0001752724-20-256292.txt : 20201211
0001752724-20-256292.hdr.sgml : 20201211
20201211152540
ACCESSION NUMBER: 0001752724-20-256292
CONFORMED SUBMISSION TYPE: N-CEN
PUBLIC DOCUMENT COUNT: 3
CONFORMED PERIOD OF REPORT: 20200930
FILED AS OF DATE: 20201211
DATE AS OF CHANGE: 20201211
EFFECTIVENESS DATE: 20201211
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: AQR Funds
CENTRAL INDEX KEY: 0001444822
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: N-CEN
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22235
FILM NUMBER: 201383471
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
0001444822
S000024170
AQR Global Equity Fund
C000070949
Class N
AQGNX
C000070950
Class I
AQGIX
C000135923
Class R6
AQGRX
0001444822
S000024171
AQR International Equity Fund
C000070952
Class N
AQINX
C000070953
Class I
AQIIX
C000135924
Class R6
AQIRX
0001444822
S000025643
AQR Large Cap Momentum Style Fund
C000076804
Class I
AMOMX
C000120475
Class N
AMONX
C000144284
Class R6
QMORX
0001444822
S000025644
AQR Small Cap Momentum Style Fund
C000076805
Class I
ASMOX
C000120476
Class N
ASMNX
C000144285
Class R6
QSMRX
0001444822
S000025645
AQR International Momentum Style Fund
C000076806
Class I
AIMOX
C000120477
Class N
AIONX
C000144286
Class R6
QIORX
0001444822
S000035776
AQR TM Large Cap Momentum Style Fund
C000109621
Class I
ATMOX
C000120478
Class N
ATMNX
C000144287
Class R6
QTMRX
0001444822
S000035777
AQR TM Small Cap Momentum Style Fund
C000109622
Class I
ATSMX
C000120479
Class N
ATSNX
C000144288
Class R6
QTSRX
0001444822
S000035778
AQR TM International Momentum Style Fund
C000109623
Class I
ATIMX
C000120480
Class N
ATNNX
C000144289
Class R6
QTIRX
0001444822
S000037429
AQR Large Cap Defensive Style Fund
C000115553
Class N
AUENX
C000115554
Class I
AUEIX
C000145934
Class R6
QUERX
0001444822
S000037430
AQR International Defensive Style Fund
C000115555
Class N
ANDNX
C000115556
Class I
ANDIX
C000145935
Class R6
ANDRX
0001444822
S000037431
AQR Emerging Defensive Style Fund
C000115557
Class N
AZENX
C000115558
Class I
AZEIX
C000145936
Class R6
AZERX
0001444822
S000040063
AQR Large Cap Multi-Style Fund
C000124381
Class I
QCELX
C000124382
Class N
QCENX
C000144290
Class R6
QCERX
0001444822
S000040064
AQR Small Cap Multi-Style Fund
C000124383
Class I
QSMLX
C000124384
Class N
QSMNX
C000144291
Class R6
QSERX
0001444822
S000040065
AQR International Multi-Style Fund
C000124385
Class I
QICLX
C000124386
Class N
QICNX
C000144292
Class R6
QICRX
0001444822
S000045144
AQR Emerging Multi-Style Fund
C000140524
Class I
QEELX
C000140525
Class N
QEENX
C000144293
Class R6
QECRX
0001444822
S000048052
AQR TM Large Cap Multi-Style Fund
C000151781
Class I
QTLLX
C000151782
Class N
QTLNX
C000151783
Class R6
QTLRX
0001444822
S000048053
AQR TM Small Cap Multi-Style Fund
C000151784
Class I
QSSLX
C000151785
Class N
QSSNX
C000151786
Class R6
QSSRX
0001444822
S000048054
AQR TM International Multi-Style Fund
C000151787
Class I
QIMLX
C000151788
Class N
QIMNX
C000151789
Class R6
QIMRX
0001444822
S000048055
AQR TM Emerging Multi-Style Fund
C000151790
Class I
QTELX
C000151791
Class N
QTENX
C000151792
Class R6
QTERX
0001444822
S000060090
AQR Core Plus Bond Fund
C000196722
Class I
QCPIX
C000196723
Class N
QCPNX
C000196724
Class R6
QCPRX
N-CEN
1
primary_doc.xml
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XXXXXXXX
811-22235
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N-1A
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S000037431
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S000024170
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S000040065
true
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S000048053
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S000048052
true
S000025645
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S000035777
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S000048055
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S000024171
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S000037429
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S000040064
true
S000060090
true
S000037430
true
S000025644
true
S000040063
true
S000045144
true
S000035776
true
S000025643
true
AQR Funds
811-22235
0001444822
549300V0TAB4ICSX2404
Two Greenwich Plaza
4th Floor
Greenwich
06830
US-CT
US
203-742-3600
ALPS DISTRIBUTORS, INC.
