Spreadsheet: 1777b26f-74fd-465f-ac1d-6e157878997b
Sheet: Sheet1

AQR Managed Futures Strategy Fund | Unnamed: 1 | Unnamed: 2 | Unnamed: 3
2014-01-31 00:00:00
[NAME]
NAV: $6,031,547,241
Asset Class | Security Description | Exposure | Quantity
Fixed Income | Australia 10 Yr Bond Future | -173592039.1485 | -2066
Fixed Income | Australia 3 Yr Bond Future | 983197633.5720001 | 11572
Fixed Income | Canada 10 Yr Bond Future | -1299240.620085374 | -11
Fixed Income | Canadian Bank Acceptance Future - JUN 2014 | 370250280.8357672 | 1668
Fixed Income | Canadian Bank Acceptance Future - SEP 2014 | 749607009.6607503 | 3376
Fixed Income | Euribor Future - DEC 2014 | 1090024733.4375 | 3242
Fixed Income | Euribor Future - DEC 2015 | 1905229602.25 | 5680
Fixed Income | Euribor Future - JUN 2014 | -64903440.45625001 | -193
Fixed Income | Euribor Future - JUN 2015 | 1872922330.15625 | 5575
Fixed Income | Euribor Future - MAR 2015 | 1673787321.9375 | 4980
Fixed Income | Euribor Future - SEP 2014 | 648361830.0500001 | 1928
Fixed Income | Euribor Future - SEP 2015 | 1884122950.7375 | 5612
Fixed Income | Euro 30yr Bond Future | -345907.02 | -2
Fixed Income | [NAME] 10 Yr Bund Future | 605624947.6200002 | 3122
Fixed Income | Euro Swiss Future - JUN 2014 | -350449694.3664299 | -1272
Fixed Income | Euro Swiss Future - SEP 2014 | 101683793.1604163 | 369
Fixed Income | Euro-Bobl 5yr Future | 1111639378.585 | 6506
Fixed Income | Euro-Schatz 2yr Future | 830170679.7562501 | 5565
Fixed Income | Eurodollar Future - DEC 2014 | 308121237.5 | 1237
Fixed Income | Eurodollar Future - DEC 2015 | -206383725 | -834
Fixed Income | Eurodollar Future - JUN 2014 | 246807000 | 990
Fixed Income | Eurodollar Future - JUN 2015 | 3727312.5 | 15
Fixed Income | Eurodollar Future - MAR 2015 | 108493150 | 436
Fixed Income | Eurodollar Future - SEP 2014 | 163740825 | 657
Fixed Income | Eurodollar Future - SEP 2015 | -97473825 | -393
Fixed Income | Japan 10 Yr Bond Future | 1284377424.871732 | 908
Fixed Income | Short Sterling Future - DEC 2014 | -749236511.9200001 | -3676
Fixed Income | Short Sterling Future - DEC 2015 | -1414938980 | -7000
Fixed Income | Short Sterling Future - JUN 2014 | -402944251.0600001 | -1973
Fixed Income | Short Sterling Future - JUN 2015 | -1293757498.8 | -6372
Fixed Income | Short Sterling Future - MAR 2015 | -1054988009.4 | -5185
Fixed Income | Short Sterling Future - SEP 2014 | -441028635.84 | -2161
Fixed Income | Short Sterling Future - SEP 2015 | -1401287500.34 | -6917
Fixed Income | U.K. 10 Yr Gilt Future | -444231084.752 | -2449
Fixed Income | U.S. 10 Yr Treasury Note Future | -531545250 | -4227
Fixed Income | U.S. 2 Yr Treasury Note Future | 945552218.7500001 | 4294
Fixed Income | U.S. 20 Yr Treasury Note Future | -287092968.75 | -2149
Fixed Income | U.S. 5 Yr Treasury Note Future | -541003125 | -4485
Equity | AEX Index Future - FEB 2014 | 86893647.38250002 | 833
Equity | CAC40 Index Future - FEB 2014 | 30553390.02560001 | 544
Equity | DAX Index Future - MAR 2014 | 196995148.062 | 628
Equity | DJ Euro Stoxx 50 Future - MAR 2014 | 75135438.32930002 | 1849
Equity | E-Mini DJIA Index Future - MAR 2014 | 175199166 | 2232
Equity | E-Mini S&P 500 Index Future - MAR 2014 | 147420193 | 1654
Equity | FTSE MIB Index Future - MAR 2014 | 82338543.36622502 | 629
Equity | FTSE100 Index Future - MAR 2014 | 15298075.66144 | 143
Equity | Hang Seng Index Future - FEB 2014 | -110974641.5415132 | -782
Equity | HSCEI China Index Future - FEB 2014 | -60006849.99613591 | -949
Equity | IBEX 35 Index Future - FEB 2014 | 72893257.59250003 | 545
Equity | Japan Topix Index Future - MAR 2014 | 127521540.1905693 | 1069
Equity | KOSPI 200 Index Future - MAR 2014 | -105593987.8480732 | -903
