-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HE5urGaynrlGMptIg5yr5OOSUBAM5qwBnv2PScOo8RidKrclsXBlO+dp5JDoky5l AhzzMgaPmeCu3UC1QaU+ZA== 0001085146-08-000993.txt : 20080814 0001085146-08-000993.hdr.sgml : 20080814 20080814162621 ACCESSION NUMBER: 0001085146-08-000993 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20080630 FILED AS OF DATE: 20080814 DATE AS OF CHANGE: 20080814 EFFECTIVENESS DATE: 20080814 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AQR CAPITAL MANAGEMENT LLC CENTRAL INDEX KEY: 0001167557 IRS NUMBER: 133987414 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-10120 FILM NUMBER: 081019476 BUSINESS ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 BUSINESS PHONE: 203-742-3600 MAIL ADDRESS: STREET 1: TWO GREENWICH PLAZA STREET 2: 3RD FLOOR CITY: GREENWICH STATE: CT ZIP: 06830 13F-HR 1 aqr2q08.txt AQR CAPITAL MANAGEMENT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 2008 Check here if Amendment [ ]; Amendment Number: This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: AQR Capital Management, LLC Address: Two Greenwich Plaza, 3rd Floor Greenwich, CT 06830 13F File Number: 28-10120 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Clifford S. Asness Title: Managing Member Phone: 203-742-3600 Signature, Place, and Date of Signing: /s/ Clifford S. Asness Greenwich, CT August 13, 2008 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 0 Form13F Information Table Entry Total: 1699 Form13F Information Table Value Total: $10,238,093 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. NONE FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3COM CORP COM 885535104 1626 766750 SH SOLE 766750 0 0 3M CO COM 88579Y101 7780 111801 SH SOLE 111801 0 0 A D C TELECOMMUNICATIONS COM NEW 000886309 2607 176513 SH SOLE 176513 0 0 A H BELO CORP COM CL A 001282102 1109 194642 SH SOLE 194642 0 0 ABBOTT LABS COM 002824100 4587 86600 SH SOLE 86600 0 0 ABITIBIBOWATER INC COM 003687100 175 18800 SH SOLE 18800 0 0 ABM INDS INC COM 000957100 296 13325 SH SOLE 13325 0 0 ACADIA PHARMACEUTICALS INC COM 004225108 49 13300 SH SOLE 13300 0 0 ACADIA RLTY TR COM SH BEN INT 004239109 270 11675 SH SOLE 11675 0 0 ACCENTURE LTD BERMUDA CL A G1150G111 19554 480200 SH SOLE 480200 0 0 ACCO BRANDS CORP COM 00081T108 157 14000 SH SOLE 14000 0 0 ACCURIDE CORP COM 004398103 185 43533 SH SOLE 43533 0 0 ACME PACKET INC COM 004764106 92 11900 SH SOLE 11900 0 0 ACTEL CORP COM 004934105 227 13500 SH SOLE 13500 0 0 ACTUANT CORP SDCV 2.000%11/1 00508XAB0 41361 25250000 PRN SOLE 0 0 ACTUATE CORP COM 00508B102 51 12970 SH SOLE 12970 0 0 ACUITY BRANDS INC COM 00508Y102 6715 139669 SH SOLE 139669 0 0 ACXIOM CORP COM 005125109 1601 139300 SH SOLE 139300 0 0 ADMINISTAFF INC COM 007094105 13692 490925 SH SOLE 490925 0 0 ADOBE SYS INC COM 00724F101 768 19500 SH SOLE 19500 0 0 ADTRAN INC COM 00738A106 6327 265400 SH SOLE 265400 0 0 ADVANCE AMER CASH ADVANCE CT COM 00739W107 2197 432440 SH SOLE 432440 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 4139 106600 SH SOLE 106600 0 0 ADVANCED ENERGY INDS COM 007973100 14277 1042120 SH SOLE 1042120 0 0 ADVANCED MEDICAL OPTICS INC COM 00763M108 199 10600 SH SOLE 10600 0 0 ADVANCED MICRO DEVICES INC COM 007903107 523 89700 SH SOLE 89700 0 0 