UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-22235

AQR Funds

(Exact name of registrant as specified in charter)

Two Greenwich Plaza, 3^rd Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

Two Greenwich Plaza

3rd Floor

Greenwich, CT 06830

(Name and Address of Agent for Service)

Registrant’s telephone number, including area code: 203-742-3600

Date of fiscal year end: December 31

Date of reporting period: January 1, 2011 to June 30, 2011

Item 1. Reports to Shareholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)

Semi-Annual Report

June 30, 2011 (Unaudited)

Table of Contents

Schedule of Investments
AQR Global Equity Fund	1
AQR International Equity Fund	11
AQR Diversified Arbitrage Fund	18
AQR Managed Futures Strategy Fund	38
AQR Risk Parity Fund	45
AQR Momentum Fund	53
AQR Small Cap Momentum Fund	58
AQR International Momentum Fund	66
Financial Statements and Notes	72
Fund Expense Examples	110
Board Approval of Advisory Agreements	112

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

COMMON STOCKS - 89.4%	SHARES		VALUE (Note 3)
Australia - 3.6%
Adelaide Brighton Ltd.		25,384	$	84,400
Alumina Ltd.		37,995		87,019
Ansell Ltd.		29,297		445,468
ASX Ltd.		2,722		89,182
Australia & New Zealand Banking Group Ltd.		41,825		991,454
Bendigo and Adelaide Bank Ltd.		15,175		144,709
BHP Billiton Ltd.		53,629		2,534,555
Brambles Ltd.		23,478		182,545
Caltex Australia Ltd.		43,016		545,803
CFS Retail Property Trust REIT		36,456		71,064
Challenger Ltd.		37,894		199,631
Commonwealth Bank of Australia (a)		13,612		766,631
Computershare Ltd.		7,001		66,873
CSL Ltd.		9,106		323,682
CSR Ltd. (a)		78,718		245,910
Dexus Property Group REIT		74,910		70,970
Downer EDI Ltd.		35,685		142,593
DUET Group		28,174		51,459
Echo Entertainment Group Ltd. †		74,299		327,523
Fairfax Media Ltd. (a)		76,457		80,711
Flight Centre Ltd.		6,721		156,586
Fortescue Metals Group Ltd. (a)		19,404		133,140
Foster’s Group Ltd. (a)		112,699		623,776
Goodman Group REIT		93,620		70,974
GPT Group - In Specie REIT (3)†(b)		96,388		—
GPT Group REIT		29,672		100,863
Iluka Resources Ltd.		17,839		322,693
Leighton Holdings Ltd.		1,068		24,092
Lend Lease Group		8,523		82,310
Mirvac Group REIT		51,825		69,704
Mount Gibson Iron Ltd. †		73,752		146,653
National Australia Bank Ltd.		48,458		1,339,739
Newcrest Mining Ltd.		12,358		500,743
Origin Energy Ltd.		15,399		261,825
OZ Minerals Ltd.		5,222		74,309
Pacific Brands Ltd.		205,054		153,581
Paladin Energy Ltd. †(a)		10,415		28,390
QR National Ltd. †		27,325		99,441
Rio Tinto Ltd.		8,905		797,075
Santos Ltd.		17,987		262,261
Sonic Healthcare Ltd. (a)		19,915		275,594
SP AusNet		57,136		57,952
Spark Infrastructure Group 144A		46,093		64,032
Stockland REIT		43,746		160,459
Suncorp Group Ltd.		19,472		170,202
TABCORP Holdings Ltd.		74,299		262,838
Tatts Group Ltd.		92,105		237,802
Telstra Corp. Ltd.		69,795		216,880
Wesfarmers Ltd. (a)		19,691		674,847
Wesfarmers Ltd.		2,403		83,331
Westfield Group REIT		35,184		327,934
Westfield Retail Trust REIT		46,500		135,545
Westpac Banking Corp.		28,131		674,913
Woodside Petroleum Ltd.		9,158		404,024
Woolworths Ltd.		1,447		43,174
				16,489,864

	SHARES		VALUE (Note 3)
Belgium - 0.1%
Solvay SA		3,391	$	523,556
Bermuda - 0.1%
Everest Re Group Ltd. (1)		3,335		272,636
Canada - 4.8%
AGF Management Ltd., Class B (1)		5,818		112,867
Agrium, Inc. (1)		3,500		307,341
AltaGas Ltd. (1)		7,700		205,583
ARC Resources Ltd. (1)		4,700		121,880
Atco Ltd., Class I (1)		3,349		216,924
Bank of Montreal (1)		3,080		195,923
Bank of Nova Scotia (1)(a)		15,799		951,757
Barrick Gold Corp. (1)		17,105		776,637
BCE, Inc. (1)		26,209		1,027,761
Bombardier, Inc., Class B (1)		69,591		501,485
Bonavista Energy Corp. (1)		1,300		38,510
Brookfield Asset Management, Inc., Class A (1)		8,102		269,577
Canadian Imperial Bank of Commerce (1)		10,500		829,048
Canadian National Railway Co. (1)		5,900		471,902
Canadian Natural Resources Ltd. (1)		3,804		159,465
Canadian Oil Sands Ltd. (1)		7,934		228,942
Canadian Tire Corp. Ltd., Class A (1)		4,500		294,417
Celestica, Inc. (1)†		29,611		259,436
Cenovus Energy, Inc. (1)		15,500		584,997
CGI Group, Inc., Class A (1)†		12,700		313,533
Enerplus Corp. (1)		2,951		93,170
Ensign Energy Services, Inc. (1)		9,600		190,318
Finning International, Inc. (1)(a)		30,400		901,488
Goldcorp, Inc. (1)		4,988		241,267
Great-West Lifeco, Inc. (1)		3,145		83,088
Groupe Aeroplan, Inc. (1)		9,200		127,061
HudBay Minerals, Inc. (1)		19,900		297,123
Imperial Oil Ltd. (1)(a)		17,500		815,076
Inmet Mining Corp. (1)		4,280		307,981
Intact Financial Corp. (1)		2,700		155,094
Ivanhoe Mines Ltd. (1)†		4,885		123,436
Laurentian Bank of Canada (1)		6,337		292,785
MacDonald Dettwiler & Associates Ltd. (1)		1,800		101,977
Magna International, Inc. (1)		17,734		958,918
Manulife Financial Corp. (1)(a)		27,100		479,929
Methanex Corp. (1)		3,600		113,026
National Bank of Canada (1)		4,414		357,990
Nexen, Inc. (1)		16,100		362,916
Niko Resources Ltd. (1)		700		43,701
Onex Corp. (1)		3,100		120,117
Pacific Rubiales Energy Corp. (1)		4,000		107,211
Penn West Petroleum Ltd. (1)		7,500		173,182
Petrobank Energy & Resources Ltd. (1)†		1,600		23,491
Potash Corp of Saskatchewan, Inc. (1)		13,300		759,567
Power Corp. of Canada (1)		4,746		132,324
Precision Drilling Corp. (1)†		29,800		427,943
Research In Motion Ltd. (1)†		8,440		243,981
RioCan Real Estate Investment Trust REIT (1)		4,900		131,791
Rogers Communications, Inc., Class B (1)		7,700		304,902
Royal Bank of Canada (1)		8,524		487,250

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 1

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Canada - 4.8% (continued)
Russel Metals, Inc. (1)		21,400	$	545,401
Sherritt International Corp. (1)		73,700		469,198
Silver Wheaton Corp. (1)		5,300		174,917
Sun Life Financial, Inc. (1)		6,700		201,809
Suncor Energy, Inc. (1)		33,782		1,324,029
Talisman Energy, Inc. (1)		36,866		757,235
Teck Resources Ltd., Class B (1)		10,593		538,409
TELUS Corp., Class A (1)		2,307		121,563
TMX Group, Inc. (1)		1,200		54,497
Toronto-Dominion Bank/The (1)		4,912		416,510
Valeant Pharmaceuticals International, Inc. (1)		4,574		237,841
Vermilion Energy, Inc. (1)		3,600		190,368
Yamana Gold, Inc. (1)		9,000		105,075
Yellow Media, Inc. (1)(a)		8,100		20,157
				21,983,097
Cayman Islands - 0.0% (c)
Wynn Macau Ltd.		25,600		83,834
China - 0.0% (c)
Foxconn International Holdings Ltd. †(a)		32,101		14,163
Yangzijiang Shipbuilding Holdings Ltd.		24,404		29,116
				43,279
Denmark - 0.8%
Carlsberg A/S, Class B		7,285		793,212
Danske Bank A/S †		26,715		494,438
DSV A/S		6,431		154,374
Novo Nordisk A/S, Class B		17,631		2,208,800
				3,650,824
Finland - 0.7%
Kesko OYJ B Shares		7,485		348,108
Metso OYJ		12,153		690,878
Nokian Renkaat OYJ		9,764		490,285
Stora Enso OYJ R Shares		14,929		156,776
UPM-Kymmene OYJ		47,002		859,956
Wartsila OYJ		17,030		575,870
				3,121,873
France - 4.2%
Arkema SA		16,301		1,676,588
BNP Paribas SA		33,608		2,591,479
Bouygues SA		10,067		442,688
Christian Dior SA		5,026		789,806
Cie Generale de Geophysique-Veritas †		16,199		593,681
Compagnie de Saint-Gobain (a)		21,523		1,395,079
Klepierre REIT		1,740		71,842
Legrand SA		20,362		857,087
L’Oreal SA		5,685		737,766
LVMH Moet Hennessy Louis Vuitton SA		3,924		705,132
Metropole Television SA		1,365		31,598
Peugeot SA		2,423		108,699
Safran SA		413		17,623
Sanofi		6,600		530,908
Schneider Electric SA		2,936		490,229
Societe BIC SA		7,938		766,840
Societe Generale SA		23,229		1,375,762

	SHARES		VALUE (Note 3)
France - 4.2% (continued)
Societe Television Francaise 1		712	$	12,988
Total SA		52,926		3,059,837
Unibail-Rodamco SE REIT		1,690		390,476
Valeo SA (a)		22,153		1,515,434
Vivendi SA		35,582		991,776
Zodiac Aerospace		4,372		380,662
				19,533,980
Germany - 3.9%
Adidas AG		7,561		599,449
Allianz SE		5,237		730,283
Aurubis AG		3,565		232,006
BASF SE		21,192		2,077,270
Bayer AG		26,363		2,117,386
Bilfinger Berger SE		5,899		584,215
Daimler AG		12,534		945,208
Deutsche Boerse AG		2,471		187,622
Deutsche Lufthansa AG		38,000		827,684
Deutsche Telekom AG		44,861		700,018
GEA Group AG		6,656		238,369
Hannover Rueckversicherung AG		8,411		437,422
Infineon Technologies AG		69,455		780,421
K+S AG		14,540		1,116,502
Kloeckner & Co. SE		25,073		755,330
MAN SE (a)		1,730		232,688
Merck KGaA		3,860		419,695
Siemens AG		19,471		2,675,722
Software AG		15,667		939,326
Suedzucker AG		21,344		759,997
Tognum AG †		7,338		274,330
Vossloh AG		3,151		442,281
				18,073,224
Guernsey - 0.0% (c)
Resolution Ltd.		24,269		114,407
Hong Kong - 1.1%
AIA Group Ltd. †		125,600		437,217
ASM Pacific Technology Ltd.		2,982		41,002
BOC Hong Kong Holdings Ltd.		98,500		286,927
Cathay Pacific Airways Ltd.		107,000		248,910
Cheung Kong Holdings Ltd.		20,201		296,652
Cheung Kong Infrastructure Holdings Ltd.		5,749		29,910
Chinese Estates Holdings Ltd.		39,000		66,800
CLP Holdings Ltd.		28,511		252,923
Esprit Holdings Ltd.		37,900		118,419
Hang Lung Group Ltd.		11,791		74,869
Hang Seng Bank Ltd. (a)		57		912
Hong Kong Exchanges and Clearing Ltd.		16,169		340,469
Hopewell Holdings Ltd.		42,695		135,440
Hutchison Whampoa Ltd.		50,489		547,046
Hysan Development Co. Ltd.		823		4,083
Li & Fung Ltd. (a)		5,468		10,929
Lifestyle International Holdings Ltd.		9,000		26,330
Link REIT/The REIT		34,329		117,267
Mongolia Energy Corp. Ltd. †		48,885		5,743
New World Development Ltd.		40,173		60,991
NWS Holdings Ltd.		19,500		26,141
PCCW Ltd.		65,406		28,224

The accompanying notes are an integral part of these financial statements. (Continued)

2 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Hong Kong - 1.1% (continued)
Power Assets Holdings Ltd.		22,500	$	170,389
SJM Holdings Ltd.		25,000		59,472
Sun Hung Kai Properties Ltd.		21,022		307,291
Swire Pacific Ltd., Class A		12,818		188,719
Television Broadcasts Ltd.		27,442		181,894
Wharf Holdings Ltd.		52,604		366,835
Wheelock & Co. Ltd.		54,844		220,603
Yue Yuen Industrial Holdings Ltd.		49,623		157,851
				4,810,258
Ireland - 0.5%
Accenture PLC, Class A (1)		15,874		959,107
Experian PLC		53,991		687,733
WPP PLC		45,992		576,181
				2,223,021
Italy - 1.2%
Enel SpA		94,899		620,087
ENI SpA		109,223		2,588,472
Fiat SpA		98,572		1,083,117
Intesa Sanpaolo SpA		494,185		1,315,905
Telecom Italia SpA		84,774		117,920
				5,725,501
Japan - 8.2%
Aeon Co. Ltd.		51,100		616,785
Aeon Mall Co. Ltd.		900		21,802
Aisin Seiki Co. Ltd.		11,600		448,868
Ajinomoto Co., Inc.		9,000		106,847
Asahi Glass Co. Ltd. (a)		48,236		564,471
Asahi Kasei Corp.		41,000		276,301
Bridgestone Corp.		12,000		276,486
Brother Industries Ltd.		3,300		48,813
Canon, Inc. (a)		12,745		606,233
Central Japan Railway Co.		42		330,174
Chubu Electric Power Co., Inc.		9,354		182,672
Cosmo Oil Co. Ltd.		79,000		224,909
Credit Saison Co. Ltd.		14,675		247,033
Daicel Chemical Industries Ltd.		64,000		422,804
Daido Steel Co. Ltd.		79,000		528,458
Daihatsu Motor Co. Ltd.		6,000		102,112
Dai-ichi Life Insurance Co. Ltd./The		129		180,902
Daiichi Sankyo Co. Ltd.		13,600		265,758
Daito Trust Construction Co. Ltd.		1,586		134,651
Daiwa House Industry Co. Ltd.		8,151		102,855
DIC Corp.		495		1,173
East Japan Railway Co.		8,512		487,489
Ebara Corp.		39,000		230,035
Elpida Memory, Inc. †(a)		20,800		244,998
FANUC Corp.		2,600		434,780
Fuji Heavy Industries Ltd.		55,733		433,102
FUJIFILM Holdings Corp.		12,344		384,997
Fujitsu Ltd.		36,115		206,430
Hino Motors Ltd.		66,975		391,106
Hitachi High-Technologies Corp.		2,658		58,238
Hitachi Ltd.		101,000		599,435
Hokuhoku Financial Group, Inc.		50,000		99,044
Honda Motor Co. Ltd.		20,597		793,539

	SHARES		VALUE (Note 3)
Japan - 8.2% (continued)
Hoya Corp.		5,706	$	126,323
Idemitsu Kosan Co. Ltd.		3,200		341,514
IHI Corp.		193,000		498,703
Isuzu Motors Ltd.		85,000		402,385
ITOCHU Corp.		64,888		674,891
Japan Petroleum Exploration Co.		1,600		75,115
Japan Real Estate Investment Corp. REIT		7		68,872
Japan Retail Fund Investment Corp. REIT		18		27,739
JFE Holdings, Inc.		2,700		74,254
JTEKT Corp.		30,288		446,288
JX Holdings, Inc.		35,614		239,541
Kaneka Corp.		21,354		140,308
Kansai Electric Power Co., Inc./The		21,800		434,119
KDDI Corp.		77		554,010
Keisei Electric Railway Co. Ltd.		1,461		8,646
Kinden Corp.		32,284		276,214
Kobe Steel Ltd.		231,759		527,034
Komatsu Ltd.		13,300		415,268
Kubota Corp.		12,343		109,502
Kuraray Co. Ltd.		32,800		480,521
Makita Corp.		10,246		477,453
Marubeni Corp.		45,000		299,061
Maruichi Steel Tube Ltd.		13,800		342,115
Miraca Holdings, Inc.		6,128		248,286
Mitsubishi Chemical Holdings Corp.		37,000		262,187
Mitsubishi Corp.		6,436		160,758
Mitsubishi Electric Corp.		62,000		720,199
Mitsubishi Estate Co. Ltd.		18,764		329,307
Mitsubishi Heavy Industries, Ltd.		83,000		390,285
Mitsubishi UFJ Financial Group, Inc.		148,549		723,929
Mitsubishi UFJ Lease & Finance Co. Ltd.		4,658		180,269
Mitsui & Co. Ltd.		55,989		968,057
Mitsui Fudosan Co. Ltd.		17,598		303,089
Mitsumi Electric Co. Ltd.		40		396
Mizuho Financial Group, Inc.		167,128		274,696
Mizuho Securities Co. Ltd. †		5,077		12,236
NHK Spring Co. Ltd.		21,000		214,748
Nippon Building Fund, Inc. REIT		8		78,177
Nippon Electric Glass Co. Ltd.		35,000		449,090
Nippon Kayaku Co. Ltd.		20,546		216,726
Nippon Meat Packers, Inc.		30,097		431,739
Nippon Shokubai Co. Ltd.		13,000		158,610
Nippon Telegraph & Telephone Corp.		7,948		383,347
Nishi-Nippon City Bank Ltd./The		64,363		190,115
Nisshin Seifun Group, Inc.		6,500		81,242
Nisshin Steel Co. Ltd.		25,000		47,812
Nitto Denko Corp.		10,294		523,050
NTN Corp.		53,000		301,922
NTT DoCoMo, Inc.		487		869,753
OJI Paper Co. Ltd. (a)		37,682		180,726
Omron Corp.		1,431		39,794
ORIX Corp.		1,599		155,538
Osaka Gas Co. Ltd.		129,446		491,004
Pacific Metals Co. Ltd.		34,720		256,943
Rengo Co. Ltd.		884		5,842
Sapporo Hokuyo Holdings, Inc.		36,968		154,972
SBI Holdings, Inc.		261		24,255

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 3

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Japan - 8.2% (continued)
Sega Sammy Holdings, Inc.		22,400	$	433,009
Seino Holdings Corp.		31,100		223,693
Sekisui Chemical Co. Ltd.		38,000		324,675
Sekisui House Ltd.		9,000		83,800
Seven & I Holdings Co. Ltd.		19,530		525,239
Showa Shell Sekiyu KK (a)		25,400		235,899
Softbank Corp.		8,600		325,702
Sojitz Corp.		69,916		130,966
Sony Corp.		20,317		536,069
Sumitomo Corp.		53,700		730,549
Sumitomo Heavy Industries Ltd.		15,000		104,698
Sumitomo Metal Industries Ltd.		36,493		81,980
Sumitomo Metal Mining Co., Ltd.		6,000		98,575
Sumitomo Mitsui Financial Group, Inc.		31,349		966,637
Sumitomo Realty & Development Co. Ltd.		5,624		125,694
Taisei Corp.		131,000		300,632
Takeda Pharmaceutical Co. Ltd.		19,769		913,662
Teijin Ltd.		26,000		114,604
Tohoku Electric Power Co., Inc.		6,900		99,571
Tokai Rika Co. Ltd.		9,565		184,961
Tokio Marine Holdings, Inc.		17,400		487,102
Tokyo Electric Power Co., Inc./The		26,870		108,774
Tokyo Gas Co. Ltd.		65,000		293,368
Tokyu Land Corp.		5,000		21,243
TonenGeneral Sekiyu KK (a)		9,000		110,704
Tosoh Corp.		60,000		240,940
Toyota Auto Body Co. Ltd.		10,365		170,282
Toyota Motor Corp.		34,272		1,411,293
Toyota Tsusho Corp.		5,700		97,828
Ube Industries Ltd./Japan		59,000		177,628
USS Co. Ltd.		5,795		449,539
West Japan Railway Co.		4,400		171,772
Yamada Denki Co. Ltd.		3,370		274,586
Yamatake Corp.		3,700		82,513
Yamato Holdings Co. Ltd.		7,100		111,688
				37,672,150
Jersey, Channel Islands - 0.2%
Randgold Resources Ltd.		1,514		127,522
Sands China Ltd. †		41,200		111,675
Wolseley PLC		17,533		572,303
				811,500
Netherlands - 2.3%
ASML Holding NV		49,778		1,836,051
Corio NV REIT		1,027		68,015
Delta Lloyd NV		11,563		274,655
European Aeronautic Defence and Space Co. NV (a)		19,724		660,115
ING Groep NV CVA †		79,880		984,402
Koninklijke Ahold NV		68,517		921,230
Koninklijke DSM NV		2,550		165,486
Koninklijke KPN NV		27,946		406,474
Royal Dutch Shell PLC A Shares		56,073		1,995,276
Royal Dutch Shell PLC B Shares		65,379		2,333,111
Unilever NV CVA		24,960		819,204
				10,464,019

	SHARES		VALUE (Note 3)
Singapore - 0.7%
Ascendas Real Estate Investment Trust REIT		22,478	$	37,387
CapitaLand Ltd.		86,000		204,305
CapitaMall Trust REIT		34,494		52,578
DBS Group Holdings Ltd.		20,054		239,891
Fraser and Neave Ltd.		48,000		226,792
Genting Singapore PLC †		95,000		149,780
Golden Agri-Resources Ltd.		244,000		135,553
Jardine Cycle & Carriage Ltd.		7,291		255,837
Oversea-Chinese Banking Corp. Ltd.		57,422		438,609
SembCorp Industries Ltd.		11,777		47,959
SembCorp Marine Ltd. (a)		62,000		268,311
Singapore Airlines Ltd.		31,000		358,801
Singapore Exchange Ltd.		10,967		67,391
Singapore Technologies Engineering Ltd.		25,103		61,641
Singapore Telecommunications Ltd.		129,635		334,139
StarHub Ltd.		7,476		17,001
United Overseas Bank Ltd.		17,201		276,165
UOL Group Ltd.		10,340		41,988
				3,214,128
Spain - 1.3%
Banco Bilbao Vizcaya Argentaria SA		23,170		271,988
Banco Santander SA		190,580		2,195,509
Endesa SA (a)		30,206		1,006,199
Inditex SA		3,855		351,244
Repsol YPF SA		28,033		972,338
Telefonica SA		45,850		1,119,829
				5,917,107
Sweden - 1.1%
Boliden AB		72,843		1,345,309
Investor AB B Shares		9,034		207,178
Lundin Petroleum AB †		16,420		223,187
NCC AB, Class B		10,626		241,744
Sandvik AB		9,240		161,879
Scania AB B Shares		60,703		1,409,093
Tele2 AB B Shares		46,506		917,939
Telefonaktiebolaget LM Ericsson B Shares		43,215		622,102
Volvo AB B Shares		6,086		106,543
				5,234,974
Switzerland - 4.2%
ABB Ltd. †		32,755		851,050
ACE Ltd. (1)		16,496		1,085,767
Compagnie Financiere Richemont SA, Class A		24,292		1,591,929
Glencore International PLC †		14,355		113,122
Nestle SA		80,594		5,015,247
Novartis AG		37,718		2,311,628
Panalpina Welttransport Holding AG †		2,228		306,451
Roche Holding AG		13,947		2,335,017
Sulzer AG		1,351		220,280
Swiss Life Holding AG †		4,868		798,359
Swisscom AG		1,586		727,081
Syngenta AG †		3,454		1,167,281
Transocean Ltd.		6,407		418,276

The accompanying notes are an integral part of these financial statements. (Continued)

4 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
Switzerland - 4.2% (continued)
Tyco Electronics Ltd. (1)		19,860	$	730,054
Tyco International Ltd. (1)		14,200		701,906
UBS AG †		47,927		874,647
Xstrata PLC		13,592		299,369
				19,547,464
United Kingdom - 7.1%
Anglo American PLC		28,444		1,410,650
AstraZeneca PLC		42,928		2,145,596
Autonomy Corp. PLC †		3,560		97,516
Aviva PLC		243,226		1,712,078
Barclays PLC		67,012		274,907
Berkeley Group Holdings PLC †		9,166		189,587
BG Group PLC		19,476		442,220
BHP Billiton PLC		35,178		1,382,276
BP PLC		321,751		2,369,050
British American Tobacco PLC		30,618		1,342,647
British Land Co. PLC REIT		13,261		129,654
British Sky Broadcasting Group PLC		17,771		241,261
BT Group PLC		426,866		1,384,071
Burberry Group PLC		15,232		354,215
Cairn Energy PLC †		23,881		159,261
Capital Shopping Centres Group PLC REIT		6,502		41,715
Cookson Group PLC		9,491		102,529
GlaxoSmithKline PLC		97,799		2,096,248
Hammerson PLC REIT		10,329		79,856
HSBC Holdings PLC		249,418		2,472,912
IMI PLC		8,025		135,666
Imperial Tobacco Group PLC		5,152		171,523
Inchcape PLC		30,246		203,105
Intermediate Capital Group PLC		105,092		544,496
Kesa Electricals PLC		242,050		534,814
Ladbrokes PLC		174,193		426,171
Land Securities Group PLC REIT		12,541		171,561
Legal & General Group PLC		136,129		257,885
Lloyds Banking Group PLC †		1,710,176		1,343,913
Mondi PLC		98,969		985,066
Pearson PLC		7,567		143,147
Persimmon PLC		99,972		774,550
Reed Elsevier PLC		20,306		184,872
Rio Tinto PLC		23,550		1,700,445
Royal Bank of Scotland Group PLC †		1,126,518		696,821
Scottish & Southern Energy PLC		13,287		297,172
Segro PLC REIT		13,080		65,581
Tate & Lyle PLC		89,907		889,229
Tesco PLC		157,485		1,017,507
Tullow Oil PLC		14,217		283,119
Vodafone Group PLC		1,199,896		3,181,695
William Hill PLC		120,008		439,999
				32,876,586
United States - 43.3%
3M Co. (1)		4,300		407,855
Abbott Laboratories (1)		23,084		1,214,680
Aflac, Inc. (1)		12,000		560,160
Altria Group, Inc. (1)		66,296		1,750,877
Ameren Corp. (1)		13,100		377,804

	SHARES		VALUE (Note 3)
United States - 43.3% (continued)
American Eagle Outfitters, Inc. (1)		126,200	$	1,609,050
American Financial Group, Inc. (1)		33,825		1,207,214
Ameriprise Financial, Inc. (1)		5,100		294,168
AmerisourceBergen Corp. (1)		12,000		496,800
Amgen, Inc. (1)†		38,249		2,231,829
Annaly Capital Management, Inc. REIT (1)		8,318		150,057
Apollo Group, Inc., Class A (1)†		35,300		1,541,904
Apple, Inc. (1)†		10,128		3,399,666
Applied Materials, Inc. (1)		29,300		381,193
Arch Coal, Inc. (1)		7,900		210,614
Archer-Daniels-Midland Co. (1)		1,433		43,205
Armstrong World Industries, Inc. (1)		5,200		236,912
Ashland, Inc. (1)		10,800		697,896
Assurant, Inc. (1)		34,700		1,258,569
Astoria Financial Corp. (1)		13,600		173,944
AT&T, Inc. (1)		135,997		4,271,666
AutoZone, Inc. (1)†		1,000		294,850
AvalonBay Communities, Inc. REIT (1)		1,311		168,332
Bank of America Corp. (1)		130,138		1,426,312
Bank of New York Mellon Corp/The (1)		8,000		204,960
Becton Dickinson and Co. (1)		7,186		619,218
Bed Bath & Beyond, Inc. (1)†		4,300		250,991
Berkshire Hathaway, Inc., Class B (1)†		13,150		1,017,678
Best Buy Co., Inc. (1)		10,200		320,382
Big Lots, Inc. (1)†		6,100		202,215
Biogen Idec, Inc. (1)†		2,900		310,068
Boeing Co./The (1)		3,365		248,774
Boston Properties, Inc. REIT (1)		1,463		155,312
Bristol-Myers Squibb Co. (1)		40,432		1,170,911
Broadridge Financial Solutions, Inc. (1)		7,093		170,728
Brookfield Office Properties (1)		2,845		54,956
Cardinal Health, Inc. (1)		29,100		1,321,722
Career Education Corp. (1)†		34,259		724,578
Carnival Corp. (1)		5,700		214,491
CenturyLink, Inc. (1)		3,029		122,462
Chemed Corp. (1)		9,980		653,890
Chevron Corp. (1)		45,800		4,710,072
Chubb Corp. (1)		6,649		416,294
Cimarex Energy Co. (1)		7,700		692,384
Cisco Systems, Inc. (1)		108,489		1,693,513
Citigroup, Inc. (1)		57,719		2,403,419
City National Corp. (1)		2,600		141,050
Coca-Cola Co./The (1)		32,880		2,212,495
Colgate-Palmolive Co. (1)		15,528		1,357,302
Comcast Corp., Class A (1)		27,880		706,479
Comerica, Inc. (1)		27,100		936,847
Computer Sciences Corp. (1)		27,531		1,045,077
ConAgra Foods, Inc. (1)		46,074		1,189,170
ConocoPhillips (1)		35,175		2,644,808
Convergys Corp. (1)†		12,000		163,680
Corning, Inc. (1)		10,400		188,760
Covidien PLC (1)		4,800		255,504
Crown Holdings, Inc. (1)†		10,351		401,826
CSX Corp. (1)		47,394		1,242,671
CVS Caremark Corp. (1)		14,800		556,184
Dell, Inc. (1)†		12,400		206,708
Delta Air Lines, Inc. (1)†		8,100		74,277

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 5

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United States - 43.3% (continued)
Devon Energy Corp. (1)		8,390	$	661,216
Diamond Offshore Drilling, Inc. (1)		3,200		225,312
Diebold, Inc. (1)		5,800		179,858
DIRECTV, Class A (1)†		13,869		704,823
Discover Financial Services (1)		58,700		1,570,225
DISH Network Corp., Class A (1)†		21,374		655,541
Dr Pepper Snapple Group, Inc. (1)		26,432		1,108,294
DST Systems, Inc. (1)		4,300		227,040
DTE Energy Co. (1)		17,400		870,348
Eastman Chemical Co. (1)		2,200		224,554
Edison International (1)		31,556		1,222,795
EI du Pont de Nemours & Co. (1)		7,500		405,375
Eli Lilly & Co. (1)		13,000		487,890
Emerson Electric Co. (1)		8,741		491,681
Entergy Corp. (1)		13,700		935,436
Equity Residential REIT (1)		4,548		272,880
Exelon Corp. (1)		9,800		419,832
Exxon Mobil Corp. (1)		89,689		7,298,891
FedEx Corp. (1)		8,800		834,680
Fifth Third Bancorp (1)		57,300		730,575
Ford Motor Co. (1)†		47,100		649,509
Forest Laboratories, Inc. (1)†		15,186		597,417
Franklin Resources, Inc. (1)		3,200		420,128
Freeport-McMoRan Copper & Gold, Inc. (1)		13,000		687,700
Gap, Inc./The (1)		4,819		87,224
General Dynamics Corp. (1)		10,138		755,484
General Electric Co. (1)		219,202		4,134,150
General Mills, Inc. (1)		17,588		654,625
Goldman Sachs Group, Inc./The (1)		2,705		360,008
Google, Inc., Class A (1)†		2,702		1,368,239
Guess?, Inc. (1)		12,500		525,750
Harman International Industries, Inc. (1)		4,200		191,394
Harsco Corp. (1)		14,800		482,480
Hartford Financial Services Group, Inc. (1)		34,600		912,402
HCP, Inc. REIT (1)		5,972		219,113
Health Care REIT, Inc. REIT (1)		2,485		130,289
Health Net, Inc. (1)†		20,100		645,009
Helix Energy Solutions Group, Inc. (1)†		12,500		207,000
Hewlett-Packard Co. (1)		15,752		573,373
HJ Heinz Co. (1)		4,541		241,944
Home Depot, Inc. (1)		30,206		1,094,061
Honeywell International, Inc. (1)		14,402		858,215
Host Hotels & Resorts, Inc. REIT (1)		9,300		157,635
Humana, Inc. (1)		17,000		1,369,180
Ingram Micro, Inc., Class A (1)†		3,800		68,932
Intel Corp. (1)		96,067		2,128,845
International Business Machines Corp. (1)		18,023		3,091,846
International Paper Co. (1)		6,700		199,794
ITT Educational Services, Inc. (1)†		13,200		1,032,768
Johnson & Johnson (1)		68,896		4,582,962
JPMorgan Chase & Co. (1)		82,573		3,380,539
KBR, Inc. (1)		17,200		648,268
KeyCorp (1)		199,700		1,663,501
Kimberly-Clark Corp. (1)		25,563		1,701,473
Kimco Realty Corp. REIT (1)		6,500		121,160
Kohl’s Corp. (1)		10,200		510,102
Kraft Foods, Inc., Class A (1)		5,321		187,459

	SHARES		VALUE (Note 3)
United States - 43.3% (continued)
L-3 Communications Holdings, Inc. (1)		6,753	$	590,550
Lam Research Corp. (1)†		9,900		438,372
Lexmark International, Inc., Class A (1)†		18,400		538,384
Lockheed Martin Corp. (1)		15,743		1,274,711
Loews Corp. (1)		14,300		601,887
Lorillard, Inc. (1)		7,600		827,412
Lowe’s Cos., Inc. (1)		34,200		797,202
Ltd. Brands, Inc. (1)		9,661		371,465
Lubrizol Corp. (1)		1,100		147,697
Macerich Co./The REIT (1)		2,100		112,350
Macy’s, Inc. (1)		30,800		900,592
Marathon Oil Corp. (1)		24,629		1,297,456
McDermott International, Inc. (1)†		17,900		354,599
McDonald’s Corp. (1)		12,425		1,047,676
McKesson Corp. (1)		2,700		225,855
MeadWestvaco Corp. (1)		15,400		512,974
Medco Health Solutions, Inc. (1)†		11,921		673,775
Medicis Pharmaceutical Corp., Class A (1)		8,900		339,713
Medtronic, Inc. (1)		6,082		234,339
Merck & Co., Inc. (1)		60,419		2,132,186
Microsoft Corp. (1)		163,550		4,252,300
Motorola Solutions, Inc. (1)†		24,700		1,137,188
Murphy Oil Corp. (1)		6,994		459,226
National Oilwell Varco, Inc. (1)		3,200		250,272
Newmont Mining Corp. (1)		5,161		278,539
News Corp., Class A (1)		52,900		936,330
Norfolk Southern Corp. (1)		14,923		1,118,180
Northrop Grumman Corp. (1)		35,479		2,460,469
NRG Energy, Inc. (1)†		1,700		41,786
Occidental Petroleum Corp. (1)		15,090		1,569,964
Omnicare, Inc. (1)		48,400		1,543,476
Omnicom Group, Inc. (1)		4,200		202,272
Oracle Corp. (1)		42,386		1,394,923
Oshkosh Corp. (1)†		1,300		37,622
Owens Corning (1)†		36,148		1,350,128
PDL BioPharma, Inc. (1)		103,643		608,384
Peabody Energy Corp. (1)		1,300		76,583
PepsiCo, Inc. (1)		20,772		1,462,972
PetSmart, Inc. (1)		19,954		905,313
Pfizer, Inc. (1)		153,843		3,169,166
Philip Morris International, Inc. (1)		17,493		1,168,008
Plum Creek Timber Co., Inc. REIT (1)		2,131		86,391
PNC Financial Services Group, Inc. (1)		18,900		1,126,629
Procter & Gamble Co./The (1)		56,808		3,611,285
ProLogis, Inc. REIT (1)		5,980		214,323
Protective Life Corp. (1)		39,898		922,841
Public Storage REIT (1)		1,669		190,283
Pulte Group, Inc. (1)†		27,300		209,118
Quest Diagnostics, Inc. (1)		3,600		212,760
Rayonier, Inc. REIT (1)		2,581		168,668
Raytheon Co. (1)		45,167		2,251,575
Reinsurance Group of America, Inc. (1)		1,900		115,634
Reynolds American, Inc. (1)		48,074		1,781,142
Sara Lee Corp. (1)		31,436		596,970
SEACOR Holdings, Inc. (1)		5,300		529,788
Sealed Air Corp. (1)		9,599		228,360
Service Corp. International (1)		31,600		369,088

The accompanying notes are an integral part of these financial statements. (Continued)

6 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

	SHARES		VALUE (Note 3)
United States - 43.3% (continued)
Simon Property Group, Inc. REIT (1)		4,342	$	504,671
Simpson Manufacturing Co., Inc. (1)		4,600		137,402
Smithfield Foods, Inc. (1)†		31,900		697,653
Southwest Airlines Co. (1)		19,200		219,264
Starbucks Corp. (1)		9,100		359,359
STERIS Corp. (1)		7,330		256,403
Target Corp. (1)		35,200		1,651,232
Tellabs, Inc. (1)		64,400		296,884
Texas Instruments, Inc. (1)		9,184		301,511
Thomas & Betts Corp. (1)†		9,914		533,869
Time Warner Cable, Inc. (1)		2,600		202,904
Time Warner, Inc. (1)		31,366		1,140,781
Timken Co. (1)		25,333		1,276,783
TJX Cos., Inc. (1)		7,364		386,831
Torchmark Corp. (1)		6,200		397,668
Travelers Cos., Inc./The (1)		43,101		2,516,236
Tupperware Brands Corp. (1)		5,109		344,602
Tyson Foods, Inc., Class A (1)		36,400		706,888
United Parcel Service, Inc., Class B (1)		6,000		437,580
United Technologies Corp. (1)		17,449		1,544,411
UnitedHealth Group, Inc. (1)		15,000		773,700
Unum Group (1)		74,209		1,890,845
URS Corp. (1)†		16,700		747,158
Valero Energy Corp. (1)		28,700		733,859
Ventas, Inc. REIT (1)		2,400		126,504
Verizon Communications, Inc. (1)		73,412		2,733,129
Viacom, Inc., Class B (1)		11,437		583,287
Vishay Intertechnology, Inc. (1)†		29,200		439,168
Vornado Realty Trust REIT (1)		2,748		256,059
W&T Offshore, Inc. (1)		58,200		1,520,184
Walgreen Co. (1)		18,840		799,946
Wal-Mart Stores, Inc. (1)		65,405		3,475,622
Walter Energy, Inc. (1)		5,000		579,000
Warnaco Group, Inc./The (1)†		13,300		694,925
Waste Management, Inc. (1)		35,273		1,314,625
WellPoint, Inc. (1)		26,191		2,063,065
Wells Fargo & Co. (1)		70,370		1,974,582
Western Digital Corp. (1)†		16,900		614,822
Western Union Co./The (1)		16,800		336,504
Westlake Chemical Corp. (1)		3,800		197,220
Weyerhaeuser Co. REIT (1)		8,600		187,996
Whirlpool Corp. (1)		3,500		284,620
Williams-Sonoma, Inc. (1)		7,790		284,257
Wyndham Worldwide Corp. (1)		13,744		462,486
Wynn Resorts Ltd. (1)		2,000		287,080
				199,305,363
TOTAL COMMON STOCKS (cost $346,467,852)				411,692,645

	SHARES		VALUE (Note 3)
PREFERRED STOCKS - 0.1%
Germany - 0.1%
Porsche Automobil Holding SE		375	$	29,746
Volkswagen AG		2,748		568,274
TOTAL PREFERRED STOCKS (cost $300,978)				598,020
MONEY MARKET FUNDS - 6.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (d)(g)		2,751,708		2,751,708
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (d)		28,390,240		28,390,240
TOTAL MONEY MARKET FUNDS (cost $31,141,948)				31,141,948
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.1%
J.P. Morgan Prime Money Market Fund -
Capital Shares, 0.090% (d)(e) (cost $9,850,523)		9,850,523		9,850,523
TOTAL INVESTMENTS - 98.4% (cost $387,761,301)				453,283,136
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.6% (f)				7,282,115
NET ASSETS - 100.0%			$	460,565,251

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $9,468,894; cash collateral of $9,850,523 was received with which the fund purchased a money market fund.

(b) Security fair valued at June 30, 2011.

(c) Represents less than 0.05 percent of net assets.

(d) Represents annualized seven-day yield as of June 30, 2011.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

(f) Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts.

(g) A portion of the security is pledged as collateral to the broker for forward foreign currency exchange and swap contracts.

All securities are Level 2, unless otherwise noted in parentheses.

(1) Level 1 security (See Note 5).

(3) Level 3 security (See Note 5).

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 7

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	47,935,188		10.4	%
Consumer Staples		42,269,128		9.2
Energy		47,463,800		10.3
Financials		74,347,653		16.1
Health Care		45,065,473		9.8
Industrials		58,655,718		12.7
Information Technology		34,490,313		7.5
Materials		33,953,271		7.4
Telecommunication Services		19,865,567		4.3
Utilities		8,244,554		1.8
Money Market Funds		40,992,471		8.9
Total Investments		453,283,136		98.4
Other Assets in Excess of Liabilities (f)		7,282,115		1.6
Net Assets	$	460,565,251		100.0	%

Total return swap contract outstanding as of June 30, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Swiss Market Index	9/16/2011		$(40,485,301)		$151,980

Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
6	Amsterdam Index Futures	July 15, 2011		$586,705		$591,227		$4,522
408	CAC40 10 Euro Futures	July 15, 2011		22,701,098		23,545,157		844,059
69	DAX Index Futures	September 16, 2011		17,896,874		18,489,902		593,028
417	FTSE 100 Index Futures	September 16, 2011		38,502,902		39,503,317		1,000,415
117	FTSE/MIB Index Futures	September 16, 2011		17,074,939		17,147,451		72,512
72	Hang Seng Index Futures	July 28, 2011		10,176,538		10,375,727		199,189
12	IBEX 35 Index Futures	July 15, 2011		1,729,425		1,787,687		58,262
6	MSCI Singapore Index Futures	July 28, 2011		343,673		352,096		8,423
486	S&P 500 E-Mini Futures	September 16, 2011		30,942,838		31,966,650		1,023,812
								3,804,222

The accompanying notes are an integral part of these financial statements. (Continued)

8 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
692	OMXS30 Index Futures	July 15, 2011		$(11,984,710)		$(12,198,508)		$(213,798)
63	S&P/Toronto Stock Exchange 60 Index	September 15, 2011		(9,724,215)		(9,957,717)		(233,502)
320	SPI 200 Index Futures	September 15, 2011		(38,936,407)		(39,478,420)		(542,013)
46	TOPIX Index Futures	September 8, 2011		(4,627,916)		(4,853,984)		(226,068)
								(1,215,381)
								$2,588,841

Cash held as collateral with broker for futures contracts was $11,620,674 at June 30, 2011.

Forward foreign currency exchange contracts outstanding as of June 30, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	AUD		25,806,000		$27,250,589		$27,401,069		$150,480
Canadian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	CAD		1,843,000		1,899,650		1,907,137		7,487
Swiss Franc, Expiring 09/21/11	The Royal Bank of Scotland	CHF		56,000		67,372		66,641		(731)
Danish Krone, Expiring 09/21/11	The Royal Bank of Scotland	DKK		910,000		176,908		176,582		(326)
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		12,435,000		17,980,937		17,992,575		11,638
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		9,442,000		15,469,139		15,139,775		(329,364)
Hong Kong Dollar, Expiring 09/21/11	The Royal Bank of Scotland	HKD		5,408,000		695,360		695,312		(48)
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		5,234,000		1,517,365		1,531,422		14,057
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		179,963,000		2,243,973		2,236,440		(7,533)
Norwegian Krone, Expiring 09/21/11	The Royal Bank of Scotland	NOK		130,634,000		24,088,368		24,088,414		46
New Zealand Dollar, Expiring 09/21/11	The Royal Bank of Scotland	NZD		17,258,000		13,991,117		14,221,973		230,856
Swedish Krona, Expiring 09/21/11	The Royal Bank of Scotland	SEK		360,927,000		58,065,434		56,796,183		(1,269,251)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		480,000		389,476		390,803		1,327
						163,835,688		162,644,326		(1,191,362)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 9

Schedule of Investments June 30, 2011 (Unaudited)

AQR GLOBAL EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	AUD		(12,208,000)		$(12,781,583)		$(12,962,577)		$(180,994)
Canadian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	CAD		(4,357,000)		(4,461,444)		(4,508,626)		(47,182)
Swiss Franc, Expiring 09/21/11	The Royal Bank of Scotland	CHF		(29,506,000)		(34,926,218)		(35,112,397)		(186,179)
Danish Krone, Expiring 09/21/11	The Royal Bank of Scotland	DKK		(8,363,000)		(1,610,268)		(1,622,806)		(12,538)
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		(5,153,000)		(7,369,777)		(7,456,030)		(86,253)
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		(326,000)		(534,238)		(522,725)		11,513
Hong Kong Dollar, Expiring 09/21/11	The Royal Bank of Scotland	HKD		(556,000)		(71,471)		(71,486)		(15)
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		(305,000)		(89,383)		(89,240)		143
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		(3,868,105,000)		(48,160,450)		(48,069,803)		90,647
Norwegian Krone, Expiring 09/21/11	The Royal Bank of Scotland	NOK		(26,887,000)		(4,960,046)		(4,957,861)		2,185
New Zealand Dollar, Expiring 09/21/11	The Royal Bank of Scotland	NZD		(13,239,000)		(10,731,533)		(10,909,995)		(178,462)
Swedish Krona, Expiring 09/21/11	The Royal Bank of Scotland	SEK		(57,235,000)		(9,006,517)		(9,006,612)		(95)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		(91,000)		(73,890)		(74,090)		(200)
						(134,776,818)		(135,364,248)		(587,430)
						$29,058,870		$27,280,078		$(1,778,792)

Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $2,751,708.

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

The accompanying notes are an integral part of these financial statements.

