 9,987 | ||||||||||
Class N | 1,673 | 6,401 | 3,552 | 1,176 | 1,673 | |||||||||||||||
Class R6 | 121,142 | 478,010 | 252,609 | 104,259 | 121,142 | |||||||||||||||
Totals | $ | 132,802 | $ | 521,828 | $ | 274,405 | $ | 114,621 | $ | 132,802 | ||||||||||
AQR INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 48,136 | $ | 116,336 | $ | 36,268 | $ | 31,932 | $ | 48,136 | ||||||||||
Class N | 3,854 | 11,313 | 4,427 | 3,032 | 3,854 | |||||||||||||||
Class R6 | 177,061 | 508,447 | 178,757 | 152,629 | 177,061 | |||||||||||||||
Totals | $ | 229,051 | $ | 636,096 | $ | 219,452 | $ | 187,593 | $ | 229,051 | ||||||||||
AQR EMERGING MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 48,901 | $ | 229,033 | $ | 110,223 | $ | 69,909 | $ | 48,901 | ||||||||||
Class N | 4,964 | 22,659 | 9,735 | 7,960 | 4,964 | |||||||||||||||
Class R6 | 228,671 | 821,882 | 269,717 | 323,494 | 228,671 | |||||||||||||||
Totals | $ | 282,536 | $ | 1,073,574 | $ | 389,675 | $ | 401,363 | $ | 282,536 | ||||||||||
AQR TM LARGE CAP MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 41,863 | $ | 106,498 | $ | 39,020 | $ | 25,615 | $ | 41,863 | ||||||||||
Class N | 634 | 3,055 | 1,623 | 798 | 634 | |||||||||||||||
Class R6 | 100,400 | 259,450 | 96,393 | 62,657 | 100,400 | |||||||||||||||
Totals | $ | 142,897 | $ | 369,003 | $ | 137,036 | $ | 89,070 | $ | 142,897 | ||||||||||
AQR TM SMALL CAP MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 119,940 | $ | 319,669 | $ | 101,314 | $ | 98,415 | $ | 119,940 | ||||||||||
Class N | 25,028 | 77,750 | 27,240 | 25,482 | 25,028 | |||||||||||||||
Class R6 | 14,417 | 36,883 | 12,420 | 10,046 | 14,417 | |||||||||||||||
Totals | $ | 159,385 | $ | 434,302 | $ | 140,974 | $ | 133,943 | $ | 159,385 | ||||||||||
AQR TM INTERNATIONAL MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 30,124 | $ | 80,031 | $ | 25,965 | $ | 23,942 | $ | 30,124 | ||||||||||
Class N | 1,456 | 5,376 | 2,090 | 1,830 | 1,456 | |||||||||||||||
Class R6 | 170,229 | 460,299 | 152,427 | 137,643 | 170,229 | |||||||||||||||
Totals | $ | 201,809 | $ | 545,706 | $ | 180,482 | $ | 163,415 | $ | 201,809 | ||||||||||
AQR TM EMERGING MULTI-STYLE FUND | ||||||||||||||||||||
Class I | $ | 25,888 | $ | 63,167 | $ | 17,236 | $ | 20,043 | $ | 25,888 | ||||||||||
Class N | 985 | 6,259 | 2,882 | 2,392 | 985 | |||||||||||||||
Class R6 | 279,500 | 999,507 | 356,746 | 363,261 | 279,500 | |||||||||||||||
Totals | $ | 306,373 | $ | 1,068,933 | $ | 376,864 | $ | 385,696 | $ | 306,373 |
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Notes to Financial Statements | September 30, 2019 |
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, | TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||
2020 | 2021 | 2022 | ||||||||||||||||||
AQR LARGE CAP MOMENTUM STYLE FUND | ||||||||||||||||||||
Class I | $ | 75,024 | $ | 133,098 | $ | 51,199 | $ | 6,875 | $ | 75,024 | ||||||||||
Class N | 6,543 | 10,574 | 3,559 | 472 | 6,543 | |||||||||||||||
Class R6 | 11,233 | 15,616 | 3,858 | 525 | 11,233 | |||||||||||||||
Totals | $ | 92,800 | $ | 159,288 | $ | 58,616 | $ | 7,872 | $ | 92,800 | ||||||||||
AQR SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||
Class I | $ | 144,457 | $ | 360,369 | $ | 124,333 | $ | 91,579 | $ | 144,457 | ||||||||||
Class N | 1,986 | 2,960 | 582 | 392 | 1,986 | |||||||||||||||
Class R6 | 12,412 | 19,594 | 3,697 | 3,485 | 12,412 | |||||||||||||||
Totals | $ | 158,855 | $ | 382,923 | $ | 128,612 | $ | 95,456 | $ | 158,855 | ||||||||||
AQR INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||
Class I | $ | 174,075 | $ | 503,332 | $ | 172,092 | $ | 157,165 | $ | 174,075 | ||||||||||
Class N | 20,137 | 55,388 | 18,047 | 17,204 | 20,137 | |||||||||||||||
Class R6 | 40,397 | 87,386 | 22,827 | 24,162 | 40,397 | |||||||||||||||
Totals | $ | 234,609 | $ | 646,106 | $ | 212,966 | $ | 198,531 | $ | 234,609 | ||||||||||
AQR TM LARGE CAP MOMENTUM STYLE FUND | ||||||||||||||||||||
Class I | $ | 70,526 | $ | 177,195 | $ | 56,646 | $ | 50,023 | $ | 70,526 | ||||||||||
Class N | 5,541 | 11,862 | 825 | 5,496 | 5,541 | |||||||||||||||
Class R6 | 63,500 | 171,501 | 61,219 | 46,782 | 63,500 | |||||||||||||||
Totals | $ | 139,567 | $ | 360,558 | $ | 118,690 | $ | 102,301 | $ | 139,567 | ||||||||||
AQR TM SMALL CAP MOMENTUM STYLE FUND | ||||||||||||||||||||
Class I | $ | 155,053 | $ | 400,542 | $ | 127,032 | $ | 118,457 | $ | 155,053 | ||||||||||
Class N | 10,020 | 21,031 | 1,290 | 9,721 | 10,020 | |||||||||||||||
Class R6 | 703 | 1,736 | 585 | 448 | 703 | |||||||||||||||
Totals | $ | 165,776 | $ | 423,309 | $ | 128,907 | $ | 128,626 | $ | 165,776 | ||||||||||
AQR TM INTERNATIONAL MOMENTUM STYLE FUND | ||||||||||||||||||||
Class I | $ | 91,116 | $ | 236,907 | $ | 68,298 | $ | 77,493 | $ | 91,116 | ||||||||||
Class N | 11,369 | 22,164 | 1,251 | 9,544 | 11,369 | |||||||||||||||
Class R6 | 105,559 | 294,892 | 96,352 | 92,981 | 105,559 | |||||||||||||||
Totals | $ | 208,044 | $ | 553,963 | $ | 165,901 | $ | 180,018 | $ | 208,044 | ||||||||||
AQR LARGE CAP DEFENSIVE STYLE FUND | ||||||||||||||||||||
Class I | $ | 226,609 | $ | 350,637 | $ | 104,771 | $ | 19,257 | $ | 226,609 | ||||||||||
Class N | 29,867 | 72,712 | 37,604 | 5,241 | 29,867 | |||||||||||||||
Class R6 | 81,643 | 112,965 | 26,257 | 5,065 | 81,643 | |||||||||||||||
Totals | $ | 338,119 | $ | 536,314 | $ | 168,632 | $ | 29,563 | $ | 338,119 | ||||||||||
AQR INTERNATIONAL DEFENSIVE STYLE FUND | ||||||||||||||||||||
Class I | $ | 174,650 | $ | 426,898 | $ | 130,587 | $ | 121,661 | $ | 174,650 | ||||||||||
Class N | 5,488 | 52,286 | 32,592 | 14,206 | 5,488 | |||||||||||||||
Class R6 | 28,846 | 67,208 | 19,870 | 18,492 | 28,846 | |||||||||||||||
Totals | $ | 208,984 | $ | 546,392 | $ | 183,049 | $ | 154,359 | $ | 208,984 | ||||||||||
AQR EMERGING DEFENSIVE STYLE FUND | ||||||||||||||||||||
Class I | $ | 198,917 | $ | 584,661 | $ | 197,570 | $ | 188,174 | $ | 198,917 | ||||||||||
Class N | 26,568 | 54,868 | 9,909 | 18,391 | 26,568 | |||||||||||||||
Class R6 | 522 | 1,784 | 703 | 559 | 522 | |||||||||||||||
Totals | $ | 226,007 | $ | 641,313 | $ | 208,182 | $ | 207,124 | $ | 226,007 |
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FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, | TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||
2020 | 2021 | 2022 | ||||||||||||||||||
AQR GLOBAL EQUITY FUND | ||||||||||||||||||||
Class I | $ | 20,145 | $ | 70,184 | $ | 23,662 | $ | 26,377 | $ | 20,145 | ||||||||||
Class N | 507 | 2,117 | 1,175 | 435 | 507 | |||||||||||||||
Class R6 | 20,740 | 136,890 | 81,044 | 35,106 | 20,740 | |||||||||||||||
Totals | $ | 41,392 | $ | 209,191 | $ | 105,881 | $ | 61,918 | $ | 41,392 | ||||||||||
AQR INTERNATIONAL EQUITY FUND | ||||||||||||||||||||
Class I | $ | 116,191 | $ | 228,822 | $ | 37,831 | $ | 74,800 | $ | 116,191 | ||||||||||
Class N | 3,822 | 9,999 | 3,430 | 2,747 | 3,822 | |||||||||||||||
Class R6 | 18,088 | 28,326 | 1,202 | 9,036 | 18,088 | |||||||||||||||
Totals | $ | 138,101 | $ | 267,147 | $ | 42,463 | $ | 86,583 | $ | 138,101 | ||||||||||
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | ||||||||||||||||||||
Class I | $ | 107,461 | $ | 282,625 | $ | 67,645 | $ | 107,519 | $ | 107,461 | ||||||||||
Class N | 5,387 | 34,062 | 23,622 | 5,053 | 5,387 | |||||||||||||||
Class R6 | 11,370 | 66,000 | 39,990 | 14,640 | 11,370 | |||||||||||||||
Totals | $ | 124,218 | $ | 382,687 | $ | 131,257 | $ | 127,212 | $ | 124,218 | ||||||||||
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | ||||||||||||||||||||
Class I | $ | 47,373 | $ | 149,778 | $ | 49,392 | $ | 53,013 | $ | 47,373 | ||||||||||
Class N | 28,696 | 77,251 | 27,341 | 21,214 | 28,696 | |||||||||||||||
Class R6 | 62,187 | 165,154 | 53,606 | 49,361 | 62,187 | |||||||||||||||
Totals | $ | 138,256 | $ | 392,183 | $ | 130,339 | $ | 123,588 | $ | 138,256 | ||||||||||
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | ||||||||||||||||||||
Class I | $ | 125,030 | $ | 258,111 | $ | 57,807 | $ | 75,274 | $ | 125,030 | ||||||||||
Class N | 8,785 | 52,700 | 23,019 | 20,896 | 8,785 | |||||||||||||||
Class R6 | 824 | 57,849 | 48,312 | 8,713 | 824 | |||||||||||||||
Totals | $ | 134,639 | $ | 368,660 | $ | 129,138 | $ | 104,883 | $ | 134,639 | ||||||||||
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | ||||||||||||||||||||
Class I | $ | 117,304 | $ | 241,292 | $ | 53,067 | $ | 70,921 | $ | 117,304 | ||||||||||
Class N | 27,128 | 88,777 | 31,200 | 30,449 | 27,128 | |||||||||||||||
Class R6 | 56,521 | 210,447 | 78,501 | 75,425 | 56,521 | |||||||||||||||
Totals | $ | 200,953 | $ | 540,516 | $ | 162,768 | $ | 176,795 | $ | 200,953 |
During the year ended September 30, 2019, the Funds recouped amounts as follows:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Large Cap Multi-Style Fund | $ | 1,236 | $ | 173 | $ | 3,318 | ||||||
AQR Large Cap Defensive Style Fund | 30,500 | 5,588 | 5,845 | |||||||||
AQR Global Equity Fund | 1,020 | 20 | 703 |
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.
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10. Principal Risks and Concentrations
The investment techniques and strategies utilized by the Funds, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover will cause the Funds to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Funds.
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Funds may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated. Convertible securities andnon-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities andnon-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).
Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investments in a single country or a limited number of countries represent a higher percentage of the Fund’s assets, the Fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.
Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets. Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies andnon-U.S. denominated financial instruments. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
The Funds may invest in securities with positive momentum. This entails investing in securities that have had above-average recent returns. These securities may be more volatile than a broad cross- section of securities. In addition, there may be periods during which the investment performance of the Fund while using a momentum strategy may suffer.
Investing in or having exposure to “value” securities presents the risk that the securities may never reach what the Adviser believes are their full market values, either because the market fails to recognize what the Adviser considers to be the security’s true value or because the Adviser misjudged that value. In addition, there may be periods during which the investment performance of the Fund while using a value strategy may suffer.
The Funds may have investments that appreciate or decrease significantly in value over short periods of time. This may cause the Funds’ net asset value per share to experience significant increases or declines in value over short periods of time, however, all investments long-term or short-term are subject to risk of loss.
In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their
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obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be deposited with or returned to the Funds when deemed necessary.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterpartynon-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be in the Funds’ best interest to do so.
Given the complexity of the investments and strategies of the Fund, the Adviser relies heavily on quantitative models and information and data supplied by third parties (“Models and Data”). Models and Data are used to construct sets of transactions and investments, to provide risk management insights, and to assist in hedging the Fund’s investments. When Models and Data prove to be incorrect or incomplete, any decisions made in reliance thereon expose the Fund to potential risks. Similarly, any hedging based on faulty Models and Data may prove to be unsuccessful. Some of the models used by the Adviser for the Fund are predictive in nature. The use of predictive models has inherent risks. Because predictive models are usually constructed based on historical data supplied by third parties, the success of relying on such models may depend heavily on the accuracy and reliability of the supplied historical data. The Fund bears the risk that the quantitative models used by the Adviser will not be successful in selecting investments or in determining the weighting of investment positions that will enable the Fund to achieve its investment objective.
Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.
Please refer to the Funds’ prospectuses for a more complete description of the principal risks of investing in the Funds.
11. Interfund Lending
Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Funds may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with each Fund’s investment objective and investment policies. This program allows the Funds to borrow and lend to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board. No Fund may borrow or lend money through the program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.
A lending Fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must secure each of its outstanding borrowings through the Interfund Lending Program with collateral equal to 102% of the outstanding principal value of the loan.
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The Funds are not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in a Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program. Interest expense paid, as a result of borrowing under this agreement is included in Interfund lending expense in the Statements of Operations.
During the reporting period, average borrowings under the Interfund Lending Program were as follows:
FUND | AVERAGE BORROWINGS | NUMBER OF DAYS OUTSTANDING | INTEREST PAID | |||||||||
AQR International Multi-Style Fund | $ | 1,184,000 | 15 | $ | 1,278 | |||||||
AQR Emerging Defensive Style Fund | 1,500,000 | 3 | 283 | |||||||||
AQR International Equity Fund | 3,000,000 | 4 | 841 |
12. Line of Credit
Effective March 22, 2019 and terminating on March 20, 2020, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount available to a Fund is the lesser of an amount which will not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full. Interest expense paid, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.
There were no open borrowings as of September 30, 2019 by any of the Funds in the Trust.
The Funds had the following borrowings during the period:
FUND | AVERAGE BORROWINGS | AVERAGE INTEREST RATE % | NUMBER OF DAYS OUTSTANDING | INTEREST PAID | ||||||||||||
AQR Large Cap Multi-Style Fund | $ | 3,683,333 | 3.50 | 12 | $ | 4,239 | ||||||||||
AQR International Multi-Style Fund | 11,272,727 | 3.37 | 11 | 11,474 | ||||||||||||
AQR Emerging Multi-Style Fund | 6,000,000 | 3.54 | 7 | 4,076 | ||||||||||||
AQR TM Small Cap Multi-Style Fund | 1,121,053 | 3.53 | 19 | 2,060 | ||||||||||||
AQR TM International Multi-Style Fund | 1,750,000 | 3.39 | 6 | 975 | ||||||||||||
AQR Large Cap Momentum Style Fund | 24,576,923 | 3.39 | 13 | 29,667 | ||||||||||||
AQR Small Cap Momentum Style Fund | 6,714,286 | 3.51 | 7 | 4,517 | ||||||||||||
AQR International Momentum Style Fund | 6,000,000 | 3.53 | 7 | 4,064 | ||||||||||||
AQR TM Small Cap Momentum Style Fund | 2,322,222 | 3.50 | 9 | 2,002 | ||||||||||||
AQR TM International Momentum Style Fund | 4,490,909 | 3.53 | 24 | 10,437 | ||||||||||||
AQR Emerging Defensive Style Fund | 2,000,000 | 3.56 | 5 | 975 | ||||||||||||
AQR International Equity Fund | 19,191,429 | 3.46 | 7 | 12,741 | ||||||||||||
AQR International Relaxed Constraint Equity Fund | 2,900,000 | 3.35 | 5 | 1,331 | ||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | 1,507,727 | 3.65 | 21 | 3,163 |
13. Principal Ownership
As of September 30, 2019, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:
FUND | NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMIBUS ACCOUNTS | TOTAL PERCENTAGE INTEREST HELD | ||||||
AQR Large Cap Multi-Style Fund | 4 | 94.07 | % | |||||
AQR Small Cap Multi-Style Fund | 2 | 94.86 | % | |||||
AQR International Multi-Style Fund | 4 | 92.02 | % |
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FUND | NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMIBUS ACCOUNTS | TOTAL PERCENTAGE INTEREST HELD | ||||||
AQR Emerging Multi-Style Fund | 4 | 92.02 | % | |||||
AQR TM Large Cap Multi-Style Fund | 4 | 93.28 | % | |||||
AQR TM Small Cap Multi-Style Fund* | 4 | 98.47 | % | |||||
AQR TM International Multi-Style Fund | 4 | 94.22 | % | |||||
AQR TM Emerging Multi-Style Fund | 2 | 89.87 | % | |||||
AQR Large Cap Momentum Style Fund | 3 | 88.59 | % | |||||
AQR Small Cap Momentum Style Fund | 3 | 90.91 | % | |||||
AQR International Momentum Style Fund | 3 | 92.88 | % | |||||
AQR TM Large Cap Momentum Style Fund | 3 | 94.24 | % | |||||
AQR TM Small Cap Momentum Style Fund | 2 | 89.25 | % | |||||
AQR TM International Momentum Style Fund | 3 | 96.48 | % | |||||
AQR Large Cap Defensive Style Fund | 6 | 88.32 | % | |||||
AQR International Defensive Style Fund | 4 | 95.61 | % | |||||
AQR Emerging Defensive Style Fund | 3 | 94.00 | % | |||||
AQR Global Equity Fund | 3 | 95.14 | % | |||||
AQR International Equity Fund | 5 | 77.40 | % | |||||
AQR Large Cap Relaxed Constraint Equity Fund* | 3 | 85.29 | % | |||||
AQR Small Cap Relaxed Constraint Equity Fund* | 4 | 88.11 | % | |||||
AQR International Relaxed Constraint Equity Fund | 1 | 90.65 | % | |||||
AQR Emerging Relaxed Constraint Equity Fund* | 5 | 98.65 | % |
* | The percentage held by the Adviser and/or affiliates is 9.85%, 10.64%, 81.27% and 48.08% respectively. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. Subsequent Events
At a meeting held on November 14, 2019, the Board of Trustees of the AQR Funds approved a proposal to liquidate the AQR Emerging Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, and AQR Small Cap Relaxed Constraint Equity Fund. Where applicable, the Funds will each declare a dividend to all holders of record on December 13, 2019 consisting of any undistributed income and capital gains (net of available capital loss carryovers). On or about December 20, 2019 (the “Liquidation Date”), the Funds will each make a liquidating distribution of its remaining assets proportionately to any shareholders holding shares on the Liquidation Date.
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than those noted above.
