1. CHASING YOUR OWN TAIL (RISK)
Fourth Quarter 2011
For Investment Professional Use Only

2. What is Tail Risk? The Risk of Unexpected Large Losses is Real…
Annual Returns of a 60/40 Global Portfolio
For illustrative purposes only. Global 60/40 is 60% MSCI World and 40% Barclays Capital Global Aggregate Bond index, data from Feb 1990 to Aug 2011.

3. What is Tail Risk? So Where Does It Come from? Not Bonds…
Annual Returns of a 60/40 Global Portfolio
For illustrative purposes only. Global 60/40 is 60% MSCI World and 40% Barclays Capital Global Aggregate Bond index, Global Bonds is Barclays Capital Global Aggregate. Data from Feb 1990 to Aug 2011.

4. Annual Returns of a 60/40 Global Portfolio
What is Tail Risk?
Equities Are the Primary Cause of Tail Risk in Most Institutional Portfolios
Annual Returns of a 60/40 Global Portfolio
Correlation: 0.98
For illustrative purposes only. Global 60/40 is 60% MSCI World and 40% Barclays Capital Global Aggregate Bond index, Global Equities is MSCI World Index. Data from Feb 1990 to Aug 2011.

5. What Does Tail Risk Hedging Traditionally Look Like?
Put Option Pay-off
Strike Price = $60
Premium Paid
In the Money
Out of the Money
Source: AQR. For illustrative purposes only. Please see important performance and risk disclosures in the Appendix.

6. What Does Tail Risk Hedging Traditionally Look Like?
Puts Behave as They’re Supposed To – So What’s the Problem?
Average Annual Return = -5.0%
*Graph shows 7.5% out of the money puts on the S&P 500, with quarterly maturities, rebalanced monthly. Source: AQR, OptionsMetrics. Please see important performance and risk disclosures in the Appendix.

7. The Risk-Adjusted Return of Insurance is Generally Negative
How Does Tail Risk Hedging Traditionally Behave?
The Risk-Adjusted Return of Insurance is Generally Negative
*Graph shows 7.5% out of the money puts on the S&P 500, with quarterly maturities, rebalanced monthly. Source: AQR, OptionsMetrics. Please see important performance and risk disclosures in the Appendix.

8. Cost of Traditional Tail-Risk Hedging
As With All Forms of Insurance, Traditional Hedging Is a Negative Expected Return Strategy
Russian Default / LTCM
Tech Bust
Financial Crisis
-45%
Opportunity Cost:
-13%
-41%
-$128
-11%
-42%
-31%
SR of puts:
-0.7
Source: AQR. S&P 500 returns are total returns. OptionsMetrics. Please see important performance and risk disclosures in the Appendix.

9. Still, There Are Good Reasons to Buy Insurance
Despite Its Costs, Insurance May Have Some (Specific) Roles
Opportunistic
Can provide a cash buffer to take advantage of crises
Short-Term Constraints
Ability to be long-term investors
Tactical
Seek to profit from options market mispricings

10. Alternative Ways to Reduce Tail Risk
Investors Should Address Tail Risk Fundamentally, by Modifying the Portfolio Structure Itself
Underlying Problem
Fundamental Solution
Lack of Diversification
Diversify by risk
Take advantage of defensive equities
Invest in truly alternative strategies
Poor Risk Management
Manage volatility
Have a plan for a crisis – before the crisis
Diversification does not eliminate the risk of experiencing investment losses.