10 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

COMMON STOCKS - 85.1%	SHARES		VALUE (Note 3)
Australia - 6.8%
Adelaide Brighton Ltd. (a)		93,460	$	310,746
Alumina Ltd.		85,028		194,739
Ansell Ltd.		80,986		1,231,413
ASX Ltd.		5,817		190,585
Australia & New Zealand Banking Group Ltd.		122,242		2,897,725
BHP Billiton Ltd.		117,651		5,560,293
Brambles Ltd.		92,366		718,160
Caltex Australia Ltd.		93,144		1,181,845
CFS Retail Property Trust REIT		69,740		135,944
Challenger Ltd.		53,021		279,322
Commonwealth Bank of Australia (a)		31,803		1,791,151
Computershare Ltd. (a)		15,439		147,473
CSL Ltd. (a)		19,994		710,707
CSR Ltd. (a)		77,332		241,580
Dexus Property Group REIT		186,006		176,222
Downer EDI Ltd.		99,596		397,973
Echo Entertainment Group Ltd. †		160,072		705,626
Fairfax Media Ltd. (a)		396,761		418,838
Fortescue Metals Group Ltd. (a)		45,904		314,969
Foster’s Group Ltd. (a)		309,088		1,710,766
Goodman Group REIT		193,631		146,793
GPT Group - In Specie REIT (3)†(b)		143,427		—
GPT Group REIT (a)		58,413		198,561
Iluka Resources Ltd.		19,573		354,060
Leighton Holdings Ltd. (a)		4,991		112,586
Lend Lease Group		21,131		204,070
Mirvac Group REIT		88,938		119,621
National Australia Bank Ltd.		110,867		3,065,188
Newcrest Mining Ltd.		28,545		1,156,636
Origin Energy Ltd. (a)		39,097		664,756
OZ Minerals Ltd.		11,735		166,988
Pacific Brands Ltd.		603,714		452,169
Paladin Energy Ltd. †(a)		24,740		67,439
QR National Ltd. †		64,128		233,374
Rio Tinto Ltd.		24,566		2,198,871
Santos Ltd.		17,978		262,130
Sonic Healthcare Ltd.		25,198		348,703
SP AusNet		171,589		174,039
Stockland REIT		89,584		328,592
Suncorp Group Ltd. (a)		25,645		224,160
TABCORP Holdings Ltd. (a)		160,072		566,267
Tatts Group Ltd. (a)		181,800		469,382
Telstra Corp. Ltd.		160,562		498,928
Transurban Group		37,755		212,074
Treasury Wine Estates Ltd. †		77,596		282,967
Wesfarmers Ltd.		5,881		203,941
Wesfarmers Ltd. (a)		30,936		1,060,233
Westfield Group REIT		84,935		791,640
Westfield Retail Trust REIT (a)		109,594		319,461
Westpac Banking Corp.		73,229		1,756,894
Woodside Petroleum Ltd.		15,170		669,255
Woolworths Ltd.		25,074		748,125
				37,373,980
Belgium - 0.3%
Anheuser - Busch InBev NV		7,392		429,013
Groupe Bruxelles Lambert SA		2,641		234,617

	SHARES		VALUE (Note 3)
Belgium - 0.3% (continued)
Solvay SA		5,753	$	888,238
				1,551,868
Bermuda - 0.1%
Catlin Group Ltd.		54,405		350,762
Cayman Islands - 0.0% (c)
Wynn Macau Ltd.		56,800		186,007
China - 0.0% (c)
Foxconn International Holdings Ltd. †(a)		69,406		30,623
Yangzijiang Shipbuilding Holdings Ltd.		63,319		75,544
				106,167
Denmark - 1.7%
AP Moller - Maersk A/S, Class B		3		25,899
Carlsberg A/S, Class B		17,318		1,885,634
Danske Bank A/S †		31,768		587,958
DSV A/S		34,904		837,859
Novo Nordisk A/S, Class B		48,099		6,025,811
				9,363,161
Finland - 1.3%
Kesko OYJ B Shares		12,311		572,553
Metso OYJ		34,679		1,971,445
Nokia OYJ		16,063		103,617
Nokian Renkaat OYJ		11,762		590,611
Stora Enso OYJ R Shares		95,371		1,001,529
UPM-Kymmene OYJ		122,766		2,246,147
Wartsila OYJ		25,720		869,723
				7,355,625
France - 8.6%
Accor SA		13,725		614,023
Arkema SA		36,088		3,711,719
BNP Paribas SA		89,430		6,895,856
Bouygues SA		5,418		238,252
Christian Dior SA		13,165		2,068,802
Cie Generale de Geophysique-Veritas †		20,623		755,817
Compagnie de Saint-Gobain (a)		49,775		3,226,318
Credit Agricole SA		59,088		887,701
Faurecia		11,894		510,076
France Telecom SA		78,349		1,665,974
Klepierre REIT		3,675		151,736
Legrand SA		40,178		1,691,192
L’Oreal SA		10,722		1,391,437
LVMH Moet Hennessy Louis Vuitton SA		6,597		1,185,462
Metropole Television SA		7,813		180,860
Safran SA		4,358		185,959
Sanofi		15,188		1,221,733
Schneider Electric SA		7,216		1,204,869
SEB SA		3,699		387,154
Societe BIC SA		7,961		769,062
Societe Generale SA		55,456		3,284,440
Thales SA		5,928		255,301
Total SA		120,598		6,972,191
Unibail-Rodamco SE REIT		3,619		836,173
Valeo SA (a)		55,452		3,793,341
Vivendi SA		73,040		2,035,841

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 11

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
France - 8.6% (continued)
Zodiac Aerospace		15,462	$	1,346,246
				47,467,535
Germany - 8.2%
Adidas AG		15,045		1,192,793
Allianz SE		6,725		937,780
Aurubis AG		7,693		500,651
BASF SE		76,829		7,530,886
Bayer AG		82,372		6,615,839
Bayerische Motoren Werke AG		7,489		747,844
Bilfinger Berger SE		5,735		567,973
Daimler AG		30,620		2,309,101
Deutsche Bank AG		11,190		660,440
Deutsche Boerse AG		5,256		399,086
Deutsche Lufthansa AG		51,043		1,111,776
Deutsche Telekom AG		104,618		1,632,474
GEA Group AG		37,411		1,339,786
Hannover Rueckversicherung AG		14,559		757,155
Infineon Technologies AG		96,317		1,082,252
K+S AG		20,088		1,542,524
Kloeckner & Co. SE		31,926		961,778
Linde AG		3,161		554,586
MAN SE (a)		4,421		594,631
Merck KGaA		11,635		1,265,065
Muenchener Rueckversicherungs AG		12,154		1,855,370
Siemens AG		48,342		6,643,201
Software AG		31,167		1,868,639
Suedzucker AG		33,604		1,196,540
Tognum AG †		13,081		489,031
Vossloh AG		3,816		535,622
				44,892,823
Guernsey - 0.0% (c)
Resolution Ltd.		60,324		284,373
Hong Kong - 2.0%
AIA Group Ltd. †		285,400		993,485
ASM Pacific Technology Ltd.		6,404		88,054
BOC Hong Kong Holdings Ltd.		214,553		624,985
Cathay Pacific Airways Ltd.		247,000		574,587
Cheung Kong Holdings Ltd.		47,278		694,279
Cheung Kong Infrastructure Holdings Ltd.		14,827		77,140
CLP Holdings Ltd.		56,509		501,296
Esprit Holdings Ltd.		82,100		256,522
Hang Lung Group Ltd.		30,276		192,243
Hang Seng Bank Ltd. (a)		35		560
Hong Kong Exchanges and Clearing Ltd. (a)		37,154		782,347
Hopewell Holdings Ltd.		90,000		285,505
Hutchison Whampoa Ltd.		115,832		1,255,034
Kerry Properties Ltd.		32,000		154,671
Li & Fung Ltd. (a)		11,336		22,657
Lifestyle International Holdings Ltd.		20,500		59,974
Link REIT/The REIT		81,382		278,000
Mongolia Energy Corp. Ltd. †		95,406		11,208
New World Development Ltd.		88,896		134,964
NWS Holdings Ltd.		39,000		52,282
PCCW Ltd.		131,000		56,529

	SHARES		VALUE (Note 3)
Hong Kong - 2.0% (continued)
Power Assets Holdings Ltd.		41,500	$	314,273
Shanghai Industrial Urban Development Group Ltd. †		8		3
Shangri-La Asia Ltd.		68,000		166,941
SJM Holdings Ltd.		56,000		133,217
Sun Hung Kai Properties Ltd.		43,046		629,228
Swire Pacific Ltd., Class A		27,030		397,961
Television Broadcasts Ltd.		66,403		440,139
Wharf Holdings Ltd.		121,243		845,491
Wheelock & Co. Ltd.		126,621		509,317
Wing Hang Bank Ltd.		25,000		274,327
Yue Yuen Industrial Holdings Ltd.		111,109		353,438
				11,160,657
Ireland - 0.9%
Experian PLC		197,140		2,511,152
WPP PLC		200,128		2,507,174
				5,018,326
Italy - 2.9%
Banca Popolare di Milano Scarl (a)		171,384		404,440
Enel SpA (a)		355,437		2,322,488
ENI SpA		277,942		6,586,938
Fiat SpA		238,229		2,617,680
Intesa Sanpaolo SpA		949,163		2,527,411
Parmalat Finanziaria SpA (3)†(b)		45,800		—
Saipem SpA		9,242		477,260
Telecom Italia SpA		793,791		1,104,156
				16,040,373
Japan - 17.4%
Acom Co. Ltd. †(a)		12,810		212,040
Aeon Co. Ltd.		78,700		949,921
Aeon Mall Co. Ltd.		2,900		70,252
Aisin Seiki Co. Ltd.		30,400		1,176,345
Ajinomoto Co., Inc.		21,000		249,309
Asahi Glass Co. Ltd. (a)		132,413		1,549,534
Asahi Kasei Corp.		130,000		876,076
Bridgestone Corp.		19,400		446,986
Brother Industries Ltd.		43,400		641,963
Canon, Inc. (a)		26,615		1,265,978
Central Japan Railway Co.		155		1,218,501
Chiba Bank Ltd./The (a)		12,000		75,099
Chubu Electric Power Co., Inc.		38,797		757,656
Cosmo Oil Co. Ltd.		248,000		706,043
Credit Saison Co. Ltd.		27,012		454,709
Daicel Chemical Industries Ltd.		193,000		1,275,018
Daido Steel Co. Ltd.		148,000		990,022
Daihatsu Motor Co. Ltd.		15,000		255,280
Dai-ichi Life Insurance Co. Ltd./The		288		403,873
Daiichi Sankyo Co. Ltd.		32,600		637,039
Daito Trust Construction Co. Ltd.		2,787		236,616
Daiwa House Industry Co. Ltd.		17,295		218,240
Dentsu, Inc.		23,800		704,491
DIC Corp.		125,000		296,087
East Japan Railway Co.		16,213		928,532
Ebara Corp.		19,000		112,068
Elpida Memory, Inc. †(a)		37,100		436,991

The accompanying notes are an integral part of these financial statements. (Continued)

12 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Japan - 17.4% (continued)
FANUC Corp.		4,300	$	719,059
Fuji Heavy Industries Ltd.		184,721		1,435,471
FUJIFILM Holdings Corp.		31,443		980,676
Fukuoka Financial Group, Inc.		9,046		37,808
Hakuhodo DY Holdings, Inc.		650		34,712
Hino Motors Ltd.		216,000		1,261,351
Hitachi Ltd.		242,000		1,436,271
Hokuhoku Financial Group, Inc.		14,000		27,732
Hokuriku Electric Power Co.		8,200		156,482
Honda Motor Co. Ltd.		48,297		1,860,735
Idemitsu Kosan Co. Ltd.		8,800		939,164
IHI Corp.		612,000		1,581,379
Isuzu Motors Ltd.		253,000		1,197,686
ITOCHU Corp.		184,044		1,914,215
Japan Real Estate Investment Corp. REIT		17		167,261
Japan Retail Fund Investment Corp. REIT		48		73,970
Japan Tobacco, Inc.		32		123,522
JSR Corp.		9,500		184,140
JTEKT Corp.		97,370		1,434,728
JX Holdings, Inc.		84,695		569,662
Kaneka Corp.		82,625		542,895
Kansai Electric Power Co., Inc./The		41,832		833,030
Kao Corp.		7,085		186,294
KDDI Corp.		348		2,503,838
Kinden Corp.		70,564		603,729
Kobe Steel Ltd.		639,000		1,453,124
Komatsu Ltd.		29,338		916,025
Kubota Corp.		42,000		372,606
Kuraray Co. Ltd.		65,000		952,252
Makita Corp.		24,600		1,146,334
Marubeni Corp.		96,974		644,471
Maruichi Steel Tube Ltd.		23,400		580,109
Miraca Holdings, Inc.		19,106		774,111
Mitsubishi Chemical Holdings Corp.		152,500		1,080,636
Mitsubishi Corp.		17,200		429,619
Mitsubishi Electric Corp.		148,000		1,719,184
Mitsubishi Estate Co. Ltd.		52,020		912,949
Mitsubishi Heavy Industries, Ltd.		351,000		1,650,481
Mitsubishi UFJ Financial Group, Inc.		360,791		1,758,256
Mitsui & Co. Ltd.		170,243		2,943,523
Mitsui Fudosan Co. Ltd.		35,205		606,332
Mitsumi Electric Co. Ltd.		89		882
Mizuho Financial Group, Inc.		10		16
NHK Spring Co. Ltd.		46,000		470,400
Nippon Building Fund, Inc. REIT (a)		19		185,670
Nippon Electric Glass Co. Ltd.		113,000		1,449,919
Nippon Kayaku Co. Ltd.		31,000		326,999
Nippon Meat Packers, Inc. (a)		82,000		1,176,284
Nippon Telegraph & Telephone Corp.		19,019		917,321
Nippon Yusen KK		69,000		256,358
Nishi-Nippon City Bank Ltd./The		97,737		288,695
Nisshin Seifun Group, Inc.		13,584		169,783
Nisshin Steel Co. Ltd.		147,000		281,136
Nitto Denko Corp.		26,583		1,350,712
Nomura Real Estate Holdings, Inc.		3,300		55,021
Nomura Real Estate Office Fund, Inc. REIT		10		66,206

	SHARES		VALUE (Note 3)
Japan - 17.4% (continued)
NTN Corp.		113,000	$	643,721
NTT Data Corp.		69		229,313
NTT DoCoMo, Inc.		1,326		2,368,158
OJI Paper Co. Ltd. (a)		12,000		57,553
ORIX Corp. (a)		3,669		356,890
Osaka Gas Co. Ltd.		237,802		902,010
Otsuka Corp.		900		56,033
Pacific Metals Co. Ltd.		107,000		791,847
Rengo Co. Ltd.		24,299		160,571
Sapporo Hokuyo Holdings, Inc.		55,600		233,079
SBI Holdings, Inc.		600		55,758
Sega Sammy Holdings, Inc.		72,400		1,399,546
Seino Holdings Corp.		68,837		495,124
Sekisui Chemical Co. Ltd.		55,000		469,924
Sekisui House Ltd.		19,000		176,911
Seven & I Holdings Co. Ltd.		53,639		1,442,566
Shimadzu Corp.		7,000		64,114
Shimizu Corp.		26,000		108,357
Showa Shell Sekiyu KK (a)		46,700		433,719
Softbank Corp.		29,900		1,132,382
Sojitz Corp.		79,062		148,098
Sony Corp.		42,471		1,120,609
Sumitomo Corp.		105,300		1,432,529
Sumitomo Metal Industries Ltd.		123,000		276,315
Sumitomo Metal Mining Co., Ltd.		26,000		427,160
Sumitomo Mitsui Financial Group, Inc.		86,936		2,680,645
Sumitomo Mitsui Trust Holdings, Inc.		341		1,187
Sumitomo Realty & Development Co. Ltd.		13,261		296,379
Taisei Corp. (a)		307,000		704,536
Takeda Pharmaceutical Co. Ltd.		56,081		2,591,891
Teijin Ltd.		78,000		343,811
Toho Co. Ltd.		4,000		66,418
Tohoku Electric Power Co., Inc.		15,700		226,560
Tokai Rika Co. Ltd.		7,799		150,811
Tokio Marine Holdings, Inc.		38,500		1,077,784
Tokyo Electric Power Co., Inc./The		62,373		252,495
Tokyo Electron Ltd.		4,300		235,136
Tokyo Gas Co. Ltd.		193,071		871,398
Tokyo Tatemono Co. Ltd. (a)		14,000		51,081
Tokyu Land Corp.		26,483		112,515
TonenGeneral Sekiyu KK (a)		38,000		467,417
Tosoh Corp.		139,000		558,177
Toyota Auto Body Co. Ltd.		16,957		278,579
Toyota Motor Corp.		78,053		3,214,159
Toyota Tsusho Corp.		22,200		381,015
Ube Industries Ltd./Japan		77,000		231,819
UNY Co. Ltd.		52,800		490,646
USS Co. Ltd.		16,584		1,286,482
West Japan Railway Co.		8,200		320,120
Yamada Denki Co. Ltd.		7,510		611,912
Yamaha Motor Co. Ltd. †		11,500		211,228
Yamatake Corp.		7,537		168,081
				95,750,462
Jersey, Channel Islands - 0.5%
Randgold Resources Ltd.		3,761		316,784
Sands China Ltd. †		95,200		258,044

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 13

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
Jersey, Channel Islands - 0.5% (continued)
Wolseley PLC		68,503	$	2,236,041
				2,810,869
Netherlands - 5.1%
ASML Holding NV		148,074		5,461,678
Corio NV REIT		2,174		143,977
Delta Lloyd NV		40,175		954,273
European Aeronautic Defence and Space Co. NV (a)		46,196		1,546,069
ING Groep NV CVA †		170,322		2,098,965
Koninklijke Ahold NV		129,789		1,745,049
Koninklijke DSM NV		5,677		368,417
Koninklijke KPN NV		206,778		3,007,582
Royal Dutch Shell PLC A Shares		145,217		5,167,337
Royal Dutch Shell PLC B Shares		162,399		5,795,362
Unilever NV CVA		59,667		1,958,310
				28,247,019
Singapore - 1.3%
Ascendas Real Estate Investment Trust REIT		49,637		82,559
CapitaLand Ltd.		197,000		468,000
CapitaMall Trust REIT		71,994		109,738
DBS Group Holdings Ltd.		27,128		324,512
Fraser and Neave Ltd.		99,000		467,759
Genting Singapore PLC †		204,000		321,633
Golden Agri-Resources Ltd.		521,000		289,440
Jardine Cycle & Carriage Ltd.		11,066		388,299
Keppel Corp. Ltd.		23,728		214,683
Oversea-Chinese Banking Corp. Ltd.		112,479		859,155
SembCorp Industries Ltd.		32,017		130,381
SembCorp Marine Ltd.		121,000		523,640
Singapore Airlines Ltd.		65,000		752,324
Singapore Exchange Ltd. (a)		29,472		181,102
Singapore Press Holdings Ltd. (a)		86,000		273,310
Singapore Technologies Engineering Ltd.		63,265		155,348
Singapore Telecommunications Ltd. (a)		304,524		784,922
StarHub Ltd.		1,988		4,521
United Overseas Bank Ltd.		54,097		868,536
UOL Group Ltd.		18,000		73,093
				7,272,955
Spain - 2.8%
Banco Bilbao Vizcaya Argentaria SA		12,342		144,880
Banco Santander SA		424,844		4,894,263
Endesa SA (a)		56,918		1,896,010
Inditex SA		23,491		2,140,355
Repsol YPF SA		103,109		3,576,386
Telefonica SA		103,688		2,532,449
				15,184,343
Sweden - 2.7%
Atlas Copco AB, A Shares		39,358		1,036,546
Boliden AB		141,694		2,616,891
Investor AB B Shares		19,364		444,077
Lundin Petroleum AB †		49,516		673,042
NCC AB, Class B		61,299		1,394,565
Sandvik AB		24,571		430,468

	SHARES		VALUE (Note 3)
Sweden - 2.7% (continued)
Scania AB B Shares		82,224	$	1,908,658
Tele2 AB B Shares		190,429		3,758,703
Telefonaktiebolaget LM Ericsson B Shares		62,780		903,750
Volvo AB B Shares		84,949		1,487,142
				14,653,842
Switzerland - 7.6%
ABB Ltd. †		83,894		2,179,760
Compagnie Financiere Richemont SA, Class A		69,122		4,529,775
Glencore International PLC †		35,733		281,587
Nestle SA		157,885		9,824,953
Novartis AG		104,261		6,389,856
Panalpina Welttransport Holding AG †		1,506		207,143
Roche Holding AG		31,146		5,214,487
Sulzer AG		7,563		1,233,147
Swatch Group AG/The		3,656		1,845,212
Swiss Life Holding AG †		10,426		1,709,878
Swisscom AG		2,063		945,756
Syngenta AG †		11,270		3,808,702
Transocean Ltd.		11,824		771,921
UBS AG †		140,294		2,560,306
Xstrata PLC		5,213		114,818
				41,617,301
United Kingdom - 14.9%
Anglo American PLC		73,690		3,654,577
AstraZeneca PLC		87,427		4,369,712
Autonomy Corp. PLC †		9,374		256,773
Aviva PLC		641,764		4,517,404
Barclays PLC		147,142		603,628
Berkeley Group Holdings PLC †		8,295		171,571
BG Group PLC		65,365		1,484,172
BHP Billiton PLC		85,688		3,367,005
BP PLC		801,008		5,897,814
British American Tobacco PLC		84,788		3,718,087
British Land Co. PLC REIT		29,205		285,539
British Sky Broadcasting Group PLC		44,987		610,748
BT Group PLC		1,086,369		3,522,445
Burberry Group PLC		54,116		1,258,450
Cairn Energy PLC †		56,625		377,628
Centrica PLC		9,474		49,194
Drax Group PLC		53,313		430,703
Eurasian Natural Resources Corp. PLC		20,230		253,836
GKN PLC		185,395		691,204
GlaxoSmithKline PLC		174,026		3,730,117
Hammerson PLC REIT		28,872		223,216
HSBC Holdings PLC		542,040		5,374,181
IMI PLC		14,557		246,093
Imperial Tobacco Group PLC		30,198		1,005,366
Inchcape PLC		62,515		419,796
Intermediate Capital Group PLC		116,936		605,861
Investec PLC		93,810		761,455
Kazakhmys PLC		32,054		710,541
Kesa Electricals PLC		308,926		682,578
Kingfisher PLC		73,052		313,801
Ladbrokes PLC		218,362		534,232

The accompanying notes are an integral part of these financial statements. (Continued)

14 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

	SHARES		VALUE (Note 3)
United Kingdom - 14.9% (continued)
Land Securities Group PLC REIT		24,126	$	330,045
Legal & General Group PLC		478,485		906,449
Lloyds Banking Group PLC †		4,928,222		3,872,761
Michael Page International PLC		58,679		504,072
Misys PLC †		77,107		520,223
Mondi PLC		294,218		2,928,432
National Grid PLC		69,697		686,111
Persimmon PLC		131,781		1,020,995
Reed Elsevier PLC		49,673		452,239
Rio Tinto PLC		58,890		4,252,196
Rolls-Royce Holdings PLC (3)†(b)		5,987,712		9,610
Royal Bank of Scotland Group PLC †		2,214,496		1,369,803
SABMiller PLC		9,800		357,705
Scottish & Southern Energy PLC		85,931		1,921,898
Segro PLC REIT		49,428		247,825
Smith & Nephew PLC		33,074		354,443
Tate & Lyle PLC		203,061		2,008,383
Tesco PLC		273,797		1,768,996
Tullow Oil PLC		33,537		667,859
Vodafone Group PLC		2,682,941		7,114,200
William Hill PLC		86,074		315,583
				81,737,555
TOTAL COMMON STOCKS (cost $405,645,778)				468,426,003
PREFERRED STOCKS - 0.5%
Germany - 0.5%
Porsche Automobil Holding SE (a)		17,753		1,408,214
Volkswagen AG		6,683		1,382,016
				2,790,230
Switzerland - 0.0% (c)
Schindler Holding AG (a)		613		74,557
TOTAL PREFERRED STOCKS (cost $1,808,787)				2,864,787
MONEY MARKET FUNDS - 10.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (e)(f)		6,312,112		6,312,112
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (e)		53,084,891		53,084,891
TOTAL MONEY MARKET FUNDS (cost $59,397,003)				59,397,003
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 3.8%
J.P. Morgan Prime Money Market Fund -
Capital Shares, 0.090% (d)(e) (cost $20,641,396)		20,641,396		20,641,396
TOTAL INVESTMENTS - 100.2% (cost $487,492,964)				551,329,189
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2%) (g)				(1,258,502)
NET ASSETS - 100.0%			$	550,070,687

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	60,558,679		11.0	%
Consumer Staples		36,945,823		6.7
Energy		45,176,365		8.2
Financials		86,210,137		15.7
Health Care		41,480,927		7.5
Industrials		73,623,472		13.4
Information Technology		17,428,439		3.2
Materials		63,943,827		11.6
Telecommunication Services		33,550,338		6.1
Utilities		12,372,783		2.2
Money Market Funds		80,038,399		14.6
Total Investments		551,329,189		100.2
Liabilities in Excess of Other Assets (g)		(1,258,502)		(0.2)
Net Assets	$	550,070,687		100.0	%

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $19,803,898; cash collateral of $20,641,396 was received with which the fund purchased a money market fund.

(b) Security fair valued at June 30, 2011.

(c) Represents less than 0.05 percent of net assets.

(d) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

(e) Represents annualized seven-day yield as of June 30, 2011.

(f) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

(g) Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2, unless noted otherwise in parentheses.

(3) Level 3 security (See Note 5).

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certificate of Shares

REIT - Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 15

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

Total return swap contract outstanding as of June 30, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	Swiss Market Index	9/16/2011		$(39,114,158)		$252,855

Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
979	CAC40 10 Euro Futures	July 15, 2011		$54,472,689		$56,496,835		$2,024,146
105	DAX Index Futures	September 16, 2011		27,215,404		28,136,807		921,403
650	FTSE 100 Index Futures	September 16, 2011		59,979,965		61,575,913		1,595,948
154	FTSE/MIB Index Futures	September 16, 2011		22,499,274		22,570,149		70,875
99	Hang Seng Index Futures	July 28, 2011		13,992,834		14,266,626		273,792
34	MSCI Singapore Index Futures	July 28, 2011		1,947,649		1,995,213		47,564
								4,933,728
Short Contracts:
150	Amsterdam Index Futures	July 15, 2011		(14,639,110)		(14,780,654)		(141,544)
30	IBEX 35 Index Futures	July 15, 2011		(4,360,305)		(4,469,217)		(108,912)
751	OMXS30 Index Futures	July 15, 2011		(13,081,104)		(13,238,553)		(157,449)
282	SPI 200 Index Futures	September 15, 2011		(34,320,380)		(34,790,358)		(469,978)
74	TOPIX Index Futures	September 8, 2011		(7,567,643)		(7,808,583)		(240,940)
								(1,118,823)
								$3,814,905

Cash held as collateral with broker for futures contracts was $14,838,805 at June 30, 2011.

Forward foreign currency exchange contracts outstanding as of June 30, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	AUD		35,621,100		$37,608,046		$37,822,840		$214,794
Swiss Franc, Expiring 09/21/11	The Royal Bank of Scotland	CHF		5,857,000		7,007,419		6,969,881		(37,538)
Danish Krone, Expiring 09/21/11	The Royal Bank of Scotland	DKK		5,149,000		1,001,892		999,142		(2,750)
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		26,733,400		38,777,095		38,681,359		(95,736)
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		24,646,000		40,135,370		39,518,629		(616,741)
Hong Kong Dollar, Expiring 09/21/11	The Royal Bank of Scotland	HKD		27,305,000		3,511,535		3,510,633		(902)
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		13,473,000		3,912,252		3,942,081		29,829

The accompanying notes are an integral part of these financial statements. (Continued)

16 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL EQUITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		1,301,820,000		$16,168,463		$16,178,007		$9,544
Norwegian Krone, Expiring 09/21/11	The Royal Bank of Scotland	NOK		169,428,000		31,213,908		31,241,881		27,973
New Zealand Dollar, Expiring 09/21/11	The Royal Bank of Scotland	NZD		87,000		70,193		71,695		1,502
Swedish Krona, Expiring 09/21/11	The Royal Bank of Scotland	SEK		611,425,000		98,396,959		96,215,042		(2,181,917)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		2,673,300		2,170,229		2,176,529		6,300
						279,973,361		277,327,719		(2,645,642)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	AUD		(11,729,000)		$(12,306,418)		$(12,453,970)		$(147,552)
Swiss Franc, Expiring 09/21/11	The Royal Bank of Scotland	CHF		(37,525,800)		(44,371,616)		(44,656,030)		(284,414)
Danish Krone, Expiring 09/21/11	The Royal Bank of Scotland	DKK		(23,596,000)		(4,529,216)		(4,578,707)		(49,491)
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		(14,936,000)		(21,163,786)		(21,611,346)		(447,560)
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		(11,754,700)		(19,157,434)		(18,848,074)		309,360
Hong Kong Dollar, Expiring 09/21/11	The Royal Bank of Scotland	HKD		(2,866,000)		(368,315)		(368,485)		(170)
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		(572,000)		(166,907)		(167,362)		(455)
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		(6,823,403,200)		(84,941,499)		(84,795,953)		145,546
Norwegian Krone, Expiring 09/21/11	The Royal Bank of Scotland	NOK		(32,857,000)		(6,063,560)		(6,058,706)		4,854
New Zealand Dollar, Expiring 09/21/11	The Royal Bank of Scotland	NZD		(87,000)		(70,717)		(71,695)		(978)
Swedish Krona, Expiring 09/21/11	The Royal Bank of Scotland	SEK		(89,230,000)		(13,773,042)		(14,041,408)		(268,366)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		(253,000)		(205,204)		(205,986)		(782)
						(207,117,714)		(207,857,722)		(740,008)
						$72,855,647		$69,469,997		$(3,385,650)

Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $6,312,112.

AUD - Australian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

NOK - Norwegian Krone

NZD - New Zealand Dollar

SEK - Swedish Krona

SGD - Singapore Dollar

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 17

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 133.1%	SHARES		VALUE (Note 3)
COMMON STOCKS - 63.6%
Consumer Discretionary - 9.3%
AMC Networks, Inc., Class A †		16,065	$	698,828
AutoChina International Ltd. (China) †(l)		59,429		1,734,733
Barnes & Noble, Inc.		115,300		1,911,674
Bulgari SpA (Italy)(2)		284,793		5,028,149
California Pizza Kitchen, Inc. †		871,218		16,091,396
CBS Corp., Class A		9,650		277,630
China Century Dragon Media, Inc. (3)†(a)		150,272		15,027
China Networks International Holdings Ltd. (3)†(a)		2,287,278		23,102
Citadel Broadcasting Corp., Class B †		196,810		6,563,614
Comcast Corp., Class A		1,321,873		32,028,983
Discovery Communications, Inc., Class C †		480,733		17,570,791
DSW, Inc., Class A †		152,688		7,727,540
Emmis Communications Corp., Class A †		578,313		636,144
Family Dollar Stores, Inc.		81,596		4,288,686
Forzani Group Ltd./The, Class A (Canada)		420,506		11,484,398
Kandi Technologies Corp. (China) †(l)		385,502		690,049
Kingold Jewelry, Inc. (China) †		173,921		252,185
Lennar Corp. B Shares, Class B		204,766		3,005,965
Liberty Global, Inc. †		858,740		36,668,198
Little Sheep Group Ltd. (China)(2)		3,281,871		2,629,556
McCormick & Schmick’s Seafood Restaurants, Inc. †		231,798		1,991,145
Nobel Learning Communities, Inc. †		252,898		2,920,972
PRIMEDIA, Inc.		219,189		1,545,282
TravelCenters of America LLC †		1,587		8,649
Viacom, Inc., Class B		71,249		3,633,699
Warner Music Group Corp. †		681,005		5,597,861
				165,024,256
Consumer Staples - 0.4%
BJ’s Wholesale Club, Inc. †		89,066		4,484,473
Bunge Ltd. (Bermuda)		30		2,069
Celsius Holdings, Inc. †		166,946		53,423
Embotelladora Andina SA, Class A ADR (Chile)		10,000		250,300
Green Mountain Coffee Roasters, Inc. †		31,981		2,854,624
Molson Coors Brewing Co., Class B		2,926		130,909
				7,775,798
Energy - 5.6%
Alpha Natural Resources, Inc. †(k)		180		8,179
American Energy Fields, Inc. †		1,507,815		271,407
C&J Energy Services, Inc. 144A †(b)		31,094		481,957
China Integrated Energy, Inc. (China) †(l)		174,415		139,532
CIC Energy Corp./Bahamas (Bahamas) †		199,720		596,395
Coalspur Mines Ltd. (Australia) †		255,500		535,134
Ensco PLC ADR (United Kingdom)		440,078		23,456,157
EXCO Resources, Inc.		563,309		9,942,404
Frontier Oil Corp.		739,087		23,879,901
Gran Tierra Energy, Inc. †		208,991		1,376,010

	SHARES		VALUE (Note 3)
Energy - 5.6% (continued)
Gulf United Energy, Inc. †		1,959,798	$	587,939
McDermott International, Inc. †		138,907		2,751,748
Mission NewEnergy Ltd. (Australia) †		20,132		135,086
Mitcham Industries, Inc. †		74,000		1,280,200
Omega Navigation Enterprises, Inc., Class A (Greece) †		252,387		109,788
QEP Resources, Inc.		68,934		2,883,509
Royal Dutch Shell PLC, Class A ADR (Netherlands)		383,798		27,299,552
Scorpio Tankers, Inc. (Monaco) †		25,374		253,486
Syntroleum Corp. †		277,929		408,556
TGC Industries, Inc. †		249,156		1,592,107
				97,989,047
Financials - 19.0%
Abington Bancorp, Inc.		717,311		7,481,554
American Capital Agency Corp. REIT		92,800		2,701,408
Ashford Hospitality Trust, Inc. REIT		118,000		1,469,100
Australia Acquisition Corp. (Australia) †		612,000		5,936,400
Azteca Acquisition Corp. †		800,000		8,000,000
Bancorp Rhode Island, Inc.		112,282		5,088,620
Cazador Acquisition Corp. Ltd. (Cayman Islands) †		319,668		3,075,206
Center Financial Corp. †		955,229		6,065,704
China Growth Equity Investment Ltd. (Cayman Islands) †		395,000		3,950,000
China VantagePoint Acquisition Co. †		199,098		1,184,633
CNinsure, Inc. ADR (China) †		109,943		1,619,460
Community Bank System, Inc.		31,571		782,645
Community Capital Corp. †		227,745		728,784
Corporate Office Properties Trust REIT		74,000		2,302,140
Cowen Group, Inc., Class A†		746,635		2,807,348
Danvers Bancorp, Inc. (2)		620,021		13,927,262
Empeiria Acquisition Corp. †		680,000		6,786,400
European CleanTech SE, Class A (Luxembourg) (2)†		621,000		8,960,404
Excel Trust, Inc. REIT		74,000		816,220
First American Financial Corp.		22,196		347,367
FlatWorld Acquisition Corp. (Virgin Islands, British) †		219,450		2,144,027
FNB Corp.		127,750		1,322,213
FPIC Insurance Group, Inc. †		7,955		331,564
Global Cornerstone Holdings Ltd. †		632,000		6,288,400
Global Eagle Acquisition Corp. †		1,382,500		13,838,825
GS Financial Corp.		17,630		366,704
Hancock Holding Co.		255,745		7,922,980
Helikos SE (Luxembourg) (2)†		72,000		1,033,740
Herald National Bank†		82,747		326,023
Hicks Acquisition Co. II, Inc. †		810,000		7,759,800
IFM Investments Ltd. ADR (China) †		19,963		29,346
Invesco Mortgage Capital, Inc. REIT		116,000		2,451,080
Italy1 Investment SA (Luxembourg) (2)†		590,301		8,474,647
Janus Capital Group, Inc.		2,500		23,600
JWC Acquisition Corp. †		1,032,750		9,935,055
L&L Acquisition Corp. †		306,000		2,907,000
Legacy Bancorp, Inc.		46,896		649,979
Loews Corp.		7,700		324,093

The accompanying notes are an integral part of these financial statements. (Continued)

18 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - 19.0% (continued)
Lone Oak Acquisition Corp. (Hong Kong) †		328,820	$	2,548,355
M&T Bank Corp.		69,973		6,154,125
Marshall & Ilsley Corp.		2,562,100		20,419,937
Nationwide Health Properties, Inc. REIT		401,340		16,619,489
NYSE Euronext		564,798		19,355,627
optionsXpress Holdings, Inc.		1,677,516		27,980,967
Parkvale Financial Corp.		230,039		4,945,839
Patriot National Bank ADR (3)†(a)		2,000,000		2,043,400
PMI Group, Inc. †		291		311
Prime Acquisition Corp. (China) †		423,935		4,001,946
ProLogis, Inc. REIT		85,500		3,064,320
Prospect Capital Corp.		116,000		1,172,760
RLJ Acquisition, Inc. †		974,044		9,253,418
Santa Monica Media Corp. (3)†(a)		15,377		—
SCG Financial Acquistion Corp. †		631,210		6,375,221
Senior Housing Properties Trust REIT		99,750		2,335,147
Solar Senior Capital Ltd.		25,888		464,690
SP Acquisition Holdings, Inc. (3)†(a)		27,000		—
State Bancorp, Inc.		162,481		2,167,497
Sterling Bancshares, Inc.		1,971,142		16,084,519
Student Loan Escrow (3)†(a)		11,558		28,895
SWS Group, Inc.		255,006		1,527,486
Tanger Factory Outlet Centers REIT		87,000		2,328,990
TMX Group, Inc. (Canada)		93,971		4,267,645
Tower Bancorp, Inc.		434,900		11,916,260
Transatlantic Holdings, Inc.		22,840		1,119,388
Trian Acquisition I Corp. (3)†(a)		15,200		—
Trio Merger Corp. †		456,000		4,605,600
Trustco Bank Corp. NY		185,000		906,500
Universal Business Payment Solutions Acquisition Corp. †		947,052		5,682,312
XION Escrow ADR REIT (3)†(a)		8,650		8,650,000
				336,180,375
Health Care - 3.3%
Access Pharmaceuticals, Inc. †		228,024		467,449
Accuray, Inc. †		218,800		1,752,588
Aegerion Pharmaceuticals, Inc. †		74,000		1,165,500
Antares Pharma, Inc. †(k)		365,000		806,650
AVEO Pharmaceuticals, Inc. †		21,503		443,177
AVI BioPharma, Inc. †		376,250		538,038
Cephalon, Inc. †		130,008		10,387,639
China Cord Blood Corp. (Cayman Islands) †		23,686		76,979
Clinical Data (3)†(a)		335,833		319,041
Continucare Corp. †		1,441,484		8,908,371
Cormedix, Inc. †		150,592		222,876
CryoPort, Inc. †		998,678		1,188,427
DynaVox, Inc., Class A †		30,682		233,183
GTx, Inc. †		185,000		886,150
Indevus Pharmaceuticals, Inc. (3)†(a)		6,006		541
InspireMD, Inc. (United Kingdom) (3)†(a)(k)		135,823		314,471
IntelliPharmaCeutics International, Inc. (Canada) †		102,743		408,917
Kendle International, Inc. †		169,114		2,550,239
Kindred Healthcare, Inc. †		244,392		5,247,096

	SHARES		VALUE (Note 3)
Health Care - 3.3% (continued)
Kips Bay Medical, Inc. †		97,480	$	314,860
Merit Medical Systems, Inc. †		60,900		1,094,373
Mylan, Inc. †		1		25
Novartis AG ADR (Switzerland)		248,378		15,178,380
Opexa Therapeutics, Inc. †(l)		114,457		181,987
Orchid Cellmark, Inc. †		1,161,122		3,204,697
Pluristem Therapeutics, Inc. †(l)		221,976		645,950
Provectus Pharmaceuticals, Inc. †		861,064		878,285
Rosetta Genomics Ltd. (Israel) †		1,045,115		303,083
RXi Pharmaceuticals Corp. †(l)		205,874		201,757
Tengion, Inc. †		6,381		7,593
Theragenics Corp. †		619,560		1,090,426
Thoratec Corp. †		1		33
				59,018,781
Industrials - 3.6%
Advanced Battery Technologies, Inc. †		687,200		680,328
Allied Defense Group, Inc. †(k)		190,011		665,039
AMR Corp. †		24		130
Babcock & Wilcox Co. †		81,251		2,251,465
Baltic Trading Ltd.		28,122		161,420
Barnes Group, Inc.		374		9,279
Bucyrus International, Inc.		186,193		17,066,450
China Dredging Group Co. Ltd. ADR (China) (2)†		1,000,000		5,000,000
China Electric Motor, Inc. (China) †		2,400		960
China Fire & Security Group, Inc. (China) †(l)		81,501		638,153
Demag Cranes AG (Germany) (2)		49,972		3,255,055
Dollar Thrifty Automotive Group, Inc. †		167,519		12,352,851
Douglas Dynamics, Inc.		8,113		128,104
Fushi Copperweld, Inc. (China) †		244,539		1,401,208
HEICO Corp., Class A		222,316		8,839,284
Hubbell, Inc., Class A		2,194		130,828
Huntington Ingalls Industries, Inc. †		19,129		659,950
Kratos Defense & Security Solutions, Inc. †		67,232		817,541
Mistras Group, Inc. †		3,650		59,130
Plug Power, Inc. †(l)		352,103		781,669
Rush Enterprises, Inc., Class B †		1,000		16,100
Sapphire Industry Corp. (3)†(a)		25,025		—
Spherix, Inc. †		36,852		84,760
TNT Express NV (Netherlands) (2)†		302,331		3,135,618
Vector Aerospace Corp. (Canada) †		346,742		4,659,419
				62,794,741
Information Technology - 12.3%
Advanced Analogic Technologies, Inc. †		1,176,391		7,123,047
Ancestry.com, Inc. †		73,000		3,021,470
Authentidate Holding Corp. †		101,042		121,250
China Security & Surveillance Technology, Inc. (China) †(l)		132,949		704,630
CoreLogic, Inc. †		14,981		250,333
EMS Technologies, Inc. †		162,485		5,357,130
Equinix, Inc. †		7,162		723,505
Finisar Corp. †		26,000		468,780
Fundtech Ltd. (Israel)		128,221		2,559,291
Funtalk China Holdings Ltd. (China) †(l)		266,909		1,777,614

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 19

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Information Technology - 12.3% (continued)
GT Solar International, Inc. †		26	$	421
Hypercom Corp. †		1,215,261		11,946,016
Identive Group, Inc. †		158,000		366,560
Integral Systems, Inc. †		181,596		2,210,023
Intel Corp.		10,420		230,907
L-1 Identity Solutions, Inc. †		633,676		7,445,693
Lawson Software, Inc. †		1,336,691		14,997,673
LoopNet, Inc. †		884,839		16,263,341
LTX-Credence Corp. †		20,005		178,845
Magic Software Enterprises Ltd. (Israel) †		239,007		1,190,255
Mediamind Technologies, Inc. †		351,722		7,716,781
Mentor Graphics Corp. †		195,013		2,498,117
Micron Technology, Inc. †		31,163		233,099
Molex, Inc., Class A		1,159,911		24,914,888
Motorola Mobility Holdings, Inc. †		84,752		1,867,934
Motorola Solutions, Inc. †		96,859		4,459,388
National Semiconductor Corp.		309,205		7,609,535
Ness Technologies, Inc. (Israel) †		1,092,286		8,268,605
Novellus Systems, Inc. †		45,550		1,646,177
On Track Innovations Ltd. (Israel) †		347,101		763,622
Orbotech, Ltd. (Israel) †		74,000		943,500
Orckit Communications Ltd. (Israel) †		15,174		34,293
Procera Networks, Inc. †		51,800		555,814
Rovi Corp. †		149,188		8,557,424
SAVVIS, Inc. †		286,658		11,331,591
SinoHub, Inc. (China) †		888,272		959,334
SMART Modular Technologies WWH, Inc. †		979,067		8,968,254
SPS Commerce, Inc. †		19,388		344,913
SRA International, Inc., Class A †		358,432		11,082,717
SS&C Technologies Holdings, Inc. †		20,898		415,243
Telestone Technologies Corp. (China) †(l)		115,818		720,388
Telvent GIT SA (Spain) †		22,524		896,455
Tessco Technologies, Inc.		56,321		626,290
Trunkbow International Holdings Ltd. (China) †		156,318		372,037
Uni-Pixel, Inc. †		38,764		271,348
Varian Semiconductor Equipment Associates, Inc. †		132,744		8,155,791
Velti PLC (Ireland) †		32,645		552,027
Verigy Ltd. (Singapore) †		1,488,377		22,281,004
Visa, Inc., Class A		47,168		3,974,376
				217,957,729
Materials - 5.2%
Allegheny Technologies, Inc.		162,833		10,335,011
Aurcana Corp. (Canada) †		1,246,774		775,638
BHP Billiton PLC ADR (United Kingdom)		266,798		20,924,967
Calvista Gold Corp. (Canada) †		200,000		172,119
Capstone Mining Corp. (Canada) †		662,774		2,467,063
Cereplast, Inc. †		258,156		1,146,213
Chemspec International Ltd. ADR (China) †		80,600		580,320
China GengSheng Minerals, Inc. (China) †(l)		481,660		900,704

	SHARES		VALUE (Note 3)
Materials - 5.2% (continued)
Clean Diesel Technologies, Inc. †		16,132	$	76,627
Edgewater Exploration Ltd. (Canada) †		426,850		376,196
Energy Fuels, Inc. (Canada) †		720,000		272,487
Graham Packaging Co., Inc. †		271,898		6,857,268
Inmet Mining Corp. (Canada)		99,232		7,140,547
Kangaroo Resources Ltd. (Australia) (2)†		10,874,707		2,156,122
Lion One Metals Ltd. (Canada) (3)†(a)		775,282		859,808
Lubrizol Corp.		142,623		19,149,990
Metals USA Holdings Corp. †		53,984		804,362
Mines Management, Inc. †		16,120		34,013
Monsanto Co.		3,820		277,103
New Gold, Inc. (Canada) †		131,758		1,359,316
Pilot Gold, Inc. (Canada) †		74,962		170,995
Pretium Resources, Inc. (Canada) †		37,500		356,162
Quaker Chemical Corp.		3,650		156,986
Rock-Tenn Co., Class A		72,841		4,832,272
Solitario Exploration & Royalty Corp. †		59,250		168,862
Southern Arc Minerals, Inc. (Canada) (3)†(a)		248,481		429,589
Steel Dynamics, Inc.		161		2,616
Temple-Inland, Inc., Series J.P. Morgan		291,559		8,670,965
				91,454,321
Telecommunication Services - 0.9%
Global Crossing Ltd. (Bermuda) †		194,953		7,482,296
Telephone & Data Systems, Inc. Special Shares		308,744		8,314,476
				15,796,772
Utilities - 4.0%
Central Vermont Public Service Corp.		86,882		3,140,784
China Hydroelectric Corp. ADR (China) †		21,854		89,164
Constellation Energy Group, Inc.		539,488		20,478,964
DPL, Inc.		137,566		4,148,991
Nicor, Inc.		185,451		10,151,588
NSTAR		183,773		8,449,883
Pennichuck Corp.		107,341		3,086,054
Progress Energy, Inc.		409,006		19,636,378
Questar Corp.		68,934		1,220,821
				70,402,627
TOTAL COMMON STOCKS (cost $1,100,988,096)				1,124,394,447

The accompanying notes are an integral part of these financial statements. (Continued)

20 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE PREFERRED STOCKS - 4.1%	MOODY’S RATING*							SHARES		VALUE (Note 3)
Communications - 0.0% (c)
Nielsen Holdings NV, $50.00 par, 6.250% (2)		B	**						6,800	$	418,625
Consumer Discretionary - 0.1%
Beazer Homes USA, Inc., $25.00 par, 7.250%		NR							52,875		866,092
Goodyear Tire & Rubber Co./The, $50.00 par, 5.875% (2)†		NR							16,500		914,719
											1,780,811
Consumer Staples - 0.5%
Universal Corp., Perpetual, $1,000.00 par, 6.750%		BB	**						8,350		8,149,600
Energy - 1.0%
Chesapeake Energy Corp., Perpetual 144A, $1,000.00 par, 5.750% (2)(b)		B+	**						10,000		12,600,000
Energy XXI Bermuda Ltd., Perpetual (Bermuda), $250.00 par, 5.625% (2)		NR							9,535		3,480,275
Superior Well Services, Inc., Perpetual, Series A, $1,000.00 par, 4.000% (2)		NR							1,169		1,083,522
Whiting Petroleum Corp., Perpetual, $100.00 par, 6.250%		B	**						1,144		306,352
											17,470,149
Financials - 2.1%
Ally Financial, Inc., Perpetual, Series 144a 144A, $1,000.00 par, 7.000% (2)(b)		B3							2,175		2,044,092
Boston Private Capital Trust I, $50.00 par, 4.875% (2)		NR							3,750		113,672
Dole Food Automatic Common Exchange 144A, $12.50 par, 7.000% (2)†(b)		NR							62,250		785,906
Jack Cooper Holdings Corp. 144A, $99.08 par, 12.750% (2)(b)		NR							6,950,000		7,367,000
Jack Cooper Holdings Corp., Perpetual 144A, $100.00 par, 0.000% (2)†(b)(d)		NR							2,000		190,000
MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (2)		NR							19,550		2,277,575
SLM Corp., Perpetual, Series A, $50.00 par, 6.970%		Ba3							12,500		593,875
Sovereign Capital Trust IV, $50.00 par, 4.375% (2)		Baa3							411,418		20,365,191
UBS AG (Switzerland), $25.00 par, 9.375% (2)		NR							26,000		627,380
Wells Fargo & Co., Perpetual, Series L, $1,000.00 par, 7.500%		Baa3							500		530,000
Wintrust Financial Corp., $50.00 par, 7.500%(2)(k)		NR							24,300		1,276,387
											36,171,078
Industrials - 0.0% (c)
Timberjack Corp., $188,000.00 par, 8.000% (3)†(a)		NR							188,000		758,618
Information Technology - 0.3%
Authentidate Holding Corp. Series C, $1.60 par, 15.000% (3)†(a)		NR							218,000		784,800
Unisys Corp., Series A, $100.00 par, 6.250% (2)		NR							41,800		3,281,718
											4,066,518
Utilities - 0.1%
PPL Corp., $50.00 par, 8.750% (2)†		NR							44,700		2,469,228
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $68,406,124)											71,284,627
				INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)
CORPORATE BONDS - 17.7%
Communications - 0.8%
Digital Angel (3)(a)		NR			0.160%		07/01/12	$	1,341		1,322,399
Global Crossing UK Finance plc (United Kingdom) (2)(k)		B3			10.750%		12/15/14		1,835		1,915,281
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(b)(k)		B	**		14.000%		09/30/13		887		933,797
Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(b)(e)		CCC+	**		11.500%		04/30/14		2,275		1,831,375
Primus Telecommunications Holding, Inc. / Primus Telecommunications Canada Inc 144A (2)(b)		B3			13.000%		12/15/16		1,150		1,322,500

