Spreadsheet: 103a3530-02f2-4947-9a6b-558e83107b07
Sheet: Sheet1

AQR Risk Parity Fund | Unnamed: 1 | Unnamed: 2 | Unnamed: 3
2014-01-31 00:00:00
[NAME]
NAV: $862,314,862
Asset Class | Security Description | Exposure | Quantity
Fixed Income | Australia 10 Yr Bond Future | 13359697.10775 | 159
Fixed Income | Canada 10 Yr Bond Future | 23031992.81060436 | 195
Fixed Income | Czech Republic Interest Rate Swap | 18655188.09827438 | 370000000
Fixed Income | [NAME] 10 Yr Bund Future | 210087065.43 | 1083
Fixed Income | Hong Kong Interest Rate Swap | 39082065.46038921 | 299000000
Fixed Income | Hungary Interest Rate Swap | 19856615.43902656 | 4500000000
Fixed Income | Japan 10 Yr Bond Future | 56580503.29831421 | 40
Fixed Income | Poland Interest Rate Swap | 39683249.23775638 | 127000000
Fixed Income | Singapore Interest Rate Swap | 75560895.16724814 | 99500000
Fixed Income | South Africa Interest Rate Swap | 39461885.72444918 | 488000000
Fixed Income | South Korea Interest Rate Swap | 80084812.73135793 | 88000000000
Fixed Income | U.S. 10 Yr Treasury Note Future | 330596750 | 2629
TIPS | DBRI   0.100 04/15/23 | 28148480.66928637 | 20300000
TIPS | DBRI   1.750 04/15/20 | 11025292.95038404 | 6600000
TIPS | FRTR   0.250 07/25/18 | 7166151.800143838 | 5000000
TIPS | FRTR   0.250 07/25/24 | 3156097.190616576 | 2400000
TIPS | FRTR   1.100 07/25/22 | 8099928.768418768 | 5200000
TIPS | FRTR   1.300 07/25/19 | 18280664.56281668 | 11700000
TIPS | FRTR   2.100 07/25/23 | 3774973.62945096 | 2200000
TIPS | OBLI   0.750 04/15/18 | 15503373.32930805 | 10300000
TIPS | TII    0.125 01/15/22 | 13857203.02017193 | 13600000
TIPS | TII    0.125 01/15/23 | 12315004.21756216 | 12500000
TIPS | TII    0.125 04/15/18 | 49610450.07692309 | 47600000
TIPS | TII    0.125 07/15/22 | 13122242.45200276 | 13100000
TIPS | TII    0.375 07/15/23 | 11799695.58770718 | 11800000
TIPS | TII    1.375 07/15/18 | 11999912.23912826 | 10100000
TIPS | TII    1.625 01/15/18 | 27038185.07485978 | 22100000
TIPS | TII    2.125 01/15/19 | 10956653.71875 | 8900000
TIPS | TII    2.625 07/15/17 | 31148996.50379835 | 24400000
TIPS | UKTI   0.125 03/22/24 | 7764053.523935471 | 4400000
TIPS | UKTI   1.875 11/22/22 | 28829916.65860455 | 11800000
Equity | AEX Index Future - FEB 2014 | 4068249.997500001 | 39
Equity | Bovespa Index Future | 4936069.089854112 | 250
Equity | CAC40 Index Future - FEB 2014 | 3819173.753200001 | 68
Equity | DAX Index Future - MAR 2014 | 8469536.620500002 | 27
Equity | DJ Euro Stoxx 50 Future - MAR 2014 | 16173014.8486 | 398
Equity | E-Mini S&P 500 Index Future - MAR 2014 | 119790048 | 1344
Equity | FTSE MIB Index Future - MAR 2014 | 3534404.882175 | 27
Equity | FTSE100 Index Future - MAR 2014 | 19577257.66464 | 183
Equity | Hang Seng Index Future - FEB 2014 | 2270580.901105129 | 16
Equity | HSCEI | 3414509.904943455 | 54