11. Make Everything Matter, but Nothing Matter Too Much
1. Diversify by Risk
Make Everything Matter, but Nothing Matter Too Much
Intuition
Riskier assets – like equities – tend to dominate overall portfolio risk
Implementation
Reduce equity exposure and increase exposure to other asset classes
(e.g., increase duration, use futures, or leverage)
Impact
Tail events in equities will not necessarily be tail events for the overall portfolio

12. Traditional Allocation
1. Diversify by Risk
Asset Allocation Doesn’t Mean “Diversification” Because Different Assets Have Different Risks
Traditional Allocation
By Capital
By Risk
Hedge Funds
Nominal Interest Rate Risk
Inflation Risk
Credit/Default Risk
Public and Private Equity
Charts are for illustrative purposes only. Based on AQR volatility and correlation estimates. Please see risk disclosures in the Appendix. The Hedge Fund Risk is attributed across the four other risk categories, we have allocated 80% of the risk to equities and 20% of the risk to Credit/Default Risk

13. Asset Class Sharpe Ratios 1971- 2010*
1. Diversify by Risk
Long-Term Asset Class Performance Is Similar, So Allocations Should Be, Too
Asset Class Sharpe Ratios *
* These are the realized Sharpe Ratios based on monthly returns in excess of the 3 month T-bill returns for the MSCI World Index (stocks), the Barclays US Aggregate Government Bond Index (bonds), and the S&P GSCI Index (commodities). We begin in 1971, as that is when all three data series are available. The Equal Risk Weight Strategy is a simulated portfolio based on the MSCI World Index, the Barclays US Aggregate Government Index, and the S&P GSCI Index, representing exposures to equities, bonds, and commodities, respectively. This simulated portfolio targets an equal amount of volatility from each asset class every month. Please see important risk disclosures in the Appendix. 12

14. 2. Take Advantage of Defensive Equities
Similar Equity Premium, with Less Risk
Intuition
Defensive equities seek to capture the equity premium with less downside risk
Implementation
Replace passive or otherwise cap-weighted exposure to equities
(e.g., low risk, high quality)
Impact
Less equity risk with similar expected returns

15. 2. Take Advantage of Defensive Equities
There Is Significant Empirical Evidence That Higher Risk Leads To Lower Risk-Adjusted Returns*
* Performance/correlation results based on AQR models of hypothetical portfolios. These are not the returns of an actual portfolio and are for illustrative purposes only. Please see important disclosures in the Appendix relating to hypothetical performance and risks.

16. 2. Take Advantage of Defensive Equities
Defensive Equities May Reduce Equity Risk Without Reducing Long-Term Returns
-30%
-45%
-48%
Source: AQR models of hypothetical backtested portfolios. These are not the returns of an actual portfolio and are for illustrative purposes only. Please see important disclosures in the Appendix relating to hypothetical performance and risks. This information is supplemental to the Global Investment Performance Standards (GIPS®) presentation compliant for this strategy in the Appendix.

17. 3. Invest in Truly Alternative Strategies
Make Sure Your Alternatives Aren’t Repackaged Beta
Intuition
Diversification depends on the correlations of the underlying assets
Implementation
Invest in alternative strategies that are independent of other risks in the portfolio
Impact
True alternatives are uncorrelated to stocks and can enhance risk-adjusted returns

18. 3. Invest in Truly Alternative Strategies
Not All “Alternative” Strategies Give Uncorrelated Returns
Source: AQR, using returns from HFR and Dow Jones Credit Suisse. Correlations are to the MSCI World Index. Please see Appendix for additional disclosure relating to hypothetical results.

19. 3. Invest in Truly Alternative Strategies
Managed Futures Has Performed Well in Bull and Bear Equity Markets
2008 Q4
1999 Q4
1998 Q3
Hypothetical Simple Managed Futures Strategy Returns (Quarterly)
1987 Q4
2008 Q3
2009 Q2
Source: AQR models of hypothetical portfolios. These are not the returns of an actual portfolio and are for illustrative purposes only. Please see important disclosures in the Appendix relating to hypothetical performance and risks. This information is supplemental to the Global Investment Performance Standards (GIPS®) presentation compliant for this strategy in the Appendix. Data as of 12/31/11.

