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, 4^th Floor

Greenwich, CT 06830

(Address of principal executive offices) (Zip code)

Bradley D. Asness, Esq.

Principal and Chief Legal Officer

AQR Capital Management, LLC

Two Greenwich Plaza

4^th 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, 2014 to June 30, 2014

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.)

Table of Contents

Schedule of Investments
AQR Diversified Arbitrage Fund	2
AQR Long-Short Equity Fund	28
AQR Global Macro Fund	52
AQR Managed Futures Strategy Fund	62
AQR Managed Futures Strategy HV Fund	74
AQR Risk-Balanced Commodities Strategy Fund	84
AQR Risk Parity Fund	88
AQR Risk Parity II MV Fund	97
AQR Risk Parity II HV Fund	103
AQR Multi-Strategy Alternative Fund	109
AQR Style Premia Alternative Fund	159
Financial Statements and Notes	182
Fund Expense Examples	251
Board Approval of Investment Advisory Agreements	254

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 135.5%	SHARES		VALUE (Note 3)
COMMON STOCKS - 55.8%
Communications - 0.0% (a)
FriendFinder Networks, Inc. (3)†(b)		6,483	$	477,307
Consumer Discretionary - 7.8%
Ark Restaurants Corp. (c)		61,172		1,360,465
Carriage Services, Inc.		8,110		138,924
CBS Corp., Class B *		132,400		8,227,336
CBS Outdoor Americas, Inc. *		116,500		3,807,220
China Century Dragon Media, Inc. (3)†(b)		150,272		—
China Networks International Holdings Ltd. (2)†		2,287,278		137,008
ClubCorp Holdings, Inc. (c)		106,745		1,979,052
DEMC Ltd., Class A (3)†(b)		6,539		65,390
DEMC Ltd., Class B (3)†(b)		10,488		—
DIRECTV †		455,976		38,762,520
Ford Motor Co.		547,447		9,437,986
FTD Cos., Inc. †		168,685		5,362,496
General Motors Co. *		16,411		595,719
G-III Apparel Group Ltd. †		33,300		2,719,278
Goodyear Tire & Rubber Co./The		1,551		43,087
Groupe Fnac (France) (2)†		12,706		661,960
Hilton Worldwide Holdings, Inc. †		99,900		2,327,670
Installed Building Products, Inc. †		81,799		1,002,038
Lands’ End, Inc. †		496,572		16,674,888
Meritage Homes Corp. †		4,682		197,627
Morgans Hotel Group Co. †		72,691		576,440
MTR Gaming Group, Inc. †		132,556		709,175
Murphy USA, Inc. †		316,077		15,453,004
New Media Investment Group, Inc. †		93,756		1,322,897
News Corp., Class A †		238,349		4,275,981
Penn National Gaming, Inc. †		496,266		6,024,669
RG Barry Corp.		197,890		3,750,015
School Specialty, Inc. (2)†		9,166		1,017,426
Sirius XM Holdings, Inc. †		263,200		910,672
Time Warner Cable, Inc. *		335,114		49,362,292
Time Warner, Inc.		98,203		6,898,761
Time, Inc. †		297,285		7,200,243
Twenty-First Century Fox, Inc., Class A		316,104		11,111,056
Twenty-First Century Fox, Inc., Class B		358,472		12,270,497
Vince Holding Corp. †		33,300		1,219,446
				215,603,238
Consumer Staples - 1.9%
Central Garden and Pet Co. †(c)		131,869		1,200,008
Central Garden and Pet Co.,
Class A †(c)		221,846		2,040,983
Hillshire Brands Co./The		390,933		24,355,126
Neptune Technologies & Bioressources, Inc. (Canada) (3)†(b)		9,610		13
Pinnacle Foods, Inc.		168,957		5,558,685
Safeway, Inc.		566,372		19,449,215
				52,604,030
Energy - 2.8%
Alpha Natural Resources, Inc. †		77,136		286,175
Bourbon SA (France) (2)		57,449		1,807,325

	SHARES		VALUE (Note 3)
Energy - 2.8% (continued)
Cal Dive International, Inc. †		178,956	$	236,222
Chesapeake Energy Corp.		4,289		133,302
Equal Energy Ltd. (c)		1,301,517		7,054,222
Forest Oil Corp. †		123,952		282,611
Gulf United Energy, Inc. (2)†		1,959,798		1,176
Integrated Drilling Equipment Holdings Corp. (2)†		74,362		204,496
Mission NewEnergy Ltd. (Australia) (2)†		20,132		163
National Oilwell Varco, Inc.		421,049		34,673,385
Oil States International, Inc. †		136,866		8,771,742
ONEOK, Inc.		252,328		17,178,490
Royal Dutch Shell PLC ADR (Netherlands)		54,746		4,509,428
SAExploration Holdings, Inc. (Canada) †		28,601		241,964
Surge Energy, Inc. (Canada)		170,311		1,248,144
Tourmaline Oil Corp. (Canada) †		44,365		2,339,136
				78,967,981
Financials - 19.7%
1st United Bancorp, Inc.		695,002		5,990,917
American Realty Capital Healthcare Trust, Inc. REIT		2,086,081		22,717,422
American Realty Capital Properties, Inc. REIT		31,926		400,033
Aquasition Corp. (United Kingdom) †		850,000		8,678,500
Ashford Hospitality Prime, Inc. REIT		289,843		4,973,706
Ashford Hospitality Trust, Inc. REIT		1,664,917		19,213,142
Aspen Insurance Holdings Ltd.		465,887		21,160,588
Banco Santander Brasil SA (Brazil)		2,257		15,445
Banco Santander Brasil SA ADR (Brazil)		58,146		402,370
Boulevard Acquisition Corp. (2)†		1,007,912		9,877,538
Brixmor Property Group, Inc. REIT		99,900		2,292,705
Brookfield Asset Management, Inc., Class A (Canada) (c)		176,351		7,762,971
Cambridge Capital Acquisition Corp. †		1,478,400		14,429,184
Capitol Acquisition Corp. II †(c)		1,439,912		14,082,339
CareTrust REIT, Inc. REIT †(c)		193,208		3,825,518
Cash America International, Inc. (c)		120,402		5,349,461
Chart Acquisition Corp. (2)†		1,268,625		12,660,877
Chatham Lodging Trust REIT		213,148		4,667,941
Cis Acquisition Ltd., Class A (Russian Federation) (2)†(c)		850,000		8,712,500
Collabrium Japan Acquisition Corp. (United Kingdom) (2)†(c)		595,000		6,241,550
Essex Property Trust, Inc. REIT		32,353		5,982,393
Federal Home Loan Mortgage Corp. †		341,246		1,317,210
Federal National Mortgage Association †		346,333		1,354,162
FlatWorld Acquisition Corp. (Virgin Islands, British) (3)†(b)(c)		219,450		—
Gaming and Leisure Properties, Inc. REIT		593,408		20,158,070
Garnero Group Acquisition Co. (Brazil) †		2,430,200		24,374,906
Global Defense & National Security Systems, Inc. †		835,800		8,550,234

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

2 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - 19.7% (continued)
Hennessy Capital Acquisition Corp. †		756,000	$	7,363,440
Heritage Financial Corp./WA		111,750		1,798,057
HF2 Financial Management, Inc. †		1,309,327		13,486,068
Highclere Holdings Ltd. (3)†(b)		5,758		—
Hudson City Bancorp, Inc.		3,832,215		37,670,673
Huntington Bancshares, Inc./OH		949		9,053
Iberiabank Corp.		36		2,491
Levy Acquisition Corp. (2)†		1,890,000		18,295,200
Meadowbrook Insurance Group, Inc.		16,820		120,936
Mercantile Bank Corp.		54,579		1,248,768
Navient Corp.		1,494,721		26,471,509
New Residential Investment Corp. REIT		951,722		5,995,849
Newcastle Investment Corp. REIT (2)		1,131,338		5,419,109
Nicholas Financial, Inc.		593,502		8,522,689
North Valley Bancorp †		88,798		1,934,908
NorthStar Realty Finance Corp. REIT		1,712,050		29,755,429
Old National Bancorp/IN		98,682		1,409,179
OmniAmerican Bancorp, Inc.		342,794		8,569,850
Patriot National Bank ADR (3)†(b)		2,000,000		1,472,060
Prime Acquisition Corp. (China) (2)†		17,092		38,970
Protective Life Corp.		59,501		4,125,204
Quartet Merger Corp. †		907,200		9,144,576
Resource Capital Corp. REIT		37,500		211,125
Retail Opportunity Investments Corp. REIT		97,526		1,534,084
ROI Acquisition Corp. II †		882,000		8,670,060
Signature Bank †		82,092		10,358,369
Silver Eagle Acquisition Corp. †		1,971,250		19,219,687
Simon Property Group, Inc. REIT		39,634		6,590,342
SLM Corp.		1,414,168		11,751,736
Starwood Property Trust, Inc. REIT		345,764		8,218,810
Starwood Waypoint Residential Trust REIT †		53,081		1,391,253
Sunstone Hotel Investors, Inc. REIT		64,750		966,718
SWS Group, Inc. †		48,488		352,993
Taylor Capital Group, Inc. †		44,338		947,946
Terreno Realty Corp. REIT		27,355		528,772
TF Financial Corp.		130,802		5,556,469
TICC Capital Corp. (2)		8,252		81,695
Tower Group International Ltd.		2,075,206		3,735,371
Umpqua Holdings Corp.		202,036		3,620,485
United Bancorp, Inc./MI †		139,600		1,740,812
Washington Prime Group, Inc. REIT †		331,923		6,220,237
Wintrust Financial Corp.		216,157		9,943,222
WL Ross Holding Corp. †		2,898,000		29,849,400
				549,535,286
Health Care - 10.1%
Acadia Healthcare Co., Inc. †(c)		18,898		859,859
Access Pharmaceuticals, Inc. †		219,590		64,779
Acorda Therapeutics, Inc. †		411		13,855
AdCare Health Systems, Inc. †		158,880		680,006
Allergan, Inc. *		116,360		19,690,439
AstraZeneca PLC ADR (United Kingdom)		205,387		15,262,308
Authentidate Holding Corp. †(c)		261,423		172,539

	SHARES		VALUE (Note 3)
Health Care - 10.1% (continued)
Chelsea Therapeutics International Ltd. (3)†(b)		4,668,137	$	387,409
Chemed Corp.		25,503		2,390,141
China Medical Technologies, Inc. ADR (China) (3)†(b)(c)		4,931		49
Covidien PLC (Ireland)		468,031		42,207,036
Emeritus Corp. †		512,116		16,208,471
Ensign Group, Inc./The		147,062		4,570,687
Forest Laboratories, Inc. †		527,628		52,235,173
Furiex Pharmaceuticals, Inc. †		251,398		26,693,440
Gentiva Health Services, Inc. †		102,663		1,546,105
Heron Therapeutics, Inc. †		55,500		683,760
Idenix Pharmaceuticals, Inc. †		788,895		19,012,369
InspireMD, Inc. †		332		979
Mallinckrodt PLC †*		9,179		734,504
Medical Action Industries, Inc. †		114,004		1,565,275
NeoStem, Inc. †		32,400		211,248
Nordion, Inc. (Canada) †		1,571,101		19,733,029
Prothena Corp. PLC (Ireland) †		95,971		2,164,146
QLT, Inc. (Canada) †		258,185		1,595,583
Questcor Pharmaceuticals, Inc.		217,101		20,079,671
Rotech Healthcare, Inc. (3)†(b)		16,828		218,863
RXi Pharmaceuticals Corp. †		3,161		9,546
Shire PLC ADR (Ireland)		56,089		13,208,399
Teva Pharmaceutical Industries Ltd. ADR (Israel)		84,606		4,435,047
Theravance Biopharma, Inc. (Cayman Islands) †		108,543		3,460,351
Theravance, Inc. †		379,902		11,313,482
Transcept Pharmaceuticals, Inc.		122,838		244,448
				281,652,996
Industrials - 4.2%
Aegean Marine Petroleum
Network, Inc. (Greece)		4,568		46,091
AGCO Corp.		47,131		2,649,705
Allegion PLC (Ireland)		458,801		26,004,841
Alliant Techsystems, Inc.		5,579		747,140
Allied Defense Group, Inc./The (3)†(b)		190,011		11,401
Civeo Corp. †(c)		652,679		16,336,555
Dover Corp. (c)		73,775		6,709,836
Foster Wheeler AG (Switzerland)		760,537		25,911,496
Genco Shipping & Trading Ltd. †		3,188,449		2,997,142
Genesee & Wyoming, Inc., Class A †		1,235		129,675
Ingersoll-Rand PLC		112,375		7,024,561
Kratos Defense & Security Solutions, Inc. †		67,232		524,410
Layne Christensen Co. †		10,008		133,106
MasTec, Inc. †		72,486		2,234,015
MergeWorthRx Corp. (3)†(b)		663,038		5,344,086
NOW, Inc. †		321,210		11,631,014
Orbital Sciences Corp. †		57,356		1,694,870
Pingtan Marine Enterprise Ltd. (China) †		755,352		1,933,701
Premier Alliance Group, Inc. †		91,767		75,249
Schawk, Inc.		74,967		1,526,328
Titan Machinery, Inc. †		341		5,613
WaterFurnace Renewable Energy, Inc.		50,778		1,442,370

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

AQR Funds Semi-Annual Report June 2014 3

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Industrials - 4.2% (continued)
XPO Logistics, Inc. †		74,575	$	2,134,336
				117,247,541
Information Technology - 5.1%
AutoNavi Holdings Ltd. ADR (China) †		904,652		18,907,227
Blackhawk Network Holdings, Inc., Class B †		281,749		7,564,961
CommScope Holding Co., Inc. †(c)		32,478		751,216
Compuware Corp.		448,853		4,484,041
Descartes Systems Group, Inc./The (Canada) †		34,872		500,064
EMC Corp.		275,025		7,244,159
Fusion-io, Inc. †*		175,900		1,987,670
Intel Corp.		139,107		4,298,406
Knowles Corp. †		454,926		13,984,425
Leidos Holdings, Inc.		235,202		9,017,645
ModusLink Global Solutions, Inc. †		78,535		293,721
ON Semiconductor Corp. †		260,595		2,381,838
OpenTable, Inc. †*		2,000		207,200
Orckit Communications Ltd. (Israel) †		15,174		455
PLX Technology, Inc. †		553,050		3,578,234
Riverbed Technology, Inc. †		613,337		12,653,142
Science Applications International Corp.		134,401		5,935,148
SinoHub, Inc. (China) (3)†(b)		190,038		1,900
SouthPeak Interactive Corp. (3)†(b)		1,500,000		14,550
Telestone Technologies Corp. (China) (2)†		115,818		11,582
Tokyo Electron Ltd. (Japan) (2)		448,644		30,577,030
TriQuint Semiconductor, Inc. †		63,496		1,003,872
United Online, Inc.		120,489		1,253,086
Web.com Group, Inc. †		52,500		1,515,675
Yahoo!, Inc. †		410,800		14,431,404
				142,598,651
Materials - 0.7%
Ainsworth Lumber Co., Ltd. (Canada) †		1,578,546		4,097,814
China GengSheng Minerals, Inc. (China) †		17,371		2,606
Edgewater Exploration Ltd. (Canada) (2)†		399,100		24,311
Energy Fuels, Inc. (Canada) †		14,400		108,636
Jaguar Mining, Inc. (3)†(b)		167,949		124,715
Lafarge SA (France) (2)		40,041		3,481,933
Lion One Metals Ltd. (Canada) †		740,315		242,829
Lumina Copper Corp. (Canada) †		765,413		7,079,918
Mines Management, Inc. †		16,120		18,054
RTI International Metals, Inc. †		16,610		441,660
Southern Arc Minerals, Inc. (Canada) (3)†(b)		248,481		10,479
Sulliden Gold Corp. Ltd. (Canada) †		1,114,210		1,440,991
Texas Industries, Inc. †		2,998		276,895
Vale SA ADR (Brazil)		195,535		2,326,867
				19,677,708

	SHARES		VALUE (Note 3)
Telecommunication Services - 1.0%
Cleveland Unlimited ADR (3)†(b)		1	$	521,334
Level 3 Communications, Inc. †		16,356		718,192
Telephone & Data Systems, Inc.		97,547		2,546,952
tw telecom, Inc. †		51,047		2,057,705
Verizon Communications, Inc.		1		49
Ziggo NV (Netherlands) (2)		459,343		21,243,004
				27,087,236
Utilities - 2.5%
Integrys Energy Group, Inc.		212		15,080
ONE Gas, Inc.		444,624		16,784,556
Pepco Holdings, Inc.		1,080,461		29,691,068
UNS Energy Corp.		359,714		21,730,323
				68,221,027
TOTAL COMMON STOCKS (cost $1,502,412,041)				1,553,673,001

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

4 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE PREFERRED STOCKS - 8.2%	SHARES		VALUE (Note 3)
Consumer Discretionary - 0.9%
Sealy Corp., $25.00 par, 8.000% ,07/15/16 (3)†(b)(d)		299,636	$	23,671,244
Consumer Staples - 1.3%
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% , 12/31/49 (e)		96,625		10,044,169
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500%, 12/31/49 (2)(e)(f)		62,897		6,380,114
Universal Corp., Perpetual Preferred Stock, $1,000.00 par, 6.750%, 03/15/18 (2)(e)		16,750		20,739,515
				37,163,798
Energy - 2.2%
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% , 05/17/15 (2)(e)(f)		1,475		1,888,000
Energy XXI Bermuda Ltd., Perpetual Preferred Stock, $250.00 par, 5.625%, 12/31/49 (2)(e)		9,535		2,616,166
McDermott International, Inc. (Panama), $25.00 par, 6.250%, 04/01/17 (2)		156,800		4,312,471
Sanchez Energy Corp., Perpetual Preferred Stock, Series A, $50.00 par, 4.875%, 12/31/49 (2)†(e)		411,250		37,706,484
Sanchez Energy Corp., Perpetual Preferred Stock, Series B, $50.00 par, 6.500%, 12/31/49 (2)†(e)		140,250		13,438,755
				59,961,876
Financials - 0.6%
Health Care REIT, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500% , 12/31/49 †(e)		160,975		9,294,696
iStar Financial, Inc., Perpetual Preferred Stock, Series J, $50.00 par, 4.500%, 12/31/49 †(e)		50,625		3,252,656
Ramco-Gershenson Properties Trust, Perpetual Preferred Stock, Series D, $50.00 par, 7.250%, 12/31/49 (2)†(e)		88,725		5,343,020
				17,890,372
Health Care - 0.5%
Amsurg Corp., Series A-1, $100.00 par, 5.250% , 07/01/17 †		81,475		8,204,532
Omnicare Capital Trust II, Series B, $50.00 par, 4.000%, 06/15/33 †		54,925		4,478,585
				12,683,117
Industrials - 0.0% (a)
Timberjack Corp. ADR, $188,000.00 par, 8.000%, 12/31/16 (3)†(b)		188,000		5,106
Utilities - 2.7%
Dominion Resources, Inc., $50.00 par, 6.375% , 07/01/17 †		57,575		3,029,884
Dominion Resources, Inc., Series A, $49.00 par, 6.125%, 04/01/16		233,650		13,469,923
Dominion Resources, Inc., Series B, $49.00 par, 6.000%, 07/01/16		242,350		14,061,147
Exelon Corp., $50.00 par, 6.500%, 06/01/17 †		62,150		3,352,781
NextEra Energy, Inc., $50.00 par, 5.889%, 09/01/15		97,050		6,307,280
NextEra Energy, Inc., $50.00 par, 5.799%, 09/01/16		241,275		13,769,564
NextEra Energy, Inc., $50.00 par, 5.599%, 06/01/15		338,150		22,437,977
				76,428,556
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $225,916,174)				227,804,069

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

AQR Funds Semi-Annual Report June 2014 5

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CORPORATE BONDS - 15.1%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Communications - 0.3%
Interactive Network, Inc./FriendFinder Networks, Inc. (3)(b)(g)		14.000%		12/20/18	$              849		$	874,523
WCP Wireless Site Fund 144A (2)(f)		6.829%		11/15/15		3,325		3,464,567
WCP Wireless Site Fund 144A (2)(f)		9.247%		11/15/15		3,000		3,154,332
								7,493,422
Consumer Discretionary - 2.3%
Baker & Taylor Acquisitions Corp. 144A (2)(c)(f)		15.000%		04/01/17		3,027		2,845,380
Brookstone Co., Inc. (3)(b)(f)(g)		13.000%		10/15/14		516		229,620
Cenveo Corp. 144A (2)(c)(f)		6.000%		08/01/19		2,500		2,500,000
Cenveo Corp. 144A (2)(c)(f)		8.500%		09/15/22		1,675		1,662,437
Cenveo Corp. (2)		8.875%		02/01/18		3,755		3,941,886
Ceridian LLC/Comdata, Inc. 144A (2)(c)(f)		8.125%		11/15/17		150		151,500
Clear Channel Communications, Inc. 144A (2)(f)		10.000%		01/15/18		5,000		4,831,250
CSC Holdings LLC 144A (2)(c)(f)		5.250%		06/01/24		2,525		2,483,969
Empire Today LLC/Empire Today Finance Corp. (3)(b)(f)		11.375%		02/01/17		3,250		3,347,500
Exide Technologies (2)(c)(g)		8.625%		02/01/18		12,425		7,455,000
Gibson Brands Escrow Corp. 144A (2)(f)		8.875%		08/01/18		4,675		4,809,406
Global Partners LP/GLP Finance Corp. 144A (2)(c)(f)		6.250%		07/15/22		300		300,000
Group 1 Automotive, Inc. (3)(b)(c)(f)		5.000%		06/01/22		1,800		1,800,000
IDQ Holdings, Inc. 144A (2)(f)		11.500%		04/01/17		4,325		4,768,313
Landry’s, Inc. 144A (2)(c)(f)		9.375%		05/01/20		7,356		8,091,600
Live Nation Entertainment, Inc. 144A (2)(c)(f)		5.375%		06/15/22		300		303,750
Nielsen Finance LLC/Nielsen Finance Co. 144A (2)(f)		5.000%		04/15/22		800		806,000
Roust Trading Ltd., Series AI (Virgin Islands, British) (2)(h)		10.000%		05/31/16		819		695,901
Scientific Games International, Inc. 144A (2)(c)(f)		6.625%		05/15/21		12,600		12,474,000
WideOpenWest Finance LLC/WideOpenWest Capital Corp. 144A (2)(f)		10.250%		07/15/19		800		899,000
								64,396,512
Consumer Staples - 0.8%
Beam Suntory, Inc. (2)(c)		3.250%		05/15/22		2,650		2,619,806
Beam Suntory, Inc. (2)(c)		3.250%		06/15/23		1,350		1,327,709
C&S Group Enterprises LLC 144A (2)(f)		5.375%		07/15/22		1,675		1,683,375
Central Garden and Pet Co. (2)(c)		8.250%		03/01/18		7,525		7,807,187
Hearthside Group Holdings LLC/Hearthside Finance Co. 144A (2)(c)(f)		6.500%		05/01/22		150		149,625
JBS USA LLC/JBS USA Finance, Inc. 144A (2)(f)		5.875%		07/15/24		4,200		4,189,500
US Foods, Inc. (2)(c)		8.500%		06/30/19		4,572		4,894,326
								22,671,528
Energy - 2.7%
Athlon Holdings LP/Athlon Finance Corp. 144A (2)(c)(f)		6.000%		05/01/22		800		828,000
ATP Oil & Gas Corp. (3)(b)(g)		11.875%		05/01/15		4,025		60,375
Baytex Energy Corp. 144A (Canada) (2)(c)(f)		5.125%		06/01/21		1,250		1,257,812
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(c)		13.750%		12/01/15		5,800		5,742,000
CGG SA 144A (France) (2)(f)		6.875%		01/15/22		3,250		3,241,875
ContourGlobal Power Holdings SA 144A (Luxembourg) (2)(c)(f)		7.125%		06/01/19		200		199,600
Copano Energy LLC/Copano Energy Finance Corp. (2)		7.125%		04/01/21		373		422,700
Energy XXI Gulf Coast, Inc. 144A (2)(c)(f)		6.875%		03/15/24		3,350		3,417,000
EOAL Cyprus Holdings Ltd. (3)(b)		0.200%		06/30/15		238		2,385
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b)(g)		15.000%		07/15/15		4,100		41
EOAL Cyprus Holdings Ltd. (2)		20.000%		06/30/15		400		5,997
EPL Oil & Gas, Inc. (2)		8.250%		02/15/18		6,150		6,580,500
Forest Oil Corp. (2)		7.250%		06/15/19		12,205		12,082,950
Forest Oil Corp., Series WI (3)(b)(c)		7.500%		09/15/20		5,825		5,766,750

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

6 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Energy - 2.7% (continued)
Global Geophysical Services, Inc. (2)(g)		10.500%		05/01/17	$	150	$	55,500
Gold Point Energy Corp. (3)(b)		4.500%		05/01/15		1,140		—
Golden Close Maritime Corp. Ltd. MTN (Liberia) (2)		11.000%		12/09/15		1,902		1,987,771
Green Field Energy Services, Inc. (3)(b)(f)(g)		13.250%		11/15/16		2,073		155,475
Hilcorp Energy I LP/Hilcorp Finance Co. 144A (2)(f)		5.000%		12/01/24		800		800,000
Ithaca Energy, Inc. 144A (Canada) (2)(f)		8.125%		07/01/19		2,075		2,075,000
Legacy Reserves LP/Legacy Reserves Finance Corp. 144A (2)(c)(f)		6.625%		12/01/21		800		812,000
Lonestar Resources America, Inc. 144A (2)(c)(f)		8.750%		04/15/19		4,175		4,216,750
Norshore Atlantic BV (Netherlands) (3)(b)(f)		12.000%		12/21/18		4,550		4,766,125
Plains Exploration & Production Co. (2)		6.875%		02/15/23		7,775		9,096,750
Prospector Finance II SA (Luxembourg) (3)(b)		7.750%		06/19/19		4,000		4,000,000
Songa Offshore (Cyprus) (2)		7.500%		12/11/18	NOK	25,500		3,939,002
Songa Offshore (Cyprus) (3)(b)		8.400%		05/17/18		15,000		2,451,560
								73,963,918
Financials - 2.9%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 144A (Ireland) (2)(c)(f)		3.750%		05/15/19	$	800		806,000
BPA Laboratories, Inc. (3)(b)(c)(f)		12.250%		04/01/17		5,875		6,345,000
CFG Holdings Ltd./CFG Finance LLC (Cayman Islands) (3)(b)(c)(f)		11.500%		11/15/19		6,412		6,957,020
Cogent Communications Finance, Inc. 144A (2)(c)(f)		5.625%		04/15/21		900		893,250
Global Investments Group Finance Ltd. 144A (Virgin Islands, British) (2)(f)		11.000%		09/24/17		2,200		2,227,500
Highclere Holdings Ltd. (Cayman Islands) (3)(b)		0.000%		02/26/15		1,627		848,200
ING Capital Funding Trust III, Perpetual Bond, Series 9 (3)(b)(c)(e)(i)		3.834%		12/31/49		3,875		3,875,000
Jasper Explorer PLC (Cyprus) (3)(b)(f)		13.500%		05/27/16		6,000		5,340,000
Kistefos AS (Norway) (3)(b)(i)		11.240%		07/03/15	NOK	72,500		12,469,738
Lehman Brothers Holdings, Inc. MTN (3)†(b)(g)		5.625%		01/24/16	$	33,650		6,519,687
MBIA Insurance Corp. 144A (2)(f)(i)		11.486%		01/15/33		3,925		3,061,500
National Money Mart Co. (Canada) (2)		10.375%		12/15/16		14,250		15,015,937
Nuveen Investments, Inc. 144A (2)(c)(f)		9.500%		10/15/20		3,175		3,762,375
Radian Group, Inc. (2)		5.500%		06/01/19		2,800		2,859,500
Synovus Financial Corp. (2)		5.125%		06/15/17		1,375		1,433,437
Washington Mutual Bank/Debt not acquired by JPMorgan, Bank Note (2)(g)		0.000%		05/01/09		27,750		7,527,188
Weyerhaeuser Real Estate Co. 144A (2)(c)(f)		4.375%		06/15/19		300		300,750
Weyerhaeuser Real Estate Co. 144A (2)(c)(f)		5.875%		06/15/24		300		308,625
								80,550,707
Health Care - 1.0%
Crimson Merger Sub, Inc. 144A (2)(c)(f)		6.625%		05/15/22		2,725		2,704,562
Education Management LLC/Education Management Finance Corp. (3)(b)(c)(h)		16.000%		07/01/18		9,251		4,625,250
Endo Finance LLC & Endo Finco, Inc. 144A (2)(f)		5.375%		01/15/23		1,675		1,672,906
Envision Healthcare Corp. 144A (2)(c)(f)		5.125%		07/01/22		1,250		1,260,938
Gentiva Health Services, Inc. (2)		11.500%		09/01/18		14,350		15,318,625
Tenet Healthcare Corp. 144A (2)(f)		5.000%		03/01/19		1,250		1,267,188
								26,849,469
Industrials - 1.2%
Allegiant Travel Co. (2)(c)		5.500%		07/15/19		300		304,875
American Airlines, Inc. (3)†(b)(f)		7.500%		03/15/16		9,134		9,487,942
Ardagh Packaging Finance PLC 144A (Ireland) (2)(f)		7.375%		10/15/17		3,420		3,609,126
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A (Ireland) (2)(f)		6.000%		06/30/21		300		299,625