1290 BROADWAY, SUITE 1100
DENVER
80203
303-623-2577
Principal Underwriter
JPMORGAN CHASE BANK, N.A.
4 Metro Tech Center
Brooklyn
11245
212-648-0466
Custodian
JPMORGAN CHASE BANK, N.A.
70 Fargo Street
Boston
02210
212-648-0466
Administrator
STATE STREET BANK AND TRUST COMPANY
ONE LINCOLN STREET
BOSTON
02111
617-786-3000
Custodian
CNH PARTNERS, LLC
TWO GREENWICH PLAZA
GREENWICH
06830
203-742-3600
Sub-Adviser
AQR CAPITAL MANAGEMENT, LLC
TWO GREENWICH PLAZA
4th Floor
GREENWICH
06830
203-742-3600
Investment Adviser
ALPS FUND SERVICES, INC.
1290 BROADWAY, SUITE 1100
DENVER
80203
303-623-2577
Transfer Agent
N
N
N-1A
36
Y
David Kabiller
N/A
Y
William L. Atwell
N/A
N
Brian Posner
N/A
N
L. Joe Moravy
N/A
N
Mark A. Zurack
N/A
N
Gregg D. Behrens
N/A
N
H.J. Willcox
N/A
Two Greenwich Plaza
4th Floor
Greenwich
06830
XXXXXX
N
N
N
N
N
N
ALPS DISTRIBUTORS, INC.
008-34626
000016853
N/A
N
N
PRICEWATERHOUSECOOPERS, LLP
238
5493002GVO7EO8RNNS37
N
N
N
N
N
N
AQR TM Large Cap Multi-Style Fund
S000048052
549300GNP44OPI8WF781
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
1521589.14999999
26163.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
Y
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
612.70000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
2800.53000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
371.88000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
1846.74000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
338.66000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
0.81000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
1318.07000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
195.78000000
7485.17000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
262040606.09000000
262040606.09000000
N
290895595.29000002
Committed
350000000.00000000
N
N
N
AQR Emerging Defensive Style Fund
S000037431
549300AH1OKLPOB8NU42
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
21195.21307692
36.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
Banco Nacional de Mexico, S.A.
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w. Warszawie S.A.
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Korea Limited
NUXTG47HHHM1K2L0SG39
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Santander Chile
3YJP8HORPAEXJ80D6368
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
PT Bank HSBC Indonesia
213800HW5IDIRLWH1203
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan S.A. DTVM
5493001LS7J56NZZ3G07
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank A.S.