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 21

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Communications - 0.8% (continued)
WCP Wireless Site Funding LLC/WCP Wireless Site RE Funding LLC 144A (2)(b)		NR			9.247%		11/15/15	$	3,000	$	3,007,387
WCP Wireless Site Funding LLC/WCP Wireless Site RE Funding LLC, Series 144a 144A (2)(b)		NR			6.829%		11/15/15		3,325		3,377,304
											13,710,043
Consumer Discretionary - 3.3%
American Airlines Equipment Trust 1990, Series 90-Y (2)(k)		Caa1			11.000%		05/07/14		1,966		1,929,544
American Airlines Equipment Trust 1990, Series B (2)(k)		Caa1			10.500%		09/15/11		2,575		2,594,740
Baker & Taylor, Inc. 144A (2)(b)(k)		B3			11.500%		07/01/13		3,250		2,746,250
Broder Brothers Co. 144A (2)(b)(e)(k)		NR			12.000%		10/15/13		3,975		3,965,062
Brookstone Co., Inc. 144A (2)(b)(k)		CCC+	**		13.000%		10/15/14		516		437,310
Delta Air Lines 2001-1 Class B Pass Through Trust, Series 2001-1, Class B (2)		WR			7.711%		09/18/11		1,890		1,908,900
Dollar General Corp. (2)(k)		B1			10.625%		07/15/15		3,650		3,850,535
Empire Today LLC / Empire Today Finance Corp. 144A (2)(b)		B3			11.375%		02/01/17		3,050		3,141,500
GameStop Corp./GameStop, Inc. (2)(k)		Ba1			8.000%		10/01/12		1,083		1,099,245
Goodyear Tire & Rubber Co./The (2)(k)		B1			10.500%		05/15/16		2,976		3,348,000
Hawaiian Holdings, Inc. (2)(k)		NR			5.000%		03/15/16		300		306,750
Mandalay Resort Group (2)(k)		Caa1			6.375%		12/15/11		3,575		3,606,281
MGM Resorts International (2)(k)		Caa1			4.250%		04/15/15		8,500		9,201,250
Pegasus Solutions, Inc. 144A (2)(b)(e)		NR			13.000%		04/15/14		3,132		3,014,811
Sally Holdings LLC/Sally Capital, Inc. (2)(k)		B2			9.250%		11/15/14		5,500		5,720,000
SouthPeak Interactive Corp. (3)(a)		NR			10.000%		07/19/13		2,500		1,334,883
Unifi, Inc. (2)(k)		Caa1			11.500%		05/15/14		2,941		3,040,259
Wallace Theater Holdings, Inc., Series UNIT 144A (2)(b)(d)		CCC	**		12.500%		06/15/13		4,675		4,569,812
WMG Acquisition Corp. (2)(k)		B1			7.375%		04/15/14		1,922		1,950,830
											57,765,962
Consumer Staples - 1.4%
Great Atlantic & Pacific Tea Co. 144A (2)(b)(f)(k)		WR			11.375%		08/01/15		3,555		3,786,075
North Atlantic Trading Co. 144A (2)(b)(k)		NR			10.000%		03/01/12		3,340		3,281,550
Smithfield Foods, Inc. (2)(k)		B+	**		4.000%		06/30/13		13,300		15,644,125
Vector Group Ltd. (2)		B1			11.000%		08/15/15		1,700		1,780,750
											24,492,500
Energy - 1.7%
Black Elk Energy Offshore Operations LLC and Black Elk Finance Corp., Series AI 144A (2)(b)(k)		Caa2			13.750%		12/01/15		5,800		5,829,000
CCS, Inc. 144A (Canada) (2)(b)(k)		Caa2			11.000%		11/15/15		4,800		5,040,000
Compton Petroleum Finance Corp. (Canada) (2)		NR			10.000%		09/15/11		3,650		2,591,500
Global Rig Co. (Norway) (2)		NR			13.000%		06/09/15		3,800		3,819,000
Golden Close Maritime Corp. MTN (Bermuda) (2)		NR			11.000%		12/09/15		2,500		2,675,000
Harvest Operations Corp. (Canada) (2)(k)		NR			7.500%		05/31/15	CAD	275		298,681
InterOil ASA (Norway) (2)		NR			15.000%		03/14/14	NOK	6,500		1,168,642
LDK Solar Co. Ltd., Series EXCH (Cayman Islands) (2)(k)		NR			4.750%		04/15/13	$	625		576,563
Panoro Energy ASA 144A (Norway) (2)(b)		NR			12.000%		11/15/18		2,300		2,346,000
Polarcus Alima AS (Norway) (2)		NR			12.500%		10/29/15		3,800		3,800,000
RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(b)(k)		B3			11.875%		03/15/17		845		946,400
Sevan Marine ASA (Norway) (2)		NR			14.000%		12/22/14	NOK	12,000		1,045,383
Sevan Marine ASA 144A (Norway) (2)(b)		NR			12.000%		08/10/15	$	1,000		820,000
											30,956,169
Financials - 4.1%
Ally Financial, Inc. (2)(k)		B1			6.000%		12/15/11		810		820,125
Avatar Holdings, Inc. (2)(k)		NR			7.500%		02/15/16		5,900		5,900,000
Bankrate, Inc. 144A (2)(b)(k)		B1			11.750%		07/15/15		1,077		1,227,780

The accompanying notes are an integral part of these financial statements. (Continued)

22 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Financials - 4.1% (continued)
CNG Holdings, Inc. 144A (2)(b)(k)		B3			12.250%		02/15/15	$	5,975	$	6,467,938
CNO Financial Group, Inc. (2)(k)		B2			7.000%		12/30/16		3,635		5,843,262
CNO Financial Group, Inc., Series UNRE (2)(k)		NR			7.000%		12/30/16		2,367		3,804,952
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2)(k)		Ba3			8.000%		01/15/18		2,055		2,085,825
ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(d)(k)		B1			3.846%		12/29/49		3,875		3,659,461
Jasper Explorer Ltd./Cyprus (Cyprus) (2)		NR			13.500%		05/27/16		6,000		5,902,500
Landry’s Holdings, Inc. 144A (2)(b)(k)		Caa1			11.500%		06/01/14		1,545		1,541,138
Liberty Mutual Group, Inc. 144A (2)(b)(d)(k)		Baa3			10.750%		06/15/58		3,550		4,712,625
Offshore Group Investments Ltd. (Cayman Islands) (2)(k)		B3			11.500%		08/01/15		1,950		2,120,625
Offshore Group Investments Ltd. 144A (Cayman Islands) (2)(b)		B3			11.500%		08/01/15		450		489,375
Rare Restaurant Group LLC/RRG Finance Corp. 144A (2)(b)(k)		WR			9.250%		05/15/14		1,300		1,079,000
Rouse Co. LP (The) (2)(k)		BB+	**		6.750%		11/09/15		4,045		4,171,406
Speedy Cash, Inc. 144A (2)(b)(k)		B3			10.750%		05/15/18		9,175		9,381,437
Springleaf Finance Corp. (2)		B3			5.625%		08/17/11		2,450		2,448,775
Synovus Financial Corp. (2)(k)		B3			5.125%		06/15/17		1,375		1,251,166
TMX Finance LLC / TitleMax Finance Corp. (2)(k)		B2			13.250%		07/15/15		5,905		6,628,363
Washington Mutual, Inc. (2)(f)(k)		WR			4.000%		01/15/09		3,050		3,332,125
											72,867,878
Healthcare - 2.5%
Adcare Health Systems, Inc. (3)(a)		NR			10.000%		10/26/13		1,850		2,490,067
Beckman Coulter, Inc. (2)(k)		Baa3			2.500%		12/15/36		12,226		14,594,788
Cephalon, Inc. (2)(k)		NR			2.500%		05/01/14		3,854		4,721,150
Dendreon Corp. (2)(k)		NR			2.875%		01/15/16		2,100		2,307,375
Incyte Corp. Ltd. (2)(k)		NR			4.750%		10/01/15		1,000		2,301,250
KV Pharmaceutical Co. 144A (2)(b)(k)		NR			12.000%		03/15/15		8,175		7,449,469
Merge Healthcare, Inc. (2)(k)		B2			11.750%		05/01/15		1,930		2,065,100
NuVasive, Inc. (2)		NR			2.750%		07/01/17		750		758,437
Omnicare, Inc. (2)(k)		Ba3			6.125%		06/01/13		978		978,000
Omnicare, Inc. (2)(k)		Ba3			3.750%		12/15/25		2,400		3,201,000
PDL BioPharma, Inc. 144A (2)(b)		NR			2.875%		02/15/15		1,400		1,426,250
Tenet Healthcare Corp. (2)(k)		Caa1			6.375%		12/01/11		1,750		1,760,937
											44,053,823
Industrials - 1.3%
Boa Deep C AS (Norway) (2)(d)		NR			8.220%		04/27/16	NOK	19,000		3,389,618
Eastman Kodak Co. (2)		NR			7.000%		04/01/17	$	3,500		3,053,750
Floatel Superior Ltd. (Bahamas) (2)		NR			13.000%		09/02/15		1,100		1,188,000
GenCorp, Inc. (2)(k)		CCC+	**		4.063%		12/31/39		325		330,688
Greenhouse Holdings (3)(a)		NR			12.000%		05/01/12		640		522,351
MasTec, Inc. (2)		NR			4.250%		12/15/14		2,400		3,537,000
Ship Finance International Ltd. (Bermuda) (2)(k)		B1			8.500%		12/15/13		3,250		3,254,063
United Continental Holdings, Inc. (2)		NR			6.860%		04/22/14		5,515		5,521,791
Western Express, Inc. 144A (2)(b)		Caa1			12.500%		04/15/15		2,300		2,173,500
											22,970,761
Information Technology - 1.4%
CDW LLC / CDW Finance Corp. (2)(e)(k)		Caa1			11.500%		10/12/15		1,906		2,010,714
CDW LLC / CDW Finance Corp. (2)(k)		Caa1			11.000%		10/12/15		479		504,147
Salesforce.com, Inc. (2)(k)		NR			0.750%		01/15/15		12,500		22,640,625
											25,155,486
Materials - 0.5%
Appleton Papers, Inc. (2)(k)		B3			11.250%		12/15/15		1,810		1,828,100
Appleton Papers, Inc. 144A (2)(b)(k)		B1			10.500%		06/15/15		600		625,500
Cemex SAB de CV (Mexico) (2)(k)		NR			4.875%		03/15/15		3,200		3,172,000
Sterling Chemicals, Inc. (2)(k)		B3			10.250%		04/01/15		2,700		2,848,500
											8,474,100

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 23

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Telecommunication Services - 0.7%
CW Media Holdings, Inc. 144A (Canada) (2)(b)(e)(k)		Ba2			13.500%		08/15/15	$	5,611	$	6,060,226
FiberTower Corp. (2)(k)		NR			9.000%		01/01/16		4,067		2,968,885
MediMedia USA, Inc. 144A (2)(b)(k)		Caa2			11.375%		11/15/14		2,350		2,021,000
Morris Publishing Group LLC (2)(k)		NR			10.000%		09/01/14		867		838,785
											11,888,896
TOTAL CORPORATE BONDS (Cost $310,395,133)											312,335,618
CONVERTIBLE BONDS - 38.0%
Communications - 3.8%
Ciena Corp. 144A (2)(b)(k)		NR			4.000%		03/15/15		16,075		19,149,344
Clearwire Communications LLC/Clearwire Finance, Inc. 144A (2)(b)(k)		NR	**		8.250%		12/01/40		700		621,250
Digital River, Inc. 144A (2)(b)		NR			2.000%		11/01/30		2,600		2,600,000
Equinix, Inc. (2)(k)		B-	**		4.750%		06/15/16		7,725		10,911,562
Finisar Corp. 144A (2)(b)(k)		NR			5.000%		10/15/29		400		737,000
priceline.com, Inc. 144A (2)(b)(k)		BBB-	**		1.250%		03/15/15		11,600		20,575,500
Virgin Media, Inc. (2)(k)		B+	**		6.500%		11/15/16		7,000		12,521,250
											67,115,906
Consumer Discretionary - 10.1%
Alliance Data Systems Corp. (2)(k)		NR			1.750%		08/01/13		3,000		3,806,250
Alliance Data Systems Corp. (2)(k)		NR			4.750%		05/15/14		10,500		21,761,250
ArvinMeritor, Inc. (2)(g)(k)		CCC+	**		4.625%		03/01/26		2,000		2,182,500
Coinstar, Inc. (2)(k)		BB+	**		4.000%		09/01/14		2,150		3,294,875
Convergys Corp. (2)(k)		BB-	**		5.750%		09/15/29		4,825		6,948,000
DR Horton, Inc., Series DHI (2)(k)		Ba3			2.000%		05/15/14		9,156		10,140,270
Exide Technologies (2)(d)(k)		CCC+	**		0.000%		09/18/13		650		604,500
FTI Consulting, Inc. (2)(k)		B1			3.750%		07/15/12		1,325		1,676,125
Gaylord Entertainment Co. 144A (2)(b)(k)		NR			3.750%		10/01/14		9,875		12,541,250
Hertz Global Holdings, Inc. (2)(k)		B-	**		5.250%		06/01/14		14,500		29,543,750
Jakks Pacific, Inc. 144A (2)(b)(k)		NR			4.500%		11/01/14		3,925		5,279,125
Lennar Corp. 144A (2)(b)(k)		B3			2.750%		12/15/20		11,525		12,317,344
Lennar Corp. 144A (2)(b)(k)		B3			2.000%		12/01/20		600		602,250
Navistar International Corp. (2)(k)		B	**		3.000%		10/15/14		1,875		2,453,906
Palm Harbor Homes, Inc. (3)(a)(f)(k)		NR			3.250%		05/15/24		70		7,000
Regis Corp. (2)(k)		NR			5.000%		07/15/14		7,000		8,487,500
Saks, Inc. 144A (2)(b)(k)		NR	**		7.500%		12/01/13		800		1,741,000
Sonic Automotive, Inc. (2)(k)		B-	**		5.000%		10/01/29		11,250		14,850,000
Titan International, Inc. 144A (2)(b)(k)		B+	**		5.625%		01/15/17		5,475		14,016,000
TRW Automotive, Inc. 144A (2)(b)(k)		Ba2			3.500%		12/01/15		5,850		12,358,125
United Rentals, Inc. (2)(k)		NR			4.000%		11/15/15		5,850		14,010,750
											178,621,770
Consumer Staples - 2.2%
Alliance One International, Inc. (2)(k)		Caa1			5.500%		07/15/14		4,500		4,303,125
Central European Distribution Corp. (2)		CCC+	**		3.000%		03/15/13		2,475		2,029,500
Chiquita Brands International, Inc. (2)(k)		B-	**		4.250%		08/15/16		5,000		4,862,500
Nash Finch Co. (2)(g)(k)		B3			1.631%		03/15/35		4,800		2,220,000
Rite Aid Corp. (2)(k)		Ca			8.500%		05/15/15		300		312,375
Spartan Stores, Inc. (2)(k)		NR			3.375%		05/15/27		40		39,600
Tyson Foods, Inc. (2)(k)		BB+	**		3.250%		10/15/13		12,425		16,028,250
Vector Group Ltd. (2)(d)(k)		NR			3.750%		11/15/14		6,504		8,585,280
Vector Group Ltd. (2)(d)(k)		NR			3.875%		06/15/26		383		445,716
											38,826,346

The accompanying notes are an integral part of these financial statements. (Continued)

24 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Energy - 1.9%
Exterran Energy Corp. (2)(k)		B1			4.750%		01/15/14	$	134	$	131,320
Exterran Holdings, Inc. (2)(k)		B+	**		4.250%		06/15/14		3,675		4,074,656
GMX Resources, Inc. (2)(k)		NR			4.500%		05/01/15		1,875		1,539,844
Goodrich Petroleum Corp. (2)(k)		NR			3.250%		12/01/26		2,700		2,713,500
Goodrich Petroleum Corp. (2)(k)		CCC+	**		5.000%		10/01/29		1,000		976,250
Green Plains Renewable Energy, Inc. 144A (2)(b)(k)		NR			5.750%		11/01/15		4,100		4,151,250
Harvest Natural Resources, Inc. (2)(k)		NR			8.250%		03/01/13		475		965,437
James River Coal Co. 144A (2)(b)(k)		B2			4.500%		12/01/15		500		563,125
PetroBakken Energy Ltd., Reg S (Canada) (2)(k)		NR			3.125%		02/08/16		5,900		5,575,500
Petrominerales Ltd., Series PMG (Canada) (2)		NR			2.625%		08/25/16		1,900		2,165,052
Pioneer Natural Resources Co. (2)(k)		BB+	**		2.875%		01/15/38		750		1,160,625
Polarcus Ltd. (Cayman Islands) (2)		NR			2.875%		04/27/16		400		360,400
Western Refining, Inc. (2)(k)		CCC+	**		5.750%		06/15/14		5,100		9,313,875
											33,690,834
Financials - 6.7%
American Equity Investment Life Holding Co. 144A (2)(b)(k)		NR			5.250%		12/06/29		1,025		1,528,531
American Equity Investment Life Holding Co. 144A (2)(b)(k)		NR			3.500%		09/15/15		4,425		5,210,438
Ares Capital Corp. 144A (2)(b)(k)		BBB	**		5.125%		06/01/16		1,200		1,213,500
BioMed Realty LP 144A (2)(b)(k)		NR			3.750%		01/15/30		5,150		6,096,313
CapitalSource, Inc. (2)(g)(k)		NR			4.000%		07/15/34		625		625,000
CBIZ, Inc. 144A (2)(b)(k)		NR			4.875%		10/01/15		1,400		1,711,500
CNO Financial Group, Inc., Series 1 (2)(k)		NR			7.000%		12/30/16		3,963		6,370,523
Developers Diversified Realty Corp. (2)		NR			1.750%		11/15/40		2,850		2,974,687
Digital Realty Trust LP 144A (2)(b)(k)		NR			5.500%		04/15/29		8,450		12,817,594
Dollar Financial Corp. (2)(k)		NR			2.875%		06/30/27		150		158,812
Hilltop Holdings, Inc. (2)(k)		NR			7.500%		08/15/25		998		1,046,653
Host Hotels & Resorts LP 144A (2)(b)(k)		BB+	**		2.500%		10/15/29		9,375		12,714,844
Janus Capital Group, Inc. (2)(k)		Baa3			3.250%		07/15/14		250		270,625
Kilroy Realty LP 144A (2)(b)(k)		NR			4.250%		11/15/14		7,390		8,812,575
KKR Financial Holdings LLC (2)		NR			7.000%		07/15/12		125		130,625
Kohlberg Capital Corp. 144A (2)(b)(k)		NR			8.750%		03/15/16		4,000		4,115,000
Leucadia National Corp. (2)(k)		B2			3.750%		04/15/14		250		401,562
Lexington Realty Trust 144A (2)(b)(k)		NR			6.000%		01/15/30		5,050		6,950,063
MF Global Holdings Ltd. (2)(k)		Baa2			9.000%		06/20/38		5,500		6,338,750
MGIC Investment Corp. (2)		CCC+	**		5.000%		05/01/17		10,850		9,670,062
National Financial Partners Corp. (2)		NR			4.000%		06/15/17		4,025		4,523,094
NorthStar Realty Finance LP 144A (2)(b)(k)		NR			7.500%		03/15/31		3,400		3,187,500
Penson Worldwide, Inc. 144A (2)(b)(k)		NR			8.000%		06/01/14		4,275		3,494,812
ProLogis LP (2)		BBB-	**		3.250%		03/15/15		100		114,375
Radian Group, Inc. (2)		CCC+	**		3.000%		11/15/17		5,175		3,706,594
SL Green Operating Partnership LP 144A (2)(b)(k)		NR			3.000%		10/15/17		6,825		7,925,531
Stewart Information Services Corp. 144A (2)(b)		NR			6.000%		10/15/14		6,125		6,239,844
World Acceptance Corp. (2)(k)		NR			3.000%		10/01/11		150		163,312
											118,512,719
Healthcare - 0.8%
American Oriental Bioengineering, Inc. 144A (2)(b)(k)		NR			5.000%		07/15/15		1,000		600,000
China Medical Technologies, Inc. 144A (Cayman Islands) (2)(b)(k)		B+	**		6.250%		12/15/16		2,625		1,883,438
China Medical Technologies, Inc., Series CMT (Cayman Islands) (2)(k)		NR			4.000%		08/15/13		250		181,250
Enzon Pharmaceuticals, Inc. (2)(k)		NR			4.000%		06/01/13		1,850		2,189,937
MannKind Corp. (2)(k)		NR			3.750%		12/15/13		500		284,375
MannKind Corp. 144A (2)(b)(k)		NR			5.750%		08/15/15		1,540		1,235,850
Molina Healthcare, Inc., Series MOH (2)(k)		NR			3.750%		10/01/14		3,375		3,889,687
SonoSite, Inc. (2)(k)		NR			3.750%		07/15/14		1,000		1,147,500
Stewart Enterprises, Inc. (2)(k)		B1			3.125%		07/15/14		25		25,438
West Pharmaceutical Services, Inc. (2)(k)		NR			4.000%		03/15/47		2,000		1,917,500
											13,354,975

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 25

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Industrials - 4.7%
Avis Budget Group, Inc. (2)		NR			3.500%		10/01/14	$	1,275	$	1,620,844
Bristow Group, Inc. (2)(k)		BB	**		3.000%		06/15/38		1,000		1,040,000
Cereplast, Inc. 144A (3)(a)(b)		NR			7.000%		06/01/16		4,450		4,209,896
China Linen Textile Industry, Ltd. (Cayman Islands) (3)(a)		NR			7.500%		11/12/12		1,850		1,529,970
EnPro Industries, Inc. (2)(k)		NR			3.938%		10/15/15		3,575		5,568,063
Genco Shipping & Trading Ltd. (Marshall Islands) (2)(k)		NR			5.000%		08/15/15		500		417,500
General Cable Corp. (2)(k)		Ba3			0.875%		11/15/13		3,000		3,240,000
Kaman Corp. 144A (2)(b)(k)		NR			3.250%		11/15/17		3,800		4,683,500
Kemet Corp. (2)(k)		NR			2.250%		11/15/26		443		446,322
Kendle International, Inc. (2)(k)		B-	**		3.375%		07/15/12		17,864		17,864,000
L-1 Identity Solutions, Inc. (2)(k)		B	**		3.750%		05/15/27		4,599		4,587,502
MasTec, Inc. (2)(k)		NR			4.000%		06/15/14		2,125		3,030,781
RTI International Metals, Inc. (2)		NR			3.000%		12/01/15		5,250		6,746,250
Terex Corp. (2)(k)		B3			4.000%		06/01/15		4,500		8,448,750
Textron, Inc., Series TXT (2)(k)		BBB-	**		4.500%		05/01/13		3,500		6,540,625
Trex Co., Inc. (2)(k)		NR			6.000%		07/01/12		6,970		8,799,625
TTM Technologies, Inc. (2)(k)		BB-	**		3.250%		05/15/15		2,450		3,090,063
Ultrapetrol Bahamas Ltd. 144A (Bahamas) (2)(b)(k)		NR			7.250%		01/15/17		900		886,500
											82,750,191
Information Technology - 3.0%
Arris Group, Inc. (2)(k)		NR			2.000%		11/15/26		650		679,250
Cadence Design Systems, Inc. (2)		NR			2.625%		06/01/15		3,325		5,054,000
Concur Technologies, Inc. 144A (2)(b)(k)		NR			2.500%		04/15/15		200		230,000
DST Systems, Inc., Series C (2)(d)(k)		NR			4.125%		08/15/23		975		1,159,031
GSI Commerce, Inc. (2)(k)		NR			2.500%		06/01/27		25		28,385
Hutchinson Technology, Inc. (2)(k)		NR			8.500%		01/15/26		52		43,940
Hutchinson Technology, Inc. (2)(k)		NR	**		3.250%		01/15/26		146		118,260
Lawson Software, Inc. (2)(k)		NR			2.500%		04/15/12		4,174		4,309,655
Level 3 Communications, Inc. (2)(k)		CCC	**		15.000%		01/15/13		2,250		3,656,250
ON Semiconductor Corp. (2)(k)		Ba2			1.875%		12/15/25		250		384,688
Photronics, Inc. (2)(k)		NR			5.500%		10/01/14		2,200		4,111,250
Rambus, Inc. (2)(k)		NR			5.000%		06/15/14		6,450		7,240,125
Take-Two Interactive Software, Inc. (2)(k)		NR			4.375%		06/01/14		3,825		6,029,156
Telvent GIT SA 144A (Spain) (2)(b)(k)		NR			5.500%		04/15/15		5,002		6,483,843
THQ, Inc. (2)(k)		NR			5.000%		08/15/14		2,500		2,284,375
Verigy Ltd. (Singapore) (2)(k)		NR			5.250%		07/15/14		1,325		1,677,781
VeriSign, Inc. (2)(k)		NR			3.250%		08/15/37		8,995		10,377,981
											53,867,970
Materials - 2.8%
Allegheny Technologies, Inc. (2)(k)		BBB-	**		4.250%		06/01/14		13,000		21,515,000
ArcelorMittal (Luxembourg) (2)(k)		Baa3			5.000%		05/15/14		6,875		9,496,094
Cemex SAB de CV 144A (Mexico) (2)(b)(k)		NR			3.750%		03/15/18		500		495,000
Cemex SAB de CV 144A (Mexico) (2)(b)(k)		NR			3.250%		03/15/16		900		887,625
Jaguar Mining, Inc. 144A (2)(b)(k)		NR			5.500%		03/31/16		500		471,875
Kaiser Aluminum Corp. 144A (2)(b)(k)		NR			4.500%		04/01/15		300		388,890
Northgate Minerals Corp. (Canada) (2)(k)		NR			3.500%		10/01/16		1,925		1,905,750
ShengdaTech, Inc. 144A (2)(b)(k)		NR			6.500%		12/15/15		1,200		156,000
ShengdaTech, Inc. 144A (2)(b)(k)		NR			6.000%		06/01/18		200		26,000
Sino-Forest Corp. 144A (Canada) (2)(b)(k)		B+	**		4.250%		12/15/16	CAD	1,525		640,500
Sterlite Industries India Ltd. (India) (2)(k)		NR			4.000%		10/30/14	$	5,350		5,249,687
Stillwater Mining Co. (2)(k)		B+	**		1.875%		03/15/28		1,000		1,171,250
United States Steel Corp. (2)(k)		Ba2			4.000%		05/15/14		4,000		6,355,000
											48,758,671

The accompanying notes are an integral part of these financial statements. (Continued)

26 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Telecommunication Services - 2.0%
Cleveland Unlimited, Inc. 144A (2)†(k)		Caa2			14.500%		04/30/11	$	1,830	$	1,281,000
Level 3 Communications, Inc. (2)(k)		Caa3			3.500%		06/15/12		500		498,750
Level 3 Communications, Inc. (2)(k)		NR			6.500%		10/01/16		5,525		11,650,844
Level 3 Communications, Inc., Series B (2)(k)		Caa3			7.000%		03/15/15		1,280		2,035,200
NII Holdings, Inc. (2)(k)		B-	**		3.125%		06/15/12		1,980		1,982,475
tw telecom inc (2)(k)		B3			2.375%		04/01/26		1,075		1,318,219
XM Satellite Radio, Inc. 144A (2)(b)(k)		BB-	**		7.000%		12/01/14		11,350		16,684,500
											35,450,988
TOTAL CONVERTIBLE BONDS (cost $611,350,088)											670,950,370

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 27

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
CLOSED END FUNDS - 1.6%
ASA Gold and Precious Metals Ltd. (Bermuda) (k)		15,184	$	434,262
Blackrock Core Bond Trust		186,435		2,336,031
BlackRock Corporate High Yield Fund III, Inc.		35,136		256,493
BlackRock Corporate High Yield Fund V, Inc.		45,796		559,169
BlackRock Credit Allocation Income Trust II, Inc.		290,805		2,951,671
Blackrock Credit Allocation Income Trust III, Inc. (k)		159,476		1,728,720
Blackrock Credit Allocation Income Trust IV		269,488		3,371,295
BlackRock Income Opportunity Trust, Inc.		212,615		2,058,113
BlackRock MuniAssets Fund, Inc.		520		6,110
Duff & Phelps Utility and Corporate Bond Trust, Inc.		11,285		127,859
Eaton Vance Enhanced Equity Income Fund		8,695		104,340
Eaton Vance Risk-Managed Diversified Equity Income Fund		165,778		2,092,118
Eaton Vance Tax Managed Global Buy Write Opportunities Fund		10,333		125,339
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund		2,387		41,820
Eaton Vance Tax-Advantaged Global Dividend Opportunities Fund		172		3,732
Eaton Vance Tax-Managed Buy-Write Income Fund		1,864		25,667
Eaton Vance Tax-Managed Buy-Write Opportunities Fund		4,575		58,240
Eaton Vance Tax-Managed Diversified Equity Income Fund		16,701		182,375
Eaton Vance Tax-Managed Global Diversified Equity Income Fund		14,888		155,877
First Opportunity Fund, Inc. †		3,916		28,195
Fort Dearborn Income Securities, Inc.		1,610		24,263
Gabelli Global Multimedia Trust, Inc.		12,071		96,206
Invesco Municipal Income Opportunities Trust		2,167		13,674
Invesco Municipal Income Opportunities Trust II		2,196		15,504
Invesco Van Kampen Bond Fund		76,070		1,449,134
Montgomery Street Income Securities, Inc.		5,719		91,161
Morgan Stanley Income Securities, Inc.		31,815		548,173
Nuveen California Municipal Value Fund		2,219		19,616
Nuveen Quality Preferred Income Fund		189,109		1,480,724
Nuveen Quality Preferred Income Fund II		410,503		3,444,120
Nuveen Quality Preferred Income Fund III		53,354		428,966
Petroleum & Resources Corp.		1,259		37,128
Royce Focus Trust, Inc.		75,083		585,647
Transamerica Income Shares, Inc.		348		7,597
Wells Fargo Advantage Multi-Sector Income Fund		9,195		141,603
Western Asset Global Corporate Defined Opportunity Fund, Inc.		127,658		2,397,417

	SHARES		VALUE (Note 3)
CLOSED END FUNDS - 1.6% (continued)
Western Asset Income Fund		29,194	$	387,404
Western Asset Investment Grade Defined Opportunity Trust, Inc.		17,061		356,404
TOTAL CLOSED END FUNDS (cost $27,077,168)				28,172,167
EXCHANGE TRADED FUNDS - 0.2%
Sprott Physical Gold Trust (Canada) † (cost $3,545,866)		303,963		3,966,717
RIGHTS - 0.0% (c)
Health Care - 0.0% (c)
Sanofi Aventis, Expires 12/31/20 †
(cost $—)		33,100		79,771
WARRANTS - 2.3%
Communications - 0.0% (c)
Digital Angel, Series A (3)†(a)		2,682,000		3,487
Digital Angel, Series B (3)†(a)		2,682,000		80,728
				84,215
Consumer Discretionary - 0.0% (c)
China XD Plastics Co. Ltd. (3)†(a)		183,332		18
Kandi Technologies Corp. (3)†(a)		169,478		9,169
SouthPeak Interactive Corp. (3)†(a)		5,800,464		197,216
Talbots, Inc. †		195,798		23,496
				229,899
Consumer Staples - 0.0% (c)
Celsius Holdings, Inc. †		52,500		525
HQ Sustainable Maritime Industries, Inc. (3)†(a)		62,284		—
				525
Diversified - 0.0% (c)
Prime Acquisition Corp. †		423,935		233,164
Energy - 0.0% (c)
American Energy Fields, Inc. (3)†(a)		1,590,276		34,191
Camac Energy, Inc. (3)†(a)		88,191		17,480
China Integrated Energy, Inc. (China) (3)†(a)		195,194		20
Plug Power, Inc. (3)†(a)		88,875		40,100
Syntroleum Corp. (3)†(a)		253,165		89,215
Uranium Energy Corp. (3)†(a)		297,221		178
				181,184
Financials - 2.0%
Australia Acquisition Corp. (Australia) †(k)		612,000		281,520
Boston Private Financial Holdings, Inc. †		97,674		205,115
Cazador Acquisition Corp. Ltd. (Cayman Islands) †		319,668		127,867
Comerica, Inc. †		444,071		4,960,273
Edgewater Exploration Ltd. (Canada) (3)†(a)		250,000		15,346
European CleanTech SE (Germany) (2)†		621,000		360,217
FlatWorld Acquisition Corp. (Virgin Islands, British) †		219,450		21,945

The accompanying notes are an integral part of these financial statements. (Continued)

28 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - 2.0% (continued)
Gerova Financial Group Ltd. (3)†(a)		138,792	$	3,053
Helikos SE (Germany) (2)†		72,000		56,382
Hicks Acquisition Co. II, Inc. †		810,000		405,000
Italy1 Investment SA (Luxembourg) (3)†(a)		590,301		393,772
Jack Cooper Holdings Corp.†		1,775		168,625
Jack Cooper Holdings Corp. †		448		44,800
JWC Acquisition Corp. †		1,032,750		774,563
L&L Acquisition Corp. †		306,000		91,800
Lincoln National Corp. †		607,525		12,284,155
Lone Oak Acquisition Corp. †		328,820		82,205
PNC Financial Services Group, Inc. †		258,400		3,209,328
RLJ Acquisition, Inc. †		974,044		467,541
Signature Bank †		107,610		3,625,381
Sterling Bancshares, Inc. †		9,708		26,212
Texas Capital Bancshares, Inc. †		16,077		234,081
Valley National Bancorp †		49,509		113,871
Wells Fargo & Co. †		151,514		1,410,595
Wintrust Financial Corp. †		415,782		6,319,886
				35,683,533
Health Care - 0.1%
Access Pharmaceuticals, Inc. (3)†(a)		68,407		1,573
Bionovo, Inc. (3)†(a)		39,373		4,953
Cormedix, Inc. †		75,400		26,390
CryoPort, Inc. (3)†(a)		1,133,397		361,894
CryoPort, Inc. (3)†(a)		571,428		171,714
InspireMD, Inc. (3)†(a)		67,911		28,061
IntelliPharmaCeutics International, Inc., Series A (3)†(a)		220,000		240,130
IntelliPharmaCeutics International, Inc., Series B (3)†(a)		220,000		128,832
Opexa Therapeutics, Inc. (3)†(a)		47,362		12,882
Pluristem Therapeutics, Inc. (3)†(a)		173,242		101,052
Provectus Pharmaceuticals, Inc., Series A (3)†(a)		881,558		60,034
Provectus Pharmaceuticals, Inc., Series C (3)†(a)		617,090		42,024
ReGeneRx Biopharmaceuticals, Inc. †		240,000		240
Repros Therapeutics, Inc. (3)†(a)		92,675		151,950
Rosetta Genomics Ltd. (Israel) (3)†(a)		191,250		5,317
Rosetta Genomics Ltd. (Israel) (3)†(a)		496,961		17,294
RXi Pharmaceuticals Corp. (3)†(a)		144,175		822
RXi Pharmaceuticals Corp. (3)†(a)		144,175		22,145
				1,377,307
Industrials - 0.0% (c)
Advanced Battery Technologies, Inc. (3)†(a)		482,500		48
China GengSheng Minerals, Inc. (China) (3)†(a)		195,194		254
China Wood, Inc. (3)†(a)		94,000		97,826
Greenhouse Holdings (3)†(a)		256,092		2,356
Plastec Technologies Ltd. (Cayman Islands) †		56,004		16,801
Spherix, Inc. (3)†(a)		196,441		982
				118,267

	SHARES		VALUE (Note 3)
Information Technology - 0.1%
Authentidate Holding Corp. (3)†(a)		1,090,000	$	332,995
Magic Software Enterprises Ltd. (Israel) (3)†(a)		132,782		67,639
Orckit Communications Ltd. (Israel) (3)†(a)		84,282		17,303
SinoHub, Inc. (China) (3)†(a)		267,392		3,236
Southspeak Interactive (3)†(a)		4,350,348		435
				421,608
Materials - 0.1%
Aurcana Corp. (Canada) (3)†(a)		623,387		69,009
Calvista Gold Corp. (Canada) †		100,000		12,961
Cereplast, Inc. (3)†(a)		64,539		32,721
China Shen Zhou Mining & Resources, Inc. (China) (3)†(a)		66,762		12,231
Energy Fuels, Inc./(Canada) (3)†(a)		360,000		17,768
Kangaroo Resources Ltd. (Australia) (3)†(a)		24,137,931		1,148,965
Kinross Gold Corp. (Canada)†		37,797		96,016
Lion One Metals Ltd. (3)†(a)		387,641		39
Pretium Resources, Inc. (Canada) †		18,750		17,497
				1,407,207
Utilities - 0.0% (c)
China Hydroelectric Corp. †		24,500		3,920
TOTAL WARRANTS (cost $35,947,740)				39,740,829
MONEY MARKET FUNDS - 5.2%
J.P. Morgan Prime Money Market Fund Capital Shares, 0.090% (2)(h)(j)		12,429,421		12,429,421
JPMorgan U.S. Treasury Plus Money Market Fund, 0.000% (2)(h)(j)		79,917,357		79,917,357
TOTAL MONEY MARKET FUNDS (cost $92,346,778)				92,346,778
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 0.4%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (2)(h)(m)
(cost $7,225,604)		7,225,604		7,225,604
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (cost $2,257,282,597)				2,350,496,928
SECURITIES SOLD SHORT- (64.8)%
COMMON STOCKS - (62.6)%
Consumer Discretionary - (11.5)%
Beazer Homes USA, Inc. †		(188,923)		(640,449)
CBS Corp., Class B		(9,650)		(274,928)
Coinstar, Inc. †		(44,736)		(2,439,901)
Comcast Corp., Class A		(1,321,873)		(33,496,262)
Discovery Communications, Inc., Class A †		(480,733)		(19,690,824)
DR Horton, Inc.		(361,076)		(4,159,595)
DSW, Inc., Class A †		(152,240)		(7,704,866)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 29

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Consumer Discretionary - (11.5)% (continued)
Eastman Kodak Co. †		(344,748)	$	(1,234,198)
Exide Technologies †		(12,973)		(99,114)
Gaylord Entertainment Co. †		(282,568)		(8,477,040)
Goodyear Tire & Rubber Co./The †		(44,100)		(739,557)
Jakks Pacific, Inc. †		(198,573)		(3,655,729)
Lennar Corp., Class A		(543,116)		(9,857,555)
Liberty Global, Inc., Class A †		(858,740)		(38,677,650)
MGM Resorts International †		(301,977)		(3,989,116)
priceline.com, Inc. †		(34,361)		(17,590,427)
Regis Corp.		(280,212)		(4,292,848)
Saks, Inc. †		(135,074)		(1,508,777)
Sirius XM Radio, Inc. †		(4,735,939)		(10,371,706)
Sonic Automotive, Inc., Class A		(618,975)		(9,067,984)
Stewart Enterprises, Inc., Class A		(764)		(5,577)
Talbots, Inc. †		(19,325)		(64,545)
TRW Automotive Holdings Corp. †		(183,060)		(10,806,032)
Viacom, Inc., Class A		(71,249)		(4,095,393)
Virgin Media, Inc.		(336,985)		(10,085,961)
				(203,026,034)
Consumer Staples - (1.9)%
Alliance One International, Inc. †		(499,318)		(1,612,797)
American Oriental Bioengineering, Inc. (China) †		(9,522)		(10,569)
Bunge Ltd. (Bermuda)		(30)		(2,069)
Chiquita Brands International, Inc. †		(123,417)		(1,606,889)
Dole Food Co., Inc. †		(46,735)		(631,857)
Embotelladora Andina SA, Class B ADR (Chile)		(10,000)		(288,500)
Green Mountain Coffee Roasters, Inc. †		(31,981)		(2,854,624)
Nash Finch Co.		(14,624)		(523,686)
Rite Aid Corp. †		(67,784)		(90,153)
Smithfield Foods, Inc. †		(363,563)		(7,951,123)
Spartan Stores, Inc.		(102)		(1,992)
Tyson Foods, Inc., Class A		(522,098)		(10,139,143)
Universal Corp.		(113,701)		(4,283,117)
Vector Group Ltd.		(210,170)		(3,738,924)
				(33,735,443)
Energy - (6.0)%
Boardwalk Pipeline Partners LP		(2,300)		(66,792)
Bristow Group, Inc.		(9,198)		(469,282)
Chesapeake Energy Corp.		(286,331)		(8,501,167)
Dawson Geophysical Co. †		(28,986)		(989,872)
Diamond Offshore Drilling, Inc.		(1,240)		(87,308)
Energy XXI Bermuda Ltd. (Bermuda)†		(84,373)		(2,802,871)
Ensco PLC ADR (United Kingdom)		(440,442)		(23,475,559)
Exterran Holdings, Inc. †		(104,195)		(2,066,187)
GMX Resources, Inc. †		(34,452)		(153,311)
Goodrich Petroleum Corp. †		(13,231)		(243,583)
Gran Tierra Energy, Inc. †		(210,317)		(1,384,740)
Green Plains Renewable Energy, Inc. †		(201,617)		(2,175,447)
Harvest Natural Resources, Inc. †		(83,146)		(917,100)
Holly Corp. †		(355,587)		(24,677,738)
James River Coal Co. †		(14,155)		(294,707)
PetroBakken Energy Ltd., Class A (Canada)		(2,035)		(27,937)

	SHARES		VALUE (Note 3)
Energy - (6.0)% (continued)
Petrominerales Ltd. (Colombia)		(37,664)	$	(1,105,571)
Pioneer Natural Resources Co.		(13,075)		(1,171,128)
Polarcus Ltd. (United Arab Emirates) (2)†		(105,360)		(103,493)
Royal Dutch Shell PLC, Class A ADR (Netherlands)		(434)		(30,870)
Royal Dutch Shell PLC, Class B ADR (Netherlands)		(383,798)		(27,537,507)
Western Refining, Inc. †		(424,925)		(7,678,395)
Whiting Petroleum Corp. †		(5,150)		(293,086)
				(106,253,651)
Financials - (16.5)%
Allied World Assurance Co. Holdings Ltd. (Switzerland)		(19,994)		(1,151,254)
American Equity Investment Life Holding Co.		(350,552)		(4,455,516)
Ares Capital Corp.		(21,385)		(343,657)
Avatar Holdings, Inc. †		(88,204)		(1,341,583)
Banco Santander SA ADR (Spain)		(20,146)		(231,880)
Bank of Montreal (Canada)		(322,465)		(20,492,651)
BankUnited, Inc.		(8,669)		(230,075)
Berkshire Hills Bancorp, Inc.		(26,361)		(590,223)
BioMed Realty Trust, Inc. REIT		(179,037)		(3,444,672)
Boston Private Financial Holdings, Inc.		(66,594)		(438,189)
Brookline Bancorp, Inc.		(232,118)		(2,151,734)
Charles Schwab Corp./The		(1,712,136)		(28,164,637)
CNA Financial Corp.		(4,275)		(124,189)
CNO Financial Group, Inc. †		(1,560,987)		(12,347,407)
Comerica, Inc.		(788,451)		(27,256,751)
Community Bank System, Inc.		(31,571)		(782,645)
Cowen Group, Inc., Class A †		(747,671)		(2,811,243)
Deutsche Boerse AG (Germany) (2)		(265,449)		(20,155,422)
Developers Diversified Realty Corp. REIT		(101,857)		(1,436,184)
Digital Realty Trust, Inc. REIT		(170,650)		(10,542,757)
Dollar Financial Corp. †		(3,333)		(72,159)
FNB Corp.		(502,588)		(5,201,786)
Hancock Holding Co.		(255,761)		(7,923,476)
Hilltop Holdings, Inc. †		(28,081)		(248,236)
Host Hotels & Resorts, Inc. REIT		(520,279)		(8,818,729)
Kilroy Realty Corp. REIT		(125,408)		(4,952,362)
KKR Financial Holdings LLC		(700)		(6,867)
Leucadia National Corp.		(9,880)		(336,908)
Lexington Realty Trust REIT		(532,269)		(4,859,616)
Lincoln National Corp.		(578,850)		(16,491,436)
M&T Bank Corp.		(70,019)		(6,158,171)
MF Global Holdings Ltd. †		(402,490)		(3,115,273)
MGIC Investment Corp. †		(516,763)		(3,074,740)
Nara Bancorp, Inc. †		(745,220)		(6,058,639)
National Financial Partners Corp. †		(256,319)		(2,957,921)
NorthStar Realty Finance Corp. REIT		(184,628)		(744,051)
Park Sterling Corp. †		(89,290)		(442,878)
Penson Worldwide, Inc. †		(217,998)		(778,253)
People’s United Financial, Inc.		(450,073)		(6,048,981)
PNC Financial Services Group, Inc.		(156,668)		(9,338,979)
ProLogis, Inc. REIT		(1,607)		(57,595)
Radian Group, Inc.		(307,721)		(1,301,660)

The accompanying notes are an integral part of these financial statements. (Continued)

30 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - (16.5)% (continued)
Signature Bank †		(98,528)	$	(5,635,802)
SL Green Realty Corp. REIT		(56,407)		(4,674,448)
Stewart Information Services Corp.		(233,926)		(2,346,278)
Susquehanna Bancshares, Inc.		(2,070,996)		(16,567,968)
Texas Capital Bancshares, Inc. †		(14,331)		(370,170)
Valley National Bancorp		(188,599)		(2,566,832)
Ventas, Inc. REIT		(316,049)		(16,658,943)
Wells Fargo & Co.		(84,625)		(2,374,577)
Wintrust Financial Corp.		(376,785)		(12,124,941)
World Acceptance Corp. †		(1,601)		(104,978)
				(290,906,322)
Health Care - (2.0)%
Accuray, Inc. †		(220,953)		(1,769,833)
China Medical Technologies, Inc. ADR (China) †		(122,810)		(946,865)
Dendreon Corp. †		(28,400)		(1,120,096)
Enzon Pharmaceuticals, Inc. †		(115,497)		(1,160,745)
Incyte Corp. Ltd. †		(109,400)		(2,072,036)
Kindred Healthcare, Inc. †		(244,183)		(5,242,609)
MannKind Corp. †		(144,890)		(550,582)
Metropolitan Health Networks, Inc. †		(59,624)		(285,599)
Molina Healthcare, Inc. †		(68,997)		(1,871,199)
Mylan, Inc. †		(1)		(25)
Novartis AG ADR (Switzerland)		(248,378)		(15,178,380)
Omnicare, Inc.		(77,833)		(2,482,094)
PDL BioPharma, Inc.		(153,194)		(899,249)
SonoSite, Inc. †		(16,684)		(586,776)
West Pharmaceutical Services, Inc.		(27,908)		(1,221,254)
				(35,387,342)
Industrials - (6.2)%
AMR Corp. †		(24)		(129)
Avis Budget Group, Inc. †		(114,418)		(1,955,404)
CBIZ, Inc. †		(152,199)		(1,120,185)
CoStar Group, Inc. †		(32,856)		(1,947,704)
EnPro Industries, Inc. †		(97,470)		(4,685,383)
FTI Consulting, Inc. †		(34,522)		(1,309,765)
Genco Shipping & Trading Ltd. †		(12,028)		(90,450)
GenCorp, Inc. †		(20,578)		(132,111)
General Cable Corp. †		(33,915)		(1,444,101)
Hawaiian Holdings, Inc. †		(28,331)		(161,487)
HEICO Corp.		(222,316)		(12,169,578)
Hertz Global Holdings, Inc. †		(1,724,925)		(27,391,809)
Hubbell, Inc., Class B		(2,194)		(142,500)
Kaman Corp.		(81,036)		(2,874,347)
Kratos Defense & Security Solutions, Inc. †		(107,149)		(1,302,932)
MasTec, Inc. †		(239,964)		(4,732,090)
Meritor, Inc. †		(59,100)		(947,964)
Navistar International Corp. †		(28,850)		(1,628,871)
Nielsen Holdings NV †		(9,233)		(287,700)
Rush Enterprises, Inc., Class A †		(1,000)		(19,030)
Southwest Airlines Co.		(1)		(11)
Terex Corp. †		(251,983)		(7,168,916)
Textron, Inc.		(245,262)		(5,790,636)
Titan International, Inc.		(534,585)		(12,969,032)
Trex Co., Inc. †		(243,260)		(5,955,005)

	SHARES		VALUE (Note 3)
Industrials - (6.2)% (continued)
Ultrapetrol Bahamas Ltd. (Bahamas) †		(78,789)	$	(389,218)
United Rentals, Inc. †		(500,044)		(12,701,117)
				(109,317,475)
Information Technology - (8.7)%
Alliance Data Systems Corp. †		(244,611)		(23,010,557)
Arris Group, Inc. †		(14,598)		(169,483)
Cadence Design Systems, Inc. †		(394,327)		(4,164,093)
Ciena Corp. †		(559,871)		(10,290,429)
Concur Technologies, Inc. †		(2,700)		(135,189)
Convergys Corp. †		(375,573)		(5,122,816)
Digital River, Inc. †		(29,013)		(933,058)
DST Systems, Inc.		(12,874)		(679,747)
Equinix, Inc. †		(87,234)		(8,812,379)
Finisar Corp. †		(59,412)		(1,071,198)
GT Solar International, Inc. †		(26)		(421)
Kemet Corp. †		(788)		(11,260)
LDK Solar Co. Ltd. ADR (China) †		(1,093)		(8,023)
Micron Technology, Inc. †		(31,163)		(233,099)
Molex, Inc.		(1,159,911)		(29,890,906)
Novellus Systems, Inc. †		(45,575)		(1,647,080)
ON Semiconductor Corp. †		(31,365)		(328,392)
Photronics, Inc. †		(393,785)		(3,335,359)
Rambus, Inc. †		(178,707)		(2,623,419)
Rovi Corp. †		(149,188)		(8,557,424)
S1 Corp. †		(348,809)		(2,609,091)
Salesforce.com, Inc. †		(131,768)		(19,630,797)
Take-Two Interactive Software, Inc. †		(286,585)		(4,379,019)
Telvent GIT SA (Spain) †		(34,548)		(1,375,010)
THQ, Inc. †		(124,885)		(452,084)
TTM Technologies, Inc. †		(118,866)		(1,904,233)
Unisys Corp. †		(56,857)		(1,461,225)
VeriFone Systems, Inc. †		(278,359)		(12,345,222)
Verigy Ltd. (Singapore) †		(63,612)		(952,272)
VeriSign, Inc.		(231,551)		(7,747,696)
				(153,880,981)
Materials - (4.7)%
Allegheny Technologies, Inc.		(421,433)		(26,748,352)
ArcelorMittal NYRS (Luxembourg)		(167,039)		(5,806,276)
BHP Billiton Ltd. ADR (Australia)		(266,798)		(25,247,095)
Capstone Mining Corp. (Canada) †		(662,774)		(2,467,063)
Cemex SAB de CV ADR (Mexico) †		(248,357)		(2,135,870)
Jaguar Mining, Inc. †		(48,977)		(234,110)
Kaiser Aluminum Corp.		(4,643)		(253,601)
Kinross Gold Corp. (Canada)		(20,410)		(322,478)
Monsanto Co.		(3,820)		(277,103)
New Gold, Inc. (Canada) †		(133,515)		(1,377,442)
Northgate Minerals Corp. (Canada) †		(315,892)		(821,319)
Rock-Tenn Co., Class A		(73,006)		(4,843,218)
RTI International Metals, Inc. †		(118,405)		(4,543,200)
Sino-Forest Corp. (Hong Kong) †		(46,847)		(155,436)
Steel Dynamics, Inc.		(161)		(2,616)
Sterlite Industries India Ltd. ADR (India) †		(96,322)		(1,449,646)
Stillwater Mining Co. †		(50,267)		(1,106,377)
United States Steel Corp.		(106,005)		(4,880,470)
				(82,671,672)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 31

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Telecommunication Services - (1.8)%
CenturyLink, Inc.		(18,203)	$	(735,947)
Clearwire Corp., Class A †		(80,119)		(302,850)
Level 3 Communications, Inc. †		(8,661,168)		(21,133,250)
Telephone & Data Systems, Inc.		(308,744)		(9,595,764)
tw telecom inc †		(42,617)		(874,927)
				(32,642,738)

	SHARES		VALUE (Note 3)
Utilities - (3.3)%
AGL Resources, Inc.		(155,647)	$	(6,336,389)
Duke Energy Corp.		(1,069,623)		(20,141,001)
Exelon Corp.		(502,271)		(21,517,290)
Northeast Utilities		(241,281)		(8,485,853)
PPL Corp.		(47,673)		(1,326,739)
				(57,807,272)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $1,043,647,839)				(1,105,628,930)

CONVERTIBLE BONDS - (0.1)%	MOODY’S RATING*			INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Consumer Staples - (0.1)%
Molson Coors Brewing Co. (2)		BBB-	**		2.500%		07/30/13	$	(550)	$	(603,625)
Information Technology - 0.0% (c)
Intel Corp. (2)		A-	**		2.950%		12/15/35		(500)		(516,875)
TOTAL CONVERTIBLE BONDS SOLD SHORT (proceeds $1,100,063)											(1,120,500)

The accompanying notes are an integral part of these financial statements. (Continued)

32 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
EXCHANGE TRADED FUNDS - (2.1)%
iShares Silver Trust †		(21,824)	$	(738,742)
SPDR Barclays Capital High Yield Bond ETF		(790,659)		(31,800,305)
SPDR Gold Shares †		(33,601)		(4,905,074)
TOTAL EXCHANGE TRADED FUNDS SOLD SHORT (proceeds $36,957,531)				(37,444,121)
TOTAL SECURITIES SOLD SHORT (proceeds $1,081,705,433)				(1,144,193,551)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 68.3% (cost $1,175,577,164)				1,206,303,377
OTHER ASSETS IN EXCESS OF LIABILITIES - 31.7% (i)				559,532,983
NET ASSETS - 100.0%			$	1,765,836,360

† Non income-producing security.