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Report of Independent Registered Public Accounting Firm |
Tothe Board of Trustees of the AQR Funds and Shareholders of AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund, and AQR Emerging Relaxed Constraint Equity Fund:
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, ofeach ofthe twenty-three funds listed in the table below(twenty-three of the funds constituting the AQR Funds, hereafter collectively referred to as the “Funds”) as of September 30, 2019, the related statements of operations, statements of changes in net assets, and for the three funds designated in the table below, the statements of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of September 30, 2019, the results of each of their operations, the changes in each of their net assets, and for the three funds designated in the table below, each of their cash flows for the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
AQR Large Cap Multi-Style Fund (1) | AQR TM Small Cap Momentum Style Fund (1) | |
AQR Small Cap Multi-Style Fund (1) | AQR TM International Momentum Style Fund (1) | |
AQR International Multi-Style Fund (1) | AQR Large Cap Defensive Style Fund (1) | |
AQR Emerging Multi-Style Fund (1) | AQR International Defensive Style Fund (1) | |
AQR TM Large Cap Multi-Style Fund (1) | AQR Emerging Defensive Style Fund (1) | |
AQR TM Small Cap Multi-Style Fund (1) | AQR Global Equity Fund (1) | |
AQR TM International Multi-Style Fund (1) | AQR International Equity Fund (1) | |
AQR TM Emerging Multi-Style Fund (1) | AQR Large Cap Relaxed Constraint Equity Fund (2) | |
AQR Large Cap Momentum Style Fund (1) | AQR Small Cap Relaxed Constraint Equity Fund (2) | |
AQR Small Cap Momentum Style Fund (1) | AQR International Relaxed Constraint Equity Fund (2) | |
AQR International Momentum Style Fund (1) | AQR Emerging Relaxed Constraint Equity Fund (1) | |
AQR TM Large Cap Momentum Style Fund (1) |
(1) | Statements of operations for the year ended September 30, 2019 and statements of changes in net assets for each of the two years ended September 30, 2019. |
(2) | Statements of operations and cash flows for the year ended September 30, 2019 and statements of changes in net assets for each of the two years ended September 30, 2019. |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2019 by correspondence with the custodians, transfer agents and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
Subsequent Event
As discussed in Note 14 to the financial statements, on November 14, 2019, the Board of Trustees of the AQR Funds approved a proposal to liquidate the AQR Emerging Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, and AQR Small Cap Relaxed Constraint Equity Fund, which will occur on or about December 20, 2019.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 22, 2019
We have served as the auditor of one or more investment companies in AQR Funds since 2008.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Other Federal Tax Information (Unaudited) |
For the fiscal year ended September 30, 2019, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:
FUND | PERCENTAGE | |||
AQR Large Cap Multi-Style Fund | 100.00 | % | ||
AQR Small Cap Multi-Style Fund | 49.87 | % | ||
AQR International Multi-Style Fund | 90.85 | % | ||
AQR Emerging Multi-Style Fund | 82.75 | % | ||
AQR TM Large Cap Multi-Style Fund | 100.00 | % | ||
AQR TM Small Cap Multi-Style Fund | 100.00 | % | ||
AQR TM International Multi-Style Fund | 92.34 | % | ||
AQR TM Emerging Multi-Style Fund | 80.71 | % | ||
AQR Large Cap Momentum Style Fund | 50.53 | % | ||
AQR Small Cap Momentum Style Fund | 100.00 | % | ||
AQR International Momentum Style Fund | 94.59 | % | ||
AQR TM Large Cap Momentum Style Fund | 100.00 | % | ||
AQR TM Small Cap Momentum Style Fund | 100.00 | % | ||
AQR TM International Momentum Style Fund | 87.49 | % | ||
AQR Large Cap Defensive Style Fund | 100.00 | % | ||
AQR International Defensive Style Fund | 85.73 | % | ||
AQR Emerging Defensive Style Fund | 73.69 | % | ||
AQR Global Equity Fund | 100.00 | % | ||
AQR International Equity Fund | 100.00 | % | ||
AQR Large Cap Relaxed Constraint Equity Fund | 100.00 | % | ||
AQR International Relaxed Constraint Equity Fund | 100.00 | % | ||
AQR Emerging Relaxed Constraint Equity Fund | 100.00 | % |
For the fiscal year ended September 30, 2019, the following percentages of income dividends paid by the Fund qualify for the dividends received deductions available to corporations:
FUND | PERCENTAGE | |||
AQR Large Cap Multi-Style Fund | 100.00 | % | ||
AQR Small Cap Multi-Style Fund | 46.87 | % | ||
AQR TM Large Cap Multi-Style Fund | 100.00 | % | ||
AQR TM Small Cap Multi-Style Fund | 100.00 | % | ||
AQR Large Cap Momentum Style Fund | 49.28 | % | ||
AQR Small Cap Momentum Style Fund | 100.00 | % | ||
AQR TM Large Cap Momentum Style Fund | 100.00 | % | ||
AQR TM Small Cap Momentum Style Fund | 100.00 | % | ||
AQR Large Cap Defensive Style Fund | 100.00 | % | ||
AQR Global Equity Fund | 71.98 | % | ||
AQR Large Cap Relaxed Constraint Equity Fund | 100.00 | % | ||
AQR Emerging Relaxed Constraint Equity Fund | 0.50 | % |
The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended September 30, 2019:
FUND | TOTAL | |||
AQR Large Cap Multi-Style Fund | $ | 79,254,631 | ||
AQR Small Cap Multi-Style Fund | 58,814,207 | |||
AQR TM Small Cap Multi-Style Fund | 985,602 | |||
AQR Large Cap Momentum Style Fund | 75,674,996 | |||
AQR Small Cap Momentum Style Fund | 57,470,514 | |||
AQR TM Small Cap Momentum Style Fund | 4,182,028 | |||
AQR Large Cap Defensive Style Fund | 9,708,427 | |||
AQR Global Equity Fund | 6,115,094 | |||
AQR International Equity Fund | 3,292,678 |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Other Federal Tax Information (Unaudited) |
Certain Funds have derived net income from sources within foreign countries. For the year ended September 30, 2019, the foreign source income for each Fund was as follows:
FUND | TOTAL | PER SHARE | ||||||
AQR International Multi-Style Fund | $ | 10,390,478 | $ | 0.4215 | ||||
AQR Emerging Multi-Style Fund | 7,941,816 | 0.3306 | ||||||
AQR TM International Multi-Style Fund | 6,674,984 | 0.3706 | ||||||
AQR TM Emerging Multi-Style Fund | 10,926,582 | 0.3112 | ||||||
AQR International Momentum Style Fund | 12,028,381 | 0.4130 | ||||||
AQR TM International Momentum Style Fund | 3,155,217 | 0.3757 | ||||||
AQR International Defensive Style Fund | 7,682,596 | 0.4178 | ||||||
AQR Emerging Defensive Style Fund | 2,600,885 | 0.2877 | ||||||
AQR International Equity Fund | 12,519,600 | 0.5037 | ||||||
AQR International Relaxed Constraint Equity Fund | 1,527,482 | 0.6800 |
Certain Funds intend to elect to pass through to shareholders the credit for taxes paid to foreign countries. For the year ended September 30, 2019, the foreign taxes paid for each Fund was as follows:
FUND | TOTAL | PER SHARE | ||||||
AQR International Multi-Style Fund | $ | 930,270 | $ | 0.0377 | ||||
AQR Emerging Multi-Style Fund | 602,588 | 0.0251 | ||||||
AQR TM International Multi-Style Fund | 581,461 | 0.0323 | ||||||
AQR TM Emerging Multi-Style Fund | 1,005,145 | 0.0286 | ||||||
AQR International Momentum Style Fund | 1,089,825 | 0.0374 | ||||||
AQR TM International Momentum Style Fund | 287,375 | 0.0342 | ||||||
AQR International Defensive Style Fund | 652,034 | 0.0355 | ||||||
AQR Emerging Defensive Style Fund | 294,260 | 0.0326 | ||||||
AQR International Equity Fund | 1,214,401 | 0.0489 | ||||||
AQR International Relaxed Constraint Equity Fund | 115,952 | 0.0516 |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Fund Expense Examples (Unaudited) |
As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 09/30/19” 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 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR Large Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,027.50 | 0.43 | % | $2.19 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.91 | 0.43 | % | $2.18 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,026.30 | 0.70 | % | $3.56 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.56 | 0.70 | % | $3.55 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,028.10 | 0.35 | % | $1.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.31 | 0.35 | % | $1.78 | |||||||||||
AQR Small Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $980.90 | 0.63 | % | $3.13 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.91 | 0.63 | % | $3.19 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $980.10 | 0.90 | % | $4.47 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.56 | 0.90 | % | $4.56 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $980.90 | 0.55 | % | $2.73 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.31 | 0.55 | % | $2.79 |
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Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR International Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.00 | 0.60 | % | $3.01 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.06 | 0.60 | % | $3.04 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $998.20 | 0.85 | % | $4.26 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.81 | 0.85 | % | $4.31 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,000.90 | 0.50 | % | $2.51 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.56 | 0.50 | % | $2.54 | |||||||||||
AQR Emerging Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $953.70 | 0.73 | % | $3.58 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.41 | 0.73 | % | $3.70 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $952.70 | 1.00 | % | $4.90 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.05 | 1.00 | % | $5.06 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $952.80 | 0.65 | % | $3.18 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.81 | 0.65 | % | $3.29 | |||||||||||
AQR TM Large Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.90 | 0.45 | % | $2.29 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.81 | 0.45 | % | $2.28 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,029.00 | 0.64 | % | $3.26 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.86 | 0.64 | % | $3.24 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,030.60 | 0.35 | % | $1.78 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.31 | 0.35 | % | $1.78 | |||||||||||
AQR TM Small Cap Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $982.60 | 0.65 | % | $3.23 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.81 | 0.65 | % | $3.29 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $981.70 | 0.90 | % | $4.47 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.56 | 0.90 | % | $4.56 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $983.50 | 0.55 | % | $2.73 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.31 | 0.55 | % | $2.79 | |||||||||||
AQR TM International Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,004.80 | 0.60 | % | $3.02 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.06 | 0.60 | % | $3.04 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,004.80 | 0.85 | % | $4.27 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.81 | 0.85 | % | $4.31 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,005.70 | 0.50 | % | $2.51 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.56 | 0.50 | % | $2.54 |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR TM Emerging Multi-Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $948.40 | 0.74 | % | $3.61 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.36 | 0.74 | % | $3.75 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $946.70 | 1.00 | % | $4.88 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.05 | 1.00 | % | $5.06 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $948.50 | 0.65 | % | $3.17 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.81 | 0.65 | % | $3.29 | |||||||||||
AQR Large Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,066.60 | 0.40 | % | $2.07 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.06 | 0.40 | % | $2.03 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,065.20 | 0.65 | % | $3.37 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.81 | 0.65 | % | $3.29 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,066.80 | 0.30 | % | $1.55 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.56 | 0.30 | % | $1.52 | |||||||||||
AQR Small Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,014.70 | 0.60 | % | $3.03 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.06 | 0.60 | % | $3.04 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,013.00 | 0.85 | % | $4.29 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.81 | 0.85 | % | $4.31 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,015.30 | 0.50 | % | $2.53 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.56 | 0.50 | % | $2.54 | |||||||||||
AQR International Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,026.70 | 0.55 | % | $2.79 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.31 | 0.55 | % | $2.79 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,025.40 | 0.80 | % | $4.06 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.06 | 0.80 | % | $4.05 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,027.50 | 0.45 | % | $2.29 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.81 | 0.45 | % | $2.28 | |||||||||||
AQR TM Large Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,059.00 | 0.40 | % | $2.06 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.06 | 0.40 | % | $2.03 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,057.50 | 0.64 | % | $3.30 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.86 | 0.64 | % | $3.24 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,059.60 | 0.30 | % | $1.55 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.56 | 0.30 | % | $1.52 |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR TM Small Cap Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,015.50 | 0.60 | % | $3.03 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.06 | 0.60 | % | $3.04 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,014.50 | 0.82 | % | $4.14 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.96 | 0.82 | % | $4.15 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,016.10 | 0.50 | % | $2.53 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.56 | 0.50 | % | $2.54 | |||||||||||
AQR TM International Momentum Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,034.50 | 0.55 | % | $2.81 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.31 | 0.55 | % | $2.79 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,033.10 | 0.79 | % | $4.03 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.11 | 0.79 | % | $4.00 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,034.60 | 0.45 | % | $2.30 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.81 | 0.45 | % | $2.28 | |||||||||||
AQR Large Cap Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,080.50 | 0.36 | % | $1.88 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.26 | 0.36 | % | $1.83 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,078.70 | 0.65 | % | $3.39 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.81 | 0.65 | % | $3.29 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,081.00 | 0.30 | % | $1.57 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.56 | 0.30 | % | $1.52 | |||||||||||
AQR International Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,023.50 | 0.55 | % | $2.79 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.31 | 0.55 | % | $2.79 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,021.90 | 0.80 | % | $4.05 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.06 | 0.80 | % | $4.05 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,024.30 | 0.45 | % | $2.28 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.81 | 0.45 | % | $2.28 | |||||||||||
AQR Emerging Defensive Style Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $969.10 | 0.70 | % | $3.46 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.56 | 0.70 | % | $3.55 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $967.70 | 0.95 | % | $4.69 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.31 | 0.95 | % | $4.81 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $970.00 | 0.60 | % | $2.96 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.06 | 0.60 | % | $3.04 |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR Global Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $991.50 | 0.80 | % | $3.99 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.06 | 0.80 | % | $4.05 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $989.00 | 1.04 | % | $5.19 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.85 | 1.04 | % | $5.27 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $992.80 | 0.70 | % | $3.50 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.56 | 0.70 | % | $3.55 | |||||||||||
AQR International Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $968.40 | 0.85 | % | $4.19 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.81 | 0.85 | % | $4.31 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $968.20 | 0.92 | % | $4.54 | |||||||||||
Hypothetical Return | $1,000.00 | $1,020.46 | 0.92 | % | $4.66 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $968.50 | 0.76 | % | $3.75 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.26 | 0.76 | % | $3.85 | |||||||||||
AQR Large Cap Relaxed Constraint Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,041.70 | 1.39 | % | $7.11 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.10 | 1.39 | % | $7.03 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,041.60 | 1.45 | % | $7.42 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.80 | 1.45 | % | $7.33 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,042.50 | 1.31 | % | $6.71 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.50 | 1.31 | % | $6.63 | |||||||||||
AQR Small Cap Relaxed Constraint Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $994.60 | 1.20 | % | $6.00 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.05 | 1.20 | % | $6.07 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $993.50 | 1.45 | % | $7.25 | |||||||||||
Hypothetical Return | $1,000.00 | $1,017.80 | 1.45 | % | $7.33 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $994.60 | 1.30 | % | $6.50 | |||||||||||
Hypothetical Return | $1,000.00 | $1,018.55 | 1.30 | % | $6.58 | |||||||||||
AQR International Relaxed Constraint Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $933.70 | 2.22 | % | $10.76 | |||||||||||
Hypothetical Return | $1,000.00 | $1,013.94 | 2.22 | % | $11.21 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $933.70 | 3.40 | % | $16.48 | |||||||||||
Hypothetical Return | $1,000.00 | $1,008.02 | 3.40 | % | $17.11 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $934.60 | 3.60 | % | $17.46 | |||||||||||
Hypothetical Return | $1,000.00 | $1,007.02 | 3.60 | % | $18.11 |
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Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR Emerging Relaxed Constraint Equity Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $932.70 | 1.08 | % | $5.23 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.65 | 1.08 | % | $5.47 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $931.90 | 1.08 | % | $5.23 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.65 | 1.08 | % | $5.47 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $932.60 | 1.06 | % | $5.14 | |||||||||||
Hypothetical Return | $1,000.00 | $1,019.75 | 1.06 | % | $5.37 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/365 (to reflect theone-half year period unless stated otherwise).
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Trustees and Officers (Unaudited) | September 30, 2019 |
Listed in the chart below is basic information regarding the Trustees and officers of the Trust. The address of each officer and Trustee is Two Greenwich Plaza, Greenwich CT 06830.
NAME AND YEAR OF BIRTH | CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS) | ||||||
Disinterested Trustees2 | ||||||||||
Timothy K. Armour, M.B.A., 1948 | Chairman of the Board, since 2010; Trustee, since 2008 | Interim Chief Executive Officer of Janus Capital Group (retired) (2009- 2010) (financial services) | 49 | Janus Capital Group (2008-2016) | ||||||
L. Joe Moravy, M.B.A., CPA, 1950 | Trustee, since 2008 | Independent Consultant (retired) (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting) | 49 | Nuveen Exchange Traded Commodities Funds (2012-2016) | ||||||
William L. Atwell, M.B.A., 1950 | Trustee, since 2011 | Consultant, Atwell Partners, LLC (since 2012) (consulting); President (Cigna International), Cigna Corp. (2008-2012) (insurance) | 49 | Webster Financial Corporation (since 2014); Blucora, Inc. (since 2017) | ||||||
Gregg D. Behrens, M.M., 1952 | Trustee, since 2011 | Retired from Northern Trust Company (since 2009) (banking) | 49 | None | ||||||
Brian Posner, M.B.A., 1961 | Trustee, since 2011 | President, Point Rider Group LLC (since 2008) (consulting) | 49 | Biogen Inc. (since 2008); Arch Capital Group (since 2010); Bioverativ Inc. (2017- 2018); BG Medicine (2012-2015) | ||||||
Mark A. Zurack, M.B.A., CFA 1957 | Trustee, since 2014 | Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004- 2013) | 49 | Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015) | ||||||
Interested Trustees3 | ||||||||||
David Kabiller, CFA, 1963 | Trustee, since 2010 | Founding Principal, AQR Capital Management, LLC (since 1998) | 49 | None | ||||||
Marco Hanig, Ph.D., 1958 | Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008 | Principal, AQR Capital Management, LLC (since 2008) | 49 | None | ||||||
Officers | ||||||||||
H.J. Willcox, J.D., 1966 | Chief Compliance Officer, since 2013; Anti-Money Laundering Officer, since 2017 | Principal and Chief Compliance Officer, AQR Capital Management, LLC (since 2013) | N/A | N/A | ||||||
Heather Bonner, CPA, 1977 | Chief Financial Officer, since 2014; Treasurer, since 2018 | Vice President, AQR Capital Management, LLC (since 2013) | N/A | N/A | ||||||
Bradley Asness, J.D., M.B.A., 1969 | Vice President, since 2009 | Principal andCo-Chief Operating Officer, AQR Capital Management, LLC (since 1998) | N/A | N/A |
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Trustees and Officers (Unaudited) | September 30, 2019 |
NAME AND YEAR OF BIRTH | CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS) | ||||
William J. Fenrich, J.D., 1969 | Vice President, since 2018 | Principal and Chief Legal Officer, AQR Capital Management, LLC (since 2017); Managing Director and Chief Compliance Officer, Morgan Stanley (2016-2017); Managing Director and Chief Counsel, Morgan Stanley (2014- 2016); General Counsel and Chief Operating Officer, PointState Capital (2010-2014) | N/A | N/A | ||||
Nicole DonVito, J.D., 1979 | Chief Legal Officer, since 2014; Vice President, since 2009 | Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007) | N/A | N/A | ||||
Tara Bongiorni, CPA 1977 | Assistant Treasurer, since 2017 | Vice President, AQR Capital Management, LLC (since 2015); Vice President, Goldman Sachs Asset Management (2002-2015) | N/A | N/A | ||||
John Hadermayer, J.D., 1977 | Secretary, since 2018 | Vice President, AQR Capital Management, LLC (since 2013) | N/A | N/A |
1 | Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 75. |
2 | A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. |
3 | An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser. |
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Board Approval of Investment Advisory Agreements (Unaudited) |
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 May 9, 2019 to consider the continuation of the: (i) Third Amended and Restated Investment Management Agreement, as amended, between AQR Capital Management, LLC (“AQR” or the “Adviser”) and the AQR Funds on behalf of the AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund and certain other AQR Funds; and (ii) Investment Management Agreement II, as amended, between AQR and the AQR Funds on behalf of the AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund and certain other AQR Funds. Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” The Investment Management Agreement and the Investment Management Agreement II are referred to collectively herein as the “Management Agreement,” as applicable and as the context suggests.