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

AQR Funds Semi-Annual Report June 2014 7

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Industrials - 1.2% (continued)
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A (Ireland) (2)(f)		7.375%		10/15/17	$	2,010	$	2,121,153
Edgen Murray Corp. (3)(b)(c)(f)		8.750%		11/01/20		4,495		5,135,538
Gates Global LLC/Gates Global Co. 144A (2)(c)(f)		6.000%		07/15/22		800		800,000
Quad/Graphics, Inc. (3)(b)(c)(f)		7.000%		05/01/22		4,175		4,175,000
Tempel Steel Co. 144A (2)(c)(f)		12.000%		08/15/16		5,625		5,568,750
West Corp. 144A (2)(f)		5.375%		07/15/22		800		792,000
Western Express, Inc. 144A (2)(c)(f)		12.500%		04/15/15		2,300		1,863,000
								34,157,009
Information Technology - 1.9%
Advanced Micro Devices, Inc. 144A (2)(c)(f)		7.000%		07/01/24		1,250		1,276,563
Belden, Inc. 144A (2)(c)(f)		5.250%		07/15/24		150		151,125
Boxer Parent Co., Inc. 144A (2)(d)(f)		9.750%		10/15/19		3,750		3,656,250
Goodman Networks, Inc., Series WI (2)(h)		12.125%		07/01/18		30,818		33,822,755
Pegasus Solutions, Inc. (3)(b)(d)(f)(g)		13.000%		04/15/14		4,616		4,293,001
Seagate HDD Cayman 144A (Cayman Islands) (2)(c)(f)		4.750%		01/01/25		8,400		8,337,000
SouthPeak Interactive Corp. (3)(b)(g)		29.000%		12/31/14		1,091		104,546
								51,641,240
Materials - 1.2%
ArcelorMittal (Luxembourg) (2)(c)		4.250%		02/25/15		975		990,844
ArcelorMittal (Luxembourg) (2)(c)		4.250%		08/05/15		2,575		2,642,594
ArcelorMittal (Luxembourg) (2)(c)		9.500%		02/15/15		775		812,781
Compass Minerals International, Inc. 144A (2)(f)		4.875%		07/15/24		800		800,000
Constellium NV 144A (Netherlands) (2)(c)(f)		5.750%		05/15/24		250		262,500
Momentive Performance Materials, Inc., Series WI (2)(c)		8.875%		10/15/20		13,550		14,464,625
Momentive Performance Materials, Inc. (2)(g)		9.000%		01/15/21		14,350		11,910,500
Northland Resources AB (Sweden) (3)(b)(f)		4.000%		10/15/20		913		31,957
Texas Industries, Inc. (2)(c)		9.250%		08/15/20		2,600		2,944,500
								34,860,301
Telecommunication Services - 0.6%
SBA Communications Corp. 144A (2)(f)		4.875%		07/15/22		2,500		2,468,750
tw telecom holdings, Inc., Series WI (2)(c)		5.375%		10/01/22		2,450		2,679,687
Virgin Media Finance PLC (United Kingdom) (2)(c)		4.875%		02/15/22		11,400		10,744,500
Wind Acquisition Finance SA 144A (Luxembourg) (2)(f)		4.750%		07/15/20		1,675		1,687,563
								17,580,500
Utilities - 0.2%
Atlantic Offshore AS (Norway) (3)(b)(i)		11.730%		06/27/15	NOK	12,000		2,083,520
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. 144A (2)(c)(f)(g)		10.000%		12/01/20	$	25,200		2,394,000
Ferrellgas LP/Ferrellgas Finance Corp. 144A (2)(f)		6.750%		01/15/22		150		156,750
Suburban Propane Partners LP/Suburban Energy Finance Corp. (2)(c)		5.500%		06/01/24		1,675		1,695,938
								6,330,208
TOTAL CORPORATE BONDS (cost $433,093,960)								420,494,814
CONVERTIBLE BONDS - 40.6%
Consumer Discretionary - 6.1%
Carriage Services, Inc. 144A (2)(f)		2.750%		03/15/21		6,100		6,344,000
Cenveo Corp. (2)		7.000%		05/15/17		1,800		2,131,875
Exide Technologies (3)(b)(g)(i)		0.000%		09/18/13		650		97,500
JAKKS Pacific, Inc. 144A (2)(f)		4.250%		08/01/18		5,775		6,190,078

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

8 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Consumer Discretionary - 6.1% (continued)
JAKKS Pacific, Inc. 144A (2)(f)		4.500%		11/01/14	$	1,550	$	1,557,750
JAKKS Pacific, Inc. 144A (2)(c)(f)		4.875%		06/01/20		6,250		6,089,844
Lennar Corp. 144A (2)(f)		2.750%		12/15/20		9,175		17,518,515
Lennar Corp. 144A (2)(f)		3.250%		11/15/21		12,850		23,660,062
M/I Homes, Inc. (2)		3.000%		03/01/18		1,800		1,963,125
M/I Homes, Inc. (2)		3.250%		09/15/17		2,300		2,880,750
Meritage Homes Corp. (2)		1.875%		09/15/32		2,475		2,600,297
MGM Resorts International (2)		4.250%		04/15/15		10,800		15,855,750
Palm Harbor Homes, Inc. (3)(b)(g)		3.250%		05/15/24		70		1,796
Regis Corp. (2)		5.000%		07/15/14		11,075		11,081,922
Ryland Group, Inc./The (2)		1.625%		05/15/18		5,750		7,992,500
Sirius XM Radio, Inc. 144A (2)(f)		7.000%		12/01/14		5,643		10,718,173
Standard Pacific Corp. (2)		1.250%		08/01/32		11,275		14,171,266
Tesla Motors, Inc. (2)		1.500%		06/01/18		9,125		18,478,125
TRW Automotive, Inc. (2)		3.500%		12/01/15		6,650		20,199,375
								169,532,703
Consumer Staples - 1.3%
Herbalife Ltd. 144A (Cayman Islands) (2)(f)		2.000%		08/15/19		10,975		10,206,750
Rite Aid Corp. (2)		8.500%		05/15/15		300		847,875
Vector Group Ltd. (2)(i)		2.500%		01/15/19		10,950		14,634,795
Vector Group Ltd. (2)(i)		3.750%		11/15/14		6,504		10,044,615
								35,734,035
Energy - 1.6%
Alpha Natural Resources, Inc. (2)		3.750%		12/15/17		2,400		2,073,000
Alpha Natural Resources, Inc. (2)		4.875%		12/15/20		800		619,500
Amyris, Inc. 144A (2)(c)(f)		6.500%		05/15/19		6,075		6,052,219
Cal Dive International, Inc. (2)		5.000%		07/15/17		2,275		1,935,172
Emerald Oil, Inc. 144A (2)(f)		2.000%		04/01/19		3,100		3,398,375
Goodrich Petroleum Corp. (2)		5.000%		10/01/29		1,000		1,028,125
James River Coal Co. (2)(g)		10.000%		06/01/18		310		24,800
PDC Energy, Inc. 144A (2)(f)		3.250%		05/15/16		4,950		7,950,937
Polarcus Ltd. MTN 144A (Norway) (2)(f)		2.875%		04/27/16		400		386,400
Renewable Energy Group, Inc. (2)		2.750%		06/15/19		3,650		4,026,406
Scorpio Tankers, Inc. 144A (2)(f)		2.375%		07/01/19		3,500		3,500,000
USEC, Inc. (2)(g)		3.000%		10/01/14		19,875		5,068,125
Vantage Drilling Co. (Cayman Islands) (2)		7.875%		09/01/42		4,625		5,388,125
Vantage Drilling Co. 144A (Cayman Islands) (2)(f)		5.500%		07/15/43		1,775		1,932,531
ZaZa Energy Corp. 144A (2)(f)		9.000%		08/01/17		3,550		2,611,469
								45,995,184
Financials - 12.4%
American Equity Investment Life Holding Co. 144A (2)(f)		5.250%		12/06/29		15,875		41,007,109
American Realty Capital Properties, Inc. (2)		3.000%		08/01/18		10,700		10,867,187
American Realty Capital Properties, Inc. (2)		3.750%		12/15/20		2,125		2,216,641
Annaly Capital Management, Inc. (2)		5.000%		05/15/15		3,150		3,220,875
Ares Capital Corp. (2)		5.750%		02/01/16		4,425		4,701,563
Ares Capital Corp. 144A (2)(f)		5.125%		06/01/16		3,025		3,246,203
AV Homes, Inc. (2)		7.500%		02/15/16		8,830		9,403,950
AV Homes, Inc. (2)		7.500%		02/15/16		6,643		6,842,290
Cowen Group, Inc. 144A (2)(f)		3.000%		03/15/19		4,550		4,820,156
E*TRADE Financial Corp., Series A (2)		0.000%		08/31/19		1,775		3,658,719
Element Financial Corp. 144A (Canada) (2)(f)		5.125%		06/30/19	CAD	8,975		9,054,484
Encore Capital Group, Inc. 144A (2)(f)		3.000%		07/01/20	$	1,300		1,513,688
Ezcorp, Inc. 144A (2)(f)		2.125%		06/15/19		2,475		2,437,875
Gain Capital Holdings, Inc. 144A (2)(f)		4.125%		12/01/18		3,325		3,262,656

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

AQR Funds Semi-Annual Report June 2014 9

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Financials - 12.4% (continued)
Health Care REIT, Inc. (2)		3.000%		12/01/29	$	2,400	$	2,962,500
iStar Financial, Inc. (2)		3.000%		11/15/16		2,800		3,967,250
KCAP Financial, Inc. (2)		8.750%		03/15/16		4,000		4,625,000
Kilroy Realty LP 144A (2)(f)		4.250%		11/15/14		7,390		12,835,506
Lexington Realty Trust 144A (2)(f)		6.000%		01/15/30		7,550		12,240,438
Meadowbrook Insurance Group, Inc. (2)		5.000%		03/15/20		2,575		2,726,281
MF Global Holdings Ltd. (2)(g)		3.375%		08/01/18		1,609		723,044
MGIC Investment Corp. (2)		2.000%		04/01/20		6,600		9,825,750
MGIC Investment Corp. (2)		5.000%		05/01/17		20,525		23,809,000
NorthStar Realty Finance LP 144A (2)(f)		5.375%		06/15/33		300		546,000
PHH Corp. (2)		6.000%		06/15/17		8,125		15,864,063
Prospect Capital Corp. 144A (2)(f)		4.750%		04/15/20		3,925		3,873,484
Radian Group, Inc. (2)		2.250%		03/01/19		12,800		19,184,000
Radian Group, Inc. (2)		3.000%		11/15/17		16,100		23,284,625
Resource Capital Corp. (2)		6.000%		12/01/18		1,350		1,360,969
Ryman Hospitality Properties, Inc. 144A (2)(f)		3.750%		10/01/14		17,025		39,114,938
SL Green Operating Partnership LP 144A (2)(f)		3.000%		10/15/17		5,925		8,154,281
Spirit Realty Capital, Inc. (2)		2.875%		05/15/19		1,575		1,575,000
Spirit Realty Capital, Inc. (2)		3.750%		05/15/21		775		778,391
Stewart Information Services Corp. (2)		6.000%		10/15/14		6,125		15,017,734
Tower Group International Ltd. (2)(c)		5.000%		09/15/14		12,750		10,996,875
Volkswagen International Finance NV 144A (Netherlands) (2)(f)		5.500%		11/09/15	EUR	13,500		21,679,853
ZAIS Financial Corp. 144A (2)(f)		8.000%		11/15/16	$	3,400		3,470,125
								344,868,503
Health Care - 3.3%
Accuray, Inc. (2)		3.750%		08/01/16		700		797,562
Accuray, Inc., Series A (2)		3.500%		02/01/18		3,025		5,356,141
Acorda Therapeutics, Inc. (2)		1.750%		06/15/21		875		907,266
Affymetrix, Inc. (2)		4.000%		07/01/19		4,725		7,929,141
Albany Molecular Research, Inc. 144A (2)(f)		2.250%		11/15/18		1,525		2,186,469
ARIAD Pharmaceuticals, Inc. 144A (2)(f)		3.625%		06/15/19		1,825		1,771,527
BioMed Realty LP 144A (2)(f)		3.750%		01/15/30		2,250		2,881,406
Exelixis, Inc. (2)		4.250%		08/15/19		2,525		2,133,625
Healthways, Inc. 144A (2)(f)		1.500%		07/01/18		2,000		2,190,000
Illumina, Inc. (2)		0.250%		03/15/16		1,225		2,632,984
Illumina, Inc. 144A (2)(f)		0.000%		06/15/19		1,675		1,720,016
Molina Healthcare, Inc. (2)		3.750%		10/01/14		1,875		2,684,766
PDL BioPharma, Inc. (2)		2.875%		02/15/15		1,400		2,544,500
Regeneron Pharmaceuticals, Inc. (2)		1.875%		10/01/16		11,925		40,030,734
Sequenom, Inc. (2)		5.000%		10/01/17		7,325		7,865,219
Spectrum Pharmaceuticals, Inc. 144A (2)(f)		2.750%		12/15/18		5,600		5,834,500
Theravance, Inc. (2)		2.125%		01/15/23		1,600		2,307,000
								91,772,856
Industrials - 3.2%
Aegean Marine Petroleum Network, Inc. (Greece) (2)		4.000%		11/01/18		1,000		1,008,750
AGCO Corp. (3)(b)		1.250%		12/15/36		47		65,608
Alliant Techsystems, Inc. (2)		3.000%		08/15/24		—		—
CBIZ, Inc. 144A (2)(f)		4.875%		10/01/15		1,400		1,839,250
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)(g)		7.500%		12/31/14		1,850		—
GenCorp, Inc. (2)		4.063%		12/31/39		3,575		7,612,516
General Cable Corp. (2)(h)		4.500%		11/15/29		1,745		1,727,550
Hawaiian Holdings, Inc. (2)		5.000%		03/15/16		300		542,250
JetBlue Airways Corp., Series A-C (2)		6.750%		10/15/39		4,000		8,920,000
Layne Christensen Co. 144A (2)(f)		4.250%		11/15/18		1,700		1,538,500
Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f)		0.750%		04/05/17	EUR	2,800		6,396,712

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

10 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Industrials - 3.2% (continued)
MasTec, Inc. (2)		4.250%		12/15/14	$	2,400	$	4,792,500
Meritor, Inc. (2)(h)		4.625%		03/01/26		2,000		2,132,500
Navistar International Corp. (2)		3.000%		10/15/14		875		883,750
Terex Corp. (2)		4.000%		06/01/15		11,325		28,928,297
Titan International, Inc. 144A (2)(f)		5.625%		01/15/17		7,575		13,502,437
UTi Worldwide, Inc. 144A (Virgin Islands, British) (2)(f)		4.500%		03/01/19		8,825		9,387,594
								89,278,214
Information Technology - 11.4%
Blucora, Inc. 144A (2)(f)		4.250%		04/01/19		1,675		1,835,172
Ciena Corp. 144A (2)(f)		3.750%		10/15/18		14,700		20,184,938
Ciena Corp. 144A (2)(f)		4.000%		03/15/15		2,900		3,467,313
Ciena Corp., Series WI (2)		4.000%		12/15/20		13,175		18,255,609
Convergys Corp. (2)		5.750%		09/15/29		7,825		15,625,547
Finisar Corp. 144A (2)(f)		5.000%		10/15/29		400		748,750
GT Advanced Technologies, Inc. (2)		3.000%		10/01/17		3,325		8,266,781
j2 Global, Inc. (2)		3.250%		06/15/29		2,475		2,510,578
Microchip Technology, Inc. (2)		2.125%		12/15/37		10,650		20,348,156
Micron Technology, Inc. (2)		2.375%		05/01/32		6,225		21,421,781
Micron Technology, Inc. (2)		3.125%		05/01/32		11,229		37,813,658
Micron Technology, Inc., Series F (2)		2.125%		02/15/33		1,375		4,173,984
ModusLink Global Solutions, Inc. 144A (2)(f)		5.250%		03/01/19		7,600		7,063,250
Nuance Communications, Inc. (2)		2.750%		11/01/31		600		599,250
Palo Alto Networks, Inc. 144A (2)(f)		0.000%		07/01/19		1,525		1,573,609
Photronics, Inc. (2)		5.500%		10/01/14		2,200		3,803,250
Powerwave Technologies, Inc. (3)(b)(g)		3.875%		10/01/27		4,104		411
Powerwave Technologies, Inc. 144A (2)(f)(g)		2.750%		07/15/41		3,900		39,000
Quantum Corp. (2)		4.500%		11/15/17		1,650		1,628,344
Rambus, Inc. 144A (2)(f)		1.125%		08/15/18		5,600		7,399,000
SouthPeak Interactive Corp. (3)(b)(g)		10.000%		12/31/14		2,500		239,510
SunEdison, Inc. 144A (2)(f)		0.250%		01/15/20		1,675		1,793,297
SunEdison, Inc. 144A (2)(f)		2.000%		10/01/18		27,550		46,886,656
SunEdison, Inc. 144A (2)(f)		2.750%		01/01/21		6,675		11,522,719
SunPower Corp. (2)		4.500%		03/15/15		625		1,147,656
VeriSign, Inc. (2)		3.250%		08/15/37		27,135		41,160,403
Vishay Intertechnology, Inc. 144A (2)(f)		2.250%		11/15/40		3,475		4,189,547
Web.com Group, Inc. (2)		1.000%		08/15/18		7,900		8,477,688
WebMD Health Corp. (2)		2.250%		03/31/16		5,075		5,217,734
WebMD Health Corp. 144A (2)(f)		1.500%		12/01/20		17,025		18,950,953
								316,344,544
Materials - 0.6%
A.M. Castle & Co. 144A (2)(f)		7.000%		12/15/17		925		1,192,672
Cemex SAB de CV (Mexico) (2)		3.750%		03/15/18		1,625		2,464,922
Cereplast, Inc. (3)(b)(g)		7.000%		06/01/16		3,516		1
ShengdaTech, Inc. (3)(b)(f)(g)		6.000%		06/01/18		300		3,000
ShengdaTech, Inc. (3)(b)(f)(g)		6.500%		12/15/15		1,200		12,000
Sterlite Industries India Ltd. (India) (3)(b)		4.000%		10/30/14		5,350		5,350,000
Stillwater Mining Co. (2)		1.750%		10/15/32		4,825		7,020,375
								16,042,970
Utilities - 0.7%
NRG Yield, Inc. 144A (2)(f)		3.500%		02/01/19		17,600		20,889,000
TOTAL CONVERTIBLE BONDS (cost $1,085,782,756)								1,130,458,009

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

AQR Funds Semi-Annual Report June 2014 11

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 4.7%	SHARES		VALUE (Note 3)
Aberdeen Global Income Fund, Inc. (c)		15,400	$	184,492
Adams Express Co. (2)(c)		32,211		442,901
Advent Claymore Convertible Securities and Income Fund (c)		7,913		149,081
Advent Claymore Convertible Securities and Income Fund II (c)		135,047		1,034,460
Advent Claymore Enhanced Growth & Income Fund (c)		53,824		554,387
Alliance California Municipal Income Fund, Inc. (c)		23,892		313,941
Alpine Global Dynamic Dividend Fund (c)		19,959		209,769
Alpine Global Premier Properties Fund (c)		72,771		541,416
Alpine Total Dynamic Dividend Fund (c)		67,227		599,665
Ares Dynamic Credit Allocation Fund, Inc. (c)		4,040		73,568
Avenue Income Credit Strategies Fund (c)		7,197		129,402
BlackRock Build America Bond Trust (c)		65,117		1,413,039
BlackRock California Municipal Income Trust (2)(c)		1,453		21,548
BlackRock Core Bond Trust (c)		171,931		2,400,157
BlackRock Corporate High Yield Fund, Inc.		108,723		1,336,206
BlackRock Credit Allocation Income Trust (c)		616,439		8,476,036
BlackRock EcoSolutions Investment Trust (c)		5,965		49,450
BlackRock Energy and Resources Trust (c)		47,070		1,269,478
BlackRock Enhanced Capital and Income Fund, Inc. (c)		88,135		1,298,229
BlackRock Enhanced Equity Dividend Trust (c)		651,820		5,468,770
BlackRock Global Opportunities Equity Trust (c)		335,175		5,044,384
BlackRock Income Opportunity Trust, Inc.		229,602		2,493,478
BlackRock International Growth and Income Trust (c)		297,439		2,450,897
BlackRock Long-Term Municipal Advantage Trust (c)		8,078		91,201
BlackRock Muni Intermediate Duration Fund, Inc. (c)		19,434		283,736
BlackRock MuniAssets Fund, Inc. (2)(c)		29,613		379,639
BlackRock Municipal Income Investment Quality Trust (c)		18,017		254,941
BlackRock Municipal Income Quality Trust (c)		9,479		133,749
BlackRock Municipal Target Term Trust (c)		52,449		1,065,239
BlackRock MuniEnhanced Fund, Inc. (c)		5,694		63,659
BlackRock MuniHoldings California Quality Fund, Inc. (c)		50,490		723,017
BlackRock MuniHoldings Investment Quality Fund (c)		25,525		354,287
BlackRock MuniHoldings New Jersey Quality Fund, Inc. (c)		28,896		414,658
BlackRock MuniHoldings New York Quality Fund, Inc. (c)		4,298		59,183
BlackRock MuniHoldings Quality Fund II, Inc. (c)		8,407		111,393

CLOSED END FUNDS - 4.7% (continued)	SHARES		VALUE (Note 3)
BlackRock MuniHoldings Quality Fund, Inc. (c)		26,563	$	350,897
BlackRock MuniYield California Fund, Inc. (c)		4,629		69,944
BlackRock MuniYield California Quality Fund, Inc. (c)		26,057		383,820
BlackRock MuniYield Investment Quality Fund (2)(c)		12,845		172,508
BlackRock MuniYield Michigan Quality Fund II, Inc. (c)		31,781		412,200
BlackRock MuniYield Michigan Quality Fund, Inc. (c)		39,559		552,639
BlackRock MuniYield New Jersey Fund, Inc. (c)		11,263		168,382
BlackRock MuniYield New Jersey Quality Fund, Inc. (c)		9,515		137,872
BlackRock MuniYield New York Quality Fund, Inc. (c)		3,526		46,473
BlackRock MuniYield Pennsylvania Quality Fund (c)		24,782		349,178
BlackRock MuniYield Quality Fund II, Inc. (c)		8,323		106,451
BlackRock MuniYield Quality Fund III, Inc. (c)		23,280		321,497
BlackRock Real Asset Equity Trust (c)		180,429		1,694,228
BlackRock Resources & Commodities Strategy Trust (c)		246,101		3,054,113
Blackstone/GSO Strategic Credit Fund (c)		18,017		320,162
CBRE Clarion Global Real Estate Income Fund (c)		166,209		1,514,164
Central Securities Corp. (c)		58,019		1,360,546
Cohen & Steers Closed-End Opportunity Fund, Inc. (c)		51,119		691,129
Cohen & Steers Limited Duration Preferred and Income Fund, Inc. (c)		30,376		773,373
Cohen & Steers Quality Income Realty Fund, Inc. (c)		143,392		1,613,160
Cohen & Steers REIT and Preferred Income Fund, Inc. (c)		98,272		1,771,844
Cohen & Steers Select Preferred and Income Fund, Inc. (2)(c)		21,995		581,108
Cohen & Steers Total Return Realty Fund, Inc. (c)		24,455		303,242
Cushing Renaissance Fund/The (c)		500		14,210
Cutwater Select Income Fund (c)		19,878		400,343
Delaware Investments Minnesota Municipal Income Fund II, Inc. (c)		9,684		137,029
DTF Tax-Free Income, Inc. (c)		8,938		145,689
Duff & Phelps Utility and Corporate Bond Trust, Inc. (c)		9,884		103,584
DWS High Income Opportunities Fund, Inc. (c)		51,469		760,197
DWS High Income Trust (c)		6,711		63,151
Eaton Vance California Municipal Bond Fund		50,904		590,995
Eaton Vance Limited Duration Income Fund		51,540		802,993
Eaton Vance Municipal Bond Fund		34,709		431,433

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

12 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 4.7% (continued)	SHARES		VALUE (Note 3)
Eaton Vance Municipal Bond Fund II		10,829	$	138,828
Eaton Vance National Municipal Opportunities Trust		39,124		782,480
Eaton Vance New York Municipal Bond Fund		36,686		458,575
Eaton Vance Risk-Managed Diversified Equity Income Fund		165,241		1,906,881
Eaton Vance Short Duration Diversified Income Fund		28,803		441,838
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund (2)(c)		17,678		245,371
Eaton Vance Tax-Advantaged Dividend Income Fund		50,415		1,043,590
Ellsworth Fund Ltd. (c)		32,243		284,706
First Trust Aberdeen Emerging Opportunity Fund (2)		1,938		37,035
First Trust Aberdeen Global Opportunity Income Fund (c)		36,931		542,147
First Trust Enhanced Equity Income Fund (c)		37,129		536,885
First Trust High Income Long/Short Fund		69,211		1,256,180
First Trust Strategic High Income Fund II		10,411		170,220
Fort Dearborn Income Securities, Inc.		19,369		288,404
Franklin Limited Duration Income Trust		31,682		414,401
Gabelli Healthcare & WellnessRx Trust/The		7,263		75,099
General American Investors Co., Inc.		2,632		96,884
Guggenheim Build America Bonds Managed Duration Trust		9,497		209,314
Invesco Advantage Municipal Income Trust II		47,751		541,974
Invesco Bond Fund		62,979		1,207,937
Invesco California Value Municipal Income Trust		32,797		406,027
Invesco Dynamic Credit Opportunities Fund		30,431		394,081
Invesco High Income Trust II		1,360		23,310
Invesco Municipal Income Opportunities Trust		25,040		174,278
Invesco Municipal Opportunity Trust (2)		86,355		1,088,073
Invesco Municipal Trust		71,051		889,559
Invesco Pennsylvania Value Municipal Income Trust		2,279		30,675
Invesco Quality Municipal Income Trust		56,899		698,720
Invesco Trust for Investment Grade Municipals		60,708		791,025
Invesco Value Municipal Income Trust		25,698		385,213
John Hancock Hedged Equity & Income Fund		24,931		462,470
John Hancock Income Securities Trust		8,578		125,668
John Hancock Premium Dividend Fund		112,870		1,533,903
John Hancock Tax-Advantaged Dividend Income Fund		73,518		1,538,732
Liberty All Star Equity Fund		38,645		232,256
LMP Corporate Loan Fund, Inc.		4,390		52,768
LMP Real Estate Income Fund, Inc.		31,542		363,048
Macquarie Global Infrastructure Total Return Fund, Inc.		4,946		127,261

CLOSED END FUNDS - 4.7% (continued)	SHARES		VALUE (Note 3)
Madison Covered Call & Equity Strategy Fund		59,244	$	520,755
MFS Investment Grade Municipal Trust		13,859		128,473
MFS Municipal Income Trust		13,103		86,480
Montgomery Street Income Securities, Inc.		15,456		257,806
Morgan Stanley Emerging Markets Fund, Inc.		8,945		143,478
Morgan Stanley Income Securities, Inc.		44,941		811,185
Neuberger Berman High Yield Strategies Fund, Inc.		6,642		91,992
Neuberger Berman Real Estate Securities Income Fund, Inc.		829		4,145
New America High Income Fund, Inc./The		9,184		92,207
Nuveen AMT-Free Municipal Income Fund		103,622		1,396,825
Nuveen Arizona Premium Income Municipal Fund		16,654		226,161
Nuveen Build America Bond Opportunity Fund		16,058		345,729
Nuveen Build American Bond Term Fund		48,414		992,487
Nuveen California AMT-Free Municipal Income Fund		71,772		978,252
Nuveen California Dividend Advantage Municipal Fund		18,781		262,183
Nuveen California Dividend Advantage Municipal Fund 2		16,604		231,958
Nuveen California Dividend Advantage Municipal Fund 3		38,891		497,416
Nuveen Connecticut Premium Income Municipal Fund		35,841		453,030
Nuveen Credit Strategies Income Fund		60,760		568,714
Nuveen Diversified Dividend & Income Fund		40,687		498,823
Nuveen Dividend Advantage Municipal Fund		67,292		951,509
Nuveen Dividend Advantage Municipal Fund 2		60,194		836,697
Nuveen Dividend Advantage Municipal Fund 3		94,193		1,288,560
Nuveen Dividend Advantage Municipal Income Fund		67,955		962,243
Nuveen Georgia Dividend Advantage Municipal Fund 2		18,723		240,216
Nuveen Global Equity Income Fund		63,772		939,362
Nuveen Intermediate Duration Municipal Term Fund		81,464		1,025,632
Nuveen Investment Quality Municipal Fund, Inc.		21,980		322,666
Nuveen Maryland Premium Income Municipal Fund		63,851		822,401
Nuveen Massachusetts Premium Income Municipal Fund		100		1,335
Nuveen Municipal Advantage Fund, Inc. (2)		96,298		1,294,245
Nuveen Municipal Market Opportunity Fund, Inc.		81,360		1,086,156
Nuveen Municipal Opportunity Fund, Inc.		99,967		1,410,534
Nuveen New Jersey Investment Quality Municipal Fund, Inc.		35,298		484,642