ADVANTA CORP CL B 007942204 3515 558758 SH SOLE 558758 0 0 ADVENT SOFTWARE INC COM 007974108 227 6300 SH SOLE 6300 0 0 AEROPOSTALE COM 007865108 4031 128669 SH SOLE 128669 0 0 AETNA INC NEW COM 00817Y108 5868 144775 SH SOLE 144775 0 0 AFC ENTERPRISES INC COM 00104Q107 273 34200 SH SOLE 34200 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 3486 65174 SH SOLE 65174 0 0 AFFYMETRIX INC COM 00826T108 10199 991200 SH SOLE 991200 0 0 AGCO CORP COM 001084102 3202 61088 SH SOLE 61088 0 0 AGCO CORP NOTE 1.750%12/3 001084AL6 44414 18515000 PRN SOLE 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 10817 304351 SH SOLE 304351 0 0 AGILYSYS INC COM 00847J105 248 21900 SH SOLE 21900 0 0 AGL RES INC COM 001204106 18967 548500 SH SOLE 548500 0 0 AGREE REALTY CORP COM 008492100 324 14690 SH SOLE 14690 0 0 AIR PRODS & CHEMS INC COM 009158106 662 6700 SH SOLE 6700 0 0 AIRTRAN HLDGS INC NOTE 7.000% 7/0 00949PAB4 5180 8000000 PRN SOLE 0 0 AK STL HLDG CORP COM 001547108 2967 42997 SH SOLE 42997 0 0 AKAMAI TECHNOLOGIES INC NOTE 1.000%12/1 00971TAE1 79318 34500000 PRN SOLE 0 0 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0 ALLIANT TECHSYSTEMS INC COM 018804104 1930 18985 SH SOLE 18985 0 0 ALLIANT TECHSYSTEMS INC NOTE 2.750% 2/1 018804AH7 5329 4000000 PRN SOLE 0 0 ALLIANT TECHSYSTEMS INC NOTE 3.000% 8/1 018804AK0 13770 9500000 PRN SOLE 0 0 ALLIED CAP CORP NEW COM 01903Q108 874 62900 SH SOLE 62900 0 0 ALLIED WASTE INDS INC COM PAR$.01NEW 019589308 7416 587663 SH SOLE 587663 0 0 ALLIED WRLD ASSUR COM HLDG L SHS G0219G203 10131 255700 SH SOLE 255700 0 0 ALLOS THERAPEUTICS INC COM 019777101 116 16800 SH SOLE 16800 0 0 ALLSCRIPTS HEALTHCARE SOLUTI DBCV 3.500% 7/1 01988PAB4 30689 25095000 PRN SOLE 0 0 ALLSTATE CORP COM 020002101 15469 339300 SH SOLE 339300 0 0 ALON USA ENERGY INC COM 020520102 352 29400 SH SOLE 29400 0 0 ALTERA CORP COM 021441100 489 23600 SH SOLE 23600 0 0 ALTRIA GROUP INC COM 02209S103 24684 1200600 SH SOLE 1200600 0 0 AMAZON COM INC COM 023135106 777 10600 SH SOLE 10600 0 0 AMB PROPERTY CORP COM 00163T109 1940 38500 SH SOLE 38500 0 0 AMBAC FINL GROUP INC COM 023139108 4068 3036000 SH SOLE 3036000 0 0 AMCOMP INC COM 02342J101 5548 570807 SH SOLE 570807 0 0 AMCORE FINL INC COM 023912108 1471 259873 SH SOLE 259873 0 0 AMDOCS LTD ORD G02602103 571 19400 SH SOLE 19400 0 0 AMEDISYS INC COM 023436108 303 6000 SH SOLE 6000 0 0 AMERCO COM 023586100 876 18369 SH SOLE 18369 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 3370 421830 SH SOLE 421830 0 0 AMERICAN CAMPUS CMNTYS INC COM 024835100 1930 69337 SH SOLE 69337 0 0 AMERICAN EAGLE OUTFITTERS NE COM 02553E106 16212 1189442 SH SOLE 1189442 0 0 AMERICAN ELEC PWR INC COM 025537101 26926 669300 SH SOLE 669300 0 0 AMERICAN EQTY INVT LIFE HLD NOTE 5.250%12/0 025676AE7 21598 23702000 PRN SOLE 0 0 AMERICAN EXPRESS CO COM 025816109 2087 55400 SH SOLE 55400 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 29044 1085745 SH SOLE 1085745 0 0 AMERICAN GREETINGS CORP CL A 026375105 19923 1614468 SH SOLE 1614468 0 0 AMERICAN INTL GROUP INC COM 026874107 5615 212200 SH SOLE 212200 0 0 AMERICAN MED SYS HLDGS INC NOTE 3.250% 7/0 02744MAA6 6823 7000000 PRN SOLE 0 0 AMERICAN ORIENTAL BIOENGR IN COM 028731107 2896 293400 SH SOLE 293400 0 0 AMERICAN