20. Adapt to Changing Risks in the Market
4. Manage Volatility
Adapt to Changing Risks in the Market
Intuition
Diversification matters across assets, but also through time
Implementation
Reduce exposure to risky assets when volatility is expected to be high
Impact
Returns diversified over time – as opposed to dominated by volatile periods

21. 4. Manage Volatility Diversify Over Time Sum: 15% 6% 21% 46% 5%
Passive 9% 4% 8%
24% 3%
Volatility-Targeted
Note: I had to manually put the shaded sections in to make the order of animations work 3% 6%
16%
Theoretically Equal
Source: AQR. The Volatility-Targeted Allocation seeks to target the trailing 10-year volatility of the S&P. The chart above shows annualized 6-month volatility of daily returns. These are not the returns of a portfolio or fund and are for illustrative purposes only. Please read important disclosures at the end of this presentation. Diversification does not eliminate the risk of experiencing investment losses.

22. Diversifying Over Time Does Not Mean Buy High/Sell Low
4. Manage Volatility
Diversifying Over Time Does Not Mean Buy High/Sell Low
$3,933
$2,799
Source: AQR. The Volatility-Targeted Allocation seeks to target the trailing 10-year volatility of the S&P, using the same methodology from the previous page. These are not the returns of a portfolio or fund and are for illustrative purposes only. Please read important disclosures at the end of this presentation.

23. 5. Have a Plan for a Crisis – Before the Crisis
Better to Choose When To Cut Risk Than To Have No Choice
Intuition
Investors without a plan may be forced into an imprudent exit strategy
Implementation
Need objective plan for de-risking, and importantly, when to put risk back on
Impact
A systematic plan may prevent bad decision-making at the worst times

24. Everybody Has a Breaking Point
5. Have a Plan for a Crisis – Before the Crisis
Everybody Has a Breaking Point
Economic
Solvency requirements
Liquidity constraints
Capital calls
Financial statement impact
Institutional
Governance and incentive structure
Reputational risk
Career risk
Headline risk
Emotional
Pain, doubt, frustration, desperation, anxiety, anger, fear…

25. Two Types of Risk Management in a Crisis
5. Have a Plan for a Crisis – Before the Crisis
Two Types of Risk Management in a Crisis
Onset of Crisis
Financial Panic
Stabilization
10% 8% 6% 4% 0% 2%
Risk Target
Static in Theory
Static in Practice
Planned Drawdown Control
Pre-Crisis
A drawdown control policy may not always be successful at controlling a fund’s risk or limiting portfolio losses. Source: AQR. For illustrative purposes only.

26. Possible Alternatives to Tail Risk Hedging
Each of the Alternatives Outlined May Help To Mitigate Drawdowns
Resulting Hypothetical Portfolio
Starting Point
Buy Puts to Insure Equities
Tech Bust: -23%
Financial Crisis: -20%
Add 50% in Risk Parity
Tech Bust: -2%
Financial Crisis: -13%
Global 60/40 Portfolio
Tech Bust: -22%
Financial Crisis: -29%
Add 20% in Managed Futures
Tech Bust: -10%
Financial Crisis: -22%
Combined Approach
Tech Bust: 13%
Financial Crisis: -5%
Add 30% in Defensive Equities
Tech Bust: -13%
Financial Crisis: -22%
The Global 60/40 portfolio is 60% MSCI World Index and 40% Barcap Global Agg. The “Add 50% Risk Parity” portfolio allocates 50% to a simplified risk parity strategy, and the rest to the Global 60/40 portfolio. The “Add 20% in Managed Futures” portfolio allocates 20% to a simplified, discounted managed futures strategy and the rest to the Global 60/40 portfolio. The “Add 30% in Defensive Equities” replaces half of the 60/40 portfolio’s equity allocation with a hypothetical global defensive equity backtest. The “combined approach” is 50% in the simplified risk parity strategy, 20% in the simplified, discounted managed futures strategy, and 30% in the hypothetical global defensive equity backtest. Source: AQR. For illustrative purposes only. These are not the returns of an actual portfolio and are for illustrative purposes only. Please see important disclosures in the Appendix relating to hypothetical performance and risks. This information is supplemental to the Global Investment Performance Standards (GIPS®) presentation compliant for this strategies in the Appendix.