CWZ8NZDH5SKY12Q4US31
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Malaysia Berhad
P3RPN9OJFCXUPJWB1Q09
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
5516.62000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
14527.80000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
8129.88000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
1075.20000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
4078.12000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
6389.21000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
92.52000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
1.33000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
7.01000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
3482.50000000
43300.19000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
109770832.20999999
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
253151.97000000
110023984.18000001
N
48163958.09000000
Committed
350000000.00000000
N
N
AQR Large Cap Multi-Style Fund
S000040063
5493003AE4S4FUKG0W74
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
7026335.73923076
136838.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
Y
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
737.28000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
2912.44000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
2070.40000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
1602.75000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
66.58000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
1114.40000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
4484.30000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
21217.95000000
34206.10000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
1513667210.38000010
1513667210.38000010
N
1179335471.42000010
Committed
350000000.00000000
N
N
N
AQR International Equity Fund
S000024171
LV6KC6PDTP56I8J0MN25
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
256868.80153846
1565.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
Y
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
105.28000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
8848.59000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
2189.73000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
4960.17000000
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
27246.02000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
6683.43000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
4778.56000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
8636.27000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
5612.80000000
69060.85000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
508316023.48000002
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
195.04000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
52.12000000
508316270.63999999
N
199826550.61000001
Committed
350000000.00000000
N
N
N
AQR Emerging Multi-Style Fund
S000045144
549300533G0090N3E308
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
169114.55538461
665.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
HSBC Bank Malaysia Berhad
P3RPN9OJFCXUPJWB1Q09
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A.
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank A.S.
CWZ8NZDH5SKY12Q4US31
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Korea Limited
NUXTG47HHHM1K2L0SG39
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan S.A. DTVM
5493001LS7J56NZZ3G07
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Santander Chile
3YJP8HORPAEXJ80D6368
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
PT Bank HSBC Indonesia
213800HW5IDIRLWH1203
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
LU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w. Warszawie S.A.
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Deutsche Bank AG
7LTWFZYICNSX8D621K86
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
158.00000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
9155.50000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
8035.91000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
24018.88000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
15752.92000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
404.12000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
4044.33000000
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
6924.81000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
23240.93000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
7463.33000000
99332.76000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
86173.65000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
3.07000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
265699344.69000000
265785521.41000000
N
214539360.96000001
Committed
350000000.00000000
N
N
N
AQR International Defensive Style Fund
S000037430
549300ZLSM7X66O2G695
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
1134953.90999999
7300.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC France Athens Branch
MP6I5ZYZBEU3UXPYFY54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
3170.97000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
31.03000000
The Toronto-Dominion Bank
N/A
N/A
PT3QB789TSUIDF371261
CA
15.14000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
2887.82000000
CIBC World Markets Corp.
8-18333
000000630
549300445CON3DBMU275
711.68000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
481.38000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
1648.65000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
1703.99000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
1772.97000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
5333.65000000
17757.28000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
2.85000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
263687454.28000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
0.46000000
263687457.59000000
N
219028101.02000001
Committed
350000000.00000000
N
N
N
AQR TM Small Cap Momentum Style Fund
S000035777
549300R5ZJMF561IBM75
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
4524159.80230768
86548.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
211.69000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
289.47000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
1880.13000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
343.50000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
65.98000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
0.18000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
3.87000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
173.10000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
135.22999999
3103.15000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
51287739.81000000
51287739.81000000
N
49558882.03000000
Committed
350000000.00000000
N
N
N
AQR International Multi-Style Fund
S000040065
549300N6NJDW0Q39XB03
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
760977.08615384
12947.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
11918.02000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
3539.09000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
5505.30000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
3743.50000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
2241.86000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
4942.76000000
The Toronto-Dominion Bank
N/A
N/A
PT3QB789TSUIDF371261
CA
297.62000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
190.82000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
7765.67000000
CIBC World Markets Corp.
8-18333
000000630
549300445CON3DBMU275
509.28000000
40656.89000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
386022481.56000000
386022481.56000000
N
243340907.16000000
Committed
350000000.00000000
N
N
AQR TM International Multi-Style Fund
S000048054
5493003ORX7OR69S5I37
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
785469.15846153
11099.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
LU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
3334.91000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
7318.80000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
2376.55000000
CIBC World Markets Corp.