PHYSICIANS CAPITAL COM 028884104 346 7150 SH SOLE 7150 0 0 AMERICAN RAILCAR INDS INC COM 02916P103 1347 80300 SH SOLE 80300 0 0 AMERICAN SUPERCONDUCTOR CORP COM 030111108 667 18600 SH SOLE 18600 0 0 AMERICAN TOWER CORP NOTE 3.250% 8/0 029912AK8 5188 1500000 PRN SOLE 0 0 AMERICAN VANGUARD CORP COM 030371108 213 17300 SH SOLE 17300 0 0 AMERICREDIT CORP COM 03060R101 3858 447549 SH SOLE 447549 0 0 AMERICREDIT CORP NOTE 0.750% 9/1 03060RAP6 2223 3500000 PRN SOLE 0 0 AMERICREDIT CORP NOTE 1.750%11/1 03060RAM3 9294 10000000 PRN SOLE 0 0 AMERIGAS PARTNERS L P UNIT L P INT 030975106 2003 62900 SH SOLE 62900 0 0 AMERIGROUP CORP COM 03073T102 12545 603118 SH SOLE 603118 0 0 AMERIPRISE FINL INC COM 03076C106 19889 489035 SH SOLE 489035 0 0 AMERISAFE INC COM 03071H100 451 28285 SH SOLE 28285 0 0 AMERISOURCEBERGEN CORP COM 03073E105 28847 721348 SH SOLE 721348 0 0 AMERISTAR CASINOS INC COM 03070Q101 2840 205523 SH SOLE 205523 0 0 AMGEN INC COM 031162100 27644 586183 SH SOLE 586183 0 0 AMKOR TECHNOLOGY INC COM 031652100 21556 2070701 SH SOLE 2070701 0 0 AMKOR TECHNOLOGY INC NOTE 2.500% 5/1 031652AX8 14355 14000000 PRN SOLE 0 0 AMN HEALTHCARE SERVICES INC COM 001744101 423 25000 SH SOLE 25000 0 0 AMPCO-PITTSBURGH CORP COM 032037103 2424 54500 SH SOLE 54500 0 0 AMR CORP COM 001765106 517 101000 SH SOLE 101000 0 0 AMREP CORP NEW COM 032159105 5558 116787 SH SOLE 116787 0 0 ANADARKO PETE CORP COM 032511107 7349 98198 SH SOLE 98198 0 0 ANALOG DEVICES INC COM 032654105 918 28900 SH SOLE 28900 0 0 ANALOGIC CORP COM PAR $0.05 032657207 1190 18870 SH SOLE 18870 0 0 ANCHOR BANCORP WIS INC COM 032839102 453 64600 SH SOLE 64600 0 0 ANDERSONS INC COM 034164103 204 5000 SH SOLE 5000 0 0 ANGELICA CORP COM 034663104 3766 177041 SH SOLE 177041 0 0 ANHEUSER BUSCH COS INC COM 035229103 15050 242278 SH SOLE 242278 0 0 ANIXTER INTL INC COM 035290105 244 4100 SH SOLE 4100 0 0 ANIXTER INTL INC NOTE 7/0 035290AG0 1647 1800000 PRN SOLE 0 0 ANNALY CAP MGMT INC COM 035710409 2472 159400 SH SOLE 159400 0 0 ANNTAYLOR STORES CORP COM 036115103 23262 970857 SH SOLE 970857 0 0 ANSOFT CORP COM 036384105 10839 297762 SH SOLE 297762 0 0 ANSYS INC COM 03662Q105 316 6700 SH SOLE 6700 0 0 ANTHRACITE CAP INC COM 037023108 1133 160940 SH SOLE 160940 0 0 ANWORTH MORTGAGE ASSET CP COM 037347101 991 152220 SH SOLE 152220 0 0 AON CORP COM 037389103 6266 136400 SH SOLE 136400 0 0 APACHE CORP COM 037411105 32770 235757 SH SOLE 235757 0 0 APARTMENT INVT & MGMT CO CL A 03748R101 1189 34900 SH SOLE 34900 0 0 APEX SILVER MINES LTD ORD G04074103 51 10400 SH SOLE 10400 0 0 APOLLO GROUP INC CL A 037604105 1465 33100 SH SOLE 33100 0 0 APPLE INC COM 037833100 34743 207493 SH SOLE 207493 0 0 APPLIED INDL TECHNOLOGIES IN COM 03820C105 21257 879476 SH SOLE 879476 0 0 APPLIED MATLS INC COM 038222105 1479 77500 SH SOLE 77500 0 0 APPLIED MICRO CIRCUITS CORP COM NEW 03822W406 268 31300 SH SOLE 31300 0 0 APRIA HEALTHCARE GROUP INC COM 037933108 12955 668137 SH SOLE 668137 0 0 AQUILA INC COM 03840P102 12181 3231077 SH SOLE 3231077 0 0 ARBITRON INC COM 03875Q108 266 5600 SH SOLE 5600 0 0 ARBOR RLTY TR INC COM 038923108 368 41010 SH SOLE 41010 0 0 ARCH CAP GROUP LTD ORD G0450A105 7952 119900 SH SOLE 119900 0 0 ARCH CHEMICALS INC COM 03937R102 1707 51500 SH SOLE 51500 0 0 