27. Possible Alternatives to Tail Risk Hedging
Unlike Insurance, These Alternative Tail-Hedging Strategies May Also Improve Returns
$375
$240
$158
The 60/40 portfolio is 60% MSCI World Index and 40% Barcap Global Agg. The “Hedged 60/40” hedges out the equity exposure in the 60/40 portfolio using 7.5% out of the money S&P 500 puts, rebalanced quarterly. The “combined approach” is 50% in the simplified risk parity strategy, 20% in the simplified managed futures strategy, and 30% in the hypothetical global defensive equity backtest. Data is from January 1996 to December Source: AQR. For illustrative purposes only. These are not the returns of an actual portfolio and are for illustrative purposes only. Please see important disclosures in the Appendix relating to hypothetical performance and risks. This information is supplemental to the Global Investment Performance Standards (GIPS®) presentation compliant for this strategies in the Appendix.

28. Considerations for Addressing Tail Risk Fundamentally
Conclusion
Considerations for Addressing Tail Risk Fundamentally
Pros
Tail event in one asset class is no longer a tail event for portfolio
Not paying an insurance premium
May improve risk-adjusted returns
Cons
Not “direct insurance”
Different liquidity, transparency
Change of benchmark

29. Disclosures
The information set forth herein has been obtained or derived from sources believed by AQR Capital Management, LLC (“AQR”) to be reliable. However, AQR does not make any representation or warranty, express or implied, as to the information’s accuracy or completeness, nor does AQR recommend that the attached information serve as the basis of any investment decision or trading program. This document has been provided to you solely for information purposes and does not constitute an offer or solicitation of an offer, or any advice or recommendation, to purchase any securities or other financial instruments, and may not be construed as such. This document is intended exclusively for the use of the person to whom it has been delivered by AQR and it is not to be reproduced or redistributed to any other person. This document is subject to further review and revision. AQR hereby disclaims any duty to provide any updates or changes to the analyses contained in this presentation.
Past performance is not an indication of future performance.
Simple Managed Futures Strategy: This hypothetical strategy trades 60 highly liquid futures and currency forwards during the period from January 1985 to December To determine the direction of the trend in each asset, the strategy considers the excess return over cash of each asset for the prior 12 months. The portfolio takes a long position if the return was positive and a short position if the return was negative. The strategy always holds positions in each of 24 commodity futures, 9 equity index futures, 15 bond futures and 12 currency forwards. The size of each position is determined by volatility, with a target of 0.60% annualized volatility for each asset (this target volatility was selected to yield an average portfolio volatility of around 9-10%. The model estimates future volatility for each asset based on the most recent 60 days). This yields a portfolio that is equal risk weighted across the instruments to provide diversification and to limit the portfolio risk from any one asset. (See Ooi and Pedersen (2009) for further details on the strategy.) The portfolio is rebalanced at the end of each month.
Simplified Risk Parity Strategy is a simulated portfolio based on the MSCI World Index, the Barclays US Aggregate Government Index, and the S&P GSCI Index, representing exposures to equities, bonds, and commodities, respectively. This simulated portfolio targets an equal amount of volatility from each asset class every month.
The simulated portfolio performance included herein is based on publicly available index data for the indices disclosed and is not based on actual portfolios being traded. They are presented for illustrative purposes only. No representation is being made that any fund or account will or is likely to achieve profits or losses similar to those shown herein. In fact, there are frequently sharp differences between simulated performance results and the actual results subsequently realized by any particular trading program.
DISCLOSURES CONTINUED ON NEXT SLIDE