In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on April 29, 2019 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with thein-person meeting held on May 9, 2019, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) and Broadridge relating to the Funds’ fees and expenses and performance relative to peers; (iv) financial information for AQR and a profitability analysis showing AQR’s profitability from providing services to the Funds; and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.
At thein-person meeting held on May 9, 2019, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additionalone-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services provided and profits realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale;(e) fall-out benefits; and (f) other factors.
The Board also considered other matters it deemed important to the approval process, such as AQR’s services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s consideration. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provided to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had regularly as part of quarterly Board meetings with representatives of the Adviser 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 questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides risk management, provides compliance oversight, oversees third party service providers and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members considered the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.
Finally, the Independent Board Members had several opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings and their familiarity gained through regular Board presentations over time, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.
Investment Performance of the Funds and the Adviser’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 Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers.
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Board Approval of Investment Advisory Agreements (Unaudited) |
The Board was cognizant of the fact that in some cases Fund performance was challenged over certain measurement periods in comparison to Morningstar peers or benchmarks. The Board considered that Morningstar comparisons may be of limited use in some cases due to the differences between the way in which a Fund is managed from other funds in the Morningstar category and peer group. In other cases, underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, model limits on exposure to a particular country, and the Fund’s investment universe. Finally, the use of drawdown control and internal risk protections may affect a Fund’s performance in relation to its peers or benchmark. The Board noted the underperformance of several Funds as compared to their benchmarks and Morningstar category during theone-year, and in some cases, longer time periods, which had been discussed with AQR at regular Board meetings during the year. AQR’s presentations to the Board at such regular Board meetings, which addressed in detail the drivers of underperformance, supported a conclusion that the Funds were being managed consistent with their stated policies and strategies. The Board considered other performance drivers and other relevant factors contributing to longer-term underperformance. The Board also noted significant redemptions from certain Funds over the prior year due to underperformance. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is consistent with its stated objectives and strategies and AQR’s investment process.
The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds and the costs incurred by and benefits to the Adviser in providing those services, and other relevant factors. To assist in this analysis, the Board received a report independently prepared by Broadridge (the “Broadridge Report”). The Broadridge Report showed comparative fee information for each Fund’s respective Broadridge category, including expense comparisons of contractual investment management fees and actual net expenses. The Adviser also provided a supplemental report prepared by Broadridge comparing the fee components of the Multi-Style, Momentum Style and Defensive Style Funds to the fee components of exchange-traded funds with comparable investment strategies. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, includingsub-advised mutual funds, with similar investment strategies to certain of the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when itsub-advises third party mutual funds or advises separate accounts or hedge funds.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Adviser provided the Board Members with a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, expense reimbursements by the Adviser, the types of funds managed, costs of recruiting and retaining personnel, taxes, expense allocations and business mix.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s profitability was not excessive.
Economies of Scale. The Adviser provided the Board with 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. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also provided Morningstar data for the purpose of showing the hypothetical effective management fee for each Fund at higher asset levels compared to its peers, some of which have breakpoints. The Board considered this information in determining the reasonableness of continuing to operate each Fund without management fee breakpoints at the Fund’s current AUM level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, none of the Funds have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. 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 Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations. In particular, the Board noted the continuing enhancements to AQR’s services to the Funds in areas such as compliance, portfolio management, technology and administration. AQR advised that its growth as a firm has resulted in additional benefits to the AQR Funds, such as the ability to negotiate better terms with service providers, to undertake securities lending activities and to establish a dedicated money market fund for the AQR Funds. The principals of the Adviser have also provided seed capital in excess of regulatory minimums for extended periods. AQR also discussed that it currently intends to rely on Rule30e-3 under the 1940 Act to potentially reduce charges related to printing and mailing costs for shareholder reports.
Other Factors. The Board also took into account other ancillary or“fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible, noting that no payments are received by the Adviser from the Funds beyond the fees under the Management Agreement. The Board was advised by AQR that AQR may obtain greater exposure to the public as a result of managing the AQR Funds, which could lead to additional business opportunities, such as unregistered fund investments, separately managed account opportunities orsub-advisory mandates. The Adviser may also obtain reputational benefits. The Adviser may also obtain economic benefit from
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Board Approval of Investment Advisory Agreements (Unaudited) |
its sponsorship/management of both the Funds and other funds or accounts with respect to the potential economic leverage of its service provider relationships. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser 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.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management 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 management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
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Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling1-866-290-2688 or visiting the funds websitehttps://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-PORT Part F. The Form N-PORT Part F is available without charge, upon request, by calling1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
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AQR Funds
P.O. Box 2248, Denver, CO 80201-2248 | p: +1.866.290.2688 | w: https://funds.aqr.com
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Annual Report
September 30, 2019
AQR Core Plus Bond Fund
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, the Funds intend to no longer mail paper copies of the Funds’ annual and semi-annual shareholder reports, unless you specifically request paper copies of the reports from the Funds or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website (https://funds.aqr.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling(866) 290-2688.
You may elect to receive all future reports in paper free of charge. You can inform your financial intermediary or the Funds that you wish to continue receiving paper copies of your shareholder reports by contacting your financial intermediary or, if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., by calling (866) 290-2688. Your election to receive reports in paper will apply to all AQR Funds held with the fund complex if you purchased your Fund shares through the Funds’ transfer agent ALPS Fund Services, Inc., or all AQR Funds held in your account if you invest through a financial intermediary.
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Shareholder Letter (Unaudited)
AQR CORE PLUS BOND FUND |
Jordan Brooks
Principal
Ronen Israel
Principal
Scott Richardson
Principal
Dear Shareholder:
The AQR Core Plus Bond Fund (the “Fund”) is a U.S. Aggregate Bond-benchmarked fixed income offering that seeks total return. Excess returns are pursued through a rules-based, systematic application of fundamental investment themes. By combining these investment themes, we aim to build a portfolio weighted to securities that are cheap, with improving price and fundamental trends, with attractive yields, and which have more defensive characteristics. Notably, out of benchmark sectors are strictly used to increase security selection breadth, while still targeting the credit and duration profile of the benchmark. Because of its systematic approach, the strategy targets excess returns that are both attractive, as well as uncorrelated to traditional market risk premiums (e.g. equities, interest-rates, etc.), and to traditional fixed income managers. The Fund uses derivatives (e.g. currency forward, interest rate swaps, and bond futures) to achieve its investment objective.
For the fiscal year ended September 30, 2019, the Fund’s Class I returned 9.31% net while its benchmark, the Bloomberg Barclays U.S. Aggregate Total Return Value Unhedged USD Index, returned 10.30% over the period. The Fund’s underperformance was driven primarily by the maturity selection and country selection strategy sleeves, while the currency selection and emerging market selection sleeves had positive contributions to relative performance. From a broad investment theme perspective, value signals were additive to relative performance, but these gains were offset by losses in momentum-based signals.
AVERAGE ANNUAL TOTAL RETURNS AS OF 09/30/2019 AQR CORE PLUS BOND FUND | ||||||||||||
1 Year | Since Inception | Date of Inception | ||||||||||
Fund - Class I: QCPIX | 9.31% | 6.15% | 4/5/2018 | |||||||||
Fund - Class N: QCPNX | 9.09% | 5.93% | 4/5/2018 | |||||||||
Fund - Class R6: QCPRX | 9.38% | 6.21% | 4/5/2018 | |||||||||
Bloomberg Barclays U.S. Aggregate Total Return Value Unhedged USD Index | 10.30% | 6.96% | 4/5/2018 |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.61%, 0.80% and 0.55%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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Shareholder Letter (Unaudited)
AQR CORE PLUS BOND FUND |
AQR CORE PLUS BOND FUND VS. BLOOMBERG BARCLAYS U.S. AGGREGATE TOTAL RETURN VALUE UNHEDGED USD INDEX VALUE OF $10,000 INVESTED ON 4/5/2018 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
3
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
INVESTMENTS | PRINCIPAL AMOUNT | VALUE | ||||||
LONG POSITIONS - 127.5% | ||||||||
CORPORATE BONDS - 25.1% | ||||||||
Aerospace & Defense - 1.0% | ||||||||
Hexcel Corp. | ||||||||
3.95%, 2/15/2027 | $ | 730,000 | $ | 759,721 | ||||
L3Harris Technologies, Inc. | ||||||||
4.40%, 6/15/2028 | 390,000 | 438,142 | ||||||
|
| |||||||
1,197,863 | ||||||||
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| |||||||
Airlines - 0.2% | ||||||||
Delta Air Lines, Inc. | ||||||||
3.63%, 3/15/2022 | 206,000 | 211,612 | ||||||
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Automobiles - 0.5% | ||||||||
General Motors Co. | ||||||||
5.20%, 4/1/2045 | 590,000 | 582,652 | ||||||
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Banks - 1.6% | ||||||||
Bangko Sentral ng Pilipinas Bond (Philippines) |
| |||||||
8.60%, 6/15/2027 | 60,000 | 81,825 | ||||||
Bank of Montreal (Canada) | ||||||||
(USD Swap Semi 5 Year + 1.43%), 3.80%, 12/15/2032 (a) | 390,000 | 404,481 | ||||||
JPMorgan Chase & Co. | ||||||||
2.95%, 10/1/2026 | 500,000 | 512,656 | ||||||
SVB Financial Group | ||||||||
3.50%, 1/29/2025 | 390,000 | 401,750 | ||||||
Vnesheconombank (Russia) | ||||||||
6.80%, 11/22/2025 (b) | 140,000 | 162,026 | ||||||
Zions Bancorp NA | ||||||||
3.50%, 8/27/2021 | 250,000 | 255,459 | ||||||
|
| |||||||
1,818,197 | ||||||||
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| |||||||
Capital Markets - 0.6% | ||||||||
Ares Capital Corp. | ||||||||
3.50%, 2/10/2023 | 700,000 | 704,371 | ||||||
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| |||||||
Chemicals - 0.7% | ||||||||
RPM International, Inc. | ||||||||
3.75%, 3/15/2027 | 800,000 | 830,686 | ||||||
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| |||||||
Communications Equipment - 0.5% | ||||||||
Motorola Solutions, Inc. | ||||||||
3.75%, 5/15/2022 | 542,000 | 562,217 | ||||||
|
| |||||||
Consumer Finance - 2.1% | ||||||||
American Express Co. | ||||||||
2.50%, 8/1/2022 | 810,000 | 818,131 | ||||||
Capital One Financial Corp. | ||||||||
3.90%, 1/29/2024 | 750,000 | 792,377 | ||||||
Synchrony Financial | ||||||||
3.95%, 12/1/2027 | 730,000 | 748,329 | ||||||
|
| |||||||
2,358,837 | ||||||||
|
| |||||||
Diversified Financial Services - 0.6% | ||||||||
Petronas Capital Ltd. (Malaysia) | ||||||||
7.88%, 5/22/2022 (b) | 240,000 | 272,927 |
INVESTMENTS | PRINCIPAL AMOUNT | VALUE | ||||||
Diversified Financial Services - 0.6% (continued) | ||||||||
Voya Financial, Inc. | ||||||||
4.80%, 6/15/2046 | $ | 330,000 | $ | 380,374 | ||||
|
| |||||||
653,301 | ||||||||
|
| |||||||
Electric Utilities - 1.5% | ||||||||
DPL, Inc. | ||||||||
7.25%, 10/15/2021 | 596,000 | 639,210 | ||||||
Emera US Finance LP (Canada) | ||||||||
4.75%, 6/15/2046 | 100,000 | 115,740 | ||||||
FirstEnergy Corp. | ||||||||
Series B, 3.90%, 7/15/2027 | 810,000 | 863,126 | ||||||
Southern Co. (The) | ||||||||
3.25%, 7/1/2026 | 140,000 | 144,377 | ||||||
|
| |||||||
1,762,453 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.6% | ||||||||
Keysight Technologies, Inc. | ||||||||
4.60%, 4/6/2027 | 620,000 | 682,263 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) - 1.2% | ||||||||
American Tower Corp. | ||||||||
3.38%, 10/15/2026 | 110,000 | 114,399 | ||||||
Crown Castle International Corp. | ||||||||
3.65%, 9/1/2027 | 750,000 | 794,102 | ||||||
Equinix, Inc. | ||||||||
5.38%, 5/15/2027 | 400,000 | 431,250 | ||||||
|
| |||||||
1,339,751 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.7% | ||||||||
Alimentation Couche-Tard, Inc. (Canada) |
| |||||||
2.70%, 7/26/2022 (b) | 788,000 | 793,274 | ||||||
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| |||||||
Food Products - 0.2% | ||||||||
Smithfield Foods, Inc. | ||||||||
4.25%, 2/1/2027 (b) | 230,000 | 238,325 | ||||||
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Gas Utilities - 0.7% | ||||||||
National Fuel Gas Co. | ||||||||
4.75%, 9/1/2028 | 780,000 | 827,565 | ||||||
|
| |||||||
Health Care Equipment & Supplies - 0.6% | ||||||||
Edwards Lifesciences Corp. | ||||||||
4.30%, 6/15/2028 | 620,000 | 698,397 | ||||||
|
| |||||||
Health Care Providers & Services - 1.3% | ||||||||
Anthem, Inc. | ||||||||
4.63%, 5/15/2042 | 890,000 | 985,159 | ||||||
Humana, Inc. | ||||||||
4.95%, 10/1/2044 | 450,000 | 522,053 | ||||||
|
| |||||||
1,507,212 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 0.3% | ||||||||
Darden Restaurants, Inc. | ||||||||
4.55%, 2/15/2048 | 140,000 | 147,851 | ||||||
McDonald’s Corp. | ||||||||
4.88%, 12/9/2045 | 100,000 | 120,916 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
4
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
INVESTMENTS | PRINCIPAL AMOUNT | VALUE | ||||||
Hotels, Restaurants & Leisure - 0.3% (continued) | ||||||||
Starbucks Corp. | ||||||||
4.50%, 11/15/2048 | $ | 100,000 | $ | 116,260 | ||||
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385,027 | ||||||||
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Household Products - 0.6% | ||||||||
Church & Dwight Co., Inc. | ||||||||
3.15%, 8/1/2027 | 650,000 | 667,421 | ||||||
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| |||||||
Industrial Conglomerates - 0.7% | ||||||||
Roper Technologies, Inc. | ||||||||
3.80%, 12/15/2026 | 770,000 | 823,071 | ||||||
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Insurance - 0.5% | ||||||||
Aon plc | ||||||||
4.75%, 5/15/2045 | 100,000 | 117,452 | ||||||
Progressive Corp. (The) | ||||||||
4.13%, 4/15/2047 | 360,000 | 417,898 | ||||||
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535,350 | ||||||||
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Media - 0.4% | ||||||||
Charter Communications Operating LLC |
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4.91%, 7/23/2025 | 400,000 | 438,782 | ||||||
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Metals & Mining - 0.1% | ||||||||
Teck Resources Ltd. (Canada) | ||||||||
6.25%, 7/15/2041 | 100,000 | 111,143 | ||||||
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Multi-Utilities - 0.6% | ||||||||
Sempra Energy | ||||||||
3.40%, 2/1/2028 | 660,000 | 681,752 | ||||||
|
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Oil, Gas & Consumable Fuels - 2.1% | ||||||||
HollyFrontier Corp. | ||||||||
5.88%, 4/1/2026 | 740,000 | 829,094 | ||||||
KazTransGas JSC (Kazakhstan) | ||||||||
4.38%, 9/26/2027 (b) | 200,000 | 209,498 | ||||||
ONEOK, Inc. | ||||||||
4.95%, 7/13/2047 | 640,000 | 693,859 | ||||||
Petroleos Mexicanos (Mexico) | ||||||||
4.50%, 1/23/2026 | 20,000 | 19,320 | ||||||
6.50%, 3/13/2027 | 50,000 | 51,950 | ||||||
6.63%, 6/15/2035 | 130,000 | 127,042 | ||||||
6.63%, 6/15/2038 | 30,000 | 28,538 | ||||||
6.75%, 9/21/2047 | 170,000 | 163,166 | ||||||
6.35%, 2/12/2048 | 10,000 | 9,189 | ||||||
Western Midstream Operating LP | ||||||||
5.30%, 3/1/2048 | 250,000 | 216,844 | ||||||
|
| |||||||
2,348,500 | ||||||||
|
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Professional Services - 1.3% | ||||||||
IHS Markit Ltd. | ||||||||
4.75%, 2/15/2025 (b) | 670,000 | 726,950 | ||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 6/15/2025 | 730,000 | 785,866 | ||||||
|
| |||||||
1,512,816 | ||||||||
|
| |||||||
Software - 1.4% | ||||||||
Citrix Systems, Inc. | ||||||||
4.50%, 12/1/2027 | 720,000 | 778,368 |
INVESTMENTS | PRINCIPAL AMOUNT | VALUE | ||||||
Software - 1.4% (continued) | ||||||||
VMware, Inc. | ||||||||
3.90%, 8/21/2027 | $ | 770,000 | $ | 791,927 | ||||
|
| |||||||
1,570,295 | ||||||||
|
| |||||||
Specialty Retail - 1.3% | ||||||||
AutoZone, Inc. | ||||||||
3.13%, 7/15/2023 | 710,000 | 730,044 | ||||||
Best Buy Co., Inc. | ||||||||