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

AQR Funds Semi-Annual Report June 2014 13

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 4.7% (continued)	SHARES		VALUE (Note 3)
Nuveen New Jersey Premium Income Municipal Fund, Inc.		17,708	$	250,391
Nuveen New York AMT-Free Municipal Income Fund		79,689		1,044,723
Nuveen New York Dividend Advantage Municipal Fund		18,434		253,099
Nuveen New York Performance Plus Municipal Fund, Inc.		12,267		177,258
Nuveen North Carolina Premium Income Municipal Fund		39,608		522,430
Nuveen Ohio Quality Income Municipal Fund		4,634		72,939
Nuveen Pennsylvania Investment Quality Municipal Fund		51,166		711,207
Nuveen Performance Plus Municipal Fund, Inc.		48,894		716,786
Nuveen Preferred & Income Term Fund		20,780		487,914
Nuveen Preferred Income Opportunities Fund		142,379		1,381,076
Nuveen Premier Municipal Income Fund, Inc. (2)		27,539		375,357
Nuveen Premium Income Municipal Fund 2, Inc.		125,772		1,740,684
Nuveen Premium Income Municipal Fund 4, Inc.		29,574		379,434
Nuveen Premium Income Municipal Fund, Inc.		81,260		1,104,323
Nuveen Quality Income Municipal Fund, Inc. (2)		114,858		1,575,852
Nuveen Quality Municipal Fund, Inc. (2)		74,377		975,082
Nuveen Quality Preferred Income Fund		163,695		1,393,044
Nuveen Quality Preferred Income Fund II		385,842		3,484,153
Nuveen Quality Preferred Income Fund III		68,416		593,851
Nuveen Select Quality Municipal Fund, Inc.		63,334		877,809
Nuveen Select Tax Free		1,442		20,303
Nuveen Select Tax Free 2		982		13,434
Nuveen Tax-Advantaged Dividend Growth Fund		13,924		226,961
Nuveen Texas Quality Income Municipal Fund		6,703		96,121
Nuveen Virginia Premium Income Municipal Fund		26,091		347,793
Petroleum & Resources Corp.		76,179		2,375,261
Putnam High Income Securities Fund		39,799		346,649
Putnam Managed Municipal Income Trust		47,112		337,793
Putnam Municipal Opportunities Trust		72,651		853,649
RMR Real Estate Income Fund		1,898		37,391
Stone Harbor Emerging Markets Total Income Fund		2,038		41,086
Templeton Global Income Fund		25,056		206,963
Transamerica Income Shares, Inc.		18,793		398,036
Tri-Continental Corp.		3,685		77,311
Voya Global Advantage and Premium Opportunity Fund		8,523		105,089
Voya Global Equity Dividend and Premium Opportunity Fund		76,410		741,177

CLOSED END FUNDS - 4.7% (continued)	SHARES		VALUE (Note 3)
Voya Infrastructure Industrials and Materials Fund		15,551	$	288,938
Voya Natural Resources Equity Income Fund		59,972		689,678
Wells Fargo Advantage Global Dividend Opportunity Fund		121,132		1,028,411
Wells Fargo Advantage Income Opportunities Fund		7,653		73,163
Wells Fargo Advantage Multi- Sector Income Fund (2)		96,394		1,436,271
Western Asset Global Corporate Defined Opportunity Fund, Inc.		91,326		1,706,883
Western Asset Global High Income Fund, Inc.		14,305		183,819
Western Asset High Income Opportunity Fund, Inc.		39,216		239,218
Western Asset Income Fund		25,097		348,597
Western Asset Intermediate Muni Fund, Inc.		1,489		14,533
Western Asset Investment Grade Defined Opportunity Trust, Inc.		14,563		309,755
Western Asset Managed High Income Fund, Inc.		32,464		188,291
Western Asset Municipal High Income Fund, Inc.		36,769		271,355
Western Asset Municipal Partners Fund, Inc.		10,928		160,969
Western Asset Worldwide Income Fund, Inc.		43,258		568,843
Zweig Fund, Inc.		15,276		239,069
TOTAL CLOSED END FUNDS (cost $118,819,616)				132,428,345

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

14 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

LOAN PARTICIPATIONS - 0.8%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Consumer Discretionary - 0.2%
Dex Media West, Inc. (2)(i)		8.000%		12/30/16	$	1,451	$	1,341,023
Exide Technologies (2)		9.000%		10/09/14		3,504		3,521,931
RH Donnelley, Inc. (2)(i)		9.750%		12/30/16		3,571		2,546,448
								7,409,402
Energy - 0.2%
Overseas Shipholding Group, Inc. (2)(g)(i)		0.000%		12/31/14		3,975		4,140,837
Financials - 0.1%
J.G. Wentworth LLC (2)(i)		7.000%		02/08/19		1,876		1,873,829
Materials - 0.1%
Momentive Performance Materials, Inc. (3)(b)(i)		4.000%		04/15/15		3,000		3,005,640
Utilities - 0.2%
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (2)(i)		3.250%		06/19/16		5,050		5,080,653
TOTAL LOAN PARTICIPATIONS (cost $21,730,533)								21,510,361

PREFERRED STOCKS - 0.4%	SHARES		VALUE (Note 3)
Financials - 0.3%
Ally Financial, Inc., Perpetual Preferred Stock, Series G 144A (2)(c)(e)(f)		2,175	$	2,180,506
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series Z †(e)(i)		248,730		2,713,644
Federal National Mortgage Association, Perpetual Preferred Stock, Series S (2)†(e)(i)		248,730		2,574,355
First Bank, Inc., Perpetual Preferred Stock (3)†(b)(e)		2,458		898,796
				8,367,301
Utilities - 0.1%
Genie Energy Ltd., Perpetual Preferred Stock, Series 12-A †(e)(i)		218,975		1,668,590
TOTAL PREFERRED STOCKS (cost $9,810,082)				10,035,891
RIGHTS - 0.0% (a)
Financials - 0.0% (a)
Quartet Merger Corp. (2)†		907,200		607,824
Health Care - 0.0% (a)
American Medical Alert Corp. (3)†(b)		283,523		2,835
American Surgical Holdings, Inc. (3)†(b)		15,747		—
Community Health Systems, Inc. †(c)		2,402,200		160,707
Forest Laboratories, Inc. (3)†(b)		335,833		—
				163,542

	SHARES		VALUE (Note 3)
Information Technology - 0.0% (a)
Gerber Scientific, Inc. (3)†(b)		879,944	$	—
TOTAL RIGHTS (cost $—)				771,366
WARRANTS - 0.5%
Consumer Discretionary - 0.1%
EveryWare Global, Inc. (2)†		756,000		45,360
General Motors Co. †		356,485		894,777
Hemisphere Media Group, Inc. (2)†		743,407		877,220
IVS Group SA (Luxembourg) (2)†		590,301		290,988
				2,108,345
Energy - 0.0% (a)
Glori Energy, Inc. †		287,100		356,004
Green Field Energy Services, Inc. (3)†(b)		2,025		—
Harvest Natural Resources, Inc. (3)†(b)		51,454		21,840
Integrated Drilling Equipment Holdings Corp. (3)†(b)		680,000		27,200
				405,044
Financials - 0.3%
Aquasition Corp. (United Kingdom) †(c)		849,828		118,126
Associated Banc-Corp †		20,065		42,738
Boston Private Financial Holdings, Inc. †		97,674		523,533
Boulevard Acquisition Corp. (2)†(c)		504,000		257,040
Cambridge Capital Acquisition Corp. (3)†(b)(c)		1,478,400		517,440
Capitol Acquisition Corp. II †(c)		720,000		264,600
Chart Acquisition Corp. †(c)		1,268,625		577,224

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

AQR Funds Semi-Annual Report June 2014 15

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 3)
Financials - 0.3% (continued)
Cis Acquisition Ltd. (Russian Federation) †		850,000	$	119,000
Collabrium Japan Acquisition Corp. (United Kingdom) †(c)		595,000		44,625
Comerica, Inc. †		9,708		46,501
Hennessy Capital Acquisition Corp. (2)†		756,000		340,200
Levy Acquisition Corp. †		945,000		350,595
Neostem (3)†(b)		243,000		9,375
Prime Acquisition Corp. (China) (3)†(b)		524,728		83,957
Quinpario Acquisition Corp. †		1,933,070		2,628,975
ROI Acquisition Corp. II †		882,000		202,860
Silver Eagle Acquisition Corp. (2)†		1,971,250		1,005,338
Valley National Bancorp †		49,509		21,289
				7,153,416
Health Care - 0.0% (a)
Cormedix, Inc. †(c)		75,400		30,160
Healthcare Corp. of America (3)†(b)		414,792		4,148
Mast Therapeutics, Inc. (3)†(b)		103,750		9,460
Pluristem Therapeutics, Inc. (Israel) (3)†(b)		63,750		19,763
ReGeneRx Biopharmaceuticals, Inc. (2)†		240,000		9,120
Venaxis, Inc. (3)†(b)		24,000		10,080
				82,731
Industrials - 0.0% (a)
Arabella Exploration, Inc. (Hong Kong) †(c)		328,820		808,897
Jack Cooper Holdings Corp. (3)†(b)		2,223		333,450
Pingtan Marine Enterprise Ltd. (China) (3)†(b)		395,000		39,500
				1,181,847
Information Technology - 0.1%
exceet Group SE (Germany) (3)†(b)		72,000		7,789
Global Eagle Entertainment, Inc. †		372,773		1,547,008
Net Element International, Inc. (Bulgaria) (3)†(b)		319,668		15,983
RMG Networks Holding Corp. †		631,210		176,739
Transwitch Corp. (3)†(b)		640,000		6
				1,747,525
Materials - 0.0% (a)
Plastec Technologies Ltd. (Hong Kong) (3)†(b)		56,004		—
Tecnoglass, Inc. (2)†		371,009		1,484,036
				1,484,036
Utilities - 0.0% (a)
Electrawinds SE (Germany) (3)†(b)		621,000		4,252
TOTAL WARRANTS (cost $1,985,436)				14,167,196

	SHARES			VALUE (Note 3)
MONEY MARKET FUNDS - 9.2%
J.P. Morgan Prime Money Market Fund - Capital Shares, 0.030% (2)(j)(k)		89,353,192		$	89,353,192
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(j)		167,311,152			167,311,152
TOTAL MONEY MARKET FUNDS (cost $256,664,344)					256,664,344
		CONTRACTS/ NOTIONAL
PURCHASED OPTIONS - 0.2%
Put - CBS Corp., Expires 07/19/2014, Strike $80.00		1,325			2,400,900
Put - CBS Outdoor Americas, Inc., Expires 07/19/2014, Strike $45.00		1,165			1,578,575
Put - Mallinckrodt PLC, Expires 10/18/2014, Strike $95.00		769			1,538,000
TOTAL PURCHASED OPTIONS (cost $5,775,818)					5,517,475
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (cost $3,661,990,760)					3,773,524,871
		SHARES
SECURITIES SOLD SHORT - (56.6)%
COMMON STOCKS - (54.9)%
Consumer Discretionary - (7.4)%
Carriage Services, Inc.		(189,233	)		(3,241,561	)
Comcast Corp., Class A		(884,715	)		(47,491,501	)
JAKKS Pacific, Inc. †		(516,758	)		(3,999,707	)
Lennar Corp., Class A		(904,428	)		(37,967,887	)
Liberty Global PLC, Class A (United Kingdom) †		(104,821	)		(4,635,185	)
Liberty Global PLC, Class C (United Kingdom) †		(258,607	)		(10,941,662	)
M/I Homes, Inc. †		(102,166	)		(2,479,569	)
Matthews International Corp., Class A		(14,526	)		(603,846	)
Meritage Homes Corp. †		(24,688	)		(1,042,081	)
MGM Resorts International †		(529,048	)		(13,966,867	)
New Media Investment Group, Inc. †		(1	)		(14	)
Publicis Groupe SA (France) (2)		(8,755	)		(742,043	)
Regis Corp.		(45,581	)		(641,781	)
Ryland Group, Inc./The		(141,802	)		(5,592,671	)
Sirius XM Holdings, Inc. †		(3,138,604	)		(10,859,570	)
Standard Pacific Corp. †		(990,779	)		(8,520,699	)
Tesla Motors, Inc. †		(69,615	)		(16,711,777	)
Time Warner Cable, Inc.		(23,900	)		(3,520,470	)
Time, Inc. †		(1	)		(24	)
TRW Automotive Holdings Corp. †		(225,031	)		(20,144,775	)
Twenty-First Century Fox, Inc., Class A		(358,403	)		(12,597,865	)
					(205,701,555	)

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

16 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 3)
Consumer Staples - (1.4)%
Alliance One International, Inc. †		(12,721	)	$	(31,803	)
Bunge Ltd.		(53,777	)		(4,067,692	)
Herbalife Ltd.		(7,652	)		(493,860	)
Hillshire Brands Co./The		(56,600	)		(3,526,180	)
Post Holdings, Inc. †		(106,918	)		(5,443,195	)
Rite Aid Corp. †		(115,908	)		(831,060	)
Universal Corp.		(162,122	)		(8,973,453	)
Vector Group Ltd.		(770,775	)		(15,939,627	)
					(39,306,870	)
Energy - (4.2)%
Alpha Natural Resources, Inc. †		(237,096	)		(879,626	)
Bristow Group, Inc.		(894	)		(72,074	)
Cal Dive International, Inc. †		(736,554	)		(972,251	)
Chesapeake Energy Corp.		(38,369	)		(1,192,509	)
Emerald Oil, Inc. †		(266,724	)		(2,040,439	)
Energy XXI Bermuda Ltd. (c)		(50,892	)		(1,202,578	)
Exterran Holdings, Inc.		(1,968	)		(88,540	)
Goodrich Petroleum Corp. †		(8,367	)		(230,929	)
McDermott International, Inc. †		(429,361	)		(3,473,531	)
National Oilwell Varco, Inc.		(421,049	)		(34,673,385	)
Oil States International, Inc. †		(23,394	)		(1,499,322	)
ONEOK, Inc.		(50,107	)		(3,411,285	)
PDC Energy, Inc. †		(101,568	)		(6,414,019	)
Polarcus Ltd. (Norway) (2)†		(155,079	)		(87,118	)
Renewable Energy Group, Inc. †		(112,760	)		(1,293,357	)
Royal Dutch Shell PLC ADR (Netherlands)		(54,794	)		(4,767,626	)
Sanchez Energy Corp. †		(1,187,490	)		(44,637,749	)
Scorpio Tankers, Inc. (Monaco)		(193,743	)		(1,970,366	)
Surge Energy, Inc. (Canada)		(168,044	)		(1,231,530	)
Tourmaline Oil Corp. (Canada) †		(44,702	)		(2,356,904	)
Vantage Drilling Co. †		(1,423,419	)		(2,732,965	)
ZaZa Energy Corp. †		(164,657	)		(144,898	)
					(115,373,001	)
Financials - (14.7)%
American Equity Investment Life Holding Co.		(1,658,830	)		(40,807,218	)
American Realty Capital Properties, Inc. REIT		(278,397	)		(3,488,314	)
Annaly Capital Management, Inc. REIT		(1,663	)		(19,008	)
Ares Capital Corp.		(83,540	)		(1,492,024	)
Associated Banc-Corp		(9,873	)		(178,504	)
AV Homes, Inc. †		(306,407	)		(5,009,754	)
Banco Santander SA (Spain) (2)		(42,282	)		(441,816	)
BioMed Realty Trust, Inc. REIT		(126,305	)		(2,757,238	)
Boston Private Financial Holdings, Inc.		(90,309	)		(1,213,753	)
Cowen Group, Inc., Class A †		(597,561	)		(2,521,707	)
E*TRADE Financial Corp. †		(166,514	)		(3,540,088	)
Element Financial Corp. (Canada) †		(248,500	)		(3,139,291	)
Encore Capital Group, Inc. †		(23,600	)		(1,071,912	)
Endurance Specialty Holdings Ltd.		(239,683	)		(12,365,246	)
Essex Property Trust, Inc. REIT		(32,354	)		(5,982,578	)
Ezcorp, Inc., Class A †		(103,992	)		(1,201,108	)
Gain Capital Holdings, Inc.		(139,927	)		(1,101,225	)

	SHARES			VALUE (Note 3)
Financials - (14.7)% (continued)
Health Care REIT, Inc. REIT		(120,701	)	$	(7,564,332	)
Heritage Financial Corp./WA		(113,392	)		(1,824,477	)
Hilltop Holdings, Inc. †		(10,644	)		(226,291	)
iStar Financial, Inc. REIT †		(374,332	)		(5,607,493	)
KCAP Financial, Inc.		(254,908	)		(2,164,169	)
Kilroy Realty Corp. REIT		(203,612	)		(12,680,955	)
Lexington Realty Trust REIT		(1,010,021	)		(11,120,331	)
M&T Bank Corp.		(322,125	)		(39,959,606	)
MB Financial, Inc.		(28,518	)		(771,412	)
MBIA, Inc. †		(187,813	)		(2,073,456	)
Meadowbrook Insurance Group, Inc.		(199,047	)		(1,431,148	)
Mercantile Bank Corp.		(54,787	)		(1,253,527	)
MGIC Investment Corp. †		(1,548,749	)		(14,310,441	)
National Penn Bancshares, Inc.		(334,670	)		(3,540,809	)
Navient Corp.		(660,975	)		(11,705,867	)
NorthStar Asset Management Corp., Inc. †		(856,026	)		(15,151,660	)
NorthStar Realty Finance Corp. REIT †		(884,997	)		(14,884,753	)
Old National Bancorp/IN		(194,923	)		(2,783,500	)
PacWest Bancorp		(1	)		(43	)
PHH Corp. †		(590,909	)		(13,579,089	)
Prospect Capital Corp.		(37,993	)		(403,676	)
Radian Group, Inc.		(2,118,167	)		(31,370,053	)
Ramco-Gershenson Properties Trust REIT		(259,033	)		(4,305,128	)
Resource Capital Corp. REIT		(77,027	)		(433,662	)
Ryman Hospitality Properties, Inc. REIT		(807,043	)		(38,859,120	)
Signature Bank †		(82,092	)		(10,358,369	)
SL Green Realty Corp. REIT		(62,092	)		(6,793,486	)
SLM Corp.		(660,975	)		(5,492,702	)
Southside Bancshares, Inc.		(156,286	)		(4,526,043	)
Spirit Realty Capital, Inc. REIT		(85,508	)		(971,371	)
Stewart Information Services Corp.		(475,544	)		(14,746,619	)
TICC Capital Corp. (2)		(8,252	)		(81,695	)
Trico Bancshares		(87,019	)		(2,013,620	)
Umpqua Holdings Corp.		(202,449	)		(3,627,886	)
Valley National Bancorp		(540,994	)		(5,361,251	)
Ventas, Inc. REIT		(332,986	)		(21,344,403	)
Wintrust Financial Corp.		(216,157	)		(9,943,222	)
ZAIS Financial Corp. REIT		(51,703	)		(859,304	)
					(410,455,753	)
Health Care - (8.2)%
AbbVie, Inc.		(133,540	)		(7,536,998	)
Accuray, Inc. †		(560,757	)		(4,934,661	)
Acorda Therapeutics, Inc. †		(14,597	)		(492,065	)
Actavis PLC †		(175,483	)		(39,141,483	)
Affymetrix, Inc. †		(735,112	)		(6,549,848	)
Albany Molecular Research, Inc. †		(82,940	)		(1,668,753	)
Allergan, Inc.		(7,400	)		(1,252,228	)
Auxilium Pharmaceuticals, Inc. †		(73,722	)		(1,478,863	)
Brookdale Senior Living, Inc. †		(493,646	)		(16,458,158	)
Chemed Corp.		(25,487	)		(2,388,642	)
Exelixis, Inc. †		(354,094	)		(1,200,379	)

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

AQR Funds Semi-Annual Report June 2014 17

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 3)
Health Care - (8.2)% (continued)
Healthways, Inc. †		(74,497	)	$	(1,306,677	)
Illumina, Inc. †		(139,596	)		(24,923,470	)
Mallinckrodt PLC †		(124,878	)		(9,992,737	)
Medtronic, Inc.		(449,546	)		(28,663,053	)
Molina Healthcare, Inc. †		(58,427	)		(2,607,597	)
Omnicare, Inc.		(60,545	)		(4,030,481	)
PDL BioPharma, Inc.		(262,000	)		(2,536,160	)
Pfizer, Inc.		(378,984	)		(11,248,245	)
Regeneron Pharmaceuticals, Inc. †		(140,513	)		(39,690,707	)
Sequenom, Inc. †		(1,046,963	)		(4,051,747	)
Spectrum Pharmaceuticals, Inc. †		(385,743	)		(3,136,090	)
Theravance Biopharma, Inc. (Cayman Islands) †		(14,806	)		(472,015	)
Theravance, Inc. †		(69,800	)		(2,078,644	)
Valeant Pharmaceuticals International, Inc. †		(84,606	)		(10,670,509	)
					(228,510,210	)
Industrials - (4.3)%
Aegean Marine Petroleum Network, Inc. (Greece)		(49,188	)		(496,307	)
AGCO Corp.		(1,167	)		(65,609	)
Allegion PLC (Ireland)		(2	)		(113	)
Alliant Techsystems, Inc.		(8,768	)		(1,174,211	)
CBIZ, Inc. †		(163,395	)		(1,475,457	)
Cenveo, Inc. †		(318,153	)		(1,180,348	)
Civeo Corp. †		(46,788	)		(1,171,104	)
GenCorp, Inc. †		(397,156	)		(7,585,680	)
General Cable Corp.		(42,600	)		(1,093,116	)
Genesee & Wyoming, Inc., Class A †		(1,211	)		(127,155	)
Hawaiian Holdings, Inc. †		(36,539	)		(500,950	)
JetBlue Airways Corp. †		(1,298,095	)		(14,084,331	)
L-3 Communications Holdings, Inc.		(277,071	)		(33,456,323	)
Layne Christensen Co. †		(47,445	)		(631,018	)
MasTec, Inc. †		(227,609	)		(7,014,909	)
Meritor, Inc. †		(32,413	)		(422,666	)
Navistar International Corp. †		(2,176	)		(81,556	)
NOW, Inc. †		(105,925	)		(3,835,544	)
Terex Corp.		(691,663	)		(28,427,349	)
Titan International, Inc.		(765,777	)		(12,880,369	)
UTi Worldwide, Inc. †		(413,891	)		(4,279,633	)
					(119,983,748	)
Information Technology - (10.4)%
Applied Materials, Inc.		(1,461,899	)		(32,965,822	)
Blackhawk Network Holdings, Inc., Class B †		(31	)		(832	)
Blucora, Inc. †		(48,723	)		(919,403	)
Ciena Corp. †		(1,085,582	)		(23,513,706	)
Convergys Corp.		(603,199	)		(12,932,587	)
Finisar Corp. †		(34,098	)		(673,436	)
Global Eagle Entertainment, Inc. †		(255,465	)		(3,167,766	)
GT Advanced Technologies, Inc. †		(407,592	)		(7,581,211	)
j2 Global, Inc.		(24,797	)		(1,261,175	)
Microchip Technology, Inc.		(398,299	)		(19,440,974	)
Micron Technology, Inc. †		(1,864,691	)		(61,441,568	)

	SHARES			VALUE (Note 3)
Information Technology - (10.4)% (continued)
ModusLink Global Solutions, Inc. †		(901,983	)	$	(3,373,416	)
Nuance Communications, Inc. †		(7,059	)		(132,497	)
Photronics, Inc. †		(432,751	)		(3,721,659	)
Quantum Corp. †		(706,284	)		(861,667	)
Rambus, Inc. †		(375,730	)		(5,372,939	)
RF Micro Devices, Inc. †		(113,103	)		(1,084,658	)
Riverbed Technology, Inc. †		(87,000	)		(1,794,810	)
SunEdison, Inc. †		(2,141,233	)		(48,391,866	)
SunPower Corp. †		(26,354	)		(1,079,987	)
VeriSign, Inc. †		(679,006	)		(33,142,283	)
Vishay Intertechnology, Inc.		(231,270	)		(3,582,372	)
VMware, Inc., Class A †		(46,479	)		(4,499,632	)
Web.com Group, Inc. †		(198,086	)		(5,718,743	)
WebMD Health Corp. †		(277,039	)		(13,380,984	)
					(290,035,993	)
Materials - (0.7)%
A.M. Castle & Co. †		(62,962	)		(695,100	)
Cemex SAB de CV ADR (Mexico) †		(153,481	)		(2,030,554	)
First Quantum Minerals Ltd. (Canada)		(149,298	)		(3,192,897	)
Holcim Ltd. (Switzerland) (2)†		(40,041	)		(3,517,098	)
Martin Marietta Materials, Inc.		(2,182	)		(288,133	)
Rio Alto Mining Ltd. (Canada) †		(587,728	)		(1,365,977	)
RTI International Metals, Inc. †		(16,610	)		(441,660	)
Stillwater Mining Co. †		(338,597	)		(5,942,377	)
Vale SA ADR (Brazil)		(195,480	)		(2,586,200	)
					(20,059,996	)
Telecommunication Services - (1.0)%
AT&T, Inc.		(668,398	)		(23,634,553	)
Level 3 Communications, Inc. †		(52,096	)		(2,287,536	)
United States Cellular Corp. †		(63,844	)		(2,604,835	)
					(28,526,924	)
Utilities - (2.6)%
Dominion Resources, Inc.		(296,825	)		(21,228,924	)
Exelon Corp.		(58,600	)		(2,137,728	)
NextEra Energy, Inc.		(341,420	)		(34,988,722	)
NRG Yield, Inc., Class A		(249,537	)		(12,988,401	)
ONE Gas, Inc.		(12,527	)		(472,894	)
Wisconsin Energy Corp.		(212	)		(9,947	)
					(71,826,616	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $1,450,914,880)					(1,529,780,666	)

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

18 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE BONDS - (1.0)%	INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’s)			VALUE (Note 3)
Consumer Discretionary - (0.4)%
Ford Motor Co. (2)		4.250	%		11/15/16	$	(4,825	)	$	(9,640,953	)
Health Care - (0.2)%
Teva Pharmaceutical Finance Co. LLC, Series C (2)		0.250	%		02/01/26		(4,075	)		(5,208,359	)
Information Technology - (0.4)%
Intel Corp. (2)		3.250	%		08/01/39		(3,775	)		(5,822,938	)
ON Semiconductor Corp., Series B (2)		2.625	%		12/15/26		(4,975	)		(5,836,297	)
										(11,659,235	)
TOTAL CONVERTIBLE BONDS SOLD SHORT (proceeds $24,821,345)										(26,508,547	)
						SHARES
EXCHANGE TRADED FUNDS - 0.0% (a)
SPDR S&P Regional Banking ETF (proceeds $124,438)							(3,082	)		(124,266	)
PREFERRED STOCKS - (0.6)%
Consumer Discretionary - (0.6)%
Volkswagen AG (Germany) (2) (proceeds $12,487,648)							(60,872	)		(15,943,388	)
						PRINCIPAL AMOUNT (000’s)
U.S. TREASURY OBLIGATIONS - (0.1)%
U.S. Treasury Note (2) (proceeds $2,877,281)		0.250	%		08/15/15	$	(2,875	)		(2,877,697	)
TOTAL SECURITIES SOLD SHORT (proceeds $1,491,225,592)										(1,575,234,564	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 78.9% (cost $2,170,765,168)										2,198,290,307
OTHER ASSETS IN EXCESS OF LIABILITIES - 21.1% (l)										587,152,483
NET ASSETS - 100.0%									$	2,785,442,790

† Non income-producing security.

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

(b) Security fair valued at as of June 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $144,594,999 or 5.2% of total net assets.

(c) 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, 2014, the value of these securities was $330,407,917. In addition, $558,326,003 of cash collateral was pledged.

(d) Represents a Pay-in-Kind Stock.

(e) Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of June 30, 2014.

(f) 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.

(g) Defaulted security.

(h) Represents a step bond. The rate shown reflects the yield at June 30, 2014.

(i) Indicates a variable rate security. The interest rate shown represents the discount rate at June 30, 2014.

(j) Represents annualized seven-day yield as of June 30, 2014.

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

(l) Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and call options written.

* All or a portion of this security has been segregated for covered call options written.

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

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

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

AQR Funds Semi-Annual Report June 2014 19

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

All securities are Level 1 with respect to ASC 820, unless otherwise noted 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

EUR - Euro

MTN - Medium Term Note

NOK - Norwegian Krone

REIT - Real Estate Investment Trust

USD - United States Dollar

Credit default swap contracts buy protection as of June 30, 2014:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank, Inc.	Markit CDX North America High Yield Index Series 22	5.000%	USD		3.030%		329,825,000		$(23,047,100)		06/20/2019		$(5,835,843)
CitiBank, Inc.	Markit CDX North America Investment Grade Index Series 22	1.000%	USD		0.580%		7,975,000		(110,283)		06/20/2019		(50,318)
									$(23,157,383)				$(5,886,161)

Credit default swap contracts sell protection as of June 30, 2014:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE RECEIVED BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CitiBank, Inc.

Markit CDX North America High Yield Index Series 22

5.000%

USD

3.030%

26,325,000

$2,195,447

06/20/2019

$109,846

Cash held as collateral at CitiBank for credit default swap contracts was $36,152,004 at June 30, 2014.