ARCH COAL INC COM 039380100 540 7200 SH SOLE 7200 0 0 ARCHER DANIELS MIDLAND CO COM 039483102 405 12000 SH SOLE 12000 0 0 ARENA PHARMACEUTICALS INC COM 040047102 119 22900 SH SOLE 22900 0 0 ARKANSAS BEST CORP DEL COM 040790107 11339 309479 SH SOLE 309479 0 0 ARMSTRONG WORLD INDS INC NEW COM 04247X102 25018 856200 SH SOLE 856200 0 0 ARRIS GROUP INC NOTE 2.000%11/1 04269QAC4 1258 1500000 PRN SOLE 0 0 ARRIS GROUP INC COM 04269Q100 2283 270170 SH SOLE 270170 0 0 ARROW ELECTRS INC COM 042735100 20616 671100 SH SOLE 671100 0 0 ART TECHNOLOGY GROUP INC COM 04289L107 157 49100 SH SOLE 49100 0 0 ARTHROCARE CORP COM 043136100 335 8200 SH SOLE 8200 0 0 ARVINMERITOR INC COM 043353101 9695 776813 SH SOLE 776813 0 0 ASBURY AUTOMOTIVE GROUP INC COM 043436104 1107 86145 SH SOLE 86145 0 0 ASHFORD HOSPITALITY TR INC COM SHS 044103109 1207 261170 SH SOLE 261170 0 0 ASHLAND INC NEW COM 044209104 8658 179628 SH SOLE 179628 0 0 ASIAINFO HLDGS INC COM 04518A104 1587 134300 SH SOLE 134300 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 2488 105100 SH SOLE 105100 0 0 ASSOCIATED BANC CORP COM 045487105 1788 92700 SH SOLE 92700 0 0 ASSURANT INC COM 04621X108 1385 21000 SH SOLE 21000 0 0 ASSURED GUARANTY LTD COM G0585R106 2227 123800 SH SOLE 123800 0 0 ASTORIA FINL CORP COM 046265104 1972 98200 SH SOLE 98200 0 0 AT&T INC COM 00206R102 49669 1474305 SH SOLE 1474305 0 0 ATHEROS COMMUNICATIONS INC COM 04743P108 486 16200 SH SOLE 16200 0 0 ATLAS AIR WORLDWIDE HLDGS IN COM NEW 049164205 14749 298200 SH SOLE 298200 0 0 ATMEL CORP COM 049513104 6131 1761654 SH SOLE 1761654 0 0 ATMOS ENERGY CORP COM 049560105 4773 173123 SH SOLE 173123 0 0 ATP OIL & GAS CORP COM 00208J108 1081 27400 SH SOLE 27400 0 0 ATWOOD OCEANICS INC COM 050095108 5421 43600 SH SOLE 43600 0 0 AUTODESK INC COM 052769106 6378 188640 SH SOLE 188640 0 0 AUTOLIV INC COM 052800109 2670 57269 SH SOLE 57269 0 0 AUTOMATIC DATA PROCESSING IN COM 053015103 15816 377471 SH SOLE 377471 0 0 AUTONATION INC COM 05329W102 5017 500740 SH SOLE 500740 0 0 AUTOZONE INC COM 053332102 11222 92733 SH SOLE 92733 0 0 AVALONBAY CMNTYS INC COM 053484101 1599 17934 SH SOLE 17934 0 0 AVATAR HLDGS INC NOTE 4.500% 4/0 053494AF7 11551 14050000 PRN SOLE 0 0 AVENTINE RENEWABLE ENERGY COM 05356X403 1521 345600 SH SOLE 345600 0 0 AVERY DENNISON CORP COM 053611109 272 6200 SH SOLE 6200 0 0 AVIS BUDGET GROUP COM 053774105 256 30600 SH SOLE 30600 0 0 AVISTA CORP COM 05379B107 7564 352458 SH SOLE 352458 0 0 AVNET INC COM 053807103 9633 353129 SH SOLE 353129 0 0 AVOCENT CORP COM 053893103 6596 354600 SH SOLE 354600 0 0 AVON PRODS INC COM 054303102 800 22200 SH SOLE 22200 0 0 AVX CORP NEW COM 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64069 0 0 CITY NATL CORP COM 178566105 7103 168830 SH SOLE 168830 0 0 CKE RESTAURANTS INC NOTE 4.000%10/0 12561EAG0 2915 2000000 PRN SOLE 0 0 CKE RESTAURANTS INC COM 12561E105 9175 735783 SH SOLE 735783 0 0 CKX INC COM 12562M106 3646 416653 SH SOLE 416653 0 0 CLAYTON HLDGS INC COM 18418N107 4531 758904 SH SOLE 758904 0 0 CLEAR CHANNEL COMMUNICATIONS COM 184502102 5671 161107 SH SOLE 161107 0 0 CLECO CORP NEW COM 12561W105 201 8600 SH SOLE 8600 0 0 CLEVELAND CLIFFS INC COM 185896107 1082 9080 SH SOLE 9080 0 0 CLOROX CO DEL COM 189054109 7178 137500 SH