4.45%, 10/1/2028 | 650,000 | 706,009 | ||||||
|
| |||||||
1,436,053 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.9% | ||||||||
Seagate HDD Cayman | ||||||||
4.75%, 1/1/2025 | 420,000 | 435,332 | ||||||
Xerox Corp. | ||||||||
4.13%, 3/15/2023 (c) | 600,000 | 609,750 | ||||||
|
| |||||||
1,045,082 | ||||||||
|
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Water Utilities - 0.1% | ||||||||
American Water Capital Corp. |
| |||||||
3.75%, 9/1/2047 | 100,000 | 107,004 | ||||||
|
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Wireless Telecommunication Services - 0.2% | ||||||||
Rogers Communications, Inc. (Canada) |
| |||||||
5.00%, 3/15/2044 | 190,000 | 232,917 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS | 28,664,189 | |||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES - 31.2% | ||||||||
UMBS, 15 Year, Single Family | ||||||||
TBA, 2.50%, 10/25/2034 | 1,350,000 | 1,361,470 | ||||||
TBA, 3.00%, 10/25/2034 | 1,850,000 | 1,891,047 | ||||||
UMBS, 30 Year, Single Family | ||||||||
TBA, 2.50%, 10/25/2049 | 200,000 | 199,070 | ||||||
TBA, 3.00%, 10/25/2049 | 7,300,000 | 7,409,500 | ||||||
TBA, 3.50%, 10/25/2049 | 10,250,000 | 10,513,457 | ||||||
TBA, 4.00%, 10/25/2049 | 7,450,000 | 7,730,248 | ||||||
TBA, 4.50%, 10/25/2049 | 4,600,000 | 4,843,591 | ||||||
TBA, 5.00%, 10/25/2049 | 1,500,000 | 1,606,524 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 35,554,907 | ||||||
|
| |||||||
FOREIGN GOVERNMENT SECURITIES - 20.9% | ||||||||
Arab Republic of Egypt | ||||||||
8.50%, 1/31/2047 (d) | 200,000 | 211,541 | ||||||
Australia Government Bond | ||||||||
2.75%, 11/21/2027 (d) | AUD | 1,940,000 | 1,491,714 | |||||
2.25%, 5/21/2028 (d) | AUD | 2,250,000 | 1,676,647 | |||||
2.75%, 11/21/2028 (d) | AUD | 1,030,000 | 800,696 | |||||
Dominican Republic Government Bond |
| |||||||
6.88%, 1/29/2026 (b) | 100,000 | 112,751 | ||||||
7.45%, 4/30/2044 (b) | 100,000 | 118,501 | ||||||
Export-Import Bank of India | ||||||||
4.00%, 1/14/2023 (d) | 200,000 | 207,673 | ||||||
Federal Republic of Nigeria | ||||||||
7.88%, 2/16/2032 (b) | 200,000 | 210,438 | ||||||
Federative Republic of Brazil | ||||||||
8.25%, 1/20/2034 | 90,000 | 122,962 | ||||||
7.13%, 1/20/2037 | 210,000 | 266,965 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
5
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
INVESTMENTS | PRINCIPAL AMOUNT | VALUE | ||||||
FOREIGN GOVERNMENT SECURITIES - 20.9% (continued) | ||||||||
Hungary Government Bond | ||||||||
6.38%, 3/29/2021 | $ | 180,000 | $ | 190,998 | ||||
5.38%, 2/21/2023 | 30,000 | 32,940 | ||||||
Instituto Costarricense de Electricidad |
| |||||||
6.95%, 11/10/2021 (b) | 200,000 | 205,502 | ||||||
Japan Government Bond | ||||||||
0.10%, 6/20/2028 | JPY | 608,250,000 | 5,828,174 | |||||
0.10%, 9/20/2028 | JPY | 432,800,000 | 4,144,433 | |||||
0.10%, 12/20/2028 | JPY | 72,550,000 | 694,024 | |||||
0.10%, 6/20/2029 | JPY | 68,250,000 | 651,406 | |||||
0.60%, 12/20/2036 | JPY | 50,550,000 | 506,505 | |||||
2.50%, 3/20/2038 | JPY | 89,750,000 | 1,183,538 | |||||
2.40%, 9/20/2038 | JPY | 28,950,000 | 379,219 | |||||
2.30%, 3/20/2039 | JPY | 49,300,000 | 639,079 | |||||
Kingdom of Jordan | ||||||||
5.75%, 1/31/2027 (b) | 200,000 | 204,884 | ||||||
Kingdom of Spain | ||||||||
5.15%, 10/31/2028 (d) | EUR | 550,000 | 874,507 | |||||
Mexico Government Bond | ||||||||
6.05%, 1/11/2040 | 140,000 | 176,226 | ||||||
Oman Government International Bond |
| |||||||
6.75%, 1/17/2048 (d) | 200,000 | 188,500 | ||||||
Republic of Argentina | ||||||||
8.28%, 12/31/2033 | 14,020 | 6,716 | ||||||
Republic of Chile | ||||||||
3.25%, 9/14/2021 | 100,000 | 102,251 | ||||||
Republic of Colombia | ||||||||
8.13%, 5/21/2024 | 100,000 | 123,626 | ||||||
Republic of Ecuador | ||||||||
7.88%, 1/23/2028 (b) | 200,000 | 189,502 | ||||||
Republic of El Salvador | ||||||||
8.25%, 4/10/2032 (b) | 120,000 | 136,801 | ||||||
7.65%, 6/15/2035 (b) | 60,000 | 64,351 | ||||||
Republic of Indonesia | ||||||||
2.95%, 1/11/2023 | 200,000 | 202,474 | ||||||
4.13%, 1/15/2025 (d) | 200,000 | 212,819 | ||||||
Republic of Italy | ||||||||
6.50%, 11/1/2027 | EUR | 60,000 | 95,705 | |||||
6.00%, 5/1/2031 (d) | EUR | 80,000 | 134,410 | |||||
Republic of Kenya | ||||||||
7.00%, 5/22/2027 (b) | 200,000 | 207,500 | ||||||
Republic of Panama | ||||||||
6.70%, 1/26/2036 | 50,000 | 71,126 | ||||||
Republic of Peru | ||||||||
8.75%, 11/21/2033 | 140,000 | 231,176 | ||||||
Republic of Romania | ||||||||
6.75%, 2/7/2022 (b) | 200,000 | 219,824 | ||||||
4.88%, 1/22/2024 (b) | 10,000 | 10,988 | ||||||
5.13%, 6/15/2048 (b) | 20,000 | 23,126 | ||||||
Republic of South Africa | ||||||||
4.67%, 1/17/2024 | 270,000 | 282,793 | ||||||
Republic of Ukraine | ||||||||
7.75%, 9/1/2025 (b) | 190,000 | 199,262 | ||||||
Russian Federation | ||||||||
5.25%, 6/23/2047 (b) | 200,000 | 237,483 | ||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT SECURITIES |
| 23,871,756 | ||||||
|
|
INVESTMENTS | PRINCIPAL AMOUNT | VALUE | ||||||
U.S. TREASURY OBLIGATIONS - 33.8% | ||||||||
U.S. Treasury Bonds | ||||||||
3.13%, 2/15/2043 | $ | 530,000 | $ | 632,128 | ||||
2.88%, 5/15/2043 | 7,390,000 | 8,472,808 | ||||||
3.75%, 11/15/2043 | 1,300,000 | 1,709,957 | ||||||
2.75%, 8/15/2047 | 2,970,000 | 3,361,669 | ||||||
U.S. Treasury Notes | ||||||||
1.38%, 10/31/2020 | 7,250,000 | 7,216,582 | ||||||
2.75%, 11/30/2020 | 5,210,000 | 5,265,967 | ||||||
1.88%, 4/30/2022 | 8,480,000 | 8,537,306 | ||||||
2.13%, 5/15/2025 | 1,560,000 | 1,604,119 | ||||||
2.88%, 7/31/2025 | 1,570,000 | 1,680,759 | ||||||
2.25%, 11/15/2027 | 100,000 | 104,605 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 38,585,900 | ||||||
|
| |||||||
SHARES | ||||||||
SHORT-TERM INVESTMENTS - 16.5% | ||||||||
INVESTMENT COMPANIES - 16.5% | ||||||||
Limited Purpose Cash Investment Fund, 2.01% (1)(e) | ||||||||
(Cost $18,755,037) | 18,756,288 | 18,758,164 | ||||||
|
| |||||||
TOTAL INVESTMENTS BEFORE TBA SALE COMMITMENTS |
| 145,434,916 | ||||||
|
| |||||||
PRINCIPAL AMOUNT | ||||||||
TBA SALE COMMITMENTS - (1.5)% | ||||||||
MORTGAGE-BACKED SECURITIES - (1.5)% | ||||||||
UMBS, 30 Year, Single Family |
| |||||||
TBA, 4.00%, 10/25/2049 | $ | (150,000 | ) | (155,643 | ) | |||
TBA, 5.00%, 10/25/2049 | (1,500,000 | ) | (1,606,523 | ) | ||||
|
| |||||||
TOTAL TBA SALE COMMITMENTS | (1,762,166 | ) | ||||||
|
| |||||||
TOTAL INVESTMENTS NET OF TBA SALE |
| 143,672,750 | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (26.0)% (f) | (29,573,325) | |||||||
|
| |||||||
NET ASSETS - 100.0% | $ | 114,099,425 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
6
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
SECTOR | VALUE | % OF NET ASSETS | ||||||
Communication Services | $ | 671,699 | 0.6 | % | ||||
Consumer Discretionary | 2,403,732 | 2.1 | ||||||
Consumer Staples | 1,699,020 | 1.5 | ||||||
Energy | 2,348,500 | 2.0 | ||||||
Financials | 6,070,056 | 5.3 | ||||||
Foreign Government Securities | 23,871,756 | 20.9 | ||||||
Health Care | 2,205,609 | 1.9 | ||||||
Industrials | 3,745,361 | 3.3 | ||||||
Information Technology | 3,859,857 | 3.4 | ||||||
Materials | 941,830 | 0.9 | ||||||
Mortgage-Backed Securities | 33,792,741 | 29.7 | ||||||
Real Estate | 1,339,751 | 1.2 | ||||||
U.S. Treasury Obligations | 38,585,900 | 33.8 | ||||||
Utilities | 3,378,774 | 2.9 | ||||||
Short-Term Investments | 18,758,164 | 16.5 | ||||||
|
|
|
| |||||
Total Investments In Securities At Value | 143,672,750 | 126.0 | ||||||
Liabilities in Excess of Other Assets (f) | (29,573,325 | ) | (26.0 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 114,099,425 | 100.0 | % | ||||
|
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|
|
(a) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of September 30, 2019. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2019 amounted to $4,543,913, which represents approximately 3.98% of net assets of the fund. |
(c) | Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of September 30, 2019. |
(d) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2019, the value of these securities amounted to $5,798,507 or 5.08% of net assets. |
(e) | Represents 7-day effective yield as of September 30, 2019. |
(f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) | Level 1 security (See Note 4). |
Credit default swap contracts outstanding - buy protection as of September 30, 2019:
Exchange Cleared
REFERENCE ENTITY | FINANCING RATE PAID | PAYMENT FREQUENCY | MATURITY DATE | CREDIT SPREAD | NOTIONAL | UPFRONT PAYMENTS (RECEIPTS) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | ||||||||||||||||||||||||
Markit CDX Emerging Market Index Series 32.V1 | 1.00 | % | Quarterly | 12/20/2024 | 2.11 | % | USD | 7,280,000 | $356,841 | $23,238 | $380,079 | |||||||||||||||||||||
Republic of South Africa, 5.50%, 3/9/2020 | 1.00 | Quarterly | 12/20/2024 | 1.92 | USD | 2,300,000 | 93,834 | 7,635 | 101,469 | |||||||||||||||||||||||
Republic of Turkey, 11.88%, 1/15/2030 | 1.00 | Quarterly | 12/20/2024 | 3.53 | USD | 900,000 | 115,236 | (11,137 | ) | 104,099 | ||||||||||||||||||||||
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565,911 | 19,736 | 585,647 | ||||||||||||||||||||||||||||||
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|
| |||||||||||||||||||||||||||
Republic of Chile, 3.88%, 8/5/2020 | 1.00 | Quarterly | 12/20/2024 | 0.37 | USD | 400,000 | $(12,597 | ) | $(235 | ) | $(12,832 | ) | ||||||||||||||||||||
Republic of Korea, 2.75%, 1/19/2027 | 1.00 | Quarterly | 12/20/2024 | 0.34 | USD | 2,000,000 | (67,532 | ) | 577 | (66,955 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
(80,129 | ) | 342 | (79,787 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$485,782 | $20,078 | $505,860 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
7
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
Credit default swap contracts outstanding - sell protection as of September 30, 2019:
Exchange Cleared
REFERENCE ENTITY | FINANCING RATE RECEIVED | PAYMENT FREQUENCY | MATURITY DATE | CREDIT SPREAD | NOTIONAL | UPFRONT PAYMENTS (RECEIPTS) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | ||||||||||||||||||||||||
Markit CDX North America Investment Grade Index Series 33.V1 | 1.00 | % | Quarterly | 12/20/2024 | 0.60 | % | USD | 2,770,000 | $55,781 | $(182 | ) | $55,599 | ||||||||||||||||||||
Penerbangan Malaysia Bhd., 5.63%, 3/15/2016 | 1.00 | Quarterly | 12/20/2024 | 0.53 | USD | 100,000 | 2,580 | (174 | ) | 2,406 | ||||||||||||||||||||||
Republic of Indonesia, 5.88%, 3/13/2020 | 1.00 | Quarterly | 12/20/2024 | 0.91 | USD | 1,400,000 | 8,720 | (1,821 | ) | 6,899 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
67,081 | (2,177 | ) | 64,904 | |||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Federative Republic of Brazil, 4.25%, 1/7/2025 | 1.00 | Quarterly | 12/20/2024 | 1.37 | USD | 2,300,000 | $(35,892 | ) | $(5,046 | ) | $(40,938 | ) | ||||||||||||||||||||
Mexico Government Bond, 4.15%, 3/28/2027 | 1.00 | Quarterly | 12/20/2024 | 1.16 | USD | 1,600,000 | (8,773 | ) | (3,571 | ) | (12,344 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
(44,665 | ) | (8,617 | ) | �� | (53,282 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$22,416 | $(10,794 | ) | $11,622 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
Forward Effective Interest rate swap contracts outstanding as of September 30, 2019:
Exchange Cleared
PAY/ RECEIVE FLOATING RATE | FLOATING RATE INDEX (a) | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.00% Quarterly | 12/09/2021 | AUD | 13,300,000 | $33,643 | $7,571 | $41,214 | ||||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.50% Semi-Annually | 12/15/2021 | NZD | 2,000,000 | 4,080 | 10,723 | 14,803 | ||||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.00% Quarterly | 3/10/2022 | AUD | 5,600,000 | 11,555 | 7,728 | 19,283 | ||||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.00% Semi-Annually | 3/16/2022 | NZD | 5,900,000 | 9,874 | (790 | ) | 9,084 | |||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.50% Semi-Annually | 3/13/2030 | NZD | 1,300,000 | 20,127 | 306 | 20,433 | ||||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate | 1.50% Semi-Annually | 3/13/2030 | NZD | 3,700,000 | 34,465 | 23,691 | 58,156 | ||||||||||||||||||||
Pay | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.25% Semi-Annually | 12/16/2021 | CAD | 2,000,000 | 13,071 | (396 | ) | 12,675 | |||||||||||||||||||
Pay | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.25% Semi-Annually | 12/16/2024 | CAD | 3,100,000 | 76,564 | (16,764 | ) | 59,800 | |||||||||||||||||||
Pay | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.00% Semi-Annually | 3/18/2030 | CAD | 4,700,000 | 106,693 | (25,057 | ) | 81,636 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
8
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
PAY/ RECEIVE FLOATING RATE | FLOATING RATE INDEX (a) | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||||||||||
Pay | 3 Month Johannesburg Interbank Agreed Rate Quarterly | 7.00% Quarterly | 12/15/2021 | ZAR | 26,200,000 | $ 7,599 | $ 4,200 | $ 11,799 | ||||||||||||||||||||
Pay | 3 Month Korean Certificate of Deposit Quarterly | 1.50% Quarterly | 12/15/2021 | KRW | 35,800,000 | 263 | (100 | ) | 163 | |||||||||||||||||||
Pay | 3 Month London Interbank Offered Rate Quarterly | 2.50% Semi-Annually | 12/20/2021 | USD | 4,100,000 | 53,481 | 23,108 | 76,589 | ||||||||||||||||||||
Pay | 3 Month London Interbank Offered Rate Quarterly | 1.75% Semi-Annually | 3/18/2022 | USD | 5,000,000 | 20,371 | 6,709 | 27,080 | ||||||||||||||||||||
Pay | 3 Month London Interbank Offered Rate Quarterly | 1.75% Semi-Annually | 3/18/2025 | USD | 21,300,000 | 239,885 | 63,630 | 303,515 | ||||||||||||||||||||
Pay | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.00% Annually | 12/15/2021 | SEK | 7,600,000 | 1,174 | 359 | 1,533 | ||||||||||||||||||||
Pay | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.00% Annually | 3/16/2022 | SEK | 62,600,000 | 8,170 | 4,554 | 12,724 | ||||||||||||||||||||
Pay | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.50% Annually | 3/20/2030 | SEK | 12,500,000 | 28,027 | (2,204 | ) | 25,823 | |||||||||||||||||||
Pay | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.50% Annually | 3/20/2030 | SEK | 22,600,000 | 32,448 | 14,241 | 46,689 | ||||||||||||||||||||
Pay | 6 Month Australian Bank-Bill Reference Rate Semi-Annually | 1.00% Semi-Annually | 3/13/2025 | AUD | 16,700,000 | 91,929 | (55,668 | ) | 36,261 | |||||||||||||||||||
Pay | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.00% Annually | 12/20/2021 | EUR | 4,600,000 | 39,765 | 7,152 | 46,917 | ||||||||||||||||||||
Pay | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.25% Annually | 3/18/2022 | EUR | 8,500,000 | 65,695 | (24,327 | ) | 41,368 | |||||||||||||||||||
Pay | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.50% Annually | 3/18/2030 | EUR | 1,600,000 | 114,233 | (4,032 | ) | 110,201 | |||||||||||||||||||
Pay | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.50% Annually | 3/18/2030 | EUR | 900,000 | 55,324 | 6,664 | 61,988 | ||||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 1.25% Semi-Annually | 12/20/2021 | GBP | 4,200,000 | 42,500 | 21,755 | 64,255 | ||||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Semi-Annually | 3/16/2022 | JPY | 1,350,600,000 | 36,549 | 8,694 | 45,243 | ||||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Semi-Annually | 3/16/2022 | JPY | 1,144,300,000 | 31,414 | 6,918 | 38,332 | ||||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.75% Semi-Annually | 3/18/2022 | GBP | 8,200,000 | 44,942 | (13,161 | ) | 31,781 | |||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.75% Semi-Annually | 3/18/2022 | GBP | 20,500,000 | 23,802 | 55,651 | 79,453 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
9
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
PAY/ RECEIVE FLOATING RATE | FLOATING RATE INDEX (a) | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Semi-Annually | 3/18/2030 | GBP | 1,600,000 | $ 58,547 | $ 10,824 | $ 69,371 | ||||||||||||||||||||
Pay | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 2.00% Annually | 12/15/2021 | NOK | 13,100,000 | 4,264 | 79 | 4,343 | ||||||||||||||||||||
Receive | 3 Month Australian Bank-Bill Reference Rate Quarterly | 0.50% Quarterly | 3/10/2022 | AUD | 20,800,000 | 51,123 | 15,575 | 66,698 | ||||||||||||||||||||
Receive | 6 Month Australian Bank-Bill Reference Rate Semi-Annually | 1.00% Semi-Annually | 3/07/2030 | AUD | 4,400,000 | 34,085 | 24,244 | 58,329 | ||||||||||||||||||||
Receive | 6 Month Australian Bank-Bill Reference Rate Semi-Annually | 1.00% Semi-Annually | 3/07/2030 | AUD | 3,300,000 | 37,465 | 6,281 | 43,746 | ||||||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Annually | 3/19/2025 | CHF | 1,900,000 | 11,761 | 22,139 | 33,900 | ||||||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.50% Annually | 3/20/2030 | CHF | 1,900,000 | 6,887 | 22,030 | 28,917 | ||||||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Semi-Annually | 3/21/2030 | JPY | 205,000,000 | (10,161 | ) | 10,333 | 172 | |||||||||||||||||||
Receive | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 1.50% Annually | 3/20/2030 | NOK | 56,600,000 | 48,254 | 62,687 | 110,941 | ||||||||||||||||||||
Receive | 6 Month Prague Interbank Offered Rate Semi-Annually | 1.50% Annually | 3/16/2022 | CZK | 120,000,000 | (2,112 | ) | 52,742 | 50,630 | |||||||||||||||||||
Receive | 6 Month Warsaw Interbank Offered Rate Semi-Annually | 1.50% Annually | 12/15/2021 | PLN | 2,600,000 | (593 | ) | 3,093 | 2,500 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
1,487,163 | 361,182 | 1,848,345 | ||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Pay | 3 Month Australian Bank-Bill Reference Rate Quarterly | 0.50% Quarterly | 3/10/2022 | AUD | 10,000,000 | (19,641 | ) | (12,425 | ) | (32,066 | ) | |||||||||||||||||
Pay | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 1.75% Semi-Annually | 3/16/2022 | CAD | 21,200,000 | 24,945 | (34,361 | ) | (9,416 | ) | ||||||||||||||||||
Pay | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 1.75% Semi-Annually | 3/16/2022 | CAD | 18,000,000 | 2,596 | (10,591 | ) | (7,995 | ) | ||||||||||||||||||
Pay | 3 Month Hong Kong Interbank Offered Rate Quarterly | 1.50% Quarterly | 3/16/2022 | HKD | 8,000,000 | (2,600 | ) | (1,195 | ) | (3,795 | ) | |||||||||||||||||
Pay | 3 Month Johannesburg Interbank Agreed Rate Quarterly | 6.50% Quarterly | 12/15/2021 | ZAR | 29,800,000 | (4,142 | ) | (461 | ) | (4,603 | ) | |||||||||||||||||
Pay | 3 Month Johannesburg Interbank Agreed Rate Quarterly | 6.50% Quarterly | 3/16/2022 | ZAR | 36,200,000 | (774 | ) | (5,964 | ) | (6,738 | ) | |||||||||||||||||
Pay | 3 Month Korean Certificate of Deposit Quarterly | 1.00% Quarterly | 3/16/2022 | KRW | 2,493,100,000 | (2,368 | ) | (5,269 | ) | (7,637 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
10
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
PAY/ RECEIVE FLOATING RATE | FLOATING RATE INDEX (a) | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||||||||||
Pay | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.00% Annually | 3/20/2030 | SEK | 61,600,000 | $ (157,810 | ) | $ (31,046 | ) | $ (188,856 | ) | |||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Annually | 12/15/2021 | CHF | 300,000 | (934 | ) | (354 | ) | (1,288 | ) | |||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Annually | 3/16/2022 | CHF | 2,400,000 | (2,201 | ) | (8,058 | ) | (10,259 | ) | |||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Annually | 3/16/2022 | CHF | 9,300,000 | (11,913 | ) | (27,840 | ) | (39,753 | ) | |||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.50% Annually | 3/20/2030 | CHF | 500,000 | 2,511 | (10,121 | ) | (7,610 | ) | ||||||||||||||||||