8-18333
000000630
549300445CON3DBMU275
415.56000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
3057.15000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
3129.19000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
25.64000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
1558.55000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
6137.85000000
The Toronto-Dominion Bank
N/A
N/A
PT3QB789TSUIDF371261
CA
61.82000000
27418.06000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
190153076.00999999
190153076.00999999
N
190292285.61000001
Committed
350000000.00000000
N
N
N
N
AQR Small Cap Multi-Style Fund
S000040064
549300ZK0OXVB51ZPV91
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
17430681.08153843
356947.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
845.15000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
596.03000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
16741.45000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
41.98000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
1874.24000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
1146.15000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
41.46000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
7400.08000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
10653.54000000
39340.08000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
854113414.02999997
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
328.39000000
854113742.41999996
N
393377065.88000000
Committed
350000000.00000000
N
N
AQR TM Emerging Multi-Style Fund
S000048055
5493005HRSD7GS7I1R46
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
125240.80307692
645.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
Citibank A.S.
CWZ8NZDH5SKY12Q4US31
TR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
QA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Handlowy w. Warszawie S.A.
XLEZHWWOI4HFQDGL4793
PL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank Korea Limited
NUXTG47HHHM1K2L0SG39
KR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
PT Bank HSBC Indonesia
213800HW5IDIRLWH1203
ID
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
HSBC Bank Malaysia Berhad
P3RPN9OJFCXUPJWB1Q09
MY
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Santander Chile
3YJP8HORPAEXJ80D6368
CL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
SA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A.
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IN
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
TW
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan S.A. DTVM
5493001LS7J56NZZ3G07
BR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC France Athens Branch
MP6I5ZYZBEU3UXPYFY54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC Bank Middle East Limited
549300F99IL9YJDWH369
AE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
10689.25000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
16951.33000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
12884.77000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
83.18000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
269.33000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
368.52000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
14313.75000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
32445.56000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
16578.81000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
35597.91999999
140182.42000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
4.09999999
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
382043466.87000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
108507.28000000
382151978.25000000
N
339759562.44000000
Committed
350000000.00000000
N
N
N
AQR TM Large Cap Momentum Style Fund
S000035776
549300MKEPAWFJBAIU11
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
2723966.80615384
20947.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
155.91999999
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
3412.17000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
157.41000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
107.83000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
365.94000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
256.68000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
463.53000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
9.11000000
4928.59000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
202513777.58000001
202513777.58000001
N
241844225.13999999
Committed
350000000.00000000
N
N
N
AQR Large Cap Defensive Style Fund
S000037429
549300U8SCLX3D8VIY95
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
20706667.40615381
138867.00000000
Rule 17a-6 (17 CFR 270.17a-6)
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
Y
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
4784.59000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
85764.58000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
3065.04000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
51.98000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
11574.10000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
2501.48000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
2126.82000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
3146.49000000
113015.08000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
5787270068.40999980
5787270068.40999980
N
5633042923.25000000
Committed
350000000.00000000
N
N
N
N
AQR Global Equity Fund
S000024170
549300DK4GUZLUHSMW05
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
642600.13615384
10303.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
Y
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
29761.54000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
1826.16000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
5114.66000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
3555.06000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
1866.74000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
827.72000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
2595.73999999
CIBC World Markets Corp.
8-18333
000000630
549300445CON3DBMU275
363.85000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
2750.06000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
758.42000000
49667.84000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
390007291.00000000
390007291.00000000
N
299279528.06999999
Committed
350000000.00000000
N
N
N
N
AQR Large Cap Momentum Style Fund
S000025643
5493002IY31FI47LX555
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
10267927.94076921
99835.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
867.03000000
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
8926.95000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
652.09000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
2747.34000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
1584.27000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
5213.85000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
422.83000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
654.16999999
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
66.25000000
21134.78000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
899791804.44000006
899791804.44000006
N
850843515.89999998
Committed
350000000.00000000
N
N
N
AQR TM International Momentum Style Fund
S000035778
A0MV035VRQY7WO514443
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
465914.90384615
5996.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
HU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Standard Chartered Bank (Thai) Public Company Limited
549300O1LQYCQ7G1IM57
TH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
FirstRand Bank Limited
ZAYQDKTCATIXF9OQY690
ZA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC France Athens Branch
MP6I5ZYZBEU3UXPYFY54
GR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Banco Nacional de Mexico, S.A.