(a) Security fair valued at June 30, 2011.

(b) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees.

(c) Represents less than 0.05 percent of net assets.

(d) Indicates a variable rate security. The interest rate shown represents the discount rate at June 30, 2011.

(e) Represents a Pay-In-Kind Bond.

(f) Defaulted security.

(g) Represents a step bond. The rate shown reflects the yield at June 30, 2011.

(h) Represents annualized seven-day yield as of June 30, 2011.

(i) Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts.

(j) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

(k) All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the broker’s right to re-hypothecate. At June 30, 2011, the value of these securities was $822,109,957. In addition, $569,668,165 of cash collateral was pledged and is included in due from broker on the Statements of Assets & Liabilities.

(l) All or a portion of the security on loan. The aggregate market value of such securities is $6,963,670; cash collateral of $7,225,604 was received with which the Fund purchased a money market fund.

(m) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

* The rating reflected is as June 30, 2011. Rating of certain bonds may have changed subsequent to the date.

** S & P Rating provided.

All securities are United States companies, unless noted otherwise in parentheses.

All bonds are denominated in US dollars, unless noted otherwise.

All securities are Level 1, unless noted otherwise in parentheses.

(2) Level 2 security (See Note 5).

(3) Level 3 security (See Note 5).

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

ADR - American Depositary Receipt

CAD - Canadian Dollar

MTN - Medium Term Note

NOK - Norwegian Krone

NR - Not Rated by Moody’s

NYRS - New York Registry Shares

REIT - Real Estate Investment Trust

WR - Withheld Rating by Moody’s

Open Written Options contracts outstanding at June 30, 2011:

Call Options Written

SHARES	ISSUER	COUNTERPARTY	EXPIRATION DATE	PROCEEDS		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
1,153	Barnes & Noble, Inc. (Exercise price $17)	J.P. Morgan	July 16, 2011		$(134,647)		$(35,743)		$98,904
118	California Pizza Kitchen, Inc. (Exercise price $18)	J.P. Morgan	July 16, 2011		(6,401)		(5,310)		1,091
374	Comerica, Inc. (Exercise price $45)	J.P. Morgan	January 21, 2012		(261,422)		(4,862)		256,560
1,537	EXCO Resources, Inc. (Exercise price $19)	J.P. Morgan	July 16, 2011		(38,808)		(46,110)		(7,302)
1,431	EXCO Resources, Inc. (Exercise price $21)	J.P. Morgan	July 16, 2011		(43,090)		(7,155)		35,935
835	GSIC (Exercise price $30)	J.P. Morgan	July 16, 2011		(20,040)		—		20,040
254	Harbin Electric, Inc. (Exercise price $25)	J.P. Morgan	September 17, 2011		(2,286)		(1,270)		1,016

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 33

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SHARES	ISSUER	COUNTERPARTY	EXPIRATION DATE	PROCEEDS		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
331	Sanofi (Exercise price $75)	J.P. Morgan	July 16, 2011		$(44,751)		$(46,340)		$(1,589)
1,080	Temple-Inland (Exercise price $28)	J.P. Morgan	July 16, 2011		(200,570)		(194,400)		6,170
503	Uranium Energy (Exercise price $5)	J.P. Morgan	August 20, 2011		(10,814)		(2,515)		8,299
536	VISA, Inc. (Exercise price $82.50)	J.P. Morgan	July 1, 2011		(5,816)		(101,840)		(96,024)
322	Wells Fargo & Co. (Exercise price $35)	J.P. Morgan	January 21, 2012		(118,816)		(10,304)		108,512
					(887,461)		(455,849)		431,612

Put Options Written

SHARES	ISSUER	COUNTERPARTY	EXPIRATION DATE	PROCEEDS		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
478	Apple, Inc. (Exercise price $300)	J.P. Morgan	July 1, 2011		$(2,318)		$(956)		$1,362
45	Amazon.com, Inc. (Exercise price $180)	J.P. Morgan	July 1, 2011		(283)		(45)		238
339	Amazon.com, Inc. (Exercise price $175)	J.P. Morgan	July 1, 2011		(1,742)		(339)		1,403
134	Baidu, Inc. (Exercise price $130)	J.P. Morgan	July 1, 2011		(918)		(402)		516
482	NetFlix, Inc. (Exercise price $240)	J.P. Morgan	July 1, 2011		(2,579)		(1,928)		651
1,283	VISA, Inc. (Exercise price $65)	J.P. Morgan	July 1, 2011		(10,148)		(1,283)		8,865
					(17,988)		(4,953)		13,035
					$(905,449)		$(460,802)		$444,647

Credit default swap contracts buy protection as of June 30, 2011:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Host Hotels & Resorts LP	1.00%		$3,450,000		$175,566		December 20, 2015		$(45,228)
Deutsche Bank	Banco Santandar SA	1.00%		3,380,000		181,615		June 20, 2015		114,997
Deutsche Bank	Banco Santandar SA	3.00%		3,420,000		114,088		December 20, 2015		(43,796)
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		2,700,000		(44,846)		June 20, 2016		(3,021)
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		250,000		(4,152)		June 20, 2016		(280)

The accompanying notes are an integral part of these financial statements. (Continued)

34 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		$10,000,000		$(32,621)		June 20, 2016		$(144,667)
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		13,500,000		(323,601)		June 20, 2016		84,262
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		3,200,000		(76,705)		June 20, 2016		19,973
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		46,825,000		(946,557)		June 20, 2016		116,406
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		23,775,000		(480,606)		June 20, 2016		59,104
Deutsche Bank	Markit CDX North America High Yield Index Series 16	5.00%		2,000,000		(40,430)		June 20, 2016		4,973
Royal Bank of Scotland	Banco Santandar SA	3.00%		4,500,000		49,060		June 20, 2016		78,401
Royal Bank of Scotland	Markit CDX North America High Yield Index Series 16	5.00%		2,900,000		(75,284)		June 20, 2016		23,871
Royal Bank of Scotland	Markit CDX North America High Yield Index Series 16	5.00%		4,200,000		(127,188)		June 20, 2016		52,727
Royal Bank of Scotland	Markit CDX North America High Yield Index Series 16	5.00%		16,700,000		(418,263)		June 20, 2016		122,193
						$(2,049,924)				$439,915

Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $12,429,421.

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED DEPRECIATION
Short Contracts:
800	2-Year U.S. Treasury Note Futures	September 30, 2011		$(175,179,162)		$(175,475,001)		$(295,839)
607	5-Year U.S. Treasury Note Futures	September 30, 2011		(71,895,023)		(72,351,554)		(456,531)
1,438	S&P 500 E-Mini Futures	September 16, 2011		(91,610,304)		(94,584,450)		(2,974,146)
								$(3,726,516)

Cash held as collateral with broker for futures contracts was $9,547,797 at June 30, 2011.

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 35

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 10/31/11	The Royal Bank of Scotland	AUD		64,326		$65,465		$67,960		$2,495
Canadian Dollar, Expiring 07/08/11	The Royal Bank of Scotland	CAD		17,251,244		17,599,539		17,885,834		286,295
Canadian Dollar, Expiring 07/29/11	The Royal Bank of Scotland	CAD		436,830		446,004		452,669		6,665
Hong Kong Dollar, Expiring 07/05/11	The Royal Bank of Scotland	HKD		233,276		29,973		29,978		5
						18,140,981		18,436,441		295,460

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 10/31/11	The Royal Bank of Scotland	AUD		(2,914,276)		$(2,932,927)		$(3,078,890)		$(145,963)
Canadian Dollar, Expiring 07/08/11	The Royal Bank of Scotland	CAD		(17,251,244)		(17,708,635)		(17,885,834)		(177,199)
Canadian Dollar, Expiring 07/15/11	The Royal Bank of Scotland	CAD		(4,495,712)		(4,593,602)		(4,660,299)		(66,697)
Canadian Dollar, Expiring 07/29/11	The Royal Bank of Scotland	CAD		(436,830)		(455,152)		(452,669)		2,483
Canadian Dollar, Expiring 08/15/11	The Royal Bank of Scotland	CAD		(15,917,757)		(16,283,854)		(16,487,513)		(203,659)
Canadian Dollar, Expiring 08/31/11	The Royal Bank of Scotland	CAD		(1,949,751)		(1,971,636)		(2,018,648)		(47,012)
Canadian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	CAD		(1,527,823)		(1,573,858)		(1,580,992)		(7,134)
Canadian Dollar, Expiring 12/30/11	The Royal Bank of Scotland	CAD		(4,179,622)		(4,254,824)		(4,313,786)		(58,962)
Euro, Expiring 08/15/11	The Royal Bank of Scotland	EUR		(5,938,762)		(8,488,720)		(8,602,138)		(113,418)
Euro, Expiring 08/31/11	The Royal Bank of Scotland	EUR		(2,273,726)		(3,262,202)		(3,291,855)		(29,653)
Euro, Expiring 04/30/12	The Royal Bank of Scotland	EUR		(725,040)		(984,517)		(1,041,411)		(56,894)
Euro, Expiring 10/22/12	The Royal Bank of Scotland	EUR		(6,210,000)		(8,471,372)		(8,874,323)		(402,951)
Euro, Expiring 01/28/13	The Royal Bank of Scotland	EUR		(5,855,786)		(7,902,383)		(8,346,618)		(444,235)
Hong Kong Dollar, Expiring 12/15/11	The Royal Bank of Scotland	HKD		(21,332,164)		(2,742,493)		(2,744,428)		(1,935)
Norwegian Krone, Expiring 09/14/11	The Royal Bank of Scotland	NOK		(243,750)		(38,829)		(44,967)		(6,138)
Norwegian Krone, Expiring 12/22/11	The Royal Bank of Scotland	NOK		(840,000)		(139,681)		(153,885)		(14,204)
Norwegian Krone, Expiring 06/22/12	The Royal Bank of Scotland	NOK		(840,000)		(138,326)		(151,766)		(13,440)
Norwegian Krone, Expiring 09/14/12	The Royal Bank of Scotland	NOK		(6,500,000)		(1,016,022)		(1,167,549)		(151,527)

The accompanying notes are an integral part of these financial statements. (Continued)

36 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Norwegian Krone, Expiring 12/21/12	The Royal Bank of Scotland	NOK		(12,840,000)		$(2,095,710)		$(2,290,631)		$(194,921)
Norwegian Krone, Expiring 04/27/16	The Royal Bank of Scotland	NOK		(19,387,600)		(3,266,931)		(3,298,141)		(31,210)
						(88,321,674)		(90,486,343)		(2,164,669)
						$(70,180,693)		$(72,049,902)		$(1,869,209)

Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $3,661,279.

AUD - Australian Dollar

CAD - Canadian Dollar

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 37

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

MONEY MARKET FUNDS - 94.9%	SHARES		VALUE (Note 3)
BlackRock Liquidity Funds TempFund Portfolio, Class I, 0.086% (a)		78,585,663	$	78,585,663
Dreyfus Treasury Cash Management, Class I, 0.010% (a)		314,342,650		314,342,650
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (a)(b)		31,543,618		31,543,618
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)		514,348,457		514,348,457
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)		392,928,313		392,928,313
TOTAL INVESTMENTS - 94.9% (cost $1,331,748,701)				1,331,748,701
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1% (c)				72,169,345
NET ASSETS - 100.0%			$	1,403,918,046

(a) Represents annualized seven-day yield as of June 30, 2011.

(b) A portion of this security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

(c) Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts.

All securities are Level 2 (See Note 5).

Total return swap contracts outstanding as of June 30, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Merrill Lynch	2-Year U.S. Treasury Note	9/30/2011		$616,458,776		$993,880
Merrill Lynch	5-Year U.S. Treasury Note	9/30/2011		14,687,019		93,200
Merrill Lynch	Euro-Bobl Futures	9/8/2011		46,834,029		(4,828)
Merrill Lynch	Euro-SCHATZ Futures	9/8/2011		132,689,960		(426,652)
Merrill Lynch	KOSPI Index 200 Futures	9/8/2011		26,452,620		(27,106)
Barclays Capital	Wheat Futures	9/14/2011		(966,511)		167,986
						$796,480

Money Market Fund is pledged as collateral to broker for total return swap contracts in the amount of $912,694.

The accompanying notes are an integral part of these financial statements. (Continued)

38 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
162	10-Year Japanese Government Bond Futures	September 8, 2011		$283,255,283		$283,814,422		$559,139
926	10-Year U.S. Treasury Note Futures	September 21, 2011		113,361,266		113,275,843		(85,423)
19	3-Month Euro Euribor Futures	March 19, 2012		6,757,509		6,752,514		(4,995)
70	3-Month Euro Euribor Futures	June 18, 2012		24,876,816		24,857,383		(19,433)
81	3-Month Euro Euribor Futures	September 17, 2012		28,763,281		28,740,051		(23,230)
89	3-Month Euro Euribor Futures	December 17, 2012		31,571,006		31,543,083		(27,923)
88	3-Month Euro Euribor Futures	March 18, 2013		31,189,232		31,159,953		(29,279)
102	3-Month Euro Euribor Futures	June 17, 2013		36,110,230		36,074,693		(35,537)
1,294	5-Year U.S. Treasury Note Futures	September 30, 2011		153,774,276		154,238,735		464,459
652	90-Day EURODollar Futures	December 19, 2011		162,298,003		162,315,400		17,397
866	90-Day EURODollar Futures	March 19, 2012		215,230,006		215,449,975		219,969
1,010	90-Day EURODollar Futures	June 18, 2012		250,279,278		250,947,125		667,847
883	90-Day EURODollar Futures	September 17, 2012		218,170,677		218,939,850		769,173
769	90-Day EURODollar Futures	December 17, 2012		189,378,839		190,192,925		814,086
682	90-Day EURODollar Futures	March 18, 2013		167,464,800		168,249,400		784,600
632	90-Day EURODollar Futures	June 17, 2013		155,777,289		155,495,700		(281,589)
1,544	90-Day Sterling Futures	December 21, 2011		306,130,124		306,812,674		682,550
1,404	90-Day Sterling Futures	March 21, 2012		277,832,595		278,711,204		878,609
1,327	90-Day Sterling Futures	June 20, 2012		261,937,838		263,053,050		1,115,212
1,162	90-Day Sterling Futures	September 19, 2012		228,748,944		229,925,257		1,176,313
1,061	90-Day Sterling Futures	December 19, 2012		208,250,378		209,472,075		1,221,697
995	90-Day Sterling Futures	March 20, 2013		194,991,397		196,022,574		1,031,177
965	90-Day Sterling Futures	June 19, 2013		189,771,750		189,667,073		(104,677)
677	Australia 10-Year Bond Future	September 15, 2011		76,959,446		77,009,772		50,326
1,971	Australia 3-Year Bond Future	September 15, 2011		218,351,121		218,528,739		177,618
508	Canadian Bank Acceptance Futures	December 19, 2011		129,419,984		129,706,050		286,066
461	Canadian Bank Acceptance Futures	March 19, 2012		117,521,457		117,526,440		4,983
733	CAC40 10 Euro Futures	July 15, 2011		41,157,896		42,300,491		1,142,595
820	Canadian 10-Year Bond Futures	September 21, 2011		105,554,710		105,419,462		(135,248)
127	DAX Index Futures	September 16, 2011		33,175,525		34,032,138		856,613
552	DJIA Mini E-CBOT Futures	September 16, 2011		33,271,074		34,072,200		801,126
320	E-Mini Russell 2000 Futures	September 16, 2011		25,384,435		26,412,800		1,028,365
418	Euro - Bund Futures	September 8, 2011		76,051,196		76,061,295		10,099
578	Euro CHF 3-Month LIFFE Futures	March 19, 2012		171,228,571		171,285,995		57,424
218	Euro SFR 3-Month LIFFE Futures	September 19, 2011		64,665,557		64,693,429		27,872
658	Euro SFR 3-Month LIFFE Futures	December 19, 2011		194,892,051		195,149,926		257,875
275	Euro-Bobl Futures	September 8, 2011		46,866,121		46,491,084		(375,037)
136	FTSE 100 Index Futures	September 16, 2011		12,609,771		12,883,576		273,805
310	FTSE/JSE Top 40 Index Futures	September 15, 2011		12,792,709		13,082,552		289,843
4	Globex Brent FCL Futures	July 13, 2011		449,160		449,920		760
28	Globex RBOB Gas Futures	July 28, 2011		3,449,006		3,491,779		42,773
94	Gold 100 OZ Futures	August 29, 2011		14,444,857		14,126,320		(318,537)
78	IBEX 35 Index Futures	July 15, 2011		11,461,406		11,619,965		158,559
46	LME Aluminum Futures	July 5, 2011		3,036,232		2,878,737		(157,495)
111	LME Aluminum Futures	July 7, 2011		7,458,262		6,948,961		(509,301)
55	LME Aluminum Futures	July 21, 2011		3,768,523		3,450,755		(317,768)
125	LME Aluminum Futures	July 28, 2011		8,666,391		7,851,219		(815,172)
23	LME Aluminum Futures	August 4, 2011		1,606,210		1,446,205		(160,005)
279	LME Aluminum Futures	August 5, 2011		18,195,134		17,545,891		(649,243)
300	LME Aluminum Futures	August 9, 2011		19,614,015		18,878,325		(735,690)
72	LME Aluminum Futures	August 12, 2011		4,673,164		4,532,922		(140,242)
68	LME Aluminum Futures	August 16, 2011		4,318,343		4,283,762		(34,581)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 39

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
7	LME Aluminum Futures	August 17, 2011		$444,623		$441,044		$(3,579)
108	LME Aluminum Futures	August 19, 2011		6,820,245		6,806,214		(14,031)
14	LME Aluminum Futures	August 24, 2011		878,571		882,788		4,217
92	LME Aluminum Futures	August 31, 2011		6,103,855		5,805,775		(298,080)
46	LME Aluminum Futures	September 2, 2011		3,045,469		2,903,624		(141,845)
156	LME Aluminum Futures	September 9, 2011		10,394,188		9,855,846		(538,342)
100	LME Aluminum Futures	September 16, 2011		6,352,905		6,323,475		(29,430)
13	LME Aluminum Futures	September 20, 2011		820,691		822,471		1,780
89	LME Aluminum Futures	September 23, 2011		5,569,624		5,631,964		62,340
73	LME Aluminum Futures	September 27, 2011		4,562,869		4,620,298		57,429
33	LME Copper Futures	July 7, 2011		7,939,892		7,767,433		(172,459)
10	LME Copper Futures	July 14, 2011		2,359,001		2,354,700		(4,301)
43	LME Copper Futures	July 28, 2011		10,105,217		10,132,101		26,884
34	LME Copper Futures	August 5, 2011		7,497,172		8,012,831		515,659
18	LME Copper Futures	August 31, 2011		4,148,353		4,243,275		94,922
6	LME Copper Futures	September 2, 2011		1,358,160		1,414,461		56,301
16	LME Copper Futures	September 6, 2011		3,653,439		3,772,084		118,645
9	LME Copper Futures	September 9, 2011		2,036,877		2,121,879		85,002
22	LME Copper Futures	September 16, 2011		5,000,458		5,187,270		186,812
86	LME Copper Futures	September 19, 2011		19,612,091		20,278,800		666,709
9	LME Copper Futures	September 23, 2011		2,034,995		2,121,750		86,755
15	LME Copper Futures	September 30, 2011		3,511,438		3,536,249		24,811
473	LME HG Aluminum Futures	September 19, 2011		31,103,092		29,929,075		(1,174,017)
34	LME Nickel Futures	August 8, 2011		4,952,272		4,776,150		(176,122)
30	LME Nickel Futures	August 9, 2011		4,459,651		4,214,339		(245,312)
1	LME Nickel Futures	August 12, 2011		143,255		140,487		(2,768)
1	LME Nickel Futures	August 22, 2011		141,905		140,504		(1,401)
10	LME Nickel Futures	August 24, 2011		1,359,051		1,405,077		46,026
38	LME Primary Aluminum Futures	September 30, 2011		2,416,042		2,405,400		(10,642)
130	LME Zinc Futures	August 5, 2011		6,870,407		7,642,506		772,099
31	LME Zinc Futures	August 31, 2011		1,759,327		1,828,264		68,937
17	LME Zinc Futures	September 2, 2011		958,649		1,002,826		44,177
75	LME Zinc Futures	September 6, 2011		4,293,526		4,426,274		132,748
115	LME Zinc Futures	September 9, 2011		6,544,157		6,789,284		245,127
23	LME Zinc Futures	September 16, 2011		1,285,203		1,358,949		73,746
307	LME Zinc Futures	September 19, 2011		17,531,294		18,149,456		618,162
46	LME Zinc Futures	September 30, 2011		2,674,657		2,719,750		45,093
656	Long Gilt Futures	September 28, 2011		126,414,690		126,499,591		84,901
42	MSCI Singapore Index Futures	July 28, 2011		2,402,612		2,464,675		62,063
145	MSCI Taiwan Stock Index Futures	July 28, 2011		4,230,056		4,294,900		64,844
160	NASDAQ 100 E-Mini Futures	September 16, 2011		7,321,278		7,427,200		105,922
399	S&P 500 E-Mini Futures	September 16, 2011		25,687,665		26,244,225		556,560
359	S&P MID 400 E-Mini Futures	September 16, 2011		33,974,187		35,056,350		1,082,163
106	S&P/Toronto Stock Exchange 60 Index	September 15, 2011		16,357,502		16,754,253		396,751
362	SGX S&P CNX Nifty Index Futures	July 28, 2011		4,021,238		4,092,410		71,172
59	Sugar #11 (World Markets) Futures	September 30, 2011		1,799,192		1,740,547		(58,645)
107	TOPIX Index Futures	September 8, 2011		11,171,728		11,290,790		119,062
569	U.S. Treasury Bond Futures	September 21, 2011		70,608,949		70,004,781		(604,168)
								14,011,202
Short Contracts:
54	3-Month Euro Euribor Futures	December 19, 2011		$(19,212,617)		$(19,208,977)		$3,640
105	Amsterdam Index Futures	July 15, 2011		(10,040,453)		(10,346,457)		(306,004)
804	Cocoa Futures	September 15, 2011		(23,833,950)		(25,334,040)		(1,500,090)

The accompanying notes are an integral part of these financial statements. (Continued)

40 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
39	Coffee ‘C’ Futures	September 20, 2011		$(3,904,146)		$(3,884,400)		$19,746
117	Corn Futures	September 14, 2011		(3,847,641)		(3,790,800)		56,841
77	Cotton No.2 Futures	December 7, 2011		(5,093,152)		(4,565,715)		527,437
194	Crude Oil Financial Futures	July 19, 2011		(18,426,540)		(18,511,480)		(84,940)
40	Euro-Buxl 30-Year Bond Futures	September 8, 2011		(6,001,999)		(5,973,458)		28,541
60	FTSE/MIB Index Futures	September 16, 2011		(8,375,855)		(8,793,565)		(417,710)
48	Globex Heat Oil Futures	July 28, 2011		(5,656,589)		(5,939,740)		(283,151)
2	Hang Seng Index Futures	July 28, 2011		(285,724)		(288,215)		(2,491)
42	H-SHARES Index Futures	July 28, 2011		(3,380,653)		(3,401,095)		(20,442)
73	ICE Euro Gasoil Futures	July 11, 2011		(6,428,425)		(6,763,450)		(335,025)
817	Lean Hogs Futures	August 12, 2011		(30,248,820)		(29,959,390)		289,430
46	LME Aluminum Futures	July 5, 2011		(3,025,652)		(2,878,737)		146,915
111	LME Aluminum Futures	July 7, 2011		(7,467,658)		(6,948,960)		518,698
55	LME Aluminum Futures	July 21, 2011		(3,771,347)		(3,450,755)		320,592
125	LME Aluminum Futures	July 28, 2011		(8,650,931)		(7,851,218)		799,713
23	LME Aluminum Futures	August 4, 2011		(1,598,384)		(1,446,206)		152,178
279	LME Aluminum Futures	August 5, 2011		(18,074,250)		(17,545,891)		528,359
300	LME Aluminum Futures	August 9, 2011		(19,629,065)		(18,878,325)		750,740
72	LME Aluminum Futures	August 12, 2011		(4,660,745)		(4,532,922)		127,823
68	LME Aluminum Futures	August 16, 2011		(4,371,330)		(4,283,762)		87,568
7	LME Aluminum Futures	August 17, 2011		(446,943)		(441,044)		5,899
108	LME Aluminum Futures	August 19, 2011		(6,785,139)		(6,806,214)		(21,075)
14	LME Aluminum Futures	August 24, 2011		(879,191)		(882,788)		(3,597)
92	LME Aluminum Futures	August 31, 2011		(6,089,935)		(5,805,775)		284,160
46	LME Aluminum Futures	September 2, 2011		(3,038,068)		(2,903,624)		134,444
156	LME Aluminum Futures	September 9, 2011		(10,334,212)		(9,855,846)		478,366
100	LME Aluminum Futures	September 16, 2011		(6,370,995)		(6,323,475)		47,520
13	LME Aluminum Futures	September 20, 2011		(820,143)		(822,471)		(2,328)
89	LME Aluminum Futures	September 23, 2011		(5,594,597)		(5,631,965)		(37,368)
73	LME Aluminum Futures	September 27, 2011		(4,550,382)		(4,620,298)		(69,916)
33	LME Copper Futures	July 7, 2011		(8,028,940)		(7,767,433)		261,507
10	LME Copper Futures	July 14, 2011		(2,359,949)		(2,354,699)		5,250
43	LME Copper Futures	July 28, 2011		(10,164,607)		(10,132,101)		32,506
34	LME Copper Futures	August 5, 2011		(7,668,100)		(8,012,831)		(344,731)
18	LME Copper Futures	August 31, 2011		(4,155,659)		(4,243,275)		(87,616)
6	LME Copper Futures	September 2, 2011		(1,356,720)		(1,414,461)		(57,741)
16	LME Copper Futures	September 6, 2011		(3,637,919)		(3,772,084)		(134,165)
9	LME Copper Futures	September 9, 2011		(2,011,455)		(2,121,879)		(110,424)
22	LME Copper Futures	September 16, 2011		(4,946,314)		(5,187,270)		(240,956)
52	LME Copper Futures	September 19, 2011		(11,866,229)		(12,261,600)		(395,371)
9	LME Copper Futures	September 23, 2011		(2,031,840)		(2,121,750)		(89,910)
15	LME Copper Futures	September 30, 2011		(3,494,924)		(3,536,250)		(41,326)
339	LME HG Aluminum Futures	September 19, 2011		(21,374,329)		(21,450,225)		(75,896)
34	LME Nickel Futures	August 8, 2011		(4,952,987)		(4,776,149)		176,838
30	LME Nickel Futures	August 9, 2011		(4,462,419)		(4,214,340)		248,079
1	LME Nickel Futures	August 12, 2011		(143,140)		(140,487)		2,653
1	LME Nickel Futures	August 22, 2011		(141,325)		(140,504)		821
10	LME Nickel Futures	August 24, 2011		(1,355,484)		(1,405,077)		(49,593)
46	LME Nickel Futures	September 19, 2011		(6,377,748)		(6,465,852)		(88,104)
38	LME Primary Aluminum Futures	September 30, 2011		(2,415,534)		(2,405,400)		10,134
130	LME Zinc Futures	August 5, 2011		(6,754,789)		(7,642,505)		(887,716)
31	LME Zinc Futures	August 31, 2011		(1,761,419)		(1,828,264)		(66,845)
17	LME Zinc Futures	September 2, 2011		(954,039)		(1,002,826)		(48,787)
75	LME Zinc Futures	September 6, 2011		(4,272,746)		(4,426,275)		(153,529)
115	LME Zinc Futures	September 9, 2011		(6,540,044)		(6,789,284)		(249,240)
23	LME Zinc Futures	September 16, 2011		(1,264,884)		(1,358,949)		(94,065)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 41

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
106	LME Zinc Futures	September 19, 2011		$(6,015,362)		$(6,266,587)		$(251,225)
46	LME Zinc Futures	September 30, 2011		(2,708,018)		(2,719,750)		(11,732)
1,114	Natural Gas Swap Futures	July 27, 2011		(11,975,453)		(12,181,591)		(206,138)
104	Silver Futures	September 28, 2011		(18,133,316)		(18,112,640)		20,676
60	Soybean Futures	November 14, 2011		(3,930,962)		(3,882,001)		48,961
133	Soybean Meal Futures	December 14, 2011		(4,498,200)		(4,400,970)		97,230
105	Soybean Oil Futures	December 14, 2011		(3,527,568)		(3,537,450)		(9,882)
66	SPI 200 Index Futures	September 15, 2011		(7,887,361)		(8,142,424)		(255,063)
424	Wheat Futures	September 14, 2011		(14,667,117)		(13,022,100)		1,645,017
								824,090
								$14,835,292

Cash held as collateral with broker for futures contracts was $61,180,305 at June 30, 2011.

Forward foreign currency exchange contracts outstanding as of June 30, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	AUD		141,945,000		$149,896,366		$150,718,620		$822,254
Brazilian Real, Expiring 09/21/11	The Royal Bank of Scotland	BRL		30,940,000		19,127,116		19,475,841		348,725
Canadian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	CAD		40,071,000		41,268,794		41,465,489		196,695
Swiss Franc, Expiring 09/21/11	The Royal Bank of Scotland	CHF		149,587,000		177,032,919		178,009,832		976,913
Chilean Peso, Expiring 09/21/11	The Royal Bank of Scotland	CLP		1,552,000,000		3,291,091		3,288,218		(2,873)
Columbian Peso, Expiring 09/21/11	The Royal Bank of Scotland	COP		370,000,000		206,228		208,497		2,269
Czech Republic Koruna, Expiring 09/21/11	The Royal Bank of Scotland	CZK		703,400,000		41,626,592		41,920,326		293,734
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		259,008,974		372,993,761		374,767,856		1,774,095
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		62,919,999		103,244,427		100,889,073		(2,355,354)
Hungarian Forint, Expiring 09/21/11	The Royal Bank of Scotland	HUF		5,026,000,000		26,865,409		27,173,642		308,233
Indonesian Rupiah, Expiring 09/21/11	The Royal Bank of Scotland	IDR		128,900,000,000		14,932,808		14,840,386		(92,422)
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		42,110,000		12,212,306		12,321,013		108,707
Indian Rupee, Expiring 09/21/11	The Royal Bank of Scotland	INR		2,832,400,000		62,255,067		62,439,652		184,585
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		27,711,545,000		344,224,683		344,377,549		152,866
Korean Won, Expiring 09/21/11	The Royal Bank of Scotland	KRW		53,533,720,000		49,194,588		49,898,191		703,603
Mexican Peso, Expiring 09/21/11	The Royal Bank of Scotland	MXN		615,000,000		52,069,486		52,151,968		82,482
Malaysian Ringgit, Expiring 09/21/11	The Royal Bank of Scotland	MYR		49,190,000		16,218,315		16,194,362		(23,953)

The accompanying notes are an integral part of these financial statements. (Continued)

42 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Norwegian Krone, Expiring 09/21/11	The Royal Bank of Scotland	NOK		818,074,000		$150,734,567		$150,849,743		$115,176
New Zealand Dollar, Expiring 09/21/11	The Royal Bank of Scotland	NZD		196,643,000		159,460,535		162,049,563		2,589,028
Philippine Peso, Expiring 09/21/11	The Royal Bank of Scotland	PHP		574,500,000		13,252,689		13,163,949		(88,740)
Poland Zloty, Expiring 09/21/11	The Royal Bank of Scotland	PLN		116,110,000		41,989,284		41,994,060		4,776
Russian Ruble, Expiring 09/21/11	The Royal Bank of Scotland	RUB		966,200,000		34,128,157		34,313,547		185,390
Swedish Krona, Expiring 09/21/11	The Royal Bank of Scotland	SEK		417,441,000		67,235,726		65,689,338		(1,546,388)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		37,890,000		30,694,363		30,849,020		154,657
Turkish Lira, Expiring 09/21/11	The Royal Bank of Scotland	TRY		15,400,000		9,582,180		9,348,028		(234,152)
Taiwanese Dollar, Expiring 09/21/11	The Royal Bank of Scotland	TWD		540,300,000		18,889,529		18,828,212		(61,317)
South African Rand, Expiring 09/21/11	The Royal Bank of Scotland	ZAR		62,400,000		9,051,432		9,121,247		69,815
						2,021,678,418		2,026,347,222		4,668,804

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	AUD		(45,811,000)		$(48,100,139)		$(48,642,578)		$(542,439)
Canadian Dollar, Expiring 09/21/11	The Royal Bank of Scotland	CAD		(84,586,000)		(86,257,978)		(87,529,632)		(1,271,654)
Swiss Franc, Expiring 09/21/11	The Royal Bank of Scotland	CHF		(98,207,000)		(116,375,858)		(116,867,185)		(491,327)
Czech Republic Koruna, Expiring 09/21/11	The Royal Bank of Scotland	CZK		(58,000,000)		(3,382,457)		(3,456,609)		(74,152)
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		(199,325,000)		(282,681,817)		(288,409,323)		(5,727,506)
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		(96,352,000)		(155,540,846)		(154,495,615)		1,045,231
Indian Rupee, Expiring 09/21/11	The Royal Bank of Scotland	INR		(1,230,000,000)		(26,953,935)		(27,115,087)		(161,152)
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		(42,228,909,000)		(524,670,681)		(524,788,069)		(117,388)
Korean Won, Expiring 09/21/11	The Royal Bank of Scotland	KRW		(3,000,000,000)		(2,762,431)		(2,796,267)		(33,836)
Mexican Peso, Expiring 09/21/11	The Royal Bank of Scotland	MXN		(251,000,000)		(20,965,227)		(21,284,787)		(319,560)
Malaysian Ringgit, Expiring 09/21/11	The Royal Bank of Scotland	MYR		(38,400,000)		(12,557,531)		(12,642,072)		(84,541)
Norwegian Krone, Expiring 09/21/11	The Royal Bank of Scotland	NOK		(155,996,000)		(28,097,046)		(28,765,071)		(668,025)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 43

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Philippine Peso, Expiring 09/21/11	The Royal Bank of Scotland	PHP		(310,000,000)		$(7,098,912)		$(7,103,262)		$(4,350)
Poland Zloty, Expiring 09/21/11	The Royal Bank of Scotland	PLN		(16,600,000)		(5,877,575)		(6,003,801)		(126,226)
Russian Ruble, Expiring 09/21/11	The Royal Bank of Scotland	RUB		(564,000,000)		(20,063,289)		(20,029,849)		33,440
Swedish Krona, Expiring 09/21/11	The Royal Bank of Scotland	SEK		(357,175,000)		(55,230,901)		(56,205,761)		(974,860)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		(22,400,000)		(18,084,802)		(18,237,478)		(152,676)
Turkish Lira, Expiring 09/21/11	The Royal Bank of Scotland	TRY		(43,290,000)		(26,249,528)		(26,277,671)		(28,143)
Taiwanese Dollar, Expiring 09/21/11	The Royal Bank of Scotland	TWD		(421,000,000)		(14,677,813)		(14,670,882)		6,931
South African Rand, Expiring 09/21/11	The Royal Bank of Scotland	ZAR		(25,000,000)		(3,597,138)		(3,654,346)		(57,208)
						(1,459,225,904)		(1,468,975,345)		(9,749,441)
						$562,452,514		$557,371,877		$(5,080,637)

Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $30,630,816.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HUF - Hungarian Forint

IDR - Indonesian Rupiah

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements.

44 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

GOVERNMENT RELATED OBLIGATIONS - 30.2%	MOODY’S RATING*		INTEREST RATE		MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’S)		VALUE (Note 3)
Sovereign Debt - 30.2%
France Government Bond OAT (France)		NR		1.600%		07/25/15		EUR		13,223	$	19,938,753
France Government Bond OAT (France)		NR		2.250%		07/25/20		EUR		6,336		10,040,633
United Kingdom Treasury Gilt (United Kingdom)		NR		1.875%		11/22/22		GBP		7,294		13,427,045
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $42,459,079)												43,406,431
U.S. TREASURY OBLIGATIONS - 21.2%
U.S. Treasury Inflation Protected Securities Bonds - 21.2%
U.S. Treasury Bond		NR		1.250%		07/15/20		USD		8,900		9,709,013
U.S. Treasury Bond		NR		0.500%		04/15/15		USD		19,200		20,782,150
TOTAL U.S. TREASURY OBLIGATIONS (cost $30,135,500)												30,491,163
									SHARES
MONEY MARKET FUNDS - 41.9%
BlackRock Liquidity Funds TempFund Portfolio, Series I, Class I, 0.086% (a)										2,900,787		2,900,787
Dreyfus Treasury Cash Management, Series I, Class I, 0.010% (a)										11,603,149		11,603,149
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (a)(b)										3,671,555		3,671,555
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)										27,531,025		27,531,025
UBS Money Series - UBS Select Treasury Preferred Fund, Series I, Class I, 0.010% (a)										14,503,936		14,503,936
TOTAL MONEY MARKET FUNDS (cost $60,210,452)												60,210,452
TOTAL INVESTMENTS - 93.3% (cost $132,805,031)												134,108,046
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.7% (c)												9,611,786
NET ASSETS - 100.0%											$	143,719,832

All securities are United States companies, unless noted otherwise in parentheses.

(a) Represents annualized seven-day yield as of June 30, 2011.

(b) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

(c) Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts.

* The rating reflected is as June 30, 2011. Rating of certain bonds may have changed subsequent to the date.

All securities are Level 2 (See Note 5)

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

NR - Not Rated by Moody’s

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 45

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

Credit default swap contracts sell protection as of June 30, 2011:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID BY FUND	CURRENCY		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Markit CMBX North America AJ 3	1.470%		USD		225,000		$(46,542)		12/13/2049		$(9,381)
Bank of America	Markit CMBX North America AJ 4	0.960%		USD		325,000		(82,771)		2/17/2051		(16,830)
Bank of America	Markit CMBX North America AJ 5	0.980%		USD		150,000		(27,974)		2/15/2051		(13,751)
Bank of America	Markit CDX North America Investment Grade Index Series 16	1.000%		USD		19,375,000		53,355		6/20/2016		24,881
Bank of America	Markit CDX North America High Yield Index Series 16	5.000%		USD		12,600,000		282,108		6/20/2016		(58,726)
Bank of America	Markit CDX Emerging Market Index Series 15	5.000%		USD		5,800,000		752,927		6/20/2016		15,656
Bank of America	iTraxx Europe Series 15.V1	1.000%		EUR		3,675,000		(1,937)		6/20/2016		(10,586)
Bank of America	iTraxx Europe Crossover Series 15.V1	5.000%		EUR		9,325,000		660,021		6/20/2016		(62,762)
Deutsche Bank AG	Markit CDX North America Investment Grade Index Series 16	1.000%		USD		11,150,000		25,820		6/20/2016		19,203
Deutsche Bank AG	Markit CDX North America High Yield Index Series 16	5.000%		USD		16,425,000		344,782		6/20/2016		(53,587)
Deutsche Bank AG	Markit CDX Emerging Market Index Series 15	5.000%		USD		2,500,000		323,777		6/20/2016		7,508
Deutsche Bank AG	iTraxx Europe Series 15.V1	1.000%		EUR		11,650,000		(25,487)		6/20/2016		(14,210)
Deutsche Bank AG	iTraxx Europe Crossover Series 15.V1	5.000%		EUR		1,025,000		79,430		6/20/2016		(13,780)
Morgan Stanley Capital Services, Inc.	Markit CMBX North America AJ 5	0.980%		USD		125,000		(30,255)		2/15/2051		(4,515)
Morgan Stanley Capital Services, Inc.	iTraxx Europe Series 15.V1	1.000%		EUR		2,000,000		(2,602)		6/20/2016		(4,212)
Morgan Stanley Capital Services, Inc.	iTraxx Europe Crossover Series 15.V1	5.000%		EUR		1,000,000		76,570		6/20/2016		(12,521)
The Royal Bank of Scotland	Markit CMBX North America AJ 3	1.470%		USD		275,000		(38,925)		12/13/2049		(29,425)
The Royal Bank of Scotland	Markit CMBX North America AJ 4	0.960%		USD		250,000		(53,757)		02/17/2051		(22,859)
The Royal Bank of Scotland	Markit CMBX North America AJ 5	0.980%		USD		225,000		(38,799)		02/15/2051		(23,788)
The Royal Bank of Scotland	Markit CDX North America Investment Grade Index Series 16	1.000%		USD		11,975,000		54,306		06/20/2016		(5,952)
The Royal Bank of Scotland	Markit CDX North America High Yield Index Series 16	5.000%		USD		6,125,000		130,489		06/20/2016		(21,900)
The Royal Bank of Scotland	iTraxx Europe Series 15.V1	1.000%		EUR		3,575,000		10,350		06/20/2016		(22,531)
The Royal Bank of Scotland	iTraxx Europe Crossover Series 15.V1	5.000%		EUR		350,000		29,410		06/20/2016		(6,993)
								$2,474,296				$(341,061)

The accompanying notes are an integral part of these financial statements. (Continued)

46 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $1,890,435. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.

Interest rate swap contracts outstanding as of June 30, 2011:

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
The Royal Bank of Scotland	3.050%	(1)		CZK		37,000,000		3/16/2016		$(53,680)
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.330%		CZK		3,000,000		3/16/2016		(1,421)
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.840%		CZK		3,000,000		3/16/2016		2,667
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.653%		CZK		3,200,000		3/16/2016		1,239
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.680%		CZK		4,000,000		3/16/2016		1,843
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.210%		CZK		5,438,792		3/16/2016		(4,328)
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.900%		CZK		18,000,000		3/16/2016		18,891
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	3.225%		CZK		6,000,000		9/21/2016		10,112
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	3.110%		CZK		9,000,000		9/21/2016		12,260
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	3.268%		CZK		37,000,000		9/21/2016		66,776
The Royal Bank of Scotland	6 month Prague Interbank Offered Rate	2.690%		CZK		51,000,000		9/21/2016		9,287
The Royal Bank of Scotland	2.495%	(2)		HKD		15,800,000		3/16/2016		(82,294)
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.235%		HKD		1,300,000		3/16/2016		4,767
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.210%		HKD		1,320,000		3/16/2016		4,645
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.145%		HKD		1,550,000		3/16/2016		4,857
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.630%		HKD		1,590,000		3/16/2016		128
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.748%		HKD		2,760,959		3/16/2016		2,159
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.205%		HKD		7,400,000		3/16/2016		25,820
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.530%		HKD		1,800,000		9/21/2016		7,599
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.880%		HKD		2,500,000		9/21/2016		16,023
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	1.990%		HKD		13,700,000		9/21/2016		11,608
The Royal Bank of Scotland	3 month Hong Kong Interbank Offered Rate	2.915%		HKD		15,900,000		9/21/2016		105,383
The Royal Bank of Scotland	6.980%	(3)		HUF		320,000,000		3/16/2016		(36,787)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	5.970%		HUF		38,000,000		3/16/2016		(4,364)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.780%		HUF		40,000,000		3/16/2016		2,779
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.300%		HUF		43,955,931		3/16/2016		(1,740)
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.150%		HUF		49,000,000		3/16/2016		7,527
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.760%		HUF		150,000,000		3/16/2016		9,740
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.930%		HUF		50,000,000		9/21/2016		4,706
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.730%		HUF		70,000,000		9/21/2016		3,262
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	6.580%		HUF		100,000,000		9/21/2016		1,097
The Royal Bank of Scotland	6 month Budapest Interbank Offered Rate	7.110%		HUF		320,000,000		9/21/2016		43,800
The Royal Bank of Scotland	4.270%	(4)		KRW		5,100,000,000		3/16/2016		(73,145)
The Royal Bank of Scotland	4.270%	(4)		KRW		5,100,000,000		3/16/2016		(73,145)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.680%		KRW		200,000,000		3/16/2016		(1,874)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.734%		KRW		200,000,000		3/16/2016		(1,713)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.690%		KRW		330,000,000		3/16/2016		(2,959)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.690%		KRW		380,000,000		3/16/2016		(3,407)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.115%		KRW		490,000,000		3/16/2016		3,975
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.255%		KRW		630,000,000		3/16/2016		8,656
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.285%		KRW		700,000,000		3/16/2016		10,461
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.930%		KRW		860,000,000		3/16/2016		583
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	3.753%		KRW		1,455,153,531		3/16/2016		(9,542)
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.240%		KRW		5,100,000,000		3/16/2016		66,996
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.400%		KRW		1,400,000,000		9/21/2016		26,459
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.265%		KRW		1,800,000,000		9/21/2016		23,799
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.035%		KRW		3,500,000,000		9/21/2016		12,426
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.405%		KRW		5,000,000,000		9/21/2016		95,546
The Royal Bank of Scotland	3 month Korean Certificate of Deposit	4.395%		KRW		5,100,000,000		9/21/2016		95,313
The Royal Bank of Scotland	3.950%	(4)		KRW		220,000,000		3/16/2016		(326)
The Royal Bank of Scotland	5.600%	(5)		PLN		14,400,000		3/16/2016		(73,477)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 47

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND	CURRENCY		NOTIONAL AMOUNT		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.600%		PLN		500,000		3/16/2016		$2,551
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.270%		PLN		590,000		3/16/2016		29
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	4.980%		PLN		990,000		3/16/2016		(4,335)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.640%		PLN		1,280,000		3/16/2016		7,313
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.560%		PLN		1,780,000		3/16/2016		7,996
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	4.940%		PLN		2,060,979		3/16/2016		(10,246)
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.690%		PLN		7,200,000		3/16/2016		46,630
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.690%		PLN		2,400,000		9/21/2016		14,010
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.500%		PLN		3,500,000		9/21/2016		12,602
The Royal Bank of Scotland	6 month Warsaw Interbank Offered Rate	5.740%		PLN		14,500,000		9/21/2016		96,204
The Royal Bank of Scotland	2.185%	(6)		SGD		2,300,000		3/16/2016		(55,414)
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.750%		SGD		220,000		3/16/2016		1,714
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.815%		SGD		365,898		3/16/2016		3,749
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	2.190%		SGD		220,000		3/16/2016		5,342
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	2.145%		SGD		260,000		3/16/2016		5,874
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	2.055%		SGD		1,200,000		3/16/2016		23,059
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	2.250%		SGD		200,000		9/21/2016		3,963
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	2.550%		SGD		300,000		9/21/2016		9,506
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	1.945%		SGD		2,200,000		9/21/2016		17,032
The Royal Bank of Scotland	6 month Singapore Interbank Offered Rate	2.540%		SGD		2,300,000		9/21/2016		71,970
The Royal Bank of Scotland	7.930%	(7)		ZAR		25,700,000		3/16/2016		(59,297)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.040%		ZAR		1,320,000		3/16/2016		(3,869)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.080%		ZAR		1,320,000		3/16/2016		(3,559)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.785%		ZAR		1,800,000		3/16/2016		2,617
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.390%		ZAR		2,390,000		3/16/2016		(2,083)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.610%		ZAR		2,810,000		3/16/2016		1,190
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.155%		ZAR		3,282,843		3/16/2016		(7,387)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.990%		ZAR		13,100,000		3/16/2016		34,852
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	8.310%		ZAR		1,700,000		9/21/2016		5,676
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	8.275%		ZAR		5,100,000		9/21/2016		15,948
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.750%		ZAR		5,300,000		9/21/2016		(322)
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	7.840%		ZAR		8,000,000		9/21/2016		3,878
The Royal Bank of Scotland	3 month Johannesburg Interbank Agreed Rate	8.332%		ZAR		25,900,000		9/21/2016		89,955
The Royal Bank of Scotland	3 month Johannesburg Interbank Offered Rate	7.350%		ZAR		1,370,000		3/16/2016		(1,516)
The Royal Bank of Scotland	6.955%	(7)		ZAR		1,560,000		3/16/2016		5,354
										$639,973

(1) 6 month Prague Interbank Offered Rate

(2) 3 month Hong Kong Interbank Offered Rate

(3) 6 month Budapest Interbank Offered Rate

(4) 3 month Korean Certificate of Deposit

(5) 6 month Warsaw Interbank Offered Rate

(6) 6 month Singapore Interbank Offered Rate

(7) 3 month Johannesburg Interbank Agreed Rate

Money Market Fund pledged as collateral to broker is included in the forward foreign currency exchange contracts.