Pay | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Semi-Annually | 3/21/2030 | JPY | 270,400,000 | 20,806 | (21,034 | ) | (228 | ) | ||||||||||||||||||
Pay | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 1.50% Annually | 12/15/2021 | NOK | 13,200,000 | (4,403 | ) | (5,330 | ) | (9,733 | ) | |||||||||||||||||
Pay | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 1.50% Annually | 3/16/2022 | NOK | 261,800,000 | (68,529 | ) | (106,309 | ) | (174,838 | ) | |||||||||||||||||
Pay | 6 Month Prague Interbank Offered Rate Semi-Annually | 1.50% Annually | 12/15/2021 | CZK | 75,700,000 | (10,480 | ) | (25,276 | ) | (35,756 | ) | |||||||||||||||||
Pay | 6 Month Singapore Interbank Offered Rate Semi-Annually | 1.50% Semi-Annually | 12/15/2021 | SGD | 900,000 | (678 | ) | (303 | ) | (981 | ) | |||||||||||||||||
Pay | 6 Month Singapore Interbank Offered Rate Semi-Annually | 1.50% Semi-Annually | 3/16/2022 | SGD | 7,900,000 | (1,997 | ) | (4,610 | ) | (6,607 | ) | |||||||||||||||||
Receive | 1 Month Mexico Equilibrium Interbank Interest Rate Monthly | 7.00% Monthly | 12/15/2021 | MXN | 25,400,000 | (5,061 | ) | (7,709 | ) | (12,770 | ) | |||||||||||||||||
Receive | 1 Month Mexico Equilibrium Interbank Interest Rate Monthly | 6.50% Monthly | 3/16/2022 | MXN | 15,800,000 | 1,632 | (4,169 | ) | (2,537 | ) | ||||||||||||||||||
Receive | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.00% Semi-Annually | 3/16/2022 | NZD | 17,200,000 | (11,691 | ) | (14,794 | ) | (26,485 | ) | |||||||||||||||||
Receive | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.00% Semi-Annually | 3/12/2025 | NZD | 5,000,000 | (7,243 | ) | (1,420 | ) | (8,663 | ) | |||||||||||||||||
Receive | 3 Month Australian Bank-Bill Reference Rate Quarterly | 1.50% Semi-Annually | 12/12/2029 | NZD | 100,000 | (636 | ) | (1,039 | ) | (1,675 | ) | |||||||||||||||||
Receive | 3 Month Australian Bank-Bill Reference Rate Quarterly | 2.00% Semi-Annually | 12/12/2029 | NZD | 300,000 | (314 | ) | (13,771 | ) | (14,085 | ) | |||||||||||||||||
Receive | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.25% Semi-Annually | 12/16/2021 | CAD | 3,500,000 | (31,406 | ) | 9,225 | (22,181 | ) | ||||||||||||||||||
Receive | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 1.75% Semi-Annually | 3/17/2025 | CAD | 17,400,000 | (85,643 | ) | 53,037 | (32,606 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
11
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
PAY/ RECEIVE FLOATING RATE | FLOATING RATE INDEX (a) | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||||||||||
Receive | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.50% Semi-Annually | 12/17/2029 | CAD | 1,000,000 | $ (61,529 | ) | $ 9,129 | $ (52,400 | ) | ||||||||||||||||||
Receive | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.50% Semi-Annually | 12/17/2029 | CAD | �� | 400,000 | (19,455 | ) | (1,486 | ) | (20,941 | ) | ||||||||||||||||
Receive | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | 2.00% Semi-Annually | 3/18/2030 | CAD | 3,800,000 | (60,750 | ) | (5,254 | ) | (66,004 | ) | |||||||||||||||||
Receive | 3 Month London Interbank Offered Rate Quarterly | 1.75% Semi-Annually | 3/18/2022 | USD | 26,300,000 | (113,093 | ) | (29,350 | ) | (142,443 | ) | |||||||||||||||||
Receive | 3 Month London Interbank Offered Rate Quarterly | 2.75% Semi-Annually | 12/18/2029 | USD | 700,000 | (50,637 | ) | (26,698 | ) | (77,335 | ) | |||||||||||||||||
Receive | 3 Month London Interbank Offered Rate Quarterly | 2.00% Semi-Annually | 3/18/2030 | USD | 5,400,000 | (181,377 | ) | (40,353 | ) | (221,730 | ) | |||||||||||||||||
Receive | 3 Month London Interbank Offered Rate Quarterly | 2.00% Semi-Annually | 3/18/2030 | USD | 1,100,000 | (44,150 | ) | (1,017 | ) | (45,167 | ) | |||||||||||||||||
Receive | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.00% Annually | 3/16/2022 | SEK | 404,900,000 | (150,678 | ) | 68,378 | (82,300 | ) | ||||||||||||||||||
Receive | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.00% Annually | 3/19/2025 | SEK | 49,900,000 | 1,719 | (3,455 | ) | (1,736 | ) | ||||||||||||||||||
Receive | 3 Month Stockholm Interbank Offered Rate Quarterly | 0.50% Annually | 12/19/2029 | SEK | 1,500,000 | (212 | ) | (3,260 | ) | (3,472 | ) | |||||||||||||||||
Receive | 6 Month Australian Bank-Bill Reference Rate Semi-Annually | 2.00% Semi-Annually | 12/13/2029 | AUD | 400,000 | (11,629 | ) | (9,025 | ) | (20,654 | ) | |||||||||||||||||
Receive | 6 Month Australian Bank-Bill Reference Rate Semi-Annually | 1.50% Semi-Annually | 12/13/2029 | AUD | 2,300,000 | (24,024 | ) | (21,129 | ) | (45,153 | ) | |||||||||||||||||
Receive | 6 Month Budapest Interbank Offered Rate Semi-Annually | 0.50% Annually | 12/15/2021 | HUF | 343,400,000 | (2,991 | ) | 1,005 | (1,986 | ) | ||||||||||||||||||
Receive | 6 Month Budapest Interbank Offered Rate Semi-Annually | 0.50% Annually | 3/16/2022 | HUF | 1,247,600,000 | 393 | (3,643 | ) | (3,250 | ) | ||||||||||||||||||
Receive | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.25% Annually | 3/18/2022 | EUR | 4,700,000 | (32,428 | ) | 9,553 | (22,875 | ) | ||||||||||||||||||
Receive | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.00% Annually | 3/18/2025 | EUR | 6,700,000 | (195,480 | ) | 50,971 | (144,509 | ) | ||||||||||||||||||
Receive | 6 Month Euro Interbank Offered Rate Semi-Annually | 0.75% Annually | 12/18/2029 | EUR | 1,000,000 | (76,922 | ) | (22,147 | ) | (99,069 | ) | |||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Semi-Annually | 3/18/2025 | GBP | 6,500,000 | (200,002 | ) | 33,504 | (166,498 | ) | ||||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Semi-Annually | 3/19/2025 | JPY | 1,071,700,000 | (90,405 | ) | 13,604 | (76,801 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
12
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
PAY/ RECEIVE FLOATING RATE | FLOATING RATE INDEX (a) | FIXED RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PREMIUM PAID (RECEIVED) | UNREALIZED APPRECIATION (DEPRECIATION) | VALUE | |||||||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 1.50% Semi-Annually | 12/18/2029 | GBP | 900,000 | $ (50,473 | ) | $ (42,628 | ) | $ (93,101 | ) | |||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Semi-Annually | 12/19/2029 | JPY | 22,600,000 | 1,800 | (1,981 | ) | (181 | ) | ||||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 0.00% Annually | 12/19/2029 | CHF | 100,000 | (2,868 | ) | (1,173 | ) | (4,041 | ) | |||||||||||||||||
Receive | 6 Month London Interbank Offered Rate Semi-Annually | 1.00% Semi-Annually | 3/18/2030 | GBP | 4,100,000 | (136,766 | ) | (41,000 | ) | (177,766 | ) | |||||||||||||||||
Receive | 6 Month Norwegian Interbank Offered Rate Semi-Annually | 2.00% Annually | 12/19/2029 | NOK | 5,900,000 | (13,607 | ) | (4,653 | ) | (18,260 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
(1,893,538 | ) | (363,295 | ) | (2,256,833 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$(406,375 | ) | $(2,113 | ) | $(408,488 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
(a) | Floating rate indices at September 30, 2019 were as follows: |
1 Month Mexico Equilibrium Interbank Interest Rate: 8.03% |
3 Month Australian Bank-Bill Reference Rate: 0.95% |
3 Month Canadian Bankers’ Acceptance Rate: 1.97% |
3 Month Hong Kong Interbank Offered Rate: 2.26% |
3 Month Johannesburg Interbank Agreed Rate: 6.79% |
3 Month Korean Certificate of Deposit: 1.55% |
3 Month London Interbank Offered Rate: 2.09% |
3 Month Stockholm Interbank Offered Rate: (0.09)% |
6 Month Australian Bank-Bill Reference Rate: 1.05% |
6 Month Budapest Interbank Offered Rate: 0.25% |
6 Month Euro Interbank Offered Rate: (0.39)% |
6 Month London Interbank Offered Rate: 2.06% |
6 Month Norwegian Interbank Offered Rate: 1.91% |
6 Month Prague Interbank Offered Rate: 2.18% |
6 Month Singapore Interbank Offered Rate: 1.94% |
6 Month Warsaw Interbank Offered Rate: 1.69% |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
13
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
Futures contracts outstanding as of September 30, 2019:
Exchange Traded
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
Long Contracts | ||||||||||||||||||
Australia 10 Year Bond | 3 | 12/2019 | AUD | $298,360 | $3,200 | |||||||||||||
Euro-Bund | 1 | 12/2019 | EUR | 189,924 | (2,181 | ) | ||||||||||||
Japan 10 Year Bond | 2 | 12/2019 | JPY | 2,867,422 | 3,270 | |||||||||||||
U.S. Treasury 10 Year Note | 1 | 12/2019 | USD | 130,313 | (1,595 | ) | ||||||||||||
U.S. Treasury 2 Year Note | 9 | 12/2019 | USD | 1,939,500 | (3,973 | ) | ||||||||||||
U.S. Treasury 5 Year Note | 3 | 12/2019 | USD | 357,445 | (986 | ) | ||||||||||||
U.S. Treasury Ultra Bond | 3 | 12/2019 | USD | 575,719 | (15,281 | ) | ||||||||||||
|
| |||||||||||||||||
(17,546 | ) | |||||||||||||||||
|
| |||||||||||||||||
Short Contracts | ||||||||||||||||||
Canada 10 Year Bond | (57 | ) | 12/2019 | CAD | (6,135,185 | ) | 54,033 | |||||||||||
Euro-OAT | (6 | ) | 12/2019 | EUR | (1,113,776 | ) | 8,517 | |||||||||||
Long Gilt | (62 | ) | 12/2019 | GBP | (10,233,398 | ) | (31,727 | ) | ||||||||||
|
| |||||||||||||||||
30,823 | ||||||||||||||||||
|
| |||||||||||||||||
$13,277 | ||||||||||||||||||
|
|
Forward foreign currency contracts outstanding as of September 30, 2019:
Over the Counter
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
AUD | 667,500 | USD | 448,826 | CITI | 12/18/2019 | $2,822 | ||||||||||||||
AUD | 667,500 | USD | 448,827 | JPMC | 12/18/2019 | 2,821 | ||||||||||||||
CAD | 719,352 | USD | 541,514 | CITI | 12/18/2019 | 2,172 | ||||||||||||||
CAD | 719,361 | USD | 541,521 | JPMC | 12/18/2019 | 2,172 | ||||||||||||||
COP | 60,000,000 | USD | 17,148 | CITI** | 12/18/2019 | 30 | ||||||||||||||
COP | 60,000,000 | USD | 17,148 | JPMC** | 12/18/2019 | 30 | ||||||||||||||
GBP | 471,500 | USD | 577,099 | CITI | 12/18/2019 | 4,519 | ||||||||||||||
GBP | 471,500 | USD | 577,100 | JPMC | 12/18/2019 | 4,518 | ||||||||||||||
IDR | 1,712,500,000 | USD | 118,021 | CITI** | 12/18/2019 | 1,560 | ||||||||||||||
IDR | 1,712,500,000 | USD | 118,021 | JPMC** | 12/18/2019 | 1,559 | ||||||||||||||
INR | 43,168,001 | USD | 593,201 | CITI** | 12/18/2019 | 11,885 | ||||||||||||||
INR | 43,167,999 | USD | 593,201 | JPMC** | 12/18/2019 | 11,885 | ||||||||||||||
KRW | 212,196,148 | USD | 176,001 | CITI** | 12/18/2019 | 1,344 | ||||||||||||||
KRW | 212,196,136 | USD | 176,001 | JPMC** | 12/18/2019 | 1,344 | ||||||||||||||
MXN | 16,994,995 | USD | 838,638 | CITI | 12/18/2019 | 11,885 | ||||||||||||||
MXN | 16,995,000 | USD | 838,640 | JPMC | 12/18/2019 | 11,884 | ||||||||||||||
PHP | 23,000,000 | USD | 439,314 | CITI** | 12/18/2019 | 3,204 | ||||||||||||||
PHP | 23,000,000 | USD | 439,317 | JPMC** | 12/18/2019 | 3,200 | ||||||||||||||
RUB | 20,500,000 | USD | 305,911 | CITI** | 12/18/2019 | 6,827 | ||||||||||||||
RUB | 20,500,000 | USD | 305,912 | JPMC** | 12/18/2019 | 6,826 | ||||||||||||||
SEK | 1 | USD | — | CITI | 12/18/2019 | — | ||||||||||||||
SEK | 4 | USD | — | JPMC | 12/18/2019 | — | ||||||||||||||
SGD | 5,000 | USD | 3,602 | CITI | 12/18/2019 | 19 | ||||||||||||||
SGD | 5,000 | USD | 3,602 | JPMC | 12/18/2019 | 19 | ||||||||||||||
TWD | 200,000 | USD | 6,456 | CITI** | 12/18/2019 | 27 | ||||||||||||||
TWD | 200,000 | USD | 6,456 | JPMC** | 12/18/2019 | 27 | ||||||||||||||
USD | 1,240,272 | AUD | 1,824,960 | CITI | 12/18/2019 | 5,456 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
14
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
USD | 1,240,271 | AUD | 1,824,961 | JPMC | 12/18/2019 | $ 5,454 | ||||||||||||||
USD | 523,011 | BRL | 2,141,000 | CITI** | 12/18/2019 | 10,165 | ||||||||||||||
USD | 523,010 | BRL | 2,141,000 | JPMC** | 12/18/2019 | 10,165 | ||||||||||||||
USD | 1,723,273 | CHF | 1,682,504 | CITI | 12/18/2019 | 25,620 | ||||||||||||||
USD | 1,723,262 | CHF | 1,682,496 | JPMC | 12/18/2019 | 25,618 | ||||||||||||||
USD | 641,794 | CLP | 459,999,998 | CITI** | 12/18/2019 | 9,920 | ||||||||||||||
USD | 641,794 | CLP | 460,000,002 | JPMC** | 12/18/2019 | 9,919 | ||||||||||||||
USD | 67,800 | COP | 235,000,000 | CITI** | 12/18/2019 | 519 | ||||||||||||||
USD | 67,800 | COP | 235,000,000 | JPMC** | 12/18/2019 | 519 | ||||||||||||||
USD | 139,389 | CZK | 3,250,000 | CITI | 12/18/2019 | 1,839 | ||||||||||||||
USD | 139,389 | CZK | 3,250,000 | JPMC | 12/18/2019 | 1,838 | ||||||||||||||
USD | 2,916,226 | EUR | 2,617,087 | CITI | 12/18/2019 | 46,334 | ||||||||||||||
USD | 2,916,257 | EUR | 2,617,111 | JPMC | 12/18/2019 | 46,339 | ||||||||||||||
USD | 48,553 | GBP | 39,250 | CITI | 12/18/2019 | 136 | ||||||||||||||
USD | 48,553 | GBP | 39,250 | JPMC | 12/18/2019 | 136 | ||||||||||||||
USD | 112,138 | HUF | 33,500,000 | CITI | 12/18/2019 | 2,565 | ||||||||||||||
USD | 112,138 | HUF | 33,500,000 | JPMC | 12/18/2019 | 2,565 | ||||||||||||||
USD | 7,557,304 | JPY | 799,011,191 | CITI | 12/18/2019 | 124,631 | ||||||||||||||
USD | 7,557,295 | JPY | 799,011,194 | JPMC | 12/18/2019 | 124,622 | ||||||||||||||
USD | 286,631 | KRW | 341,785,716 | CITI** | 12/18/2019 | 981 | ||||||||||||||
USD | 286,631 | KRW | 341,785,715 | JPMC** | 12/18/2019 | 980 | ||||||||||||||
USD | 280,566 | NOK | 2,520,500 | CITI | 12/18/2019 | 3,167 | ||||||||||||||
USD | 280,565 | NOK | 2,520,500 | JPMC | 12/18/2019 | 3,167 | ||||||||||||||
USD | 113,155 | NZD | 175,500 | CITI | 12/18/2019 | 3,060 | ||||||||||||||
USD | 113,155 | NZD | 175,500 | JPMC | 12/18/2019 | 3,060 | ||||||||||||||
USD | 83,750 | PLN | 330,000 | CITI | 12/18/2019 | 1,362 | ||||||||||||||
USD | 83,750 | PLN | 330,000 | JPMC | 12/18/2019 | 1,362 | ||||||||||||||
USD | 282,128 | SEK | 2,711,501 | CITI | 12/18/2019 | 5,189 | ||||||||||||||
USD | 282,128 | SEK | 2,711,504 | JPMC | 12/18/2019 | 5,189 | ||||||||||||||
USD | 119,944 | SGD | 165,000 | CITI | 12/18/2019 | 455 | ||||||||||||||
USD | 119,944 | SGD | 165,000 | JPMC | 12/18/2019 | 455 | ||||||||||||||
ZAR | 2,661,500 | USD | 171,596 | CITI | 12/18/2019 | 2,364 | ||||||||||||||
ZAR | 2,661,498 | USD | 171,597 | JPMC | 12/18/2019 | 2,363 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 580,093 | |||||||||||||||||||
|
| |||||||||||||||||||
AUD | 1,373,267 | USD | 932,471 | CITI | 12/18/2019 | (3,283 | ) | |||||||||||||
AUD | 1,373,267 | USD | 932,472 | JPMC | 12/18/2019 | (3,283 | ) | |||||||||||||
BRL | 567,500 | USD | 139,185 | CITI** | 12/18/2019 | (3,249 | ) | |||||||||||||
BRL | 567,500 | USD | 139,185 | JPMC** | 12/18/2019 | (3,249 | ) | |||||||||||||
CAD | 399,640 | USD | 303,363 | CITI | 12/18/2019 | (1,315 | ) | |||||||||||||
CAD | 399,647 | USD | 303,368 | JPMC | 12/18/2019 | (1,316 | ) | |||||||||||||
COP | 460,000,000 | USD | 133,517 | CITI** | 12/18/2019 | (1,819 | ) | |||||||||||||
COP | 460,000,000 | USD | 133,517 | JPMC** | 12/18/2019 | (1,819 | ) | |||||||||||||
EUR | 1,140,304 | USD | 1,268,679 | CITI | 12/18/2019 | (18,224 | ) | |||||||||||||
EUR | 1,140,304 | USD | 1,268,680 | JPMC | 12/18/2019 | (18,225 | ) | |||||||||||||
GBP | 44,500 | USD | 55,474 | CITI | 12/18/2019 | (581 | ) | |||||||||||||
GBP | 44,500 | USD | 55,474 | JPMC | 12/18/2019 | (581 | ) | |||||||||||||
HUF | 60,296,000 | USD | 204,650 | CITI | 12/18/2019 | (7,433 | ) | |||||||||||||
HUF | 60,296,000 | USD | 204,651 | JPMC | 12/18/2019 | (7,434 | ) | |||||||||||||
IDR | 287,500,000 | USD | 20,225 | CITI** | 12/18/2019 | (150 | ) | |||||||||||||
IDR | 287,500,000 | USD | 20,225 | JPMC** | 12/18/2019 | (150 | ) | |||||||||||||
INR | 500,000 | USD | 7,013 | CITI** | 12/18/2019 | (4 | ) | |||||||||||||
INR | 500,000 | USD | 7,013 | JPMC** | 12/18/2019 | (4 | ) | |||||||||||||
JPY | 19,911,224 | USD | 186,844 | CITI | 12/18/2019 | (1,623 | ) | |||||||||||||
JPY | 19,911,224 | USD | 186,844 | JPMC | 12/18/2019 | (1,623 | ) | |||||||||||||
KRW | 188,905,860 | USD | 158,899 | CITI** | 12/18/2019 | (1,020 | ) | |||||||||||||
KRW | 188,905,856 | USD | 158,899 | JPMC** | 12/18/2019 | (1,020 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
15
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
MXN | 10,193,005 | USD | 513,929 | CITI | 12/18/2019 | $ (3,815 | ) | |||||||||||||
MXN | 10,193,000 | USD | 513,929 | JPMC | 12/18/2019 | (3,815 | ) | |||||||||||||
NZD | 1,372,996 | USD | 877,836 | CITI | 12/18/2019 | (16,528 | ) | |||||||||||||
NZD | 1,373,004 | USD | 877,842 | JPMC | 12/18/2019 | (16,529 | ) | |||||||||||||
PLN | 1,947,006 | USD | 494,733 | CITI | 12/18/2019 | (8,647 | ) | |||||||||||||
PLN | 1,946,994 | USD | 494,731 | JPMC | 12/18/2019 | (8,647 | ) | |||||||||||||
USD | 1,227,180 | AUD | 1,824,960 | CITI | 12/18/2019 | (7,636 | ) | |||||||||||||
USD | 1,227,179 | AUD | 1,824,961 | JPMC | 12/18/2019 | (7,637 | ) | |||||||||||||
USD | 117,483 | BRL | 492,000 | CITI** | 12/18/2019 | (369 | ) | |||||||||||||
USD | 117,483 | BRL | 492,000 | JPMC** | 12/18/2019 | (369 | ) | |||||||||||||
USD | 82,473 | CZK | 1,950,000 | CITI | 12/18/2019 | (58 | ) | |||||||||||||
USD | 82,472 | CZK | 1,950,000 | JPMC | 12/18/2019 | (58 | ) | |||||||||||||
USD | 26,027 | GBP | 21,250 | CITI | 12/18/2019 | (185 | ) | |||||||||||||
USD | 26,027 | GBP | 21,250 | JPMC | 12/18/2019 | (185 | ) | |||||||||||||
USD | 302,356 | ILS | 1,060,000 | CITI | 12/18/2019 | (3,868 | ) | |||||||||||||
USD | 302,356 | ILS | 1,060,000 | JPMC | 12/18/2019 | (3,868 | ) | |||||||||||||
USD | 1,115,323 | KRW | 1,346,447,292 | CITI** | 12/18/2019 | (9,982 | ) | |||||||||||||
USD | 1,115,319 | KRW | 1,346,447,277 | JPMC** | 12/18/2019 | (9,985 | ) | |||||||||||||
USD | 47,205 | MXN | 962,000 | CITI | 12/18/2019 | (939 | ) | |||||||||||||
USD | 47,205 | MXN | 962,000 | JPMC | 12/18/2019 | (939 | ) | |||||||||||||
USD | 22,445 | PLN | 90,000 | CITI | 12/18/2019 | (24 | ) | |||||||||||||
USD | 22,445 | PLN | 90,000 | JPMC | 12/18/2019 | (24 | ) | |||||||||||||
USD | 7,492 | RUB | 500,000 | CITI** | 12/18/2019 | (136 | ) | |||||||||||||
USD | 7,492 | RUB | 500,000 | JPMC** | 12/18/2019 | (136 | ) | |||||||||||||
USD | 133,214 | TWD | 4,149,992 | CITI** | 12/18/2019 | (1,298 | ) | |||||||||||||
USD | 133,215 | TWD | 4,150,008 | JPMC** | 12/18/2019 | (1,298 | ) | |||||||||||||
USD | 36,304 | ZAR | 562,000 | CITI | 12/18/2019 | (429 | ) | |||||||||||||
USD | 36,304 | ZAR | 562,000 | JPMC | 12/18/2019 | (429 | ) | |||||||||||||
ZAR | 2,777,500 | USD | 186,556 | CITI | 12/18/2019 | (5,016 | ) | |||||||||||||
ZAR | 2,777,500 | USD | 186,557 | JPMC | 12/18/2019 | (5,016 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (195,270 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | $384,823 | |||||||||||||||||||
|
|
** | Non-deliverable forward. |
Collateral pledged to, or (received from), each counterparty at September 30, 2019 was as follows:
COUNTERPARTY | OVER THE COUNTER | EXCHANGE TRADED/ EXCHANGE CLEARED | TOTAL | |||||||||
CITG | ||||||||||||
Cash | $— | $36,365 | $36,365 | |||||||||
| ||||||||||||
CITI | ||||||||||||
Cash | (249,000 | ) | — | (249,000 | ) | |||||||
| ||||||||||||
CRSU | ||||||||||||
Cash | — | 1,011,494 | 1,011,494 | |||||||||
| ||||||||||||
JPMC | ||||||||||||
Cash | 523,971 | — | 523,971 | |||||||||
| ||||||||||||
JPMS | ||||||||||||
Cash | — | 2,309,768 | 2,309,768 | |||||||||
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
16
Table of Contents
Schedule of Investments | September 30, 2019 |
AQR CORE PLUS BOND FUND |
Abbreviations
TBA - To Be Announced; Security is subject to delayed delivery.
