Spreadsheet: 2bf81c10-b10e-4b29-903e-f8a148bdc624
Sheet: Sheet1

AQR Managed Futures Strategy HV Fund | Unnamed: 1 | Unnamed: 2 | Unnamed: 3 | Unnamed: 4
2014-03-31 00:00:00
[NAME]
NAV: $63,346,810
Asset Class | Security Description | Identifier | Exposure | Quantity
Fixed Income | Australia 10 Yr Bond Future |  | -2490648.426 | -28
Fixed Income | Australia 3 Yr Bond Future |  | -6114306.870000001 | -68
Fixed Income | Canada 10 Yr Bond Future |  | -1882105.834955411 | -16
Fixed Income | Canadian Bank Acceptance Future - DEC 2014 |  | -6033475.17088407 | -27
Fixed Income | Canadian Bank Acceptance Future - SEP 2014 |  | -12738626.59001403 | -57
Fixed Income | Euribor Future - DEC 2014 |  | 343334.1675 | 1
Fixed Income | Euribor Future - DEC 2015 |  | 30157346.56 | 88
Fixed Income | Euribor Future - JUN 2015 |  | 13724413.6 | 40
Fixed Income | Euribor Future - MAR 2015 |  | 6178465.440000001 | 18
Fixed Income | Euribor Future - MAR 2016 |  | 30477058.3175 | 89
Fixed Income | Euribor Future - SEP 2014 |  | -9614802.959999999 | -28
Fixed Income | Euribor Future - SEP 2015 |  | 22975703.4825 | 67
Fixed Income | Euro 30yr Bond Future |  | 2842512.831999999 | 16
Fixed Income | [NAME] 10 Yr Bund Future |  | 16984278.632 | 86
Fixed Income | Euro Swiss Future - DEC 2014 |  | -7637173.396674585 | -27
Fixed Income | Euro Swiss Future - SEP 2014 |  | -10466802.39791879 | -37
Fixed Income | Euro-Bobl 5yr Future |  | 27974911.356 | 162
Fixed Income | Euro-Schatz 2yr Future |  | -6235510.461000001 | -41
Fixed Income | Eurodollar Future - DEC 2014 |  | 9968000 | 40
Fixed Income | Eurodollar Future - DEC 2015 |  | -17297875 | -70
Fixed Income | Eurodollar Future - JUN 2015 |  | -12419375 | -50
Fixed Income | Eurodollar Future - MAR 2015 |  | 2489000 | 10
Fixed Income | Eurodollar Future - MAR 2016 |  | -17246250 | -70
Fixed Income | Eurodollar Future - SEP 2014 |  | 13463550 | 54
Fixed Income | Eurodollar Future - SEP 2015 |  | -16353975 | -66
Fixed Income | Mini Japan 10 Yr Bond Future (SGX) |  | 42459926.36372444 | 303
Fixed Income | Short Sterling Future - DEC 2014 |  | -2688448.814999999 | -13
Fixed Income | Short Sterling Future - DEC 2015 |  | -22539817.1625 | -110
Fixed Income | Short Sterling Future - JUN 2015 |  | -16884430.4775 | -82
Fixed Income | Short Sterling Future - MAR 2015 |  | -11764057.86 | -57
Fixed Income | Short Sterling Future - MAR 2016 |  | -23101556.926875 | -113
Fixed Income | Short Sterling Future - SEP 2014 |  | 207116.33625 | 1
Fixed Income | Short Sterling Future - SEP 2015 |  | -20746163.43375 | -101
Fixed Income | U.K. 10 Yr Gilt Future |  | -182597.463 | -1
Fixed Income | U.S. 10 Yr Treasury Note Future |  | -3828499.999999999 | -31
Fixed Income | U.S. 2 Yr Treasury Note Future |  | -9002062.5 | -41
Fixed Income | U.S. 20 Yr Treasury Note Future |  | -666093.75 | -5
Fixed Income | U.S. 5 Yr Treasury Note Future |  | -9040437.5 | -76
Equity | AEX Index Future - APR 2014 |  | 2110449.5252 | 19
Equity | CAC40 Index Future - APR 2014 |  | 3931753.865 | 65
Equity | DAX Index Future - JUN 2014 |  | 1645288.80425 | 5
Equity | DJ Euro Stoxx 50 Future - JUN 2014 |  | 3091899.3664 | 71
Equity | E-Mini DJIA Index Future - JUN 2014 |  | 2797802.2 | 34
Equity | E-Mini S&P 500 Index Future - JUN 2014 |  | 3931914 | 42
Equity | FTSE MIB Index Future - JUN 2014 |  | 2240883.795599999 | 15
Equity | FTSE100 Index Future - JUN 2014 |  | 440005.70508 | 4
Equity | Hang Seng Index Future - APR 2014 |  | -2427403.888301575 | -17
Equity | HSCEI China Index Future - APR 2014 |  | -1298906.737488074 | -20
Equity | IBEX 35 Index Future - APR 2014 |  | 1851590.611 | 13
Equity | KOSPI 200 Index Future - JUN 2014 |  | -848328.4815475631 | -7
Equity | MSCI Singapore Index Future - APR 2014 |  | -628421.5546018122 | -11
