AQR Managed Futures Strategy HV Fund

Fund Holdings

Asset Allocation

% Long % Short % Net
Cash 136.16 122.62 13.55
Stocks 2.87 0.0 2.87
Bonds 0.0 0.0 0.0
Other 14.01 8.59 5.41
Foreign Bonds 86.08 17.06 69.02
Foreign Stocks 9.13 0.0 9.13
Convertible 0.0 0.0 0.0
Preferred 0.01 0.0 0.01

Updated 05.31.2014

Top 10 Holdings

Performance as of 06.30.2014

Portfolio as of 05.31.2014

% Net Assets
NYSE/Liffe 2 Year US Treasury Note Future Sept14 7.71
3mo Euro Euribor Mar16 6.75
3mo Euro Euribor Dec15 6.64
3mo Euro Euribor Sep15 6.6
3mo Euro Euribor 15/06/15 5.62
3mo Euro Euribor 16/03/15 4.57
90day Euro$ 16/03/15 4.29
90day Euro$ 15/06/15 4.03
10yr Mini Jgb 10/06/14 3.71
3mo Euro Euribor 15/12/14 3.7