-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Pre7F1AFQHZPPnvzi4JT0X987KveFas9ks2tUGUYJnUgCHXjHQmHojBQuZUnm159 3ZjlgYKhkLmPYDA+lJxrrA== 0001085146-04-000127.txt : 20040217 0001085146-04-000127.hdr.sgml : 20040216 20040217111313 ACCESSION NUMBER: 0001085146-04-000127 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040217 EFFECTIVENESS DATE: 20040217 FILER: COMPANY DATA: COMPANY CONFORMED NAME: AQR CAPITAL MANAGEMENT LLC CENTRAL INDEX KEY: 0001167557 IRS NUMBER: 133987414 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-10120 FILM NUMBER: 04604998 BUSINESS ADDRESS: STREET 1: 10 ROCKEFELLER PLAZA STREET 2: SUITE 624 CITY: NEW YORK STATE: NY ZIP: 10020 BUSINESS PHONE: 2122184400 MAIL ADDRESS: STREET 1: 10 ROCKEFELLER PLAZA STREET 2: SUITE 624 CITY: NEW YORK STATE: NY ZIP: 10020 13F-HR/A 1 aqra4q03.txt AQR CAPITAL MGMT UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 Form 13F Form 13F COVER PAGE Report for the Calendar Year or Quarter Ended: December 31, 2003 Check here if Amendment [ X]; Amendment Number: 1 This Amendment (Check only one.): [ X] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: AQR Capital Management, LLC Address: 900 Third Avenue, 17th Floor New York, NY 10022 13F File Number: 28-10120 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Clifford S. Asness Title: Managing Member Phone: 212-940-3600 Signature, Place, and Date of Signing: /s/ Clifford S. Asness New York, NY February 17, 2004 Report Type (Check only one.): [ X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Included Managers: 1 Form13F Information Table Entry Total: 725 Form13F Information Table Value Total: $1,544,886 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional managers with respect to which this report is filed, other than the manager filing this report. No. 13F File Number Name 01 28-10114 CNH Partners, LLC FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT OTHER VOTING AUTHORITY NAME OF ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN MANAGERS SOLE SHARED NONE - ------------------------------ ---------------- --------- -------- -------- --- ---- ------- ------------ -------- -------- -------- 3M CO COM 88579Y101 468 5500 SH SOLE 5500 0 0 ABERCROMBIE & FITCH CO CL A 002896207 245 9900 SH SOLE 9900 0 0 ABGENIX INC COM 00339B107 2226 180256 SH SOLE 180256 0 0 ABINGTON BANCORP INC NEW COM 00350P100 3214 83290 SH SOLE 01 83290 0 0 ACTION PERFORMANCE COS INC COM 004933107 419 21400 SH SOLE 21400 0 0 ACXIOM CORP COM 005125109 932 50000 SH SOLE 50000 0 0 ACXIOM CORP NOTE 3.750% 2/1 005125AB5 3512 3000000 PRN SOLE 01 0 0 0 ADOBE SYS INC COM 00724F101 567 14500 SH SOLE 14500 0 0 ADTRAN INC COM 00738A106 358 11500 SH SOLE 11500 0 0 ADVANCED AUTO PARTS INC COM 00751Y106 3378 41500 SH SOLE 41500 0 0 ADVANCED ENERGY INDS NOTE 5.000% 9/0 007973AC4 2250 2000000 