SOLE 137500 0 0 CME GROUP INC COM 12572Q105 5518 14400 SH SOLE 14400 0 0 CMGI INC COM NEW 125750307 2625 247620 SH SOLE 247620 0 0 CMS ENERGY CORP COM 125896100 8481 569211 SH SOLE 569211 0 0 CMS ENERGY CORP NOTE 3.375% 7/1 125896AY6 9677 6750000 PRN SOLE 0 0 CNA FINL CORP COM 126117100 12500 497032 SH SOLE 497032 0 0 CNET NETWORKS INC COM 12613R104 120 10478 SH SOLE 10478 0 0 CNX GAS CORP COM 12618H309 298 7100 SH SOLE 7100 0 0 COCA COLA 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0 0 SHERWIN WILLIAMS CO COM 824348106 5281 114974 SH SOLE 114974 0 0 SHOE CARNIVAL INC COM 824889109 366 31055 SH SOLE 31055 0 0 SIGMA ALDRICH CORP COM 826552101 501 9300 SH SOLE 9300 0 0 SILGAN HOLDINGS INC COM 827048109 543 10700 SH SOLE 10700 0 0 SILICON IMAGE INC COM 82705T102 305 42100 SH SOLE 42100 0 0 SILICON LABORATORIES INC COM 826919102 4089 113300 SH SOLE 113300 0 0 SILICON STORAGE TECHNOLOGY I COM 827057100 94 34000 SH SOLE 34000 0 0 SIMON PPTY GROUP INC NEW COM 828806109 5124 57000 SH SOLE 57000 0 0 SIMPSON MANUFACTURING CO INC COM 829073105 411 17300 SH SOLE 17300 0 0 SINA CORP NOTE 7/1 82922RAB9 6176 3500000 PRN SOLE 0 0 SINCLAIR BROADCAST GROUP INC NOTE 3.000% 5/1 829226AW9 3668 4000000 PRN SOLE 0 0 SIRF TECHNOLOGY HLDGS INC COM 82967H101 187 43300 SH SOLE 43300 0 0 SKECHERS U S A INC CL A 830566105 8839 447300 SH SOLE 447300 0 0 SKYWEST INC COM 830879102 606 47900 SH SOLE 47900 0 0 SKYWORKS SOLUTIONS INC COM 83088M102 1062 107552 SH SOLE 107552 0 0 SL GREEN RLTY CORP COM 78440X101 1795 21700 SH SOLE 21700 0 0 SLM CORP COM 78442P106 261 13500 SH SOLE 13500 0 0 SMART MODULAR TECHNOLOGIES I ORD SHS G82245104 490 127900 SH SOLE 127900 0 0 SMITH A O COM 831865209 15693 478000 SH SOLE 478000 0 0 SMITH INTL INC COM 832110100 2694 32400 SH SOLE 32400 0 0 SMITHFIELD FOODS INC COM 832248108 1449 72900 SH SOLE 72900 0 0 SMUCKER J M CO COM NEW 832696405 7234 178000 SH SOLE 178000 0 0 SMURFIT-STONE CONTAINER CORP COM 832727101 5340 1312127 SH SOLE 1312127 0 0 SOHU COM INC COM 83408W103 437 6200 SH SOLE 6200 0 0 SONIC AUTOMOTIVE INC CL A 83545G102 1482 114950 SH SOLE 114950 0 0 SONICWALL INC COM 835470105 666 103200 SH SOLE 103200 0 0 SONOCO PRODS CO COM 835495102 5546 179185 SH SOLE 179185 0 0 SONUS NETWORKS INC COM 835916107 90 26300 SH SOLE 26300 0 0 SOTHEBYS COM 835898107 542 20540 SH SOLE 20540 0 0 SOURCEFIRE INC COM 83616T108 995 128700 SH SOLE 128700 0 0 SOUTH FINL GROUP INC COM 837841105 7882 2010700 SH SOLE 2010700 0 0 SOUTH JERSEY INDS INC COM 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1647808 SH SOLE 1647808 0 0 TIDEWATER INC COM 886423102 31417 483111 SH SOLE 483111 0 0 TIERONE CORP COM 88650R108 1267 276007 SH SOLE 276007 0 0 TIM HORTONS INC COM 88706M103 290 10100 SH SOLE 10100 0 0 TIMBERLAND CO CL A 887100105 1069 65400 SH SOLE 65400 0 0 TIME WARNER INC COM 887317105 25618 1730938 SH SOLE 1730938 0 0 TIME WARNER TELECOM INC DBCV 2.375% 4/0 887319AC5 2126 2000000 PRN SOLE 0 0 TIMKEN CO COM 887389104 14496 440059 SH SOLE 440059 0 0 TJX COS INC NEW COM 872540109 7070 224664 SH SOLE 224664 0 0 TOMOTHERAPY INC COM 890088107 240 26900 SH SOLE 26900 0 0 TORCHMARK CORP COM 891027104 3208 54700 SH SOLE 54700 0 0 TORO CO COM 891092108 4269 128300 SH SOLE 128300 0 0 TRACTOR SUPPLY CO COM 