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

20 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Open written options contracts outstanding at June 30, 2014:

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
21	Allergan, Inc. (Exercise price $155)	J.P. Morgan		July 19, 2014		$(30,259)		$(30,240)		$19
21	Allergan, Inc. (Exercise price $160)	J.P. Morgan		July 19, 2014		(24,043)		(24,570)		(527)
21	Allergan, Inc. (Exercise price $165)	J.P. Morgan		July 19, 2014		(18,247)		(15,540)		2,707
21	Allergan, Inc. (Exercise price $155)	J.P. Morgan		September 20, 2014		(31,667)		(39,690)		(8,023)
21	Allergan, Inc. (Exercise price $160)	J.P. Morgan		September 20, 2014		(24,737)		(31,500)		(6,763)
1,325	CBS Corp., Class B (Exercise price $80)(2)	J.P. Morgan		July 19, 2014		(9,901)		(2,650)		7,251
1,165	CBS Outdoor Americas, Inc. (Exercise price $45)	J.P. Morgan		July 19, 2014		(6,668)		(5,825)		843
1,759	Fusion-io, Inc. (Exercise price $11)(2)	J.P. Morgan		September 20, 2014		(106,441)		(61,565)		44,876
4,000	General Motors Co. (Exercise price $42)	J.P. Morgan		January 15, 2016		(2,203,697)		(820,000)		1,383,697
769	Mallinckrodt PLC (Exercise price $95)	J.P. Morgan		October 18, 2014		(136,386)		(142,265)		(5,879)
20	OpenTable, Inc. (Exercise price $100)	J.P. Morgan		October 18, 2014		(8,599)		(7,200)		1,399
11	Time Warner Cable, Inc. (Exercise price $130)	J.P. Morgan		July 19, 2014		(11,267)		(18,370)		(7,103)
25	Time Warner Cable, Inc. (Exercise price $130)	J.P. Morgan		January 17, 2015		(24,098)		(47,750)		(23,652)
						$(2,636,010)		$(1,247,165)		$1,388,845

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

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
4,316	Barclays Capital	S&P 500 E-Mini Futures		9/2014		$(415,692,528)		$(421,327,920)		$(5,635,392)
695	Barclays Capital	U.S. Treasury 10-Year Note Futures		9/2014		(86,811,120)		(86,994,453)		(183,333)
1,599	J.P. Morgan	U.S. Treasury 2-Year Note Futures		9/2014		(351,315,433)		(351,130,406)		185,027
499	J.P. Morgan	U.S. Treasury 5-Year Note Futures		9/2014		(59,688,369)		(59,611,008)		77,361
						$(913,507,450)		$(919,063,787)		$(5,556,337)

Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $25,248,876 and $542,090, respectively at June 30, 2014.

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

AQR Funds Semi-Annual Report June 2014 21

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 07/07/14	The Royal Bank of Scotland	CAD		996		$908		$933		$25
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		542,055		496,562		507,012		10,450
Euro, Expiring 09/17/14	Credit Suisse International	EUR		2,480,808		3,376,660		3,397,970		21,310
Euro, Expiring 07/09/14	The Royal Bank of Scotland	EUR		996,273		1,368,589		1,364,241		(4,348)
Euro, Expiring 08/07/14	The Royal Bank of Scotland	EUR		408,086		564,755		558,872		(5,883)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		6,369,484		8,643,882		8,724,300		80,418
Euro, Expiring 12/31/14	The Royal Bank of Scotland	EUR		5,891,540		8,032,291		8,073,235		40,944
Euro, Expiring 01/07/15	The Royal Bank of Scotland	EUR		64,828		89,500		88,838		(662)
British Pound, Expiring 04/07/15	The Royal Bank of Scotland	GBP		393,189		665,618		670,534		4,916
Norwegian Krone, Expiring 04/27/16	The Royal Bank of Scotland	NOK		19,387,600		3,091,382		3,103,520		12,138
						$26,330,147		$26,489,455		$159,308
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(2,800,382)		$(2,564,498)		$(2,619,340)		$(54,842)
Canadian Dollar, Expiring 07/07/14	The Royal Bank of Scotland	CAD		(996)		(902)		(933)		(31)
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		(6,804,065)		(6,255,819)		(6,364,188)		(108,369)
Canadian Dollar, Expiring 09/30/14	The Royal Bank of Scotland	CAD		(1,553,807)		(1,447,196)		(1,452,889)		(5,693)
Euro, Expiring 07/09/14	The Royal Bank of Scotland	EUR		(3,390,962)		(4,599,473)		(4,643,397)		(43,924)
Euro, Expiring 08/07/14	The Royal Bank of Scotland	EUR		(2,021,638)		(2,780,660)		(2,768,623)		12,037
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(7,748,041)		(10,506,651)		(10,612,514)		(105,863)
Euro, Expiring 12/31/14	The Royal Bank of Scotland	EUR		(5,891,540)		(8,141,057)		(8,073,235)		67,822
Euro, Expiring 01/07/15	The Royal Bank of Scotland	EUR		(5,117,601)		(6,971,352)		(7,012,963)		(41,611)
Euro, Expiring 04/07/15	The Royal Bank of Scotland	EUR		(21,000)		(27,804)		(28,792)		(988)
Euro, Expiring 06/09/15	The Royal Bank of Scotland	EUR		(742,500)		(956,986)		(1,018,514)		(61,528)
Euro, Expiring 11/09/15	The Royal Bank of Scotland	EUR		(311,240)		(401,618)		(428,190)		(26,572)
Euro, Expiring 04/05/16	The Royal Bank of Scotland	EUR		(21,000)		(27,886)		(28,979)		(1,093)

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

22 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 04/05/17	The Royal Bank of Scotland	EUR		(21,000)		$(28,010)		$(29,448)		$(1,438)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(3,439,378)		(5,845,878)		(5,882,356)		(36,478)
British Pound, Expiring 04/07/15	The Royal Bank of Scotland	GBP		(5,559,115)		(9,346,356)		(9,480,370)		(134,014)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		(2,004,763)		(332,919)		(325,860)		7,059
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		(4,058,740)		(665,891)		(659,720)		6,171
Norwegian Krone, Expiring 09/29/14	The Royal Bank of Scotland	NOK		(368,000)		(58,875)		(59,788)		(913)
Norwegian Krone, Expiring 11/18/14	The Royal Bank of Scotland	NOK		(17,178,750)		(2,863,290)		(2,785,917)		77,373
Norwegian Krone, Expiring 12/11/14	The Royal Bank of Scotland	NOK		(1,397,358)		(222,594)		(226,424)		(3,830)
Norwegian Krone, Expiring 12/18/14	The Royal Bank of Scotland	NOK		(2,066,424)		(333,692)		(334,752)		(1,060)
Norwegian Krone, Expiring 12/29/14	The Royal Bank of Scotland	NOK		(364,000)		(58,017)		(58,943)		(926)
Norwegian Krone, Expiring 03/19/15	The Royal Bank of Scotland	NOK		(2,082,751)		(334,977)		(336,342)		(1,365)
Norwegian Krone, Expiring 03/27/15	The Royal Bank of Scotland	NOK		(360,000)		(57,174)		(58,120)		(946)
Norwegian Krone, Expiring 06/11/15	The Royal Bank of Scotland	NOK		(26,889,722)		(4,251,474)		(4,332,197)		(80,723)
Norwegian Krone, Expiring 06/18/15	The Royal Bank of Scotland	NOK		(75,604,625)		(12,130,511)		(12,178,326)		(47,815)
Norwegian Krone, Expiring 06/29/15	The Royal Bank of Scotland	NOK		(12,368,000)		(1,956,652)		(1,991,661)		(35,009)
Norwegian Krone, Expiring 04/27/16	The Royal Bank of Scotland	NOK		(19,387,600)		(3,266,931)		(3,103,520)		163,411
						(86,435,143)		(86,896,301)		(461,158)
						$(60,104,996)		$(60,406,846)		$(301,850)

Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $2 and $129,438 at June 30, 2014.

CAD - Canadian Dollar

EUR - Euro

GBP - British Pound

NOK - Norwegian Krone

USD - United States Dollar

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

AQR Funds Semi-Annual Report June 2014 23

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at June 30, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Bank Of America	The Fund receives or pays the total return on a portfolio of short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	5.5 years maturity 08/12/2019		$20,724

* See the accompanying “Additional Information — Total Return Basket Swap” for further details.

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
United States
Herbalife Ltd.		(82,666	)	$	(5,355,930	)	$	20,667
Net Cash and Other Receivables/ (Payables) (b)								57
Swaps, at Value							$	20,724

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund is pledged as collateral to Bank of America in the amount of $1,880,622 at June 30, 2014.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	12 months maturity 10/16/2014		$(257,317)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Australand Property Group		6,357,064	$	27,141,759	$	(533,678	)
David Jones Ltd.		9,075,895		33,618,918		104,634
Envestra Ltd.		2,763,291		3,022,933		517,154
Goodman Fielder Ltd.		8,985,601		5,766,008		(4,387	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
PanAust Ltd.		7,416,425	$	15,420,337	$	365,720
SAI Global Ltd.		2,986,382		14,273,335		140,747
						590,190
Total of Long Equity Positions						590,190

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

24 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Australia
APA Group		(258,601	)	$	(1,543,105	)	$	(138,792	)
Stockland		(362,454	)		(1,342,008	)		16,346
								(122,446	)
Total of Short Equity Positions								(122,446	)
Total of Long and Short Equity Positions								467,744
Net Cash and Other Receivables/ (Payables) (b)								(725,061	)
Swaps, at Value							$	(257,317	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $47,533,125 at June 30, 2014.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	18 months maturity 06/22/2015		$(235,170)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Caracal Energy, Inc.		1,439,161		$	13,370,359		$	122,635
Dixons Retail PLC		4,649			3,698			261
Heritage Oil PLC		1,762,489			9,518,135			112,986
Kentz Corp Ltd.		294,781			4,674,218			(3,864	)
								232,018
Total of Long Equity Positions								232,018
Short Positions
United Kingdom
AMEC PLC		(683,761	)		(13,193,414	)		(1,004,786	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Carphone Warehouse Group PLC		(775	)	$	(4,080	)	$	(196	)
								(1,004,982	)
Total of Short Equity Positions								(1,004,982	)
Total of Long and Short Equity Positions								(772,964	)
Net Cash and Other Receivables/ (Payables) (b)								537,794
Swaps, at Value							$	(235,170	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 25

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	12 months maturity 04/10/2015		$55,687

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
Blackhawk Network
Holdings, Inc.		8,872	$	214,890	$	23,323
Safeway, Inc.		54,000		1,834,433		19,927
						43,250
Total of Long Equity Positions						43,250
Net Cash and Other Receivables/ (Payables) (b)						12,437
Swaps, at Value					$	55,687

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

26 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
JPMorgan	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps.	13 months maturity ranging from 10/04/2014 - 04/20/2015		$537,563

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United States
AGCO Corp.		13,925,000		$	18,753,229		$	692,544
China Medical Technologies, Inc.		2,625,000			39,375			(36,094	)
China Medical Technologies, Inc.		250,000			3,750			(3,437	)
Digital Realty Trust LP		503,510			27,527,127			1,837,576
NorthStar Realty Finance Corp.		4,741,000			4,706,463			61,406
Penson Technologies LLC		8,943,219			9			1,096,340
Thompson Creek M		8,363			19,613			5,141
Time Warner Cable, Inc.		2,000			276,040			18,560
XM Satellite Radio, Inc.		6,376,000			12,317,176			(170,553	)
								3,501,483
Total of Long Equity Positions								3,501,483
Short Positions
United States
AGCO Corp.		(267,991	)		(14,490,273	)		(576,181	)
China Medical Technologies, Inc.		(45,264	)		(115,876	)		115,423

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CMS Energy Corp.		(7	)	$	(205	)	$	(13	)
Comcast Corp.		(5,750	)		(291,180	)		(17,480	)
Digital Realty Trust, Inc.		(503,511	)		(26,774,735	)		(2,590,027	)
Penson Worldwide, Inc.		(217,523	)		(25,668	)		25,668
								(3,042,610	)
Total of Short Equity Positions								(3,042,610	)
Total of Long and Short Equity Positions								458,873
Net Cash and Other Receivables/ (Payables) (b)								78,690
Swaps, at Value							$	537,563

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund is pledged as collateral to J.P. Morgan in the amount of $39,810,004 at June 30, 2014.

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

AQR Funds Semi-Annual Report June 2014 27

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

	SHARES		VALUE (Note 3)
MONEY MARKET FUNDS - 93.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) (cost $13,795,275)		13,795,275	$	13,795,275
TOTAL INVESTMENTS - 93.2% (cost $13,795,275)				13,795,275
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.8% (c)				1,001,831
NET ASSETS - 100.0%			$	14,797,106

(a) Represents annualized seven-day yield as of June 30, 2014.

(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.

All securities are Level 2 with respect to ASC 820 (See Note 5).

Total return swap contract outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Swiss Market Index Futures	9/2014	CHF		259,218		$(3,116)

Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contract in the amount of $2,430,000 at June 30, 2014.

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Barclays Capital	Amsterdam Index Futures	7/2014	$	113,189		$	113,173		$	(16	)
5	Barclays Capital	CAC40 Index Futures	7/2014		309,244			302,752			(6,492	)
1	Barclays Capital	DAX Index Futures	9/2014		338,539			337,515			(1,024	)
5	Barclays Capital	FTSE 100 Index Futures	9/2014		575,863			574,260			(1,603	)
1	Barclays Capital	Hang Seng Index Futures	7/2014		147,958			149,051			1,093
1	Barclays Capital	IBEX 35 Index Futures	7/2014		149,654			148,645			(1,009	)
2	Barclays Capital	MSCI Singapore Index Futures	7/2014		119,100			118,855			(245	)
4	Barclays Capital	OMXS30 Index Futures	7/2014		82,946			82,585			(361	)
28	Barclays Capital	S&P 500 E-Mini Futures	9/2014		2,699,144			2,733,361			34,217
3	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	9/2014		480,064			485,656			5,592
2	Barclays Capital	SPI 200 Index Futures	9/2014		252,608			252,428			(180	)
8	Barclays Capital	TOPIX Index Futures	9/2014		982,559			996,989			14,430
					6,250,868			6,295,270			44,402
Short Contracts:
6	Barclays Capital	Euro Stoxx 50 Index	9/2014		(267,737	)		(265,535	)		2,202
				$	5,983,131		$	6,029,735		$	46,604

Cash held as collateral at Barclays Capital for futures contracts was $231,405 at June 30, 2014.

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

28 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		121,000		$111,317		$113,462		$2,145
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		121,000		111,316		113,462		2,146
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		156,500		143,316		146,382		3,066
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		156,499		143,315		146,382		3,067
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		117,000		130,683		132,023		1,340
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		117,000		130,684		132,023		1,339
Danish Krone, Expiring 09/17/14	Credit Suisse International	DKK		102,000		18,622		18,742		120
Danish Krone, Expiring 09/17/14	The Royal Bank of Scotland	DKK		102,000		18,623		18,742		119
Euro, Expiring 09/17/14	Credit Suisse International	EUR		289,001		393,362		395,846		2,484
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		289,000		393,361		395,844		2,483
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		198,001		331,782		338,640		6,858
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		198,000		331,780		338,639		6,859
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		323,500		41,733		41,723		(10	)
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		358,500		46,248		46,237		(11	)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		25,000		7,212		7,282		70
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		25,000		7,212		7,282		70
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		22,161,501		216,527		218,884		2,357
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		22,161,500		216,528		218,884		2,356
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		74,500		12,372		12,109		(263	)
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		74,500		12,372		12,110		(262	)
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		2,000		1,682		1,738		56
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		1,999		1,681		1,737		56
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		296,501		44,386		44,341		(45	)
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		296,500		44,386		44,341		(45	)
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		26,500		21,089		21,253		164
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		26,500		21,089		21,253		164
						$2,952,678		$2,989,361		$36,683

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

AQR Funds Semi-Annual Report June 2014 29

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		(58,000	)		$(64,515	)		$(65,448	)		$(933	)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(50,000	)		(68,134	)		(68,485	)		(351	)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(33,000	)		(55,120	)		(56,440	)		(1,320	)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		(12,958,000	)		(126,744	)		(127,983	)		(1,239	)
							(314,513	)		(318,356	)		(3,843	)
							$2,638,165			$2,671,005			$32,840

Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $10,000 at June 30, 2014.

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

USD - United States Dollar

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

30 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

Total Return Basket Swaps* Outstanding at June 30, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	13 months maturity 11/07/2014		$(11,877)

* See the accompanying “Additional Information — Total Return Basket Swap” for further details.

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Alimentation Couche Tard, Inc.		2,900		$	75,290		$	4,151
Cameco Corp.		500			11,251			(1,443	)
Canadian Tire Corp. Ltd.		1,058			94,906			6,596
CI Financial Corp.		700			22,623			370
Dollarama, Inc.		1,400			112,567			2,694
Encana Corp.		2,200			51,963			158
Enerplus Corp.		500			12,260			341
Finning International, Inc.		5,246			145,935			769
Gildan Activewear, Inc.		1,316			64,984			12,554
IAMGOLD Corp.		15,600			57,535			6,646
Kinross Gold Corp.		13,200			60,368			(5,690	)
Magna International, Inc.		1,963			178,400			32,902
Methanex Corp.		600			38,765			(1,671	)
Metro, Inc.		135			8,352			(6	)
National Bank of Canada		200			7,992			491
Open Text Corp.		1,368			62,915			2,725
Pembina Pipeline Corp.		300			12,761			147
Precision Drilling Corp.		900			10,910			1,835
ShawCor Ltd.		1,700			75,772			18,768
Tim Hortons, Inc.		500			28,093			(742	)
Vermilion Energy, Inc.		200			14,384			(467	)
West Fraser Timber Co., Ltd.		500			26,753			(2,523	)
								78,605
Total of Long Equity Positions								78,605
Short Positions
Canada
Agnico Eagle Mines Ltd.		(500	)		(18,780	)		(367	)
Barrick Gold Corp.		(4,900	)		(89,380	)		(350	)
BCE, Inc.		(1,700	)		(73,200	)		(3,909	)
Bell Aliant, Inc.		(1,300	)		(32,319	)		(1,659	)
Blackberry Ltd.		(1,200	)		(11,711	)		(593	)
Bombardier, Inc.		(22,900	)		(89,137	)		8,229
CGI Group, Inc.		(1,100	)		(38,903	)		(85	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Canada (continued)
Eldorado Gold Corp.		(8,800	)	$	(57,650	)	$	(9,645	)
Enbridge, Inc.		(657	)		(28,812	)		(2,362	)
Fairfax Financial Holdings Ltd.		(100	)		(40,283	)		(7,158	)
First Quantum Minerals Ltd.		(5,023	)		(93,882	)		(13,540	)
Fortis, Inc.		(1,400	)		(41,331	)		(1,271	)
Franco-Nevada Corp.		(800	)		(42,504	)		(3,417	)
Goldcorp, Inc.		(2,900	)		(77,170	)		(3,765	)
Manulife Financial Corp.		(3,114	)		(61,045	)		(853	)
MEG Energy Corp.		(1,600	)		(45,302	)		(13,012	)
Penn West Petroleum Ltd.		(1,300	)		(11,576	)		(1,119	)
Potash Corp of Saskatchewan, Inc.		(1,362	)		(47,083	)		(4,714	)
Silver Wheaton Corp.		(3,000	)		(72,792	)		(6,155	)
SNC-Lavalin Group, Inc.		(2,398	)		(104,403	)		(21,716	)
Sun Life Financial, Inc.		(339	)		(11,737	)		(723	)
TransAlta Corp.		(1,100	)		(13,102	)		(382	)
Yamana Gold, Inc.		(14,600	)		(130,049	)		9,916
								(78,650	)
Total of Short Equity Positions								(78,650	)
Total of Long and Short Equity Positions								(45	)
Net Cash and Other Receivables/ (Payables) (b)								(11,832	)
Swaps, at Value							$	(11,877	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $1,200,001 at June 30, 2014.

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

AQR Funds Semi-Annual Report June 2014 31

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	13 months maturity 08/22/2014		$31,052

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
DCC PLC		1,996	$	95,279	$	27,037
United Kingdom
AMEC PLC		1,466		29,119		1,322
Anglo American PLC		519		13,101		(381	)
Antofagasta PLC		1,201		17,420		(1,730	)
Ashtead Group PLC		1,759		25,635		680
Associated British Foods PLC		1,963		100,095		2,281
BAE Systems PLC		3,394		24,898		241
Barratt Developments PLC		16,717		108,360		(1,548	)
Berkeley Group Holdings PLC		1,281		56,691		(3,745	)
British Sky Broadcasting Group PLC		831		11,914		938
BT Group PLC		14,325		92,664		1,467
Bunzl PLC		2,586		71,577		214
Centrica PLC		2,012		10,856		(104	)
Drax Group PLC		3,857		52,561		(10,334	)
DS Smith PLC		6,767		37,729		(5,683	)
GKN PLC		15,558		102,379		(5,795	)
Imperial Tobacco Group PLC		934		42,926		(907	)
InterContinental Hotels Group PLC		526		20,804		957
ITV PLC		11,822		36,990		(964	)
John Wood Group PLC		4,503		50,190		11,898
Mondi PLC		3,298		59,961		(86	)
Persimmon PLC		1,869		42,786		(2,080	)
Persimmon PLC		1,869		40		2,199
Petrofac Ltd.		1,339		30,283		(2,740	)
Shire PLC		1,784		92,737		47,206
SSE PLC		2,579		69,963		(875	)
Tate & Lyle PLC		973		10,959		425
Taylor Wimpey
PLC		31,660		62,008		(301	)
Travis Perkins PLC		2,031		61,032		(4,153	)
Vodafone Group PLC		33,019		123,222		(12,864	)
Whitbread PLC		187		10,488		3,619
						19,157
Total of Long Equity Positions						46,194

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
United Kingdom
Aberdeen Asset
Management PLC		(12,132	)	$	(80,397	)	$	(13,757	)
Aggreko PLC		(1,621	)		(48,158	)		2,392
ARM Holdings PLC		(2,322	)		(38,194	)		3,278
ASOS PLC		(2,494	)		(118,779	)		(7,527	)
Balfour Beatty PLC		(1,052	)		(5,244	)		1,024
Barclays PLC		(2,822	)		(11,520	)		1,240
Burberry Group PLC		(4,153	)		(105,097	)		(310	)
Carnival PLC		(273	)		(11,954	)		1,656
Croda International PLC		(308	)		(13,617	)		2,017
Eurasian Natural Resources Corp. PLC		(15	)		(58	)		—
G4S PLC		(12,742	)		(53,526	)		(2,104	)
Glencore Xstrata PLC		(15,117	)		(82,748	)		(1,495	)
Hargreaves Lansdown PLC		(502	)		(11,527	)		899
Intertek Group PLC		(1,407	)		(70,184	)		4,030
J Sainsbury PLC		(3,251	)		(17,127	)		(422	)
Ladbrokes PLC		(23,804	)		(55,137	)		(2,012	)
Man Group PLC		(30,198	)		(52,099	)		(2,249	)
Marks & Spencer
Group PLC		(1,561	)		(12,692	)		1,337
Old Mutual PLC		(5,059	)		(15,679	)		(1,417	)
Pearson PLC		(629	)		(10,978	)		(1,441	)
Royal Bank of Scotland Group PLC		(11,303	)		(64,194	)		669
RSA Insurance Group PLC		(1,353	)		(11,029	)		40
SABMiller PLC		(243	)		(11,967	)		(2,116	)
Serco Group PLC		(21,770	)		(144,243	)		8,244
Standard Life PLC		(1,641	)		(10,393	)		(106	)
Telecity Group PLC		(14,025	)		(167,445	)		(13,444	)
Tesco PLC		(21,259	)		(109,272	)		5,949
Weir Group
PLC/The		(551	)		(20,219	)		(4,470	)
William Hill PLC		(2,692	)		(15,470	)		356
WM Morrison Supermarkets PLC		(23,654	)		(86,516	)		12,331
								(7,408	)
Total of Short Equity Positions								(7,408	)
Total of Long and Short Equity Positions								38,786

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

32 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES	NOTIONAL (a)	NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Net Cash and Other Receivables/ (Payables) (b)				(7,734	)
Swaps, at Value			$	31,052

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	13 months maturity 08/18/2014		$209,245

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Aozora Bank Ltd.		8,000	$	24,011	$	2,291
Asahi Kasei Corp.		4,000		28,690		1,932
Astellas Pharma, Inc.		1,400		18,561		(150	)
Bridgestone Corp.		1,400		52,407		(3,375	)
Calbee, Inc.		1,200		27,163		5,909
Casio Computer Co., Ltd.		2,700		30,998		8,219
Central Japan Railway Co.		800		91,574		22,625
Chiyoda Corp.		3,000		36,136		223
Citizen Holdings Co., Ltd.		3,900		31,195		(569	)
Dai Nippon Printing Co., Ltd.		7,000		67,259		5,877
Daihatsu Motor Co., Ltd.		2,700		53,268		(5,218	)
Daiwa Securities Group, Inc.		3,000		29,629		(3,636	)
Denso Corp.		1,800		79,527		6,460
Dentsu, Inc.		400		15,769		521
Electric Power Development Co., Ltd.		500		16,382		(157	)
Fuji Electric Co., Ltd.		22,000		93,177		11,215
Fuji Heavy Industries Ltd.		7,700		208,126		5,386
FUJIFILM Holdings Corp.		2,800		72,012		6,138
Fujitsu Ltd.		11,000		69,193		13,228
Hino Motors Ltd.		3,000		44,293		(2,904	)
Hirose Electric Co., Ltd.		100		14,566		300
Hoya Corp.		2,200		58,115		15,030
Inpex Corp.		900		12,845		846

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Isuzu Motors Ltd.		9,000	$	66,971	$	(7,373	)
ITOCHU Corp.		7,200		85,315		7,117
J Front Retailing Co., Ltd.		1,000		7,561		(540	)
Japan Airlines Co., Ltd.		1,900		93,485		11,565
JFE Holdings, Inc.		3,200		62,053		4,136
JGC Corp.		3,000		108,051		(16,793	)
JTEKT Corp.		1,900		29,047		3,012
JX Holdings, Inc.		4,700		22,692		2,459
KDDI Corp.		900		51,672		3,240
Keyence Corp.		100		41,864		1,864
Kobe Steel Ltd.		26,000		34,731		4,372
Konica Minolta, Inc.		3,700		33,747		2,824
LIXIL Group Corp.		200		4,692		722
Marubeni Corp.		4,000		28,486		790
Mazda Motor Corp.		11,000		51,409		213
Mitsubishi Electric Corp.		12,000		143,630		4,603
Mitsubishi Materials Corp.		11,000		33,388		5,203
Mitsubishi Motors Corp.		1,000		10,506		544
Mitsubishi UFJ Lease & Finance Co., Ltd.		4,300		23,724		993
Mitsui & Co., Ltd.		2,800		44,542		347
MS&AD Insurance Group Holdings		2,200		48,852		4,319
Murata Manufacturing Co., Ltd.		300		26,066		2,068
Namco Bandai Holdings, Inc.		2,600		58,589		2,369
Nexon Co., Ltd.		400		3,156		667

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

AQR Funds Semi-Annual Report June 2014 33

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nippon Steel & Sumitomo Metal Corp.		4,000		$	13,061		$	(247	)
Nippon Telegraph & Telephone Corp.		2,900			158,005			22,746
Nippon Yusen KK		5,000			14,449			(26	)
NTT Data Corp.		1,000			38,396			61
Omron Corp.		1,400			50,925			8,112
Oriental Land Co., Ltd.		300			49,421			1,995
Osaka Gas Co., Ltd.		3,000			12,936			(330	)
Otsuka Holdings Co., Ltd.		500			17,245			(1,740	)
Panasonic Corp.		10,300			114,237			10,621
Resona Holdings, Inc.		13,500			70,900			7,769
Rohm Co., Ltd.		1,500			73,600			12,432
Secom Co., Ltd.		1,200			68,647			4,607
Sekisui Chemical Co., Ltd.		3,000			31,001			3,780
Shimamura Co., Ltd.		100			12,067			(2,223	)
Showa Shell Sekiyu KK		4,700			47,447			5,978
Sojitz Corp.		34,600			57,841			3,347
Stanley Electric Co., Ltd.		300			7,039			788
Sumitomo Electric Industries Ltd.		900			12,267			403
Sumitomo Metal Mining Co., Ltd.		2,000			28,085			4,559
Sumitomo Mitsui Financial Group, Inc.		1,000			49,062			(7,105	)
Suruga Bank Ltd.		1,000			17,431			1,993
Suzuki Motor Corp.		2,500			63,337			15,092
T&D Holdings, Inc.		4,200			51,000			6,127
Taiheiyo Cement Corp.		5,000			18,929			1,231
Taisei Corp.		17,000			92,362			1,855
THK Co., Ltd.		600			13,788			357
Tohoku Electric Power Co., Inc.		1,900			17,974			4,262
Tokio Marine Holdings, Inc.		2,600			77,010			8,566
Tokyo Electric Power Co., Inc		10,300			39,727			3,086
Tokyo Gas Co., Ltd.		9,000			49,849			2,723
Toppan Printing Co., Ltd.		3,000			23,472			(275	)
TOTO Ltd.		6,000			95,053			(14,136	)
Toyo Seikan Group Holdings Ltd.		2,000			35,761			(5,015	)
Toyo Suisan Kaisha Ltd.		1,000			32,741			(1,917	)
Yamato Holdings Co., Ltd.		2,500			47,747			4,075
								232,463
Total of Long Equity Positions								232,463
Short Positions
Japan
Acom Co., Ltd.		(5,600	)		(17,162	)		(9,509	)
Advantest Corp.		(11,900	)		(135,022	)		(12,223	)
Aeon Co., Ltd.		(800	)		(10,801	)		956