UMBS - Uniform Mortgage-Backed Securities
Currencies
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
The following abbreviations are used for counterparty descriptions:
CITG - Citigroup Global Markets, Inc.
CITI - Citibank NA
CRSU - Credit Suisse Securities (USA) LLC
JPMC - J.P. Morgan Chase Bank, NA
JPMS - J.P. Morgan Securities LLC
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
17
Table of Contents
Statement of Assets and Liabilities | September 30, 2019 |
AQR CORE PLUS BOND FUND | ||||
ASSETS: | ||||
Investments in securities of unaffiliated issuers, at cost | $ | 142,070,698 | ||
Investments in securities of unaffiliated issuers, at value | $ | 145,434,916 | ||
Cash | 247 | |||
Cash denominated in foreign currencies‡ | 96,050 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 580,093 | |||
Due from broker | 523,971 | |||
Deposits with brokers for centrally cleared swaps (unamortized upfront payments $101,823) | 3,183,714 | |||
Deposits with brokers for futures contracts | 306,821 | |||
Variation margin on centrally cleared swaps | 2,729 | |||
Variation margin on futures contracts | 1,756 | |||
Receivables: | ||||
Securities sold | 653,649 | |||
Securities sold—delayed delivery securities | 1,761,955 | |||
Foreign tax reclaims | 10,911 | |||
Dividends | 745,486 | |||
Capital shares sold | 707,775 | |||
Due from Investment Adviser | 7,219 | |||
Prepaid expenses | 26,639 | |||
Total Assets | 154,043,931 | |||
LIABILITIES: | ||||
TBA sale commitments, at value (proceeds $1,761,955) | 1,762,166 | |||
Due to broker | 249,000 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 195,270 | |||
Variation margin on centrally cleared swaps | 15,122 | |||
Payables: | ||||
Securities purchased | 1,308,358 | |||
Securities purchased—delayed delivery securities | 35,612,184 | |||
Accrued distribution fees—Class N | 222 | |||
Capital shares redeemed | 707,031 | |||
Other accrued expenses and liabilities | 95,153 | |||
Total Liabilities | 39,944,506 | |||
Net Assets | $ | 114,099,425 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $ | 109,692,876 | ||
Total distributable earnings (loss) | 4,406,549 | |||
Net Assets | $ | 114,099,425 | ||
NET ASSETS: | ||||
Class I | $ | 17,659,253 | ||
Class N | 1,062,342 | |||
Class R6 | 95,377,830 | |||
SHARES OUTSTANDING: | ||||
Class I | 1,696,267 | |||
Class N | 102,082 | |||
Class R6 | 9,163,620 | |||
NET ASSET VALUE: | ||||
Class I | $ | 10.41 | ||
Class N | $ | 10.41 | ||
Class R6 | $ | 10.41 | ||
‡ Cash denominated in foreign currencies at cost | $ | 96,784 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
18
Table of Contents
Statement of Operations | September 30, 2019 |
AQR CORE PLUS BOND FUND | ||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | ||||
INVESTMENT INCOME: | ||||
Dividend income: | ||||
Unaffiliated issuers | $274,925 | |||
Interest income† | 2,423,791 | |||
Securities lending income, net | 548 | |||
Total Income | 2,699,264 | |||
EXPENSES: | ||||
Investment advisory fees | 335,650 | |||
Custody fees | 18,224 | |||
Administration & accounting fees | 35,068 | |||
Legal fees | 9,197 | |||
Audit & tax fees | 54,629 | |||
Shareholder reporting fees | 17,405 | |||
Transfer agent fees | 23,386 | |||
Trustee fees | 5,819 | |||
Offering costs | 54,216 | |||
Distribution fees—Class N | 1,895 | |||
Interest expense | 2,581 | |||
Registration fees | 63,763 | |||
Pricing fee | 16,186 | |||
Other expenses | 31,674 | |||
Total Expenses | 669,693 | |||
Less fee waivers and/or reimbursements | (268,722 | ) | ||
Net Expenses | 400,971 | |||
Net Investment Income (Loss) | 2,298,293 | |||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||
Net realized gain (loss) from: | ||||
Transactions in investment securities of unaffiliated issuers | 2,669,831 | |||
Settlement of foreign currency and foreign currency transactions | (34,362 | ) | ||
Settlement of forward foreign currency contracts | 1,371,506 | |||
Expiration or closing of futures contracts | (1,279,947 | ) | ||
TBA sale commitments | (360,498 | ) | ||
Expiration or closing of swap contracts | (302,915 | ) | ||
Net realized gain (loss) | 2,063,615 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investment securities of unaffiliated issuers | 4,677,818 | |||
Foreign currency and foreign currency transactions | (4,910 | ) | ||
Forward foreign currency exchange contracts | 414,005 | |||
Futures contracts | (120,212 | ) | ||
TBA sale commitments | (698 | ) | ||
Swap contracts | 10,186 | |||
Net change in unrealized appreciation (depreciation) | 4,976,189 | |||
Net realized gain (loss) and net change in unrealized appreciation (depreciation) | 7,039,804 | |||
Net increase (decrease) in net assets resulting from operations | $9,338,097 | |||
† Net of foreign taxes withheld of | $15,153 |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Annual Report | September 2019 | ||||||||||||||
19
Table of Contents
Statement of Changes in Net Assets | September 30, 2019 |
AQR CORE PLUS BOND FUND | ||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE PERIOD 9/30/18 | |||||||
OPERATIONS: | ||||||||
Net investment income (loss) | $ | 2,298,293 | $ | 1,127,569 | ||||
Net realized gain (loss) | 2,063,615 | 137,999 | ||||||
Net change in unrealized appreciation (depreciation) | 4,976,189 | (1,211,728 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 9,338,097 | 53,840 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
| |||||||
Class I | (235,959 | ) | (38,811 | ) | ||||
Class N | (23,264 | ) | (5,803 | ) | ||||
Class R6 | (3,576,976 | ) | (1,176,077 | ) | ||||
Total distributions | (3,836,199 | ) | (1,220,691 | ) | ||||
CAPITAL TRANSACTIONS: |
| |||||||
CLASS I | ||||||||
Proceeds from shares sold | 18,462,706 | 3,858,053 | ||||||
Reinvestment of distributions | 183,838 | 21,167 | ||||||
Cost of shares redeemed | (5,192,864 | ) | (141,059 | ) | ||||
Net increase (decrease) from capital transactions | 13,453,680 | 3,738,161 | ||||||
CLASS N | ||||||||
Proceeds from shares sold | 1,024,659 | 565,506 | ||||||
Reinvestment of distributions | 6,900 | 411 | ||||||
Cost of shares redeemed | (574,516 | ) | — | |||||
Net increase (decrease) from capital transactions | 457,043 | 565,917 | ||||||
CLASS R6 | ||||||||
Proceeds from shares sold | 96,938,014 | 98,089,999 | ||||||
Reinvestment of distributions | 189,377 | 861 | ||||||
Cost of shares redeemed | (103,668,674 | ) | — | |||||
Net increase (decrease) from capital transactions | (6,541,283 | ) | 98,090,860 | |||||
Net increase (decrease) in net assets resulting from capital transactions | 7,369,440 | 102,394,938 | ||||||
Total increase (decrease) in net assets | 12,871,338 | 101,228,087 | ||||||
NET ASSETS: | ||||||||
Beginning of period | 101,228,087 | — | ||||||
End of period | $ | 114,099,425 | $ | 101,228,087 | ||||
The accompanying notes are an integral part of these financial statements. | (continued on p. 21) |
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Statement of Changes in Net Assets | September 30, 2019 |
AQR CORE PLUS BOND FUND | ||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | FOR THE PERIOD 9/30/18 | |||||||
CHANGES IN SHARES OUTSTANDING: |
| |||||||
CLASS I | ||||||||
Shares outstanding, beginning of period | 375,031 | — | ||||||
Shares sold | 1,822,243 | 387,044 | ||||||
Shares issued on reinvestment of distributions | 18,261 | 2,134 | ||||||
Shares redeemed | (519,268 | ) | (14,147 | ) | ||||
Shares outstanding, end of period | 1,696,267 | 375,031 | ||||||
CLASS N | ||||||||
Shares outstanding, beginning of period | 56,638 | — | ||||||
Shares sold | 102,615 | 56,597 | ||||||
Shares issued on reinvestment of distributions | 685 | 41 | ||||||
Shares redeemed | (57,856 | ) | — | |||||
Shares outstanding, end of period | 102,082 | 56,638 | ||||||
CLASS R6 | ||||||||
Shares outstanding, beginning of period | 9,809,080 | — | ||||||
Shares sold | 9,810,956 | 9,808,993 | ||||||
Shares issued on reinvestment of distributions | 19,359 | 87 | ||||||
Shares redeemed | (10,475,775 | ) | — | |||||
Shares outstanding, end of period | 9,163,620 | 9,809,080 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | September 30, 2019 |
PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
Change in Net Assets Resulting from Operations1 | Less Dividends and Distributions | |||||||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) | Net Increase (Decrease) in Net Asset Value from Operations | Distributions from Net Investment Income | Distributions from Net Realized Gains | Total Distributions | ||||||||||||||||||||||
AQR CORE PLUS BOND FUND CLASS I | ||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.88 | 0.21 | 0.69 | 0.90 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
FOR THE PERIOD 4/05/187—9/30/18 | $10.00 | 0.11 | (0.11 | ) | — | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
AQR CORE PLUS BOND FUND CLASS N | ||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.88 | 0.19 | 0.68 | 0.87 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
FOR THE PERIOD 4/05/187—9/30/18 | $10.00 | 0.10 | (0.11 | ) | (0.01 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
AQR CORE PLUS BOND FUND CLASS R6 | ||||||||||||||||||||||||||||
FOR THE YEAR ENDED SEPTEMBER 30, 2019 | $9.88 | 0.22 | 0.68 | 0.90 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
FOR THE PERIOD 4/05/187—9/30/18 | $10.00 | 0.11 | (0.11 | ) | — | (0.12 | ) | — | (0.12 | ) |
* | Annualized for periods less than one year. |
1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
2 | 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 | 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. |
4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
5 | Portfolio turnover is not annualized. |
6 | Certain expenses incurred by the Fund were not annualized for the period. |
7 | Commencement of operations. |
8 | The portfolio turnover rate excluding TBAs would have been 262% for the year ended September 30, 2019 and 110% for the period ended September 30, 2018. |
The accompanying notes are an integral part of these financial statements. |
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Financial Highlights | September 30, 2019 |
RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||||
Net Asset Value, End of Period | Total Return2,3 | Net Assets, End of Period (000’s) | Expenses, Before Reimbursements and/or Waivers4 | Expenses, Net of Reimbursements and/or Waivers4 | Expenses, Net of | Net Investment Income (Loss) | Portfolio Turnover Rate5,8 | |||||||||||||||||||||||||||
$10.41 | 9.31 | % | $17,659 | 0.72 | %6 | 0.43 | % | 0.43 | % | 2.04 | % | 1,004 | % | |||||||||||||||||||||
$9.88 | (0.02 | )% | $3,707 | 0.60 | %6 | 0.42 | % | 0.42 | % | 2.26 | % | 439 | % | |||||||||||||||||||||
$10.41 | 9.09 | % | $1,062 | 0.95 | %6 | 0.66 | % | 0.66 | % | 1.88 | % | 1,004 | % | |||||||||||||||||||||
$9.88 | (0.12 | )% | $560 | 0.79 | %6 | 0.62 | % | 0.62 | % | 2.04 | % | 439 | % | |||||||||||||||||||||
$10.41 | 9.38 | % | $95,378 | 0.68 | %6 | 0.37 | % | 0.37 | % | 2.21 | % | 1,004 | % | |||||||||||||||||||||
$9.88 | 0.00 | % | $96,961 | 0.54 | %6 | 0.37 | % | 0.37 | % | 2.29 | % | 439 | % |
The accompanying notes are an integral part of these financial statements. |
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Notes to Financial Statements | September 30, 2019 |
1. Organization
AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is anopen-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of September 30, 2019, the Trust consists of thirty-nine active series; AQR Core Plus Bond Fund (the “Fund”) is presented in this book. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each of the Funds.
The investment objective of the Fund is to seek total return. The Fund offers Class I, Class N and Class R6 shares.
2. Significant Accounting Policies
The Fund is an investment company and applies specialized accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standard CodificationTopic 946 Financial Services — Investment Companies. The accounting policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 4.
Cash:Cash comprises U.S. Dollar and foreign currency deposits held at a custodian bank(s) which may exceed insured limits. The Fund is subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Fund’s prime brokers and counterparties. The Fund is subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Fund.
Foreign Currency Translation: The books and records of the Fund are maintained in U.S. Dollars. The Fund’s assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Fund’s income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Fund does not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statement of Operations.
Realized gains (losses) from settlement of foreign currency and foreign currency transactions reported on the Statement of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Fund’s books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translations reported on the Statement of Operations arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Investment Transactions and Related Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Realized gains and losses on investment transactions are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis.
Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear differentsub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. Income,non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. The Fund is charged for those expenses that are directly attributable to the Fund. Trust level expenses are allocated among the Funds on the ratio of average net assets or other reasonable methodology.
The Fund records 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
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capital may differ from the estimated amounts. The Fund adjusts 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 Fund may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Fund commenced operations.
Federal Income Taxes: The Fund is treated as a separate taxable entity for federal income tax purposes. The Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, the Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.
The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Fund 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 themore-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Fund is 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 Fund has concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Fund for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of September 30, 2019, the Fund had no examinations in progress.
Distributions to Shareholders: Distributions to shareholders are recorded on theex-dividend date. Distribution from net investment income are generally declared and paid monthly. Net realized capital gains, if any, are distributed by the Fund at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Fund financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the Statement of Changes in Net Assets and has been recorded to paid in capital.
Indemnification:In the normal course of business, the Fund may enter into various agreements that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Fund. However, based on experience, the Fund expects the risk of loss to be remote.
3. Securities and Other Investments
Affiliate Investments: Certain investments may be classified as an affiliate or a controlled affiliate of the Fund on the Schedule of Investments.Section 2a-3 of the 1940 Act defines an affiliate as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. Further, pursuant to the 1940 Act, control is presumed to exist when, among other things, a Fund owns more than 25% of the outstanding voting securities of portfolio company.