Total return swap contracts outstanding as of June 30, 2011:

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Merrill Lynch	10-Year Mini Japanese Treasury Bond	9/8/2011		$59,503,804		$62,186
Merrill Lynch	10-Year U.S. Treasury Note	9/21/2011		51,887,642		101,811

The accompanying notes are an integral part of these financial statements. (Continued)

48 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Morgan Stanley and Co., International PLC	Bovespa Index	8/17/2011		$1,023,180		$(11,470)
Merrill Lynch	Euro - Bund Futures	9/8/2011		26,729,687		19,142
Morgan Stanley and Co., International PLC	KOSPI 200 Futures	9/8/2011		1,953,856		(10,803)
Merrill Lynch	Long Gilt	9/28/2011		14,828,206		20,069
Barclays Capital	Soybean Futures	1/13/2012		407,850		(16,575)
Morgan Stanley and Co., International PLC	Swiss Market Index	9/16/2011		72,081		1,520
Morgan Stanley and Co., International PLC	Russian Equity Index	6/15/2050		1,200,802		(7,380)
						$158,500

Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $730,131.

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
4	Amsterdam Index Futures	July 15, 2011		$391,126		$394,150		$3,024
6	Australia 10-Year Bond Future	September 15, 2011		681,417		682,509		1,092
51	CAC40 10 Euro Futures	July 15, 2011		2,836,885		2,943,145		106,260
1	Cattle Feeder Futures	August 25, 2011		67,866		69,038		1,172
1	Cocoa Futures	September 15, 2011		30,500		31,510		1,010
9	Coffee ‘C’ Futures	September 20, 2011		902,776		896,400		(6,376)
40	Corn Futures	December 14, 2011		1,391,305		1,241,000		(150,305)
16	Cotton No.2 Futures	December 7, 2011		1,038,719		948,720		(89,999)
54	Crude Oil Financial Futures	August 19, 2011		5,439,280		5,181,840		(257,440)
11	DAX Index Futures	September 16, 2011		2,857,327		2,947,665		90,338
18	E-Mini Russell 2000 Futures	September 16, 2011		1,403,937		1,485,720		81,783
9	European Gasoil (ICE) Futures	August 10, 2011		854,400		836,550		(17,850)
41	FTSE 100 Index Futures	September 16, 2011		3,786,612		3,884,019		97,407
14	FTSE/JSE Top 40 Index Futures	September 15, 2011		577,702		590,825		13,123
5	FTSE/MIB Index Futures	September 16, 2011		729,250		732,797		3,547
17	Globex Brent FCL Futures	August 15, 2011		1,921,810		1,910,970		(10,840)
5	Globex Heat Oil Futures	August 30, 2011		642,886		621,936		(20,950)
5	Globex RBOB Gas Futures	August 30, 2011		616,371		615,174		(1,197)
29	Gold 100 OZ Futures	August 29, 2011		4,366,015		4,358,120		(7,895)
8	Hang Seng Index Futures	July 28, 2011		1,131,211		1,152,859		21,648
20	H-SHARES Index Futures	July 28, 2011		1,589,550		1,619,569		30,019
7	IBEX 35 Index Futures	July 15, 2011		1,012,572		1,042,818		30,246
5	Lean Hogs Futures	October 14, 2011		169,287		172,450		3,163
6	Live Cattle Futures	October 31, 2011		264,902		281,280		16,378
4	LME Aluminum Futures	July 7, 2011		268,766		250,413		(18,353)
2	LME Aluminum Futures	July 21, 2011		137,037		125,482		(11,555)
4	LME Aluminum Futures	July 28, 2011		277,325		251,240		(26,085)
1	LME Aluminum Futures	August 4, 2011		69,505		62,878		(6,627)
8	LME Aluminum Futures	August 5, 2011		521,640		503,108		(18,532)
3	LME Aluminum Futures	August 9, 2011		196,140		188,783		(7,357)
1	LME Aluminum Futures	August 12, 2011		64,955		62,957		(1,998)
1	LME Aluminum Futures	August 19, 2011		63,780		63,020		(760)
2	LME Aluminum Futures	August 31, 2011		132,693		126,213		(6,480)
8	LME Aluminum Futures	September 1, 2011		535,758		504,914		(30,844)
6	LME Aluminum Futures	September 9, 2011		399,777		379,072		(20,705)
2	LME Aluminum Futures	September 16, 2011		126,760		126,469		(291)
2	LME Aluminum Futures	September 20, 2011		126,010		126,534		524

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 49

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
6	LME Aluminum Futures	September 23, 2011		$375,919		$379,683		$3,764
43	LME Aluminum Futures	December 19, 2011		2,841,842		2,746,625		(95,217)
1	LME Copper Futures	July 7, 2011		240,603		235,377		(5,226)
1	LME Copper Futures	July 11, 2011		247,834		235,430		(12,404)
1	LME Copper Futures	July 14, 2011		236,505		235,470		(1,035)
2	LME Copper Futures	August 5, 2011		439,510		471,343		31,833
1	LME Copper Futures	August 31, 2011		230,464		235,737		5,273
2	LME Copper Futures	September 1, 2011		460,971		471,481		10,510
1	LME Copper Futures	September 6, 2011		228,340		235,755		7,415
1	LME Copper Futures	September 15, 2011		228,971		235,783		6,812
10	LME Copper Futures	September 19, 2011		2,466,249		2,358,000		(108,249)
1	LME Copper Futures	September 23, 2011		226,255		235,750		9,495
1	LME Copper Futures	September 30, 2011		234,096		235,750		1,654
10	LME Copper Futures	December 19, 2011		2,303,350		2,359,250		55,900
48	LME HG Aluminum Futures	September 19, 2011		3,168,100		3,037,200		(130,900)
3	LME Primary Aluminum Futures	September 30, 2011		190,740		189,900		(840)
1	LME Zinc Futures	September 19, 2011		63,569		59,119		(4,450)
1	LME Zinc Futures	December 19, 2011		56,867		59,618		2,751
46	MSCI Taiwan Stock Index Futures	July 28, 2011		1,338,648		1,362,520		23,872
2	Natural Gas Swap Futures	July 27, 2011		24,350		21,870		(2,480)
146	Natural Gas Swap Futures	August 29, 2011		1,771,440		1,603,445		(167,995)
279	S&P 500 E-Mini Futures	September 16, 2011		17,741,846		18,351,225		609,379
18	S&P MID 400 E-Mini Futures	September 16, 2011		1,676,927		1,757,700		80,773
9	S&P/Toronto Stock Exchange 60 Index	September 15, 2011		1,387,345		1,422,531		35,186
27	SGX S&P CNX Nifty Index Futures	July 28, 2011		300,474		305,235		4,761
17	Soybean Futures	January 13, 2012		1,183,011		1,108,612		(74,399)
35	Sugar #11 (World Markets) Futures	September 30, 2011		936,763		1,032,528		95,765
26	TOPIX Index Futures	September 8, 2011		2,632,549		2,743,556		111,007
24	Wheat Futures	December 14, 2011		995,695		789,000		(206,695)
								74,555
Short Contracts:
4	LME Aluminum Futures	July 7, 2011		$(268,980)		$(250,413)		$18,567
2	LME Aluminum Futures	July 21, 2011		(137,140)		(125,482)		11,658
4	LME Aluminum Futures	July 28, 2011		(276,980)		(251,239)		25,741
1	LME Aluminum Futures	August 4, 2011		(69,732)		(62,878)		6,854
8	LME Aluminum Futures	August 5, 2011		(518,194)		(503,108)		15,086
3	LME Aluminum Futures	August 9, 2011		(196,291)		(188,784)		7,507
1	LME Aluminum Futures	August 12, 2011		(64,732)		(62,957)		1,775
1	LME Aluminum Futures	August 19, 2011		(63,860)		(63,020)		840
2	LME Aluminum Futures	August 31, 2011		(132,490)		(126,213)		6,277
8	LME Aluminum Futures	September 1, 2011		(535,960)		(504,914)		31,046
6	LME Aluminum Futures	September 9, 2011		(396,720)		(379,071)		17,649
2	LME Aluminum Futures	September 16, 2011		(128,282)		(126,469)		1,813
2	LME Aluminum Futures	September 20, 2011		(126,176)		(126,534)		(358)
6	LME Aluminum Futures	September 23, 2011		(377,173)		(379,683)		(2,510)
12	LME Aluminum Futures	December 19, 2011		(761,364)		(766,500)		(5,136)
1	LME Copper Futures	July 7, 2011		(242,745)		(235,377)		7,368
1	LME Copper Futures	July 11, 2011		(245,495)		(235,430)		10,065
1	LME Copper Futures	July 14, 2011		(236,046)		(235,469)		577
2	LME Copper Futures	August 5, 2011		(439,090)		(471,343)		(32,253)
1	LME Copper Futures	August 31, 2011		(230,745)		(235,738)		(4,993)
2	LME Copper Futures	September 1, 2011		(460,240)		(471,481)		(11,241)
1	LME Copper Futures	September 6, 2011		(228,370)		(235,755)		(7,385)
1	LME Copper Futures	September 15, 2011		(228,995)		(235,782)		(6,787)
10	LME Copper Futures	September 19, 2011		(2,294,349)		(2,358,000)		(63,651)
1	LME Copper Futures	September 23, 2011		(225,920)		(235,750)		(9,830)
1	LME Copper Futures	September 30, 2011		(232,870)		(235,750)		(2,880)
1	LME Copper Futures	December 19, 2011		(226,320)		(235,925)		(9,605)
48	LME HG Aluminum Futures	September 19, 2011		(3,116,814)		(3,037,200)		79,614
3	LME Primary Aluminum Futures	September 30, 2011		(190,700)		(189,900)		800

The accompanying notes are an integral part of these financial statements. (Continued)

50 AQR Funds Semi-Annual Report June 2011

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	LME Zinc Futures	September 19, 2011		$(56,495)		$(59,119)		$(2,624)
7	Soybean Futures	November 14, 2011		(467,933)		(452,900)		15,033
1	Wheat Futures	September 14, 2011		(35,296)		(30,713)		4,583
								103,600
								$178,155

Cash held as collateral with broker for futures contracts was $5,312,664 at June 30, 2011.

Forward foreign currency exchange contracts outstanding as of June 30, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/11	The Royal Bank of Scotland	BRL		10,412,000		$6,431,680		$6,554,055		$122,375
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		2,105,000		3,011,105		3,045,788		34,683
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		24,424,000		7,095,541		7,146,246		50,705
Korean Won, Expiring 09/21/11	The Royal Bank of Scotland	KRW		5,707,796,000		5,248,631		5,320,174		71,543
Mexican Peso, Expiring 09/21/11	The Royal Bank of Scotland	MXN		96,949,000		8,234,407		8,221,270		(13,137)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		6,190,000		5,023,609		5,039,732		16,123
Turkish Lira, Expiring 09/21/11	The Royal Bank of Scotland	TRY		6,456,000		3,980,528		3,918,888		(61,640)
Taiwanese Dollar, Expiring 09/21/11	The Royal Bank of Scotland	TWD		181,925,000		6,391,394		6,339,668		(51,726)
South African Rand, Expiring 09/21/11	The Royal Bank of Scotland	ZAR		24,681,000		3,579,405		3,607,716		28,311
						48,996,300		49,193,537		197,237

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/21/11	The Royal Bank of Scotland	BRL		(392,000)		$(241,008)		$(246,753)		$(5,745)
Euro, Expiring 09/21/11	The Royal Bank of Scotland	EUR		(35,725,000)		(51,382,978)		(51,691,574)		(308,596)
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		(8,560,000)		(14,098,013)		(13,725,532)		372,481
Hong Kong Dollar, Expiring 09/21/11	The Royal Bank of Scotland	HKD		(16,000)		(2,055)		(2,057)		(2)
Israeli Shekel, Expiring 09/21/11	The Royal Bank of Scotland	ILS		(2,843,000)		(827,648)		(831,837)		(4,189)
Japanese Yen, Expiring 09/21/11	The Royal Bank of Scotland	JPY		(17,000,000)		(211,982)		(211,263)		719
Korean Won, Expiring 09/21/11	The Royal Bank of Scotland	KRW		(110,034,000)		(101,320)		(102,561)		(1,241)

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 51

Consolidated Schedule of Investments June 30, 2011 (Unaudited)

AQR RISK PARITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION (DEPRECIATION)
(continued)
Mexican Peso, Expiring 09/21/11	The Royal Bank of Scotland	MXN		(12,391,000)		$(1,040,471)		$(1,050,756)		$(10,285)
Russian Ruble, Expiring 09/21/11	The Royal Bank of Scotland	RUB		(31,220,000)		(1,103,508)		(1,108,744)		(5,236)
Singapore Dollar, Expiring 09/21/11	The Royal Bank of Scotland	SGD		(565,000)		(455,721)		(460,008)		(4,287)
Turkish Lira, Expiring 09/21/11	The Royal Bank of Scotland	TRY		(2,253,000)		(1,367,003)		(1,367,604)		(601)
Taiwanese Dollar, Expiring 09/21/11	The Royal Bank of Scotland	TWD		(9,921,000)		(344,829)		(345,724)		(895)
South African Rand, Expiring 09/21/11	The Royal Bank of Scotland	ZAR		(5,964,000)		(860,527)		(871,781)		(11,254)
						(72,037,063)		(72,016,194)		20,869
						$(23,040,763)		$(22,822,657)		$218,106

Money Market Fund is pledged as collateral to broker for forward currency exchange contracts in the amount of $1,050,989.

BRL - Brazilian Real

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

ILS - Israeli Shekel

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

RUB - Russian Ruble

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwan Dollar

ZAR - South African Rand

The accompanying notes are an integral part of these financial statements.

52 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR MOMENTUM FUND

COMMON STOCKS - 99.0%	SHARES		VALUE (Note 3)
Consumer Discretionary - 14.7%
Abercrombie & Fitch Co., Class A		6,400	$	428,288
Advance Auto Parts, Inc.		2,300		134,527
Amazon.com, Inc. †		23,200		4,744,168
AutoZone, Inc. †(a)		300		88,455
BorgWarner, Inc. †(a)		8,700		702,873
Cablevision Systems Corp., Class A (a)		3,800		137,598
CarMax, Inc. †		7,300		241,411
CBS Corp., Class B		45,200		1,287,748
Chipotle Mexican Grill, Inc. †(a)		2,500		770,475
Clear Channel Outdoor Holdings, Inc., Class A †		9,300		118,110
Coach, Inc.		24,007		1,534,768
Comcast Corp., Class A		19,600		496,664
Dana Holding Corp. †		8,800		161,040
Deckers Outdoor Corp. †(a)		2,300		202,722
Dick’s Sporting Goods, Inc. †		4,600		176,870
Dillard’s, Inc., Class A (a)		3,700		192,918
DIRECTV, Class A †(a)		4,800		243,936
Discovery Communications, Inc., Class A †(a)		3,166		129,679
DISH Network Corp., Class A †		8,800		269,896
Dollar Tree, Inc. †		2,500		166,550
Foot Locker, Inc.		7,900		187,704
Ford Motor Co. †(a)		6,843		94,365
Fortune Brands, Inc.		5,400		344,358
Fossil, Inc. †(a)		3,300		388,476
Gentex Corp. (a)		2,900		87,667
Goodyear Tire & Rubber Co./The †		16,000		268,320
Guess?, Inc.		6,800		286,008
Harley-Davidson, Inc.		13,200		540,804
Hasbro, Inc.		3,200		140,576
Hyatt Hotels Corp., Class A †		2,200		89,804
IAC/InterActiveCorp †		6,700		255,739
Interpublic Group of Cos., Inc./The		38,600		482,500
JC Penney Co., Inc.		13,300		459,382
Las Vegas Sands Corp. †		31,000		1,308,510
Lear Corp.		2,600		139,048
Liberty Global, Inc., Class A †		16,900		761,176
Liberty Media Corp. - Capital, Series A †		6,300		540,225
Liberty Media Corp. - Interactive, Series A †		40,500		679,185
Ltd. Brands, Inc.		20,900		803,605
Macy’s, Inc.		26,000		760,240
McGraw-Hill Cos., Inc./The		15,000		628,650
MGM Resorts International †		27,200		359,312
NetFlix, Inc. †(a)		3,500		919,415
News Corp., Class A		145,100		2,568,270
Omnicom Group, Inc.		7,000		337,120
O’Reilly Automotive, Inc. †		3,600		235,836
Panera Bread Co., Class A †		2,400		301,584
PetSmart, Inc.		3,400		154,258
Polaris Industries, Inc.		2,400		266,808
Polo Ralph Lauren Corp. (a)		5,700		755,877
priceline.com, Inc. †		3,926		2,009,837
Ross Stores, Inc.		8,800		705,056
Royal Caribbean Cruises Ltd. †(a)		11,300		425,332
Sally Beauty Holdings, Inc. †		8,500		145,350

	SHARES		VALUE (Note 3)
Consumer Discretionary - 14.7% (continued)
Signet Jewelers Ltd. (Bermuda) †		3,900	$	182,559
Sirius XM Radio, Inc. †(a)		363,600		796,284
Sotheby’s		4,100		178,350
Starbucks Corp.		7,934		313,314
Tempur-Pedic International, Inc. †(a)		3,900		264,498
Tenneco, Inc. †		3,100		136,617
Tiffany & Co. (a)		6,600		518,232
Time Warner Cable, Inc.		3,400		265,336
Tractor Supply Co.		3,500		234,080
TRW Automotive Holdings Corp. †		4,800		283,344
Tupperware Brands Corp.		4,600		310,270
Ulta Salon Cosmetics & Fragrance, Inc. †(a)		3,600		232,488
Under Armour, Inc., Class A †(a)		2,800		216,468
Viacom, Inc., Class B		33,500		1,708,500
Virgin Media, Inc. (a)		24,700		739,271
Weight Watchers International, Inc.		3,400		256,598
Williams-Sonoma, Inc.		5,800		211,642
Wyndham Worldwide Corp.		9,200		309,580
Wynn Resorts Ltd.		7,500		1,076,550
Yum! Brands, Inc.		3,000		165,720
				39,058,794
Consumer Staples - 6.6%
Altria Group, Inc.		15,200		401,432
Coca-Cola Enterprises, Inc.		18,423		537,583
Corn Products International, Inc.		4,600		254,288
Dr Pepper Snapple Group, Inc. (a)		2,700		113,211
Estee Lauder Cos., Inc./The, Class A		9,300		978,267
Green Mountain Coffee Roasters, Inc. †(a)		9,000		803,340
Hansen Natural Corp. †		2,900		234,755
Herbalife Ltd. (Cayman Islands)		7,000		403,480
Lorillard, Inc.		10,000		1,088,700
McCormick & Co., Inc.		3,300		163,581
Philip Morris International, Inc.		125,200		8,359,604
Reynolds American, Inc.		26,900		996,645
Walgreen Co.		57,000		2,420,220
Whole Foods Market, Inc. (a)		10,200		647,190
				17,402,296
Energy - 25.0%
Alpha Natural Resources, Inc. †		10,200		463,488
Anadarko Petroleum Corp.		34,700		2,663,572
Arch Coal, Inc.		12,000		319,920
Baker Hughes, Inc.		32,500		2,358,200
Berry Petroleum Co., Class A (a)		3,600		191,268
Brigham Exploration Co. †		7,100		212,503
Cabot Oil & Gas Corp.		4,800		318,288
Cameron International Corp. †		6,900		347,001
CARBO Ceramics, Inc. (a)		1,600		260,720
Chesapeake Energy Corp.		9,300		276,117
Chevron Corp.		145,700		14,983,788
Cimarex Energy Co.		3,500		314,720
Complete Production Services, Inc. †		4,400		146,784
Concho Resources, Inc. †(a)		8,800		808,280
ConocoPhillips		101,200		7,609,228
Continental Resources, Inc. †(a)		3,100		201,221
Denbury Resources, Inc. †(a)		15,100		302,000

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 53

Schedule of Investments June 30, 2011 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Energy - 25.0% (continued)
Devon Energy Corp.		6,300	$	496,503
Dresser-Rand Group, Inc. †(a)		3,600		193,500
El Paso Corp.		52,000		1,050,400
Energen Corp.		2,800		158,200
Energy XXI Bermuda Ltd. (Bermuda) †		4,500		149,490
FMC Technologies, Inc. †		19,000		851,010
Forest Oil Corp. †		7,300		194,983
Halliburton Co.		71,700		3,656,700
Helmerich & Payne, Inc.		8,100		535,572
Hess Corp.		23,000		1,719,480
Holly Corp. †(a)		2,900		201,260
Lufkin Industries, Inc.		1,900		163,495
Marathon Oil Corp.		54,000		2,844,720
McDermott International, Inc. †		9,800		194,138
Murphy Oil Corp.		4,400		288,904
Nabors Industries Ltd. (Bermuda) †		30,900		761,376
National Oilwell Varco, Inc.		31,900		2,494,899
Newfield Exploration Co. †		3,900		265,278
Noble Energy, Inc.		7,300		654,299
Northern Oil and Gas, Inc. †(a)		6,700		148,405
Oil States International, Inc. †		2,600		207,766
Patriot Coal Corp. †		11,700		260,442
Patterson-UTI Energy, Inc.		14,300		452,023
Peabody Energy Corp.		21,800		1,284,238
Petrohawk Energy Corp. †		18,000		444,060
Pioneer Natural Resources Co. (a)		9,000		806,130
Plains Exploration & Production Co. †		7,200		274,464
Rosetta Resources, Inc. †(a)		3,300		170,082
Rowan Cos., Inc. †(a)		10,700		415,267
SandRidge Energy, Inc. †		40,700		433,862
Schlumberger Ltd.		102,800		8,881,920
Seadrill Ltd. (Bermuda)		15,000		529,200
SM Energy Co.		4,100		301,268
Sunoco, Inc.		4,400		183,524
Superior Energy Services, Inc. †		3,800		141,132
Tesoro Corp. †(a)		7,300		167,243
Tidewater, Inc.		2,900		156,049
Valero Energy Corp.		8,700		222,459
Whiting Petroleum Corp. †		10,800		614,628
Williams Cos., Inc./The		44,200		1,337,050
World Fuel Services Corp. (a)		7,000		251,510
				66,334,027
Financials - 3.9%
American Capital Ltd. †		17,800		176,754
Ameriprise Financial, Inc.		18,600		1,072,848
Arch Capital Group Ltd. (Bermuda) †(a)		4,200		134,064
AvalonBay Communities, Inc. REIT (a)		1,000		128,400
BGC Partners, Inc., Class A (a)		14,300		110,539
Brookfield Office Properties		4,600		88,688
CB Richard Ellis Group, Inc., Class A †		20,500		514,755
Discover Financial Services		39,000		1,043,250
Douglas Emmett, Inc. REIT (a)		8,500		169,065
Equity Residential REIT		4,600		276,000
Erie Indemnity Co., Class A		1,200		84,864
Fifth Third Bancorp		8,500		108,375
Forest City Enterprises, Inc., Class A †(a)		7,500		140,025
General Growth Properties, Inc. REIT		39,200		654,248

	SHARES		VALUE (Note 3)
Financials - 3.9% (continued)
Jones Lang LaSalle, Inc.		2,100	$	198,030
Leucadia National Corp.		7,700		262,570
Macerich Co./The REIT		7,902		422,757
Mid-America Apartment Communities, Inc. REIT (a)		1,800		121,446
Moody’s Corp.		9,500		364,325
NASDAQ OMX Group, Inc./The †		16,100		407,330
New York Community Bancorp, Inc. (a)		8,300		124,417
ProLogis, Inc. REIT		8,130		291,379
Prudential Financial, Inc.		3,100		197,129
Raymond James Financial, Inc.		7,400		237,910
Rayonier, Inc. REIT		5,100		333,285
Simon Property Group, Inc. REIT (a)		3,900		453,297
SL Green Realty Corp. REIT		5,500		455,785
SLM Corp.		24,700		415,207
Taubman Centers, Inc. REIT (a)		1,700		100,640
UDR, Inc. REIT		7,900		193,945
Unum Group		5,400		137,592
Weingarten Realty Investors REIT (a)		5,400		135,864
Weyerhaeuser Co. REIT		42,100		920,306
				10,475,089
Health Care - 12.1%
Aetna, Inc.		25,600		1,128,704
Agilent Technologies, Inc. †		21,200		1,083,532
Alexion Pharmaceuticals, Inc. †(a)		15,700		738,371
AMERIGROUP Corp. †		3,800		267,786
AmerisourceBergen Corp.		7,900		327,060
Biogen Idec, Inc. †		15,300		1,635,876
BioMarin Pharmaceutical, Inc. †		4,400		119,724
Brookdale Senior Living, Inc. †		6,500		157,625
Cardinal Health, Inc.		5,300		240,726
Catalyst Health Solutions, Inc. †		5,500		307,010
Cerner Corp. †		4,300		262,773
CIGNA Corp.		17,100		879,453
Cooper Cos., Inc./The		1,500		118,860
Coventry Health Care, Inc. †		8,000		291,760
Dendreon Corp. †		8,167		322,106
Edwards Lifesciences Corp. †		8,400		732,312
Endo Pharmaceuticals Holdings, Inc. †		9,800		393,666
Gen-Probe, Inc. †		3,700		255,855
Healthspring, Inc. †(a)		5,700		262,827
Hill-Rom Holdings, Inc. (a)		3,500		161,140
HMS Holdings Corp. †		1,900		146,053
Humana, Inc.		13,000		1,047,020
Illumina, Inc. †(a)		10,700		804,105
Incyte Corp. Ltd. †(a)		8,500		160,990
InterMune, Inc. †		7,100		254,535
McKesson Corp.		1,800		150,570
Mylan, Inc. †		5,800		143,086
Onyx Pharmaceuticals, Inc. †		7,100		250,630
Pfizer, Inc.		573,700		11,818,220
Pharmasset, Inc. †		2,600		291,720
Regeneron Pharmaceuticals, Inc. †		6,500		368,615
UnitedHealth Group, Inc.		70,100		3,615,758
Varian Medical Systems, Inc. †		3,000		210,060
Vertex Pharmaceuticals, Inc. †		13,300		691,467
Watson Pharmaceuticals, Inc. †		6,900		474,237

The accompanying notes are an integral part of these financial statements. (Continued)

54 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 12.1% (continued)
WellCare Health Plans, Inc. †		5,000	$	257,050
WellPoint, Inc.		23,400		1,843,218
				32,214,500
Industrials - 10.0%
Acuity Brands, Inc. (a)		2,600		145,028
AGCO Corp. †		8,300		409,688
Amerco, Inc. †(a)		1,900		182,685
AMETEK, Inc.		11,900		534,310
Bucyrus International, Inc.		1,900		174,154
Caterpillar, Inc.		47,100		5,014,266
CNH Global NV (Netherlands) †		2,500		96,625
Cooper Industries PLC		6,500		387,855
CSX Corp.		13,600		356,592
Cummins, Inc.		16,300		1,686,887
Deere & Co.		32,600		2,687,870
Dover Corp.		15,000		1,017,000
Eaton Corp.		25,400		1,306,830
Emerson Electric Co.		1,900		106,875
Fastenal Co. (a)		10,400		374,296
Fluor Corp.		1,900		122,854
Gardner Denver, Inc.		2,100		176,505
Genesee & Wyoming, Inc., Class A †		2,300		134,872
Goodrich Corp.		2,100		200,550
GrafTech International Ltd. †		11,100		224,997
Hertz Global Holdings, Inc. †		10,700		169,916
Honeywell International, Inc.		45,000		2,681,550
Hubbell, Inc., Class B		3,700		240,315
IHS, Inc., Class A †(a)		4,100		342,022
Joy Global, Inc.		7,500		714,300
Kansas City Southern †		7,900		468,707
KBR, Inc.		3,900		146,991
Manitowoc Co., Inc./The		12,600		212,184
Nordson Corp.		3,200		175,520
Owens Corning †		6,700		250,245
PACCAR, Inc.		3,000		153,270
Pall Corp.		7,000		393,610
Parker Hannifin Corp.		12,000		1,076,880
Polypore International, Inc. †		3,600		244,224
Rockwell Automation, Inc.		11,200		971,712
Roper Industries, Inc.		4,100		341,530
Stanley Black & Decker, Inc.		5,500		396,275
Stericycle, Inc. †		1,900		169,328
Terex Corp. †		7,700		219,065
Timken Co.		3,700		186,480
TransDigm Group, Inc. †		2,000		182,380
Union Pacific Corp.		4,700		490,680
United Parcel Service, Inc., Class B		1,300		94,809
WABCO Holdings, Inc. †		2,900		200,274
WESCO International, Inc. †(a)		2,800		151,452
Woodward, Inc. (a)		3,200		111,552
WW Grainger, Inc.		2,700		414,855
				26,540,865
Information Technology - 18.5%
Acme Packet, Inc. †		6,600		462,858
ADTRAN, Inc. (a)		3,300		127,743
Alliance Data Systems Corp. †(a)		1,800		169,326

	SHARES		VALUE (Note 3)
Information Technology - 18.5% (continued)
Altera Corp.		21,300	$	987,255
Amphenol Corp., Class A		8,600		464,314
Ariba, Inc. †(a)		5,100		175,797
Aruba Networks, Inc. †(a)		6,900		203,895
Atmel Corp. †		47,700		671,139
Autodesk, Inc. †		16,200		625,320
BMC Software, Inc. †		6,800		371,960
Cadence Design Systems, Inc. †(a)		23,600		249,216
Cavium, Inc. †(a)		5,300		231,027
Ciena Corp. †(a)		7,500		137,850
Citrix Systems, Inc. †		13,200		1,056,000
Cognizant Technology Solutions Corp., Class A †		5,200		381,368
Compuware Corp. †		10,300		100,528
Cypress Semiconductor Corp. †		6,900		145,866
eBay, Inc. †		80,500		2,597,735
Electronic Arts, Inc. †		19,400		457,840
EMC Corp. †		159,000		4,380,450
F5 Networks, Inc. †		6,066		668,777
Factset Research Systems, Inc. (a)		1,300		133,016
Fairchild Semiconductor International, Inc. †		7,700		128,667
Fidelity National Information Services, Inc.		11,500		354,085
Finisar Corp. †(a)		8,200		147,846
Fortinet, Inc. †		7,600		207,404
Gartner, Inc. †(a)		6,200		249,798
Informatica Corp. †		9,200		537,556
InterDigital, Inc. (a)		5,400		220,590
Intuit, Inc. †(a)		21,100		1,094,246
IPG Photonics Corp. †		3,700		269,027
Jabil Circuit, Inc.		8,500		171,700
JDS Uniphase Corp. †(a)		16,700		278,222
Juniper Networks, Inc. †		46,100		1,452,150
KLA-Tencor Corp.		12,300		497,904
Lam Research Corp. †		2,900		128,412
Maxim Integrated Products, Inc.		21,200		541,872
MICROS Systems, Inc. †		3,700		183,927
Molex, Inc.		9,000		231,930
Motorola Solutions, Inc. †		19,400		893,176
NCR Corp. †		23,400		442,026
NetApp, Inc. †		4,500		237,510
Netlogic Microsystems, Inc. †(a)		3,900		157,638
Novellus Systems, Inc. †(a)		7,800		281,892
NVIDIA Corp. †		49,200		784,002
ON Semiconductor Corp. †		18,200		190,554
Oracle Corp.		282,700		9,303,657
Polycom, Inc. †		3,600		231,480
QUALCOMM, Inc.		122,400		6,951,096
Quest Software, Inc. †		7,300		165,929
Rackspace Hosting, Inc. †(a)		4,700		200,878
Red Hat, Inc. †		7,700		353,430
RF Micro Devices, Inc. †(a)		40,000		244,800
Riverbed Technology, Inc. †		18,600		736,374
Rovi Corp. †		2,400		137,664
Salesforce.com, Inc. †		8,700		1,296,126
SanDisk Corp. †		2,300		95,450
Skyworks Solutions, Inc. †		11,200		257,376
Solera Holdings, Inc.		5,700		337,212

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 55

Schedule of Investments June 30, 2011 (Unaudited)

AQR MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 18.5% (continued)
SuccessFactors, Inc. †(a)		4,900	$	144,060
Teradata Corp. †		14,100		848,820
Teradyne, Inc. †(a)		9,800		145,040
TIBCO Software, Inc. †		17,700		513,654
Trimble Navigation Ltd. †		10,500		416,220
TriQuint Semiconductor, Inc. †		10,400		105,976
Varian Semiconductor Equipment Associates, Inc. †		3,600		221,184
Veeco Instruments, Inc. †(a)		3,000		145,230
VeriFone Systems, Inc. †		8,600		381,410
VeriSign, Inc.		13,600		455,056
Vishay Intertechnology, Inc. †(a)		8,200		123,328
VMware, Inc., Class A †(a)		5,700		571,311
Zebra Technologies Corp., Class A †		3,200		134,944
				48,999,119
Materials - 7.4%
Albemarle Corp.		4,000		276,800
Alcoa, Inc.		71,400		1,132,404
Allegheny Technologies, Inc. (a)		1,500		95,205
Allied Nevada Gold Corp. †(a)		6,500		229,905
Ball Corp.		5,400		207,684
Celanese Corp., Series A		10,500		559,755
CF Industries Holdings, Inc.		7,000		991,690
Cliffs Natural Resources, Inc.		9,800		906,010
Coeur d’Alene Mines Corp. †		5,200		126,152
Crown Holdings, Inc. †		10,800		419,256
Cytec Industries, Inc. (a)		2,600		148,694
Eastman Chemical Co.		5,100		520,557
EI du Pont de Nemours & Co.		68,400		3,697,020
FMC Corp.		2,500		215,050
Freeport-McMoRan Copper & Gold, Inc.		68,800		3,639,520
Hecla Mining Co. †		31,000		238,390
Huntsman Corp.		8,300		156,455
International Flavors & Fragrances, Inc.		1,800		115,632
MeadWestvaco Corp.		5,200		173,212
Monsanto Co.		35,400		2,567,916
Mosaic Co./The		15,400		1,043,042
PPG Industries, Inc.		5,200		472,108
Rock-Tenn Co., Class A		4,400		291,896
Rockwood Holdings, Inc. †		5,700		315,153
Solutia, Inc. †		6,500		148,525
Stillwater Mining Co. †(a)		5,700		125,457
SXC Health Solutions Corp. †		1,500		88,380
Walter Energy, Inc.		4,100		474,780
WR Grace & Co. †		3,700		168,831
				19,545,479
Telecommunication Services - 0.4%
Level 3 Communications, Inc. †		110,800		270,352
MetroPCS Communications, Inc. †		9,600		165,216
NII Holdings, Inc. †		3,600		152,568
Verizon Communications, Inc.		11,000		409,530
				997,666

	SHARES		VALUE (Note 3)
Utilities - 0.4%
American Water Works Co., Inc.		2,800	$	82,460
National Fuel Gas Co.		5,400		393,120
NSTAR		2,700		124,146
OGE Energy Corp.		1,900		95,608
Oneok, Inc.		5,400		399,654
				1,094,988
TOTAL COMMON STOCKS (cost $248,298,678)				262,662,823
MONEY MARKET FUNDS - 7.2%
J.P. Morgan Treasury Plus Money
Market Fund - Institutional Shares, 0.000% (2)(c)     (cost $19,249,544)		19,249,544		19,249,544
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (2)(b)(c)
(cost $7,396,263)		7,396,263		7,396,263
TOTAL INVESTMENTS - 109.0% (cost $274,944,485)				289,308,630
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.0%) (d)				(23,972,018)
NET ASSETS - 100.0%			$	265,336,612

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $7,253,629; cash collateral of $7,396,263 was received with which the fund purchased a money market fund.

(b) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

(c) Represents annualized seven-day yield as of June 30, 2011.

(d) Includes appreciation on futures contracts.

All securities are United States companies, unless noted otherwise in parentheses.

All securities are Level 1, unless noted otherwise in parentheses.

(2) Level 2 security (See Note 5).

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements. (Continued)

56 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR MOMENTUM FUND

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION
Long Contracts:
37	S&P 500 E-Mini Futures	September 16, 2011		$2,371,030		$2,433,674		$62,644

Cash held as collateral with broker for futures contracts was $45,192 at June 30, 2011.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 57

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

COMMON STOCKS - 98.9%	SHARES		VALUE (Note 3)
Consumer Discretionary - 14.9%
A. H. Belo Corp., Class A		3,400	$	25,296
Aaron’s, Inc.		4,100		115,866
AFC Enterprises, Inc. †		4,700		77,315
American Axle & Manufacturing Holdings, Inc. †		17,600		200,288
Amerigon, Inc. †		2,700		46,926
Ameristar Casinos, Inc.		5,200		123,292
ANN, Inc. †		14,700		383,670
Arbitron, Inc.		6,700		276,911
Arctic Cat, Inc. †		3,000		40,290
Asbury Automotive Group, Inc. †		8,400		155,652
Ascent Media Corp., Class A †		2,600		137,722
Barnes & Noble, Inc.		11,400		189,012
Biglari Holdings, Inc. †		121		47,317
BJ’s Restaurants, Inc. †		5,900		308,924
Bon-Ton Stores, Inc./The (a)		2,900		28,188
Bridgepoint Education, Inc. †		3,600		90,000
Brunswick Corp.		23,400		477,360
Buffalo Wild Wings, Inc. †		3,600		238,716
Cabela’s, Inc. †(a)		10,500		285,075
Caribou Coffee Co., Inc. †		4,700		62,228
Collectors Universe		2,700		39,987
Cost Plus, Inc. †		5,000		50,000
CROCS, Inc. †		22,500		579,375
Cumulus Media, Inc., Class A †		7,800		27,300
Dana Holding Corp. †		3,000		54,900
Denny’s Corp. †		17,900		69,452
DineEquity, Inc. †		4,200		219,534
Domino’s Pizza, Inc. †		11,800		297,832
Dorman Products, Inc. †		2,832		112,091
DSW, Inc., Class A †(a)		2,550		129,055
Einstein Noah Restaurant Group, Inc.		1,300		19,461
Ethan Allen Interiors, Inc.		5,000		106,450
Exide Technologies †		25,900		197,876
Finish Line, Inc./The, Class A		14,100		301,740
Geeknet, Inc. †		1,600		42,752
Genesco, Inc. †		4,500		234,450
G-III Apparel Group Ltd. †		4,500		155,160
Global Sources Ltd. (Bermuda) †		2,900		26,651
Global Traffic Network, Inc. †		3,200		36,768
Group 1 Automotive, Inc.		5,700		234,726
Helen of Troy Ltd. (Bermuda) †		2,400		82,872
Hibbett Sports, Inc. †		6,000		244,260
Hot Topic, Inc.		8,600		63,984
Iconix Brand Group, Inc. †		19,200		464,640
iRobot Corp. †		5,000		176,450
Jakks Pacific, Inc. †(a)		5,100		93,891
Jos. A. Bank Clothiers, Inc. †		7,200		360,072
K12, Inc. †		7,800		258,492
Kenneth Cole Productions, Inc., Class A †		1,900		23,731
Kingold Jewelry, Inc. (China) †		9,300		13,485
Krispy Kreme Doughnuts, Inc. †		16,800		159,768
La-Z-Boy, Inc. †		12,000		118,440
Libbey, Inc. †		4,300		69,746
Life Time Fitness, Inc. †		2,700		107,757
Lithia Motors, Inc., Class A		6,100		119,743
Liz Claiborne, Inc. †		27,400		146,590

	SHARES		VALUE (Note 3)
Consumer Discretionary - 14.9% (continued)
Mac-Gray Corp.		2,000	$	30,900
Maidenform Brands, Inc. †		4,400		121,704
Men’s Wearhouse, Inc./The		13,300		448,210
Meritage Homes Corp. †		6,200		139,872
Modine Manufacturing Co. †		11,800		181,366
Monro Muffler Brake, Inc.		2,900		108,141
Morgans Hotel Group Co. †		6,200		44,578
Motorcar Parts of America, Inc. †		4,300		64,543
Orient-Express Hotels Ltd., Class A (Bermuda) †		21,600		232,200
Oxford Industries, Inc.		3,200		108,032
Peet’s Coffee & Tea, Inc. †(a)		1,600		92,320
Penske Automotive Group, Inc.		10,800		245,592
Pep Boys - Manny, Moe & Jack/The		12,100		132,253
Perry Ellis International, Inc. †		2,900		73,225
Pier 1 Imports, Inc. †		33,000		381,810
Pinnacle Entertainment, Inc. †		15,800		235,420
PRIMEDIA, Inc.		5,400		38,070
Quiksilver, Inc. †		8,500		39,950
Red Robin Gourmet Burgers, Inc. †		3,800		138,244
RG Barry Corp.		1,400		15,792
Saks, Inc. †(a)		45,200		504,884
Select Comfort Corp. †		14,200		255,316
Shoe Carnival, Inc. †		1,800		54,270
Shutterfly, Inc. †		8,223		472,165
Sinclair Broadcast Group, Inc., Class A		13,000		142,740
Sonic Automotive, Inc., Class A		9,800		143,570
Sonic Corp. †		14,100		149,883
Stage Stores, Inc.		8,800		147,840
Standard Motor Products, Inc.		1,900		28,937
Stein Mart, Inc.		4,200		40,488
Steinway Musical Instruments, Inc. †		800		20,552
Steven Madden Ltd. †		2,836		106,378
Stoneridge, Inc. †		4,300		63,382
Sturm, Ruger & Co., Inc.		4,100		89,995
Superior Industries International, Inc.		2,200		48,642
Texas Roadhouse, Inc.		4,200		73,647
Timberland Co./The, Class A †		1,800		77,346
Tuesday Morning Corp. †		6,500		30,225
U.S. Auto Parts Network, Inc. †		2,500		19,150
Ulta Salon Cosmetics & Fragrance, Inc. †		1,700		109,786
Unifi, Inc. †		3,700		51,060
Valuevision Media, Inc., Class A †		10,700		81,855
Vitamin Shoppe, Inc. †		5,500		251,680
Wolverine World Wide, Inc.		8,000		334,000
Zale Corp. †		7,800		43,680
Zumiez, Inc. †		6,200		154,814
				15,118,036
Consumer Staples - 2.4%
Andersons, Inc./The		1,600		67,600
B&G Foods, Inc.		9,800		202,076
Boston Beer Co., Inc., Class A †		900		80,640
Casey’s General Stores, Inc.		1,700		74,800
Craft Brewers Alliance, Inc. †(a)		3,800		32,718
Darling International, Inc. †		6,400		113,280
Diamond Foods, Inc. (a)		4,800		366,432
Elizabeth Arden, Inc. †		5,300		153,859

The accompanying notes are an integral part of these financial statements. (Continued)

58 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Consumer Staples - 2.4% (continued)
Fresh Del Monte Produce, Inc.		3,400	$	90,678
Hain Celestial Group, Inc./The †		11,500		383,640
Ingles Markets, Inc., Class A		1,900		31,445
Inter Parfums, Inc. (a)		1,700		39,151
Limoneira Co.		1,300		29,367
Omega Protein Corp. †		5,100		70,380
Prestige Brands Holdings, Inc. †		7,200		92,448
Pricesmart, Inc.		3,700		189,551
Schiff Nutrition International, Inc.		4,300		48,117
Snyders-Lance, Inc.		7,800		168,714
Star Scientific, Inc. †(a)		34,400		154,800
				2,389,696
Energy - 9.4%
Abraxas Petroleum Corp. †(a)		31,800		121,794
Approach Resources, Inc. †		8,200		185,894
ATP Oil & Gas Corp./United States †		10,900		166,879
Basic Energy Services, Inc. †(a)		6,200		195,114
Bristow Group, Inc.		7,400		377,548
Callon Petroleum Co. †		6,200		43,524
Carrizo Oil & Gas, Inc. †		10,600		442,550
Cheniere Energy, Inc. †(a)		25,200		230,832
Clayton Williams Energy, Inc. †		1,600		96,080
Cloud Peak Energy, Inc. †		14,000		298,200
Complete Production Services, Inc. †		2,900		96,744
Crosstex Energy, Inc.		9,700		115,430
CVR Energy, Inc. †(a)		9,700		238,814
Dawson Geophysical Co. †		2,500		85,375
Double Eagle Petroleum Co. †		4,800		41,952
Enbridge Energy Management LLC †		3,722		115,010
Endeavour International Corp. †(a)		8,300		125,081
Energy Partners Ltd. †		3,200		47,392
Evolution Petroleum Corp. †		5,400		38,340
FX Energy, Inc. †(a)		15,300		134,334
Georesources, Inc. †		2,100		47,229
Global Industries Ltd. †		7,400		40,552
Golar LNG Ltd. (Bermuda) (a)		2,200		76,758
Goodrich Petroleum Corp. †		5,400		99,414
Gulf Island Fabrication, Inc.		4,100		132,348
Gulfmark Offshore, Inc., Class A †		5,600		247,464
Gulfport Energy Corp. †		10,100		299,869
Harvest Natural Resources, Inc. †		9,000		99,270
Helix Energy Solutions Group, Inc. †		28,800		476,928
Hercules Offshore, Inc. †		44,100		242,991
Hornbeck Offshore Services, Inc. †(a)		6,700		184,250
Hyperdynamics Corp. †(a)		10,100		43,430
ION Geophysical Corp. †		45,700		432,322
James River Coal Co. †		2,400		49,968
Knightsbridge Tankers Ltd. (Bermuda) (a)		4,000		88,120
Kodiak Oil & Gas Corp. †(a)		55,600		320,812
Lufkin Industries, Inc.		1,700		146,285
Magnum Hunter Resources Corp. †(a)		29,800		201,448
Miller Energy Resources, Inc. †(a)		5,300		33,920
Mitcham Industries, Inc. †		2,400		41,520
Newpark Resources, Inc. †		25,600		232,192
Northern Oil and Gas, Inc. †(a)		13,100		290,165
OYO Geospace Corp. †		1,300		130,000
Parker Drilling Co. †		30,100		176,085