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
AEON Financial Service Co., Ltd.		(1,900	)	$	(48,778	)	$	(915	)
Amada Co., Ltd.		(2,000	)		(15,282	)		(5,090	)
Asahi Group Holdings Ltd.		(500	)		(13,456	)		(2,246	)
Asics Corp.		(1,800	)		(34,850	)		(7,183	)
Canon, Inc.		(400	)		(12,518	)		(554	)
Credit Saison Co., Ltd.		(900	)		(21,843	)		3,104
Daiichi Sankyo Co., Ltd.		(1,600	)		(27,748	)		(2,159	)
Dainippon Sumitomo Pharma Co., Ltd.		(5,900	)		(99,700	)		31,800
Disco Corp.		(200	)		(12,073	)		(1,367	)
Eisai Co., Ltd.		(1,200	)		(47,004	)		(3,354	)
Fast Retailing Co., Ltd.		(300	)		(109,072	)		10,243
Furukawa Electric Co., Ltd.		(49,000	)		(119,214	)		15,139
GS Yuasa Corp.		(13,000	)		(67,422	)		(15,411	)
Hitachi Construction Machinery Co., Ltd.		(1,800	)		(37,191	)		1,263
Hitachi Ltd.		(8,000	)		(58,198	)		(435	)
Hokkaido Electric Power Co., Inc.		(28,600	)		(224,236	)		3,464
Ibiden Co., Ltd.		(400	)		(6,500	)		(1,570	)
Isetan Mitsukoshi Holdings Ltd.		(10,700	)		(145,740	)		6,320
Japan Steel Works Ltd./The		(22,000	)		(92,063	)		(4,509	)
Kajima Corp.		(5,000	)		(19,412	)		(2,704	)
Kansai Electric Power Co., Inc./The		(12,000	)		(109,460	)		(3,654	)
Kawasaki Heavy Industries Ltd.		(12,000	)		(52,109	)		6,363
Kintetsu Corp.		(8,000	)		(28,509	)		(641	)
Komatsu Ltd.		(1,400	)		(28,522	)		(3,976	)
Konami Corp.		(3,700	)		(86,875	)		5,016
Kubota Corp.		(1,000	)		(16,892	)		2,702
Kyushu Electric Power Co., Inc.		(12,800	)		(148,466	)		4,364
Marui Group Co., Ltd.		(13,900	)		(134,653	)		1,106
Mitsubishi Gas Chemical Co., Inc.		(2,000	)		(11,049	)		(1,758	)
Mitsubishi Logistics Corp.		(2,000	)		(28,095	)		(1,879	)
Mitsui Chemicals, Inc.		(19,000	)		(47,198	)		(4,788	)
Nabtesco Corp.		(400	)		(8,138	)		(714	)
Nidec Corp.		(400	)		(14,399	)		(10,202	)
Nikon Corp.		(2,400	)		(45,332	)		7,522
Nintendo Co., Ltd.		(400	)		(50,478	)		2,443
Nippon Electric Glass Co., Ltd.		(15,000	)		(74,797	)		(12,622	)
Nissan Motor Co., Ltd.		(9,300	)		(86,998	)		(1,068	)
Nomura Holdings, Inc.		(17,300	)		(111,957	)		(10,584	)
Obayashi Corp.		(7,000	)		(39,601	)		(10,393	)
Odakyu Electric Railway Co., Ltd.		(3,000	)		(30,527	)		1,636

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

34 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Olympus Corp.		(2,800	)	$	(84,428	)	$	(11,910	)
Rakuten, Inc.		(4,300	)		(55,794	)		199
Ricoh Co., Ltd.		(800	)		(8,958	)		(577	)
Sega Sammy Holdings, Inc.		(800	)		(19,624	)		3,870
Seiko Epson Corp.		(300	)		(12,506	)		(257	)
Showa Denko KK		(20,000	)		(28,351	)		(106	)
Softbank Corp.		(800	)		(64,017	)		4,398
Sony Corp.		(5,200	)		(87,198	)		303
Sumco Corp.		(18,800	)		(147,195	)		(25,124	)
Sysmex Corp.		(300	)		(9,369	)		(1,911	)
Takeda Pharmaceutical Co., Ltd.		(1,000	)		(44,897	)		(1,515	)
Teijin Ltd.		(11,000	)		(25,767	)		(1,841	)
Terumo Corp.		(2,100	)		(50,255	)		3,209
Toshiba Corp.		(12,000	)		(51,620	)		(4,473	)
Toyota Industries Corp.		(200	)		(8,865	)		(1,469	)
Unicharm Corp.		(600	)		(32,091	)		(3,682	)
Yahoo Japan Corp.		(5,900	)		(25,243	)		(2,002	)
Yakult Honsha Co., Ltd.		(200	)		(8,321	)		(1,809	)
Yamada Denki Co., Ltd.		(10,700	)		(38,457	)		314
Yamaha Motor Co., Ltd.		(1,200	)		(17,136	)		(3,528	)
Yaskawa Electric Corp.		(11,000	)		(137,440	)		4,093

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Yokogawa Electric Corp.		(3,900	)	$	(51,943	)	$	2,547
Yokohama Rubber Co., Ltd./The		(3,000	)		(28,130	)		2,160
								(67,178	)
Total of Short Equity Positions								(67,178	)
Total of Long and Short Equity Positions								165,285
Net Cash and Other Receivables/ (Payables) (b)								43,960
Swaps, at Value							$	209,245

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 35

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Association of Singapore Banks Rate plus or minus a specified spread, which is denominated in SGD based on the local currencies of the positions within the swap.	13 months maturity 08/22/2014		$3,737

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Singapore
Noble Group Ltd.		40,000		$	31,693		$	12,335
Singapore Airlines Ltd.		6,000			49,567			365
StarHub Ltd.		3,000			10,223			(183	)
								12,517
Total of Long Equity Positions								12,517
Short Positions
Singapore
CapitaLand Ltd.		(17,000	)		(38,323	)		(5,333	)
Golden Agri-Resources Ltd.		(82,000	)		(33,854	)		(2,717	)
Keppel REIT		(320	)		(2	)		(331	)
Keppel Corp. Ltd.		(3,000	)		(25,385	)		(585	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore (continued)
Keppel Land Ltd.		(1,000	)	$	(2,573	)	$	(139	)
								(9,105	)
Total of Short Equity Positions								(9,105	)
Total of Long and Short Equity Positions								3,412
Net Cash and Other Receivables/ (Payables) (b)								325
Swaps, at Value							$	3,737

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

36 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	12-13 months maturity ranging from 07/22/2014 - 08/22/2014		$40,347

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Hong Kong
Bank of East Asia
Ltd.		9,600		$	38,782		$	1,020
Cheung Kong Holdings Ltd.		7,000			113,373			10,819
Hutchison Whampoa Ltd.		5,000			65,552			2,831
Hysan Development Co., Ltd.		16,000			64,799			10,139
Kerry Properties Ltd.		7,500			23,452			2,764
Melco International Development Ltd.		3,000			10,044			(975	)
MGM China Holdings Ltd.		26,400			97,524			(5,966	)
MTR Corp. Ltd.		22,500			83,627			3,023
Power Assets Holdings Ltd.		6,500			51,940			4,954
Sands China Ltd.		6,400			48,359			(54	)
Sino Land Co., Ltd.		50,000			81,907			399
SJM Holdings Ltd.		26,000			76,616			(11,482	)
Swire Pacific Ltd.		7,000			78,633			7,525
Wharf Holdings Ltd.		13,000			89,064			4,547
								29,544
United States
Samsonite International SA		25,200			74,625			8,444
Total of Long Equity Positions								37,988
Short Positions
Hong Kong
AIA Group Ltd.		(8,200	)		(38,008	)		(3,194	)
Esprit Holdings Ltd.		(17,600	)		(28,602	)		3,625
First Pacific Co., Ltd.		(118,000	)		(123,232	)		(8,488	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Hang Lung Properties Ltd.		(52,000	)	$	(155,486	)	$	(4,874	)
Hong Kong & China Gas Co., Ltd.		(68,200	)		(133,580	)		(15,713	)
Li & Fung Ltd.		(58,000	)		(83,270	)		(2,639	)
New World Development Co., Ltd.		(126,082	)		(139,856	)		(3,675	)
Sun Hung Kai Properties Ltd.		(3,031	)		(38,315	)		(3,276	)
Swire Properties Ltd.		(32,800	)		(85,792	)		(10,064	)
Techtronic Industries Co.		(4,000	)		(11,001	)		(1,822	)
Xinyi Glass Holdings Ltd.		(262,000	)		(207,109	)		53,313
								3,193
Total of Short Equity Positions								3,193
Total of Long and Short Equity Positions								41,181
Net Cash and Other Receivables/ (Payables) (b)								(834	)
Swaps, at Value							$	40,347

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 37

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	13 months maturity 08/18/2014		$8,309

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Amcor Ltd.		7,614		$	74,424		$	463
BlueScope Steel Ltd.		10,215			50,482			1,836
Caltex Australia Ltd.		3,177			57,121			7,522
CSL Ltd.		226			15,012			(825	)
Flight Centre Travel Group Ltd.		785			33,973			(1,078	)
Fortescue Metals Group Ltd.		5,761			25,767			(1,973	)
Macquarie Group Ltd.		812			36,512			9,166
Origin Energy Ltd.		826			11,264			122
Rio Tinto Ltd.		452			26,226			(869	)
Telstra Corp. Ltd.		21,236			101,195			3,132
Woodside Petroleum Ltd.		669			24,111			1,827
Woolworths Ltd.		1,999			63,581			2,799
WorleyParsons Ltd.		3,326			50,521			4,034
								26,156
Total of Long Equity Positions								26,156
Short Positions
Australia
AMP Ltd.		(11,392	)		(54,421	)		(2,525	)
Cochlear Ltd.		(1,744	)		(95,522	)		(6,007	)
Iluka Resources Ltd.		(10,219	)		(85,672	)		7,150

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
Qantas Airways Ltd.		(41,875	)		(48,140	)		(1,673	)
QBE Insurance Group Ltd.		(7,364	)	$	(81,798	)	$	6,374
Seek Ltd.		(5,333	)		(54,919	)		(24,831	)
Toll Holdings Ltd.		(7,181	)		(37,986	)		3,426
								(18,086	)
Total of Short Equity Positions								(18,086	)
Total of Long and Short Equity Positions								8,070
Net Cash and Other Receivables/ (Payables) (b)								239
Swaps, at Value							$	8,309

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

38 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, which is denominated in USD based on the local currencies of the positions within the swap.	12 months maturity 05/22/2015		$408

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Hong Kong
Jardine Matheson Holdings Ltd.		(400	)	$	(24,139	)	$	415
Net Cash and Other Receivables/ (Payables) (b)								(7	)
Swaps, at Value							$	408

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	13 months maturity 02/20/2015		$14,857

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Domtar Corp.		2,000	$	94,938	$	(9,238	)
Ireland
Jazz Pharmaceuticals PLC		100		13,686		1,015
Seagate Technology PLC		1,000		50,756		6,064
						7,079
Singapore
Avago Technologies Ltd.		100		5,614		1,593
Flextronics International Ltd.		3,600		33,154		6,698
						8,291

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
TE Connectivity Ltd.		1,400	$	78,718	$	7,858
United Kingdom
Delphi Automotive PLC		1,700		113,050		3,808
United States
Abbott Laboratories		600		21,864		2,676
AbbVie, Inc.		1,300		63,033		10,339
Activision Blizzard, Inc.		4,100		68,706		22,724
Advance Auto Parts, Inc.		300		35,002		5,474
AECOM Technology Corp.		2,300		66,976		7,084
AES Corp.		1,100		15,312		1,793
Aetna, Inc.		900		62,185		10,787
Aflac, Inc.		200		12,616		(166	)
AGCO Corp.		500		27,705		405

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

AQR Funds Semi-Annual Report June 2014 39

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Agilent Technologies, Inc.		1,000	$	58,548	$	(1,108	)
Akamai Technologies, Inc.		500		25,840		4,690
Alaska Air Group, Inc.		1,300		103,511		20,054
Alexion Pharmaceuticals, Inc.		800		117,334		7,666
Alliant Techsystems, Inc.		300		40,133		43
Allstate Corp./The		200		10,580		1,164
Amazon.com, Inc.		200		78,084		(13,128	)
Amdocs Ltd.		500		21,163		2,002
American Capital Ltd.		4,000		63,655		(2,495	)
American Express Co.		900		79,429		5,954
American International Group, Inc.		1,300		64,616		6,338
Ameriprise Financial, Inc.		1,200		128,430		15,570
Amgen, Inc.		400		46,864		484
ANN, Inc.		1,000		40,301		839
ANSYS, Inc.		300		23,305		(559	)
AO Smith Corp.		1,400		65,327		4,085
Apollo Group, Inc.		2,100		70,156		(4,531	)
Apple, Inc.		300		27,361		518
Archer-Daniels-Midland Co.		1,900		75,902		7,907
ARES Captial Corp.		700		12,572		(70	)
Ashland, Inc.		300		28,587		4,035
Assurant, Inc.		800		53,271		(831	)
Assured Guaranty Ltd.		2,500		52,364		8,886
Atmel Corp.		6,400		54,742		5,226
Atwood Oceanics, Inc.		600		28,667		2,821
Autodesk, Inc.		700		34,192		5,274
Avery Dennison Corp.		900		44,693		1,432
Avis Budget Group, Inc.		800		37,810		9,942
Axis Capital Holdings Co.		300		13,668		(384	)
Baker Hughes, Inc.		1,000		56,027		18,423
Bank of America Corp.		500		8,262		(577	)
Bed Bath & Beyond, Inc.		400		25,980		(3,028	)
Best Buy Co., Inc.		1,500		36,959		9,556
Biogen Idec, Inc.		500		153,583		4,072
Boston Scientific Corp.		5,400		72,473		(3,515	)
Brinker International, Inc.		200		9,228		502
Bristol-Myers Squibb Co.		300		16,154		(1,601	)
Broadcom Corp.		1,400		41,828		10,140
Brocade Communications Systems, Inc.		17,600		161,578		342
CA, Inc.		2,900		95,329		(11,983	)
Capital One Financial Corp.		100		7,239		1,021
Cardinal Health, Inc.		900		60,188		1,516
CareFusion Corp.		1,800		72,622		7,208
CBOE Holdings, Inc.		1,300		64,726		(753	)
CBS Corp.		800		49,070		642
Celgene Corp.		1,800		140,778		13,806
CF Industries Holdings, Inc.		200		46,777		1,329

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cheesecake Factory, Inc./The		100	$	4,515	$	127
Chico’s FAS, Inc.		900		15,705		(441	)
Cigna Corp.		800		69,732		3,844
Cimarex Energy Co.		400		39,854		17,530
Cintas Corp.		100		5,913		441
Cisco Systems, Inc.		3,200		70,163		9,357
Citrix Systems, Inc.		600		35,284		2,246
Coca-Cola Enterprises, Inc.		2,100		92,393		7,945
Cognizant Technology Solutions Corp.		1,500		72,664		701
Comcast Corp.		300		15,531		573
Computer Sciences Corp.		800		45,161		5,399
Conversant, Inc.		1,100		26,720		1,220
Corning, Inc.		700		12,065		3,300
Covance, Inc.		300		25,282		392
Cummins, Inc.		400		51,061		10,655
CVS Caremark Corp.		300		20,510		2,101
Deckers Outdoor Corp.		900		68,161		9,536
Delta Air Lines, Inc.		1,200		40,117		6,347
Dillards, Inc.		1,300		117,430		34,163
Discover Financial Services		1,300		70,897		9,677
DISH Network Corp.		800		49,498		2,566
Dominos Pizza, Inc.		200		14,658		(40	)
Dover Corp.		800		67,047		5,713
Dow Chemical Co./The		900		42,492		3,822
Dril-Quip, Inc.		500		49,924		4,696
DSW, Inc.		1,100		40,579		(9,845	)
DTE Energy Co.		400		26,459		4,689
eBay, Inc.		400		21,913		(1,889	)
Edison International		300		14,189		3,244
Electronic Arts, Inc.		600		22,148		(626	)
Eli Lilly & Co.		300		16,548		2,103
EMC Corp.		1,300		33,572		670
Emerson Electric Co.		600		39,632		184
EOG Resources, Inc.		300		35,367		(309	)
Exelis, Inc.		4,500		89,051		(12,641	)
Expedia, Inc.		500		35,345		4,035
F5 Networks, Inc.		200		20,433		1,855
Facebook, Inc.		1,000		64,749		2,541
Fifth Third BanCorp.		1,000		21,550		(200	)
First Solar, Inc.		1,500		76,880		29,710
FleetCor Technologies, Inc.		100		10,427		2,753
FLIR Systems, Inc.		1,700		56,278		2,763
Flowserve Corp.		400		30,848		(1,108	)
Fluor Corp.		500		40,609		(2,159	)
Foot Locker, Inc.		1,800		69,388		21,908
Fossil Group, Inc.		900		103,386		(9,318	)
Franklin Resources, Inc.		400		23,404		(268	)
GameStop Corp.		2,100		77,357		7,630
Gannett Co., Inc.		1,400		39,627		4,207
Gap, Inc./The		2,600		95,995		12,087

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

40 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
General Motors Co.		900	$	30,705	$	1,965
Genworth Financial, Inc.		500		8,045		655
Gilead Sciences, Inc.		1,700		137,110		3,837
Global Payments, Inc.		200		13,347		1,223
Goodyear Tire & Rubber Co./The		3,400		87,636		6,816
Google, Inc.		100		55,526		2,941
Halliburton Co.		1,000		51,184		19,826
Hanesbrands, Inc.		800		51,243		27,509
Harman International Industries, Inc.		400		41,689		1,283
Harris Corp.		200		14,108		1,042
Health Net, Inc.		2,800		92,691		23,621
Hess Corp.		800		61,454		17,658
Hewlett-Packard Co.		5,100		152,159		19,609
Humana, Inc.		1,100		109,338		31,154
Huntsman Corp.		300		6,933		1,497
IAC/InterActiveCorp.		1,600		114,734		(3,966	)
IDEX Corp.		200		13,866		2,282
Illinois Tool Works, Inc.		100		8,266		490
Informatica Corp.		600		22,383		(993	)
Ingersoll-Rand PLC		800		47,286		2,722
Ingram Micro, Inc.		4,900		139,214		3,915
Intel Corp.		600		15,510		3,030
International Paper Co.		200		9,668		426
Interpublic Group of Cos., Inc./The		1,500		26,594		2,671
Intuit, Inc.		200		14,759		1,347
InvesCo., Ltd.		2,300		77,105		9,720
ITT Corp.		1,500		61,353		10,797
Jabil Circuit, Inc.		2,000		36,013		5,787
Johnson & Johnson		500		45,110		7,200
Johnson Controls, Inc.		1,900		90,697		4,170
JPMorgan Chase & Co.		600		32,665		1,907
Juniper Networks, Inc.		2,800		68,058		654
KBR, Inc.		2,800		72,255		(5,475	)
Kennametal, Inc.		100		5,121		(493	)
KeyCorp.		1,000		13,540		790
Kimberly-Clark Corp.		200		21,626		618
KLA-Tencor Corp.		600		37,644		5,940
Kroger Co./The		1,900		69,386		24,531
Lam Research Corp.		200		10,846		2,670
Las Vegas Sands Corp.		100		7,450		172
Lear Corp.		900		71,585		8,803
Lennox International, Inc.		900		77,658		2,955
Lexmark International, Inc.		3,300		136,385		22,543
Liberty Media Corp.		300		40,019		985
Lincoln Electric Holdings, Inc.		700		47,234		1,682
Lincoln National Corp.		1,300		64,487		2,385
Lockheed Martin Corp.		200		29,606		2,540
Lowe’s Cos., Inc.		800		38,175		217
LPL Financial Holdings, Inc.		1,100		58,825		(4,111	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
LyondellBasell Industries NV		1,100	$	88,890	$	18,525
Macy’s, Inc.		1,200		67,561		2,063
Manitowoc Co., Inc./The		200		6,109		463
Manpower, Inc.		1,300		106,193		4,112
Marathon Oil Corp.		900		29,912		6,016
Marathon Petroleum Corp.		400		33,111		(1,883	)
Marvell Technology Group Ltd.		5,600		82,872		(2,624	)
Masco Corp.		900		19,807		173
MasterCard, Inc.		800		62,550		(3,774	)
McGraw-Hill Cos., Inc.		900		67,891		6,836
McKesson Corp.		400		68,928		5,556
Medtronic, Inc.		1,100		64,139		5,997
Merck & Co, Inc.		200		10,943		627
MetLife, Inc.		200		9,904		1,208
Micro Devices, Inc.		9,200		80,186		8,042
Micron Technology, Inc.		800		17,994		8,366
MICROS Systems, Inc.		600		32,963		7,777
Microsoft Corp.		3,300		120,589		17,021
Monster Beverage Corp.		1,200		80,999		4,237
Moody’s Corp.		100		7,893		873
Mosaic Co./The		400		19,332		448
Murphy USA, Inc.		300		11,838		2,829
Myriad Genetics, Inc.		2,500		66,259		31,041
NASDAQ OMX Group, Inc./The		1,800		67,668		1,848
National Oilwell Varco, Inc.		100		6,946		1,289
Navient Corp.		5,000		73,841		14,709
NetApp, Inc.		2,600		96,345		(1,393	)
Netflix, Inc.		200		83,389		4,731
News Corp.		800		13,008		1,344
NIKE, Inc.		400		29,914		1,106
Northrop Grumman Corp.		900		101,813		5,854
Nu Skin Enterprises, Inc.		900		71,609		(5,045	)
NVIDIA Corp.		2,300		38,597		4,045
Occidental Petroleum Corp.		100		8,793		1,470
Oceaneering International, Inc.		300		22,401		1,038
Oil States International, Inc.		700		38,721		6,142
Old Republic International Corp.		1,000		16,790		(250	)
Olin Corp.		1,400		36,110		1,578
ON Semiconductor Corp.		1,400		12,306		490
Oracle Corp.		2,000		75,083		5,977
Oshkosh Corp.		1,100		62,512		(1,429	)
Packaging Corp. of America		200		12,986		1,312
Parker Hannifin Corp.		700		80,916		7,095
Patterson-UTI Energy, Inc.		2,000		55,425		14,455

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

AQR Funds Semi-Annual Report June 2014 41

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Penn National Gaming, Inc.		900	$	11,437	$	(511	)
Pfizer, Inc.		2,600		77,742		(574	)
Phillips 66		100		7,511		532
Pitney Bowes, Inc.		2,700		68,726		5,848
Polycom, Inc.		4,200		49,224		3,402
Popular, Inc.		600		17,024		3,484
priceline.com, Inc.		100		123,391		(3,091	)
Pulte Group, Inc.		5,300		101,986		4,862
QUALCOMM, Inc.		100		7,283		637
Rackspace Hosting, Inc.		700		25,976		(2,414	)
Ralph Lauren Corp.		200		32,050		88
Raytheon Co.		700		65,145		(570	)
Red Hat, Inc.		200		11,427		(373	)
Regal-Beloit Corp.		400		31,508		(84	)
Regions Financial Corp.		600		6,342		30
Reinsurance Group of America, Inc.		1,000		73,644		5,256
Reliance Steel & Aluminum Co.		300		22,824		(711	)
Robert Half International, Inc.		200		8,387		1,161
Rock-Tenn Co.		900		88,092		6,939
Rockwell Automation, Inc.		100		11,468		1,048
Ross Stores, Inc.		100		7,139		(526	)
Rowan Cos. PLC		300		9,825		(246	)
RR Donnelley & Sons Co.		2,100		38,487		(2,871	)
Ryder System, Inc.		500		37,150		6,895
SanDisk Corp.		500		38,661		13,554
SEI Investments Co.		1,100		35,787		260
Semtech Corp.		1,000		25,193		957
Signet Jewelers Ltd.		200		19,842		2,276
Skyworks Solutions, Inc.		3,100		105,262		40,314
Snap-on, Inc.		100		9,989		1,863
Southwest Airlines Co.		4,600		97,585		25,971
Spirit Aerosystems Holdings, Inc.		2,100		71,641		(871	)
State Street Corp.		1,600		109,146		(1,530	)
Stryker Corp.		100		7,820		612
Symantec Corp.		3,800		88,473		(1,453	)
Telephone & Data Systems, Inc.		500		13,694		(639	)
Thermo Fisher Scientific, Inc.		500		59,334		(334	)
Thoratec Corp.		1,900		64,668		1,566
Time Warner, Inc.		200		12,358		1,692
Timken Co./The		500		27,366		6,554
TJX Cos., Inc./The		700		42,601		(5,396	)
Towers Watson & Co.		800		94,944		(11,560	)
Travelers Cos., Inc./The		200		17,294		1,520
Trinity Industries, Inc.		500		21,260		600
Tyson Foods, Inc.		2,400		88,896		1,200
Union Pacific Corp.		400		36,054		3,846
United Therapeutics Corp.		800		85,803		(15,011	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
UnitedHealth Group, Inc.		1,100		$	85,039		$	4,886
Unum Group		3,100			100,015			7,741
Urban Outfitters, Inc.		200			7,404			(632	)
Valero Energy Corp.		600			30,852			(792	)
VCA Antech, Inc.		1,700			54,784			4,869
VF Corp.		1,000			58,717			4,283
Viacom, Inc.		700			57,336			3,375
WABCO Holdings, Inc.		300			32,549			(503	)
Waddell & Reed Financial, Inc.		1,700			111,569			(5,166	)
WellCare Health Plans, Inc.		500			32,837			4,493
WellPoint, Inc.		1,000			84,726			22,884
Wells Fargo & Co.		800			38,383			3,665
Western Digital Corp.		1,500			127,327			11,123
Whirlpool Corp.		1,000			149,194			(9,974	)
Whiting Petroleum Corp.		700			40,960			15,215
Williams-Sonoma, Inc.		200			12,732			1,624
WR Grace & Co.		100			9,303			150
Xerox Corp.		8,500			90,723			15,017
Yahoo!, Inc.		4,500			162,728			(4,643	)
								1,045,585
Total of Long Equity Positions								1,063,383
Short Positions
Hong Kong
Michael Kors Holdings Ltd.		(200	)		(16,520	)		(1,210	)
Ireland
Alkermes PLC		(1,000	)		(46,163	)		(4,167	)
Endo International PLC		(1,600	)		(104,715	)		(7,317	)
								(11,484	)
Netherlands
Chicago Bridge & Iron Co. NV		(900	)		(69,241	)		7,861
Core Laboratories NV		(200	)		(38,202	)		4,790
Sensata Technologies Holding NV		(2,000	)		(81,528	)		(12,032	)
								619
Switzerland
Weatherford International PLC		(1,400	)		(29,241	)		(2,959	)
United Kingdom
Liberty Global PLC		(3,900	)		(160,484	)		(11,974	)
Willis Group Holdings PLC		(1,400	)		(59,931	)		(689	)
								(12,663	)
United States
Abercrombie & Fitch Co.		(1,500	)		(55,853	)		(9,022	)
Actavis PLC		(200	)		(37,905	)		(6,705	)

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

42 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ADT Corp./The		(4,000	)	$	(123,186	)	$	(16,574	)
Alcoa, Inc.		(400	)		(4,719	)		(1,237	)
Allegheny Technologies, Inc.		(2,200	)		(75,265	)		(23,955	)
Alliance Data Systems Corp.		(400	)		(99,294	)		(13,206	)
Alpha Natural Resources, Inc.		(19,600	)		(104,998	)		32,282
Altera Corp.		(1,000	)		(32,164	)		(2,596	)
AMC Networks, Inc.		(400	)		(26,102	)		1,506
American Eagle Outfitters, Inc.		(4,000	)		(46,478	)		1,598
AmerisourceBergen Corp.		(200	)		(13,182	)		(1,350	)
AMETEK, Inc.		(400	)		(20,808	)		(104	)
Amphenol Corp.		(700	)		(60,242	)		(7,196	)
Armstrong World Industries, Inc.		(800	)		(45,568	)		(376	)
AutoNation, Inc.		(700	)		(33,167	)		(8,609	)
Avon Products, Inc.		(4,400	)		(68,496	)		4,212
Bally Technologies, Inc.		(800	)		(52,210	)		(366	)
Bill Barrett Corp.		(800	)		(20,121	)		(1,303	)
BioMarin Pharmaceutical, Inc.		(1,800	)		(122,093	)		10,115
BorgWarner, Inc.		(600	)		(32,349	)		(6,765	)
Brookdale Senior Living, Inc.		(3,800	)		(106,435	)		(20,257	)
Brown-Forman Corp.		(600	)		(47,554	)		(8,948	)
Cabela’s, Inc.		(1,300	)		(85,973	)		4,853
Cablevision Systems Corp.		(2,300	)		(37,632	)		(2,963	)
Cadence Design Systems, Inc.		(400	)		(5,584	)		(1,412	)
Calpine Corp.		(2,100	)		(40,019	)		(9,982	)
Cameron International Corp.		(600	)		(34,724	)		(5,902	)
Campbell Soup Co.		(1,700	)		(71,377	)		(6,500	)
CarMax, Inc.		(1,800	)		(80,931	)		(12,687	)
Carnival Corp.		(2,000	)		(80,698	)		5,398
Carter’s, Inc.		(300	)		(22,066	)		1,387
Catamaran Corp.		(1,900	)		(92,687	)		8,783
CenterPoint Energy, Inc.		(500	)		(12,000	)		(770	)
CenturyLink, Inc.		(3,100	)		(90,936	)		(21,284	)
CH Robinson Worldwide, Inc.		(1,000	)		(54,817	)		(8,973	)
Charles Schwab Corp./The		(700	)		(18,739	)		(112	)
Charter Communications, Inc.		(500	)		(68,473	)		(10,717	)
Cheniere Energy, Inc.		(600	)		(26,549	)		(16,471	)
Chesapeake Energy Corp.		(200	)		(5,090	)		(1,126	)
Church & Dwight Co., Inc.		(300	)		(19,659	)		(1,326	)
Ciena Corp.		(5,100	)		(116,198	)		5,732
Citigroup, Inc.		(700	)		(34,739	)		1,769