PRN SOLE 01 0 0 0 ADVANCED FIBRE COMMUNICATION COM 00754A105 1309 64990 SH SOLE 64990 0 0 ADVANCED MICRO DEVICES INC NOTE 4.500%12/0 007903AF4 4416 2000000 PRN SOLE 01 0 0 0 ADVANCED MICRO DEVICES INC COM 007903107 267 17900 SH SOLE 17900 0 0 ADVANCEPCS COM 00790K109 8465 160352 SH SOLE 01 160352 0 0 AEROPOSTALE COM 007865108 1961 71500 SH SOLE 71500 0 0 AES CORP COM 00130H105 5201 551000 SH SOLE 551000 0 0 AETNA INC NEW COM 00817Y108 3662 54200 SH SOLE 54200 0 0 AFFILIATED COMPUTER SERVICES NOTE 3.500% 2/1 008190AF7 1264 1000000 PRN SOLE 01 0 0 0 AFLAC INC COM 001055102 431 11900 SH SOLE 11900 0 0 AGCO CORP COM 001084102 741 36800 SH SOLE 36800 0 0 AGERE SYS INC NOTE 6.500%12/1 00845VAA8 2746 2000000 PRN SOLE 01 0 0 0 AGILENT TECHNOLOGIES INC DBCV 3.000%12/0 00846UAB7 1098 1000000 PRN SOLE 01 0 0 0 AIRTRAN HLDGS INC COM 00949P108 1220 102500 SH SOLE 102500 0 0 AIRTRAN HLDGS INC NOTE 7.000% 7/0 00949PAB4 3096 2000000 PRN SOLE 01 0 0 0 AK STL HLDG CORP COM 001547108 243 47700 SH SOLE 47700 0 0 ALASKA AIR GROUP INC COM 011659109 2729 99989 SH SOLE 99989 0 0 ALCOA INC COM 013817101 293 7700 SH SOLE 7700 0 0 ALKERMES INC NOTE 2.500% 9/0 01642TAE8 2354 2000000 PRN SOLE 01 0 0 0 ALLEGHENY ENERGY INC COM 017361106 3725 291900 SH SOLE 291900 0 0 ALLEGIANT BANCORP INC COM 017476102 3592 128069 SH SOLE 01 128069 0 0 ALLERGAN INC COM 018490102 223 2900 SH SOLE 2900 0 0 ALLIANCE GAMING CORP COM NEW 01859P609 683 27700 SH SOLE 27700 0 0 ALLMERICA FINL CORP COM 019754100 1711 55600 SH SOLE 55600 0 0 ALPHARMA INC CL A 020813101 3091 153800 SH SOLE 153800 0 0 ALTIRIS INC COM 02148M100 230 6300 SH SOLE 6300 0 0 AMBAC FINL GROUP INC COM 023139108 1741 25100 SH SOLE 25100 0 0 AMDOCS LTD NOTE 2.000% 6/0 02342TAB5 1000 1000000 PRN SOLE 01 0 0 0 AMERADA HESS CORP COM 023551104 3760 70700 SH SOLE 70700 0 0 AMEREN CORP COM 023608102 373 8100 SH SOLE 8100 0 0 AMERICA MOVIL S A DE C V SPON ADR L SHS 02364W105 2928 107100 SH SOLE 107100 0 0 AMERICA ONLINE INC DEL NOTE 12/0 02364JAC8 628 1000000 PRN SOLE 01 0 0 0 AMERICAN AXLE & MFG HLDGS IN COM 024061103 6811 168500 SH SOLE 168500 0 0 AMERICAN CAPITAL STRATEGIES COM 024937104 1154 38800 SH SOLE 38800 0 0 AMERICAN GREETINGS CORP CL A 026375105 4218 192900 SH SOLE 192900 0 0 AMERICAN GREETINGS CORP NOTE 7.000% 7/1 026375AJ4 3514 2000000 PRN SOLE 01 0 0 0 AMERICAN INTL GROUP INC DBCV 11/0 026874AP2 661 1000000 PRN SOLE 01 0 0 0 AMERICAN PHARMACEUTICALS PTN COM 02886P109 2953 87900 SH SOLE 87900 0 0 AMERICAN STD COS INC DEL COM 029712106 3283 32600 SH SOLE 32600 0 0 AMERICAN TOWER CORP CL A 029912201 199 18400 SH SOLE 18400 0 0 AMERICREDIT CORP COM 03060R101 1963 123200 SH SOLE 123200 0 0 AMERIGROUP CORP COM 03073T102 1570 36800 SH SOLE 36800 0 0 AMERISOURCE HEALTH CORP NOTE 5.000%12/0 03071PAD4 4817 4000000 PRN SOLE 01 0 0 0 AMERISOURCEBERGEN CORP COM 03073E105 1969 