Additionally, the Fund may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. The LPCI Fund may be considered an affiliated person of the Fund in the Trust. However, the Fund does not invest in the LPCI Fund for the purpose of exercising significant influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedule of Investments, if applicable.
Inflation-Indexed Bonds: The Fund may invest in inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.
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Futures Contracts: The Fund invests in futures contracts as part of its primary investment strategy and to equitize its cash flows. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Fund, the Fund may not receive the return of the entire margin owed to the Fund, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statement of Operations as net change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and is reported in the Statement of Operations. The use of long futures contracts subjects the Fund to risk of loss in excess of the variation margin on the Statement of Assets and Liabilities. The use of short futures contracts subjects the Fund to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after Schedule of Investments.
Forward Foreign Currency Exchange Contracts: The Fund buys and sells forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Fund records 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 Fund 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 the amounts recognized on the Statement of Assets and Liabilities.Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after Schedule of Investments.
Swap Contracts: The Fund engages in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in theover-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedule of Investments include the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statement of Assets and Liabilities. For credit default and interest rate contracts, an upfront payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Payments received (paid) by a Fund are recorded as realized gains (losses) from the expiration at a periodic reset date or closing of swap contracts in the Statement of Operations. The Fund’s use of swap contracts create additional risks beyond those that would exist if the Fund invested in the underlying positions directly.
Credit Default Swap Contracts:The 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 upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss on swap contracts in the Statement of Operations.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Statement 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. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statement of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after Schedule of Investments.
Interest Rate Swaps:The Fund enters into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap
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agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Fund are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statement of Operations. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Schedule of Investments.Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after Schedule of Investments.
Delayed Delivery Securities: During the period, the Fund transacted in securities on a delayed delivery basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery basis are identified as such in the Fund’s Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery security. With respect to purchase commitments, the Fund identified securities as segregated in their records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract terms.
To-Be-Announced Commitments: The Fund may invest inTo-Be-Announced (“TBA”) commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The term TBA is derived from the fact that the actual mortgage-backed securities that will be delivered to fulfill a TBA commitment are not designated at the time the trade is made, however delivered securities must meet specified terms, including issuer, rate and mortgage terms. The actual pool of mortgage-backed securities to be delivered is announced 48 hours prior to the established trade settlement date. Settlement of TBA commitments can occur in two ways: i) taking or making delivery of mortgage pools/securities; or ii)pairing-off with an offsetting trade for cash settlement.
Investing in TBA commitments, which are accounted for as purchases and sales transactions, involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. The Fund is subject to this risk whether or not the Fund takes delivery of the positions on the settlement date for a transaction. TBA commitments outstanding at period end, if any, are disclosed in the Fund’s Schedule of Investments.
Securities Lending: The Fund may lend securities to qualified borrowers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash or securities issued by the U.S. Treasury valued at 102% to 105% of the market value of the securities on loan. The Fund may invest cash collateral in money market funds as indicated on the Schedule of Investments. The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses.
Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. 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 Fund whole. If, despite such efforts by the lending agent to exercise these remedies, the Fund sustains losses as a result of a borrower’s default, the lending agent indemnifies the Fund by purchasing replacement securities at its expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in the Securities Lending Agency Agreement between the Fund and the lending agent. Securities lending income, net on the Statement of Operations represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statement of Assets and Liabilities.
Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. The balance of securities on loan at period end, if any, is disclosed in the footnotes to the Schedule of Investments. The fair value of the Fund’s investment securities on loan and a related liability for collateral received on securities loaned are both presented gross on the Statement of Assets and Liabilities.
Master Agreements:The Fund is party to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
As the Master Agreements are specific to unique operations of different asset types, they allow the Fund to i.) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a
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counterparty, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Fund counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between the Fund and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Fund is required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts on the Statement of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on centrally cleared swaps and Variation margin on futures contracts. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between the Fund and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.
Collateral pledged by the Fund for OTC derivatives pursuant to Master Agreements is segregated by the Fund’s custodian and identified as an asset in the Statement of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash).
Master Securities Forward Transaction Agreements (each, an “MSFTA”) are entered into in order to govern TBA commitments. A MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral posted for the benefit of the Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund Schedule of Investments. Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk. Collateral received is reflected as a liability within Due to brokers in the Statement of Assets and Liabilities. As governed by the relevant Master Agreements, interest expense may be incurred if a counterparty charges the Fund interest on collateral posted directly to a Fund’s custodian account.
The collateral requirements for TBA commitments are typically calculated by netting themark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by the Fund and the counterparty. Typically, the Fund is permitted to sell,re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting agreements on the Statement of Assets and Liabilities.
4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Fund’s shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within the Fund is computed by dividing the total current value of the assets of the Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Fund’s Board of Trustees (the “Board”).
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Notes to Financial Statements | September 30, 2019 |
The Adviser has established a Valuation Committee (the “VC”) to assist the Board with oversight and monitoring of the valuation of the Fund’s investments. This includes administering, implementing and overseeing the continual appropriateness of valuation approaches applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Fund’s Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had an active ready market for the investments existed. These differences could be material.
Fair Value Hierarchy: Various inputs are utilized in determining the value of Fund investments. These inputs are summarized in the three broad levels as follows:
Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Fund to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs. Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Fund to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Investments in mutual funds are valued daily at their NAVs which are also classified as Level 1.
Fixed income securities (other than certain short-term investments maturing in 60 days or less) and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and are also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are generally based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Fund may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for credit, market and/or other risk factors.
The inputs used by the Fund 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
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Notes to Financial Statements | September 30, 2019 |
rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/ornon-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Fund due to the lack of observable inputs may significantly impact the fair value of the investment.
Exchange-traded derivatives, such as futures contracts and exchange-traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange their constitutes the principal market. For option contracts, if no sales occurred on such date, the contracts will be valued at the mid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Fund on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also may include other unobservable inputs which may be considered significant to the fair value determination.
Quantitative Information
The following table represents the Fund’s valuations inputs as presented on the Schedule of Investments:
AQR CORE PLUS BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTALS | ||||||||||||
ASSETS | ||||||||||||||||
Corporate Bonds | $ | — | $ | 28,664,189 | $ | — | $ | 28,664,189 | ||||||||
Foreign Government Securities | — | 23,871,756 | — | 23,871,756 | ||||||||||||
Mortgage-Backed Securities | — | 35,554,907 | — | 35,554,907 | ||||||||||||
U.S. Treasury Obligations | — | 38,585,900 | — | 38,585,900 | ||||||||||||
Short-Term Investments | 18,758,164 | — | — | 18,758,164 | ||||||||||||
Futures Contracts* | 69,020 | — | — | 69,020 | ||||||||||||
Forward Foreign Currency Exchange Contracts* | — | 580,093 | — | 580,093 | ||||||||||||
Interest Rate Swap Contracts* | — | 1,848,345 | — | 1,848,345 | ||||||||||||
Credit Default Swap Contracts* | — | 650,551 | — | 650,551 | ||||||||||||
Total Assets | $ | 18,827,184 | $ | 129,755,741 | $ | — | $ | 148,582,925 | ||||||||
LIABILITIES | ||||||||||||||||
TBA Sale Commitments (Sold Short) | $ | — | $ | (1,762,166 | ) | $ | — | $ | (1,762,166 | ) | ||||||
Futures Contracts* | (55,743 | ) | — | — | (55,743 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* | — | (195,270 | ) | — | (195,270 | ) | ||||||||||
Interest Rate Swap Contracts* | — | (2,256,833 | ) | — | (2,256,833 | ) | ||||||||||
Credit Default Swap Contracts* | — | (133,069 | ) | — | (133,069 | ) | ||||||||||
Total Liabilities | $ | (55,743 | ) | $ | (4,347,338 | ) | $ | — | $ | (4,403,081 | ) |
* | Derivative instruments, including futures and forward foreign currency exchange, are reported at the cumulative unrealized appreciation/ (depreciation) of the instrument within the Fund’s Schedule of Investments. Credit default swaps and interest rate swaps contracts are reported at market value. Only current day’s variation margin is reported within the Statement of Assets and Liabilities for exchange-traded and cleared derivatives. |
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Notes to Financial Statements | September 30, 2019 |
During the period ended September 30, 2019, there were no transfers to or from Level 3. There were no Level 3 securities held at period end.
5. Federal Income Tax Matters
At September 30, 2019, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions and derivative instruments for federal income tax purposes were as follows:
FUND | COST OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
AQR Core Plus Bond Fund | $ | 140,759,795 | $ | 4,742,208 | $ | (1,322,159 | ) | $ | 3,420,049 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals and differences in the tax treatment of certain swap contracts.
As of September 30, 2019, the components of distributable earnings on a tax basis were as follows:
FUND | CURRENT DISTRIBUTABLE ORDINARY INCOME | CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR TAX BASIS CAPITAL LOSS CARRYFORWARDS | NET UNREALIZED APPRECIATION (DEPRECIATION) | POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS | OTHER TEMPORARY DIFFERENCES | TOTAL ACCUMULATED EARNINGS | ||||||||||||||||||
AQR Core Plus Bond Fund | $ | 1,165,002 | $ | — | $ | 3,242,986 | $ | — | $ | (1,439 | ) | $ | 4,406,549 |
The differences between book basis and tax basis components of distributable earnings are primarily attributable to wash sale loss deferrals, and other book and tax differences including, mark to market on forward foreign exchange contracts, mark to market on regulated futures contracts, straddle loss deferrals, CPDI accrued income, income on certain swaps, and capital loss carryforwards.
As of September 30, 2019, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:
FUND | TOTAL DISTRIBUTABLE EARNINGS (LOSS) | PAID-IN CAPITAL | ||||||
AQR Core Plus Bond Fund | $ | 54,217 | $ | (54,217 | ) |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to certain non deductible expenses. The result of operations and net assets were not affected by the reclassifications.
The tax character of distributions paid during the fiscal year-ends or period September 30, 2019 and September 30, 2018 were as follows:
SEPTEMBER 30, 2019 | SEPTEMBER 30, 2018 | |||||||||||||||
FUND | ORDINARY INCOME | CAPITAL GAINS | ORDINARY INCOME | CAPITAL GAINS | ||||||||||||
AQR Core Plus Bond Fund | $ | 3,836,199 | $ | — | $ | 1,220,691 | $ | — |
During the year ended September 30, 2019, the Fund utilized capital loss carryforwards in the amounts listed below:
FUND | SHORT-TERM | LONG-TERM | ||||||
AQR Core Plus Bond Fund | $ | 593,438 | $ | 123,149 |
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Notes to Financial Statements | September 30, 2019 |
6. Investment Transactions
During the year ended September 30, 2019, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:
FUND | PURCHASES | SALES | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||||
AQR Core Plus Bond Fund | $ | 741,090,609 | $ | 736,867,405 | $ | 511,329,104 | $ | 509,927,647 |
During the year ended September 30, 2019, the Fund had purchases and sales of long-term U.S. Government obligations as follows:
FUND | PURCHASES | SALES | SECURITIES SOLD SHORT | COVERS ON SECURITIES SOLD SHORT | ||||||||||||
AQR Core Plus Bond Fund | $ | 150,576,825 | $ | 149,844,455 | $ | — | $ | — |
7. Derivative Instruments and Activities
The Fund uses derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Fund derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Fund does not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities. All derivative instruments held by the Fund were subject to a master netting agreement or similar arrangement.
The following table lists the fair value of derivatives instruments held by the Fund, by primary underlying risk and contract type, as included in the Statement of Assets and Liabilities at September 30, 2019.
ASSETS | LIABILITIES | |||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE** | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* | SWAPS AT VALUE** | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Foreign Exchange Rate Risk Exposure: |
| |||||||||||||||||||||||
AQR Core Plus Bond Fund | $ | — | $ | — | $ | 580,093 | $ | — | $ | — | $ | 195,270 | ||||||||||||
Interest Rate Risk Exposure: |
| |||||||||||||||||||||||
AQR Core Plus Bond Fund | 69,020 | 1,848,345 | — | 55,743 | 2,256,833 | — | ||||||||||||||||||
Credit Risk Exposure: |
| |||||||||||||||||||||||
AQR Core Plus Bond Fund | — | 650,551 | — | — | 133,069 | — | ||||||||||||||||||
Net Fair Value of Derivative Contracts: |
| |||||||||||||||||||||||
AQR Core Plus Bond Fund | 13,277 | 108,994 | 384,823 | — | — | — |
* | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
** | Includes the fair value of centrally cleared swap contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
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Notes to Financial Statements | September 30, 2019 |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the yearended September 30, 2019:
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS | |||||||||||||||||||||||
FUND | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | FUTURES CONTRACTS | SWAPS CONTRACTS | FORWARD CURRENCY EXCHANGE CONTRACTS | ||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||
AQR Core Plus Bond Fund | $ | — | $ | — | $ | 1,371,506 | $ | — | $ | — | $ | 414,005 | ||||||||||||
Interest Rate Risk Exposure: |
| |||||||||||||||||||||||
AQR Core Plus Bond Fund | (1,279,947 | ) | (336,964 | ) | — | (120,212 | ) | (5,148 | ) | — | ||||||||||||||
Credit Risk Exposure: |
| |||||||||||||||||||||||
AQR Core Plus Bond Fund | — | 34,049 | — | — | 15,334 | — |
The following table presents the Fund’s gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of September 30, 2019:
AQR CORE PLUS BOND FUND
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF ASSETS | FINANCIAL INSTRUMENTS | CASH COLLATERAL (RECEIVED)/ PLEDGED (a) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 290,057 | $ | (97,631 | ) | $ | 192,426 | $ | — | $ | (192,426 | ) | $ | — | |||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 290,036 | (97,639 | ) | 192,397 | — | — | 192,397 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 580,093 | (195,270 | ) | 384,823 | — | (192,426 | ) | 192,397 |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | ||||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES | GROSS AMOUNTS ELIGIBLE TO OFFSET | NET AMOUNTS OF LIABILITIES | FINANCIAL INSTRUMENTS | CASH COLLATERAL RECEIVED/ (PLEDGED) (a) | NET AMOUNT | |||||||||||||||||||
CITI | Forward Foreign Currency Exchange Contracts | $ | 97,631 | $ | (97,631 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
JPMC | Forward Foreign Currency Exchange Contracts | 97,639 | (97,639 | ) | — | — | — | — | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 195,270 | (195,270 | ) | — | — | — | — |
(a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from or pledged to the counterparty. Total additional collateral received was $ 56,574 and total additional collateral pledged was $ 523,971. |
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Notes to Financial Statements | September 30, 2019 |
For theyear ended September 30, 2019, the quarterly average notional values of the derivatives held by the Fund were as follows:
Derivatives Volume Disclosure*
AQR CORE PLUS BOND FUND | ||||
Futures Contracts: |
| |||
Average Notional Balance—Long | $ | 10,471,022 | ||
Average Notional Balance—Short | 21,965,638 | |||
Ending Notional Balance—Long | 6,358,683 | |||
Ending Notional Balance—Short | 17,482,358 | |||
Forward Foreign Currency Exchange Contracts: |
| |||
Average Settlement Value—Purchased | 20,502,473 | |||
Average Settlement Value—Sold | 43,405,134 | |||
Ending Value—Purchased | 19,441,431 | |||
Ending Value—Sold | 38,506,875 | |||
Credit Default Swaps: |
| |||
Average Notional Balance—Buy Protection | 13,118,000 | |||
Average Notional Balance—Sell Protection | 8,680,000 | |||
Ending Notional Balance—Buy Protection | 12,880,000 | |||
Ending Notional Balance—Sell Protection | 8,170,000 | |||
Interest Rate-Related Swaps (Interest Rate Swaps): |
| |||
Average Notional Balance—Pays Fixed Rate | 149,961,290 | |||
Average Notional Balance—Receives Fixed Rate | 213,784,341 | |||
Ending Notional Balance—Pays Fixed Rate | 216,475,868 | |||
Ending Notional Balance—Receives Fixed Rate | 252,897,253 |
* | Notional values as of each quarter end are used to calculate the average represented. |
8. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to the Fund, pursuant to the Investment Management Agreement II, dated November 13, 2015, as amended, entered into by the Trust, on behalf of the Fund (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for the Fund’s portfolio, makesday-to-day investment decisions for the Fund, and manages the Fund investments in accordance with the Fund stated policies. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions, subject to its obligation to seek best execution, and also provides certain other administrative services to the Fund. The Adviser provides persons satisfactory to the Fund’s Board to serve as officers of the Fund.
Pursuant to the Advisory Agreement, the Fund currently pays the Investment Advisory fee at an annual rate of 0.32% calculated on the average daily net assets.
The Trust and the Adviser have entered into an agreement (the “Expense Limitation Agreement”) whereby the Adviser has agreed to reimburse operating expenses of the Fund at least through January 28, 2020 for Class I, N, and R6 shares. Pursuant to the Expense Limitation Agreement, the Adviser has agreed to reimburse the Fund in an amount sufficient to limit Fund operating expenses other than management fees and12b-1 fees, and exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, expenses related to class action claims and extraordinary expenses, at no more than the following ratios:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Core Plus Bond Fund | 0.15 | % | 0.15 | % | 0.05 | % |
Prior to January 29, 2019, pursuant to the Expense Limitation Agreement, the Adviser agreed to waive fees and/or reimburse expenses of the Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, expenses related to class action claims and extraordinary expenses, exceeded the following ratios:
FUND | CLASS I | CLASS N | CLASS R6 | |||||||||
AQR Core Plus Bond Fund | 0.47 | % | 0.72 | % | 0.37 | % |
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Notes to Financial Statements | September 30, 2019 |
For the yearended September 30, 2019 the Fund’s Adviser waived fees and/or reimbursed expenses for the Fund as follows:
FUND | INVESTMENT ADVISORY FEES WAIVED | EXPENSE REIMBURSEMENTS | TOTAL | |||||||||
AQR Core Plus Bond Fund | $ | 70,747 | $ | 197,975 | $ | 268,722 |
The Trust, in turn, agreed that the Fund will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during thethirty-six months following the applicable month during which the Adviser waived fees or reimbursed the Fund for its operating expenses under the Expense Limitation Agreement. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and/or expense reimbursement was made. Repayments with respect to the Fund must be limited to amounts that do not cause the total annual operating expenses or the other operating expenses, as applicable, attributable to a share class of the Fund during a year in which such repayment is made to exceed either of (i) the applicable limits in effect at the time of the waiver and/or reimbursement and (ii) the applicable limits in effect at the time of recapture.
For the year ended September 30, 2019, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at September 30, 2019 are as follows:
FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED SEPTEMBER 30, | TOTAL POTENTIAL RECOUPMENT AMOUNT SEPTEMBER 30, | POTENTIAL RECOUPMENT AMOUNTS EXPIRING SEPTEMBER 30 | ||||||||||||||||||
2019 | 2019 | 2020 | 2021 | 2022 | ||||||||||||||||
AQR CORE PLUS BOND FUND | ||||||||||||||||||||
Class I | $ | 20,579 | $ | 24,205 | $ | — | $ | 3,626 | $ | 20,579 | ||||||||||
Class N | 1,908 | 2,510 | — | 602 | 1,908 | |||||||||||||||
Class R6 | 246,235 | 357,619 | — | 111,384 | 246,235 | |||||||||||||||
Totals | $ | 268,722 | $ | 384,334 | $ | — | $ | 115,612 | $ | 268,722 |
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule12b-1 under the 1940 Act with respect to the Class N shares of the Fund. 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 Fund.
10. Principal Risks and Concentrations
The investment techniques and strategies utilized by the Fund, including investments made on a shorter-term basis or in derivative instruments or instruments with a maturity of one year or less at the time of acquisition, may result in frequent portfolio trading and high portfolio turnover. High portfolio turnover will cause the Fund to incur higher levels of brokerage fees and commissions, which may reduce performance, and may cause higher levels of current tax liability to shareholders in the Fund.
In the normal course of business the Fund trades financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate and foreign currency risks.
Fixed income securities are subject to the risk that the securities could lose value because of interest rate changes. For example, bonds tend to decrease in value if interest rates rise. Fixed income securities with longer maturities sometimes offer higher yields, but are subject to greater price shifts as a result of interest rate changes than fixed income securities with shorter maturities. Fixed income securities are generally subject to the risk that the issuer may be unable to make principal and interest payments when they are due.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated. Convertible securities andnon-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities andnon-convertible income producing securities in the 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 Fund 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).