	SHARES		VALUE (Note 3)
Energy - 9.4% (continued)
Petroleum Development Corp. †		1,900	$	56,829
Pioneer Drilling Co. †		15,200		231,648
Rosetta Resources, Inc. †		2,300		118,542
Stone Energy Corp. †		14,300		434,577
Swift Energy Co. †		2,300		85,721
Tesco Corp. †		8,300		161,103
TETRA Technologies, Inc. †		18,000		229,140
Union Drilling, Inc. †		4,100		42,189
Uranerz Energy Corp. †(a)		25,200		76,104
Uranium Energy Corp. †(a)		13,600		41,616
Uranium Resources, Inc. †		38,800		64,796
Vantage Drilling Co. †		61,000		111,020
W&T Offshore, Inc.		9,900		258,588
Warren Resources, Inc. †		11,800		44,958
Western Refining, Inc. †(a)		14,700		265,629
				9,552,687
Financials - 9.1%
Advance America Cash Advance Centers, Inc.		6,600		45,474
American Equity Investment Life Holding Co.		7,000		88,970
Ameris Bancorp †		2,301		20,410
Amtrust Financial Services, Inc.		5,500		125,290
Arlington Asset Investment Corp., Class A		2,700		84,753
Ashford Hospitality Trust, Inc. REIT		14,600		181,770
Associated Estates Realty Corp. REIT		4,500		73,125
Bancorp Rhode Island, Inc.		600		27,192
BGC Partners, Inc., Class A		8,100		62,613
Cardinal Financial Corp.		3,800		41,610
Cash America International, Inc.		5,400		312,498
Cathay General Bancorp		18,900		309,771
Center Financial Corp. †		7,200		45,720
Citizens & Northern Corp.		1,100		16,577
CNO Financial Group, Inc. †		61,400		485,674
Cohen & Steers, Inc.		1,900		62,985
Colonial Properties Trust REIT		20,000		408,000
Credit Acceptance Corp. †		1,200		101,364
Danvers Bancorp, Inc. (2)		1,300		29,201
Dollar Financial Corp. †		11,400		246,810
Eagle Bancorp, Inc. †		1,300		17,290
Education Realty Trust, Inc. REIT		20,200		173,114
Encore Capital Group, Inc. †		3,674		112,865
Enstar Group Ltd. (Bermuda) †		900		94,041
Epoch Holding Corp.		2,000		35,700
Evercore Partners, Inc., Class A		2,700		89,964
Extra Space Storage, Inc. REIT		3,900		83,187
Ezcorp, Inc., Class A †		11,700		416,227
FBL Financial Group, Inc., Class A		2,400		77,160
Federal Agricultural Mortgage Corp., Class C		3,100		68,572
FelCor Lodging Trust, Inc. REIT †		10,000		53,300
Financial Engines, Inc. †		5,300		137,376
First Cash Financial Services, Inc. †		7,400		310,726
First Industrial Realty Trust, Inc. REIT †		19,900		227,855
First Merchants Corp.		3,700		33,078
FPIC Insurance Group, Inc. †		2,200		91,696
Gladstone Capital Corp.		7,300		67,452

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 59

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Financials - 9.1% (continued)
Gladstone Commercial Corp. REIT		3,400	$	58,922
Gladstone Investment Corp.		5,200		37,128
Glimcher Realty Trust REIT		26,700		253,650
Global Indemnity PLC (Ireland) †		1,500		33,270
Gramercy Capital Corp. REIT †		14,400		43,632
Hersha Hospitality Trust REIT		10,900		60,713
HFF, Inc., Class A †		7,100		107,139
ICG Group, Inc. †		8,600		105,178
Infinity Property & Casualty Corp.		1,600		87,456
Ladenburg Thalmann Financial Services, Inc. †		13,100		18,078
Lexington Realty Trust REIT		31,400		286,682
Main Street Capital Corp.		3,800		72,010
MarketAxess Holdings, Inc.		7,082		177,475
MBIA, Inc. †		39,300		341,517
MCG Capital Corp. (a)		22,700		138,016
MVC Capital, Inc.		4,300		56,889
NewStar Financial, Inc. †		6,500		69,420
OneBeacon Insurance Group Ltd., Class A (a)		5,100		68,289
PennantPark Investment Corp.		6,574		73,695
Portfolio Recovery Associates, Inc. †		1,600		135,664
Post Properties, Inc. REIT		3,300		134,508
PrivateBancorp, Inc.		11,400		157,320
Safeguard Scientifics, Inc. †		3,700		69,856
Safety Insurance Group, Inc.		1,800		75,672
Southwest Bancorp, Inc. †		3,700		36,223
Strategic Hotels & Resorts, Inc. REIT †		38,900		275,412
Sun Communities, Inc. REIT		3,809		142,114
Taylor Capital Group, Inc. †(a)		700		5,712
Tejon Ranch Co. †		1,800		61,380
Texas Capital Bancshares, Inc. †		9,200		237,636
TICC Capital Corp.		6,600		63,360
Triangle Capital Corp.		4,000		73,840
United Financial Bancorp, Inc.		1,900		29,317
Urstadt Biddle Properties, Inc., Class A REIT		1,800		32,598
U-Store-It Trust REIT		20,500		215,660
Virginia Commerce Bancorp, Inc. †		4,500		26,595
Virtus Investment Partners, Inc. †		1,300		78,910
WesBanco, Inc.		3,000		58,980
West Coast Bancorp †		3,520		58,995
World Acceptance Corp. †		3,900		255,723
WSFS Financial Corp.		1,400		55,510
				9,229,554
Health Care - 12.1%
ABIOMED, Inc. †(a)		5,400		87,480
Accuray, Inc. †		6,800		54,468
Achillion Pharmaceuticals, Inc. †		13,700		101,928
Air Methods Corp. †		2,300		171,902
Akorn, Inc. †		16,500		115,500
Align Technology, Inc. †		16,400		373,920
Analogic Corp.		1,200		63,108
Ardea Biosciences, Inc. †		2,500		63,650
Ariad Pharmaceuticals, Inc. †		30,800		348,964
Arqule, Inc. †(a)		8,200		51,250
ArthroCare Corp. †		1,800		60,246

	SHARES		VALUE (Note 3)
Health Care - 12.1% (continued)
athenahealth, Inc. †		7,400	$	304,140
AtriCure, Inc. †		2,400		30,960
AVANIR Pharmaceuticals, Inc., Class A †(a)		38,800		130,368
AVEO Pharmaceuticals, Inc. †		3,500		72,135
AVI BioPharma, Inc. †(a)		25,100		35,893
BioLase Technology, Inc. †		7,200		37,008
BioSante Pharmaceuticals, Inc. †		25,200		69,300
BSD Medical Corp. †		7,600		31,084
Caliper Life Sciences, Inc. †		12,200		98,942
Capital Senior Living Corp. †		6,100		56,669
Cardiovascular Systems, Inc. †		2,800		40,768
Centene Corp. †		10,500		373,065
Cepheid, Inc. †		14,900		516,136
Chelsea Therapeutics International Ltd. †		10,300		52,530
Columbia Laboratories, Inc. †		18,600		57,474
Computer Programs & Systems, Inc.		2,300		146,004
CONMED Corp. †		2,500		71,200
Corcept Therapeutics, Inc. †		11,200		44,688
Corvel Corp. †		1,200		56,280
Curis, Inc. †		12,500		44,750
Cyberonics, Inc. †		2,200		61,490
Cytori Therapeutics, Inc. †(a)		12,300		58,917
Delcath Systems, Inc. †		3,900		20,124
Depomed, Inc. †(a)		16,000		130,880
DexCom, Inc. †		6,500		94,185
Dynavax Technologies Corp. †(a)		30,700		84,425
Emergent Biosolutions, Inc. †		3,200		72,160
Endologix, Inc. †		11,600		107,880
Ensign Group, Inc./The		3,200		97,248
Exact Sciences Corp. †		10,000		86,000
Exelixis, Inc. †		41,400		370,944
Five Star Quality Care, Inc. †		12,400		72,044
Genomic Health, Inc. †		3,600		100,476
GTx, Inc. †		7,500		35,925
Hanger Orthopedic Group, Inc. †		3,600		88,092
Healthspring, Inc. †(a)		1,900		87,609
HealthStream, Inc. †		3,800		50,426
HMS Holdings Corp. †		1,100		84,557
Idenix Pharmaceuticals, Inc. †		7,300		36,500
Inhibitex, Inc. †		21,400		83,888
Insmed, Inc. †		3,500		41,965
Invacare Corp.		4,300		142,717
IPC The Hospitalist Co., Inc. †		2,900		134,415
ISTA Pharmaceuticals, Inc. †		11,400		87,153
Jazz Pharmaceuticals, Inc. †(a)		5,300		176,755
Keryx Biopharmaceuticals, Inc. †		23,200		109,736
Kindred Healthcare, Inc. †		11,600		249,052
KV Pharmaceutical Co., Class A †(a)		15,800		42,976
Lexicon Pharmaceuticals, Inc. †(a)		38,200		67,232
MAKO Surgical Corp. †		10,100		300,273
MedCath Corp. †		4,700		63,873
Medicines Co./The †		15,600		257,556
Medidata Solutions, Inc. †		5,200		124,124
Medivation, Inc. †(a)		10,100		216,443
Merge Healthcare, Inc. †		14,700		76,440
Merit Medical Systems, Inc. †		6,200		111,414
Metropolitan Health Networks, Inc. †		10,400		49,816

The accompanying notes are an integral part of these financial statements. (Continued)

60 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Health Care - 12.1% (continued)
Momenta Pharmaceuticals, Inc. †		10,100	$	196,546
MWI Veterinary Supply, Inc. †		3,700		298,849
Nabi Biopharmaceuticals †		6,200		33,356
Neogen Corp. †		5,300		239,613
Neoprobe Corp. †		29,900		99,268
Neurocrine Biosciences, Inc. †		10,800		86,940
NPS Pharmaceuticals, Inc. †		20,200		190,890
NxStage Medical, Inc. †		3,400		70,788
Oncothyreon, Inc. †		8,800		80,872
OPKO Health, Inc. †		35,000		129,150
Optimer Pharmaceuticals, Inc. †		10,900		129,601
OraSure Technologies, Inc. †		6,700		57,151
Pain Therapeutics, Inc. †		18,900		73,143
Pharmacyclics, Inc. †		3,300		34,452
Pharmasset, Inc. †		1,200		134,640
Progenics Pharmaceuticals, Inc. †		5,000		35,900
Questcor Pharmaceuticals, Inc. †		15,300		368,730
Raptor Pharmaceutical Corp. †(a)		9,700		60,043
Rockwell Medical Technologies, Inc. †		2,700		34,668
Rural/Metro Corp. †		3,800		65,512
Sangamo Biosciences, Inc. †		15,500		91,295
SciClone Pharmaceuticals, Inc. †		7,400		44,696
SIGA Technologies, Inc. †(a)		10,700		104,218
Skilled Healthcare Group, Inc., Class A †		6,700		63,382
Solta Medical, Inc. †		11,100		30,636
SonoSite, Inc. †		1,600		56,272
Spectrum Pharmaceuticals, Inc. †(a)		13,600		126,004
Staar Surgical Co. †		6,700		35,510
Sunrise Senior Living, Inc. †		14,900		141,997
Targacept, Inc. †		2,800		58,996
Team Health Holdings, Inc. †		2,600		58,526
Theravance, Inc. †(a)		4,700		104,387
Transcend Services, Inc. †		1,900		55,841
Universal American Corp.		9,300		101,835
Uroplasty, Inc. †		5,600		42,000
ViroPharma, Inc. †		22,100		408,850
Zalicus, Inc. †		29,600		70,448
ZIOPHARM Oncology, Inc. †(a)		17,500		107,100
Zoll Medical Corp. †		5,700		322,962
				12,282,587
Industrials - 17.7%
3D Systems Corp. †		12,500		246,375
AAON, Inc.(a)		2,900		63,336
AAR Corp.		6,200		167,958
Acacia Research - Acacia Technologies †		9,526		349,509
ACCO Brands Corp. †		10,300		80,855
Aceto Corp.		7,400		49,654
Active Power, Inc. †(a)		26,000		63,700
Advisory Board Co./The †		2,500		144,700
Air Transport Services Group, Inc. †		17,700		121,245
Aircastle Ltd.		12,600		160,272
Alamo Group, Inc.		1,700		40,290
Albany International Corp., Class A		4,600		121,394
Alexander & Baldwin, Inc.		9,700		467,152
Altra Holdings, Inc. †		7,400		177,526
Amerco, Inc. †		1,700		163,455
American Railcar Industries, Inc. †		2,800		65,660

	SHARES		VALUE (Note 3)
Industrials - 17.7% (continued)
Applied Industrial Technologies, Inc.		3,900	$	138,879
Astronics Corp. †(a)		2,100		64,680
Avis Budget Group, Inc. †		28,300		483,647
Barnes Group, Inc.		7,800		193,518
Barrett Business Services, Inc.		1,000		14,320
Belden, Inc.		12,600		439,236
Blount International, Inc. †		11,500		200,905
Brink’s Co./The		8,200		244,606
CAI International, Inc. †		2,700		55,782
Capstone Turbine Corp. †		67,900		103,887
Cascade Corp.		1,100		52,327
Casella Waste Systems, Inc., Class A †		4,500		27,450
Ceradyne, Inc. †		7,400		288,526
Chart Industries, Inc. †		7,400		399,452
CIRCOR International, Inc.		2,500		107,075
Coleman Cable, Inc. †(a)		3,900		57,291
Colfax Corp. †		7,300		181,040
Commercial Vehicle Group, Inc. †		5,600		79,464
Consolidated Graphics, Inc. †		1,400		76,930
Corporate Executive Board Co./The		7,900		344,835
CoStar Group, Inc. †		5,000		296,400
Covenant Transportation Group, Inc., Class A †		2,600		20,150
CPI Aerostructures, Inc. †		1,800		24,534
Cubic Corp.		1,400		71,386
DXP Enterprises, Inc. †		3,200		81,120
Dycom Industries, Inc. †		9,700		158,498
Dynamic Materials Corp.		2,700		60,534
EnerSys †		13,200		454,344
EnPro Industries, Inc. †		5,400		259,578
ESCO Technologies, Inc.		3,200		117,760
Esterline Technologies Corp. †		1,100		84,040
Exponent, Inc. †		2,000		87,020
Flow International Corp. †		11,400		40,584
Franklin Electric Co., Inc.		4,300		201,885
FuelCell Energy, Inc. †		36,400		47,684
Furmanite Corp. †		7,000		55,580
GATX Corp.		9,400		348,928
GeoEye, Inc. †		1,800		67,320
Global Power Equipment Group, Inc. †		1,900		50,388
Great Lakes Dredge & Dock Corp.		10,200		56,916
Greenbrier Cos., Inc. †		8,500		167,960
H&E Equipment Services, Inc. †		7,500		104,925
Hardinge, Inc.		2,900		31,639
HEICO Corp. (a)		10,050		550,137
Herman Miller, Inc.		4,000		108,880
HUB Group, Inc., Class A †		1,900		71,554
Hurco Cos., Inc. †		1,800		57,978
Huron Consulting Group, Inc. †		4,100		123,861
II-VI, Inc. †		13,700		350,720
Innerworkings, Inc. †		7,100		59,214
Insperity, Inc.		3,100		91,791
Interface, Inc., Class A (a)		14,800		286,676
Kadant, Inc. †		3,700		116,587
Kaman Corp.		3,400		120,598
Knoll, Inc.		4,500		90,315
Korn/Ferry International †		8,500		186,915

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 61

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Industrials - 17.7% (continued)
Kratos Defense & Security Solutions, Inc. †		3,000	$	36,480
LB Foster Co., Class A		1,700		55,947
Lindsay Corp.		3,500		240,800
LMI Aerospace, Inc. †		1,000		24,430
Lydall, Inc. †		2,500		29,900
Macquarie Infrastructure Co. LLC		10,900		300,840
MasTec, Inc. †		15,700		309,604
McGrath RentCorp.		2,100		58,968
Meritor, Inc. †		4,100		65,764
Metalico, Inc. †		8,100		47,790
Middleby Corp. †		4,400		413,776
Miller Industries, Inc.		2,700		50,463
Mine Safety Appliances Co.		5,500		205,370
Mobile Mini, Inc. †		4,500		95,355
Mueller Industries, Inc.		6,300		238,833
Multi-Color Corp.		1,800		44,442
MYR Group, Inc. †		3,800		88,920
NACCO Industries, Inc., Class A		500		48,410
NN, Inc. †		4,800		71,808
Odyssey Marine Exploration, Inc. †(a)		24,400		76,372
Old Dominion Freight Line, Inc. †		3,700		138,010
On Assignment, Inc. †		9,000		88,470
Park-Ohio Holdings Corp. †		2,800		59,192
PMFG, Inc. †(a)		1,900		37,715
Polypore International, Inc. †		1,200		81,408
Quality Distribution, Inc. †		3,200		41,664
Raven Industries, Inc.		3,900		217,269
RBC Bearings, Inc. †		1,700		64,192
Robbins & Myers, Inc.		10,983		580,452
RSC Holdings, Inc. †		17,300		206,908
Rush Enterprises, Inc., Class A †		7,800		148,434
Satcon Technology Corp. †(a)		15,600		37,284
Sauer-Danfoss, Inc. †		2,000		100,780
Seaspan Corp. (Hong Kong)		11,500		168,015
SFN Group, Inc. †		14,300		129,987
Standex International Corp.		2,200		67,474
Steelcase, Inc., Class A		8,400		95,676
Sun Hydraulics Corp.		3,400		162,520
SYKES Enterprises, Inc. †		6,600		142,098
TAL International Group, Inc.		6,400		220,992
Team, Inc. †		3,700		89,281
Tennant Co.		1,900		75,867
Textainer Group Holdings Ltd.		2,400		73,776
Titan International, Inc.		11,700		283,842
Titan Machinery, Inc. †		3,900		112,242
Trex Co., Inc. †(a)		3,500		85,680
TriMas Corp. †		6,900		170,775
Twin Disc, Inc.		2,500		96,575
United Rentals, Inc. †(a)		18,200		462,280
Valence Technology, Inc. †(a)		9,700		11,446
Wabash National Corp. †		5,100		47,787
Xerium Technologies, Inc. †(a)		2,500		46,375
				17,990,068
Information Technology - 23.2%
Accelrys, Inc. †		10,100		71,811
ACI Worldwide, Inc. †		7,300		246,521

	SHARES		VALUE (Note 3)
Information Technology - 23.2% (continued)
Alliance Fiber Optic Products, Inc. †(a)		3,000	$	25,380
Amtech Systems, Inc. †		2,900		59,856
Anaren, Inc. †		2,300		48,875
Ancestry.com, Inc. †		4,700		194,533
Ariba, Inc. †		3,600		124,092
Aspen Technology, Inc. †		15,700		269,726
Avid Technology, Inc. †		3,600		67,824
Axcelis Technologies, Inc. †(a)		25,300		41,492
AXT, Inc. †		9,800		83,104
Bottomline Technologies, Inc. †		7,000		172,970
Brightpoint, Inc. †		6,500		52,715
BroadSoft, Inc. †		2,300		87,699
Brooks Automation, Inc. †		6,300		68,418
BSQUARE Corp. †		5,900		36,993
CACI International, Inc., Class A †		4,900		309,092
Calix, Inc. †		4,400		91,608
Callidus Software, Inc. †		9,800		57,330
Cardtronics, Inc. †		7,700		180,565
Cavium, Inc. †		2,300		100,257
CEVA, Inc. †		6,100		185,806
CIBER, Inc. †		13,300		73,815
Cognex Corp.		10,600		375,558
Coherent, Inc. †		6,400		353,728
CommVault Systems, Inc. †		10,800		480,060
comScore, Inc. †		6,400		165,760
Cymer, Inc. †		7,000		346,570
Daktronic, Inc.		8,900		96,031
DDi Corp.		8,200		78,228
DemandTec, Inc. †		5,500		50,050
Dice Holdings, Inc. †		6,100		82,472
Diodes, Inc. †		8,900		232,290
Dot Hill Systems Corp. †		14,600		41,464
DTS, Inc. †		2,400		97,320
EasyLink Services International Corp., Class A †		4,800		28,032
Ebix, Inc. †(a)		3,400		64,770
Electro Scientific Industries, Inc. †		2,300		44,390
Electronics for Imaging, Inc. †		10,400		179,088
eMagin Corp. †		6,100		37,027
Emcore Corp. †(a)		29,000		79,460
Entegris, Inc. †		33,200		335,984
Entropic Communications, Inc. †(a)		7,100		63,119
ePlus, Inc. †		1,300		34,372
ExlService Holdings, Inc. †		3,200		73,920
FalconStor Software, Inc. †		5,700		25,536
FARO Technologies, Inc. †		4,000		175,200
FEI Co. †		10,300		393,357
Forrester Research, Inc.		3,300		108,768
Fundtech Ltd. (Israel)		1,100		21,956
Gerber Scientific, Inc. †		4,000		44,520
Glu Mobile, Inc. †(a)		13,600		71,672
GSI Technology, Inc. †		5,000		36,000
GT Solar International, Inc. †(a)		29,900		484,380
Harmonic, Inc. †		8,600		62,178
Hittite Microwave Corp. †		1,700		105,247
iGate Corp.		3,800		62,016
iGO, Inc. †		14,600		23,798

The accompanying notes are an integral part of these financial statements. (Continued)

62 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Information Technology - 23.2% (continued)
Immersion Corp. †(a)		6,500	$	55,445
Integrated Device Technology, Inc. †		34,700		272,742
Integrated Silicon Solution, Inc. †		4,000		38,680
Interactive Intelligence, Inc. †		3,300		115,665
InterDigital, Inc.		10,800		441,180
Internap Network Services Corp. †		10,100		74,235
International Rectifier Corp. †		15,500		433,535
INTL FCStone, Inc. †		2,200		53,262
IPG Photonics Corp. †		1,500		109,065
Ixia †		13,900		177,920
IXYS Corp. †		4,300		64,414
JDA Software Group, Inc. †		7,700		237,853
Kemet Corp. †		9,800		140,042
Kenexa Corp. †		5,900		141,482
Keynote Systems, Inc.		4,300		93,009
Kulicke & Soffa Industries, Inc. †		20,100		223,914
Lattice Semiconductor Corp. †		29,900		194,948
Lawson Software, Inc. †		29,800		334,356
LeCroy Corp. †		5,800		69,832
Liquidity Services, Inc. †		3,600		84,996
Littelfuse, Inc.		5,600		328,832
LivePerson, Inc. †(a)		11,051		156,261
LogMeIn, Inc. †(a)		5,400		208,278
Magma Design Automation, Inc. †		18,500		147,815
Majesco Entertainment Co. †		12,000		36,240
Manhattan Associates, Inc. †		3,000		103,320
Marchex, Inc., Class B		6,600		58,608
MAXIMUS, Inc.		1,000		82,730
Maxwell Technologies, Inc. †		5,100		82,569
Measurement Specialties, Inc. †		3,900		139,230
Mentor Graphics Corp. †		30,000		384,300
Mercury Computer Systems, Inc. †		6,900		128,892
Microsemi Corp. †		19,200		393,600
MicroStrategy, Inc., Class A †		1,800		292,824
Mindspeed Technologies, Inc. †		5,000		40,000
MIPS Technologies, Inc. †		15,600		107,796
MKS Instruments, Inc.		2,300		60,766
Monotype Imaging Holdings, Inc. †		6,900		97,497
MoSys, Inc. †(a)		5,300		30,475
MTS Systems Corp.		2,300		96,209
Nanometrics, Inc. †		5,300		100,647
Netgear, Inc. †		8,267		361,433
Netscout Systems, Inc. †		9,600		200,544
NetSuite, Inc. †		2,500		98,000
Newport Corp. †		9,300		168,981
NIC, Inc.		11,100		149,406
NVE Corp. †		1,500		87,675
OCZ Technology Group, Inc. †		13,700		109,600
Omnivision Technologies, Inc. †		12,593		438,362
Oplink Communications, Inc. †		3,700		68,931
Opnet Technologies, Inc.		4,900		200,606
Opnext, Inc. †		47,200		107,616
OSI Systems, Inc. †		2,700		116,100
PC Connection, Inc. †		3,400		28,152
PDF Solutions, Inc. †		6,200		36,952
PFSweb, Inc. †		4,800		22,032
Photronics, Inc. †		18,900		160,083

	SHARES		VALUE (Note 3)
Information Technology - 23.2% (continued)
Power-One, Inc. †(a)		6,100	$	49,410
Powerwave Technologies, Inc. †		54,800		161,660
Progress Software Corp. †		3,450		83,249
PROS Holdings, Inc. †		2,800		48,972
Quantum Corp. †		53,100		175,230
Quepasa Corp. †		4,700		34,075
QuickLogic Corp. †		9,200		31,004
RF Micro Devices, Inc. †		71,400		436,968
Richardson Electronics Ltd.		3,300		44,847
RightNow Technologies, Inc. †		6,200		200,880
Rofin-Sinar Technologies, Inc. †		7,600		259,540
Rogers Corp. †		3,400		157,080
Saba Software, Inc. †(a)		7,900		71,337
Sapient Corp. †		4,100		61,623
SAVVIS, Inc. †		2,551		100,841
Seachange International, Inc. †		4,300		46,354
Semtech Corp. †		16,400		448,376
ShoreTel, Inc. †		5,400		55,080
Silicon Graphics International Corp. †		9,000		154,800
Silicon Image, Inc. †		23,500		151,810
SolarWinds, Inc. †		6,800		177,752
SRA International, Inc., Class A †		11,600		358,672
Stamps.com, Inc.		3,700		49,358
STEC, Inc. †(a)		3,300		56,133
Stratasys, Inc. †		2,100		70,770
support.com, Inc. †		12,700		60,960
Sycamore Networks, Inc.		4,900		108,976
Synchronoss Technologies, Inc. †		6,700		212,591
Take-Two Interactive Software, Inc. †		23,500		359,080
Taleo Corp., Class A †		8,500		314,755
TeleTech Holdings, Inc. †		4,700		99,076
Travelzoo, Inc. †(a)		2,000		129,280
TTM Technologies, Inc. †		12,600		201,852
Ultimate Software Group, Inc. †		6,600		359,238
Ultratech, Inc. †		6,400		194,432
Unisys Corp. †		8,700		223,590
Universal Display Corp. †(a)		2,000		70,180
ValueClick, Inc. †		21,500		356,900
VASCO Data Security International, Inc. †		5,200		64,740
Verint Systems, Inc. †		2,300		85,192
VirnetX Holding Corp. †(a)		8,500		245,990
Virtusa Corp. †(a)		3,100		58,745
Vocus, Inc. †		3,800		116,318
Web.com Group, Inc. †		7,900		97,328
Websense, Inc. †		2,700		70,119
Westell Technologies, Inc., Class A †		19,600		69,972
X-Rite, Inc. †		5,200		25,844
Zix Corp. †		18,000		69,120
Zygo Corp. †		3,500		46,270
				23,519,109
Materials - 7.7%
A.M. Castle & Co. †		2,900		48,169
AMCOL International Corp.		4,200		160,272
Balchem Corp.		6,200		271,436
Boise, Inc.		31,900		248,501
Buckeye Technologies, Inc.		10,300		277,894
Carpenter Technology Corp.		1,700		98,056

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 63

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

	SHARES		VALUE (Note 3)
Materials - 7.7% (continued)
Century Aluminum Co. †		16,200	$	253,530
Clearwater Paper Corp. †		900		61,452
Ferro Corp. †		23,400		314,496
Flotek Industries, Inc. †		13,800		117,576
General Moly, Inc. †(a)		29,500		131,570
Georgia Gulf Corp. †		10,600		255,884
Globe Specialty Metals, Inc.		17,200		385,624
Gold Resource Corp.		8,800		219,384
Golden Minerals Co. †		4,100		72,898
Graphic Packaging Holding Co. †		15,000		81,600
Handy & Harman Ltd. †		2,100		32,319
Hawkins, Inc.		2,300		83,306
Haynes International, Inc.		3,000		185,790
Horsehead Holding Corp. †		12,700		169,164
Innophos Holdings, Inc.		5,100		248,880
Innospec, Inc. †		6,100		205,021
Kaiser Aluminum Corp.		3,300		180,246
KapStone Paper and Packaging Corp. †		9,400		155,758
Koppers Holdings, Inc.		4,900		185,857
Kraton Performance Polymers, Inc. †		7,700		301,609
LSB Industries, Inc. †		4,500		193,140
Material Sciences Corp. †		4,200		30,450
Materion Corp. †		5,600		207,032
Minerals Technologies, Inc.		1,400		92,806
Noranda Aluminum Holding Corp. †		4,200		63,588
OM Group, Inc. †		5,700		231,648
Paramount Gold and Silver Corp. (Canada) †(a)		25,700		83,782
PolyOne Corp.		24,000		371,280
Quaker Chemical Corp.		2,800		120,428
RTI International Metals, Inc. †		7,700		295,449
Schnitzer Steel Industries, Inc., Class A		5,300		305,280
Senomyx, Inc. †		10,700		54,998
Sensient Technologies Corp.		7,100		263,197
Stillwater Mining Co. †(a)		3,400		74,834
TPC Group, Inc. †		2,700		105,894
UFP Technologies, Inc. †		2,700		51,084
Universal Stainless & Alloy †		1,900		88,844
Vista Gold Corp. †		13,500		38,205
Worthington Industries, Inc.		10,700		247,170
ZAGG, Inc. †(a)		6,800		91,120
Zoltek Cos., Inc. †		4,900		51,597
				7,808,118
Telecommunication Services - 1.4%
8x8, Inc. †		20,500		100,245
AboveNet, Inc.		6,700		472,082
Alaska Communications Systems Group, Inc. (a)		8,600		76,282
Cogent Communications Group, Inc. †		10,500		178,605
General Communication, Inc., Class A †		10,200		123,114
Globalstar, Inc. †(a)		12,600		15,498
ICO Global Communications Holdings Ltd. †		10,400		28,808
IDT Corp., Class B		4,300		116,186

	SHARES		VALUE (Note 3)
Telecommunication Services - 1.4% (continued)
Neutral Tandem, Inc. †		5,400	$	94,068
Towerstream Corp. †		10,900		54,391
Vonage Holdings Corp. †		37,500		165,375
				1,424,654
Utilities - 1.0%
Artesian Resources Corp., Class A		800		14,416
Chesapeake Utilities Corp. (a)		2,800		112,084
Dynegy, Inc. †		23,400		144,846
El Paso Electric Co.		8,700		281,010
Middlesex Water Co.		1,700		31,586
PNM Resources, Inc.		11,100		185,814
South Jersey Industries, Inc.		1,500		81,465
Southwest Gas Corp.		2,500		96,525
York Water Co.		1,100		18,205
				965,951
TOTAL COMMON STOCKS (cost $90,776,670)				100,280,460
MONEY MARKET FUNDS - 7.5%
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(c)
(cost $7,566,840)		7,566,840		7,566,840
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 1.8%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (2)(b)(c)
(cost $1,827,400)		1,827,400		1,827,400
TOTAL INVESTMENTS - 108.2% (cost $100,170,910)				109,674,700
LIABILITIES IN EXCESS OF OTHER ASSETS - (8.2%) (d)				(8,264,247)
NET ASSETS - 100.0%			$	101,410,453

All securities are United States companies, unless noted otherwise in parentheses.

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $1,786,264; cash collateral of $1,827,400 was received with which the fund purchased a money market fund.

(b) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

(c) Represents annualized seven-day yield as of June 30, 2011.

(d) Includes appreciation on futures contracts.

All Securities are Level 1, unless noted otherwise in parentheses.

(2) Level 2 security (See Note 5).

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

The accompanying notes are an integral part of these financial statements. (Continued)

64 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR SMALL CAP MOMENTUM FUND

Open futures contracts outstanding at June 30, 2011:

NUMBER OF CONTRACTS	TYPE	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2011		UNREALIZED APPRECIATION
Long Contracts:
14	E-Mini Russell 2000 Futures	September 16, 2011		$1,134,174		$1,155,560		$21,386

Cash held as collateral with broker for futures contracts was $7,519 at June 30, 2011.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 65

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
COMMON STOCKS - 98.7%
Australia - 1.9%
Alumina Ltd.		35,254	$	80,742
Amcor Ltd.		7,128		55,234
Atlas Iron Ltd. †		18,245		73,534
Australia & New Zealand Banking Group Ltd.		4,197		99,489
Brambles Ltd.		28,216		219,384
Caltex Australia Ltd.		4,085		51,832
Coal & Allied Industries Ltd.		318		36,038
Cochlear Ltd.		365		28,250
Commonwealth Bank of Australia		1,545		87,015
Fortescue Metals Group Ltd. (a)		27,957		191,826
Iluka Resources Ltd.		7,774		140,626
Incitec Pivot Ltd.		35,583		148,194
Lynas Corp. Ltd. †		36,790		78,129
OZ Minerals Ltd.		4,289		61,032
Paladin Energy Ltd. †		12,165		33,160
Wesfarmers Ltd. (a)		461		15,799
WorleyParsons Ltd.		2,954		89,941
				1,490,225
Austria - 1.0%
Andritz AG		915		94,344
Erste Group Bank AG		7,217		377,977
Immofinanz AG NPV †		18,992		80,977
Lenzing AG		606		79,079
Vienna Insurance Group AG Wiener Versicherung Gruppe		311		17,084
Voestalpine AG (a)		3,091		170,484
				819,945
Belgium - 0.5%
Bekaert SA		849		64,648
Solvay SA		848		130,927
UCB SA		1,683		75,626
Umicore SA		1,609		87,759
				358,960
Bermuda - 0.2%
Seadrill Ltd.		5,490		193,022
Canada - 15.7%
Agrium, Inc. (1)		3,600		316,122
Alimentation Couche Tard, Inc., Class B (1)		3,800		110,795
ARC Resources Ltd. (1)		800		20,745
Athabasca Oil Sands Corp. (1)†		7,900		124,506
Bank of Nova Scotia (1)		2,400		144,580
Baytex Energy Corp. (1)(a)		2,300		125,726
BCE, Inc. (1)		13,300		521,547
Bombardier, Inc., Class B (1)		35,100		252,937
Bonavista Energy Corp. (1)		1,300		38,510
Brookfield Asset Management, Inc., Class A (1)		12,300		409,256
Brookfield Office Properties (1)		7,200		139,080
Cameco Corp. (1)		2,000		52,755
Canadian Imperial Bank of Commerce (1)		300		23,687
Canadian National Railway Co. (1)		2,200		175,963
Canadian Natural Resources Ltd. (1)		1,500		62,880
Canadian Pacific Railway Ltd. (1)		1,600		99,821

	SHARES		VALUE (Note 3)
Canada - 15.7% (continued)
Canadian Utilities Ltd., Class A (1)		2,300	$	133,595
Cenovus Energy, Inc. (1)		14,000		528,384
Centerra Gold, Inc. (1)		1,500		24,885
CGI Group, Inc., Class A (1)†		6,200		153,063
CI Financial Corp. (1)		3,300		78,355
Crescent Point Energy Corp. (1)(a)		4,400		203,337
Detour Gold Corp. (1)†		1,600		46,368
Domtar Corp. (1)		300		28,416
Emera, Inc. (1)		2,100		68,828
Enbridge, Inc. (1)		14,600		474,733
Enerplus Corp. (1)		1,900		59,988
European Goldfields Ltd. (1)†		4,600		48,172
Finning International, Inc. (1)(a)		4,900		145,306
First Quantum Minerals Ltd. (1)(a)		2,000		291,607
Gabriel Resources Ltd. (1)†		8,100		55,934
Gildan Activewear, Inc. (1)		3,000		105,729
H&R Real Estate Investment Trust REIT (1)		2,100		47,119
HudBay Minerals, Inc. (1)		3,500		52,258
IGM Financial, Inc. (1)		2,800		146,757
Industrial Alliance Insurance & Financial Services, Inc. (1)		700		29,105
Inmet Mining Corp. (1)		1,100		79,154
Ivanhoe Mines Ltd. (1)†		11,600		293,112
Keyera Corp. (1)		1,700		77,011
Lululemon Athletica, Inc. (1)†		1,500		167,816
Lundin Mining Corp. (1)†		8,700		66,753
Magna International, Inc. (1)		4,800		259,547
Methanex Corp. (1)		2,000		62,792
Metro, Inc., Class A (1)		900		44,783
National Bank of Canada (1)		2,800		227,089
New Gold, Inc. (1)†		12,200		125,864
Novagold Resources, Inc. (1)†		4,200		38,714
Onex Corp. (1)		2,400		92,994
Open Text Corp. (1)†		2,300		147,451
Osisko Mining Corp. (1)†		1,000		15,542
Pacific Rubiales Energy Corp. (1)		2,900		77,728
Pan American Silver Corp. (1)		1,500		46,456
Pembina Pipeline Corp. (1)		2,000		52,652
Pengrowth Energy Corp. (1)		5,300		66,769
Potash Corp of Saskatchewan, Inc. (1)		17,100		976,586
Precision Drilling Corp. (1)†		5,700		81,855
Quadra FNX Mining Ltd. (1)†		5,600		83,148
RioCan Real Estate Investment Trust REIT (1)		2,200		59,172
Rogers Communications, Inc., Class B (1)(a)		2,500		98,994
Saputo, Inc. (1)(a)		3,700		178,430
SEMAFO, Inc. (1)†		6,600		50,572
Silver Wheaton Corp. (1)		8,700		287,128
SNC-Lavalin Group, Inc. (1)		1,800		109,891
Suncor Energy, Inc. (1)		31,200		1,222,832
Talisman Energy, Inc. (1)		21,900		449,830
Teck Resources Ltd., Class B (1)		12,600		640,419
TELUS Corp. (1)		6,000		330,344
Tim Hortons, Inc. (1)		1,600		78,121
Trican Well Service Ltd. (1)		3,000		70,486
Uranium One, Inc. (1)		12,900		35,579
Valeant Pharmaceuticals International, Inc. (1)		6,529		339,498

The accompanying notes are an integral part of these financial statements. (Continued)

66 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Canada - 15.7% (continued)
Vermilion Energy, Inc. (1)		1,300	$	68,744
Viterra, Inc. (1)		5,500		59,765
Yamana Gold, Inc. (1)		1,300		15,178
				12,519,648
Cayman Islands - 0.1%
Wynn Macau Ltd.		26,800		87,764
China - 0.0% (b)
AAC Acoustic Technologies Holdings, Inc.		10,000		23,401
Great Wall Motor Co. Ltd., H Shares		250		414
				23,815
Colombia - 0.0% (b)
Petrominerales Ltd. (1)		684		20,078
Denmark - 2.5%
AP Moller-Maersk A/S, Class B		9		77,697
Carlsberg A/S, Class B		2,987		325,233
Coloplast A/S, Class B		365		55,505
DSV A/S		2,710		65,053
FLSmidth & Co. A/S (a)		1,140		96,932
Novo Nordisk A/S, Class B		9,327		1,168,480
Novozymes A/S, Class B (a)		1,039		169,291
William Demant Holding A/S †		450		40,640
				1,998,831
Finland - 2.5%
Fortum OYJ		20,942		607,219
Kesko OYJ B Shares		1,282		59,623
Kone OYJ, Class B		4,181		262,665
Metso OYJ		2,840		161,449
Nokian Renkaat OYJ		1,747		87,723
Sampo OYJ, Class A		11,875		383,380
Stora Enso OYJ R Shares		19,035		199,894
UPM-Kymmene OYJ		6,832		124,999
Wartsila OYJ		4,074		137,762
				2,024,714
France - 7.3%
Accor SA		3,630		162,397
Alcatel-Lucent/France †		33,370		192,566
Bureau Veritas SA		591		49,908
Cap Gemini SA		278		16,279
Christian Dior SA		551		86,586
Cie Generale de Geophysique-Veritas †		2,582		94,628
Cie Generale d’Optique Essilor International SA		1,067		86,575
Compagnie de Saint-Gobain		8,064		522,693
Credit Agricole SA		17,482		262,639
Dassault Systemes SA		716		60,889
Edenred		3,620		110,377
Eutelsat Communications SA		1,154		51,954
Fonciere Des Regions REIT		210		22,245
Gecina SA REIT		477		66,648
Hermes International (a)		842		248,669
JCDecaux SA †		1,456		46,722
LVMH Moet Hennessy Louis Vuitton SA		4,724		848,890
Pernod-Ricard SA		405		39,944

	SHARES		VALUE (Note 3)
France - 7.3% (continued)
Peugeot SA		2,907	$	130,412
PPR		445		79,257
Publicis Groupe SA (a)		617		34,443
Renault SA		3,703		219,700
Rexel SA		4,367		108,186
Safran SA		1,489		63,537
Schneider Electric SA		5,258		877,938
SCOR SE		2,421		68,718
SEB SA		592		61,961
Sodexo		908		71,127
Technip SA		1,542		165,289
Unibail-Rodamco SE REIT		1,708		394,635
Valeo SA (a)		1,242		84,962
Vallourec SA		708		86,316
Vinci SA		6,853		439,808
				5,856,898
Germany - 9.3%
Adidas AG		4,232		335,520
Allianz SE		116		16,176
BASF SE		17,768		1,741,644
Bayerische Motoren Werke AG		5,960		595,160
Continental AG †		1,773		186,835
Daimler AG		405		30,542
Deutsche Lufthansa AG		7,022		152,947
Fresenius Medical Care AG & Co. KGaA		707		52,880
Fresenius SE & Co. KGaA		1,863		194,461
GEA Group AG		2,796		100,132
Generali Deutschland Holding AG		159		20,548
HeidelbergCement AG		474		30,315
Infineon Technologies AG		20,153		226,446
K+S AG		2,667		204,795
Kabel Deutschland Holding AG †		1,388		85,502
Lanxess AG		1,642		134,691
Linde AG		3,031		531,778
MAN SE		1,933		259,991
Merck KGaA		946		102,858
Puma AG Rudolf Dassler Sport		56		17,703
SAP AG		258		15,642
Siemens AG		15,137		2,080,140
ThyssenKrupp AG		5,876		305,304
Wacker Chemie AG		216		46,656
				7,468,666
Guernsey - 0.1%
Resolution Ltd.		18,139		85,509
Hong Kong - 5.2%
ASM Pacific Technology Ltd.		3,000		41,250
Bank of East Asia Ltd.		5,400		22,232
BOC Hong Kong Holdings Ltd.		136,000		396,163
Cathay Pacific Airways Ltd.		33,000		76,767
Cheung Kong Holdings Ltd.		22,000		323,071
Cheung Kong Infrastructure Holdings Ltd.		16,000		83,243
China Metal Recycling Holdings Ltd.		56,400		68,810
CLP Holdings Ltd.		6,000		53,226
Dairy Farm International Holdings Ltd.		6,300		51,679
Galaxy Entertainment Group Ltd. †		50,000		107,554

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 67

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Hong Kong - 5.2% (continued)
Hang Seng Bank Ltd. (a)		2,800	$	44,790
Hong Kong Exchanges and Clearing Ltd. (a)		18,600		391,658
Hongkong & Shanghai Hotels/The		11,000		18,408
Hongkong Land Holdings Ltd.		35,000		249,589
Hutchison Whampoa Ltd.		46,000		498,408
Hysan Development Co. Ltd.		8,000		39,687
Jardine Matheson Holdings Ltd.		7,600		436,431
Jardine Strategic Holdings Ltd.		7,000		214,430
Li & Fung Ltd. (a)		16,000		31,979
Lifestyle International Holdings Ltd.		13,500		39,495
Link REIT/The REIT		37,500		128,100
Noble Group Ltd.		19,363		31,181
NWS Holdings Ltd.		33,000		44,238
Orient Overseas International Ltd.		7,000		45,257
Power Assets Holdings Ltd.		2,000		15,146
Shangri-La Asia Ltd.		24,000		58,920
SJM Holdings Ltd.		38,000		90,397
Stella International Holdings Ltd.		7,500		19,036
Swire Pacific Ltd., Class A		16,500		242,928
United Laboratories International Holdings Ltd./The		12,000		17,779
VTech Holdings Ltd. (a)		2,000		23,710
Wharf Holdings Ltd.		23,000		160,391
Wheelock & Co. Ltd.		16,000		64,358
Wing Hang Bank Ltd.		4,500		49,379
				4,179,690
Ireland - 0.8%
Experian PLC		14,182		180,649
Shire PLC		11,255		351,906
WPP PLC		5,630		70,532
				603,087
Israel - 0.4%
Bank Leumi Le-Israel BM		450		2,128
Bezeq The Israeli Telecommunication Corp. Ltd.		22,496		56,953
Israel Chemicals Ltd.		11,520		183,838
Israel Corp. Ltd./The		62		67,785
				310,704
Italy - 2.0%
Enel SpA		124,124		811,048
Fiat Industrial SpA †		3,214		41,511
Fiat SpA		19,533		214,630
Mediobanca SpA		12,085		122,385
Saipem SpA		4,327		223,448
Snam Rete Gas SpA		22,123		130,946
Terna Rete Elettrica Nazionale SpA (a)		16,361		76,072
				1,620,040
Japan - 8.7%
ABC-Mart, Inc.		700		28,389
Alps Electric Co. Ltd.		7,400		75,222
Aozora Bank Ltd.		30,000		69,541
Asahi Glass Co. Ltd. (a)		7,000		81,916
Bridgestone Corp.		9,600		221,189
Central Japan Railway Co.		2		15,723

	SHARES		VALUE (Note 3)
Japan - 8.7% (continued)
Credit Saison Co. Ltd.		3,800	$	63,968
Dainippon Screen Manufacturing Co. Ltd.		7,000		59,771
Daito Trust Construction Co. Ltd.		2,800		237,720
Dena Co. Ltd.		1,100		47,307
FANUC Corp.		800		133,778
Fuji Electric Co. Ltd.		17,000		53,108
Fuji Heavy Industries Ltd.		15,000		116,565
Hino Motors Ltd.		4,000		23,358
Hitachi Ltd.		87,660		520,262
Idemitsu Kosan Co. Ltd.		500		53,362
IHI Corp.		27,000		69,767
Isuzu Motors Ltd.		24,000		113,615
ITOCHU Corp.		13,300		138,331
Japan Retail Fund Investment Corp. REIT		33		50,854
JGC Corp.		4,000		109,588
JX Holdings, Inc.		15,100		101,563
KDDI Corp.		44		316,577
Kobe Steel Ltd.		8,000		18,192
Koito Manufacturing Co. Ltd.		1,000		17,475
Komatsu Ltd.		18,700		583,873
Makita Corp.		1,700		79,218
McDonald’s Holdings Co. Japan Ltd.		1,000		25,426
Mitsubishi Chemical Holdings Corp.		29,500		209,041
Mitsubishi Electric Corp.		32,000		371,716
Mitsubishi Heavy Industries, Ltd.		50,000		235,111
Mitsubishi Materials Corp.		19,000		59,864
Mitsui & Co. Ltd.		27,200		470,291
NGK Spark Plug Co. Ltd.		2,000		27,635
NHK Spring Co. Ltd.		4,000		40,904
Nissan Motor Co. Ltd.		41,600		437,183
Nitto Denko Corp.		2,600		132,109
NOK Corp.		1,200		20,565
Omron Corp.		1,500		41,713
Oriental Land Co. Ltd.		600		50,897
ORIX Corp. (a)		450		43,772
Rakuten, Inc.		101		104,538
Sanrio Co. Ltd.		2,600		101,405
Sega Sammy Holdings, Inc.		3,200		61,858
Softbank Corp.		18,600		704,425
Sumitomo Realty & Development Co. Ltd.		3,000		67,049
Sysmex Corp.		800		30,090
Takata Corp.		600		18,402
THK Co. Ltd.		1,800		46,002
Toray Industries, Inc.		20,000		147,684
Universal Entertainment Corp.		1,300		43,448
USS Co. Ltd.		400		31,030
				6,922,390
Jersey, Channel Islands - 0.5%
Sands China Ltd. †		73,600		199,496
Wolseley PLC		6,241		203,716
				403,212
Luxembourg - 0.1%
RTL Group SA		547		53,692
Tenaris SA		1,525		34,860
				88,552

The accompanying notes are an integral part of these financial statements. (Continued)