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Clean Harbors, Inc.		(2,700	)	$	(153,874	)	$	(19,601	)
Clorox Co./The		(700	)		(61,446	)		(2,534	)
Community Health Systems, Inc.		(1,700	)		(78,550	)		1,421
Commvault Systems, Inc.		(1,100	)		(73,386	)		19,299
ConAgra Foods, Inc.		(1,100	)		(34,461	)		1,813
Concho Resources, Inc.		(100	)		(9,775	)		(4,675	)
Concur Technologies, Inc.		(1,200	)		(117,563	)		5,555
CONSOL Energy, Inc.		(1,400	)		(52,949	)		(11,549	)
Con-way, Inc.		(900	)		(35,131	)		(10,238	)
CoreLogic, Inc.		(300	)		(8,287	)		(821	)
Cree, Inc.		(800	)		(41,878	)		1,918
Cubist Pharmaceuticals, Inc.		(1,000	)		(72,962	)		3,142
Cullen/Frost Bankers, Inc.		(800	)		(59,009	)		(4,527	)
Cypress Semiconductor		(10,100	)		(101,793	)		(8,398	)
Darden Restaurants, Inc.		(700	)		(34,097	)		1,708
Dean Foods Co.		(4,300	)		(66,253	)		(9,384	)
Dick’s Sporting Goods, Inc.		(900	)		(46,739	)		4,835
Diebold, Inc.		(2,700	)		(91,531	)		(16,928	)
Discovery Communications, Inc.		(600	)		(46,655	)		2,087
DreamWorks Animation SKG, Inc.		(2,300	)		(59,491	)		5,993
Dresser-Rand Group, Inc.		(900	)		(49,959	)		(7,398	)
Dunkin’ Brands Group, Inc.		(1,800	)		(81,537	)		(921	)
E*Trade Financial Corp.		(500	)		(10,156	)		(474	)
Eagle Materials, Inc.		(200	)		(15,689	)		(3,167	)
Ecolab, Inc.		(100	)		(9,979	)		(1,155	)
Equinix, Inc.		(900	)		(163,359	)		(25,722	)
Expeditors International of Washington, Inc.		(1,600	)		(65,876	)		(4,780	)
Express Scripts PLC		(400	)		(30,056	)		2,324
Family Dollar Stores, Inc.		(900	)		(58,076	)		(1,450	)
Fastenal Co.		(3,400	)		(156,277	)		(11,989	)
Fidelity National Financial, Inc.		(500	)		(15,099	)		(1,281	)
First Horizon National Corp.		(8,400	)		(99,566	)		(58	)
First Republic Bank		(300	)		(14,874	)		(1,623	)
FirstEnergy Corp.		(600	)		(20,216	)		(616	)
Flowers Foods, Inc.		(2,900	)		(61,075	)		(57	)
FMC Corp.		(100	)		(7,552	)		433
FMC Technologies, Inc.		(600	)		(29,703	)		(6,939	)
Fortinet, Inc.		(900	)		(19,709	)		(2,908	)
Fortune Brands Home & Security, Inc.		(1,300	)		(59,857	)		7,948
Freescale Semiconductor Ltd.		(2,900	)		(49,091	)		(19,059	)
Fresh Market, Inc./The		(5,000	)		(171,913	)		4,563

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

AQR Funds Semi-Annual Report June 2014 43

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Gartner, Inc.		(200	)	$	(13,394	)	$	(710	)
Genesee & Wyoming, Inc.		(400	)		(35,563	)		(6,437	)
Groupon, Inc.		(8,400	)		(57,487	)		1,879
Harley-Davidson, Inc.		(300	)		(19,834	)		(1,121	)
Helix Energy Solutions Group, Inc.		(2,500	)		(57,296	)		(8,479	)
Hertz Global Holdings, Inc.		(900	)		(24,372	)		(855	)
HollyFrontier Corp.		(200	)		(10,492	)		1,754
Hologic, Inc.		(3,800	)		(82,710	)		(13,620	)
HomeAway, Inc.		(2,900	)		(100,364	)		(614	)
Hospira, Inc.		(1,400	)		(60,845	)		(11,073	)
IDEXX Laboratories, Inc.		(100	)		(11,302	)		(2,055	)
IHS, Inc.		(400	)		(45,180	)		(9,088	)
Illumina, Inc.		(200	)		(28,981	)		(6,727	)
Incyte Corp. Ltd.		(300	)		(17,694	)		762
Intuitive Surgical, Inc.		(100	)		(41,086	)		(94	)
Iron Mountain, Inc.		(3,700	)		(101,075	)		(30,090	)
Jacobs Engineering Group, Inc.		(200	)		(12,633	)		1,977
JB Hunt Transport Services, Inc.		(1,700	)		(126,214	)		788
JC Penney Co., Inc.		(4,000	)		(34,790	)		(1,410	)
JDS Uniphase Corp.		(2,600	)		(30,941	)		(1,481	)
JetBlue Airways Corp.		(900	)		(8,046	)		(1,719	)
Kansas City Southern		(900	)		(91,176	)		(5,583	)
KB Home		(4,000	)		(64,923	)		(9,797	)
Keurig Green Mountain, Inc.		(400	)		(46,028	)		(3,816	)
Kinder Morgan, Inc.		(5,600	)		(189,707	)		(13,349	)
Kirby Corp.		(500	)		(49,930	)		(8,640	)
Kohl’s Corp.		(400	)		(21,524	)		452
L Brands, Inc.		(300	)		(15,909	)		(1,689	)
Laboratory Corp. of America Holdings		(200	)		(18,860	)		(1,620	)
Lamar Advertising Co.		(1,600	)		(78,913	)		(5,887	)
Laredo Petroleum, Inc.		(2,100	)		(52,652	)		(12,406	)
Lennar Corp.		(1,600	)		(59,968	)		(7,200	)
Level 3 Communications, Inc.		(3,000	)		(100,680	)		(31,050	)
LinkedIn Corp.		(700	)		(133,194	)		13,165
Lions Gate Entertainment Corp.		(5,000	)		(137,725	)		(5,175	)
Louisiana-Pacific Corp.		(4,900	)		(83,903	)		10,305
M&T Bank Corp.		(400	)		(44,305	)		(5,315	)
Madison Square Garden Co./The		(300	)		(14,900	)		(3,835	)
Markel Corp.		(100	)		(63,400	)		(2,164	)
Marriott International, Inc.		(700	)		(34,745	)		(10,125	)
Martin Marietta Materials, Inc.		(800	)		(86,225	)		(19,415	)
McCormick & Co., Inc.		(1,000	)		(69,194	)		(2,396	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
McDermott International, Inc.		(10,800	)	$	(85,886	)	$	(1,486	)
MDC Holdings, Inc.		(5,300	)		(150,176	)		(10,361	)
MeadWestvaco Corp.		(600	)		(21,870	)		(4,686	)
Medivation, Inc.		(2,100	)		(144,326	)		(17,542	)
MEDNAXX, Inc.		(500	)		(26,885	)		(2,190	)
MGM Resorts International		(1,200	)		(29,132	)		(2,548	)
Mohawk Industries, Inc.		(100	)		(14,215	)		381
Motorola Solutions, Inc.		(1,300	)		(84,185	)		(2,356	)
MSC Industrial Direct Co., Inc.		(1,000	)		(84,783	)		(10,857	)
MSCI, Inc.		(300	)		(13,192	)		(563	)
Mylan, Inc.		(200	)		(9,622	)		(690	)
Navistar International Corp.		(4,000	)		(138,377	)		(11,543	)
NCR Corp.		(1,000	)		(36,121	)		1,031
NetSuite, Inc.		(400	)		(42,086	)		7,334
Nielsen Holdings NV		(1,400	)		(60,559	)		(7,215	)
Nordstrom, Inc.		(300	)		(17,527	)		(2,852	)
Northern Trust Corp.		(900	)		(57,651	)		(138	)
NRG Energy, Inc.		(3,000	)		(86,636	)		(24,964	)
Nuance Communications, Inc.		(4,600	)		(70,631	)		(15,711	)
Nucor Corp.		(700	)		(35,966	)		1,491
Oasis Petroleum, Inc.		(900	)		(38,772	)		(11,529	)
Office Depot, Inc.		(22,900	)		(100,931	)		(29,370	)
ONEOK, Inc.		(800	)		(42,219	)		(12,245	)
Owens Corning		(1,100	)		(43,250	)		702
Owens-Illinois, Inc.		(1,200	)		(40,756	)		(812	)
Palo Alto Networks, Inc.		(1,400	)		(89,061	)		(28,329	)
Pandora Media, Inc.		(4,000	)		(107,381	)		(10,619	)
Peabody Energy Corp.		(1,300	)		(22,560	)		1,305
PerkinElmer, Inc.		(400	)		(16,960	)		(1,776	)
Perrigo Co PLC		(200	)		(31,206	)		2,054
PG&E Corp.		(500	)		(22,300	)		(1,710	)
Pharmacyclics, Inc.		(500	)		(44,972	)		117
PVH Corp.		(900	)		(109,128	)		4,188
QEP Resources, Inc.		(1,300	)		(39,609	)		(5,241	)
Quest Diagnostics, Inc.		(500	)		(27,850	)		(1,495	)
Range Resources Corp.		(600	)		(51,091	)		(1,079	)
Regeneron Pharmaceuticals, Inc.		(200	)		(59,239	)		2,745
Rockwell Collins, Inc.		(500	)		(38,047	)		(1,023	)
Rockwood Holdings, Inc.		(200	)		(14,383	)		(815	)
Roper Industries, Inc.		(600	)		(82,567	)		(5,039	)
Rosetta Resources, Inc.		(1,000	)		(45,382	)		(9,468	)
Royal Caribbean Cruises Ltd.		(500	)		(24,605	)		(3,195	)
Salesforce.com, Inc.		(1,600	)		(91,181	)		(1,747	)
Salix Pharmaceuticals Ltd.		(300	)		(28,948	)		(8,057	)
SBA Communications Corp.		(1,500	)		(137,881	)		(15,569	)
Sealed Air Corp.		(1,400	)		(45,336	)		(2,502	)
Seattle Genetics, Inc.		(400	)		(18,088	)		2,788

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

44 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ServiceNow, Inc.		(1,200	)	$	(67,383	)	$	(6,969	)
Sirius XM Holdings, Inc.		(18,500	)		(58,800	)		(5,210	)
Sirona Dental Systems, Inc.		(400	)		(29,676	)		(3,308	)
Six Flags Entertainment Corp.		(2,300	)		(90,671	)		(7,194	)
SolarWinds, Inc.		(1,000	)		(44,257	)		5,597
Sotheby’s		(1,200	)		(49,794	)		(594	)
Southern Co./The		(900	)		(40,006	)		(836	)
Spectra Energy Corp.		(3,000	)		(116,121	)		(11,319	)
Splunk, Inc.		(900	)		(51,647	)		1,850
Sprint Corp.		(7,600	)		(66,556	)		1,728
Staples, Inc.		(3,600	)		(41,904	)		2,880
Stericycle, Inc.		(1,200	)		(136,298	)		(5,806	)
Stratasys Ltd.		(1,300	)		(141,250	)		(6,469	)
SunEdison, Inc.		(5,800	)		(92,215	)		(38,865	)
SUPERVALU, Inc.		(14,400	)		(93,155	)		(25,213	)
Synovus Financial Corp.		(2,500	)		(61,013	)		63
TECO Energy, Inc.		(1,200	)		(20,549	)		(1,627	)
Tempur Sealy International, Inc.		(1,700	)		(81,224	)		(20,266	)
Tenet Healthcare Corp.		(3,000	)		(130,655	)		(10,165	)
Teradata Corp.		(1,700	)		(78,279	)		9,939
Teradyne, Inc.		(1,100	)		(21,150	)		(410	)
Terex Corp.		(400	)		(15,821	)		(619	)
Tesla Motors, Inc.		(100	)		(18,935	)		(5,071	)
Textron, Inc.		(1,900	)		(69,532	)		(3,219	)
Tidewater, Inc.		(100	)		(4,886	)		(729	)
T-Mobile US, Inc.		(600	)		(18,850	)		(1,322	)
Toll Brothers, Inc.		(3,100	)		(110,156	)		(4,234	)
Total System Services, Inc.		(500	)		(14,937	)		(768	)
Tractor Supply Co.		(200	)		(14,151	)		2,071
TransDigm Group, Inc.		(500	)		(85,384	)		1,754
Trimble Navigation Ltd.		(1,200	)		(43,016	)		(1,324	)
TripAdvisor, Inc.		(100	)		(10,362	)		(504	)
Triumph Group, Inc.		(1,000	)		(73,892	)		4,072
Ultra Salon, Inc.		(100	)		(8,406	)		(735	)
Under Armour, Inc.		(1,400	)		(59,874	)		(23,412	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Continental Holdings, Inc.		(2,400	)	$	(103,056	)	$	4,488
United Rentals, Inc.		(900	)		(72,760	)		(21,497	)
URS Corp.		(300	)		(13,571	)		(184	)
Vantiv, Inc.		(2,600	)		(82,367	)		(5,045	)
Varian Medical Systems, Inc.		(700	)		(57,189	)		(1,009	)
VeriFone Systems, Inc.		(1,100	)		(31,724	)		(8,701	)
VeriSign, Inc.		(900	)		(46,431	)		2,502
Verisk Analytics, Inc.		(300	)		(19,035	)		1,029
Vertex Pharmaceuticals, Inc.		(400	)		(31,948	)		(5,924	)
Visa, Inc.		(400	)		(84,436	)		152
Vmware, Inc.		(200	)		(20,361	)		999
Vulcan Materials Co.		(1,000	)		(61,115	)		(2,635	)
Waste Management, Inc.		(300	)		(12,226	)		(1,193	)
Wendy’s Co./The		(1,342	)		(12,051	)		604
WESCO International, Inc.		(800	)		(68,734	)		(370	)
Western Union Co./The		(3,800	)		(60,357	)		(5,535	)
Whole Foods Market, Inc.		(2,000	)		(78,044	)		784
Williams Cos., Inc./The		(1,900	)		(75,895	)		(34,704	)
WPX Energy, Inc.		(1,300	)		(24,974	)		(6,109	)
Zions BanCorp.		(2,000	)		(59,596	)		656
Zynga, Inc.		(4,700	)		(18,590	)		3,503
								(957,934	)
Total of Short Equity Positions								(985,631	)
Total of Long and Short Equity Positions								77,752
Net Cash and Other Receivables/ (Payables) (b)								(62,895	)
Swaps, at Value							$	14,857

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Semi-Annual Report June 2014 45

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	13 months maturity 02/20/2015		$90,083

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Switzerland
Actelion Ltd.		2,128		$	205,089		$	64,252
Galenica AG		41			39,661			352
Lonza Group AG		464			46,735			3,724
Novartis AG		141			11,532			1,237
Roche Holding AG		246			70,317			2,980
Swiss Life Holding AG		142			35,896			(2,237	)
Swiss Re AG		205			19,331			(1,103	)
								69,205
Total of Long Equity Positions								69,205
Short Positions
Switzerland
Cie Financiere Richemont SA		(460	)		(45,124	)		(3,079	)
Credit Suisse Group AG		(2,681	)		(84,218	)		7,971
Dufry AG		(291	)		(47,416	)		(5,449	)
Julius Baer Group Ltd.		(1,262	)		(63,324	)		11,331
Sulzer AG		(250	)		(38,106	)		3,073
Swatch Group AG/The		(56	)		(34,896	)		1,129

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Syngenta AG		(78	)	$	(30,533	)	$	1,716
Transocean Ltd.		(1,546	)		(63,684	)		(5,775	)
UBS AG		(4,902	)		(102,337	)		12,462
								23,379
Total of Short Equity Positions								23,379
Total of Long and Short Equity Positions								92,584
Net Cash and Other Receivables/ (Payables) (b)								(2,501	)
Swaps, at Value							$	90,083

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

46 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	13 months maturity ranging from 07/22/2014 - 02/20/2015		$184,410

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Belgium
Belgacom SA		4,523	$	136,950	$	13,199
Delhaize Group SA		550		38,192		(975	)
						12,224
Finland
Fortum OYJ		4,451		101,084		18,260
Neste Oil OYJ		2,498		49,658		(921	)
						17,339
France
Alstom SA		346		13,751		(1,185	)
AtoS		243		21,744		(1,505	)
AXA SA		875		23,017		(2,111	)
Cap Gemini SA		327		22,962		374
Casino Guichard Perrachon SA		238		28,835		2,720
Cie Generale des Etablissements Michelin		149		15,985		1,806
Danone SA		976		67,731		4,843
Electricite de France SA		3,236		117,982		(16,087	)
European Aeronautic Defence and Space Co. NV		113		8,308		(731	)
Eutelsat Communications SA		769		23,476		3,247
GDF Suez		2,176		59,026		926
Iliad SA		333		75,708		25,027
Orange SA		4,451		64,352		6,073
Safran SA		1,356		95,263		(6,493	)
SES SA		532		18,757		1,431
Suez Environnement Co.		1,473		29,335		(1,156	)
Thales SA		1,433		94,210		(7,565	)
Total SA		2,299		139,109		27,223
						36,837
Germany
Axel Springer SE		1,294		81,945		(2,420	)
Bilfinger SE		185		21,597		(530	)
Brenntag AG		111		20,377		(546	)
Deutsche Lufthansa AG		2,449		63,405		(10,832	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Deutsche Post AG		1,335	$	47,314	$	873
Deutsche Telekom AG		3,332		55,198		3,242
E.ON SE		4,299		80,723		7,903
Hannover Rueck SE		109		9,289		526
Hochtief AG		149		13,030		(135	)
Merck KGaA		1,042		87,643		2,716
Metro AG		1,670		69,743		2,933
Muenchener Rueckversicherungs AG		204		42,463		2,712
Porsche Automobil Holding SE		195		20,172		103
ProSiebenSat.1 Media AG		2,232		99,459		(114	)
RWE AG		1,643		62,266		8,199
Stada Arzneimittel AG		457		23,017		(1,309	)
United Internet AG		2,644		116,086		71
						13,392
Italy
Autogrill SpA		7,589		71,751		(4,899	)
Enel Green Power SpA		7,074		18,920		1,101
Enel SpA		2,399		12,153		1,801
Fiat SpA		9,567		98,530		(4,204	)
Mediaset SpA		3,666		19,525		(1,671	)
Pirelli & C. SpA		1,319		21,515		(371	)
Prysmian SpA		1,605		40,642		(4,397	)
Snam SpA		13,089		72,782		6,052
Terna Rete Elettrica Nazionale SpA		9,867		48,983		3,006
						(3,582	)
Netherlands
Delta Lloyd NV		509		12,975		(52	)
Heineken NV		145		9,599		809
Koninklijke Ahold NV		6,985		132,539		(1,563	)
Koninklijke Boskalis Westminster NV		1,065		58,055		3,020
Royal Dutch Shell PLC		2,452		102,302		(1,058	)
Wolters Kluwer NV		3,568		101,668		4,021
						5,177

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

AQR Funds Semi-Annual Report June 2014 47

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain
Acerinox SA		2,273		$	40,561		$	(247	)
Acerinox SA		2,273			9			1,370
ACS Actividades de Construccion y Servicios SA		1,687			61,252			15,963
Bankinter SA		1,948			15,207			38
Ebro Foods SA		1,703			39,072			(1,235	)
Enagas SA		1,027			28,745			4,313
Gas Natural SDG SA		2,594			66,415			15,538
Grifols SA		208			11,233			132
Iberdrola SA		1,799			11,850			1,911
Tecnicas Reunidas SA		213			11,886			1,288
								39,071
Total of Long Equity Positions								120,458
Short Positions
Belgium
Solvay SA		(42	)		(5,877	)		(1,351	)
UCB SA		(352	)		(25,114	)		(4,666	)
								(6,017	)
Finland
Kone OYJ		(107	)		(4,755	)		293
Nokia OYJ		(2,504	)		(19,219	)		272
Nokian Renkaat OYJ		(2,208	)		(99,048	)		12,964
Wartsila OYJ		(540	)		(29,411	)		2,648
								16,177
France
Alcatel-Lucent		(33,630	)		(133,875	)		12,973
Arkema SA		(123	)		(13,555	)		1,603
CGG SA		(12,320	)		(194,878	)		20,344
Edenred		(990	)		(29,992	)		(29	)
Essilor International SA		(304	)		(32,981	)		764
Peugeot SA		(1,973	)		(29,233	)		41
Remy Cointreau SA		(1,436	)		(112,040	)		(20,183	)
Renault SA		(888	)		(82,829	)		2,558
Schneider Electric SE		(674	)		(62,600	)		(953	)
Valeo SA		(94	)		(12,834	)		221
Vallourec SA		(1,176	)		(61,815	)		9,099
Veolia Environnement SA		(5,580	)		(87,850	)		(18,453	)
								7,985
Germany
Bayerische Motoren Werke AG		(344	)		(42,970	)		(590	)
Commerzbank AG		(2,067	)		(36,784	)		4,387
Continental AG		(106	)		(25,181	)		673
Daimler AG		(453	)		(41,461	)		(856	)
Deutsche Bank AG		(2,812	)		(139,856	)		41,028
Infineon Technologies AG		(3,593	)		(36,141	)		(8,711	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
LANXESS AG		(1,333	)	$	(90,797	)	$	888
MTU Aero Engines AG		(231	)		(21,090	)		(125	)
SAP AG		(498	)		(39,988	)		1,615
Sky Deutschland AG		(5,311	)		(48,800	)		(138	)
ThyssenKrupp AG		(627	)		(16,786	)		(1,457	)
Volkswagen AG		(207	)		(55,184	)		967
Wacker Chemie AG		(563	)		(66,166	)		1,349
								39,030
Italy
Buzzi Unicem SpA		(1,844	)		(31,487	)		480
Telecom Italia SpA		(76,902	)		(87,032	)		(10,303	)
UniCredit SpA		(4,173	)		(33,353	)		(1,539	)
								(11,362	)
Luxembourg
ArcelorMittal		(2,002	)		(32,376	)		2,530
Netherlands
ASML Holding NV		(1,158	)		(100,217	)		(7,780	)
CNH Industrial NV		(6,812	)		(76,054	)		6,157
Fugro NV		(484	)		(26,285	)		(1,392	)
SBM Offshore NV		(3,471	)		(59,091	)		3,127
								112
Spain
Banco de Sabadell SA		(4,019	)		(13,555	)		(163	)
Bankia SA		(37,689	)		(74,034	)		967
Mediaset Espana Comunicacion SA		(5,377	)		(61,586	)		(1,163	)
Obrascon Huarte Lain SA		(2,196	)		(96,764	)		391
Red Electrica Corp. SA		(393	)		(29,079	)		(6,846	)
								(6,814	)
Total of Short Equity Positions								41,641
Total of Long and Short Equity Positions								162,099
Net Cash and Other Receivables/ (Payables) (b)								22,311
Swaps, at Value							$	184,410

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

48 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap.	13 months maturity 02/20/2015		$15,159

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Sweden
Securitas AB		11,332		$	118,035		$	16,331
Skanska AB		851			16,603			2,824
Tele2 AB		884			10,003			400
Telefonaktiebolaget LM Ericsson		4,073			46,926			2,279
TeliaSonera AB		12,012			89,926			(2,214	)
								19,620
Total of Long Equity Positions								19,620
Short Positions
Sweden
Hexagon AB		(2,854	)		(92,072	)		120
Sandvik AB		(1,255	)		(17,349	)		209
Svenska Handelsbanken AB		(57	)		(2,765	)		(22	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden (Continued)
Volvo AB		(4,144	)	$	(54,282	)	$	(2,767	)
								(2,460	)
Total of Short Equity Positions								(2,460	)
Total of Long and Short Equity Positions								17,160
Net Cash and Other Receivables/ (Payables) (b)								(2,001	)
Swaps, at Value							$	15,159

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Semi-Annual Report June 2014 49

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap.	13 months maturity 02/20/2015		$10,599

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Norway
Norsk Hydro ASA		8,974		$	47,868		$	184
Statoil ASA		2,058			51,836			11,425
Telenor ASA		4,579			103,907			350
Yara International ASA		555			23,780			4,024
								15,983
Total of Long Equity Positions								15,983
Short Positions
Norway
Aker Solutions ASA		(4,781	)		(77,573	)		(5,407	)
DNB ASA		(1,154	)		(20,440	)		(645	)
								(6,052	)
Total of Short Equity Positions								(6,052	)
Total of Long and Short Equity Positions								9,931
Net Cash and Other Receivables/ (Payables) (b)								668
Swaps, at Value							$	10,599

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

50 AQR Funds Semi-Annual Report June 2014

Schedule of Investments June 30, 2014 (Unaudited)

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap.	13 months maturity 02/20/2015		$29,878

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Denmark
AP Moeller -
Maersk A/S		5		$	11,504		$	927
Carlsberg A/S		128			13,217			569
Coloplast A/S		267			18,260			5,900
Pandora A/S		1,469			90,681			22,055
TDC A/S		4,110			38,312			4,204
								33,655
Total of Long Equity Positions								33,655
Short Positions
Denmark
Chr Hansen Holding A/S		(1,142	)		(43,707	)		(4,386	)
Vestas Wind Systems A/S		(1,138	)		(58,082	)		661
								(3,725	)
Total of Short Equity Positions								(3,725	)
Total of Long and Short Equity Positions								29,930
Net Cash and Other Receivables/ (Payables) (b)								(52	)
Swaps, at Value							$	29,878

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Semi-Annual Report June 2014 51

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

MONEY MARKET FUNDS - 89.6%	SHARES		VALUE (Note 3)
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% ^(a)(b)
(cost $23,197,978)		23,197,978	$	23,197,978
TOTAL INVESTMENTS - 89.6% (cost $23,197,978)				23,197,978
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.4% (c)				2,686,687
NET ASSETS - 100.0%			$	25,884,665

(a) Represents annualized seven-day yield as of June 30, 2014.

(b) A portion of the security is pledged as collateral to the brokers for swap contracts.

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

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820 (See Note 5).