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Notes to Financial Statements | September 30, 2019 |
Mortgage-related and other mortgage-backed securities are subject to certain risks, including “extension risk” (i.e., in periods of rising interest rates, issuers may pay principal later than expected) and “prepayment risk” (i.e., in periods of declining interest rates, issuers may pay principal more quickly than expected, causing the Fund to reinvest proceeds at lower prevailing interest rates). Exposure to mortgage-backed securities offered bynon-governmental issuers are subject to other risks as well, including failures of private insurers to meet their obligations and unexpectedly high rates of default on the mortgages backing the securities.
Sovereign debt investments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. If a governmental entity defaults, it may ask for more time in which to pay or for further loans. There is no legal process for collecting sovereign debt that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected. Investment in securities of foreign issuers may involve certain risks that are greater than those associated with investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions; changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges); the imposition of economic sanctions or other government restrictions; differing accounting, auditing, financial reporting and legal standards and practices; differing securities market structures; and higher transaction costs. To the extent a fund’s investment in a single country or a limited number of countries represent a higher percentage of the Fund’s assets, the Fund assumes the risk that economic, political and social conditions in those countries will have a significant impact on its investment performance and it may be subject to increased price volatility.
Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies andnon-U.S. denominated financial instruments. The liquidity and trading value of foreign currencies could be affected by global economic factors, such as inflation, interest rate levels, and trade balances among countries, as well as the actions of sovereign governments and central banks. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
In addition, the Fund may be exposed to the risk that one or more securities in the Fund portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. The Fund may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such the Fund has credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Fund net asset value or dividends. The Fund minimizes credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be deposited with or returned to the Fund when deemed necessary.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Fund may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Fund’s exposure to credit risk associated with counterpartynon-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statement of Assets and Liabilities. The counterparties to the Fund’s derivative investments may include affiliates of the Fund’s clearing brokers and other major financial institutions. While the Fund uses multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Fund minimizes counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
In the normal course of business, the Fund may enter into agreements with the certain counterparties for derivative transactions. A Fund’s Master Agreement contains provisions that require Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.
The Fund, at times, utilizes substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into reverse repurchase transactions and entering into other forms of direct and indirect borrowings. There is no guarantee that the Fund 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 Fund. Unfavorable economic conditions also could
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Notes to Financial Statements | September 30, 2019 |
increase funding costs, limit access to the capital markets or result in a decision by lenders not to extend credit to the Fund. In addition, a decline in market value of the Fund 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 Fund to post additional collateral or otherwise sell assets at a time when it may not be in the Fund’s best interest to do so.
Given the complexity of the investments and strategies of the Fund, the Adviser relies heavily on quantitative models and information and data supplied by third parties (“Models and Data”). Models and Data are used to construct sets of transactions and investments, to provide risk management insights, and to assist in hedging the Fund’s investments. When Models and Data prove to be incorrect or incomplete, any decisions made in reliance thereon expose the Fund to potential risks. Similarly, any hedging based on faulty Models and Data may prove to be unsuccessful. Some of the models used by the Adviser for the Fund are predictive in nature. The use of predictive models has inherent risks. Because predictive models are usually constructed based on historical data supplied by third parties, the success of relying on such models may depend heavily on the accuracy and reliability of the supplied historical data. The Fund bears the risk that the quantitative models used by the Adviser will not be successful in selecting investments or in determining the weighting of investment positions that will enable the Fund to achieve its investment objective.
Periodically, the Fund may be a party to legal actions arising in the ordinary course of business. The Fund is currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.
Please refer to the Fund’s prospectuses for a more complete description of the principal risks of investing in the Fund.
11. Interfund Lending
Pursuant to an exemptive order issued by the Securities and Exchange Commission (the “SEC”), the Fund may participate in a joint lending and borrowing program (the “Interfund Lending Program”) to the extent such participation is consistent with Fund’s investment objective and investment policies. This program allows the Fund to borrow and lend to other AQR Funds that permit such transactions. All loans under the Interfund Lending Program are for temporary cash management or emergency purposes. Interest earned or paid on an interfund lending transaction will be based on the average of certain current market rates, as calculated according to a formula established by the Board. No Fund may borrow or lend money through the program unless it receives a more favorable rate than is typically available for comparable borrowings from a bank or investments in U.S. Treasury bills, respectively.
A lending Fund may lend in aggregate up to 15% of its net assets but may not lend more than 5% of its net assets to any one borrowing Fund through the Interfund Lending Program. A borrowing Fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets. If a borrowing Fund’s total outstanding borrowings exceed 10% of its total assets, the Fund must secure each of its outstanding borrowings through the Interfund Lending Program with collateral equal to 102% of the outstanding principal value of the loan.
The Fund is not required to borrow money under the Interfund Lending Program and may borrow under other arrangements, including their existing bank line of credit. This could result in the Fund borrowing money at a higher interest rate than it would have received under the Interfund Lending Program.
During the reporting period, the Fund did not utilize the Interfund Lending Program.
12. Line of Credit
Effective March 22, 2019 and terminating on March 20, 2020, the Trust renewed a $350,000,000 committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears, as incurred, interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, which is paid monthly. The maximum loan amount available to a Fund is the lesser of an amount which will not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and will not cause the asset coverage ratio for any borrowings by a Fund to drop below the required amount under the Agreement (between300-500% per Fund). The Agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, liquid assets of the borrowing Fund may be designated as collateral until its loan is repaid in full.
There were no open borrowings as of September 30, 2019 by any of the Funds in the Trust. The Fund did not have any borrowings for the year ended September 30, 2019.
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Notes to Financial Statements | September 30, 2019 |
13. Principal Ownership
As of September 30, 2019, the Fund had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:
FUND | NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS | TOTAL PERCENTAGE INTEREST HELD | ||||||
AQR Core Plus Bond Fund* | 4 | 91.47 | % |
* | The percentage held by the Adviser and/or affiliates is 83.07% respectively. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. New Accounting Pronouncements and Regulations
In March 2017, the Financial Accounting Standards Board issued Accounting Standards UpdateNo. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU2017-08”), which shortens the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit,non-contingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU2017-08 for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management has determined that the adoption of ASU2017-08 did not have a material impact on the financial statements.
15. Subsequent Events
The Fund has evaluated subsequent events through the date of issuance of this report and has determined that there are no material events.
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Report of Independent Registered Public Accounting Firm |
TotheBoard of Trustees of AQR Funds and Shareholders of AQR Core Plus Bond Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of AQR Core Plus Bond Fund (the “Fund”) as of September 30, 2019, the related statement of operations for the year ended September 30, 2019and the statement of changes in net assets and the financial highlights for the year ended September 30, 2019and for the period April 5, 2018 (commencement of operations) through September 30, 2018, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of September 30, 2019, the results of its operations for the year ended September 30, 2019,and the changes in its net assets and the financial highlights for the year ended September 30, 2019and for the period April 5, 2018 (commencement of operations) through September 30, 2018in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of September 30, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
New York, New York
November 22, 2019
We have served as the auditor of one or more investment companies in AQR Funds since 2008.
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Fund Expense Examples (Unaudited) |
As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.
Actual Expenses
The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ending 09/30/19” to estimate the expenses you paid on your account during this period. 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.
Hypothetical Example for Comparison Purposes
The table below also provides information about hypothetical account values and hypothetical expenses based on the 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 fund. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT DATE VALUE | ENDING ACCOUNT VALUE 9/30/19 | ANNUALIZED EXPENSE RATIO FOR THE PERIOD | EXPENSES PAID FOR THE PERIOD ENDING 9/30/19 | |||||||||||||
AQR Core Plus Bond Fund | ||||||||||||||||
Class I | ||||||||||||||||
Actual Return | $1,000.00 | $1,047.10 | 0.44 | % | $2.26 | |||||||||||
Hypothetical Return | $1,000.00 | $1,022.86 | 0.44 | % | $2.23 | |||||||||||
Class N | ||||||||||||||||
Actual Return | $1,000.00 | $1,045.90 | 0.67 | % | $3.44 | |||||||||||
Hypothetical Return | $1,000.00 | $1,021.71 | 0.67 | % | $3.40 | |||||||||||
Class R6 | ||||||||||||||||
Actual Return | $1,000.00 | $1,047.40 | 0.38 | % | $1.95 | |||||||||||
Hypothetical Return | $1,000.00 | $1,023.16 | 0.38 | % | $1.93 |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/365 (to reflect theone-half year period unless stated otherwise).
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Trustees and Officers (Unaudited) | September 30, 2019 |
Listed in the chart below is basic information regarding the Trustees and officers of the Trust. The address of each officer and Trustee is Two Greenwich Plaza, Greenwich CT 06830.
NAME AND YEAR OF BIRTH | CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS) | ||||||
Disinterested Trustees2 | ||||||||||
Timothy K. Armour, M.B.A., 1948 | Chairman of the Board, since 2010; Trustee, since 2008 | Interim Chief Executive Officer of Janus Capital Group (retired) (2009- 2010) (financial services) | 49 | Janus Capital Group (2008-2016) | ||||||
L. Joe Moravy, M.B.A., CPA, 1950 | Trustee, since 2008 | Independent Consultant (retired) (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting) | 49 | Nuveen Exchange Traded Commodities Funds (2012-2016) | ||||||
William L. Atwell, M.B.A., 1950 | Trustee, since 2011 | Consultant, Atwell Partners, LLC (since 2012) (consulting); President (Cigna International), Cigna Corp. (2008-2012) (insurance) | 49 | Webster Financial Corporation (since 2014); Blucora, Inc. (since 2017) | ||||||
Gregg D. Behrens, M.M., 1952 | Trustee, since 2011 | Retired from Northern Trust Company (since 2009) (banking) | 49 | None | ||||||
Brian Posner, M.B.A., 1961 | Trustee, since 2011 | President, Point Rider Group LLC (since 2008) (consulting) | 49 | Biogen Inc. (since 2008); Arch Capital Group (since 2010); Bioverativ Inc. (2017- 2018); BG Medicine (2012-2015) | ||||||
Mark A. Zurack, M.B.A., CFA 1957 | Trustee, since 2014 | Senior Lecturer, Columbia Business School (since 2002); Visiting Senior Lecturer, Cornell University (2004- 2013) | 49 | Exchange Traded Concepts Trust (since 2011); Source ETF Trust (2014-2015) | ||||||
Interested Trustees3 | ||||||||||
David Kabiller, CFA, 1963 | Trustee, since 2010 | Founding Principal, AQR Capital Management, LLC (since 1998) | 49 | None | ||||||
Marco Hanig, Ph.D., 1958 | Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008 | Principal, AQR Capital Management, LLC (since 2008) | 49 | None | ||||||
Officers | ||||||||||
H.J. Willcox, J.D., 1966 | Chief Compliance Officer, since 2013; Anti-Money Laundering Officer, since 2017 | Principal and Chief Compliance Officer, AQR Capital Management, LLC (since 2013) | N/A | N/A | ||||||
Heather Bonner, CPA, 1977 | Chief Financial Officer, since 2014; Treasurer, since 2018 | Vice President, AQR Capital Management, LLC (since 2013) | N/A | N/A | ||||||
Bradley Asness, J.D., M.B.A., 1969 | Vice President, since 2009 | Principal andCo-Chief Operating Officer, AQR Capital Management, LLC (since 1998) | N/A | N/A |
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Trustees and Officers (Unaudited) | September 30, 2019 |
NAME AND YEAR OF BIRTH | CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1AND LENGTH OF TIME SERVED | PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS | NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE | OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS) | ||||
William J. Fenrich, J.D., 1969 | Vice President, since 2018 | Principal and Chief Legal Officer, AQR Capital Management, LLC (since 2017); Managing Director and Chief Compliance Officer, Morgan Stanley (2016-2017); Managing Director and Chief Counsel, Morgan Stanley (2014- 2016); General Counsel and Chief Operating Officer, PointState Capital (2010-2014) | N/A | N/A | ||||
Nicole DonVito, J.D., 1979 | Chief Legal Officer, since 2014; Vice President, since 2009 | Managing Director, Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007) | N/A | N/A | ||||
Tara Bongiorni, CPA 1977 | Assistant Treasurer, since 2017 | Vice President, AQR Capital Management, LLC (since 2015); Vice President, Goldman Sachs Asset Management (2002-2015) | N/A | N/A | ||||
John Hadermayer, J.D., 1977 | Secretary, since 2018 | Vice President, AQR Capital Management, LLC (since 2013) | N/A | N/A |
1 | Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 75. |
2 | A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. |
3 | An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser. |
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Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds met in person on May 9, 2019 to consider the continuation of the Investment Management Agreement II, as amended, between AQR Capital Management, LLC (“AQR” or the “Adviser”) and the AQR Funds on behalf of the AQR Core Plus Bond Fund (the “Fund”) and certain other AQR Funds (“Management Agreement”).
In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on April 29, 2019 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with thein-person meeting held on May 9, 2019, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided or to be provided, as applicable, to the Fund; (ii) performance information for the Fund relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) and Broadridge relating to the Fund’s fees and expenses and performance relative to peers; (iv) financial information for AQR and a profitability analysis showing AQR’s profitability from providing services to the Fund; and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.
At thein-person meeting held on May 9, 2019, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additionalone-year period for the Fund. In approving the continuation of the Management Agreement for the Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided or to be provided, as applicable, by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services provided, and profits realized or expected to be realized, as applicable, by the Adviser from the relationship with the Fund and the fund complex; (d) economies of scale;(e) fall-out benefits; and (f) other factors.
The Board also considered other matters it deemed important to the approval process, such as AQR’s services related to the valuation and pricing of the Fund’s portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s consideration. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
In considering the renewal of the Management Agreement for the Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Fund under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Fund’s stated investment objectives, strategies and processes. In connection with the investment advisory services provided or to be provided, as applicable, to the Fund, the Board Members took into account discussions they had regularly as part of quarterly Board meetings with representatives of the Adviser regarding the management of the Fund’s investments in accordance with the Fund’s stated investment objectives and policies and the types of transactions that are entered into on behalf of the Fund. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Fund’s investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Fund, the Board Members considered that AQR also provides shareholder and administrative services, oversight of Fund accounting, risk management, compliance oversight, oversight of third party service providers and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Fund. In particular, the Board Members considered the compliance, shareholder and administrative services provided to the Fund by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Fund over time.
Finally, the Independent Board Members had several opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings and their familiarity gained through regular Board presentations over time, the Board concluded that the services provided to the Fund by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.
Investment Performance of the Fund and the Adviser’s Portfolio Management. The Board considered the investment performance of the Fund. In particular, the Independent Board Members considered the investment performance of the Fund relative to its stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Fund relative to funds identified by Morningstar as its peers. Based on these factors, the Board Members determined that the performance of the Fund is consistent with its stated objectives and strategies and AQR’s investment process.
The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Fund. The Board, including the Independent Board Members, received information regarding the management fees paid or to be paid, as applicable, by the Fund to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Fund and the costs incurred by and benefits to the Adviser in providing those services, and other relevant factors. To assist in this analysis, the Board received a report independently prepared by Broadridge (the
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Board Approval of Investment Advisory Agreements (Unaudited) |
“Broadridge Report”). The Broadridge Report showed comparative fee information for the Fund’s Broadridge category, including expense comparisons of contractual investment management fees and actual net expenses. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to activities related to the Fund. The Adviser provided the Board Members a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, expense reimbursements by the Adviser, the types of funds managed, costs of recruiting and retaining personnel, taxes, expense allocations and business mix.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Fund and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s profitability was not excessive.
Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Fund grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding the Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also provided Morningstar data for the purpose of showing the hypothetical effective management fee for the Fund at higher asset levels compared to its peers, some of which have breakpoints. The Board considered this information in determining the reasonableness of operating the Fund without management fee breakpoints. The Board recognized that economies were also being shared or were expected to be shared, as applicable, through the expense limitation agreements for the Fund. The Board noted that, under the Management Agreement, the Fund has no breakpoints in its management fee that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit the Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations. In particular, the Board noted the continuing enhancements to AQR’s services to the Fund in areas such as compliance, portfolio management, technology and administration. AQR advised that its growth as a firm has resulted in additional benefits to the AQR Funds, such as the ability to negotiate better terms with service providers, to undertake securities lending activities and to establish a dedicated money market fund for the AQR Funds. The principals of the Adviser have also provided seed capital in excess of regulatory minimums for extended periods. AQR also discussed that it currently intends to rely on Rule30e-3 under the 1940 Act to potentially reduce charges related to printing and mailing costs for shareholder reports.
Other Factors. The Board also took into account other ancillary or“fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Fund, both tangible and intangible, noting that no payments are received by the Adviser from the Fund beyond the fees under the Management Agreement. The Board was advised by AQR that AQR may obtain greater exposure to the public as a result of managing the AQR Funds, which could lead to additional business opportunities, such as unregistered fund investments, separately managed account opportunities orsub-advisory mandates. The Adviser may also obtain reputational benefits. The Adviser may also obtain economic benefit from its sponsorship/management of both the Fund and other funds or accounts with respect to the potential economic leverage of its service provider relationships. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management 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 management fee rates under the Management Agreement are reasonable in relation to the services provided or to be provided, as applicable, by the Adviser to the Fund, as well as the costs incurred or expected to be incurred, as applicable, and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size or of an anticipated size, as applicable. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to the Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
AQR Funds | Annual Report | September 2019 | ||||||||||||||
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Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling1-866-290-2688 or visiting the funds websitehttps://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-PORT Part F. The Form N-PORT Part F is available without charge, upon request, by calling1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
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AQR Funds
P.O. Box 2248, Denver, CO 80201-2248 | p: +1.866.290.2688 | w: https://funds.aqr.com
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Item 2. Code of Ethics.
a). | As of the end of the period, September 30, 2019, the Registrant has adopted a code of ethics, as defined in Item 2 of FormN-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 13 (a)(1). |
b). | Not Applicable. |
c). | There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2019 (“Reporting Period”). |
d). | Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period. |
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e). | Not Applicable. |
f). | Attached. |
Item 3. Audit Committee Financial Expert.
a). | The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2). |
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal years ended September 30, 2018 and September 30, 2019 were:
2018 | 2019 | |||
Audit Fees (a) | $900,111 | $872,237 | ||
Audit Related Fees (b) | $8,000 | - | ||
Tax Fees (c) | $452,479 | $437,858 | ||
All Other Fees (d) | $450 | $675 | ||
Total: | $1,361,040 | $1,310,770 |
(a) | Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC. |
(b) | Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s September 30, 2018 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 2018 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement. There were no audit-related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 2019. |
(c) | Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review. |
(d) | All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
(e) | Audit CommitteePre-approval Policies and Procedures: |
(i) | Per Rule2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant,pre-approves (i) the principal accountant’s provision of all audit and permissiblenon-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissiblenon-audit services to the Registrant’s investment adviser (the “Adviser”),sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser orsub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
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(ii) | 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule2-01 of RegulationS-X. |
(f) | Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees. |
(g) | Disclose the aggregatenon-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended September 30, 2018 and September 30, 2019: $4,700 and $1,350, respectively. |
(h) | Not Applicable. |
Item 5. Audit Committee of Listed Registrants.
(a) | The Registrant is an issuer as defined inSection 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee. |
(b) | Not Applicable. |
Item 6. Investments
(a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
(b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
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(b) | There have not been any changes in registrant’s control over financial reporting (as defined in Rule30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities forClosed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
(a)(2) | Certifications pursuant to Rule30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Any written solicitation to purchase securities under Rule23c-1 under the 1940 Act – Not Applicable. |
(a)(4) | Change in the Registrant’s independent public accountant – Not Applicable. |
(b) | Certification required by Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds
By: /s/ Marco Hanig |
----------------------------------- |
Marco Hanig, |
Principal Executive Officer |
November 29, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ Marco Hanig |
----------------------------------- |
Marco Hanig, |
Principal Executive Officer |
November 29, 2019 |
By: /s/ Heather Bonner |
----------------------------------- |
Heather Bonner, |
Principal Financial Officer |
November 29, 2019 |