2SFFM4FUIE05S37WFU55
MX
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UniCredit Bank Czech Republic and Slovakia, a.s.
KR6LSKV3BTSJRD41IF75
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
1029.44000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
1441.33000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
1175.14000000
The Toronto-Dominion Bank
N/A
N/A
PT3QB789TSUIDF371261
CA
30.10000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
594.50000000
CIBC World Markets Corp.
8-18333
000000630
549300445CON3DBMU275
242.12000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
1310.83000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
1715.27000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
3142.86000000
10681.59000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
138123400.37000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
2.92000000
138123403.28999999
N
106728968.30000000
Committed
350000000.00000000
N
N
AQR TM Small Cap Multi-Style Fund
S000048053
549300XBL5ZYF5CASN58
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
837451.83307692
13796.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
703.34000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
133.34000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
2.71000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
215.27000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
475.54000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
61.85999999
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
89.02000000
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
2.81000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
42.47000000
1726.36000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
412.60000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
32540262.51000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
4108.75000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
530.23000000
32545314.09000000
N
20678450.84000000
Committed
350000000.00000000
N
N
N
AQR Small Cap Momentum Style Fund
S000025644
549300F78QHG1DDAYI80
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
10508119.13769230
405009.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
2708.63000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
1214.30000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
534.46000000
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
4938.55000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
5277.51000000
Sanford C. Bernstein & Co., LLC
8-52942
000104474
549300I7JYZHT7D5CO04
1055.48000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
32.26000000
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
1794.23000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
852.09000000
18407.51000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
253875058.81000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
711.76000000
253875770.56999999
N
230742859.52000001
Committed
350000000.00000000
N
N
N
AQR International Momentum Style Fund
S000025645
NPBPSWYP2Q3D8RW4BE95
N
3
0
0
N/A
N
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
1457716.50076922
16390.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
Refinitiv Global Markets Inc.
000109120
CRD
N
N
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
UniCredit Bank Austria AG
D1HEB8VEU6D9M8ZUXG17
AT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
IE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DBS Bank Ltd
ATUEL7OJR5057F2PV266
SG
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Bank Leumi le-Israel B.M.
7JDSZWRGUQY2DSTWCR57
IL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
HK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
8247.83000000
The Toronto-Dominion Bank
N/A
N/A
PT3QB789TSUIDF371261
CA
199.56000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
11558.73000000
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
5589.80000000
Deutsche Bank Securities Inc.
8-17822
000002525
9J6MBOOO7BECTDTUZW19
3117.34000000
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
10098.08000000
CIBC World Markets Corp.
8-18333
000000630
549300445CON3DBMU275
804.57000000
Merrill Lynch, Pierce, Fenner & Smith Inc.
8-07221
000007691
8NAV47T0Y26Q87Y0QP81
9710.45999999
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
7302.75000000
UBS Securities LLC
8-22651
000007654
T6FIZBDPKLYJKFCRVK44
6865.93000000
63540.57000000
Credit Suisse Securities (USA) LLC
8-00422
000000816
1V8Y6QCX6YMJ2OELII46
11.45000000
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
0.10000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
391255601.50000000
391255613.05000001
N
423390121.61000001
Committed
350000000.00000000
N
N
N
N
AQR Core Plus Bond Fund
S000060090
549300IAZQ32SPIHW528
N
3
0
0
N/A
Y
N
Y
N
N
Citibank, N.A.