35062 SH SOLE 35062 0 0 AMERISTAR CASINOS INC COM 03070Q101 252 10300 SH SOLE 10300 0 0 AMETEK INC NEW COM 031100100 1110 23000 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ARKANSAS BEST CORP DEL COM 040790107 293 9300 SH SOLE 9300 0 0 ARRIS GROUP INC COM 04269Q100 225 31100 SH SOLE 31100 0 0 ARROW ELECTRS INC DBCV 2/2 042735AY6 525 1000000 PRN SOLE 01 0 0 0 ARTESYN TECHNOLOGIES INC NOTE 5.500% 8/1 043127AB5 3410 2500000 PRN SOLE 01 0 0 0 ARVINMERITOR INC COM 043353101 1293 53600 SH SOLE 53600 0 0 ASCENTIAL SOFTWARE CORP COM NEW 04362P207 1091 42035 SH SOLE 42035 0 0 ASHANTI GOLDFIELDS LTD GLOB DEP RCPT 043743202 5859 449300 SH SOLE 01 449300 0 0 ASHLAND INC COM 044204105 2401 54500 SH SOLE 54500 0 0 ASYST TECHNOLOGY CORP NOTE 5.750% 7/0 04648XAB3 1294 1000000 PRN SOLE 01 0 0 0 ATLANTIC COAST AIRLINES HLDG COM 048396105 1675 170085 SH SOLE 01 170085 0 0 ATMEL CORP COM 049513104 2180 362800 SH SOLE 362800 0 0 ATMI INC NOTE 5.250%11/1 00207RAC5 5969 4700000 PRN SOLE 01 0 0 0 AUTONATION INC COM 05329W102 5985 325800 SH SOLE 325800 0 0 AUTOZONE INC COM 053332102 605 7100 SH SOLE 7100 0 0 AVAYA INC COM 053499109 1592 123000 SH SOLE 123000 0 0 AVAYA INC NOTE 10/3 053499AA7 595 1000000 PRN SOLE 01 0 0 0 AVERY DENNISON CORP COM 053611109 644 11500 SH SOLE 11500 0 0 AVON PRODS INC COM 054303102 466 6900 SH SOLE 6900 0 0 AXCAN PHARMA INC NOTE 4.250% 4/1 054923AB3 2629 2000000 PRN SOLE 01 0 0 0 AZTAR CORP COM 054802103 4224 187700 SH SOLE 187700 0 0 BALL CORP COM 058498106 256 4300 SH SOLE 4300 0 0 BANK HAWAII CORP COM 062540109 2296 54400 SH SOLE 54400 0 0 BANK OF BERMUDA LTD SHS G07644100 2783 61896 SH SOLE 01 61896 0 0 BARD C R INC COM 067383109 674 8300 SH SOLE 8300 0 0 BARNES & NOBLE INC NOTE 5.250% 3/1 067774AD1 637 584000 PRN SOLE 01 0 0 0 BARR LABS INC COM 068306109 531 6900 SH SOLE 6900 0 0 BAUSCH & LOMB INC COM 071707103 291 5600 SH SOLE 5600 0 0 BB&T CORP COM 054937107 460 11900 SH SOLE 11900 0 0 BEAR STEARNS COS INC COM 073902108 8509 106430 SH SOLE 106430 0 0 BEAZER HOMES USA INC COM 07556Q105 869 8900 SH SOLE 8900 0 0 BELO CORP COM SER A 080555105 615 21700 SH SOLE 21700 0 0 BENCHMARK ELECTRS INC COM 08160H101 6271 180150 SH SOLE 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5400 0 0 COMMUNITY HEALTH SYS INC NEW COM 203668108 223 8400 SH SOLE 8400 0 0 COMPASS BANCSHARES INC COM 20449H109 232 5900 SH SOLE 5900 0 0 COMPUTER ASSOC INTL INC NOTE 1.625%12/1 204912AQ2 1534 1000000 PRN SOLE 01 0 0 0 COMPUTER ASSOC INTL INC NOTE 5.000% 3/1 204912AR0 1294 1000000 PRN SOLE 01 0 0 0 COMPUWARE CORP COM 205638109 156 25800 SH SOLE 25800 0 0 COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 521 29600 SH SOLE 29600 0 0 CONCERTO SOFTWARE INC COM 20602T106 2018 168422 SH SOLE 01 168422 0 0 CONCORD EFS INC COM 206197105 7473 503600 SH SOLE 01 503600 0 0 CONEXANT SYSTEMS INC COM 