892356106 203 7000 SH SOLE 7000 0 0 TRANS WORLD ENTMT CORP COM 89336Q100 33 11593 SH SOLE 11593 0 0 TRANSATLANTIC HLDGS INC COM 893521104 599 10600 SH SOLE 10600 0 0 TRANSDIGM GROUP INC COM 893641100 349 10400 SH SOLE 10400 0 0 TRANSMETA CORP DEL COM 89376R208 3074 222587 SH SOLE 222587 0 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899690101 2215 848528 SH SOLE 848528 0 0 TUPPERWARE BRANDS CORP COM 899896104 2439 71268 SH SOLE 71268 0 0 TWIN DISC INC COM 901476101 341 16300 SH SOLE 16300 0 0 TYCO INTL LTD BERMUDA SHS G9143X208 3850 96160 SH SOLE 96160 0 0 TYSON FOODS INC CL A 902494103 1043 69800 SH SOLE 69800 0 0 U S AIRWAYS GROUP INC COM 90341W108 4322 1728767 SH SOLE 1728767 0 0 U STORE IT TR COM 91274F104 1158 96870 SH SOLE 96870 0 0 UAL CORP COM NEW 902549807 6895 1320900 SH SOLE 1320900 0 0 UCBH HOLDINGS INC COM 90262T308 4850 2155700 SH SOLE 2155700 0 0 UDR INC COM 902653104 958 42800 SH SOLE 42800 0 0 UGI CORP NEW COM 902681105 6012 209408 SH SOLE 209408 0 0 UIL HLDG CORP COM 902748102 3467 117900 SH SOLE 117900 0 0 ULTRA PETROLEUM CORP COM 903914109 540 5500 SH SOLE 5500 0 0 UMB FINL CORP COM 902788108 6351 123876 SH SOLE 123876 0 0 UNDER ARMOUR INC CL A 904311107 846 33000 SH SOLE 33000 0 0 UNION DRILLING INC COM 90653P105 2810 129600 SH SOLE 129600 0 0 UNION PAC CORP COM 907818108 20283 268646 SH SOLE 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UNIVERSAL CORP VA COM 913456109 22488 497307 SH SOLE 497307 0 0 UNIVERSAL HEALTH RLTY INCM T SH BEN INT 91359E105 578 19280 SH SOLE 19280 0 0 UNIVERSAL HLTH SVCS INC CL B 913903100 2170 34321 SH SOLE 34321 0 0 UNIVERSAL STAINLESS & ALLOY COM 913837100 263 7100 SH SOLE 7100 0 0 UNIVERSAL TECHNICAL INST INC COM 913915104 232 18600 SH SOLE 18600 0 0 URS CORP NEW COM 903236107 634 15100 SH SOLE 15100 0 0 URSTADT BIDDLE PPTYS INS CL A 917286205 662 45150 SH SOLE 45150 0 0 US BANCORP DEL COM NEW 902973304 21966 787598 SH SOLE 787598 0 0 USA MOBILITY INC COM 90341G103 917 121510 SH SOLE 121510 0 0 USANA HEALTH SCIENCES INC COM 90328M107 3604 134112 SH SOLE 134112 0 0 USEC INC COM 90333E108 10650 1751686 SH SOLE 1751686 0 0 UST INC COM 902911106 3593 65800 SH SOLE 65800 0 0 UTI WORLDWIDE INC ORD G87210103 223 11200 SH SOLE 11200 0 0 UTSTARCOM INC COM 918076100 8325 1521918 SH SOLE 1521918 0 0 V F CORP COM 918204108 505 7095 SH SOLE 7095 0 0 VAALCO ENERGY INC COM NEW 91851C201 1374 162260 SH SOLE 162260 0 0 VALEANT PHARMACEUTICALS INTL COM 91911X104 373 21820 SH SOLE 21820 0 0 VALERO ENERGY CORP NEW COM 91913Y100 26859 652225 SH SOLE 652225 0 0 VALIDUS HOLDINGS LTD COM SHS G9319H102 1016 47800 SH SOLE 47800 0 0 VALLEY NATL BANCORP COM 919794107 420 26660 SH SOLE 26660 0 0 VALUECLICK INC COM 92046N102 2644 174495 SH SOLE 174495 0 0 VARIAN INC COM 922206107 19335 378664 SH SOLE 378664 0 0 VARIAN SEMICONDUCTOR EQUIPMN COM 922207105 307 8808 SH SOLE 8808 0 0 VCA ANTECH INC COM 918194101 408 14700 SH SOLE 14700 0 0 VECTOR GROUP LTD COM 92240M108 365 22600 SH SOLE 22600 0 0 VECTOR GROUP LTD NOTE 5.000%11/1 92240MAE8 9168 7600000 PRN SOLE 0 0 VECTREN CORP COM 92240G101 1576 50500 SH SOLE 50500 0 0 VEECO INSTRS INC DEL COM 922417100 257 16000 SH SOLE 16000 0 0 VENTAS INC COM 92276F100 1447 34000 SH SOLE 34000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 