30. Disclosures
Gross performance results do not reflect the deduction of investment advisory fees, which would reduce an investor’s actual return. For example, assume that $1 million is invested in an account with the Firm, and this account achieves a 10% compounded annualized return, gross of fees, for five years. At the end of five years that account would grow to $1,610,510 before the deduction of management fees. Assuming management fees of 1.00% per year are deducted monthly from the account, the value of the account at the end of five years would be $1,532,886 and the annualized rate of return would be 8.92%. For a ten-year period, the ending dollar values before and after fees would be $2,593,742 and $2,349,739, respectively. AQR’s asset based fees may range up to 2.85% of assets under management, and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. Performance fees are generally equal to 20% of net realized and unrealized profits each year, after restoration of any losses carried forward from prior years. In addition, AQR funds incur expenses (including start-up, legal, accounting, audit, administrative and regulatory expenses) and may have redemption or withdrawal charges up to 2% based on gross redemption or withdrawal proceeds. Please refer to AQR ‘s ADV Part 2A, for more information on fees. Consultants supplied with gross results are to use this data in accordance with SEC, CFTC, NFA or the applicable jurisdiction’s guidelines.
Hypothetical performance results (e.g., quantitative backtests) have many inherent limitations, some of which, but not all, are described herein. No representation is being made that any fund or account will or is likely to achieve profits or losses similar to those shown herein. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently realized by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or adhere to a particular trading program in spite of trading losses are material points which can adversely affect actual trading results. The hypothetical performance results contained herein represent the application of the quantitative models as currently in effect on the date first written above and there can be no assurance that the models will remain the same in the future or that an application of the current models in the future will produce similar results because the relevant market and economic conditions that prevailed during the hypothetical performance period will not necessarily recur. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, all of which can adversely affect actual trading results. Discounting factors may be applied to reduce suspected anomalies. Hypothetical performance results are presented for illustrative purposes only.
There is a risk of substantial loss associated with trading commodities, futures, options, derivatives and other financial instruments. Before trading, investors should carefully consider their financial position and risk tolerance to determine if the proposed trading style is appropriate. Investors should realize that when trading futures, commodities, options, derivatives and other financial instruments one could lose the full balance of their account. It is also possible to lose more than the initial deposit when trading derivatives or using leverage. All funds committed to such a trading strategy should be purely risk capital.
Diversification does not eliminate the risk of experiencing investment losses.

31. Performance Disclosures
AQR Capital Management, LLC
Global Risk Premium - Low Volatility Composite
1/31/07 – 12/31/10
Year
Total Return
Gross of Fees %
Net of Fees %
Benchmark*Return %
Number of Portfolios
Dispersion %
Composite Assets End of Period ($ M)
Total Firm
Assets ($ M)
% of Firm Assets
2007
7.71
7.32
4.57 1
N/A
63.86
34,495.05
0.19
2008
-14.81
-15.16
2.06
91.23
19,207.22
0.47
2009
17.95
17.49
0.21
469.85
23,571.55
1.99
2010
24.71
24.22
0.13
1,093.84
32,701.24
3.34
* Merrill Lynch 3 Month Treasury Bill Index
AQR Capital Management, LLC (“AQR”) has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®).
This presentation cannot be used in a general solicitation or general advertising to offer or sell interest in its Funds. As such, this information cannot be included in any advertisement, article, notice or other communication published in any newspaper, magazine, or similar media or broadcast over television or radio; and cannot be used in any seminar or meeting whose attendees have been invited by any general solicitation or general advertising.
Notes:
Firm Information:
AQR is a Connecticut based investment advisor registered with the Securities and Exchange Commission under the Investment Advisors Act of AQR conducts trading and investment activities, specializing in global asset allocation and global stock selection involving a broad range of instruments, including, but not limited to, individual equity and debt securities, currencies, futures, commodities, fixed income products and other derivative securities.
For purposes of Firm wide compliance and Firm wide total assets, AQR defines the “Firm” as entities controlled by AQR that are registered as investment advisors with the Securities and Exchange Commission. The Firm is comprised of AQR and CNH Partners, LLC (“CNH”).
Upon request AQR will make available a complete list and description of all of Firm composites.
Past performance is not an indication of future performance.

