Spreadsheet: 4cd40225-0602-471f-a136-b0a44305e434
Sheet: Sheet1

AQR Managed Futures Strategy HV Fund | Unnamed: 1 | Unnamed: 2 | Unnamed: 3 | Unnamed: 4
2014-02-28 00:00:00
[NAME]
NAV: $63,499,195
Asset Class | Security Description | Identifier | Exposure | Quantity
Fixed Income | Australia 10 Yr Bond Future |  | -1972455.114 | -23
Fixed Income | Australia 3 Yr Bond Future |  | 3729870.008999999 | 43
Fixed Income | Canada 10 Yr Bond Future |  | 1534179.731622464 | 13
Fixed Income | Canadian Bank Acceptance Future - JUN 2014 |  | -4462115.393304115 | -20
Fixed Income | Canadian Bank Acceptance Future - SEP 2014 |  | 1561898.522568111 | 7
Fixed Income | Euribor Future - DEC 2014 |  | 16194923.1275 | 47
Fixed Income | Euribor Future - DEC 2015 |  | 30261588.06000001 | 88
Fixed Income | Euribor Future - JUN 2014 |  | 7237843.751250001 | 21
Fixed Income | Euribor Future - JUN 2015 |  | 27890805.33 | 81
Fixed Income | Euribor Future - MAR 2015 |  | 22734964.56 | 66
Fixed Income | Euribor Future - SEP 2014 |  | 13096394.005 | 38
Fixed Income | Euribor Future - SEP 2015 |  | 29596114.2825 | 86
Fixed Income | Euro 30yr Bond Future |  | 1957530.322 | 11
Fixed Income | [NAME] 10 Yr Bund Future |  | 11575435.492 | 58
Fixed Income | Euro Swiss Future - JUN 2014 |  | -13670349.6981433 | -48
Fixed Income | Euro Swiss Future - SEP 2014 |  | -5411721.152750882 | -19
Fixed Income | Euro-Bobl 5yr Future |  | 22417588.48 | 128
Fixed Income | Euro-Schatz 2yr Future |  | 19863927.46 | 130
Fixed Income | Eurodollar Future - DEC 2014 |  | 14952750 | 60
Fixed Income | Eurodollar Future - DEC 2015 |  | 3962000 | 16
Fixed Income | Eurodollar Future - JUN 2014 |  | 13217537.5 | 53
Fixed Income | Eurodollar Future - JUN 2015 |  | 9448225 | 38
Fixed Income | Eurodollar Future - MAR 2015 |  | 12200387.5 | 49
Fixed Income | Eurodollar Future - SEP 2014 |  | 12216925 | 49
Fixed Income | Eurodollar Future - SEP 2015 |  | 6701062.5 | 27
Fixed Income | Mini Japan 10 Yr Bond Future (SGX) |  | 25668565.81532416 | 180
Fixed Income | Short Sterling Future - DEC 2014 |  | -9770591.269375 | -47
Fixed Income | Short Sterling Future - DEC 2015 |  | -19797071.52 | -96
Fixed Income | Short Sterling Future - JUN 2014 |  | -6249745.33125 | -30
Fixed Income | Short Sterling Future - JUN 2015 |  | -16153748.715 | -78
Fixed Income | Short Sterling Future - MAR 2015 |  | -13488690.6375 | -65
Fixed Income | Short Sterling Future - SEP 2014 |  | -6661367.319999999 | -32
Fixed Income | Short Sterling Future - SEP 2015 |  | -17979369.43125 | -87
Fixed Income | U.K. 10 Yr Gilt Future |  | -550181.211 | -3
Fixed Income | U.S. 10 Yr Treasury Note Future |  | -249062.5 | -2
Fixed Income | U.S. 2 Yr Treasury Note Future |  | 24186250 | 110
Fixed Income | U.S. 20 Yr Treasury Note Future |  | -665312.5 | -5
Fixed Income | U.S. 5 Yr Treasury Note Future |  | -2157468.75 | -18
Equity | AEX Index Future - MAR 2014 |  | 2313787.7364 | 21
Equity | CAC40 Index Future - MAR 2014 |  | 3412241.83104 | 56
Equity | DAX Index Future - MAR 2014 |  | 3684274.6006 | 11
Equity | DJ Euro Stoxx 50 Future - MAR 2014 |  | 3134290.05288 | 72
Equity | E-Mini DJIA Index Future - MAR 2014 |  | 2937907.8 | 36
Equity | E-Mini S&P 500 Index Future - MAR 2014 |  | 3254037.5 | 35
Equity | FTSE MIB Index Future - MAR 2014 |  | 1554164.883865 | 11
Equity | FTSE100 Index Future - MAR 2014 |  | 4222579.2051 | 37
Equity | Hang Seng Index Future - MAR 2014 |  | -882758.407421724 | -6
Equity | HSCEI China Index Future - MAR 2014 |  | -1338228.449942018 | -21
Equity | IBEX 35 Index Future - MAR 2014 |  | 1398085.866 | 10
Equity | Japan Topix Index Future - MAR 2014 |  | 357070.7269155206 | 3