68 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
Mexico - 0.0% (b)
Fresnillo PLC		249	$	5,609
Netherlands - 1.4%
Akzo Nobel NV		983		62,107
ASML Holding NV		1,539		56,766
European Aeronautic Defence and Space Co. NV		13,052		436,819
HAL Trust		326		43,184
Koninklijke DSM NV		3,505		227,462
Koninklijke Vopak NV		762		37,318
QIAGEN NV †		1,612		30,913
Royal Dutch Shell PLC, Class A		5,096		180,953
				1,075,522
Norway - 1.1%
Aker Solutions ASA		2,917		58,280
DnB NOR ASA		23,574		328,421
Norsk Hydro ASA		17,909		137,094
Petroleum Geo-Services ASA †		5,766		82,372
Telenor ASA		4,856		79,470
Yara International ASA		3,168		177,995
				863,632
Papua New Guinea - 0.1%
Oil Search Ltd.		12,347		88,387
Portugal - 0.4%
Galp Energia SGPS SA, Class B (a)		4,497		107,252
Jeronimo Martins SGPS SA		6,068		116,540
Portugal Telecom SGPS SA		7,413		72,876
				296,668
Singapore - 1.3%
Fraser and Neave Ltd.		11,000		51,973
Genting Singapore PLC †		152,000		239,648
Indofood Agri Resources Ltd. †		35,000		45,521
Jardine Cycle & Carriage Ltd.		2,000		70,179
Keppel Corp. Ltd.		22,000		199,049
Keppel Land Ltd.		18,000		53,188
Oversea-Chinese Banking Corp. Ltd.		15,000		114,575
Overseas Union Enterprise Ltd.		30,000		69,743
SembCorp Industries Ltd.		13,000		52,939
SembCorp Marine Ltd. (a)		17,000		73,569
SIA Engineering Co. Ltd.		10,000		35,438
Singapore Technologies Engineering Ltd.		16,000		39,288
				1,045,110
Spain - 2.8%
Abertis Infraestructuras SA		6,438		143,694
CaixaBank		13,314		92,711
Ferrovial SA (a)		5,196		65,654
Iberdrola SA †		94,253		838,550
Inditex SA		4,060		369,922
Red Electrica Corp. SA		2,354		142,005
Repsol YPF SA		17,335		601,273
				2,253,809

	SHARES		VALUE (Note 3)
Sweden - 4.6%
Alfa Laval AB		6,815	$	146,975
Assa Abloy AB, Class B		2,745		73,781
Atlas Copco AB, A Shares		24,634		648,769
Boliden AB		4,561		84,235
Electrolux AB, Series B		806		19,276
Elekta AB, Class B		1,681		79,752
Hexagon AB, Class B		8,834		217,512
Industrivarden AB, Class C		4,099		67,827
Kinnevik Investment AB, Class B		2,074		46,068
Ratos AB, Class B		3,030		58,241
Sandvik AB		4,950		86,721
Scania AB B Shares		14,697		341,160
Skandinaviska Enskilda Banken AB, Class A		45,327		370,615
Skanska AB, Class B		2,602		46,643
SKF AB, Class B		9,465		274,057
Svenska Handelsbanken AB, Class A		3,079		94,934
Swedbank AB		20,579		346,055
Swedish Match AB		2,095		70,342
Tele2 AB B Shares		3,216		63,478
Volvo AB B Shares		31,080		544,095
				3,680,536
Switzerland - 6.7%
ABB Ltd. †		43,100		1,119,837
Adecco SA †		324		20,796
Clariant AG †		4,676		89,458
Compagnie Financiere Richemont SA, Class A		8,866		581,016
Geberit AG †		236		55,989
Givaudan SA †		44		46,546
Holcim Ltd. †		749		56,643
Kuehne & Nagel International AG		682		103,613
Nestle SA		651		40,511
STMicroelectronics NV		1,989		19,822
Sulzer AG		416		67,829
Swatch Group AG/The		725		365,913
UBS AG †		73,977		1,350,049
Xstrata PLC		63,409		1,396,607
				5,314,629
United Kingdom - 21.5%
Aberdeen Asset Management PLC		22,247		79,688
Admiral Group PLC		1,876		50,028
Aggreko PLC		5,019		155,501
AMEC PLC		4,568		79,819
Anglo American PLC		27,622		1,369,884
Antofagasta PLC		5,256		117,620
ARM Holdings PLC		32,854		308,946
Aviva PLC		60,327		424,644
BG Group PLC		70,082		1,591,276
BP PLC		374,768		2,759,413
British American Tobacco PLC		34,717		1,522,395
British Land Co. PLC REIT		15,543		151,965
BT Group PLC		156,009		505,844
Burberry Group PLC		6,668		155,062
Centrica PLC		24,795		128,747
Compass Group PLC		4,307		41,529

The accompanying notes are an integral part of these financial statements. (Continued)

AQR Funds Semi-Annual Report June 2011 69

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

	SHARES		VALUE (Note 3)
United Kingdom - 21.5% (continued)
Croda International PLC		3,164	$	95,829
GKN PLC		20,726		77,272
Hammerson PLC REIT		10,324		79,817
ICAP PLC		7,693		58,346
IMI PLC		4,267		72,136
Intercontinental Hotels Group PLC		1,254		25,670
International Power PLC		27,719		143,162
Intertek Group PLC		2,171		68,803
ITV PLC †		51,724		59,391
J Sainsbury PLC		11,912		63,101
Johnson Matthey PLC		4,224		133,390
Kazakhmys PLC		5,503		121,985
Kingfisher PLC		49,656		213,302
Land Securities Group PLC REIT		20,209		276,460
Legal & General Group PLC		144,035		272,862
Man Group PLC		13,963		53,112
Mondi PLC		7,018		69,852
National Grid PLC		46,401		456,781
Old Mutual PLC		67,562		144,625
Pearson PLC		11,168		211,268
Petrofac Ltd.		7,969		193,782
Prudential PLC		49,749		574,442
Rexam PLC		12,637		77,691
Rio Tinto PLC		32,217		2,326,252
Rolls-Royce Holdings PLC †		10,014		103,704
Rolls-Royce Holdings PLC, Class C (3)†(c)		961,344		1,543
SABMiller PLC		1,377		50,261
Sage Group PLC/The		14,253		66,079
Schroders PLC		3,290		81,685
Scottish & Southern Energy PLC		16,661		372,633
Severn Trent PLC		3,568		84,296
Smith & Nephew PLC		3,096		33,179
Smiths Group PLC		5,485		105,801
Standard Life PLC		37,323		126,148
Subsea 7 SA †		5,019		128,372
Tate & Lyle PLC		7,462		73,803
Tullow Oil PLC		16,116		320,936
United Utilities Group PLC		5,125		49,293
Vedanta Resources PLC		86		2,891
Vodafone Group PLC		56,222		149,081
Weir Group PLC/The		4,443		151,670
				17,213,067
TOTAL COMMON STOCKS (cost $70,836,705)				78,912,719
PREFERRED STOCKS - 0.3%
Germany - 0.2%
Henkel AG & Co. KGaA		322		22,391
Porsche Automobil Holding SE (a)		206		16,341
ProSiebenSat.1 Media AG †(a)		3,399		96,767
				135,499

	SHARES		VALUE (Note 3)
Switzerland - 0.1%
Schindler Holding AG (a)		631	$	76,746
TOTAL PREFERRED STOCKS (cost $189,305)				212,245
EXCHANGE-TRADED FUNDS - 0.2%
United States - 0.2%
iShares MSCI EAFE Index Fund (1) (cost $156,946)		3,171		190,704
RIGHTS - 0.0% (b)
Spain - 0.0% (b)
Criteria CaixaCorp SA, expires 7/15/11 † (cost $-)		13,314		1,004
MONEY MARKET FUNDS - 5.6%
J.P. Morgan Prime Money Market Fund -Capital Shares, 0.090% (d)(g)		242,033		242,033
J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (d)		4,273,842		4,273,842
TOTAL MONEY MARKET FUNDS (cost $4,515,875)				4,515,875
INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 2.7%
J.P. Morgan Prime Money Market Fund -
Capital Shares, 0.090%(d)(e) (cost $2,175,845)		2,175,845		2,175,845
TOTAL INVESTMENTS - 107.5% (cost $77,874,676)				86,008,392
LIABILITIES IN EXCESS OF OTHER ASSETS - (7.5%) (f)				(6,036,016)
NET ASSETS - 100.0%			$	79,972,376

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	9,143,424		11.4	%
Consumer Staples		2,890,915		3.6
Energy		11,184,385		14.0
Financials		11,489,686		14.4
Health Care		2,688,393		3.4
Industrials		16,619,615		20.8
Information Technology		2,096,585		2.6
Materials		15,918,587		19.9
Mutual Fund		190,704		0.2
Telecommunication Services		2,899,588		3.6
Utilities		4,194,790		5.2
Money Market Funds		6,691,720		8.4
Total Investments		86,008,392		107.5
Liabilities in Excess of Other Assets (f)		(6,036,016)		(7.5)
Net Assets	$	79,972,376		100.0	%

The accompanying notes are an integral part of these financial statements. (Continued)

70 AQR Funds Semi-Annual Report June 2011

Schedule of Investments June 30, 2011 (Unaudited)

AQR INTERNATIONAL MOMENTUM FUND

† Non income-producing security.

(a) All or a portion of the security on loan. The aggregate market value of such securities is $2,102,606; cash collateral of $2,175,845 was received with which the fund purchased a money market fund.

(b) Represents less than 0.05 percent of net assets.

(c) Security fair valued at June 30, 2011.

(d) Represents annualized seven-day yield as of June 30, 2011.

(e) Represents security, or portion thereof, purchased with the cash collateral received for securities on loan.

(f) Includes appreciation (depreciation) on forward foreign currency exchange and swap contracts.

(g) A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

All securities are Level 2, unless noted otherwise in parentheses.

(1) Level 1 security (See Note 5).

(3) Level 3 security (See Note 5).

The following abbreviations are used in portfolio descriptions:

REIT - Real Estate Investment Trust

Forward foreign currency exchange contracts outstanding as of June 30, 2011:

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2011		UNREALIZED DEPRECIATION
British Pound, Expiring 09/21/11	The Royal Bank of Scotland	GBP		$187,687		$309,348		$300,947		$(8,401)

GBP - British Pound

Equity basket swap contracts with Deutsche Bank as of June 30, 2011:

REFERENCE ENTITY	SHARES LONG	VALUE AT CONTRACT DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Antofagasta PLC	1,945		$38,505		$5,378
Fresnillo PLC	3,595		77,402		4,303
Old Mutual PLC	7,263		14,885		802
Petrofac Ltd.	25		608		6
Rolls-Royce Group PLC	919,392		1,486		—
Vedanta Resources PLC	838		26,134		2,280
					12,769
Segregated cash balance for swap agreements.					1,363
					$14,132

The Swap contracts listed above reset monthly. The final termination date is July 15, 2011.

Money Market Fund is pledged as collateral to broker for swap contract in the amount of $242,033.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 71

Statements of Assets and Liabilities June 30, 2011 (Unaudited)

	AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR DIVERSIFIED ARBITRAGE FUND		AQR MANAGED FUTURES STRATEGY FUND**
ASSETS:
Investments in securities, at cost		$387,761,301		$487,492,964		$2,257,282,597		$1,331,748,701
Investments in securities, at value*		$453,283,136		$551,329,189		$2,350,496,928		$1,331,748,701
Cash (including foreign currency of $1,645,233, $2,150,148, $16,994,057 and $160,776, respectively)		1,945,311		4,152,969		19,634,150		2,076,285
Due from brokers		11,620,674		14,838,805		579,215,962		61,180,305
Swaps, at value		151,980		252,855		130,338		796,480
Unrealized appreciation on futures contracts		2,588,841		3,814,905		—		14,835,292
Receivables:
Securities sold		13,593,122		772,545		54,574,779		5,503,164
Foreign tax reclaim		533,936		913,823		—		—
Dividends and interest		765,454		960,966		9,491,327		61,172
Capital shares sold		—		265,167		4,937,919		2,550,923
Prepaid expenses		56,873		19,312		206,246		131,121
Total Assets		484,539,327		577,320,536		3,018,687,649		1,418,883,443
LIABILITIES:
Securities sold short, at value (proceeds $–, $–, $1,081,705,433 and $–, respectively)		—		—		1,144,193,551		—
Options written, at value (proceeds $–, $–, $905,449 and $–, respectively)		—		—		460,802		—
Unrealized depreciation on forward foreign currency exchange contracts		1,778,792		3,385,650		1,869,209		5,080,637
Swaps, at value		—		—		1,740,347		—
Unrealized depreciation on futures contracts		—		—		3,726,516		—
Payables:
Securities purchased		12,017,616		2,724,808		89,956,064		7,418,670
Collateral received on securities loaned		9,850,523		20,641,396		7,225,604		—
Accrued Investment advisory fees		140,051		191,883		1,388,173		1,165,755
Accrued Shareholder servicing fees		1,559		38,600		—		—
Accrued Distribution fees—Class N		352		308		93,279		96,229
Capital shares redeemed		—		—		1,525,562		1,058,051
Dividends payable on securities sold short		—		—		592,348		—
Other accrued expenses and liabilities		185,183		267,204		79,834		146,055
Total Liabilities		23,974,076		27,249,849		1,252,851,289		14,965,397
Net Assets		$460,565,251		$550,070,687		$1,765,836,360		$1,403,918,046
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$372,932,266		$455,210,372		$1,734,615,918		$1,431,448,706
Undistributed (accumulated) net investment income (loss)		7,019,015		14,772,865		9,351,202		(4,745,999)
Undistributed (accumulated) net realized gain (loss)		13,016,726		15,433,532		(4,657,799)		(33,473,890)
Net unrealized appreciation (depreciation)		67,597,244		64,653,918		26,527,039		10,689,229
Net Assets		$460,565,251		$550,070,687		$1,765,836,360		$1,403,918,046
NET ASSETS:
Class I		$4,611,284		$170,636,468		$1,313,687,807		$938,078,765
Class N		1,756,659		1,529,025		452,148,553		465,839,281
Class Y		454,197,308		377,905,194		n/a		n/a
SHARES OUTSTANDING:
Class I		393,632		15,279,055		117,030,824		94,572,812
Class N		150,197		135,125		40,450,114		47,111,258
Class Y		38,596,429		32,428,078		n/a		n/a
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$11.71		$11.17		$11.23		$9.92
Class N		$11.70		$11.32		$11.18		$9.89
Class Y		$11.77		$11.65		n/a		n/a

Foreign currency at cost of $1,622,683, $2,122,216, $16,689,530 and $159,480, respectively.

* Investments in securities includes the market value of securities out on loan of $9,468,894, $19,803,898, $6,963,670 and $—, respectively.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements. (continued on p. 77)

72 AQR Funds Semi-Annual Report June 2011

Statements of Assets and Liabilities June 30, 2011 (Unaudited)

	AQR RISK PARITY FUND**		AQR MOMENTUM FUND		AQR SMALL CAP MOMENTUM FUND		AQR INTERNATIONAL MOMENTUM FUND
ASSETS:
Investments in securities, at cost		$132,805,031		$274,944,485		$100,170,910		$77,874,676
Investments in securities, at value*		$134,108,046		$289,308,630		$109,674,700		$86,008,392
Cash (including foreign currency of $281,168, $—, $— and $280,368, respectively)		636,642		674,691		793,081		4,270,624
Due from brokers		5,312,664		45,192		7,519		—
Unrealized appreciation on forward foreign currency exchange contracts		218,106		—		—		—
Swaps, at value		2,953,951		—		—		14,132
Unrealized appreciation on futures contracts		178,155		62,644		21,386		—
Receivables:
Securities sold		284,055		72,404,968		20,475,133		20,235,356
Foreign tax reclaim		—		—		—		18,447
Dividends and interest		572,419		157,158		55,941		170,101
Capital shares sold		1,100,247		425,599		95,251		24,290
Prepaid expenses		34,129		24,015		14,326		14,477
Total Assets		145,398,414		363,102,897		131,137,337		110,755,819
LIABILITIES:
Due to brokers		710,030		—		—		—
Unrealized depreciation on forward foreign currency exchange contracts		—		—		—		8,401
Swaps, at value		22,243		—		—		—
Payables:
Securities purchased		639,602		90,199,632		27,774,455		28,505,921
Collateral received on securities loaned		—		7,396,263		1,827,400		2,175,845
Accrued Investment advisory fees		65,502		23,283		14,186		8,818
Accrued Shareholder servicing fees		—		30,813		11,664		9,393
Accrued Distribution fees—Class N		8,230		—		—		—
Capital shares redeemed		193,745		61,860		66,170		48,092
Other accrued expenses and liabilities		39,230		54,434		33,009		26,973
Total Liabilities		1,678,582		97,766,285		29,726,884		30,783,443
Net Assets		$143,719,832		$265,336,612		$101,410,453		$79,972,376
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$138,578,685		$246,172,828		$89,188,914		$70,741,613
Undistributed (accumulated) net investment income (loss)		939,639		1,081,642		77,469		1,156,119
Undistributed (accumulated) net realized gain (loss)		2,134,893		3,655,353		2,618,894		(63,215)
Net unrealized appreciation (depreciation)		2,066,615		14,426,789		9,525,176		8,137,859
Net Assets		$143,719,832		$265,336,612		$101,410,453		$79,972,376
NET ASSETS:
Class I		$100,660,634		n/a		n/a		n/a
Class L		n/a		$265,336,612		$101,410,453		$79,972,376
Class N		43,059,198		n/a		n/a		n/a
SHARES OUTSTANDING:
Class I		9,229,617		n/a		n/a		n/a
Class L		n/a		17,368,783		6,501,160		5,585,544
Class N		3,957,018		n/a		n/a		n/a
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$10.91		n/a		n/a		n/a
Class L		n/a		$15.28		$15.60		$14.32
Class N		$10.88		n/a		n/a		n/a

Foreign currency at cost of $275,337, $—, $— and $278,710, respectively.

* Investments in securities includes the market value of securities out on loan of $—, $7,253,629, $1,786,264 and $2,102,606, respectively.

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 73

Statements of Operations June 30, 2011 (Unaudited)

	AQR GLOBAL EQUITY FUND		AQR INTERNATIONAL EQUITY FUND		AQR DIVERSIFIED ARBITRAGE FUND		AQR MANAGED FUTURES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2011		FOR THE SIX MONTHS ENDED JUNE 30, 2011		FOR THE SIX MONTHS ENDED JUNE 30, 2011		FOR THE SIX MONTHS ENDED JUNE 30, 2011
INVESTMENT INCOME:
Dividend income†		$6,876,455		$10,132,609		$2,995,867		$439,999
Interest income		—		—		19,652,466		—
Securities lending income, net		182,752		430,026		690,209		—
Total Income		7,059,207		10,562,635		23,338,542		439,999
EXPENSES:
Investment advisory fees		895,632		1,086,266		7,469,623		6,266,568
Shareholder servicing fees		7,514		169,784		—		—
Custody, administration & accounting fees		101,247		135,185		332,022		338,206
Legal fees		31,605		32,312		113,223		76,699
Audit & tax fees		32,027		24,913		37,423		30,424
Shareholder reporting fees		8,107		11,299		237,990		110,004
Transfer agent fees		15,193		25,073		640,718		432,001
Trustee fees		15,931		22,264		45,578		32,065
Distribution fees—Class N		2,116		1,890		534,302		484,790
Dividends on securities sold short		—		—		6,818,784		—
Recoupment of waiver		—		—		8,354		43,567
Other fees		126,218		72,989		272,857		147,029
Total Expenses		1,235,590		1,581,975		16,510,874		7,961,353
Less waivers and reimbursements:
Investment advisory fees waived		(15,868)		(4,478)		—		(33,170)
Shareholder servicing fees waived		(7,514)		(2,646)		—		—
Net Expenses		1,212,208		1,574,851		16,510,874		7,928,183
Net Investment Income (Loss)		5,846,999		8,987,784		6,827,668		(7,488,184)
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		12,069,907		13,335,963		53,795,336		(15,327)
Foreign currency and foreign currency translations		(292,801)		(430,003)		(373,399)		27,877
Forward foreign currency exchange contracts		4,049,410		7,327,535		(1,885,937)		9,815,535
Futures contracts		2,064,320		(496,939)		(6,512,702)		(38,182,238)
Securities sold short		—		—		(39,908,902)		—
Swap and swaps on futures contracts		534,183		589,623		(5,175,741)		(654,517)
Written options		—		—		3,650,688		—
Net realized gain (loss)		18,425,019		20,326,179		3,589,343		(29,008,670)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		7,113,313		6,293,962		(13,196,634)		—
Foreign currency and foreign currency translations		(59,357)		36,339		532,451		138,880
Forward foreign currency exchange contracts		(4,069,537)		(7,954,765)		(1,582,744)		(11,328,046)
Futures contracts		3,156,709		5,073,581		(3,180,569)		4,048,135
Securities sold short		—		—		9,421,266		—
Swap and swaps on futures contracts		(341,548)		(186,868)		2,862,618		(2,480,846)
Written options		—		—		308,686		—
Net change in unrealized appreciation (depreciation)		5,799,580		3,262,249		(4,834,926)		(9,621,877)
Net gain (loss) and change in unrealized appreciation (depreciation)		24,224,599		23,588,428		(1,245,583)		(38,630,547)
Net increase (decrease) in net assets resulting from operations		$30,071,598		$32,576,212		$5,582,085		$(46,118,731)
† Net of foreign taxes withheld of		$479,924		$999,785		$5,349		$—

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements. (continued on p. 79)

74 AQR Funds Semi-Annual Report June 2011

Statements of Operations June 30, 2011 (Unaudited)

	AQR RISK PARITY FUND**		AQR MOMENTUM FUND		AQR SMALL CAP MOMENTUM FUND		AQR INTERNATIONAL MOMENTUM FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011		FOR THE SIX MONTHS ENDED JUNE 30, 2011		FOR THE SIX MONTHS ENDED JUNE 30, 2011		FOR THE SIX MONTHS ENDED JUNE 30, 2011
INVESTMENT INCOME:
Dividend income†		$13,583		$1,240,010		$329,509		$1,264,048
Interest income		1,333,937		—		—		—
Securities lending income, net		—		5,921		10,489		47,630
Total Income		1,347,520		1,245,931		339,998		1,311,678
EXPENSES:
Investment advisory fees		333,754		246,151		140,311		120,709
Shareholder servicing fees		—		147,691		60,134		51,733
Custody, administration & accounting fees		28,117		40,839		33,947		27,921
Legal fees		15,485		9,437		3,046		3,661
Audit & tax fees		28,524		16,094		16,094		18,470
Shareholder reporting fees		23,133		20,170		13,403		8,722
Transfer agent fees		15,761		52,979		24,278		22,549
Trustee fees		1,855		4,896		2,038		2,097
Distribution fees—Class N		32,311		—		—		—
Other fees		37,674		24,128		14,790		25,684
Total Expenses		516,614		562,385		308,041		281,546
Less waivers and reimbursements:
Investment advisory fees waived		(61,425)		—		—		(2,245)
Shareholder servicing fees waived		—		(75,518)		(45,512)		(51,733)
Net Expenses		455,189		486,867		262,529		227,568
Net Investment Income (Loss)		892,331		759,064		77,469		1,084,110
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) from:
Investments in securities		257,480		2,812,678		1,595,293		23,892
Foreign currency and foreign currency translations		(134,568)		—		—		75,102
Forward foreign currency exchange contracts		(841,094)		—		—		17,825
Futures contracts		(236,907)		525,879		393,330		—
Swap and swaps on futures contracts		3,213,534		—		—		(19,896)
Net realized gain (loss)		2,258,445		3,338,557		1,988,623		96,923
Net change in unrealized appreciation (depreciation) on:
Investments in securities		1,456,766		4,176,242		3,803,587		2,308,088
Foreign currency and foreign currency translations		(58,030)		—		—		(37,834)
Forward foreign currency exchange contracts		172,484		—		—		(18,843)
Futures contracts		(182,023)		64,078		32,695		—
Swap and swaps on futures contracts		464,753		—		—		(58,267)
Net change in unrealized appreciation (depreciation)		1,853,950		4,240,320		3,836,282		2,193,144
Net gain (loss) and change in unrealized appreciation (depreciation)		4,112,395		7,578,877		5,824,905		2,290,067
Net increase (decrease) in net assets resulting from operations		$5,004,726		$8,337,941		$5,902,374		$3,374,177
† Net of foreign taxes withheld of		$—		$—		$22		$129,095

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 75

Statements of Changes in Net Assets June 30, 2011

	AQR GLOBAL EQUITY FUND				AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010
OPERATIONS:
Net Investment income (loss)		$5,846,999		$6,758,950		$8,987,784		$8,347,504
Net realized gain (loss)		18,425,019		19,174,656		20,326,179		10,063,553
Net change in unrealized appreciation (depreciation)		5,799,580		28,446,319		3,262,249		27,034,263
Net increase (decrease) in net assets resulting from operations		30,071,598		54,379,925		32,576,212		45,445,320
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(57,496)		—		(1,939,218)
Class N		—		(43,413)		—		(30,891)
Class Y		—		(14,066,551)		—		(8,858,115)
Total		—		(14,167,460)		—		(10,828,224)
Net realized gain:
Class I		—		(12,252)		—		(751,420)
Class N		—		(10,061)		—		(12,796)
Class Y		—		(2,827,146)		—		(3,126,673)
Total		—		(2,849,459)		—		(3,890,889)
Total distributions		—		(17,016,919)		—		(14,719,113)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		2,662,143		1,656,523		84,958,720		44,905,053
Reinvestment of distributions		—		69,748		—		2,584,353
Cost of shares redeemed		(10,979)		—		(7,030,119)		(12,356,169)
Redemption fees		—		—		2,037		92
Net increase (decrease) from capital transactions		2,651,164		1,726,271		77,930,638		35,133,329
CLASS N
Proceeds from shares sold		244,253		2,068,625		38,915		1,454,807
Reinvestment of distributions		—		52,615		—		42,682
Cost of shares redeemed		(87,482)		(754,495)		(76,589)		(97,610)
Redemption fees		—		2		—		—
Net increase (decrease) from capital transactions		156,771		1,366,747		(37,674)		1,399,879
CLASS Y
Proceeds from shares sold		—		—		2,297,817		3,598,979
In-kind subscription (See Note 11)		—		370,340,997		—		—
Reinvestment of distributions		—		16,893,697		—		11,984,789
Cost of shares redeemed		—		(5,000)		(21,960,767)		(28,131,786)
Redemption fees		—		—		24,261		15,873
Net increase (decrease) from capital transactions		—		387,229,694		(19,638,689)		(12,532,145)
Net increase (decrease) in net assets resulting from capital transactions		2,807,935		390,322,712		58,254,275		24,001,063
Total increase (decrease) in net assets		32,879,533		427,685,718		90,830,487		54,727,270
NET ASSETS:
Beginning of period		427,685,718		—		459,240,200		404,512,930
End of period		$460,565,251		$427,685,718		$550,070,687		$459,240,200
Undistributed accumulated net investment income (loss) at end of period		$7,019,015		$1,172,016		$14,772,865		$5,785,081

The accompanying notes are an integral part of these financial statements. (continued on p. 81)

76 AQR Funds Semi-Annual Report June 2011

Statements of Changes in Net Assets June 30, 2011

	AQR GLOBAL EQUITY FUND				AQR INTERNATIONAL EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		167,896		—		8,227,394		4,502,376
Shares sold		226,696		161,426		7,694,831		4,730,717
Shares issued in reinvestment of distributions		—		6,470		—		253,120
Shares redeemed		(960)		—		(643,170)		(1,258,819)
Shares outstanding, end of period		393,632		167,896		15,279,055		8,227,394
CLASS N
Shares outstanding, beginning of period		136,540		—		138,711		584
Shares sold		21,376		203,862		3,498		144,573
Shares issued in reinvestment of distributions		—		4,880		—		4,116
Shares redeemed		(7,719)		(72,202)		(7,084)		(10,562)
Shares outstanding, end of period		150,197		136,540		135,125		138,711
CLASS Y
Shares outstanding, beginning of period		38,596,429		—		34,152,071		35,486,692
Shares sold		—		—		201,907		343,970
Shares issued in connection with in-kind subscription (See Note 11)		—		37,034,100		—		—
Shares issued in reinvestment of distributions		—		1,562,784		—		1,126,390
Shares redeemed		—		(455)		(1,925,900)		(2,804,981)
Shares outstanding, end of period		38,596,429		38,596,429		32,428,078		34,152,071

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 77

Statements of Changes in Net Assets June 30, 2011

	AQR DIVERSIFIED ARBITRAGE FUND				AQR MANAGED FUTURES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE PERIOD 1/06/10*-12/31/10
OPERATIONS:
Net Investment income (loss)		$6,827,668		$6,921,419		$(7,488,184)		$(3,689,893)
Net realized gain (loss)		3,589,343		6,466,867		(29,008,670)		26,125,282
Net change in unrealized appreciation (depreciation)		(4,834,926)		26,362,020		(9,621,877)		20,311,106
Net increase (decrease) in net assets resulting from operations		5,582,085		39,750,306		(46,118,731)		42,746,495
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(2,529,523)		—		(4,988,075)
Class N		—		(496,243)		—		(1,283,887)
Total		—		(3,025,766)		—		(6,271,962)
Net realized gain:
Class I		—		(9,148,432)		—		(8,519,610)
Class N		—		(4,389,758)		—		(2,443,893)
Total		—		(13,538,190)		—		(10,963,503)
Total distributions		—		(16,563,956)		—		(17,235,465)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		596,362,836		744,622,281		411,187,704		658,743,237
Reinvestment of distributions		—		10,961,113		—		13,031,535
Cost of shares redeemed		(110,713,916)		(105,043,527)		(98,338,067)		(33,812,899)
Redemption fees		—		29		20,243		12,633
Net increase (decrease) from capital transactions		485,648,920		650,539,896		312,869,880		637,974,506
CLASS N
Proceeds from shares sold		144,357,705		366,744,101		264,228,518		289,880,071
Reinvestment of distributions		—		4,779,404		—		3,704,252
Cost of shares redeemed		(76,748,198)		(77,340,720)		(55,352,878)		(28,806,659)
Redemption fees		58		5,055		10,870		17,187
Net increase (decrease) from capital transactions		67,609,565		294,187,840		208,886,510		264,794,851
Net increase (decrease) in net assets resulting from capital transactions		553,258,485		944,727,736		521,756,390		902,769,357
Total increase (decrease) in net assets		558,840,570		967,914,086		475,637,659		928,280,387
NET ASSETS:
Beginning of period		1,206,995,790		239,081,704		928,280,387		—
End of period		$1,765,836,360		$1,206,995,790		$1,403,918,046		$928,280,387
Undistributed accumulated net investment income (loss) at end of period		$9,351,202		$2,523,534		$(4,745,999)		$2,742,185

The accompanying notes are an integral part of these financial statements. (continued on p. 83)

78 AQR Funds Semi-Annual Report June 2011

Statements of Changes in Net Assets June 30, 2011

	AQR DIVERSIFIED ARBITRAGE FUND				AQR MANAGED FUTURES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE PERIOD 1/06/10*-12/31/10
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		73,942,810		14,819,735		63,824,670		—
Shares sold		52,914,465		67,644,901		40,455,280		65,937,073
Shares issued in reinvestment of distributions		—		990,163		—		1,286,430
Shares redeemed		(9,826,451)		(9,511,989)		(9,707,138)		(3,398,833)
Shares outstanding, end of period		117,030,824		73,942,810		94,572,812		63,824,670
CLASS N
Shares outstanding, beginning of period		34,430,118		7,332,864		26,365,662		—
Shares sold		12,858,599		33,746,669		26,225,105		28,893,378
Shares issued in reinvestment of distributions		—		432,917		—		366,394
Shares redeemed		(6,838,603)		(7,082,332)		(5,479,509)		(2,894,110)
Shares outstanding, end of period		40,450,114		34,430,118		47,111,258		26,365,662

* Commencement of operations

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 79

Statements of Changes in Net Assets June 30, 2011

	AQR RISK PARITY FUND**				AQR MOMENTUM FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE PERIOD 9/30/10*-12/31/10		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010
OPERATIONS:
Net Investment income (loss)		$892,331		$15,932		$759,064		$476,664
Net realized gain (loss)		2,258,445		404,456		3,338,557		296,966
Net change in unrealized appreciation (depreciation)		1,853,950		212,665		4,240,320		9,823,731
Net increase (decrease) in net assets resulting from operations		5,004,726		633,053		8,337,941		10,597,361
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(127,380)		—		—
Class L		—		—		—		(134,564)
Class N		—		(121,230)		—		—
Total		—		(248,610)		—		(134,564)
Net realized gain:
Class L		—		—		—		(309,664)
Total		—		—		—		(309,664)
Total distributions		—		(248,610)		—		(444,228)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		93,017,956		12,413,848		—		—
Reinvestment of distributions		—		127,380		—		—
Cost of shares redeemed		(8,578,522)		(12,269)		—		—
Redemption fees		2,899		—		—		—
Net increase (decrease) from capital transactions		84,442,333		12,528,959		—		—
CLASS L
Proceeds from shares sold		—		—		147,235,439		113,707,968
Reinvestment of distributions		—		—		—		443,920
Cost of shares redeemed		—		—		(14,730,553)		(6,747,740)
Redemption fees		—		—		2,432		1,497
Net increase (decrease) from capital transactions		—		—		132,507,318		107,405,645
CLASS N
Proceeds from shares sold		34,485,720		11,092,756		—		—
Reinvestment of distributions		—		120,969		—		—
Cost of shares redeemed		(4,196,010)		(145,014)		—		—
Redemption fees		518		432		—		—
Net increase (decrease) from capital transactions		30,290,228		11,069,143		—		—
Net increase (decrease) in net assets resulting from capital transactions		114,732,561		23,598,102		132,507,318		107,405,645
Total increase (decrease) in net assets		119,737,287		23,982,545		140,845,259		117,558,778
NET ASSETS:
Beginning of period		23,982,545		—		124,491,353		6,932,575
End of period		$143,719,832		$23,982,545		$265,336,612		$124,491,353
Undistributed accumulated net investment income (loss) at end of period		$939,639		$47,308		$1,081,642		$322,578

The accompanying notes are an integral part of these financial statements. (continued on p. 85)

80 AQR Funds Semi-Annual Report June 2011

Statements of Changes in Net Assets June 30, 2011

	AQR RISK PARITY FUND**				AQR MOMENTUM FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE PERIOD 9/30/10*-12/31/10		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		1,240,567		—		—		—
Shares sold		8,807,263		1,229,100		—		—
Shares issued in reinvestment of distributions		—		12,687		—		—
Shares redeemed		(818,213)		(1,220)		—		—
Shares outstanding, end of period		9,229,617		1,240,567		—		—
CLASS L
Shares outstanding, beginning of period		—		—		8,646,886		568,597
Shares sold		—		—		9,704,988		8,561,328
Shares issued in reinvestment of distributions		—		—		—		31,043
Shares redeemed		—		—		(983,091)		(514,082)
Shares outstanding, end of period		—		—		17,368,783		8,646,886
CLASS N
Shares outstanding, beginning of period		1,094,489		—		—		—
Shares sold		3,259,092		1,096,773		—		—
Shares issued in reinvestment of distributions		—		12,061		—		—
Shares redeemed		(396,563)		(14,345)		—		—
Shares outstanding, end of period		3,957,018		1,094,489		—		—

* Commencement of operations

** Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 81

Statements of Changes in Net Assets June 30, 2011

	AQR SMALL CAP MOMENTUM FUND				AQR INTERNATIONAL MOMENTUM FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010		FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2010
OPERATIONS:
Net Investment income (loss)		$77,469		$93,134		$1,084,110		$485,477
Net realized gain (loss)		1,988,623		1,019,454		96,923		(517,845)
Net change in unrealized appreciation (depreciation)		3,836,282		5,493,162		2,193,144		5,421,094
Net increase (decrease) in net assets resulting from operations		5,902,374		6,605,750		3,374,177		5,388,726
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class L		—		(88,580)		—		(198,118)
Total		—		(88,580)		—		(198,118)
Net realized gain:
Class L		—		(487,666)		—		(61,012)
Total		—		(487,666)		—		(61,012)
Total distributions		—		(576,246)		—		(259,130)
CAPITAL TRANSACTIONS:
CLASS L
Proceeds from shares sold		46,515,123		47,944,290		31,921,963		45,816,669
Reinvestment of distributions		—		576,046		—		259,022
Cost of shares redeemed		(5,512,391)		(3,285,924)		(17,416,849)		(18,877,307)
Redemption fees		765		1,061		1,706		1,346
Net increase (decrease) from capital transactions		41,003,497		45,235,473		14,506,820		27,199,730
Net increase (decrease) in net assets resulting from capital transactions		41,003,497		45,235,473		14,506,820		27,199,730
Total increase (decrease) in net assets		46,905,871		51,264,977		17,880,997		32,329,326
NET ASSETS:
Beginning of period		54,504,582		3,239,605		62,091,379		29,762,053
End of period		$101,410,453		$54,504,582		$79,972,376		$62,091,379
Undistributed accumulated net investment income (loss) at end of period		$77,469		$—		$1,156,119		$72,009
CHANGES IN SHARES OUTSTANDING:
CLASS L
Shares outstanding, beginning of period		3,788,903		284,134		4,559,775		2,485,331
Shares sold		3,076,970		3,707,891		2,286,397		3,653,199
Shares issued in reinvestment of distributions		—		40,199		—		19,417
Shares redeemed		(364,713)		(243,321)		(1,260,628)		(1,598,172)
Shares outstanding, end of period		6,501,160		3,788,903		5,585,544		4,559,775

The accompanying notes are an integral part of these financial statements.

82 AQR Funds Semi-Annual Report June 2011

Statement of Cash Flows June 30, 2011 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2011
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase in net assets from operations		$5,582,085
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating activities:
Payments to purchase securities		(2,477,017,598)
Payments to cover short securities		(513,804,794)
Proceeds from securities sold short		1,010,305,377
Proceeds from sale of securities		1,654,641,296
Realized gain on investments in securities		(53,795,336)
Realized loss on securities sold short and written options		36,258,214
Change in unrealized depreciation on investments in securities		13,196,634
Change in unrealized appreciation on securities sold short and written options		(9,729,952)
Amortization of bond premium		759,039
(Increases)/ decreases in operating assets:
Dividends and interest		(2,078,688)
Restricted cash		4,797,323
Due from brokers		(242,586,671)
Swaps, at value		(130,338)
Prepaid expenses		(96,120)
Receivable for securities sold		(44,728,435)
Increases/(decreases) in operating liabilities:
Due to custodian		(2,480,977)
Unrealized depreciation on futures contracts		3,180,569
Unrealized depreciation on forward foreign currency exchange contracts		1,582,744
Swaps, at value		287,925
Dividends on securities sold short		(26,868)
Accrued Investment advisory fees		634,196
Accrued Custody, administration and accounting fees		(142,536)
Accrued Distribution fees—Class N		14,656
Accrued Transfer agency fees		(77,117)
Other accrued expenses and liabilities		79,834
Collateral received on securities loaned		7,225,604
Payable for securities purchased		75,498,970
Net cash used by operating activities		(532,650,964)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares sold		738,812,246
Payment on shares redeemed		(186,527,132)
Net cash provided by financing activities		552,285,114
Net change in cash		19,634,150
Cash, beginning of period		—
Cash, end of period		$19,634,150

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 83

Financial Highlights June 30, 2011

	PER SHARE OPERATING PERFORMANCE:
			Change in Net Assets Resulting from Operations						Less Dividends and Distributions
	Net Asset Value, Beginning of Period		Net Investment Income (Loss)		Net Realized and Unrealized Gain (Loss)		Net Increase in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains
AQR GLOBAL EQUITY FUND CLASS I5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.97		0.14		0.60		0.74		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$10.00		0.16		1.25		1.41		(0.36)		(0.08)
AQR GLOBAL EQUITY FUND CLASS N5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.97		0.11		0.62		0.73		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.00		0.13		1.25		1.38		(0.33)		(0.08)
AQR GLOBAL EQUITY FUND CLASS Y5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.99		0.15		0.63		0.78		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$10.00		0.18		1.27		1.45		(0.38)		(0.08)
AQR INTERNATIONAL EQUITY FUND CLASS I†5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.45		0.19		0.53		0.72		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$9.78		0.16		0.84		1.00		(0.24)		(0.09)
FOR THE PERIOD ENDED 9/30/096-12/31/09		$10.00		(0.01)		0.22		0.21		(0.14)		(0.29)
AQR INTERNATIONAL EQUITY FUND CLASS N5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.61		0.16		0.55		0.71		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$9.91		0.14		0.88		1.02		(0.23)		(0.09)
FOR THE PERIOD ENDED 9/30/096-12/31/09†		$10.00		—		0.20		0.20		—		(0.29)
AQR INTERNATIONAL EQUITY FUND CLASS Y†5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.89		0.21		0.55		0.76		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$10.16		0.20		0.89		1.09		(0.27)		(0.09)
FOR THE PERIOD ENDED 8/28/098-12/31/09		$10.00		0.03		0.57		0.60		(0.15)		(0.29)
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5		$11.15		0.06		0.02		0.08		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.80		0.06		0.46		0.52		(0.04)		(0.13)
FOR THE PERIOD ENDED 1/15/098-12/31/095†		$10.00		0.13		0.79		0.92		(0.03)		(0.09)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N†
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5		$11.12		0.04		0.02		0.06		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$10.78		0.05		0.43		0.48		(0.01)		(0.13)
FOR THE PERIOD ENDED 1/15/098-12/31/095		$10.00		0.10		0.79		0.89		(0.02)		(0.09)
AQR MANAGED FUTURES STRATEGY FUND CLASS I†5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.30		(0.06)		(0.32)		(0.38)		—		—
FOR THE PERIOD ENDED 1/06/108-12/31/10		$10.00		(0.12)		0.66		0.54		(0.09)		(0.15)
AQR MANAGED FUTURES STRATEGY FUND CLASS N†5
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)		$10.28		(0.07)		(0.32)		(0.39)		—		—
FOR THE PERIOD ENDED 1/06/108-12/31/10		$10.00		(0.15)		0.66		0.51		(0.08)		(0.15)
AQR RISK PARITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5†		$10.28		0.11		0.52		0.63		—		—
FOR THE PERIOD ENDED 9/30/108-12/31/10		$10.00		0.02		0.38		0.40		(0.12)		—
AQR RISK PARITY FUND CLASS N†
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5		$10.27		0.10		0.51		0.61		—		—
FOR THE PERIOD ENDED 9/30/108-12/31/10		$10.00		0.01		0.38		0.39		(0.12)		—
AQR MOMENTUM FUND CLASS L†
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5		$14.40		0.06		0.82		0.88		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$12.19		0.06		2.21		2.27		(0.02)		(0.04)
FOR THE PERIOD ENDED 7/09/098-12/31/095		$10.00		0.07		2.48		2.55		(0.05)		(0.31)
AQR SMALL CAP MOMENTUM FUND CLASS L†
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5		$14.39		0.01		1.20		1.21		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$11.40		0.03		3.13		3.16		(0.03)		(0.14)
FOR THE PERIOD ENDED 7/09/098-12/31/095		$10.00		0.04		2.06		2.10		(0.03)		(0.67)
AQR INTERNATIONAL MOMENTUM FUND CLASS L†
SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5		$13.62		0.22		0.48		0.70		—		—
FOR THE YEAR ENDED DECEMBER 31, 2010		$11.98		0.08		1.62		1.70		(0.05)		(0.01)
FOR THE PERIOD ENDED 7/09/098-12/31/095		$10.00		0.04		2.26		2.30		(0.09)		(0.23)

* Annualized for periods less than one year.

† Redemption fees of less than $0.005 per share were incurred by the share class.

1 Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized.

2 Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions.

3 Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

The accompanying notes are an integral part of these financial statements.

84 AQR Funds Semi-Annual Report June 2011

June 30, 2011

						RATIOS/SUPPLEMENTAL DATA:
							Ratios to Average Net Assets of:*
Total Distributions		Net Asset Value, End of Period		Total Return1,2		Net Assets, End of Period	Expenses, Net of Reimbursements and/or Waivers3	Expenses, Net of Reimbursements and/or waivers (Excluding Dividend Short Expense & Interest Expense)3	Expenses, Before Reimbursements and/or Waivers3	Net Investment Income (Loss)	Portfolio Turnover Rate4
	—		$11.71		6.75%	$4,611,284	0.99%	0.98%	1.72%	2.47%	29%
	(0.44)		$10.97		14.12%	$1,841,838	0.79%	0.79%	0.79%	1.41%	72%
	—		$11.70		6.65%	$1,756,659	1.31%	1.30%	2.76%	1.86%	29%
	(0.41)		$10.97		13.83%	$1,497,723	1.10%	1.10%	1.10%	1.28%	72%
	—		$11.77		7.10%	$454,197,308	0.54%	0.53%	0.54%	2.61%	29%
	(0.46)		$10.99		14.54%	$424,346,157	0.50%	0.50%	0.71%	1.81%	72%
	—		$11.17		6.89%	$170,636,468	0.90%	0.89%	0.90%	3.56%	29%
	(0.33)		$10.45		10.40%	$85,968,655	0.90%	0.90%	1.03%	1.72%	93%
	(0.43)		$9.78		2.20%	$44,016,038	0.90%	0.90%	1.01%	(0.47)%	29%
	—		$11.32		6.69%	$1,529,025	1.39%	1.38%	2.34%	2.97%	29%
	(0.32)		$10.61		10.40%	$1,472,368	1.25%	1.25%	3.50%	1.51%	93%
	(0.29)		$9.91		2.04%	$5,785	1.25%	1.25%	472.86%7	(0.07)%	29%
	—		$11.65		6.98%	$377,905,194	0.57%	0.56%	0.57%	3.77%	29%
	(0.36)		$10.89		10.84%	$371,799,177	0.55%	0.55%	0.77%	2.02%	93%
	(0.44)		$10.16		6.08%	$360,491,107	0.55%	0.55%	0.98%	0.99%	29%
	—		$11.23		0.72%	$1,313,687,807	2.13%	1.20%	2.13%	1.00%	145%
	(0.17)		$11.15		4.81%9	$824,237,659	2.59%	1.20%	2.62%	1.13%	361%
	(0.12)		$10.80		9.24%	$160,026,814	2.46%	1.20%	3.25%	1.30%	482%
	—		$11.18		0.54%	$452,148,553	2.42%	1.50%	2.42%	0.71%	145%
	(0.14)		$11.12		4.52%9	$382,758,131	2.89%	1.50%	2.92%	0.85%	361%
	(0.11)		$10.78		8.88%	$79,054,890	2.69%	1.50%	3.42%	0.98%	482%
	—		$9.92		(3.69)%	$938,078,765	1.25%	1.25%	1.25%	(1.17)%	0%
	(0.24)		$10.30		5.41%	$657,237,349	1.25%	1.25%	1.28%	(1.27)%	0%
	—		$9.89		(3.79)%	$465,839,281	1.50%	1.50%	1.52%	(1.43)%	0%
	(0.23)		$10.28		5.12%	$271,043,038	1.50%	1.50%	1.56%	(1.54)%	0%
	—		$10.91		6.13%	$100,660,634	0.95%	0.95%	1.06%	2.03%	34%
	(0.12)		$10.28		3.98%	$12,747,565	0.95%	0.95%	3.80%	0.44%	19%
	—		$10.88		5.94%	$43,059,198	1.20%	1.20%	1.40%	1.95%	34%
	(0.12)		$10.27		3.88%	$11,234,980	1.20%	1.20%	3.96%	0.22%	19%
	—		$15.28		6.11%	$265,336,612	0.49%	0.49%	0.57%	0.77%	72%
	(0.06)		$14.40		18.60%	$124,491,353	0.49%	0.49%	0.98%	1.37%	180%
	(0.36)		$12.19		25.58%	$6,932,575	0.49%	0.49%	5.08%	1.23%	163%
	—		$15.60		8.41%	$101,410,453	0.65%	0.65%	0.77%	0.19%	57%
	(0.17)		$14.39		27.69%	$54,504,582	0.65%	0.65%	1.85%	0.66%	380%
	(0.70)		$11.40		21.24%	$3,239,605	0.65%	0.65%	7.53%	0.65%	136%
	—		$14.32		5.14%	$79,972,376	0.66%	0.65%	0.82%	3.14%	97%
	(0.06)		$13.62		14.20%	$62,091,379	0.65%	0.65%	1.46%	1.44%	269%
	(0.32)		$11.98		23.08%	$29,762,053	0.65%	0.65%	2.22%	0.63%	160%

4 Portfolio turnover is not annualized.

5 Based on average shares outstanding.

6 Commencement of offering of shares

7 The ratio is annualized for a short period of time and is not representative of what the ratio would be if the Fund class has operated for a longer period of time.

8 Commencement of operations.

9 For the year ended December 31, 2010, the Adviser contributed $544,199 into the AQR Diversified Arbitrage Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Adviser’s contribution increased the total return by 0.08%.

The accompanying notes are an integral part of these financial statements.

AQR Funds Semi-Annual Report June 2011 85

Notes to Financial Statements (Unaudited) June 30, 2011

1. Organization

AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2011, the Trust consists of eight active series (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, and AQR International Momentum Fund. AQR Capital Management, LLC (“the Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (“the Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund.

The investment objective of the AQR Global Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR Global Equity Fund include seeking to outperform the MSCI World Total Return Index (the “Global Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The Global Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, including the United States and Canada. The AQR Global Equity Fund commenced operations on December 31, 2009. The Fund offers Class I, Class N and Class Y shares.

The investment objective of the AQR International Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR International Equity Fund include seeking to outperform the MSCI EAFE Total Return Index (the “International Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The International Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. The AQR International Equity Fund Class Y shares commenced operations on August 28, 2009. Class I and Class N shares commenced operations on September 30, 2009.