207142100 2209 444400 SH SOLE 444400 0 0 CONNECTICUT BANCSHARES INC COM 207540105 3450 66932 SH SOLE 01 66932 0 0 CONOCOPHILLIPS COM 20825C104 2118 32300 SH SOLE 32300 0 0 CONSTELLATION BRANDS INC CL A 21036P108 1146 34800 SH SOLE 34800 0 0 CONTINENTAL AIRLS INC CL B 210795308 4852 298212 SH SOLE 298212 0 0 COOPER CAMERON CORP COM 216640102 326 7000 SH SOLE 7000 0 0 COOPER INDS LTD CL A G24182100 3568 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EDUCATIONAL SERVICES INC COM 45068B109 1724 36700 SH SOLE 36700 0 0 J P MORGAN CHASE & CO COM 46625H100 7493 204000 SH SOLE 204000 0 0 JARDEN CORP COM 471109108 1382 50550 SH SOLE 50550 0 0 JEFFERIES GROUP INC NEW COM 472319102 271 8200 SH SOLE 8200 0 0 JOHNSON CTLS INC COM 478366107 221 1900 SH SOLE 1900 0 0 JONES APPAREL GROUP INC / NOTE 2/0 480081AD0 555 1000000 PRN SOLE 01 0 0 0 KELLWOOD CO COM 488044108 1845 45000 SH SOLE 45000 0 0 KENNAMETAL INC COM 489170100 966 24300 SH SOLE 24300 0 0 KERR MCGEE CORP COM 492386107 1069 23000 SH SOLE 23000 0 0 KERR MCGEE CORP SDCV 5.250% 2/1 492386AP2 2868 2710000 PRN SOLE 01 0 0 0 KEYCORP NEW COM 493267108 3228 110100 SH SOLE 110100 0 0 KINDRED HEALTHCARE INC COM 494580103 1356 26100 SH SOLE 26100 0 0 KLAMATH FIRST BANCORP INC COM 49842P103 1848 70237 SH SOLE 01 70237 0 0 KNIGHT TRADING GROUP INC COM 499063105 2207 150500 SH SOLE 150500 0 0 KOS PHARMACEUTICALS INC COM 500648100 1830 42541 SH SOLE 42541 0 0 KRAFT FOODS INC CL A 50075N104 432 13400 SH SOLE 13400 0 0 KRISPY KREME DOUGHNUTS INC COM 501014104 399 10900 SH SOLE 10900 0 0 KRONOS INC COM 501052104 356 9000 SH SOLE 9000 0 0 L-3 COMMUNICATIONS HLDGS INC NOTE 5.250% 6/0 502424AB0 1260 1000000 PRN SOLE 01 0 0 0 LABORATORY CORP AMER HLDGS NOTE 9/1 50540RAC6 716 1000000 PRN SOLE 01 0 0 0 LAM RESEARCH CORP COM 512807108 2968 91900 SH SOLE 91900 0 0 LAMAR ADVERTISING CO NOTE 2.875%12/3 512815AG6 769 750000 PRN SOLE 01 0 0 0 LANDAMERICA FINL GROUP INC COM 514936103 3366 64400 SH SOLE 64400 0 0 LANDSTAR SYS INC COM 515098101 754 19800 SH SOLE 19800 0 0 LATITUDE COMMUNICATIONS INC COM 518292107 2344 596200 SH SOLE 01 596200 0 0 LEAR CORP NOTE 2/2 521865AG0 525 1000000 PRN SOLE 01 0 0 0 LEAR CORP COM 521865105 1840 30000 SH SOLE 30000 0 0 LEGG MASON INC COM 524901105 2153 27900 SH SOLE 27900 0 0 LEGG MASON INC NOTE 6/0 524901AG0 634 1000000 PRN SOLE 01 0 0 0 LEHMAN BROS HLDGS INC COM 524908100 703 9100 SH SOLE 9100 0 0 LENNAR CORP CL A 526057104 3936 41000 SH SOLE 41000 0 0 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97600 SH SOLE 97600 0 0 MATTEL INC COM 577081102 380 19700 SH SOLE 19700 0 0 MAXTOR CORP COM NEW 577729205 2005 180600 SH SOLE 180600 0 0 MBIA INC COM 55262C100 349 5900 SH SOLE 5900 0 0 MBNA CORP COM 55262L100 604 24300 SH SOLE 24300 0 0 MCDONALDS CORP COM 580135101 735 29600 SH SOLE 29600 0 0 MCKESSON CORP COM 58155Q103 1447 