E57ODZWZ7FF32TWEFA76
N
N
Revenue sharing split
11276.61923076
76.00000000
Rule 12d1-1 (17 CFR 270.12d1-1)
Rule 32a-4 (17 CFR 270.32a-4)
Y
Y
Y
N
AQR CAPITAL MANAGEMENT, LLC
801-55543
000111883
549300GC5MDF1KXYMP06
N
ALPS Fund Services, Inc.
84-05730
N/A
N
N
N
Refinitiv Global Markets Inc.
000109120
CRD
N
ICE Data Pricing & Reference Data, LLC
5493000NQ9LYLDBCTL34
N
N
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
DK
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Mizuho Bank, Ltd.
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services S.C.A.
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. Morgan Bank Luxembourg S.A.
7W1GMC6J4KGLBBUSYP52
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Nordea Bank Abp
529900ODI3047E2LIV03
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Santander Securities Services, S.A.
95980020140005970915
ES
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
N
N
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
4345.55000000
4345.55000000
J.P. Morgan Securities LLC
8-35008
000000079
ZBUT11V806EZRVTWT807
407926625.56000000
Nomura Securities International, Inc.
8-15255
000004297
OXTKY6Q8X53C9ILVV871
13424920.85
Citigroup Global Markets Inc.
8-08177
000007059
MBNUM2BPBDO7JBLYG310
297623562.97000003
Morgan Stanley & Co. LLC
8-15869
000008209
9R7GPTSO7KV3UQJZQ078
1253252862.15000010
HSBC Securities (USA) Inc.
8-41562
000019585
CYYGQCGNHMHPSMRL3R97
28787374.47
Goldman Sachs & Co. LLC
8-00129
000000361
FOR8UP27PHTHYVLBNG30
977099555.54999995
BofA Securities, Inc.
8-69787
000283942
549300HN4UKV1E2R3U73
91121753.76000000
Barclays Capital, Inc.
8-41342
000019714
AC28XWWI3WIBK2824319
29690251.61
BNP Paribas Securities Corp.
8-32682
000015794
RCNB6OTYUAMMP879YW96
9026552.01999999
Westpac Capital Markets LLC
8-69113
000164763
N/A
8285924.51
3193639662.67999980
N
116984291.56999999
Committed
350000000.00000000
N
N
N
N
false
false
false
false
false
false
INTERNAL CONTROL RPT
2
Form_N-CEN_9.30.20_Funds.txt
INTERNAL CONTROL LETTER
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of AQR Funds and Shareholders of the funds
listed in Appendix A
In planning and performing our audits of the financial statements of
the funds listed in Appendix A (constituting AQR Funds, hereafter
collectively referred to as the "Funds") as of and for the periods
ended September 30, 2020, in accordance with the standards of the
Public Company Accounting Oversight Board (United States) (PCAOB),
we considered the Funds' internal control over financial reporting,
including controls over safeguarding securities, as a basis for
designing our auditing procedures for the purpose of expressing
our opinion on the financial statements and to comply with the
requirements of Form N-CEN, but not for the purpose of expressing
an opinion on the effectiveness of the Funds' internal control
over financial reporting. Accordingly, we do not express an
opinion on the effectiveness of the Funds' internal control over
financial reporting.
The management of the Funds are responsible for establishing and
maintaining effective internal control over financial reporting.
In fulfilling this responsibility, estimates and judgments by
management are required to assess the expected benefits and
related costs of controls. A company's internal control over
financial reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting and
the preparation of financial statements for external purposes
in accordance with generally accepted accounting principles.
A company's internal control over financial reporting includes
those policies and procedures that (1) pertain to the
maintenance of records that, in reasonable detail, accurately
and fairly reflect the transactions and dispositions of
the assets of the company; (2) provide reasonable assurance
that transactions are recorded as necessary to permit preparation
of financial statements in accordance with generally accepted
accounting principles, and that receipts and expenditures of
the company are being made only in accordance with authorizations
of management and directors of the company; and (3) provide
reasonable assurance regarding prevention or timely detection
of unauthorized acquisition, use or disposition of a company's
assets that could have a material effect on the
financial statements.
