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Morgan Bank Luxembourg S.A. 7W1GMC6J4KGLBBUSYP52 BE 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 8247.86000000 Citigroup Global Markets Inc. 8-08177 000007059 MBNUM2BPBDO7JBLYG310 1601.32000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 2139.67000000 CIBC World Markets Corp. 8-18333 000000630 549300445CON3DBMU275 1187.49000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 4470.04000000 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 43821.54000000 Goldman Sachs & Co. LLC 8-00129 000000361 FOR8UP27PHTHYVLBNG30 15280.36000000 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-07221 000007691 8NAV47T0Y26Q87Y0QP81 5269.28000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 7811.92000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 105110.94000000 197125.02000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 15026634.52999999 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 26504709.63000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 1358212118.92000010 Morgan Stanley & Co. 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Morgan Bank Luxembourg S.A. 7W1GMC6J4KGLBBUSYP52 FR 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) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 NZ 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) 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) Nordea Bank Abp 529900ODI3047E2LIV03 SE 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. 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Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 3612.53000000 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-07221 000007691 8NAV47T0Y26Q87Y0QP81 1822.82000000 38466.87999999 Citigroup Global Markets Inc. 8-08177 000007059 MBNUM2BPBDO7JBLYG310 23257942.14999999 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 23680020.10999999 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 18075658.05000000 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 31207088.45999999 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 8332496.98000000 Credit Agricole Securities (USA) Inc. 8-13753 000000190 549300WO2DKF0Q3YMV43 5131294.85000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 12619472.29000000 J.P. 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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 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) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH 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) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 171121.87000000 Credit Suisse Securities (USA) LLC 8-00422 000000816 1V8Y6QCX6YMJ2OELII46 5.86000000 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 47222.95000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 92571.52000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 70252.95000000 Goldman Sachs & Co. 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Morgan Bank Luxembourg S.A. 7W1GMC6J4KGLBBUSYP52 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UniCredit Bank Czech Republic and Slovakia, a.s. 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LLC 8-00129 000000361 FOR8UP27PHTHYVLBNG30 4841.31000000 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-07221 000007691 8NAV47T0Y26Q87Y0QP81 3095.16000000 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 12750.68000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 4893.49000000 37111.04000000 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 2686229.13000000 HSBC Securities (USA) Inc. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 3930998.84000000 Natwest Markets Securities Inc. 8-37135 000011707 ZE2ZWJ5BTIQJ8M0C6K34 3464849.88000000 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 1413081.82000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 120900746.08000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 2015419.45000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 758347.69000000 Scotia Capital (USA) Inc. 8-03716 000002739 549300BLWPABP1VNME36 4725882.59999999 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 128944.57000000 140024500.06000000 N 25738100.33000000 Committed 350000000.00000000 N N N N AQR Diversifying Strategies Fund S000068650 549300T87JX1BIPZ1F36 Y 3 0 0 Fund of Funds N N N N N/A N/A N/A Rule 32a-4 (17 CFR 270.32a-4) Rule 12d1-1 (17 CFR 270.12d1-1) Y Y Y N AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N N JPMorgan Chase Bank, N.A. 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 0.00000000 J.P. 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RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) DEPOSITORY TRUST AND CLEARING CORPORATION MLDY5N6PZ58ZE60QU102 N Y Securities depository - rule 17f-4 (17 CFR 270.17f-4) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL 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, N.A. 