32. Performance Disclosures
Fees: AQR’s asset based fees for portfolios within the composite may range up to .40% of assets under management, and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate, and are negotiable for some accounts in certain circumstances. In addition, AQR funds incur administrative fees and may have a redemption charge of 2% based on gross redemption proceeds may be charged upon early withdrawals.
Please refer to the Fund’s Private Offering Memoranda and AQR’s ADV Part II, Schedule F for more information on fees.
Composite Characteristics: The Global Risk Premium – Low Volatility composite (the “Composite”) was created in February The accounts included invest a potion of their assets in the AQR Global Risk Premium Master Account Ltd. (“Master Account”). The remainder is generally invested in interest bearing money market accounts or treasury bills. The composite benchmark is the Merrill Lynch 3 Month Treasury Bill Index.
Generally, accounts in the Composite do not engage in leverage or derivative transactions. However, the Master Account does engage in leverage and derivative transactions. The Master Account frequently engages in swap transactions and other derivative contracts. In general, a derivative contract typically involves leverage, i.e., it provides exposure to potential gain or loss from a change in the level of the market price of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract.
Consequently, an adverse change in the relevant price level can result in a loss of capital that is more exaggerated than would have resulted from an investment that did not involve the use of leverage inherent in the derivative contract. Many of the derivative contracts used by the Master Account are privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk since contract performance depends in part on the financial condition of the counter-party. These transactions are also expected to involve significant transaction costs. The risks inherent to the strategies employed by the Master Account are set forth in the applicable offering documents and other information provided to potential subscribers.
Calculation Methodology: Valuations and returns are computed and stated in U.S. dollars, and individual portfolios are revalued monthly. The firm uses the Modified Dietz formula to calculate monthly returns and links these returns geometrically to produce an accurate time-weighted rate of return. Composite returns are asset-weighted. Prior to January 1, 2010, gross of fees returns are calculated net of transaction costs and feeder specific expenses. Beginning January 1, 2010, gross of fees returns are calculated net of transaction costs. Returns are calculated net of all withholding taxes on foreign dividends. Accruals for fixed income and equity securities are included in calculations. Net of fees returns assume net of management fees of .40%. Dispersion is not considered meaningful for periods shorter than one year or for periods during which the composite contains five or fewer accounts for the full period.
Additional information regarding policies for calculating and reporting returns is available upon request.
Other Disclosures: AQR has received a firm-wide GIPS verification for the period August 1998 through 12/31/2010. A copy of the verification report is available upon request. For consistency purposes, AQR in October of 2009 historically revised its source for the Composite’s benchmark data. None of these changes have resulted in any material differences.

33. Performance Disclosures
AQR Capital Management, LLC
Managed Futures – High Vol. Composite
8/31/09 – 12/31/10
Year
Total Return
Gross of Fees %
Net of Fees %
Benchmark* Return %
Number of Portfolios
Composite Assets
End of Period ($ M)
Total Firm
Assets ($ M)
% of Firm Assets
% of Non-Fee Paying Accounts
2009
3.99
3.64
0.07 1
5.20
23,571.55
0.02
100.00
2010
11.57
10.10
0.13
22.82
32,701.24
* Merrill Lynch 3 Month Treasury Bill Index
AQR Capital Management, LLC (“AQR”) has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®).
This presentation cannot be used in a general solicitation or general advertising to offer or sell interest in its Funds. As such, this information cannot be included in any advertisement, article, notice or other communication published in any newspaper, magazine, or similar media or broadcast over television or radio; and cannot be used in any seminar or meeting whose attendees have been invited by any general solicitation or general advertising.
Notes:
Firm Information:
AQR is a Connecticut based investment advisor registered with the Securities and Exchange Commission under the Investment Advisors Act of AQR conducts trading and investment activities, specializing in global asset allocation and global stock selection involving a broad range of instruments, including, but not limited to, individual equity and debt securities, currencies, futures, commodities, fixed income products and other derivative securities.
For purposes of Firm wide compliance and Firm wide total assets, AQR defines the “Firm” as entities controlled by AQR that are registered as investment advisors with the Securities and Exchange Commission. The Firm is comprised of AQR and CNH Partners, LLC.
Upon request AQR will make available a complete list and description of all of Firm composites.
Past performance is not an indication of future performance.
Fees: AQR’s asset based fees for portfolios within the composite may range up to 2%*** of assets under management, and are generally billed monthly or quarterly at the commencement of the calendar month or quarter during which AQR will perform the services to which the fees relate. In addition, AQR funds incur administrative fees and may have a redemption charge of 2% based on gross redemption proceeds may be charged upon early withdrawals.
Please refer to the Fund’s Private Offering Memoranda and AQR’s ADV Part II, Schedule F for more information on fees.