30805 870207 SH SOLE 870207 0 0 VIACOM INC NEW CL B 92553P201 11175 365900 SH SOLE 365900 0 0 VIAD CORP COM NEW 92552R406 3286 127399 SH SOLE 127399 0 0 VIGNETTE CORP COM NEW 926734401 298 24800 SH SOLE 24800 0 0 VIRGIN MEDIA INC COM 92769L101 460 33800 SH SOLE 33800 0 0 VIROPHARMA INC COM 928241108 7465 674991 SH SOLE 674991 0 0 VISA INC COM CL A 92826C839 1415 17400 SH SOLE 17400 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 16182 1824380 SH SOLE 1824380 0 0 VISTAPRINT LIMITED SHS G93762204 265 9900 SH SOLE 9900 0 0 VISTEON CORP COM 92839U107 100 38200 SH SOLE 38200 0 0 VMWARE INC CL A COM 928563402 420 7800 SH SOLE 7800 0 0 VOLT INFORMATION SCIENCES IN COM 928703107 2474 207700 SH SOLE 207700 0 0 VOLTERRA SEMICONDUCTOR CORP COM 928708106 312 18100 SH SOLE 18100 0 0 VORNADO RLTY TR DBCV 2.850% 4/0 929042AC3 2214 2500000 PRN SOLE 0 0 VORNADO RLTY TR SH BEN INT 929042109 4144 47091 SH SOLE 47091 0 0 VULCAN MATLS CO COM 929160109 1208 20200 SH SOLE 20200 0 0 W & T OFFSHORE INC COM 92922P106 971 16600 SH SOLE 16600 0 0 W-H ENERGY SVCS INC COM 92925E108 8438 88135 SH SOLE 88135 0 0 WABASH NATL CORP COM 929566107 404 53500 SH SOLE 53500 0 0 WABTEC CORP COM 929740108 447 9200 SH SOLE 9200 0 0 WACHOVIA CORP NEW COM 929903102 1502 96706 SH SOLE 96706 0 0 WADDELL & REED FINL INC CL A 930059100 6686 190962 SH SOLE 190962 0 0 WAL MART STORES INC COM 931142103 28921 514606 SH SOLE 514606 0 0 WARNACO GROUP INC COM NEW 934390402 22733 515829 SH SOLE 515829 0 0 WARNER MUSIC GROUP CORP COM 934550104 1542 216000 SH SOLE 216000 0 0 WASHINGTON BKG CO OAK HBR WA COM 937303105 1756 222305 SH SOLE 222305 0 0 WASHINGTON FED INC COM 938824109 825 45600 SH SOLE 45600 0 0 WASHINGTON MUT INC COM 939322103 5621 1140106 SH SOLE 1140106 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AJ0 7456 8250000 PRN SOLE 0 0 WASHINGTON REAL ESTATE INVT NOTE 3.875% 9/1 939653AK7 3619 4000000 PRN SOLE 0 0 WASHINGTON REAL ESTATE INVT SH BEN INT 939653101 543 18073 SH SOLE 18073 0 0 WASTE MGMT INC DEL COM 94106L109 14469 383684 SH SOLE 383684 0 0 WATERS CORP COM 941848103 8082 125300 SH SOLE 125300 0 0 WATSCO INC COM 942622200 1701 40700 SH SOLE 40700 0 0 WATSON PHARMACEUTICALS INC COM 942683103 3380 124400 SH SOLE 124400 0 0 WATSON WYATT WORLDWIDE INC CL A 942712100 529 10000 SH SOLE 10000 0 0 WAUSAU PAPER CORP COM 943315101 113 14700 SH SOLE 14700 0 0 WCI CMNTYS INC NOTE 4.000% 8/1 92923CAK0 13825 17500000 PRN SOLE 0 0 WEBMD CORP NOTE 1.750% 6/1 94769MAE5 14154 15500000 PRN SOLE 0 0 WEBMD HEALTH CORP CL A 94770V102 282 10100 SH SOLE 10100 0 0 WEBSENSE INC COM 947684106 3136 186204 SH SOLE 186204 0 0 WEBSTER FINL CORP CONN COM 947890109 17267 928354 SH SOLE 928354 0 0 WELLCARE HEALTH PLANS INC COM 94946T106 740 20477 SH SOLE 20477 0 0 WELLPOINT INC COM 94973V107 24581 515766 SH SOLE 515766 0 0 WELLS FARGO & CO NEW COM 949746101 10856 457100 SH SOLE 457100 0 0 WENDYS INTL INC COM 950590109 9863 362348 SH SOLE 362348 0 0 WERNER ENTERPRISES INC COM 950755108 10137 545600 SH SOLE 545600 0 0 WESBANCO INC COM 950810101 417 24300 SH SOLE 24300 0 0 WESCO INTL INC COM 95082P105 7331 183100 SH SOLE 183100 0 0 WESCO INTL INC DBCV 2.625%10/1 95082PAE5 4407 3820000 PRN SOLE 0 0 WEST COAST BANCORP ORE NEW