Equity | KOSPI 200 Index Future - MAR 2014 |  | -969225.2873994337 | -8
Equity | MSCI Singapore Index Future - MAR 2014 |  | -1225134.111707163 | -22
Equity | MSCI Taiwan Index Future |  | 363156 | 12
Equity | Nasdaq 100 E-Mini Future - MAR 2014 |  | 3770019.96 | 51
Equity | NIFTY |  | -225970.2 | -18
Equity | [NAME] EMini - MAR 2014 |  | 2720969 | 23
Equity | S&P Mid 400 E-Mini Index Future - MAR 2014 |  | 2750660 | 20
Equity | S&P/TSE 60 Index Future - MAR 2014 |  | 5144128.676636696 | 35
Equity | SGX CNX Nifty Index Future - MAR 2014 |  | -125539 | -10
Equity | South Africa Top 40 Index Future - MAR 2014 |  | 2783833.286843329 | 70
Equity | SPI 200 Index Future - MAR 2014 |  | 3860988.643919999 | 32
Equity | Swiss Market Index Future |  | 3958178.949766488 | 41
Equity | TX_SW |  | 741350.099009901 | 13
Currency | AUD vs USD Forward |  | -14895298.95 | -16681000
Currency | BRL vs USD Forward |  | -733475.4797441366 | -1720000
Currency | CAD vs USD Forward |  | -19513848.10012199 | -21595000
Currency | CLP vs USD Forward |  | -583372.1055080348 | -326000000
Currency | COP vs USD Forward |  | -773704.789833822 | -1583000000
Currency | CZK vs USD Forward |  | -1224014.971422791 | -24200000
Currency | EUR vs USD Forward |  | 43014407.25310001 | 31117997
Currency | GBP vs USD Forward |  | 25634563.0482 | 15295998
Currency | HUF vs USD Forward |  | -1102826.271375631 | -247000000
Currency | IDR vs USD Forward |  | -293737.6173658369 | -3410000000
Currency | ILS vs USD Forward |  | 1542563.867305101 | 5380000
Currency | INR vs USD Forward |  | -709254.3113917902 | -43800000
Currency | [NAME] vs USD Forward |  | -29286051.04125736 | -2981319996
Currency | KRW vs USD Forward |  | 2835549.388631547 | 3024000001
Currency | MXN vs USD Forward |  | -2400042.19854415 | -31850000
Currency | MYR vs USD Forward |  | -1400457.66590389 | -4590000
Currency | NOK vs USD Forward |  | -2638719.690269179 | -15812000
Currency | NZD vs USD Forward |  | 8348672.4 | 9946000
Currency | PHP vs USD Forward |  | -2112218.613506552 | -94300000
Currency | PLN vs USD Forward |  | 4077025.564409031 | 12280001
Currency | RUB vs USD Forward |  | -3565176.313668825 | -128300000
Currency | SEK vs USD Forward |  | -7633494.766442743 | -48862000
Currency | SGD vs USD Forward |  | -1499684.443041969 | -1901000
Currency | TRY vs USD Forward |  | -2289495.150910904 | -5052000
Currency | TWD vs USD Forward |  | -5273927.392739275 | -159800000
Currency | ZAR vs USD Forward |  | -2879590.887959089 | -30970000
Commodity | Brent Oil Future |  | 651780 | 6
Commodity | Cocoa Future |  | 975810 | 33
Commodity | Coffee Future |  | -338062.5 | -5
Commodity | Corn Future |  | -1460025 | -63
Commodity | Cotton No. 2 Future |  | 566410 | 13
Commodity | Gas Oil Future (100MT) |  | -918250 | -10
Commodity | Gold Future |  | -1057280 | -8
Commodity | Heating Oil ULSD Future |  | 1266846 | 10
Commodity | HG COPPER |  | -3107812.5 | -39
Commodity | LDN COCOA |  | 1112529.456 | 36
Commodity | Lean Hog Future |  | 1111240 | 26
Commodity | LME Aluminum |  | -1203405 | -28
Commodity | LME Copper |  | -2470650 | -14
Commodity | Natural Gas Future |  | 2350590 | 51
Commodity | Nickel Future |  | -176388 | -2
Commodity | Platinum Future |  | -1302120 | -18
Commodity | Silver Future |  | -424820 | -4
Commodity | Soy Meal Future |  | 2059650 | 45
Commodity | Soy Oil Future |  | -1855476 | -74
Commodity | Soybean Future |  | 7777000 | 110
Commodity | Sugar Future |  | -3243788.8 | -164
Commodity | Unleaded Gas RBOB Future |  | -125050.8 | -1
Commodity | Wheat Future |  | -4787887.5 | -159
Commodity | Wheat Future (KCB) |  | -808800 | -24
Commodity | WTI Crude Future |  | 4001010 | 39
Commodity | Zinc Future |  | 208500 | 4