34. Performance Disclosures
Composite Characteristics: The Delta Full Vol. Composite (the “Composite”) was created in October The accounts included invest all of their assets in the AQR Delta Master Account, L.P. (“Master Account”). The composite benchmark is the Merrill Lynch 3 Month Treasury Bill Index. Investments in the Composite vary substantially from those in the benchmark. The Composite is comprised solely of the Master Account.
The Master Account engages in leverage and derivative transactions. The Master Account frequently engages in swap transactions and other derivative contracts. In general, a derivative contract typically involves leverage, i.e., it provides exposure to potential gain or loss from a change in the level of the market price of a security, currency or commodity (or a basket or index) in a notional amount that exceeds the amount of cash or assets required to establish or maintain the derivative contract
Consequently, an adverse change in the relevant price level can result in a loss of capital that is more exaggerated than would have resulted from an investment that did not involve the use of leverage inherent in the derivative contract. Many of the derivative contracts used by the Master Account are privately negotiated in the over-the-counter market. These contracts also involve exposure to credit risk since contract performance depends in part on the financial condition of the counter-party. These transactions are also expected to involve significant transaction costs. The risks inherent to the strategies employed by the Master Account are set forth in the applicable offering documents and other information provided to potential subscribers.
Calculation Methodology: Valuations and returns are computed and stated in U.S. dollars, and individual portfolios are revalued monthly. Portfolios also are revalued intra-month when cash flows occur. The firm links returns geometrically to produce an accurate time-weighted rate of return. Composite returns are asset-weighted. Gross of fees returns are calculated gross of management, administrative, and custodial fees and net of transaction costs. Returns are calculated net of all withholding taxes on foreign dividends. Accruals for fixed income and equity securities are included in calculations. Net of fees returns are net of management fees of 2.00%. The dispersion measure is the equal-weighted standard deviation of accounts in the composite for the entire year. Dispersion is not considered meaningful for periods shorter than one year or for periods during which the composite contains five or fewer accounts for the full period.
Additional information regarding policies for calculating and reporting returns is available upon request.
Other Disclosures: AQR has received a firm-wide GIPS verification for the period August 1998 through 12/31/2010. A copy of the verification report is available upon request. For consistency purposes, AQR in October of 2009 historically revised its source for the Composite’s benchmark data. None of these changes have resulted in any material differences.
**The Composite was formerly known as the DELTA Full Vol. Composite. The name change took place on January 26, 2011.
In March of 2011 AQR historically revised the Composite’s management fee calculation from quarterly to monthly. This has not resulted in any material differences.