The investment objective of the AQR Diversified Arbitrage Fund is long-term absolute returns. The principal investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform the Merrill Lynch 3-Month Treasury Bill Index (the “Absolute Return Benchmark”) using arbitrage and alternative investment strategies such as merger arbitrage, convertible arbitrage, other forms of arbitrage (including, but not limited to, when-issued trading arbitrage, stub-trading arbitrage and dual-class arbitrage) and other types of non-arbitrage alternative investment strategies. The AQR Diversified Arbitrage Fund commenced operations on January 15, 2009. The Fund offers Class I and Class N shares.

The investment objective of the AQR Managed Futures Strategy Fund is to seek long-term absolute returns. The Fund invests primarily in a portfolio of futures contracts and futures-related instruments. The Fund’s universe of investments includes more than 100 global developed and emerging market exchange-traded futures, futures related instruments and forward contracts across four major asset classes (commodities, currencies, fixed income and equities); however this universe of investments is subject to change under varying market conditions as these instruments evolve over time. The AQR Managed Futures Strategy Fund commenced operations on January 6, 2010. The Fund offers Class I and Class N shares.

The investment objective of the AQR Risk Parity Fund is to seek total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among major liquid asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, emerging market bonds, mortgage-backed securities, corporate and sovereign debt, the credit spreads of mortgage-backed securities and corporate and sovereign debt, developed and emerging market currencies, and commodities). The AQR Risk Parity Fund commenced operations on September 30, 2010. The Fund offers Class I and Class N shares.

The investment objective of the AQR Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures, and depository receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, that ranks in the top third of its relevant universe at the time of purchase. The AQR Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.

86 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

The investment objective of the AQR Small Cap Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depository receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, that ranks in the top third of its relevant universe at the time of purchase. The AQR Small Cap Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.

The investment objective of the AQR International Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depositary receipts) of non-U.S. companies that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, that ranks in the top third of its relevant universe at the time of purchase. The AQR International Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.

2. Consolidation of Subsidiary — AQR Managed Futures Strategy Offshore Fund Ltd. and AQR Risk Parity Offshore Fund Ltd.

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund and AQR Risk Parity Fund include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd. and AQR Risk Parity Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All inter-company accounts and transactions have been eliminated in consolidation for the Funds. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

AQR Managed Futures Strategy Fund and AQR Risk Parity Fund may each invest up to 25% of their total assets in its respective Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the Funds’ investment objectives and policies.

A summary of the Funds’ investments in the Subsidiaries are as follows:

	INCEPTION DATE OF SUBSIDIARY	SUBSIDIARY NET ASSETS AT JUNE 30, 2011		% OF TOTAL NET ASSETS AT JUNE 30, 2011
AQR Managed Futures Strategy Offshore Fund Ltd.	January 6, 2010	$	323,874,437		23.1	%
AQR Risk Parity Offshore Fund Ltd.	September 30, 2010		28,661,916		19.9

3. Significant Accounting Policies

The following summarizes the significant accounting policies of the Funds:

Use of Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reported period. Actual results could differ from those estimates.

Securities Valuation: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the NYSE (normally 4:00 p.m. Eastern time). Equity securities, including securities sold short, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities on a daily basis utilizing the quotations of an independent pricing service, unless the Adviser determines that use of another valuation methodology is appropriate. The pricing service uses statistical analysis and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time the Funds calculate their net

AQR Funds Semi-Annual Report June 2011 87

Notes to Financial Statements (Unaudited) June 30, 2011

asset value. Securities traded in the over-the-counter market, and which are not quoted by NASDAQ, are valued at the last sale price, if available, otherwise at the last quoted bid price (in the case of short sales, at the ask price). Bonds are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. The Funds value debt securities maturing less than 61 days from the date of purchase at amortized cost, which approximates market value. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Equity, total return and commodity swap contracts are valued at fair value, based on the price of the underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or market makers. Interest rate swap contracts are valued at fair value as determined by an independent pricing service based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.

The Funds may use pricing services to obtain readily available market quotations. Where market quotations are not readily available, or if an available market quotation is determined not to be reliable, a security will be valued based on its fair value as determined in accordance with the valuation procedures approved by the Funds’ Board of Trustees. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets.

Convertible Securities: The Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. Traditionally, convertible securities have paid dividends or interest greater than on the related common stocks, but less than fixed income non-convertible securities. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if it had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge certain of their investments in convertible debt securities by selling short the issuer’s common stock.

Short Sales: The AQR Diversified Arbitrage Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Fund makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Liabilities for securities sold short are recorded at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.

The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statement of Assets and Liabilities and securities segregated as collateral are denoted in the Schedule of Investments. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. The net amount of fees of $5,144,744 are included in interest income in the Statements of Operations.

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Notes to Financial Statements (Unaudited) June 30, 2011

Futures Contracts: The Funds invest in futures contracts (“futures”) The Funds, excluding AQR Managed Futures Strategy Fund and AQR Risk Parity Fund, invest in futures in order to hedge their investments or equitize their cash flows against fluctuations in value caused by changes in prevailing interest rates or market conditions. The AQR Managed Futures Strategy Fund and AQR Risk Parity Fund invest in futures as part of their primary investment strategy. Investments in futures may increase exposure to a particular market. No monies are paid or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required to deposit with the broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent payments, called variation margin, to and from the broker, will be made on a daily basis as the price of the underlying instruments fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as ‘marking-to-the-market.’ Once a final determination of variation margin is made, additional cash is required to be paid by or released to a Fund, and a Fund will realize a loss or gain. The use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. The use of short futures contracts subjects the Funds to unlimited risk of loss. Futures contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Forward Currency Contracts: The Funds buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Forward currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Equity (including total return and commodity) Swap Contracts: The Funds invest in equity swaps to obtain exposure to the underlying referenced instrument, obtain leverage or enjoy the returns from ownership without actually owning the underlying position. Equity swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, basket of securities, security index or index component during the period of the swap. Equity swap contracts are marked to market daily based on the value of the underlying security and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an equity swap defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the Adviser or Sub-Adviser, as applicable, do not accurately analyze and predict future market trends, the values of assets or economic factors, a Fund may suffer a loss, which may exceed the related amounts shown in the Statements of Assets and Liabilities. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Equity swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s books. An upfront payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s books. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the

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occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.

In addition to bearing the risk that the credit event will occur, a Fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the Fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. The Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the Fund and the counterparty. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

The credit default swaps in which the AQR Risk Parity Fund is providing protection at June 30, 2011 are summarized as follows:

	MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS)
CREDIT SPREAD ON UNDERLYING (BASIS POINTS)	0-5 YEARS USD		0-5 YEARS EUR		35-40 YEARS USD		WRITTEN CREDIT DERIVATIVES AT FAIR VALUE
0-250		50,800		20,900		—	$	1,200,266
251-500		35,150		11,700		1,575		932,969
Total		85,950		32,600		1,575	$	2,133,235

Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.

Interest Rate Swaps: The AQR Risk Parity Fund enters into interest rate swaps as part of its investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Periodic payments received or paid by the Fund are recorded as realized gains and losses. Interest rate swaps are marked to market daily based on quotations as provided by an independent pricing service and the change is recorded as unrealized gain or loss. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.

High Yield Securities: Certain Funds may invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. These instruments involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

Master Agreements: The Funds are a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative and foreign

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exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to a Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s Schedule of Investments. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified in the Fund’s Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the Fund’s counterparties to elect early termination could impact a Fund’s future derivative activity. The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.

Options: The Funds are authorized to write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or a Fund enters into a closing transaction), the Fund realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received). Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.

The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.

Transactions in call and put options written during the six months ended June 30, 2011 for the AQR Diversified Arbitrage Fund, were as follows:

	CALL OPTIONS						PUT OPTIONS
	SHARES SUBJECT TO CALL			PREMIUM			SHARES SUBJECT TO PUT			PREMIUM
Options outstanding, December 31, 2010		(6,130	)	$	(1,113,694	)		—		$	—
Options written		(36,000	)		(7,156,061	)		(6,851	)		(87,739	)
Options expired		20,400			3,784,505			3,694			50,347
Options exercised		13,256			3,597,789			396			19,404
Options outstanding, June 30, 2011		(8,474	)	$	(887,461	)		(2,761	)	$	(17,988	)

Securities Lending: The Trust (excluding the AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) may lend securities to brokers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash, which is invested in various JPMorgan Money Market Funds. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time. Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

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The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all.

Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986 (“the Code”), as amended. If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders.

Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The returns of the Funds for the period from commencement of operations through December 31, 2010 are open for examination. As of June 30, 2011, the Funds had no examinations in progress.

The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in twelve months.

Securities Transactions and Investment Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income/expense is recorded on the ex-dividend date.

Allocation of Income and Expenses: In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs.

The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and the other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.

Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign

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exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.

Reported realized foreign currency gains or losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.

Cash and Cash Equivalents: Cash and cash equivalents includes US dollar and foreign currency at bank accounts at amounts which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.

Due to/from Broker: Due to/from Broker represents cash balances on deposit with the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.

Distributions to Shareholders: The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with Federal income tax regulations which may differ from GAAP. Distributions to shareholders are recorded on the ex-dividend date.

Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

4. Federal Income Tax Matters

At June 30, 2011, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:

FUND	COST OF INVESTMENTS		GROSS UNREALIZED APPRECIATION		GROSS UNREALIZED DEPRECIATION			NET UNREALIZED APPRECIATION (DEPRECIATION)
AQR Global Equity Fund	$	394,881,877	$	64,799,434	$	(6,398,175	)	$	58,401,259
AQR International Equity Fund		490,534,846		71,336,291		(10,541,948	)		60,794,343
AQR Diversified Arbitrage Fund		2,258,670,822		163,055,902		(71,229,796	)		91,826,106
AQR Managed Futures Strategy Fund		1,331,748,701		—		—			—
AQR Risk Parity Fund		132,805,031		1,303,015		—			1,303,015
AQR Momentum Fund		275,216,541		18,006,112		(3,914,023	)		14,092,089
AQR Small Cap Momentum Fund		100,179,064		11,672,243		(2,176,607	)		9,495,636
AQR International Momentum Fund		77,900,777		8,915,251		(807,636	)		8,107,615

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.

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The tax character of the distributions paid during the period ended December 31, 2010, were as follows:

	DECEMBER 31, 2010
FUND	ORDINARY INCOME		CAPITAL GAINS
AQR Global Equity Fund	$	14,994,426	$	2,022,493
AQR International Equity Fund		14,719,113		—
AQR Diversified Arbitrage Fund		16,563,956		—
AQR Managed Futures Strategy Fund*		9,578,985		7,656,480
AQR Risk Parity Fund*		248,610		—
AQR Momentum Fund		431,429		12,799
AQR Small Cap Momentum Fund		546,289		29,957
AQR International Momentum Fund		259,130		—

* The AQR Managed Futures Strategy Fund and AQR Risk Parity Fund commenced operations on January 6, 2010 and September 30, 2010, respectively.

As of December 31, 2010, for Federal Income Tax purposes, the AQR International Momentum Fund has capital loss carryforwards available to offset capital gains, if any, to the extent provided by the Treasury regulations.

FUND	AMOUNT		YEAR OF EXPIRATION
AQR International Momentum Fund	$	135,168		2018

On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.

5. Fair Value Measurements

The Funds utilize various inputs in determining the value of each Fund’s investments. GAAP establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad levels as follows:

Level 1 — quoted prices in active markets for identical securities

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, pre-payment speeds, credit risk, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Valuation methodology and inputs

An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used.

The valuation techniques used by the Funds to measure fair value during the period ended June 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.

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The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds use to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.

Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed income instruments are valued at estimated fair value based on quotations from counterparties and other market participants, as well as pricing models using quoted inputs as provided by an independent pricing service. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include less liquid corporate debt securities, illiquid warrants and illiquid securities. When observable prices are not available for these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors. The inputs used by the Funds in estimating the value of Level 3 investments include the original transaction price, recent transactions in the same or similar instruments, completed or pending third-party transactions in the underlying investment or comparable issuers, subsequent rounds of financing, recapitalizations and other transactions across the capital structure, offerings in the equity or debt capital markets, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.

The Funds invest in derivative instruments. Derivative instruments can be exchange traded or privately negotiated over-the-counter (“OTC”). Exchange-traded derivatives, such as futures contracts and exchange traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market. OTC derivatives, including forwards, credit default swaps, total return swaps, and interest rate swaps, are valued by the Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Equity total return swap transactions are valued at fair value, based on the price of the underlying security. Interest rate swap contracts are valued at estimated fair value as determined by the Fund based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.

Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC derivatives that

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have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.

Transfers

Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g. frequency of trades), which resulted in a lack of or increase in available market inputs to determine price.

The following summarizes inputs used as of June 30, 2011 in valuing the Funds’ assets carried at fair value:

AQR GLOBAL EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3)		TOTALS
ASSETS
Common Stocks†	$	225,037,930	$	186,654,715		$	—	$	411,692,645
Preferred Stocks†		—		598,020			—		598,020
Money Market Funds		—		40,992,471			—		40,992,471
Futures Contracts*		2,588,841		—			—		2,588,841
Total Return Swap Contracts*		—		151,980			—		151,980
Total Assets	$	227,626,771	$	228,397,186		$	—	$	456,023,957
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(1,778,792	)	$	—	$	(1,778,792	)
Total Liabilities	$	—	$	(1,778,792	)	$	—	$	(1,778,792	)

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the net unrealized appreciation (depreciation) on the instrument.

† Please refer to the Schedule of Investments to view securities segregated by country.

There were no material transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3.

AQR INTERNATIONAL EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3)		TOTALS
ASSETS
Common Stocks†	$	—	$	468,416,393		$	9,610	$	468,426,003
Preferred Stocks†		—		2,864,787			—		2,864,787
Futures Contracts*		3,814,905		—			—		3,814,905
Money Market Funds		—		80,038,399			—		80,038,399
Total Return Swap Contracts*		—		252,855			—		252,855
Total Assets	$	3,814,905	$	551,572,434		$	9,610	$	555,396,949
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(3,385,650	)	$	—	$	(3,385,650	)
Total Liabilities	$	—	$	(3,385,650	)	$	—	$	(3,385,650	)
†   Please refer to the Schedule of Investments to view securities segregated by country.

96 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	COMMON STOCKS
Balance as of December 31, 2010	$	8,335
Securities purchased (sold)		1,352
Realized gain (loss)		8,258
Change in unrealized appreciation (depreciation)		(8,335	)
Balance as of June 30, 2011	$	9,610

The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2011 is $0.

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the net unrealized appreciation (depreciation) on the instrument.

There were no material transfers between Levels 1 and 2 during the period.

AQR DIVERSIFIED ARBITRAGE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	1,058,110,020		$	53,600,553		$	12,683,874	$	1,124,394,447
Convertible Preferred Stocks†		10,445,919			59,295,290			1,543,418		71,284,627
Corporate Bonds†		—			306,665,918			5,669,700		312,335,618
Convertible Bonds†		—			665,203,504			5,746,866		670,950,370
Closed End Funds†		28,172,167			—			—		28,172,167
Exchange Traded Funds		3,966,717			—			—		3,966,717
Rights		79,771			—			—		79,771
Warrants†		35,285,773			416,599			4,038,457		39,740,829
Money Market Funds		—			99,572,382			—		99,572,382
Credit Default Swap Contracts*		—			130,338			—		130,338
Total Assets	$	1,136,060,367		$	1,184,884,584		$	29,682,315	$	2,350,627,266
LIABILITIES
Common Stocks (Sold Short)	$	(1,085,370,015	)	$	(20,258,915	)	$	—	$	(1,105,628,930	)
Convertible Bonds (Sold Short)		—			(1,120,500	)		—		(1,120,500	)
Exchange Traded Funds (Sold Short)		(37,444,121	)		—			—		(37,444,121	)
Forward Foreign Currency Exchange Contracts*		—			(1,869,209	)		—		(1,869,209	)
Futures Contracts*		(3,726,516	)		—			—		(3,726,516	)
Credit Default Swap Contracts*		—			(1,740,347	)		—		(1,740,347	)
Written Option Contracts*		(460,802	)		—			—		(460,802	)
Total Liabilities	$	(1,127,001,454	)	$	(24,988,971	)	$	—	$	(1,151,990,425	)
†   Please refer to the Schedule of Investments to view securities segregated by industry type.

AQR Funds Semi-Annual Report June 2011 97

Notes to Financial Statements (Unaudited) June 30, 2011

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	COMMON STOCKS			CONVERTIBLE PREFERRED STOCKS		CORPORATE BONDS			CONVERTIBLE BONDS			WARRANTS
Balance as of December 31, 2010	$	3,002,126		$	902,553	$	3,240,078		$	1,864,435		$	3,543,581
Transfers in (out)		(481,957	)		—		—			7,000			3,053
Purchases (sales)		10,471,886			—		2,750,158			4,450,000			(773,398	)
Accrued discounts (premiums)		—			—		(85,846	)		—			—
Change in unrealized appreciation (depreciation)		(440,081	)		640,865		(234,690	)		(574,569	)		1,265,172
Realized gain (loss)		131,900			—		—			—			49
Balance as of June 30, 2011	$	12,683,874		$	1,543,418	$	5,669,700		$	5,746,866		$	4,038,457

The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2011 is $(157,754), $640,865, $584,871, $(334,465), and $(578,270) for common stocks, convertible preferred stocks, corporate bonds, convertible bonds and warrants, respectively.

* Derivative instruments, including futures and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) on the instrument. Written options and credit default swap contracts are reported at market value.

There were no material transfers between Levels 1 and 2 during the period.

AQR MANAGED FUTURES STRATEGY	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Money Market Funds	$	—	$	1,331,748,701		$	—	$	1,331,748,701
Total Return Swap Contracts*		—		796,480			—		796,480
Futures Contracts*		14,835,292		—			—		14,835,292
Total Assets	$	14,835,292	$	1,332,545,181		$	—	$	1,347,380,473
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(5,080,637	)	$	—	$	(5,080,637	)
Total Liabilities	$	—	$	(5,080,637	)	$	—	$	(5,080,637	)

There were no material transfers between Levels 1 and 2 during the period.

There were no Level 3 securities held during the period.

* Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument.

98 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

AQR RISK PARITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—	$	43,406,431		$	—	$	43,406,431
U.S. Treasury Obligations		—		30,491,163			—		30,491,163
Money Market Funds		—		60,210,452			—		60,210,452
Futures Contracts*		178,155		—			—		178,155
Forward Foreign Currency Exchange Contracts*		—		218,106			—		218,106
Interest Rate Swap Contracts*		—		639,973			—		639,973
Credit Default Swap Contracts*		—		2,173,609			—		2,173,609
Total Return Swap Contracts*		—		203,208			—		203,208
Total Assets	$	178,155	$	137,342,942		$	—	$	137,521,097
LIABILITIES
Credit Default Swap Contracts*	$	—	$	(40,374	)	$	—	$	(40,374	)
Total Return Swap Contracts*		—		(44,708	)		—		(44,708	)
Total Liabilities	$	—	$	(85,082	)	$	—	$	(85,082	)

* Derivative instruments, including futures, forward foreign currency exchange, interest rate swap and total return swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument. Credit default swap contracts are reported at market value.

There were no material transfers between Levels 1 and 2 during the period.

There were no Level 3 securities held during the period.

AQR MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	262,662,823	$	—	$	—	$	262,662,823
Money Market Funds		—		26,645,807		—		26,645,807
Futures Contracts*		62,644		—		—		62,644
Total Assets	$	262,725,467	$	26,645,807	$	—	$	289,371,274

* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument.

† Please refer to the Schedule of Investments to view securities segregated by industry type.

There were no material transfers between Levels 1 and 2 during the period.

AQR SMALL CAP MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	100,251,259	$	29,201	$	—	$	100,280,460
Money Market Funds		—		9,394,240		—		9,394,240
Futures Contracts*		21,386		—		—		21,386
Total Assets	$	100,272,645	$	9,423,441	$	—	$	109,696,086

* Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument.

† Please refer to the Schedule of Investments to view securities segregated by industry type.

AQR Funds Semi-Annual Report June 2011 99

Notes to Financial Statements (Unaudited) June 30, 2011

There were no material transfers between Levels 1 and 2 during the period.

AQR INTERNATIONAL MOMENTUM FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	12,539,726	$	66,371,450		$	1,543	$	78,912,719
Preferred Stocks†		—		212,245			—		212,245
Exchange Traded Funds		190,704		—			—		190,704
Rights		—		1,004			—		1,004
Money Market Funds		—		6,691,720			—		6,691,720
Equity Basket Swap Contract*		—		14,132			—		14,132
Total Assets	$	12,730,430	$	73,290,551		$	1,543	$	86,022,524
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—	$	(8,401	)	$	—	$	(8,401	)
Total Liabilities	$	—	$	(8,401	)	$	—	$	(8,401	)
†   Please refer to the Schedule of Investments to view securities segregated by country.

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

	COMMON STOCKS
Balance as of December 31, 2010	$	—
Securities purchased (sold)		1,543
Balance as of June 30, 2011	$	1,543

The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2011 is $0.

* Derivative instruments, including forward foreign currency exchange and equity basket swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument.

   There were no material transfers between Levels 1 and 2 during the period.

New Accounting Pronouncement

In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Funds’ financial statement disclosures.

6. Investment Transactions

During the period ended June 30, 2011, the cost of purchases and the proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments) were as follows:

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Global Equity Fund	$	126,980,162	$	(116,774,977)	$	—	$	—
AQR International Equity Fund		176,215,787		(125,676,163)		—		—
AQR Diversified Arbitrage Fund		2,442,180,073		(1,711,149,007)		968,394,771		(513,804,794)

100 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

FUND	PURCHASES		SALES		SECURITIES SOLD SHORT		COVERS ON SECURITIES SOLD SHORT
AQR Managed Futures Strategy Fund	$	—	$	—	$	—	$	—
AQR Risk Parity Fund .		75,789,877		(14,055,264)		—		—
AQR Momentum Fund		272,258,718		(137,752,407)		—		—
AQR Small Cap Momentum Fund		86,404,741		(44,662,531)		—		—
AQR International Momentum Fund		81,135,876		(64,963,652)		—		—

The AQR Risk Parity Fund had long-term purchases and sales of U.S. Government obligations of $30,081,409 and $4,225,241, respectively.

7. Derivative Instruments and Hedging Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The effect of such derivative instruments on the Funds’ financial position and financial performance as reflected in the Statements of Assets and Liabilities and Statements of Operations for the period ended June 30, 2011 are as follows:

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY CONTRACTS
Equity Risk Exposure:
AQR Global Equity Fund		$3,804,222		$151,980		$—		$—		$1,215,381		$—		$—
AQR International Equity Fund		4,933,728		252,855		—		—		1,118,823		—		—
AQR Diversified Arbitrage Fund		—		—		—		460,802		2,974,146		—		—
AQR Managed Futures Strategy Fund		7,009,443		—		—		—		1,001,710		27,106		—
AQR Risk Parity Fund		1,342,373		—		—		—		—		28,133		—
AQR Momentum Fund		62,644		—		—		—		—		—		—
AQR Small Cap Momentum Fund		21,386		—		—		—		—		—		—
AQR International Momentum Fund		—		14,132		—		—		—		—		—
Foreign Exchange Rate Risk Exposure
AQR Global Equity Fund		—		—		520,379		—		—		—		2,299,171
AQR International Equity Fund		—		—		749,702		—		—		—		4,135,352
AQR Diversified Arbitrage Fund		—		—		297,943		—		—		—		2,167,152
AQR Managed Futures Strategy Fund		—		—		10,159,605		—		—		—		15,240,242
AQR Risk Parity Fund		—		—		696,940		—		—		—		478,834
AQR International Momentum Fund		—		—		—		—		—		—		8,401
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		—		752,370		—		—
AQR Managed Futures Strategy Fund		11,391,573		1,087,080		—		—		1,726,539		431,480
AQR Risk Parity Fund		1,092		1,415,411		—		—		—		572,230		—

AQR Funds Semi-Annual Report June 2011 101

Notes to Financial Statements (Unaudited) June 30, 2011

	ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY CONTRACTS
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		$—		$130,338		$—		$—		$—		$1,740,347		$—
AQR Risk Parity Fund		—		2,173,609		—		—		—		40,374		—
Commodity Exposure:
AQR Managed Futures Strategy Fund		11,904,015		167,986		—		—		12,741,490		—		—
AQR Risk Parity Fund		516,272		—		—		—		1,681,582		16,575		—
Netting
AQR Global Equity Fund		(1,215,381)		—		(520,379)		—		(1,215,381)		—		(520,379)
AQR International Equity Fund		(1,118,823)		—		(749,702)		—		(1,118,823)		—		(749,702)
AQR Diversified Arbitrage Fund		—		(130,338)		(297,943)		—		—		(130,338)		(297,943)
AQR Managed Futures Strategy Fund		(15,469,739)		(458,586)		(10,159,605)		—		(15,469,739)		(458,586)		(10,159,605)
AQR Risk Parity Fund		(1,681,582)		(657,312)		(478,834)		—		(1,681,582)		(657,312)		(478,834)
AQR Momentum Fund		—		—		—		—		—		—		—
AQR Small Cap Momentum Fund		—		—		—		—		—		—		—
AQR International Momentum Fund		—		—		—		—		—		—		—
Net Fair Value of Derivative Contracts
AQR Global Equity Fund		2,588,841		151,980		—		—		—		—		1,778,792
AQR International Equity Fund		3,814,905		252,855		—		—		—		—		3,385,650
AQR Diversified Arbitrage Fund		—		—		—		460,802		3,726,516		1,610,009		1,869,209
AQR Managed Futures Strategy Fund		14,835,292		796,480		—		—		—		—		5,080,637
AQR Risk Parity Fund		178,155		2,931,708		218,106		—		—		—		—
AQR Momentum Fund		62,644		—		—		—		—		—		—
AQR Small Cap Momentum Fund		21,386		—		—		—		—		—		—
AQR International Momentum Fund		—		14,132		—		—		—		—		8,401

102 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2011:

	REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS:								NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT  FROM OPERATIONS:
FUND	FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS*		FORWARD FOREIGN CURRENCY CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS		SWAPS AND SWAPS ON FUTURES CONTRACTS*		FORWARD FOREIGN CURRENCY CONTRACTS		WRITTEN OPTIONS
Equity Risk Exposure:
AQR Global Equity Fund		$2,064,320		$534,183		$—		$—		$3,156,709		$(341,548)		$—		$—
AQR International Equity Fund		(496,939)		589,623		—		—		5,073,581		(186,868)		—		—
AQR Diversified Arbitrage Fund		(5,019,284)		—		—		3,650,688		(868,174)		—		—		308,686
AQR Managed Futures Strategy Fund		(30,707,957)		(69,763)		—		—		3,086,590		(1,325,115)		—		—
AQR Risk Parity Fund		(1,557,102)		(107,284)		—		—		1,275,401		(51,727)		—		—
AQR Momentum Fund		525,879		—		—		—		64,078		—		—		—
AQR Small Cap Momentum Fund		393,330		—		—		—		32,695		—		—		—
AQR International Momentum Fund		—		(19,896)		—		—		—		(58,267)		—		—
Foreign Exchange Rate Risk Exposure
AQR Global Equity Fund		—		—		4,049,410		—		—		—		(4,069,537)		—
AQR International Equity Fund		—		—		7,327,535		—		—		—		(7,954,765)		—
AQR Diversified Arbitrage Fund		—		—		(1,885,937)		—		—		—		(1,582,744)		—
AQR Managed Futures Strategy Fund		—		—		9,815,535		—		—		—		(11,328,046)		—
AQR Risk Parity Fund		—		—		(841,094)		—		—		—		172,484		—
AQR International Momentum Fund		—		—		17,825		—		—		—		(18,843)		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(1,493,418)		—		—		—		(2,312,395)		—		—		—
AQR Managed Futures Strategy Fund		3,292,393		(584,754)		—		—		9,179,230		744,011		—
AQR Risk Parity Fund		405,998		3,351,681		—		—		(5,731)		1,183,326		—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		(5,175,741)		—		—		—		2,862,618		—		—
AQR Risk Parity Fund		—		—		—		—		—		(650,271)		—		—
Commodity Exposure:
AQR Managed Futures Strategy Fund		(10,766,674)		—		—		—		(8,217,685)		(1,899,742)		—		—
AQR Risk Parity Fund		914,197		(30,863)		—		—		(1,451,693)		(16,575)		—		—

* Futures and swaps on futures are consolidated for financial reporting purposes.

AQR Funds Semi-Annual Report June 2011 103

Notes to Financial Statements (Unaudited) June 30, 2011

For swaps, futures and forward foreign currency contracts, the Funds may be required to post collateral if a Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate the position if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.

As of June 30, 2011, the following Funds had net liability positions:

FUND	DERIVATIVES IN NET LIABILITY POSITION			COLLATERAL POSTED
AQR Diversified Arbitrage Fund	$	(7,666,536	)	$	25,638,497

For the period ended June 30, 2011, the quarterly average values of the derivatives held by the Funds were as follows:

FUND	SWAP CONTRACTS (NOTIONAL VALUE)		FUTURES CONTRACTS*		WRITTEN OPTIONS CONTRACTS*		FOREIGN FORWARD CURRENCY CONTRACTS*
AQR Global Equity Fund		37,582,485		205,421,577		—		387,482,363
AQR International Equity Fund		34,065,902		244,994,312		—		570,004,350
AQR Diversified Arbitrage Fund		111,825,000		334,140,832		535,761		126,446,308
AQR Managed Futures Fund		607,951,293		5,311,040,638		—		3,908,459,423
AQR Risk Parity		312,889,638		88,675,781		—		94,590,258
AQR Momentum Fund		—		3,363,463		—		—
AQR Small Cap Momentum Fund		—		1,503,650		—		—
AQR International Momentum Fund		221,993		—		—		1,262,441

* Values as of each quarter end are used to calculate the average represented.

The Funds’ derivative contracts held at June 30, 2011, are not accounted for as hedging instruments under GAAP.

8. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended from time to time, or an Investment Management Agreement, dated June 10, 2010, as amended from time to time, entered into by the Trust, on behalf of the Funds (together, the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution. The Adviser provides persons satisfactory to the Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Adviser a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Global Equity Fund		0.40	%
AQR International Equity Fund		0.45
AQR Diversified Arbitrage Fund		1.00
AQR Managed Futures Strategy Fund		1.05
AQR Risk Parity Fund		0.75	*
AQR Momentum Fund		0.25
AQR Small Cap Momentum Fund		0.35
AQR International Momentum Fund		0.35

* The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion dollars of net assets, the second tier charges 0.70% on net assets in excess of $1 billion dollars.

104 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through May 1, 2012. The Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND CLASS	RATIO
AQR Global Equity Fund — Class I		0.90	%
AQR Global Equity Fund — Class N		1.20
AQR International Equity Fund — Class I		0.95
AQR International Equity Fund — Class N		1.25
AQR Diversified Arbitrage Fund — Class I		1.20
AQR Diversified Arbitrage Fund — Class N		1.50
AQR Managed Futures Strategy Fund — Class I		1.25
AQR Managed Futures Strategy Fund — Class N		1.50
AQR Risk Parity Fund — Class I		0.95
AQR Risk Parity Fund — Class N		1.20
AQR Momentum Fund — Class L		0.49
AQR Small Cap Momentum Fund — Class L		0.65
AQR International Momentum Fund — Class L		0.65

The Trust and the Adviser had previously entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Adviser had agreed to waive its fee and/or reimburse each Fund from January 1, 2011 through May 1, 2011 for AQR Global Equity Fund and AQR International Equity Fund. The Adviser had agreed to waive and/or reimburse the Funds to the extent that the total annual fund operating expense ratios exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND CLASS	RATIO
AQR Global Equity Fund — Class I		1.05	%
AQR Global Equity Fund — Class N		1.35
AQR International Equity Fund — Class I		1.15
AQR International Equity Fund — Class N		1.45

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios reflected in the table above. A repayment shall be payable only to the extent it can be made during the thirty six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

AQR Funds Semi-Annual Report June 2011 105

Notes to Financial Statements (Unaudited) June 30, 2011

For the period ended June 30, 2011, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2011 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE SIX MONTHS ENDED JUNE 30, 2011		TOTAL POTENTIAL RECOUPMENT AMOUNT		POTENTIAL RECOUPMENT AMOUNTS EXPIRING
					DECEMBER 31, 2012			DECEMBER 31, 2013			DECEMBER 31, 2014
AQR GLOBAL EQUITY FUND
Class I	$	11,111	$	11,111	$	—		$	—		$	11,111
Class N		12,271		12,271		—			—			12,271
Class Y		—		287,811		—			287,811	**		—
Totals	$	23,382	$	311,193	$	—		$	287,811		$	23,382
AQR INTERNATIONAL EQUITY FUND
Class I	$	—	$	68,908	$	8,330		$	60,578		$	—
Class N		7,124		28,244		1,375			19,745			7,124
Class Y		—		488,290		242,140	*		246,150	**		—
Totals	$	7,124	$	585,442	$	251,845		$	326,473		$	7,124
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	—	$	431,049	$	301,857	*	$	129,192		$	—
Class N		—		301,621		195,427			106,194			—
Totals	$	—	$	732,670	$	497,284		$	235,386		$	—
AQR MANAGED FUTURES STRATEGY FUND
Class I	$	—	$	—	$	—		$	—		$	—
Class N		33,170		86,153		—			52,983			33,170
Totals	$	33,170	$	86,153	$	—		$	52,983		$	33,170
AQR RISK PARITY FUND
Class I	$	35,003	$	103,984	$	—		$	68,981		$	35,003
Class N		26,422		91,024		—			64,602			26,422
Totals	$	61,425	$	195,008	$	—		$	133,583		$	61,425
AQR MOMENTUM FUND
Class L	$	75,518	$	365,836	$	125,259		$	165,059		$	75,518
AQR SMALL CAP MOMENTUM FUND
Class L	$	45,512	$	338,677	$	124,592		$	168,573		$	45,512
AQR INTERNATIONAL MOMENTUM FUND
Class L	$	53,978	$	441,704	$	121,539		$	266,187		$	53,978

* The Adviser has agreed to forgo future recoupments pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2012 of $281,012 and $20,131 for the AQR International Equity Fund and AQR Diversified Arbitrage Fund, respectively.

** The Adviser has agreed to forgo future recoupments incurred in the current period pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2013 of $447,840 and $429,010 for the AQR Global Equity Fund and AQR International Equity Fund, respectively.

106 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

During the six months ended June 30, 2011, AQR Diversified Arbitrage Fund Class I and Class N recouped $854 and $7,500, respectively. During the six months ended June 30, 2011, AQR Managed Futures Strategy Fund Class I recouped $43,567.

Pursuant to the Sub-Advisory Agreement between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.70% of the Fund’s average daily net assets. Effective October 1, 2010, the shareholders of the AQR Diversified Arbitrage Fund approved the Amended and Restated Investment Sub-Advisory Agreement (the “A&R Sub-Advisory Agreement”), between the Sub-Adviser, the Adviser and the Trust. Under the A&R Sub-Advisory Agreement, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at an annual rate of 1.00% of the Fund’s average daily net assets.

J.P. Morgan Investor Services Co., serves as the Funds’ Administrator and Accounting Agent and JPMorgan Chase Bank, N.A., serves as Custodian.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor. Fees incurred by the Funds for sub-transfer agency services for the six months ended June 30, 2011, were as follows:

FUND CLASS	AMOUNT
AQR Global Equity Fund — Class I	$	142
AQR Global Equity Fund — Class N		104
AQR International Equity Fund — Class I		9,389
AQR International Equity Fund — Class N		85
AQR Diversified Arbitrage Fund — Class I		341,987
AQR Diversified Arbitrage Fund — Class N		219,400
AQR Managed Futures Strategy Fund — Class I		187,256
AQR Managed Futures Strategy Fund — Class N		131,946
AQR Risk Parity Fund — Class I		—
AQR Risk Parity Funds — Class N		917
AQR Momentum Fund — Class L		38,962
AQR Small Cap Momentum Fund — Class L		11,128
AQR International Momentum Fund — Class L		9,402

9. Distribution and Service Plans

The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds, as applicable. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds, as applicable.

Pursuant to the Shareholder Services Agreement, between the Trust (excluding the AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) and the Adviser, the Adviser receives an annual fee (the “Shareholder Services Fee”), payable monthly, at the annual rate of 0.30%, 0.35%, and 0.15% of the average daily net assets of the Class I, Class N and Class L shares, respectively. The Adviser also provides a wide range of services to the Funds and their shareholders under a separate Shareholder Services Agreement. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. In addition, the Adviser may, from time to time, compensate third parties (including financial intermediaries) from the fees the Adviser receives under the Shareholder Services Agreement for non-distribution shareholder services such third parties provide to clients or customers that are shareholders of the Funds. Fees incurred by the Funds under the Plan and/or the shareholder services agreement for the period ended June 30, 2011, were as follows:

FUND CLASS	AMOUNT
AQR Global Equity Fund — Class I	$	4,552
AQR Global Equity Fund — Class N		2,962
AQR International Equity Fund — Class I		167,138
AQR International Equity Fund — Class N		2,646
AQR Momentum Fund — Class L		147,691
AQR Small Cap Momentum Fund — Class L		60,134
AQR International Momentum Fund — Class L		51,733

AQR Funds Semi-Annual Report June 2011 107

Notes to Financial Statements (Unaudited) June 30, 2011

10. Purchases and Redemption of Shares

Investors may purchase shares of a Fund at their net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge subscription and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds (excluding AQR Diversified Arbitrage Fund) reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Classes I, N and L.

11. In-Kind Transactions

On December 31, 2009, the AQR Global Equity Fund acquired substantially all of the assets and liabilities of three privately offered funds (“Private Funds”) managed by the Adviser in exchange for Class Y shares of the Fund. This transaction was structured to qualify as a tax-free reorganization under the Code. The investment portfolios of the Private Funds, with a fair value of $369,372,153 and identified cost of $335,420,940 as of the date of the reorganization, was the principal asset acquired by the Fund. For financial statement purposes, assets received and shares issued by the Fund were recorded at fair value, and the Fund recorded the cost of such investments at their historical cost as recorded by the Private Funds. The cost basis of the investments received from the Private Funds was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable for tax purposes. The net assets of the Private Funds at the date of acquisition were $370,340,997, including unrealized appreciation of $33,351,345. The net assets of the AQR Global Equity Fund immediately after the reorganization was $370,340,997. The Fund had no net assets or liabilities prior to the reorganization.

12. Risks and Concentrations

By using derivative instruments, the Funds are exposed to the counterparty’s credit risk, the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.

The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable US companies.

Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.

As of June 30, 2011, a substantial portion of the AQR Global Equity, AQR International Equity and AQR International Momentum Funds’ net assets consisted of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities.

As of June 30, 2011, the AQR Diversified Arbitrage Fund pledged a substantial portion of its assets for securities sold short to JP Morgan Chase Bank N.A.

108 AQR Funds Semi-Annual Report June 2011

Notes to Financial Statements (Unaudited) June 30, 2011

13. Line of Credit

The Trust (excluding the AQR Managed Futures Strategy and AQR Risk Parity Funds) has secured a committed, $150,000,000 line of credit with JPMorgan Chase Bank, N.A. Borrowings, if any, under this arrangement bear interest at the Federal Funds Rate plus the sum of (a) 1.5% per annum plus (b) if the LIBOR Reference Rate exceeds the Federal Funds Rate, the amount of such excess, which shall be paid quarterly. The maximum loan amount outstanding per Fund will be the lesser of an amount which does not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and does not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. This line of credit expires on September 16, 2011. As of and for the six months ended June 30, 2011, the Funds did not have any outstanding borrowings under this agreement.

14. Principal Ownership

As of June 30, 2011, the Funds had individual shareholder accounts, owning more than 5% of the total shares outstanding in the Fund. The AQR International Equity Fund has one shareholder that has an interest in the Fund of 11%. The AQR Diversified Arbitrage Fund has one shareholder that has an interest in the Fund of 7%. The AQR Managed Futures Strategy Fund has one shareholder that has an interest of the Fund in 13%. The AQR Risk Parity Fund has one shareholder that has an interest in the Fund of 18%.

15. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require disclosure.

AQR Funds Semi-Annual Report June 2011 109

Fund Expense Examples (Unaudited)

As a shareholder of the Trust, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

Actual Expenses

The table below provides information about actual account values and actual expenses. You may use the information together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid for the Period Ended 06/30/11” to estimate the expenses you paid on your account during this period. Each Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Hypothetical Example for Comparison Purposes

The table below also provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/2011		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 6/30/2011
AQR Global Equity Fund
Class I
Actual Return		$1,000.00		$1,067.50		0.98%		$5.02
Hypothetical Return		$1,000.00		$1,019.93		0.98%		$4.91
Class N
Actual Return		$1,000.00		$1,066.50		1.30%		$6.66
Hypothetical Return		$1,000.00		$1,018.35		1.30%		$6.51
Class Y
Actual Return		$1,000.00		$1,071.00		0.53%		$2.72
Hypothetical Return		$1,000.00		$1,022.17		0.53%		$2.66
AQR International Equity Fund
Class I
Actual Return		$1,000.00		$1,068.90		0.89%		$4.57
Hypothetical Return		$1,000.00		$1,020.38		0.89%		$4.46
Class N
Actual Return		$1,000.00		$1,066.90		1.38%		$7.07
Hypothetical Return		$1,000.00		$1,017.95		1.38%		$6.90
Class Y
Actual Return		$1,000.00		$1,069.80		0.56%		$2.87
Hypothetical Return		$1,000.00		$1,022.02		0.56%		$2.81

110 AQR Funds Semi-Annual Report June 2011

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/2011		ANNUALIZED EXPENSE RATIO FOR THE PERIOD		EXPENSES PAID FOR THE PERIOD ENDING 6/30/2011
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,007.20		1.20%		$5.97
Hypothetical Return		$1,000.00		$1,018.84		1.20%		$6.01
Class N
Actual Return		$1,000.00		$1,005.40		1.50%		$7.46
Hypothetical Return		$1,000.00		$1,017.36		1.50%		$7.50
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$965.00		1.25%		$6.09
Hypothetical Return		$1,000.00		$1,018.60		1.25%		$6.26
Class N
Actual Return		$1,000.00		$963.00		1.50%		$7.30
Hypothetical Return		$1,000.00		$1,017.36		1.50%		$7.50
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$1,061.30		0.95%		$4.86
Hypothetical Return		$1,000.00		$1,020.80		0.95%		$4.76
Class N
Actual Return		$1,000.00		$1,059.40		1.20%		$6.13
Hypothetical Return		$1,000.00		$1,018.84		1.20%		$6.01
AQR Momentum Fund
Class L
Actual Return		$1,000.00		$1,061.10		0.49%		$2.50
Hypothetical Return		$1,000.00		$1,022.36		0.49%		$2.46
AQR Small Cap Momentum Fund
Class L
Actual Return		$1,000.00		$1,084.10		0.65%		$3.36
Hypothetical Return		$1,000.00		$1,021.57		0.65%		$3.26
AQR International Momentum Fund
Class L
Actual Return		$1,000.00		$1,051.40		0.65%		$3.31
Hypothetical Return		$1,000.00		$1,021.57		0.65%		$3.26

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Semi-Annual Report June 2011 111

Board Approval of Advisory Agreements (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met on February 23, 2011 to consider the approval of the continuation of (i) the investment management agreement (the “Investment Management Agreement”) between the Trust, on behalf of the AQR Diversified Arbitrage Fund (“DAF” or, a “Fund”) and AQR Capital Management, LLC (“AQR”), (ii) the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust, on behalf of the AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR International Equity Fund, AQR Global Equity Fund and AQR Managed Futures Strategy Fund (each, a “Fund,” and together with DAF, the “Funds”), and AQR and (iii) the investment sub-advisory agreement (the “Sub-Advisory Agreement”) by and among the Trust, on behalf of DAF, AQR and CNH Partners, LLC (“CNH” or the “Sub-Adviser”). In accordance with Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Investment Management Agreement, Investment Advisory Agreement and Sub-Advisory Agreement. These materials included (i) memoranda and materials prepared by AQR, describing personnel and services provided to the Funds; (ii) memoranda and materials prepared by CNH, describing personnel and services provided to DAF; (iii) performance information of the Funds relevant to consideration of the Investment Management Agreement, Investment Advisory Agreement and Sub-Advisory Agreement; (iv) information independently compiled and prepared by Lipper, Inc. (“Lipper”) relating to the Funds’ fees and expenses; (v) a discussion of the financial statements of AQR and CNH; and (vi) a discussion of the compliance programs of AQR and CNH and regulatory exam histories of each. AQR and the Sub-Advisor are referred to herein as the “Adviser,” as applicable. The Investment Management Agreement, Investment Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Advisory Agreement,” as applicable.

At the meeting held on February 23, 2011, the Board, including the Board Members who are not “interested persons” as defined in the 1940 Act (the “Independent Board Members”), unanimously approved the continuation of the Investment Management Agreement, Investment Advisory Agreement and Sub-Advisory Agreement for an additional one-year period. The Board considered all factors it believed relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weights to the various items considered.

The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Advisory Agreement:

The nature, extent and quality of the services provided by the Adviser. The Board Members reviewed the services provided by the Adviser to the Funds under the Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and each Fund’s investment objective, strategy and process. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with each Fund’s stated investment objective and policies and the types of transactions entered into on behalf of each Fund that commenced operations.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR provides administrative services, has responsibility for overseeing CNH, with respect to DAF, Fund accounting, marketing services as well as provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board reviewed the compliance and administrative services provided to the Funds by AQR. The Board also reviewed a wide range of services provided to certain of the Funds’ shareholders under a shareholder services agreement between the Trust, on behalf of certain of the Funds, and AQR. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.

Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with counsel to discuss and consider the Advisory Agreement. Based on the presentations at the February 23, 2011 Board meeting, the Board concluded that the continuation of the Advisory Agreement was in the best interests of each Fund.

112 AQR Funds Semi-Annual Report June 2011

Board Approval of Advisory Agreements (Unaudited)

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund that had commenced operations. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds.

The Advisory Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the advisory fees paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board also examined the fees paid to other investment managers by comparable funds in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.

To assist in this analysis, the Board received a report independently prepared by Lipper. The report showed comparative fee information for each Fund’s expense group and expense universe, including expense comparisons of contractual management fees and actual total operating expenses. The Board noted that each Fund’s contractual advisory fee was lower than or equal to the median contractual advisory fees paid by the applicable funds in the Funds’ expense group and expense universe.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Board reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.

The Board reviewed the Adviser’s unaudited financial statements. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.

The Board concluded that the advisory fee for each Fund is reasonable. The Board concluded that the sub-advisory fee for DAF is reasonable.

Economies of Scale. The Adviser provided to the Board Members information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that the Funds currently do not have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, the Adviser presented information to show that the fees were set at a level that is competitive relative to funds of a larger scale. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations.

Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Fund, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.

Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the continuation of the Investment Management Agreement and the Investment Advisory Agreement with respect to the Funds and the Sub-Advisory Agreement with respect to DAF. The Independent Board Members were represented by counsel who assisted them in their deliberations.

AQR Funds Semi-Annual Report June 2011 113

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 3rd Floor

Greenwich, CT 06830

Sub-Adviser

CNH Partners, LLC

Two Greenwich Plaza, 1st Floor,

Greenwich, CT 06830

Transfer Agent

ALPS Fund Services, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Custodian

JPMorgan Chase Bank, N.A.

4 Metro Tech Center

Brooklyn, NY 11245

Distributor

ALPS Distributors, Inc.

1290 Broadway, Suite 1100

Denver, CO 80203

Administrator

J.P. Morgan Investor Services Co.

70 Fargo Street

Boston, MA 02210

Independent Registered Public Accounting Firm

PricewaterhouseCoopers, LLP

300 Madison Avenue

New York, NY 10017

You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website www.aqrfunds.com, or by accessing the SEC’s website at www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-942-8090.

The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.

This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and polices, experienced of its management, marketability of shares and other information.

P.O. Box 2248

Denver, CO 80201-2248

1-866-290-2688

www.aqrfunds.com

Item 2. Code of Ethics.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 3. Audit Committee Financial Expert.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 4. Principal Accountant Fees and Services.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 5. Audit Committee of Listed Registrants.

Disclosure required in Registrant’s annual Form N-CSR filing.

Item 6. Investments

(a) Schedule is included as part of the report to shareholders filed under Item 1 of this Form.

(b) The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s control over financial reporting. Certain enhancements to controls and procedures have been made to ensure timely financial statement preparation and review.

Item 12. Exhibits.

(a)(1)	Not required for this filing.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3)	Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable.
(b)	Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

AQR Funds
By:	/s/    Marco Hanig
	Marco Hanig,
	Principal Executive Officer
	August 31, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

By:	/s/    Marco Hanig
	Marco Hanig,
	Principal Executive Officer
	Date: August 31, 2011

By:	/s/    Nir Messafi
	Nir Messafi,
	Principal Financial Officer
	Date: August 31, 2011