Spreadsheet: 1df7a59e-9587-4023-b1d5-42513cc00f6f
Sheet: Sheet1

AQR Managed Futures Strategy Fund | Unnamed: 1 | Unnamed: 2 | Unnamed: 3
2014-03-31 00:00:00
[NAME]
NAV: $6,196,352,584
Asset Class | Security Description | Exposure | Quantity
Fixed Income | Australia 10 Yr Bond Future | -158511981.969 | -1782
Fixed Income | Australia 3 Yr Bond Future | -381514765.4325001 | -4243
Fixed Income | Canada 10 Yr Bond Future | -117631614.6847132 | -1000
Fixed Income | Canadian Bank Acceptance Future - DEC 2014 | -385918948.8932145 | -1727
Fixed Income | Canadian Bank Acceptance Future - SEP 2014 | -819071341.2702004 | -3665
Fixed Income | Euribor Future - DEC 2014 | 27123399.2325 | 79
Fixed Income | Euribor Future - DEC 2015 | 1931440968.32 | 5636
Fixed Income | Euribor Future - JUN 2015 | 885224677.1999999 | 2580
Fixed Income | Euribor Future - MAR 2015 | 386154090.0000001 | 1125
Fixed Income | Euribor Future - MAR 2016 | 1953271243.18 | 5704
Fixed Income | Euribor Future - SEP 2014 | -615690775.26 | -1793
Fixed Income | Euribor Future - SEP 2015 | 1478675125.62 | 4312
Fixed Income | Euro 30yr Bond Future | 177124080.844 | 997
Fixed Income | [NAME] 10 Yr Bund Future | 1082649016.984 | 5482
Fixed Income | Euro Swiss Future - DEC 2014 | -487930522.5653207 | -1725
Fixed Income | Euro Swiss Future - SEP 2014 | -674118651.736229 | -2383
Fixed Income | Euro-Bobl 5yr Future | 1790394326.784 | 10368
Fixed Income | Euro-Schatz 2yr Future | -403178981.2710001 | -2651
Fixed Income | Eurodollar Future - DEC 2014 | 635709200 | 2551
Fixed Income | Eurodollar Future - DEC 2015 | -1112006250 | -4500
Fixed Income | Eurodollar Future - JUN 2015 | -791362575.0000001 | -3186
Fixed Income | Eurodollar Future - MAR 2015 | 152326800 | 612
Fixed Income | Eurodollar Future - MAR 2016 | -1108687500 | -4500
Fixed Income | Eurodollar Future - SEP 2014 | 853938125 | 3425
Fixed Income | Eurodollar Future - SEP 2015 | -1043928737.5 | -4213
Fixed Income | OSE Japan 10 Yr Bond Future | 2653912217.808352 | 1894
Fixed Income | Short Sterling Future - DEC 2014 | -169785882.855 | -821
Fixed Income | Short Sterling Future - DEC 2015 | -1455252558.9825 | -7102
Fixed Income | Short Sterling Future - JUN 2015 | -1099341150.23625 | -5339
Fixed Income | Short Sterling Future - MAR 2015 | -760536021.3 | -3685
Fixed Income | Short Sterling Future - MAR 2016 | -1482792853.014375 | -7253
Fixed Income | Short Sterling Future - SEP 2014 | 14291027.20125 | 69
Fixed Income | Short Sterling Future - SEP 2015 | -1349322253.42875 | -6569
Fixed Income | U.K. 10 Yr Gilt Future | -10590652.854 | -58
Fixed Income | U.S. 10 Yr Treasury Note Future | -248235000 | -2010
Fixed Income | U.S. 2 Yr Treasury Note Future | -579645000 | -2640
Fixed Income | U.S. 20 Yr Treasury Note Future | -45827250 | -344
Fixed Income | U.S. 5 Yr Treasury Note Future | -582989265.625 | -4901
Equity | AEX Index Future - APR 2014 | 136623837.684 | 1230
Equity | CAC40 Index Future - APR 2014 | 252962994.822 | 4182
Equity | DAX Index Future - JUN 2014 | 107930945.5588 | 328
Equity | DJ Euro Stoxx 50 Future - JUN 2014 | 198404133.9904 | 4556
Equity | E-Mini DJIA Index Future - JUN 2014 | 177084421.6 | 2152
Equity | E-Mini S&P 500 Index Future - JUN 2014 | 252953134 | 2702
Equity | FTSE MIB Index Future - JUN 2014 | 143565955.17144 | 961
Equity | FTSE100 Index Future - JUN 2014 | 27390355.14123 | 249
Equity | Hang Seng Index Future - APR 2014 | -156781733.4914782 | -1098
Equity | HSCEI China Index Future - APR 2014 | -83324867.20985998 | -1283
Equity | IBEX 35 Index Future - APR 2014 | 117647218.822 | 826
Equity | KOSPI 200 Index Future - JUN 2014 | -57322767.39599962 | -473
Equity | MSCI Singapore Index Future - APR 2014 | -40504625.65569862 | -709