COM 952145100 306 35300 SH SOLE 35300 0 0 WEST PHARMACEUTICAL SVSC INC SDCV 4.000% 3/1 955306AA3 4256 4500000 PRN SOLE 0 0 WESTAR ENERGY INC COM 95709T100 5757 267656 SH SOLE 267656 0 0 WESTERN DIGITAL CORP COM 958102105 5615 162600 SH SOLE 162600 0 0 WESTERN REFNG INC COM 959319104 3649 308210 SH SOLE 308210 0 0 WESTERN UN CO COM 959802109 1491 60300 SH SOLE 60300 0 0 WESTLAKE CHEM CORP COM 960413102 163 11000 SH SOLE 11000 0 0 WESTWOOD ONE INC COM 961815107 448 361600 SH SOLE 361600 0 0 WET SEAL INC CL A 961840105 240 50400 SH SOLE 50400 0 0 WEYERHAEUSER CO COM 962166104 844 16500 SH SOLE 16500 0 0 WGL HLDGS INC COM 92924F106 25029 720469 SH SOLE 720469 0 0 WHITING PETE CORP NEW COM 966387102 499 4700 SH SOLE 4700 0 0 WHITNEY HLDG CORP COM 966612103 8530 466100 SH SOLE 466100 0 0 WHOLE FOODS MKT INC COM 966837106 261 11000 SH SOLE 11000 0 0 WILEY JOHN & SONS INC CL A 968223206 414 9200 SH SOLE 9200 0 0 WILLBROS GROUP INC NOTE 2.750% 3/1 969199AC2 39471 17632000 PRN SOLE 0 0 WILLIAMS COS INC DEL COM 969457100 3841 95291 SH SOLE 95291 0 0 WILLOW FINANCIAL BANCORP INC COM 97111W101 3123 383233 SH SOLE 383233 0 0 WILMINGTON TRUST CORP COM 971807102 8687 328550 SH SOLE 328550 0 0 WILSHIRE ENTERPRISES INC COM 971889100 46 12139 SH SOLE 12139 0 0 WIND RIVER SYSTEMS INC COM 973149107 316 29000 SH SOLE 29000 0 0 WINN DIXIE STORES INC COM NEW 974280307 3986 248830 SH SOLE 248830 0 0 WINTHROP RLTY TR SH BEN INT 976391102 393 109111 SH SOLE 109111 0 0 WINTRUST FINANCIAL CORP COM 97650W108 716 30000 SH SOLE 30000 0 0 WISCONSIN ENERGY CORP COM 976657106 11531 255000 SH SOLE 255000 0 0 WMS INDS INC COM 929297109 250 8400 SH SOLE 8400 0 0 WMS INDS INC NOTE 2.750% 7/1 929297AE9 58905 25500000 PRN SOLE 0 0 WOLVERINE WORLD WIDE INC COM 978097103 17708 663966 SH SOLE 663966 0 0 WORLD ACCEP CORPORATION NOTE 3.000%10/0 981417AB4 5504 6500000 PRN SOLE 0 0 WORLD WRESTLING ENTMT INC CL A 98156Q108 2022 130700 SH SOLE 130700 0 0 WORTHINGTON INDS INC COM 981811102 18420 898530 SH SOLE 898530 0 0 WRIGLEY WM JR CO COM 982526105 7064 90815 SH SOLE 90815 0 0 WSFS FINL CORP COM 929328102 317 7100 SH SOLE 7100 0 0 WYETH COM 983024100 11865 247400 SH SOLE 247400 0 0 WYNDHAM WORLDWIDE CORP COM 98310W108 6806 380000 SH SOLE 380000 0 0 WYNN RESORTS LTD COM 983134107 927 11400 SH SOLE 11400 0 0 XCEL ENERGY INC COM 98389B100 2499 124495 SH SOLE 124495 0 0 XEROX CORP COM 984121103 9066 668577 SH SOLE 668577 0 0 XILINX INC COM 983919101 4006 158654 SH SOLE 158654 0 0 XL CAP LTD CL A G98255105 1721 83700 SH SOLE 83700 0 0 XM SATELLITE RADIO HLDGS INC CL A 983759101 7166 913984 SH SOLE 913984 0 0 XTO ENERGY INC COM 98385X106 2408 35150 SH SOLE 35150 0 0 YAHOO INC COM 984332106 5774 279500 SH SOLE 279500 0 0 YRC WORLDWIDE INC COM 984249102 18121 1218600 SH SOLE 1218600 0 0 YUM BRANDS INC COM 988498101 5264 150000 SH SOLE 150000 0 0 ZALE CORP NEW COM 988858106 778 41200 SH SOLE 41200 0 0 ZENITH NATL INS CORP COM 989390109 5621 159860 SH SOLE 159860 0 0 ZEP INC COM 98944B108 209 14049 SH SOLE 14049 0 0 ZILOG INC COM PAR $0.01 989524301 688 217724 SH SOLE 217724 0 0 ZIONS BANCORPORATION COM 989701107 435 13800 SH SOLE 13800 0 0 ZORAN CORP COM 98975F101 3678 314376 SH SOLE 314376 0 0
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