Equity | HSCEI China Index Future - FEB 2014 | 7145178.134418713 | 113
Equity | IBEX 35 Index Future - FEB 2014 | 5216214.763500001 | 39
Equity | Japan Topix Index Future - MAR 2014 | 24812423.16149524 | 208
Equity | KOSPI 200 Index Future - MAR 2014 | 5612969.453718175 | 48
Equity | MSCI Taiwan Index Future | 8033580.000000001 | 270
Equity | MSCI Taiwan Index Future - FEB 2014 | 1725732 | 58
Equity | RTS INDEX | 7200121.38 | 2767
Equity | [NAME] EMini - MAR 2014 | 9612480 | 85
Equity | S&P Mid 400 E-Mini Index Future - MAR 2014 | 10504640 | 80
Equity | S&P/TSE 60 Index Future - MAR 2014 | 11294971.91642327 | 80
Equity | SGX CNX Nifty Index Future - FEB 2014 | 2106967 | 173
Equity | South Africa Top 40 Index Future - MAR 2014 | 4900785.15334604 | 134
Equity | SPI 200 Index Future - MAR 2014 | 4539436.12395 | 40
Equity | Swiss Market Index Future | 9743528.167850653 | 108
Currency | BRL vs USD Forward | 20231266.57824934 | 48814000
Currency | EUR vs USD Forward | -85689378.34825002 | -63556001
Currency | ILS vs USD Forward | 34478982.99300381 | 121235000
Currency | KRW vs USD Forward | 20693549.4899705 | 22376141999
Currency | MXN vs USD Forward | 30259344.61244449 | 403758000
Currency | SGD vs USD Forward | 16448934.83709273 | 21002000
Currency | TRY vs USD Forward | 13092482.99620175 | 29644000
Currency | TWD vs USD Forward | 17714191.52793802 | 537360000
Currency | ZAR vs USD Forward | 6580701.152066467 | 73029002
Commodity | Brent Oil Future | 34034510 | 323
Commodity | Cocoa Future | 2008590 | 69
Commodity | Coffee Future | 6432150 | 137
Commodity | Corn Future | 13206975 | 601
Commodity | Cotton No. 2 Future | 3647775 | 85
Commodity | Feeder Cattle Future | 762412.5 | 9
Commodity | Gas Oil Future (100MT) | 11693850 | 129
Commodity | Gold Future | 4339300 | 35
Commodity | Heating Oil ULSD Future | 7521263.399999999 | 61
Commodity | Lead Future | 1481900 | 28
Commodity | Lean Hog Future | 6067200 | 160
Commodity | Live Cattle Future | 10953150 | 195
Commodity | LME Aluminum | 6697937.5 | 155
Commodity | LME Copper | 18872793.75 | 107
Commodity | Natural Gas Future | 9264320 | 208
Commodity | Nickel Future | 1680120 | 20
Commodity | Silver Future | 7648000 | 80
Commodity | Soy Meal Future | 3792290 | 89
Commodity | Soy Oil Future | 5555664 | 246
Commodity | Soybean Future | 9640600 | 152
Commodity | Sugar Future | 1114624 | 64
Commodity | Unleaded Gas RBOB Future | 5435295.6 | 46
Commodity | Wheat Future | 1567000 | 56
Commodity | WTI Crude Future | 39747810 | 411
Commodity | Zinc Future | 5137600 | 104
Credit | CDX.EM | 31940069.03307285 | -29875000
Credit | CDX.NA.HY | 107130017.101564 | -100550000
Credit | CDX.NA.IG | 307236730.244032 | -303125000
Credit | CMBX.NA.AJ | 990729.9999999999 | -1300000
Credit | iTraxx Europe | 181543548.425706 | -133500000
Credit | iTraxx Europe Crossover | 99299375.73440132 | -68225000