Because of its inherent limitations, internal control over
financial reporting may not prevent or detect misstatements.
Also, projections of any evaluation of effectiveness to
future periods are subject to the risk that controls may
become inadequate because of changes in conditions,
or that the degree of compliance with the policies
or procedures may deteriorate.
A deficiency in internal control over financial reporting
exists when the design or operation of a control does not
allow management or employees, in the normal course of
performing their assigned functions, to prevent
or detect misstatements on a timely basis. A material weakness
is a deficiency, or a combination of deficiencies, in internal
control over financial reporting, such that there is a reasonable
possibility that a material misstatement of the company's annual
or interim financial statements will not be prevented or
detected on a timely basis.
Our consideration of the Funds' internal control over
financial reporting was for the limited purpose described
in the first paragraph and would not necessarily disclose
all deficiencies in internal control over financial reporting
that might be material weaknesses under standards established
by the PCAOB. However, we noted no deficiencies in the Funds'
internal control over financial reporting and their operations,
including controls over safeguarding securities,
that we consider to be a material weakness as defined above
as of September 30, 2020.
This report is intended solely for the information and use
of the Board of Trustees of AQR Funds and the Securities
and Exchange Commission and is not intended to be and
should not be used by anyone other than these specified
parties.
/s/PricewaterhouseCoopers LLP
New York, New York
November 17, 2020
Appendix A
AQR Large Cap Multi-Style Fund
AQR TM Small Cap Momentum Style Fund
AQR Small Cap Multi-Style Fund
AQR TM International Momentum Style Fund
AQR International Multi-Style Fund
AQR Large Cap Defensive Style Fund
AQR Emerging Multi-Style Fund
AQR International Defensive Style Fund
AQR TM Large Cap Multi-Style Fund
AQR Emerging Defensive Style Fund
AQR TM Small Cap Multi-Style Fund
AQR Global Equity Fund
AQR TM International Multi-Style Fund
AQR International Equity Fund
AQR TM Emerging Multi-Style Fund
AQR Core Plus Bond Fund
AQR Large Cap Momentum Style Fund
AQR International Momentum Style Fund
AQR Small Cap Momentum Style Fund
AQR TM Large Cap Momentum Style Fund
EXEMPT ORDER INFO
3
IFL_Annual_Cert.txt
INTERFUND LENDING CERTIFICATE
December 8, 2020
Certification Pursuant to Form N-CEN
In my capacity as Chief Compliance Officer of AQR Funds (the Trust), I
hereby certify in accordance with the exemptive order granted by the
U.S. Securities and Exchange Commission (SEC) on October 19, 2017 (the Order)
permitting the Trust to participate in an interfund lending facility whereby
series of the Trust, subject to certain conditions, may directly lend and
borrow money from each other for temporary purposes
(Interfund Lending Program), that (i) the Trust and its adviser,
AQR Capital Management, LLC, have implemented procedures reasonably designed
to achieve compliance with the terms and conditions of the Order, and
(ii) such procedures are reasonably designed to achieve the following
objectives:
a. that the interest rate (the Interfund Loan Rate) charged on any loan
made through the Interfund Lending Program (an Interfund Loan) will be
set at a rate higher than the Treasury Rate, but lower than the
Bank Loan Rate (with Treasury Rate and Bank Loan Rate as defined
in the final amended and restated application for the Order as
filed with the SEC on July 6, 2017 (the Application));
b. compliance with the collateral requirements set forth in the Application;
c. compliance with the percentage limitations on interfund
borrowing and lending;
d. that borrowing and lending demand under the Interfund Lending
Program is allocated in an equitable manner and in accordance
with procedures established by the Trusts board of trustees; and
e. that the Interfund Loan Rate does not exceed the interest rate on any
third-party borrowings of a borrowing fund at the time of the Interfund Loan.
Sincerely,
Herbert J. Willcox
Chief Compliance Officer
AQR Funds