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 NO 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 Czech Republic and Slovakia, a.s. 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Morgan Bank Luxembourg S.A. 7W1GMC6J4KGLBBUSYP52 FR 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, N.A. 7H6GLXDRUGQFU57RNE97 AU 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) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE 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) HSBC BANK AUSTRALIA LIMITED DY9DBNI4W8J63Z298033 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB F3JS33DEI6XQ4ZBPTN86 FI 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) Deutsche Bank AG 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N N Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 25778.11000000 Credit Suisse Securities (USA) LLC 8-00422 000000816 1V8Y6QCX6YMJ2OELII46 1994.56000000 CIBC World Markets Corp. 8-18333 000000630 549300445CON3DBMU275 248.06000000 Merrill Lynch, Pierce, Fenner & Smith Inc. 8-07221 000007691 8NAV47T0Y26Q87Y0QP81 1342.92000000 Citigroup Global Markets Inc. 8-08177 000007059 MBNUM2BPBDO7JBLYG310 558.71000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 451.10000000 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 10645.57000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 16335.77000000 Goldman Sachs & Co. LLC 8-00129 000000361 FOR8UP27PHTHYVLBNG30 11573.95000000 UBS Securities LLC 8-22651 000007654 T6FIZBDPKLYJKFCRVK44 830.44000000 70195.97000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 995071252.19000006 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 35102178.49000000 Citigroup Global Markets Inc. 8-08177 000007059 MBNUM2BPBDO7JBLYG310 27757321.19999999 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 16029572.14000000 HSBC Securities (USA) Inc. 8-41562 000019585 CYYGQCGNHMHPSMRL3R97 17003053.16000000 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 29587167.77000000 Scotia Capital (USA) Inc. 8-03716 000002739 549300BLWPABP1VNME36 19932520.44000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 23118583.47000000 Citadel Securities LLC 8-53574 000116797 12UUJYTN7D3SW8KCSG25 23989501.17000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 14421494.31000000 1273886766.90000000 N 132030279.57000000 Committed 350000000.00000000 N N N N AQR Managed Futures Strategy Fund S000027214 07BUS8UTTPW0D72K9M62 N 3 0 0 N/A Y N N N/A N/A N/A Rule 12d1-1 (17 CFR 270.12d1-1) Rule 32a-4 (17 CFR 270.32a-4) Y N Y N AQR Capital Management, LLC 801-55543 000111883 549300GC5MDF1KXYMP06 N ALPS Fund Services, Inc. 84-05730 N/A N N N Bloomberg, L.P. 549300B56MD0ZC402L06 N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N Refinitiv Global Markets, Inc. 000109120 CRD N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 NZ 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) 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) BNP Paribas Securities Services S.C.A. 549300WCGB70D06XZS54 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) J.P. 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LLC 8-00129 000000361 FOR8UP27PHTHYVLBNG30 824933.97000000 Barclays Capital, Inc. 8-41342 000019714 AC28XWWI3WIBK2824319 391053.72999999 4644227.16000000 J.P. Morgan Securities LLC 8-35008 000000079 ZBUT11V806EZRVTWT807 21695600914.40000200 Jefferies LLC 8-15074 000002347 58PU97L1C0WSRCWADL48 832549477.62000000 Nomura Securities International, Inc. 8-15255 000004297 OXTKY6Q8X53C9ILVV871 357718513.29000002 Natwest Markets Securities Inc. 8-37135 000011707 ZE2ZWJ5BTIQJ8M0C6K34 506735017.56000000 Morgan Stanley & Co. LLC 8-15869 000008209 9R7GPTSO7KV3UQJZQ078 445684007.56000000 TD Securities (USA) LLC 8-36747 000018476 SUVUFHICNZMP2WKHG940 229833625.59000000 Deutsche Bank Securities Inc. 8-17822 000002525 9J6MBOOO7BECTDTUZW19 619789531.38999999 Scotia Capital (USA) Inc. 8-03716 000002739 549300BLWPABP1VNME36 681079790.11000001 Wells Fargo Securities, LLC 8-65876 000126292 VYVVCKR63DVZZN70PB21 788274092.84999990 BofA Securities, Inc. 8-69787 000283942 549300HN4UKV1E2R3U73 223308676.19999999 26771940843.91000000 N 3671735496.01000000 Committed 350000000.00000000 N N N AQR Style Premia Alternative Fund S000042050 549300H47CIW5R9UN420 N 3 0 0 N/A Y Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N N N/A 16545496.3 N/A 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 Bloomberg, L.P. 549300B56MD0ZC402L06 N Refinitiv Global Markets, Inc. 000109120 CRD N ICE Data Pricing & Reference Data, LLC 5493000NQ9LYLDBCTL34 N IHS Markit Group Holdings Ltd. 2138005LTLTVZ4WMEX25 GB N PricingDirect Inc. 549300WIC0TOJ7N7GD54 N N JPMorgan Chase Bank, N.A. 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) J.P. 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