45000 SH SOLE 45000 0 0 MEDIACOM COMMUNICATIONS CORP CL A 58446K105 219 25300 SH SOLE 25300 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 1.500% 6/0 584690AB7 1367 1230000 PRN SOLE 01 0 0 0 MEDICIS PHARMACEUTICAL CORP NOTE 2.500% 6/0 58470KAA2 4090 3000000 PRN SOLE 01 0 0 0 MEDIMMUNE INC COM 584699102 371 14600 SH SOLE 14600 0 0 MEDTRONIC INC DBCV 1.250% 9/1 585055AB2 1026 1000000 PRN SOLE 01 0 0 0 MENS WEARHOUSE INC COM 587118100 1653 66100 SH SOLE 66100 0 0 MERCURY INTERACTIVE CORP NOTE 4.750% 7/0 589405AB5 1009 1000000 PRN SOLE 01 0 0 0 MEREDITH CORP COM 589433101 317 6500 SH SOLE 6500 0 0 MERITAGE CORP COM 59001A102 219 3300 SH SOLE 3300 0 0 MERRILL LYNCH & CO INC COM 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QUESTAR CORP COM 748356102 475 13500 SH SOLE 13500 0 0 QUIKSILVER INC COM 74838C106 982 55400 SH SOLE 55400 0 0 RADIAN GROUP INC COM 750236101 629 12900 SH SOLE 12900 0 0 RAINBOW TECHNOLOGIES INC COM 750862104 3393 301350 SH SOLE 01 301350 0 0 RALCORP HLDGS INC NEW COM 751028101 245 7800 SH SOLE 7800 0 0 RAMBUS INC DEL COM 750917106 503 16400 SH SOLE 16400 0 0 REEBOK INTL LTD COM 758110100 841 21400 SH SOLE 21400 0 0 RELIANT RES INC COM 75952B105 4545 617500 SH SOLE 617500 0 0 RENT A CTR INC NEW COM 76009N100 4648 154900 SH SOLE 154900 0 0 REPUBLIC BANCSHARES INC COM 759929102 2602 82687 SH SOLE 01 82687 0 0 REPUBLIC SVCS INC COM 760759100 1094 42700 SH SOLE 42700 0 0 RESOURCES BANKSHARES CORP COM 76121R104 3657 115983 SH SOLE 01 115983 0 0 RF MICRODEVICES INC NOTE 1.500% 7/0 749941AE0 3029 2000000 PRN SOLE 01 0 0 0 RIGHT MGMT CONSULTANTS INC COM 766573109 2775 148700 SH SOLE 01 148700 0 0 RITE AID CORP COM 767754104 2935 486000 SH SOLE 486000 0 0 RITE AID CORP NOTE 4.750%12/0 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UNITED STATIONERS INC COM 913004107 953 23300 SH SOLE 23300 0 0 UNITED TECHNOLOGIES CORP COM 913017109 4407 46500 SH SOLE 46500 0 0 UNITEDHEALTH GROUP INC COM 91324P102 2676 46000 SH SOLE 46000 0 0 UNIVERSAL CORP VA COM 913456109 2027 45900 SH SOLE 45900 0 0 UNOVA INC COM 91529B106 3091 134700 SH SOLE 134700 0 0 USF CORP COM 91729Q101 232 6800 SH SOLE 6800 0 0 UTSTARCOM INC NOTE 0.875% 3/0 918076AB6 5119 3000000 PRN SOLE 01 0 0 0 VALERO ENERGY CORP NEW COM 91913Y100 4033 87024 SH SOLE 87024 0 0 VARCO INTL INC DEL COM 922122106 1673 81100 SH SOLE 81100 0 0 VARIAN MED SYS INC COM 92220P105 269 3900 SH SOLE 3900 0 0 VENATOR GROUP INC NOTE 5.500% 6/0 922944AB9 3031 2000000 PRN SOLE 01 0 0 0 VERITAS DGC INC COM 92343P107 287 27400 SH SOLE 27400 0 0 VERITAS SOFTWARE CO COM 923436109 437 11800 SH SOLE 11800 0 0 VERIZON GLOBAL FDG CORP NOTE 5/1 92344GAN6 604 1000000 PRN SOLE 01 0 0 0 VINTAGE PETE INC COM 927460105 403 33500 SH SOLE 33500 0 0 VISHAY INTERTECHNOLOGY INC COM 928298108 1060 46300 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