35. Performance Disclosures
AQR Capital Management, LLC
Global Defensive Equity Hedged Composite
2/28/11 – 6/30/11
Year
Total Return
Gross of Fees %
Net of Fees %
Number of Portfolios
Dispersion %
Composite Assets End of Period ($ M)
Total Firm
Assets ($ M)
% of Firm Assets
% of Non-Fee Paying Assets
6/30/11
-1.69 1
N/A
3.72
41,894.40
0.01
100.00
This presentation cannot be used in a general solicitation or general advertising to offer or sell interest in its Funds. As such, this information cannot be included in any advertisement, article, notice or other communication published in any newspaper, magazine, or similar media or broadcast over television or radio; and cannot be used in any seminar or meeting whose attendees have been invited by any general solicitation or general advertising.
Notes:
Firm Information:
AQR is a Connecticut based investment advisor registered with the Securities and Exchange Commission under the Investment Advisors Act of AQR conducts trading and investment activities, specializing in global asset allocation and global stock selection involving a broad range of instruments, including, but not limited to, individual equity and debt securities, currencies, futures, commodities, fixed income products and other derivative securities.
For purposes of Firm wide compliance and Firm wide total assets, AQR defines the “Firm” as entities controlled by AQR that are registered as investment advisors with the Securities and Exchange Commission. The Firm is comprised of AQR and CNH Partners, LLC.
Upon request AQR will make available a complete list and description of all of Firm composites, as well as additional information regarding policies for valuing portfolios, calculating performance, and preparing compliant presentations.
Past performance is not an indication of future performance.
Fees: Gross performance results do not reflect the deduction of investment advisory fees, which would reduce an investor’s actual return. For example, assume that $1 million is invested in an account with the Firm, and this account achieves a 10% compounded annualized return, gross of fees, for five years. At the end of five years that account would grow to $1,610,510 before the deduction of management fees. Assuming management fees of 1.00% per year are deducted monthly from the account, the value of the account at the end of five years would be $1,532,886 and the annualized rate of return would be 8.92%. For a ten-year period, the ending dollar values before and after fees would be $2,593,742 and $2,349,739, respectively. AQR’s advisory fees are described in Part II of its Form ADV. Consultants supplied with gross results are to use this data in accordance with SEC, CFTC and NFA guidelines. Net of fee performance results are calculated by deducting the maximum fee charged by AQR to a new portfolio in the composite from the gross monthly return. The standard management fee per annum for this composite is 0 %.

36. Performance Disclosures
Composite Characteristics: The Global Defensive Equity Hedged composite (the “Composite”) was created March, Accounts included seek to provide capital protection when global equity markets decline while capturing a significant portion of the upside in rising global equity markets. Currency exposures are hedged. The Composite strategy is benchmark-agnostic and therefore this composite has no benchmark.
AQR may engage in derivative transactions in order to meet the performance objectives of the accounts included. The use of these positions may have a material impact on performance results.
New accounts that fit the composite definition are added at the start of the first full calendar month after the assets come under management, or after it is deemed that the investment decisions made by the investment advisor fully reflect the intended investment strategy of the portfolio. Composites will exclude terminated portfolios after the last full calendar month performance measurement period that the assets were under management. The Composite will continue to include the performance results for all periods prior to termination.
Calculation Methodology: Valuations and returns are computed and stated in U.S. dollars. Portfolios are re-valued intra-month when a cash flow in excess of 100 basis points of the month-beginning NAV occurs. From 1/1/06 to 6/30/2006, AQR uses the Modified Dietz calculation methodology when calculating monthly returns for accounts that experience cash flows that are below 50 basis points of the month-beginning NAV.  After 7/1/2006 AQR uses the Modified Dietz calculation methodology when calculating monthly returns for accounts that experience cash flows that are below 100 basis points of the month-beginning NAV. The firm links returns geometrically to produce an accurate time-weighted rate of return. Composite returns are asset-weighted. Gross of fees returns are calculated gross of management and custodial fees and net of transaction costs. Net of fees returns are net of model management fees of 0%. Returns are calculated net of all withholding taxes on foreign dividends. Accruals for fixed income and equity securities are included in calculations. The dispersion measure is the equal-weighted standard deviation of accounts in the composite for the entire year. Dispersion is not considered meaningful for periods shorter than one year or for periods during which the composite contains five or fewer accounts for the full period.
Other Disclosures: AQR claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS standards. AQR has been independently verified for the periods August 1998 through March, The verification report(s) is/are available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.