Equity | MSCI Taiwan Index Future |  | 500256.0000000001 | 16
Equity | MSCI Taiwan Index Future - APR 2014 |  | 93798.00000000001 | 3
Equity | Nasdaq 100 E-Mini Future - JUN 2014 |  | 2588929.92 | 36
Equity | NIFTY |  | 281576.4 | 21
Equity | OSE Japan Topix Index Future - JUN 2014 |  | -815834.7059393469 | -7
Equity | [NAME] 2014 |  | 1642256 | 14
Equity | S&P Mid 400 E-Mini Index Future - JUN 2014 |  | 3308400 | 24
Equity | S&P/TSE 60 Index Future - JUN 2014 |  | 7577024.127472726 | 51
Equity | SGX CNX Nifty Index Future - APR 2014 |  | 858137.6 | 64
Equity | South Africa Top 40 Index Future - JUN 2014 |  | 2123915.64468172 | 52
Equity | SPI 200 Index Future - JUN 2014 |  | 3627491.10793875 | 29
Equity | Swiss Market Index Future |  | 4302928.401764506 | 45
Equity | TAIEX |  | 929897.2498152863 | 16
Currency | AUD vs USD Forward |  | -8562218.4 | -9232000
Currency | BRL vs USD Forward |  | 114683.9574787173 | 260000
Currency | CAD vs USD Forward |  | -22044271.42275134 | -24349000
Currency | CLP vs USD Forward |  | -593644.7236638442 | -326000000
Currency | COP vs USD Forward |  | -802762.7615444689 | -1583000000
Currency | CZK vs USD Forward |  | -1550348.703025438 | -30900000
Currency | EUR vs USD Forward |  | 39383994.0678 | 28592997
Currency | GBP vs USD Forward |  | 20021867.6658 | 12009998
Currency | HUF vs USD Forward |  | -1232134.056185313 | -275000000
Currency | IDR vs USD Forward |  | -273767.6056338028 | -3110000000
Currency | ILS vs USD Forward |  | 2191183.640691772 | 7640000
Currency | INR vs USD Forward |  | 686495.0429059402 | 41200000
Currency | [NAME] vs USD Forward |  | -16595329.87113651 | -1712803996
Currency | KRW vs USD Forward |  | 1205747.019438445 | 1284000001
Currency | MXN vs USD Forward |  | -2839298.030500422 | -37050000
Currency | MYR vs USD Forward |  | -1418287.639761066 | -4630000
Currency | NOK vs USD Forward |  | 370456.9748797435 | 2218000
Currency | NZD vs USD Forward |  | 26989508.7 | 31119000
Currency | PHP vs USD Forward |  | -2790437.890974084 | -124900000
Currency | PLN vs USD Forward |  | 2088980.300125603 | 6320001
Currency | RUB vs USD Forward |  | -2177471.00263289 | -76500000
Currency | SEK vs USD Forward |  | 807665.5590758056 | 5226000
Currency | SGD vs USD Forward |  | -3418375.457002067 | -4301000
Currency | TRY vs USD Forward |  | -2434888.229660601 | -5212000
Currency | TWD vs USD Forward |  | -7096297.512519497 | -216100000
Currency | ZAR vs USD Forward |  | -2789995.155268882 | -29370000
Commodity | Brent Oil Future |  | -861200 | -8
Commodity | Cocoa Future |  | 1034250 | 35
Commodity | Coffee Future |  | 333562.5 | 5
Commodity | Corn Future |  | -677700 | -27
Commodity | Cotton No. 2 Future |  | 607880 | 13
Commodity | Gas Oil Future (100MT) |  | -2953500 | -33
Commodity | Gold Future |  | -3337880 | -26
Commodity | Heating Oil ULSD Future |  | -984412.8 | -8
Commodity | HG COPPER |  | -5294625 | -70
Commodity | LDN COCOA |  | 1369489.308 | 44
Commodity | Lean Hog Future |  | 1220880 | 24
Commodity | LME Aluminum |  | -1558156.25 | -35
Commodity | LME Copper |  | -5153362.5 | -31
Commodity | Natural Gas Future |  | 1792110 | 41
Commodity | Nickel Future |  | 190800 | 2
Commodity | Platinum Future |  | -639360 | -9
Commodity | Silver Future |  | -2370240 | -24
Commodity | Soy Meal Future |  | 2156850 | 45
Commodity | Soy Oil Future |  | -945828 | -39
Commodity | Soybean Future |  | 7393200 | 101
Commodity | Sugar Future |  | -1691704 | -85
Commodity | Unleaded Gas RBOB Future |  | -2083380.6 | -17
Commodity | Wheat Future |  | 525912.5 | 15
Commodity | Wheat Future (KCB) |  | 267400 | 7
Commodity | WTI Crude Future |  | 1625280 | 16
Commodity | Zinc Future |  | -445950 | -9