Equity | MSCI Singapore Index Future - FEB 2014 | -7074287.280701755 | -131
Equity | MSCI Taiwan Index Future | 36746190 | 1235
Equity | MSCI Taiwan Index Future - FEB 2014 | 21184848 | 712
Equity | Nasdaq 100 E-Mini Future - MAR 2014 | 218640917.76 | 3104
Equity | [NAME] EMini - MAR 2014 | 117159168 | 1036
Equity | S&P Mid 400 E-Mini Index Future - MAR 2014 | 129732304 | 988
Equity | S&P/TSE 60 Index Future - MAR 2014 | 319365330.9368681 | 2262
Equity | SGX CNX Nifty Index Future - FEB 2014 | 7563159 | 621
Equity | South Africa Top 40 Index Future - MAR 2014 | 105549745.914602 | 2886
Equity | SPI 200 Index Future - MAR 2014 | 113485.90309875 | 1
Equity | Swiss Market Index Future | 120801705.7106669 | 1339
Equity | TX_SW | 52613835.56947421 | 943
Currency | AUD vs USD Forward | -1427908108.2 | -1632548000
Currency | BRL vs USD Forward | -126019562.3342175 | -304060000
Currency | CAD vs USD Forward | -1286731072.567962 | -1431810001
Currency | CLP vs USD Forward | -47257930.93514817 | -26248000000
Currency | COP vs USD Forward | -41683098.32955095 | -84030000000
Currency | CZK vs USD Forward | -114067662.1787026 | -2329832000
Currency | EUR vs USD Forward | 2923479197.999001 | 2168350972
Currency | GBP vs USD Forward | 1737343847.7408 | 1057292994
Currency | HUF vs USD Forward | -31032767.37536498 | -7173999998
Currency | IDR vs USD Forward | -65364455.36445536 | -798100000000
Currency | ILS vs USD Forward | 112226267.2771742 | 394610001
Currency | INR vs USD Forward | -193149876.3659568 | -12107600000
Currency | [NAME] vs USD Forward | -2317792670.4129 | -237168135000
Currency | KRW vs USD Forward | 130767310.0221028 | 141400000000
Currency | MXN vs USD Forward | -179191726.1536732 | -2391000000
Currency | MYR vs USD Forward | -89738532.79545794 | -300310000
Currency | NOK vs USD Forward | -1039315775.544975 | -6527007002
Currency | NZD vs USD Forward | 528112362.0168 | 653281002
Currency | PHP vs USD Forward | -147559228.6501377 | -6695500000
Currency | PLN vs USD Forward | 45528377.9067923 | 143510000
Currency | RUB vs USD Forward | -217281774.2394086 | -7641800000
Currency | SEK vs USD Forward | -37190315.80714323 | -243709999
Currency | SGD vs USD Forward | -141690162.9072682 | -180910000
Currency | TRY vs USD Forward | -147553219.6802403 | -334090000
Currency | TWD vs USD Forward | -193627822.6800725 | -5873700001
Currency | ZAR vs USD Forward | -215779300.6501494 | -2394600000
Commodity | Brent Oil Future | -63591810 | -601
Commodity | Cocoa Future | 43432120 | 1492
Commodity | Coffee Future | -12019200 | -256
Commodity | Corn Future | -225875300 | -10409
Commodity | Cotton No. 2 Future | 15191910 | 354
Commodity | Gas Oil Future (100MT) | -89898550 | -986
Commodity | Gold Future | -256390640 | -2068
Commodity | Heating Oil ULSD Future | -43553857.2 | -346
Commodity | HG COPPER | -156413225 | -1957
Commodity | LDN COCOA | 41269428.096 | 1362
Commodity | Lean Hog Future | -49333920 | -1301
Commodity | LME Aluminum | -81313312.5 | -1930
Commodity | LME Copper | -132983325 | -751
Commodity | Natural Gas Future | 97179379.99999999 | 1966
Commodity | Nickel Future | -19845432 | -237
Commodity | Platinum Future | -93203675 | -1355
Commodity | Silver Future | -143017600 | -1496
Commodity | Soy Meal Future | 83132110 | 1951
Commodity | Soy Oil Future | -147721944 | -6541
Commodity | Soybean Future | 148093487.5 | 2309
Commodity | Sugar Future | -264897360 | -15210
Commodity | Unleaded Gas RBOB Future | -90514897.19999999 | -819
Commodity | Wheat Future | -324439862.5 | -11633
Commodity | Wheat Future (KCB) | -58564825 | -1903
Commodity | WTI Crude Future | -34706440 | -356
Commodity | Zinc Future | -2507287.5 | -51