Interest rate swap contracts outstanding as of June 30, 2014:

COUNTERPARTY†	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank	3 Month Australian Bank-Bill Reference Rate		3.000%		AUD		5,270,000		$(10,430)		09/08/2016		$32,080
CitiBank	3.000%			(1)	AUD		2,830,000		(2,819)		09/08/2016		(8,807)
CitiBank	3.000%			(1)	AUD		2,240,000		1,161		09/08/2016		(10,363)
CitiBank	4.500%			(2)	AUD		1,280,000		411		09/12/2024		(54,761)
CitiBank	6 Month Australian Bank-Bill Reference Rate		4.500%		AUD		560,000		4,659		09/12/2024		19,119
CitiBank	6 Month Australian Bank-Bill Reference Rate		4.500%		AUD		680,000		13,561		09/12/2024		15,312
CitiBank	1.500%			(3)	CAD		32,490,000		28,062		09/19/2016		(38,901)
CitiBank	1.500%			(3)	CAD		1,170,000		436		09/19/2016		(826)
CitiBank	3 Month London Interbank Offered Rate		1.500%		CAD		3,140,000		2,927		09/19/2016		(1,879)
CitiBank	3 Month London Interbank Offered Rate		3.000%		CAD		7,490,000		6,378		09/16/2024		165,589
CitiBank	3 Month London Interbank Offered Rate		3.000%		CAD		170,000		1,850		09/16/2024		2,054
CitiBank	3.000%			(3)	CAD		790,000		(13,193)		09/16/2024		(4,945)
CitiBank	0.500%			(4)	EUR		110,000		(130)		09/21/2016		(362)
CitiBank	0.500%			(4)	EUR		2,230,000		(6,513)		09/21/2016		(3,466)
CitiBank	0.500%			(4)	EUR		2,220,000		(7,856)		09/21/2016		(2,078)
CitiBank	0.500%			(4)	EUR		20,100,000		30,365		09/21/2016		(120,313)
CitiBank	0.500%			(4)	EUR		7,940,000		(27,883)		09/21/2016		(7,649)
CitiBank	2.000%			(4)	EUR		1,010,000		(45,974)		09/18/2024		(21,148)
CitiBank	2.000%			(4)	EUR		370,000		(9,681)		09/18/2024		(14,909)
CitiBank	2.000%			(4)	EUR		300,000		(5,549)		09/18/2024		(14,388)
CitiBank	2.000%			(4)	EUR		270,000		(10,427)		09/18/2024		(7,517)
CitiBank	2.000%			(4)	EUR		320,000		(6,786)		09/18/2024		(14,481)
CitiBank	2.000%			(4)	EUR		1,430,000		(80,370)		09/18/2024		(14,665)
CitiBank	6 Month Euro Interbank Offered Rate		0.500%		EUR		1,000,000		2,354		09/21/2016		2,121

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

52 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY†	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	6 Month Euro Interbank Offered Rate		0.500%		EUR		1,460,000		$(200)		09/21/2016		$6,734
CitiBank	6 Month Euro Interbank Offered Rate		0.500%		EUR		4,460,000		16,383		09/21/2016		3,575
CitiBank	6 Month Euro Interbank Offered Rate		0.500%		EUR		1,500,000		(971)		09/21/2016		7,684
CitiBank	6 Month Euro Interbank Offered Rate		0.500%		EUR		6,530,000		25,671		09/21/2016		3,551
CitiBank	6 Month Euro Interbank Offered Rate		2.000%		EUR		340,000		11,739		09/18/2024		10,857
CitiBank	6 Month Euro Interbank Offered Rate		2.000%		EUR		450,000		18,199		09/18/2024		11,707
CitiBank	6 Month Euro Interbank Offered Rate		2.000%		EUR		4,400,000		48,755		09/18/2024		243,661
CitiBank	6 Month Euro Interbank Offered Rate		2.000%		EUR		1,730,000		72,310		09/18/2024		42,663
CitiBank	6 Month Euro Interbank Offered Rate		2.000%		EUR		510,000		22,688		09/18/2024		11,206
CitiBank	1.500%			(5)	GBP		7,080,000		15,388		09/21/2016		(11,085)
CitiBank	1.500%			(5)	GBP		1,200,000		(2,378)		09/21/2016		3,107
CitiBank	2.500%			(5)	GBP		3,390,000		(71,651)		09/18/2019		13,085
CitiBank	3.000%			(5)	GBP		70,000		(991)		09/18/2024		(619)
CitiBank	3.000%			(5)	GBP		940,000		(11,977)		09/18/2024		(9,645)
CitiBank	3.000%			(5)	GBP		120,000		(3,073)		09/18/2024		313
CitiBank	3.000%			(5)	GBP		30,000		(923)		09/18/2024		233
CitiBank	3.000%			(5)	GBP		9,900,000		(89,218)		09/18/2024		(138,500)
CitiBank	3.000%			(5)	GBP		920,000		(8,860)		09/18/2024		(12,302)
CitiBank	6 Month London Interbank Offered Rate		1.500%		GBP		43,200,000		184,494		09/21/2016		(210,755)
CitiBank	6 Month London Interbank Offered Rate		1.500%		GBP		980,000		4,655		09/21/2016		(5,251)
CitiBank	6 Month London Interbank Offered Rate		1.500%		GBP		190,000		68		09/21/2016		(183)
CitiBank	6 Month London Interbank Offered Rate		2.500%		GBP		1,690,000		21,148		09/18/2019		8,048
CitiBank	6 Month London Interbank Offered Rate		2.500%		GBP		1,700,000		16,939		09/18/2019		12,430
CitiBank	6 Month London Interbank Offered Rate		3.000%		GBP		1,590,000		22,160		09/18/2024		14,413

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

AQR Funds Semi-Annual Report June 2014 53

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY†	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	6 Month London Interbank Offered Rate		3.000%		GBP		300,000		$2,208		09/18/2024		$4,692
CitiBank	6 Month London Interbank Offered Rate		3.000%		GBP		1,860,000		21,311		09/18/2024		21,473
CitiBank	0.250%			(5)	JPY		4,011,080,000		(37,235)		09/21/2016		(20,559)
CitiBank	1.000%			(5)	JPY		186,550,000		(34,254)		09/18/2024		(12,949)
CitiBank	1.000%			(5)	JPY		124,180,000		(25,921)		09/18/2024		(5,501)
CitiBank	1.000%			(5)	JPY		42,600,000		(7,711)		09/18/2024		(3,068)
CitiBank	1.000%			(5)	JPY		186,550,000		(33,669)		09/18/2024		(13,533)
CitiBank	1.000%			(5)	JPY		43,000,000		(5,647)		09/18/2024		(5,233)
CitiBank	1.000%			(5)	JPY		110,630,000		(25,429)		09/18/2024		(2,564)
CitiBank	1.000%			(5)	JPY		49,800,000		(7,190)		09/18/2024		(5,411)
CitiBank	1.000%			(5)	JPY		43,000,000		(6,334)		09/18/2024		(4,546)
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		886,445,000		8,809		09/21/2016		3,963
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		220,760,000		1,929		09/21/2016		1,252
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		206,000,000		1,856		09/21/2016		1,112
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		595,380,000		7,987		09/21/2016		591
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		886,445,000		8,658		09/21/2016		4,114
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		534,270,000		8,135		09/21/2016		(437)
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		208,000,000		1,462		09/21/2016		1,535
CitiBank	6 Month London Interbank Offered Rate		0.250%		JPY		202,980,000		1,920		09/21/2016		1,005
CitiBank	6 Month London Interbank Offered Rate		1.000%		JPY		841,040,000		106,705		09/18/2024		106,103
CitiBank	2.000%			(6)	NOK		53,000,000		22,780		09/21/2016		(57,041)
CitiBank	2.000%			(6)	NOK		10,000		2		09/21/2016		(8)
CitiBank	3.500%			(6)	NOK		3,100,000		(11,129)		09/18/2024		(18,505)
CitiBank	6 Month Norwegian Interbank Offered Rate		2.000%		NOK		12,300,000		(4,221)		09/21/2016		12,172
CitiBank	6 Month Norwegian Interbank Offered Rate		3.500%		NOK		12,200,000		42,616		09/18/2024		74,007
CitiBank	3 Month Australian Bank-Bill Reference Rate		4.000%		NZD		2,430,000		(16,095)		09/14/2016		3,884

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

54 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

COUNTERPARTY†	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	3 Month Australian Bank-Bill Reference Rate		5.000%		NZD		180,000		$1,223		09/11/2024		$(387)
CitiBank	3 Month Australian Bank-Bill Reference Rate		5.000%		NZD		420,000		2,891		09/11/2024		(940)
CitiBank	4.000%			(1)	NZD		1,700,000		4,874		09/14/2016		3,668
CitiBank	4.000%			(1)	NZD		720,000		2,135		09/14/2016		1,483
CitiBank	5.000%			(1)	NZD		600,000		4,879		09/11/2024		(7,666)
CitiBank	1.500%			(7)	SEK		13,380,000		(14,721)		09/21/2016		(12,281)
CitiBank	1.500%			(7)	SEK		13,300,000		(18,394)		09/21/2016		(8,447)
CitiBank	1.500%			(7)	SEK		13,350,000		(18,408)		09/21/2016		(8,533)
CitiBank	3 Month Stockholm Interbank Offered Rate		1.500%		SEK		172,800,000		141,853		09/21/2016		206,869
CitiBank	3 Month Stockholm Interbank Offered Rate		2.500%		SEK		3,100,000		4,080		09/18/2024		12,237
CitiBank	3 Month Stockholm Interbank Offered Rate		2.500%		SEK		4,050,000		5,166		09/18/2024		16,152
CitiBank	3 Month Stockholm Interbank Offered Rate		2.500%		SEK		3,050,000		426		09/18/2024		15,628
CitiBank	3.000%			(7)	SEK		39,100,000		(221,295)		09/18/2024		(253,353)
CitiBank	1.000%			(3)	USD		2,020,000		(11,500)		09/19/2016		(176)
CitiBank	3 Month London Interbank Offered Rate		1.000%		USD		4,800,000		12,626		09/19/2016		15,120
CitiBank	3 Month London Interbank Offered Rate		1.000%		USD		5,300,000		11,415		09/19/2016		19,221
CitiBank	3 Month London Interbank Offered Rate		1.000%		USD		5,760,000		18,288		09/19/2016		15,007
CitiBank	3 Month London Interbank Offered Rate		3.250%		USD		510,000		21,500		09/17/2024		4,346
CitiBank	3.250%			(3)	USD		10,000		(440)		09/17/2024		(67)
CitiBank	3.250%			(3)	USD		1,110,000		(20,697)		09/17/2024		(35,557)
CitiBank	3.250%			(3)	USD		1,200,000		(22,343)		09/17/2024		(38,472)
CitiBank	3.250%			(3)	USD		1,330,000		(43,822)		09/17/2024		(23,581)
									$36,187				$(93,437)

† Forward effective date swap. See Note 3 in the Notes to Financial Statements.

(1) 3 Month Australian Bank-Bill Reference Rate

(2) 6 Month Australian Bank-Bill Reference Rate

(3) 3 Month London Interbank Offered Rate

(4) 6 Month Euro Interbank Offered Rate

(5) 6 Month London Interbank Offered Rate

(6) 6 Month Norwegian Interbank Offered Rate

(7) 3 Month Stockholm Interbank Offered Rate

Cash held as collateral at CitiBank for interest rate swap contracts was $517,640 at June 30, 2014.

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

AQR Funds Semi-Annual Report June 2014 55

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond	9/2014	CAD		(269,625	)		$(2,168	)
Bank of America	Bovespa Index	8/2014	BRL		(277,325	)		4,020
CitiBank	Corn Futures^	9/2014	USD		(21,762	)		824
Bank of America	H-SHARES Index Futures	7/2014	HKD		505,125			900
Bank of America	Long Gilt Futures	9/2014	GBP		(219,671	)		(299	)
Bank of America	MSCI Taiwan Stock Index Futures	7/2014	USD		163,203			2,997
Deutsche Bank	Palladium Futures^	9/2014	USD		251,111			1,834
Bank of America	SGX S&P CNX Nifty Index Futures	7/2014	USD		45,284			475
CitiBank	Soybean Futures^	11/2014	USD		(60,220	)		2,358
Bank of America	Swiss Market Index Futures	9/2014	CHF		(3,027,035	)		39,478
Bank of America	Taiwan Stock Exchange Futures	7/2014	TWD		3,651,484			2,157
Bank of America	Tel Aviv 25 Index Futures	7/2014	ILS		140,578			(489	)
Bank of America	U.S. Treasury 10-Year Note Futures	9/2014	USD		7,850,742			35,086
Bank of America	WIG20 Index Futures	9/2014	PLN		97,374			(873	)
								$86,300

Money Market Fund is pledged as collateral to Bank of America for total return swap contracts in the amount of $220,000 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
5	Goldman Sachs	Brent Crude Futures^	8/2014	$	562,993	$	560,350	$	(2,643	)
1	Goldman Sachs	Gold 100 OZ Futures^	8/2014		131,873		132,200		327
11	J.P. Morgan	LME Aluminum Futures^	7/2014		501,073		511,569		10,496
2	J.P. Morgan	LME Aluminum Futures^	7/2014		92,558		93,188		630
2	J.P. Morgan	LME Aluminum Futures^	7/2014		93,952		93,280		(672	)
1	J.P. Morgan	LME Aluminum Futures^	8/2014		44,027		46,981		2,954
1	J.P. Morgan	LME Aluminum Futures^	9/2014		46,151		47,136		985
2	J.P. Morgan	LME Aluminum Futures^	9/2014		92,463		94,538		2,075
1	J.P. Morgan	LME Aluminum Futures^	9/2014		47,327		47,270		(57	)
2	J.P. Morgan	LME Copper Futures^	7/2014		332,179		352,020		19,841
1	J.P. Morgan	LME Copper Futures^	7/2014		166,692		175,841		9,149
1	J.P. Morgan	LME Copper Futures^	8/2014		170,803		175,716		4,913
1	J.P. Morgan	LME Copper Futures^	9/2014		167,499		175,600		8,101
1	J.P. Morgan	LME Lead Futures^	7/2014		51,927		53,681		1,754
2	J.P. Morgan	LME Nickel Futures^	7/2014		196,924		227,718		30,794
1	J.P. Morgan	LME Nickel Futures^	7/2014		109,572		113,935		4,363
1	J.P. Morgan	LME Nickel Futures^	9/2014		112,505		114,179		1,674
1	J.P. Morgan	LME Nickel Futures^	9/2014		113,312		114,222		910
3	J.P. Morgan	LME Zinc Futures^	7/2014		151,956		166,012		14,056
1	J.P. Morgan	LME Zinc Futures^	8/2014		52,326		55,320		2,994
1	J.P. Morgan	LME Zinc Futures^	8/2014		51,630		55,350		3,720
2	Goldman Sachs	WTI Crude Futures^	8/2014		211,253		210,740		(513	)
14	Barclays Capital	Amsterdam Index Futures	7/2014		1,592,503		1,584,417		(8,086	)

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

56 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
15	Barclays Capital	BIST National 30 Index Futures	8/2014	$	69,871		$	69,296		$	(575	)
102	Barclays Capital	Euro Stoxx 50 Index	9/2014		4,569,159			4,514,089			(55,070	)
6	Barclays Capital	FTSE/JSE Top 40 Index Futures	9/2014		259,230			259,915			685
13	Barclays Capital	IBEX 35 Index Futures	7/2014		1,943,535			1,932,376			(11,159	)
3	Barclays Capital	MSCI Taiwan Stock Index Futures	7/2014		98,067			99,720			1,653
21	Barclays Capital	OMXS30 Index Futures	7/2014		435,673			433,575			(2,098	)
9	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	9/2014		1,443,503			1,456,970			13,467
1	Barclays Capital	SET50 Index Futures	9/2014		6,012			6,107			95
1	Barclays Capital	SGX S&P CNX Nifty Index Futures	7/2014		15,236			15,253			17
208	J.P. Morgan	90-Day Sterling Futures	12/2014		44,171,619			44,113,731			(57,888	)
147	J.P. Morgan	90-Day Sterling Futures	3/2015		31,156,832			31,102,631			(54,201	)
125	J.P. Morgan	90-Day Sterling Futures	6/2015		26,428,396			26,382,301			(46,095	)
55	J.P. Morgan	U.S. Treasury 10-Year Note Futures	9/2014		6,874,694			6,884,453			9,759
					122,565,325			122,471,680			(93,645	)
Short Contracts:
8	Goldman Sachs	Corn Futures^	9/2014		(175,080	)		(167,500	)		7,580
11	J.P. Morgan	LME Aluminum Futures^	7/2014		(500,919	)		(511,569	)		(10,650	)
2	J.P. Morgan	LME Aluminum Futures^	7/2014		(93,546	)		(93,188	)		358
2	J.P. Morgan	LME Aluminum Futures^	7/2014		(94,308	)		(93,280	)		1,028
1	J.P. Morgan	LME Aluminum Futures^	8/2014		(43,948	)		(46,981	)		(3,033	)
1	J.P. Morgan	LME Aluminum Futures^	9/2014		(45,998	)		(47,136	)		(1,138	)
7	J.P. Morgan	LME Aluminum Futures^	9/2014		(323,335	)		(330,881	)		(7,546	)
1	J.P. Morgan	LME Aluminum Futures^	9/2014		(47,347	)		(47,270	)		77
2	J.P. Morgan	LME Copper Futures^	7/2014		(332,118	)		(352,020	)		(19,902	)
1	J.P. Morgan	LME Copper Futures^	7/2014		(165,873	)		(175,841	)		(9,968	)
1	J.P. Morgan	LME Copper Futures^	8/2014		(170,348	)		(175,716	)		(5,368	)
1	J.P. Morgan	LME Lead Futures^	7/2014		(51,889	)		(53,682	)		(1,793	)
1	J.P. Morgan	LME Lead Futures^	9/2014		(53,292	)		(54,238	)		(946	)
2	J.P. Morgan	LME Nickel Futures^	7/2014		(197,561	)		(227,718	)		(30,157	)
1	J.P. Morgan	LME Nickel Futures^	7/2014		(109,648	)		(113,935	)		(4,287	)
1	J.P. Morgan	LME Nickel Futures^	9/2014		(113,248	)		(114,179	)		(931	)
1	J.P. Morgan	LME Nickel Futures^	9/2014		(115,198	)		(114,222	)		976
3	J.P. Morgan	LME Zinc Futures^	7/2014		(151,798	)		(166,012	)		(14,214	)
1	J.P. Morgan	LME Zinc Futures^	8/2014		(51,798	)		(55,321	)		(3,523	)
1	J.P. Morgan	LME Zinc Futures^	8/2014		(51,298	)		(55,350	)		(4,052	)
1	J.P. Morgan	LME Zinc Futures^	9/2014		(52,273	)		(55,500	)		(3,227	)
12	Goldman Sachs	Natural Gas Futures^	8/2014		(566,525	)		(535,320	)		31,205
1	Goldman Sachs	Silver Futures^	9/2014		(105,475	)		(105,280	)		195
11	Goldman Sachs	Soybean Futures^	11/2014		(672,044	)		(636,487	)		35,557
4	Goldman Sachs	Soybean Meal Futures^	12/2014		(160,814	)		(146,960	)		13,854
14	Goldman Sachs	Soybean Oil Futures^	12/2014		(326,398	)		(328,860	)		(2,462	)
13	Goldman Sachs	Wheat Futures^	9/2014		(389,111	)		(375,376	)		13,735
15	Barclays Capital	CAC40 Index Futures	7/2014		(929,535	)		(908,257	)		21,278
2	Barclays Capital	DAX Index Futures	9/2014		(677,681	)		(675,031	)		2,650
11	Barclays Capital	FTSE 100 Index Futures	9/2014		(1,263,801	)		(1,263,373	)		428
1	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures	7/2014		(29,436	)		(29,329	)		107
4	Barclays Capital	FTSE/MIB Index Futures	9/2014		(599,417	)		(583,404	)		16,013
1	Barclays Capital	KOSPI Index 200 Futures	9/2014		(130,491	)		(128,780	)		1,711

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

AQR Funds Semi-Annual Report June 2014 57

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	J.P. Morgan	MEX Index Futures	9/2014		$(32,930	)		$(33,025	)		$(95	)
2	Barclays Capital	MSCI Singapore Index Futures	7/2014		(119,065	)		(118,855	)		210
10	Barclays Capital	S&P 500 E-Mini Futures	9/2014		(976,432	)		(976,200	)		232
19	Barclays Capital	SPI 200 Index Futures	9/2014		(2,400,895	)		(2,398,064	)		2,831
19	Barclays Capital	TOPIX Index Futures	9/2014		(2,316,047	)		(2,367,850	)		(51,803	)
88	J.P. Morgan	3-Month Euro Euribor Futures	12/2014		(30,039,692	)		(30,076,400	)		(36,708	)
72	J.P. Morgan	3-Month Euro Euribor Futures	3/2015		(24,589,438	)		(24,606,732	)		(17,294	)
24	J.P. Morgan	3-Month Euro Euribor Futures	6/2015		(8,200,068	)		(8,201,422	)		(1,354	)
120	J.P. Morgan	90-Day EURODollar Futures	12/2014		(29,912,747	)		(29,917,500	)		(4,753	)
111	J.P. Morgan	90-Day EURODollar Futures	3/2015		(27,652,841	)		(27,651,487	)		1,354
33	J.P. Morgan	90-Day EURODollar Futures	6/2015		(8,206,803	)		(8,207,512	)		(709	)
45	J.P. Morgan	90-Day EURODollar Futures	12/2017		(10,920,342	)		(10,944,562	)		(24,220	)
90	J.P. Morgan	Australia 10-Year Bond Futures	9/2014		(10,040,495	)		(10,223,943	)		(183,448	)
138	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	12/2014		(31,914,618	)		(31,921,513	)		(6,895	)
182	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	3/2015		(42,081,668	)		(42,082,329	)		(661	)
122	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	6/2015		(28,196,193	)		(28,191,885	)		4,308
15	J.P. Morgan	Canadian 10-Year Bond Futures	9/2014		(1,897,267	)		(1,911,531	)		(14,264	)
16	J.P. Morgan	Euro - Bund Futures	9/2014		(3,177,968	)		(3,220,812	)		(42,844	)
14	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	12/2014		(3,947,569	)		(3,947,959	)		(390	)
14	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	3/2015		(3,947,128	)		(3,947,959	)		(831	)
1	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	6/2015		(282,053	)		(281,997	)		56
4	J.P. Morgan	Long Gilt Futures	9/2014		(749,040	)		(752,468	)		(3,428	)
116	J.P. Morgan	Mini Japanese 10-Year Treasury Bond	9/2014		(16,623,645	)		(16,676,610	)		(52,965	)
					(297,016,495	)		(297,426,611	)		(410,116	)
				$	(174,451,170	)	$	(174,954,931	)	$	(503,761	)

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,148,374, $117,444 and $1,352,141 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

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

58 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		2,639,000		$2,439,203		$2,474,588		$35,385
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		543,000		235,287		240,330		5,043
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		3,092,000		2,833,338		2,892,105		58,767
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		1,450,000		1,619,855		1,636,188		16,333
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		111,000,000		199,610		199,076		(534	)
Chinese Renminbi, Expiring 09/17/14*	Credit Suisse International	CNY		6,550,000		1,058,287		1,049,947		(8,340	)
Columbian Peso, Expiring 09/17/14*	Credit Suisse International	COP		388,000,000		202,079		205,532		3,453
Euro, Expiring 09/17/14	Credit Suisse International	EUR		1,423,000		1,936,116		1,949,087		12,971
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		1,239,000		2,094,492		2,119,057		24,565
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		16,000		2,064		2,064		—
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		50,000,000		223,036		220,423		(2,613	)
Indonesian Rupiah, Expiring 09/17/14*	Credit Suisse International	IDR		1,040,000,000		86,455		86,441		(14	)
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		21,000,000		349,369		342,535		(6,834	)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		163,899,000		1,607,993		1,618,793		10,800
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		342,822,000		334,408		337,760		3,352
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		1,506,000		116,066		115,463		(603	)
Malaysian Ringgit, Expiring 09/17/14*	Credit Suisse International	MYR		1,270,000		392,425		393,094		669
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		7,224,000		1,201,885		1,174,212		(27,673	)
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		5,557,000		4,693,038		4,829,690		136,652
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		970,000		317,829		317,848		19
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		23,800,000		678,644		687,836		9,192
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		813,000		378,547		377,649		(898	)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		4,694,000		157,135		157,367		232
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		447,000		41,589		41,486		(103	)
						$23,198,750		$23,468,571		$269,821

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

AQR Funds Semi-Annual Report June 2014 59

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		(2,912,000	)		$(2,682,941	)		$(2,730,580	)		$(47,639	)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		(767,000	)		(331,655	)		(339,472	)		(7,817	)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(3,010,000	)		(2,756,153	)		(2,815,406	)		(59,253	)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		(2,847,000	)		(3,180,561	)		(3,212,571	)		(32,010	)
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		(130,000,000	)		(233,660	)		(233,152	)		508
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		(590,000	)		(29,250	)		(29,460	)		(210	)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(1,239,000	)		(1,682,264	)		(1,697,062	)		(14,798	)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(345,000	)		(577,804	)		(590,052	)		(12,248	)
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		(26,000	)		(3,354	)		(3,353	)		1
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		(52,000,000	)		(230,153	)		(229,240	)		913
Indonesian Rupiah, Expiring 09/17/14*	Credit Suisse International	IDR		(1,610,000,000	)		(134,184	)		(133,817	)		367
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		(330,000	)		(95,158	)		(96,126	)		(968	)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(335,379,000	)		(3,276,198	)		(3,312,462	)		(36,264	)
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		(109,578,000	)		(106,969	)		(107,960	)		(991	)
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		(10,074,000	)		(770,060	)		(772,357	)		(2,297	)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		(5,222,000	)		(866,021	)		(848,800	)		17,221
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		(2,138,000	)		(1,811,206	)		(1,858,175	)		(46,969	)
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		(6,200,000	)		(141,169	)		(141,828	)		(659	)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		(60,000	)		(19,527	)		(19,661	)		(134	)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		(15,700,000	)		(443,215	)		(453,741	)		(10,526	)
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		(15,520,000	)		(2,324,204	)		(2,320,958	)		3,246
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		(763,000	)		(607,545	)		(611,936	)		(4,391	)
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		(948,000	)		(436,879	)		(440,359	)		(3,480	)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		(4,294,000	)		(143,363	)		(143,957	)		(594	)
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		(5,400,000	)		(497,595	)		(501,168	)		(3,573	)
							(23,381,088	)		(23,643,653	)		(262,565	)
							$(182,338	)		$(175,082	)		$7,256

* Non deliverable forward. See Note 3 in the Notes to Schedule of Investments.

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

60 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR GLOBAL MACRO FUND

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Columbian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

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 - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2014 61

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

MONEY MARKET FUNDS - 24.3%	SHARES		VALUE (Note 3)
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% ^(a)		68,805,406	$	68,805,406
Dreyfus Treasury Cash Management, Class I, 0.010% ^(a)		275,221,626		275,221,626
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% ^(a)(b)		816,942,044		816,942,044
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% ^(a)		327,145,306		327,145,306
TOTAL MONEY MARKET FUNDS (cost $1,488,114,382)				1,488,114,382

SHORT-TERM INVESTMENTS - 69.5%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
U.S. Treasury Bill, 0.056%, 07/31/2014 ^(c)	$	708,788	$	708,774,733
U.S. Treasury Bill, 0.062%, 08/07/2014 (c)		364,980		364,978,175
U.S. Treasury Bill, 0.048%, 10/09/2014 ^(c)		315,708		315,681,796
U.S. Treasury Bill, 0.045%, 11/28/2014 ^(c)		134,500		134,469,200
U.S. Treasury Bill, 0.051%, 12/04/2014 ^(c)		934,500		934,297,213
U.S. Treasury Bill, 0.061%, 12/11/2014 ^(c)		800,000		799,819,200
U.S. Treasury Bill, 0.049%, 12/18/2014 ^(c)		505,324		505,204,744
U.S. Treasury Bill, 0.050%, 12/26/2014 (c)		500,000		499,839,500
TOTAL SHORT-TERM INVESTMENTS (cost $4,263,009,826)				4,263,064,561
TOTAL INVESTMENTS - 93.8% (cost $5,751,124,208)				5,751,178,943
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.2% (d)				379,244,560
NET ASSETS - 100.0%			$	6,130,423,503

(a) Represents annualized seven-day yield as of June 30, 2014.

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

(c) The rate shown is the effective yield at the date of purchase.

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

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820 (See Note 5).