Equity | MSCI Taiwan Index Future | 25356726 | 811
Equity | MSCI Taiwan Index Future - APR 2014 | 11412090 | 365
Equity | Nasdaq 100 E-Mini Future - JUN 2014 | 166266832.64 | 2312
Equity | NIFTY | 17149343.6 | 1279
Equity | OSE Japan Topix Index Future - JUN 2014 | -49999012.69256855 | -429
Equity | [NAME] 2014 | 101702568 | 867
Equity | S&P Mid 400 E-Mini Index Future - JUN 2014 | 213253950 | 1547
Equity | S&P/TSE 60 Index Future - JUN 2014 | 489535186.2749535 | 3295
Equity | SGX CNX Nifty Index Future - APR 2014 | 56905249.6 | 4244
Equity | South Africa Top 40 Index Future - JUN 2014 | 134868643.4372892 | 3302
Equity | SPI 200 Index Future - JUN 2014 | 236037093.8165663 | 1887
Equity | Swiss Market Index Future | 274048728.8768239 | 2866
Equity | TAIEX | 62709945.78441836 | 1079
Currency | AUD vs USD Forward | -548084924.5500001 | -590959000
Currency | BRL vs USD Forward | 6148824.489435843 | 13940000
Currency | CAD vs USD Forward | -1410155267.7561 | -1557587001
Currency | CLP vs USD Forward | -47797505.23536374 | -26248000000
Currency | COP vs USD Forward | -49205351.07559054 | -97030000000
Currency | CZK vs USD Forward | -99334303.34654558 | -1979832000
Currency | EUR vs USD Forward | 2519730122.6328 | 1829337972
Currency | GBP vs USD Forward | 1280677879.6974 | 768206994
Currency | HUF vs USD Forward | -78292038.16479233 | -17473999998
Currency | IDR vs USD Forward | -17438380.28169014 | -198100000000
Currency | ILS vs USD Forward | 140422175.9830212 | 489610001
Currency | INR vs USD Forward | 43529117.72056986 | 2612400000
Currency | [NAME] vs USD Forward | -1061828785.970351 | -109591349000
Currency | KRW vs USD Forward | 76439102.26312329 | 81400000000
Currency | MXN vs USD Forward | -181699747.107058 | -2371000000
Currency | MYR vs USD Forward | -91686322.56088221 | -299310000
Currency | NOK vs USD Forward | 22156600.08017103 | 132655996
Currency | NZD vs USD Forward | 1725362389.4346 | 1989349002
Currency | PHP vs USD Forward | -178630473.637176 | -7995500000
Currency | PLN vs USD Forward | 133374099.2926555 | 403510000
Currency | RUB vs USD Forward | -138953960.0085391 | -4881800000
Currency | SEK vs USD Forward | 55385055.40530097 | 358369001
Currency | SGD vs USD Forward | -219289461.1349547 | -275910000
Currency | TRY vs USD Forward | -156543878.909626 | -335090000
Currency | TWD vs USD Forward | -453943026.056974 | -13823700001
Currency | ZAR vs USD Forward | -178077116.720022 | -1874600000
Commodity | Brent Oil Future | -57269800 | -532
Commodity | Cocoa Future | 65128200 | 2204
Commodity | Coffee Future | 23482800 | 352
Commodity | Corn Future | -13679500 | -545
Commodity | Cotton No. 2 Future | 42551600 | 910
Commodity | Gas Oil Future (100MT) | -193946500 | -2167
Commodity | Gold Future | -214009460 | -1667
Commodity | Heating Oil ULSD Future | -65709554.40000001 | -534
Commodity | HG COPPER | -336435600 | -4448
Commodity | LDN COCOA | 88394309.88 | 2840
Commodity | Lean Hog Future | 78645020 | 1546
Commodity | LME Aluminum | -100834968.75 | -2265
Commodity | LME Copper | -326989162.5 | -1967
Commodity | Natural Gas Future | 118148130 | 2703
Commodity | Nickel Future | 9349200 | 98
Commodity | Platinum Future | -43618560 | -614
Commodity | Silver Future | -149621400 | -1515
Commodity | Soy Meal Future | 140914200 | 2940
Commodity | Soy Oil Future | -63661500 | -2625
Commodity | Soybean Future | 472652400 | 6457
Commodity | Sugar Future | -37675243.2 | -1893
Commodity | Unleaded Gas RBOB Future | -134806980 | -1100
Commodity | Wheat Future | 33601850 | 958
Commodity | Wheat Future (KCB) | 18068600 | 473
Commodity | WTI Crude Future | 104932140 | 1033
Commodity | Zinc Future | -28689450 | -579