Spreadsheet: 15aab47c-8091-4453-beb4-593d094c986f
Sheet: Sheet1

AQR Risk Parity Fund | Unnamed: 1 | Unnamed: 2 | Unnamed: 3
2014-03-31 00:00:00
[NAME]
NAV: $862,695,948
Asset Class | Security Description | Exposure | Quantity
Fixed Income | Australia 10 Yr Bond Future | 13164855.966 | 148
Fixed Income | Canada 10 Yr Bond Future | 21408953.87261781 | 182
Fixed Income | Czech Republic Interest Rate Swap | 17242095.97304535 | 340000000
Fixed Income | [NAME] 10 Yr Bund Future | 128962022.636 | 653
Fixed Income | Hong Kong Interest Rate Swap | 35573541.07861698 | 280000000
Fixed Income | Hungary Interest Rate Swap | 20024854.87865157 | 4400000000
Fixed Income | OSE Japan 10 Yr Bond Future | 95283015.21170428 | 68
Fixed Income | Poland Interest Rate Swap | 37919265.07417408 | 115000000
Fixed Income | Singapore Interest Rate Swap | 71913669.13271484 | 95500000
Fixed Income | South Africa Interest Rate Swap | 43186116.75465984 | 460000000
Fixed Income | South Korea Interest Rate Swap | 75035775.75238255 | 80000000000
Fixed Income | U.K. 10 Yr Gilt Future | 4930131.501 | 27
Fixed Income | U.S. 10 Yr Treasury Note Future | 384332000 | 3112
TIPS | DBRI   0.100 04/15/23 | 28616233.29726772 | 20100000
TIPS | DBRI   1.750 04/15/20 | 11280893.40216752 | 6600000
TIPS | FRTR   0.250 07/25/18 | 7479819.045052358 | 5100000
TIPS | FRTR   0.250 07/25/24 | 5017916.168426712 | 3700000
TIPS | FRTR   1.100 07/25/22 | 12971356.72020585 | 8100000
TIPS | FRTR   1.300 07/25/19 | 18715328.99614442 | 11700000
TIPS | FRTR   2.100 07/25/23 | 6006385.077757672 | 3400000
TIPS | OBLI   0.750 04/15/18 | 16164251.6476688 | 10500000
TIPS | TII    0.125 01/15/22 | 19257943.27175414 | 19000000
TIPS | TII    0.125 01/15/23 | 17173259.24813205 | 17500000
TIPS | TII    0.125 04/15/18 | 50913342.58516484 | 49100000
TIPS | TII    0.125 07/15/22 | 18157743.01713848 | 18200000
TIPS | TII    0.375 07/15/23 | 16428263.07820773 | 16500000
TIPS | TII    1.375 07/15/18 | 12290271.99184818 | 10400000
TIPS | TII    1.625 01/15/18 | 27732036.95760372 | 22800000
TIPS | TII    2.125 01/15/19 | 11245988.42810294 | 9200000
TIPS | TII    2.625 07/15/17 | 32266429.21423849 | 25400000
TIPS | UKTI   0.125 03/22/24 | 7587772.940501366 | 4200000
TIPS | UKTI   1.875 11/22/22 | 28198546.01329064 | 11300000
Equity | AEX Index Future - APR 2014 | 2999059.8516 | 27
Equity | Bovespa Index Future | 5448218.164174496 | 245
Equity | CAC40 Index Future - APR 2014 | 6835202.873 | 113
Equity | DAX Index Future - JUN 2014 | 6252097.45615 | 19
Equity | DJ Euro Stoxx 50 Future - JUN 2014 | 18638491.9552 | 428
Equity | E-Mini S&P 500 Index Future - JUN 2014 | 122357419 | 1307
Equity | FTSE MIB Index Future - JUN 2014 | 4780552.097279999 | 32
Equity | FTSE100 Index Future - JUN 2014 | 18810243.89217 | 171
Equity | Hang Seng Index Future - APR 2014 | 3998076.992496712 | 28
Equity | HSCEI | 3636938.864966609 | 56
Equity | HSCEI China Index Future - APR 2014 | 10066527.21553258 | 155
Equity | IBEX 35 Index Future - APR 2014 | 5127481.692 | 36
Equity | KOSPI 200 Index Future - JUN 2014 | 9695182.646257864 | 80
Equity | MSCI Taiwan Index Future | 8535618 | 273
Equity | MSCI Taiwan Index Future - APR 2014 | 3407994 | 109
Equity | NIFTY | 1743092 | 130
Equity | OSE Japan Topix Index Future - JUN 2014 | 18298006.97606821 | 157
Equity | [NAME] 2014 | 9032408 | 77
Equity | S&P Mid 400 E-Mini Index Future - JUN 2014 | 11303700 | 82
Equity | S&P/TSE 60 Index Future - JUN 2014 | 14559771.85279073 | 98
Equity | SGX CNX Nifty Index Future - APR 2014 | 2105118.8 | 157
Equity | South Africa Top 40 Index Future - JUN 2014 | 8495662.578726878 | 208
Equity | SPI 200 Index Future - JUN 2014 | 8881098.919436252 | 71
Equity | Swiss Market Index Future | 6406582.287071598 | 67
Currency | BRL vs USD Forward | 28936085.74831282 | 65601000
Currency | EUR vs USD Forward | -92245856.77739999 | -66971001
Currency | ILS vs USD Forward | 38858806.32116328 | 135489000
Currency | KRW vs USD Forward | 22268344.44454878 | 23713559999
Currency | MXN vs USD Forward | 32986589.01065216 | 430442000
Currency | SGD vs USD Forward | 16956763.63058337 | 21335000
Currency | TRY vs USD Forward | 11174698.09161197 | 23920000
Currency | TWD vs USD Forward | 15975896.88859699 | 486506000
Currency | ZAR vs USD Forward | 10876421.54860405 | 114495002
Commodity | Brent Oil Future | 25239000 | 235
Commodity | Cocoa Future | 3191400 | 108
Commodity | Coffee Future | 4202887.5 | 63
Commodity | Corn Future | 13352862.5 | 527
Commodity | Cotton No. 2 Future | 2431520 | 52
Commodity | Feeder Cattle Future | 800325 | 9
Commodity | Gas Oil Future (100MT) | 11731050 | 131
Commodity | Gold Future | 12709620 | 99
Commodity | Heating Oil ULSD Future | 9456862.8 | 77
Commodity | Lead Future | 832000 | 16
Commodity | Lean Hog Future | 4985260 | 98
Commodity | Live Cattle Future | 11110000 | 202
Commodity | LME Aluminum | 2089262.5 | 46
Commodity | LME Copper | 14787906.25 | 89
Commodity | Natural Gas Future | 7090440 | 161
Commodity | Nickel Future | 2674896 | 28
Commodity | Silver Future | 2370240 | 24
Commodity | Soy Meal Future | 5751600 | 120
Commodity | Soy Oil Future | 4050084 | 167
Commodity | Soybean Future | 15009750 | 210
Commodity | Sugar Future | 4020284.8 | 202
Commodity | Unleaded Gas RBOB Future | 5731509 | 47
Commodity | Wheat Future | 3047625 | 86
Commodity | WTI Crude Future | 37404220 | 371
Commodity | Zinc Future | 3801900 | 76
Credit | CDX.EM | 30489356.31847395 | -27875000
Credit | CDX.NA.HY | 104271590.8136639 | -97050000
Credit | CDX.NA.IG | 236959726.6082627 | -233375000
Credit | iTraxx Europe | 233845849.6518605 | -167750000
Credit | iTraxx Europe Crossover | 121021332.1393496 | -79975000