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Japanese Government Bond	9/2014	JPY		5,662,920,900		$171,029
CitiBank	Cocoa Futures^	9/2014	USD		51,124,064		56,170
CitiBank	Cocoa Futures^	9/2014	USD		25,249,856		329,004
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		76,997		(11,332)
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		(80,700)		15,034
CitiBank	Corn Futures^	9/2014	USD		(126,157,138)		5,305,888
Bank of America	Euro - Bobl Futures	9/2014	EUR		783,430,847		5,722,140
Bank of America	Euro - SCHATZ Futures	9/2014	EUR		334,781,054		253,688
Barclays Capital	Gasoline RBOB Futures^	6/2014	USD		47,502,000		3,256,198
Barclays Capital	Gasoline RBOB Futures^	6/2014	USD		(49,782,915)		(975,385)
Barclays Capital	Gasoline RBOB Futures^	7/2014	USD		63,523,265		513,853

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

62 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		423,958,680		$1,064,081
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		(419,183,720)		(16,015,083)
Bank of America	Hang Seng Index Futures	7/2014	HKD		559,040,656		1,052,978
CitiBank	Hard Red Winter Wheat Futures^	9/2014	USD		6,643,683		(271,323)
CitiBank	Hard Red Winter Wheat Futures^	9/2014	USD		(16,803,166)		347,183
Bank of America	H-SHARES Index Futures	7/2014	HKD		304,573,484		544,799
Merrill Lynch	Lean Hogs Futures^	7/2014	USD		117,824,460		6,547,766
Merrill Lynch	Lean Hogs Futures^	7/2014	USD		(116,849,224)		(7,522,940)
Merrill Lynch	Lean Hogs Futures^	8/2014	USD		91,216,528		2,185,687
Merrill Lynch	Lean Hogs Futures^	8/2014	USD		(64,881,240)		(2,062,254)
CitiBank	LME Aluminum Futures^	9/2014	USD		23,884,925		316,675
CitiBank	LME Aluminum Futures^	9/2014	USD		(24,292,025)		232,231
CitiBank	LME Copper Futures^	9/2014	USD		(166,838)		(8,762)
CitiBank	LME Copper Futures^	9/2014	USD		37,005,893		406,768
CitiBank	LME Copper Futures^	9/2014	USD		(69,826,837)		(1,393,171)
CitiBank	LME Nickel Futures^	9/2014	USD		113,550		672
CitiBank	LME Zinc Futures^	9/2014	USD		53,462		2,038
Bank of America	MSCI Taiwan Stock Index Futures	7/2014	USD		30,166,925		546,835
Barclays Capital	Platinum Futures^	10/2014	USD		4,731,590		13,682
Barclays Capital	Platinum Futures^	10/2014	USD		(4,664,320)		(80,911)
Bank of America	SGX S&P CNX Nifty Index Futures	7/2014	USD		46,343,307		346,126
Barclays Capital	Silver Futures^	9/2014	USD		99,115,975		162,997
Barclays Capital	Silver Futures^	9/2014	USD		(99,100,280)		(178,685)
CitiBank	Soybean Futures^	11/2014	USD		(98,571,884)		5,293,350
CitiBank	Soybean Futures^	11/2014	USD		307,522,621		(14,495,465)
Deutsche Bank	Soybean Meal Futures^	12/2014	USD		74,550,125		(5,625,885)
CitiBank	Soybean Oil Futures^	12/2014	USD		(104,864,544)		(1,075,356)
Bank of America	Swiss Market Index Futures	9/2014	CHF		239,188,268		(3,273,161)
Bank of America	Taiwan Stock Exchange Futures	7/2014	TWD		2,363,123,685		1,436,983
Bank of America	U.S. Treasury 2-Year Note Futures	9/2014	USD		1,298,271,186		(691,717)
CitiBank	Wheat Futures^	9/2014	USD		51,844,172		(1,918,701)
CitiBank	Wheat Futures^	9/2014	USD		(237,561,527)		8,435,782
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		183,256,440		2,721,610
							$(8,318,884)

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank and Merrill Lynch for total return swap contracts in the amount of $19,920,679, $28,540,173, $51,460,000, $26,100,089 and $18,411,052, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
2,354	Goldman Sachs	Brent Crude Futures^		8/2014		$264,944,938		$263,812,780		$(1,132,158)
1,800	Goldman Sachs	Cocoa Futures^		9/2014		57,056,282		57,646,791		590,509
38	Goldman Sachs	Coffee ‘C’ Futures^		9/2014		2,551,214		2,495,175		(56,039)
1,112	Goldman Sachs	Gas Oil Futures^		8/2014		103,426,283		102,165,000		(1,261,283)
895	Goldman Sachs	Gasoline RBOB Futures^		8/2014		114,465,101		114,397,647		(67,454)
305	J.P. Morgan	LME Aluminum Futures^		8/2014		13,613,934		14,261,113		647,179

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

AQR Funds Semi-Annual Report June 2014 63

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
240	J.P. Morgan	LME Aluminum Futures^		8/2014		$10,710,499		$11,235,960		$525,461
33	J.P. Morgan	LME Aluminum Futures^		8/2014		1,459,989		1,545,333		85,344
231	J.P. Morgan	LME Aluminum Futures^		8/2014		10,195,899		10,820,040		624,141
61	J.P. Morgan	LME Aluminum Futures^		8/2014		2,706,239		2,860,122		153,883
7	J.P. Morgan	LME Aluminum Futures^		8/2014		312,390		328,293		15,903
7	J.P. Morgan	LME Aluminum Futures^		8/2014		313,265		328,376		15,111
155	J.P. Morgan	LME Aluminum Futures^		8/2014		6,878,447		7,280,272		401,825
173	J.P. Morgan	LME Aluminum Futures^		8/2014		7,649,122		8,127,756		478,634
63	J.P. Morgan	LME Aluminum Futures^		8/2014		2,768,981		2,959,819		190,838
298	J.P. Morgan	LME Aluminum Futures^		8/2014		13,717,978		14,020,154		302,176
485	J.P. Morgan	LME Aluminum Futures^		8/2014		22,251,167		22,823,494		572,327
83	J.P. Morgan	LME Aluminum Futures^		9/2014		3,835,971		3,909,549		73,578
93	J.P. Morgan	LME Aluminum Futures^		9/2014		4,309,054		4,381,602		72,548
52	J.P. Morgan	LME Aluminum Futures^		9/2014		2,373,349		2,450,500		77,151
199	J.P. Morgan	LME Aluminum Futures^		9/2014		9,182,700		9,380,064		197,364
35	J.P. Morgan	LME Aluminum Futures^		9/2014		1,655,328		1,651,309		(4,019)
30	J.P. Morgan	LME Aluminum Futures^		9/2014		1,423,224		1,415,737		(7,487)
531	J.P. Morgan	LME Aluminum Futures^		9/2014		24,730,244		25,099,706		369,462
10	J.P. Morgan	LME Aluminum Futures^		9/2014		473,552		472,697		(855)
48	J.P. Morgan	LME Aluminum Futures^		9/2014		2,272,685		2,269,043		(3,642)
45	J.P. Morgan	LME Aluminum Futures^		9/2014		2,119,237		2,127,240		8,003
15	J.P. Morgan	LME Aluminum Futures^		9/2014		715,558		709,088		(6,470)
4	J.P. Morgan	LME Aluminum Futures^		9/2014		190,052		189,092		(960)
30	J.P. Morgan	LME Copper Futures^		7/2014		5,005,375		5,278,500		273,125
99	J.P. Morgan	LME Copper Futures^		7/2014		16,426,660		17,416,575		989,915
8	J.P. Morgan	LME Copper Futures^		7/2014		1,313,802		1,407,200		93,398
254	J.P. Morgan	LME Copper Futures^		7/2014		42,040,736		44,665,456		2,624,720
85	J.P. Morgan	LME Copper Futures^		7/2014		14,168,848		14,946,507		777,659
39	J.P. Morgan	LME Copper Futures^		7/2014		6,539,967		6,857,545		317,578
197	J.P. Morgan	LME Copper Futures^		7/2014		33,363,813		34,636,688		1,272,875
141	J.P. Morgan	LME Copper Futures^		8/2014		24,230,973		24,787,800		556,827
153	J.P. Morgan	LME Copper Futures^		8/2014		26,331,331		26,897,400		566,069
183	J.P. Morgan	LME Copper Futures^		8/2014		31,563,361		32,171,400		608,039
16	J.P. Morgan	LME Copper Futures^		8/2014		2,772,546		2,811,800		39,254
10	J.P. Morgan	LME Copper Futures^		8/2014		1,716,177		1,756,937		40,760
198	J.P. Morgan	LME Copper Futures^		8/2014		34,464,520		34,779,740		315,220
162	J.P. Morgan	LME Copper Futures^		8/2014		27,920,060		28,455,989		535,929
79	J.P. Morgan	LME Copper Futures^		9/2014		13,632,447		13,876,508		244,061
70	J.P. Morgan	LME Copper Futures^		9/2014		11,921,717		12,295,570		373,853
347	J.P. Morgan	LME Copper Futures^		9/2014		59,761,134		60,933,200		1,172,066
19	J.P. Morgan	LME Copper Futures^		9/2014		3,272,881		3,333,141		60,260
128	J.P. Morgan	LME Copper Futures^		9/2014		22,233,976		22,452,576		218,600
51	J.P. Morgan	LME Copper Futures^		9/2014		8,841,646		8,944,125		102,479
40	J.P. Morgan	LME Nickel Futures^		7/2014		3,856,314		4,552,560		696,246
16	J.P. Morgan	LME Nickel Futures^		7/2014		1,559,423		1,821,127		261,704
20	J.P. Morgan	LME Nickel Futures^		7/2014		1,971,517		2,276,923		305,406
12	J.P. Morgan	LME Nickel Futures^		7/2014		1,279,402		1,366,694		87,292
2	J.P. Morgan	LME Nickel Futures^		7/2014		222,757		227,895		5,138
12	J.P. Morgan	LME Nickel Futures^		7/2014		1,342,663		1,367,668		25,005
27	J.P. Morgan	LME Nickel Futures^		7/2014		2,934,954		3,077,421		142,467
16	J.P. Morgan	LME Nickel Futures^		7/2014		1,749,841		1,823,756		73,915
46	J.P. Morgan	LME Nickel Futures^		8/2014		5,033,250		5,243,873		210,623
43	J.P. Morgan	LME Nickel Futures^		8/2014		4,785,794		4,903,216		117,422
8	J.P. Morgan	LME Nickel Futures^		8/2014		891,617		912,276		20,659
13	J.P. Morgan	LME Nickel Futures^		8/2014		1,502,161		1,482,530		(19,631)
23	J.P. Morgan	LME Nickel Futures^		9/2014		2,564,778		2,626,244		61,466

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

64 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
15	J.P. Morgan	LME Nickel Futures^		9/2014		$1,647,031		$1,712,847		$65,816
389	J.P. Morgan	LME Nickel Futures^		9/2014		44,698,184		44,432,358		(265,826)
4	J.P. Morgan	LME Nickel Futures^		9/2014		449,528		456,840		7,312
59	J.P. Morgan	LME Zinc Futures^		7/2014		2,920,623		3,266,019		345,396
213	J.P. Morgan	LME Zinc Futures^		7/2014		10,906,233		11,782,894		876,661
191	J.P. Morgan	LME Zinc Futures^		7/2014		9,807,777		10,564,688		756,911
201	J.P. Morgan	LME Zinc Futures^		7/2014		10,332,232		11,116,556		784,324
102	J.P. Morgan	LME Zinc Futures^		7/2014		5,291,326		5,639,656		348,330
100	J.P. Morgan	LME Zinc Futures^		7/2014		5,222,852		5,528,700		305,848
26	J.P. Morgan	LME Zinc Futures^		7/2014		1,348,936		1,437,364		88,428
78	J.P. Morgan	LME Zinc Futures^		7/2014		4,029,801		4,311,489		281,688
18	J.P. Morgan	LME Zinc Futures^		7/2014		922,113		994,891		72,778
41	J.P. Morgan	LME Zinc Futures^		7/2014		2,099,902		2,265,978		166,076
16	J.P. Morgan	LME Zinc Futures^		9/2014		853,525		887,244		33,719
47	J.P. Morgan	LME Zinc Futures^		9/2014		2,474,624		2,606,644		132,020
787	J.P. Morgan	LME Zinc Futures^		9/2014		42,218,268		43,678,500		1,460,232
283	J.P. Morgan	LME Zinc Futures^		9/2014		15,305,465		15,701,194		395,729
147	J.P. Morgan	LME Zinc Futures^		9/2014		8,039,977		8,154,384		114,407
22	J.P. Morgan	LME Zinc Futures^		9/2014		1,201,439		1,220,175		18,736
4	J.P. Morgan	LME Zinc Futures^		9/2014		218,189		221,813		3,624
17	J.P. Morgan	LME Zinc Futures^		9/2014		929,263		942,543		13,280
18	J.P. Morgan	LME Zinc Futures^		9/2014		987,016		997,650		10,634
2,855	Goldman Sachs	Natural Gas Futures^		8/2014		134,124,626		127,361,550		(6,763,076)
936	Goldman Sachs	Heating Oil ULSD Futures^		8/2014		119,729,492		116,964,994		(2,764,498)
178	Goldman Sachs	Platinum Futures^		10/2014		13,175,023		13,197,810		22,787
285	Goldman Sachs	Silver Futures^		9/2014		30,006,700		30,004,800		(1,900)
91	Goldman Sachs	Soybean Meal Futures^		12/2014		3,603,133		3,343,340		(259,793)
474	Goldman Sachs	WTI Crude Futures^		8/2014		50,238,178		49,945,380		(292,798)
2,305	Barclays Capital	Amsterdam Index Futures		7/2014		262,210,752		260,862,948		(1,347,804)
3,385	Barclays Capital	CAC40 Index Futures		7/2014		209,762,133		204,963,261		(4,798,872)
590	Barclays Capital	DAX Index Futures		9/2014		200,601,044		199,134,048		(1,466,996)
3,656	Barclays Capital	DJIA Mini E-CBOT Futures		9/2014		305,110,486		306,007,200		896,714
1,066	Barclays Capital	E-Mini Russell 2000 Futures		9/2014		124,287,100		126,885,980		2,598,880
5,056	Barclays Capital	Euro Stoxx 50 Index		9/2014		226,413,431		223,757,205		(2,656,226)
2,099	Barclays Capital	FTSE 100 Index Futures		9/2014		241,523,658		241,074,459		(449,199)
3,000	J.P. Morgan	FTSE/JSE Top 40 Index Futures		9/2014		129,933,138		129,957,687		24,549
389	Barclays Capital	FTSE/MIB Index Futures		9/2014		58,410,008		56,736,035		(1,673,973)
64	Barclays Capital	Hang Seng Index Futures		7/2014		9,428,450		9,539,224		110,774
10	Barclays Capital	H-SHARES Index Futures		7/2014		653,068		660,740		7,672
737	Barclays Capital	IBEX 35 Index Futures		7/2014		110,192,743		109,550,895		(641,848)
285	Barclays Capital	KOSPI Index 200 Futures		9/2014		37,138,451		36,702,412		(436,039)
1,482	Barclays Capital	MSCI Singapore Index Futures		7/2014		88,222,031		88,071,377		(150,654)
370	Barclays Capital	MSCI Taiwan Stock Index Futures		7/2014		12,095,059		12,298,800		203,741
3,663	Barclays Capital	NASDAQ 100 E-Mini Futures		9/2014		276,598,784		281,355,030		4,756,246
3,145	Barclays Capital	S&P 500 E-Mini Futures		9/2014		303,109,575		307,014,900		3,905,325
1,402	Barclays Capital	S&P MID 400 E-Mini Futures		9/2014		196,484,612		200,387,860		3,903,248
2,389	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		9/2014		382,972,381		386,744,633		3,772,252
4,249	Barclays Capital	SGX S&P CNX Nifty Index Futures		7/2014		64,526,744		64,809,997		283,253
1,463	Barclays Capital	SPI 200 Index Futures		9/2014		184,716,524		184,650,869		(65,655)
1,246	Barclays Capital	TOPIX Index Futures		9/2014		152,685,307		155,281,081		2,595,774
677	J.P. Morgan	10-Year Japanese Government Bond		9/2014		970,534,272		973,348,305		2,814,033
2,539	J.P. Morgan	3-Month Euro Euribor Futures		12/2014		867,562,480		867,772,518		210,038

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

AQR Funds Semi-Annual Report June 2014 65

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
3,451	J.P. Morgan	3-Month Euro Euribor Futures		3/2015		$1,178,994,024		$1,179,414,330		$420,306
3,935	J.P. Morgan	3-Month Euro Euribor Futures		6/2015		1,343,919,181		1,344,691,546		772,365
5,146	J.P. Morgan	3-Month Euro Euribor Futures		9/2015		1,756,768,258		1,758,257,409		1,489,151
5,592	J.P. Morgan	3-Month Euro Euribor Futures		12/2015		1,907,200,527		1,910,165,704		2,965,177
5,629	J.P. Morgan	3-Month Euro Euribor Futures		3/2016		1,917,766,472		1,922,130,065		4,363,593
5,697	J.P. Morgan	3-Month Euro Euribor Futures		6/2016		1,943,183,052		1,944,374,858		1,191,806
266	J.P. Morgan	90-Day EURODollar Futures		12/2014		66,317,600		66,317,125		(475)
371	J.P. Morgan	90-Day EURODollar Futures		3/2015		92,417,167		92,420,737		3,570
742	J.P. Morgan	90-Day EURODollar Futures		6/2015		184,527,793		184,544,675		16,882
711	J.P. Morgan	90-Day EURODollar Futures		9/2015		176,479,718		176,487,975		8,257
1,128	J.P. Morgan	90-Day EURODollar Futures		12/2015		279,315,799		279,363,300		47,501
1,474	J.P. Morgan	90-Day EURODollar Futures		3/2016		364,067,870		364,170,125		102,255
1,890	J.P. Morgan	90-Day EURODollar Futures		6/2016		465,539,625		465,696,000		156,375
2,028	J.P. Morgan	Australia 10-Year Bond Futures		9/2014		227,305,077		230,379,526		3,074,449
6,993	J.P. Morgan	Australia 3-Year Bond Futures		9/2014		719,011,878		721,908,726		2,896,848
3,710	J.P. Morgan	Canadian 10-Year Bond Futures		9/2014		469,320,108		472,785,530		3,465,422
2,435	J.P. Morgan	Euro - Bund Futures		9/2014		483,710,341		490,167,433		6,457,092
7,038	J.P. Morgan	Euro - SCHATZ Futures		9/2014		1,066,162,728		1,066,445,187		282,459
1,322	J.P. Morgan	Euro - Buxl 30-Year Bond Futures		9/2014		238,791,516		243,763,499		4,971,983
296	J.P. Morgan	Long Gilt Futures		9/2014		55,824,380		55,682,658		(141,722)
1,958	J.P. Morgan	U.S. Long Bond Futures		9/2014		266,881,920		268,613,125		1,731,205
2,712	J.P. Morgan	U.S. Treasury 10-Year Note Futures		9/2014		339,074,191		339,466,125		391,934
3,194	J.P. Morgan	U.S. Treasury 5-Year Note Futures		9/2014		381,372,164		381,558,234		186,070
						22,967,424,199		23,026,660,249		59,236,050
Short Contracts:
7,462	Goldman Sachs	Corn Futures^		9/2014		(164,030,657)		(156,235,625)		7,795,032
1,639	Goldman Sachs	Cotton No. 2 Futures^		12/2014		(63,271,559)		(60,241,445)		3,030,114
305	J.P. Morgan	LME Aluminum Futures^		8/2014		(13,590,298)		(14,261,113)		(670,815)
240	J.P. Morgan	LME Aluminum Futures^		8/2014		(10,726,740)		(11,235,960)		(509,220)
33	J.P. Morgan	LME Aluminum Futures^		8/2014		(1,468,733)		(1,545,332)		(76,599)
231	J.P. Morgan	LME Aluminum Futures^		8/2014		(10,212,048)		(10,820,040)		(607,992)
61	J.P. Morgan	LME Aluminum Futures^		8/2014		(2,700,480)		(2,860,122)		(159,642)
7	J.P. Morgan	LME Aluminum Futures^		8/2014		(312,729)		(328,293)		(15,564)
7	J.P. Morgan	LME Aluminum Futures^		8/2014		(312,579)		(328,375)		(15,796)
155	J.P. Morgan	LME Aluminum Futures^		8/2014		(6,876,636)		(7,280,272)		(403,636)
173	J.P. Morgan	LME Aluminum Futures^		8/2014		(7,662,552)		(8,127,756)		(465,204)

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

66 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
63	J.P. Morgan	LME Aluminum Futures^		8/2014		$(2,770,736)		$(2,959,818)		$(189,082)
298	J.P. Morgan	LME Aluminum Futures^		8/2014		(13,707,380)		(14,020,155)		(312,775)
485	J.P. Morgan	LME Aluminum Futures^		8/2014		(22,227,254)		(22,823,494)		(596,240)
83	J.P. Morgan	LME Aluminum Futures^		9/2014		(3,848,952)		(3,909,549)		(60,597)
93	J.P. Morgan	LME Aluminum Futures^		9/2014		(4,277,806)		(4,381,601)		(103,795)
52	J.P. Morgan	LME Aluminum Futures^		9/2014		(2,365,892)		(2,450,500)		(84,608)
199	J.P. Morgan	LME Aluminum Futures^		9/2014		(9,159,336)		(9,380,064)		(220,728)
35	J.P. Morgan	LME Aluminum Futures^		9/2014		(1,662,427)		(1,651,309)		11,118
30	J.P. Morgan	LME Aluminum Futures^		9/2014		(1,421,938)		(1,415,738)		6,200
409	J.P. Morgan	LME Aluminum Futures^		9/2014		(18,816,049)		(19,332,919)		(516,870)
10	J.P. Morgan	LME Aluminum Futures^		9/2014		(473,229)		(472,697)		532
48	J.P. Morgan	LME Aluminum Futures^		9/2014		(2,277,800)		(2,269,044)		8,756
45	J.P. Morgan	LME Aluminum Futures^		9/2014		(2,126,156)		(2,127,240)		(1,084)
15	J.P. Morgan	LME Aluminum Futures^		9/2014		(716,275)		(709,087)		7,188
4	J.P. Morgan	LME Aluminum Futures^		9/2014		(189,292)		(189,092)		200
30	J.P. Morgan	LME Copper Futures^		7/2014		(4,996,438)		(5,278,500)		(282,062)
99	J.P. Morgan	LME Copper Futures^		7/2014		(16,186,294)		(17,416,575)		(1,230,281)
8	J.P. Morgan	LME Copper Futures^		7/2014		(1,330,983)		(1,407,200)		(76,217)
254	J.P. Morgan	LME Copper Futures^		7/2014		(42,074,572)		(44,665,456)		(2,590,884)
85	J.P. Morgan	LME Copper Futures^		7/2014		(14,099,198)		(14,946,506)		(847,308)
39	J.P. Morgan	LME Copper Futures^		7/2014		(6,548,994)		(6,857,546)		(308,552)
197	J.P. Morgan	LME Copper Futures^		7/2014		(33,307,365)		(34,636,688)		(1,329,323)
141	J.P. Morgan	LME Copper Futures^		8/2014		(24,216,457)		(24,787,800)		(571,343)
153	J.P. Morgan	LME Copper Futures^		8/2014		(26,411,307)		(26,897,400)		(486,093)
183	J.P. Morgan	LME Copper Futures^		8/2014		(31,778,019)		(32,171,400)		(393,381)
16	J.P. Morgan	LME Copper Futures^		8/2014		(2,743,967)		(2,811,800)		(67,833)
10	J.P. Morgan	LME Copper Futures^		8/2014		(1,706,479)		(1,756,937)		(50,458)
198	J.P. Morgan	LME Copper Futures^		8/2014		(34,501,088)		(34,779,739)		(278,651)
162	J.P. Morgan	LME Copper Futures^		8/2014		(27,826,663)		(28,455,989)		(629,326)
79	J.P. Morgan	LME Copper Futures^		9/2014		(13,568,086)		(13,876,508)		(308,422)
70	J.P. Morgan	LME Copper Futures^		9/2014		(11,856,104)		(12,295,570)		(439,466)
392	J.P. Morgan	LME Copper Futures^		9/2014		(67,305,585)		(68,835,200)		(1,529,615)
19	J.P. Morgan	LME Copper Futures^		9/2014		(3,267,723)		(3,333,142)		(65,419)
128	J.P. Morgan	LME Copper Futures^		9/2014		(22,198,871)		(22,452,576)		(253,705)
51	J.P. Morgan	LME Copper Futures^		9/2014		(8,842,019)		(8,944,125)		(102,106)
40	J.P. Morgan	LME Nickel Futures^		7/2014		(3,868,957)		(4,552,560)		(683,603)
16	J.P. Morgan	LME Nickel Futures^		7/2014		(1,552,767)		(1,821,127)		(268,360)
20	J.P. Morgan	LME Nickel Futures^		7/2014		(1,980,558)		(2,276,923)		(296,365)
12	J.P. Morgan	LME Nickel Futures^		7/2014		(1,289,495)		(1,366,694)		(77,199)
2	J.P. Morgan	LME Nickel Futures^		7/2014		(221,156)		(227,895)		(6,739)
12	J.P. Morgan	LME Nickel Futures^		7/2014		(1,333,919)		(1,367,668)		(33,749)
27	J.P. Morgan	LME Nickel Futures^		7/2014		(2,955,634)		(3,077,422)		(121,788)
16	J.P. Morgan	LME Nickel Futures^		7/2014		(1,753,695)		(1,823,757)		(70,062)
46	J.P. Morgan	LME Nickel Futures^		8/2014		(5,017,416)		(5,243,872)		(226,456)
43	J.P. Morgan	LME Nickel Futures^		8/2014		(4,775,878)		(4,903,216)		(127,338)
8	J.P. Morgan	LME Nickel Futures^		8/2014		(891,103)		(912,276)		(21,173)
13	J.P. Morgan	LME Nickel Futures^		8/2014		(1,517,307)		(1,482,530)		34,777
23	J.P. Morgan	LME Nickel Futures^		9/2014		(2,586,724)		(2,626,243)		(39,519)
15	J.P. Morgan	LME Nickel Futures^		9/2014		(1,673,527)		(1,712,848)		(39,321)
42	J.P. Morgan	LME Nickel Futures^		9/2014		(4,662,441)		(4,797,324)		(134,883)
4	J.P. Morgan	LME Nickel Futures^		9/2014		(457,216)		(456,840)		376
59	J.P. Morgan	LME Zinc Futures^		7/2014		(2,917,595)		(3,266,019)		(348,424)
213	J.P. Morgan	LME Zinc Futures^		7/2014		(10,915,807)		(11,782,894)		(867,087)
191	J.P. Morgan	LME Zinc Futures^		7/2014		(9,778,803)		(10,564,688)		(785,885)
201	J.P. Morgan	LME Zinc Futures^		7/2014		(10,401,332)		(11,116,556)		(715,224)
102	J.P. Morgan	LME Zinc Futures^		7/2014		(5,324,188)		(5,639,657)		(315,469)

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

AQR Funds Semi-Annual Report June 2014 67

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
100	J.P. Morgan	LME Zinc Futures^		7/2014		$(5,182,917)		$(5,528,700)		$(345,783)
26	J.P. Morgan	LME Zinc Futures^		7/2014		(1,348,371)		(1,437,365)		(88,994)
78	J.P. Morgan	LME Zinc Futures^		7/2014		(4,028,538)		(4,311,489)		(282,951)
18	J.P. Morgan	LME Zinc Futures^		7/2014		(926,063)		(994,892)		(68,829)
41	J.P. Morgan	LME Zinc Futures^		7/2014		(2,102,190)		(2,265,978)		(163,788)
16	J.P. Morgan	LME Zinc Futures^		9/2014		(844,367)		(887,244)		(42,877)
47	J.P. Morgan	LME Zinc Futures^		9/2014		(2,469,777)		(2,606,643)		(136,866)
283	J.P. Morgan	LME Zinc Futures^		9/2014		(15,310,811)		(15,701,193)		(390,382)
147	J.P. Morgan	LME Zinc Futures^		9/2014		(8,042,432)		(8,154,384)		(111,952)
22	J.P. Morgan	LME Zinc Futures^		9/2014		(1,206,104)		(1,220,175)		(14,071)
4	J.P. Morgan	LME Zinc Futures^		9/2014		(217,492)		(221,813)		(4,321)
17	J.P. Morgan	LME Zinc Futures^		9/2014		(930,965)		(942,544)		(11,579)
18	J.P. Morgan	LME Zinc Futures^		9/2014		(985,463)		(997,650)		(12,187)
4,060	Goldman Sachs	Sugar #11 (World Markets) Futures^		9/2014		(80,101,371)		(81,895,072)		(1,793,701)
2,555	Goldman Sachs	Wheat Futures^		9/2014		(78,247,069)		(74,892,650)		3,354,419
5,521	J.P. Morgan	90-Day Sterling Futures		12/2014		(1,170,560,362)		(1,170,922,625)		(362,263)
5,348	J.P. Morgan	90-Day Sterling Futures		3/2015		(1,131,391,049)		(1,131,543,311)		(152,262)
5,424	J.P. Morgan	90-Day Sterling Futures		6/2015		(1,144,851,591)		(1,144,780,776)		70,815
5,877	J.P. Morgan	90-Day Sterling Futures		9/2015		(1,237,859,519)		(1,237,498,587)		360,932
6,197	J.P. Morgan	90-Day Sterling Futures		12/2015		(1,302,634,776)		(1,301,963,302)		671,474
6,220	J.P. Morgan	90-Day Sterling Futures		3/2016		(1,304,768,125)		(1,304,267,338)		500,787
6,318	J.P. Morgan	90-Day Sterling Futures		6/2016		(1,323,420,442)		(1,322,384,047)		1,036,395
1,769	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		12/2014		(409,183,870)		(409,196,781)		(12,911)
1,279	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		3/2015		(295,664,082)		(295,732,416)		(68,334)
1,691	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		12/2014		(476,894,371)		(476,857,042)		37,329
263	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		3/2015		(74,170,276)		(74,165,229)		5,047
						(10,911,189,656)		(10,920,351,552)		(9,161,896)
						$12,056,234,543		$12,106,308,697		$50,074,154

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $175,752,877, $9,417,667 and $95,811,393, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		467,466,500		$432,844,712		$438,343,016		$5,498,304
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		467,466,500		432,848,465		438,343,016		5,494,551
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		146,970,000		63,449,866		65,048,534		1,598,668
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		146,970,000		63,449,555		65,048,534		1,598,979

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

68 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		274,433,000		$253,629,016		$256,691,145		$3,062,129
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		274,433,000		253,631,516		256,691,145		3,059,629
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		11,795,000		13,188,131		13,309,544		121,413
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		2,650,000,000		4,760,048		4,752,706		(7,342)
Chilean Peso, Expiring 09/17/14*	The Royal Bank of Scotland	CLP		3,150,000,000		5,660,111		5,649,443		(10,668)
Columbian Peso, Expiring 09/17/14*	Credit Suisse International	COP		24,485,000,000		12,818,979		12,970,217		151,238
Columbian Peso, Expiring 09/17/14*	The Royal Bank of Scotland	COP		25,485,000,000		13,341,788		13,499,937		158,149
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		65,000,000		3,232,808		3,245,591		12,783
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		75,000,000		3,729,785		3,744,913		15,128
Euro, Expiring 09/17/14	Credit Suisse International	EUR		360,792,986		491,130,038		494,179,175		3,049,137
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		372,983,986		507,714,155		510,877,221		3,163,066
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		517,161,497		867,478,686		884,499,489		17,020,803
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		517,161,497		867,476,960		884,499,488		17,022,528
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		9,554,000		1,232,507		1,232,215		(292)
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		9,554,000		1,232,512		1,232,215		(297)
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		9,863,000,001		43,996,073		43,480,662		(515,411)
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		9,863,000,001		43,995,808		43,480,662		(515,146)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		299,305,001		86,525,975		87,185,060		659,085
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		299,305,000		86,531,626		87,185,059		653,433
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		4,496,200,000		74,803,243		73,338,327		(1,464,916)
Indian Rupee, Expiring 09/17/14*	The Royal Bank of Scotland	INR		4,496,200,000		74,802,820		73,338,327		(1,464,493)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		57,923,340,001		569,667,598		572,095,565		2,427,967
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		57,950,239,999		569,935,491		572,361,250		2,425,759
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		203,466,860,000		198,555,655		200,462,672		1,907,017
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		203,466,860,000		198,554,638		200,462,671		1,908,033
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		664,500,000		51,057,468		50,946,151		(111,317)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		664,500,000		51,057,465		50,946,151		(111,314)

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

AQR Funds Semi-Annual Report June 2014 69

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Malaysian Ringgit, Expiring 09/17/14*	Credit Suisse International	MYR		85,000,000		$26,313,561		$26,309,470		$(4,091)
Malaysian Ringgit, Expiring 09/17/14*	The Royal Bank of Scotland	MYR		85,000,000		26,313,890		26,309,470		(4,420)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		842,872,998		139,971,105		137,003,228		(2,967,877)
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		842,872,998		139,970,545		137,003,227		(2,967,318)
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		1,299,095,002		1,100,474,068		1,129,067,186		28,593,118
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		1,299,095,000		1,100,475,002		1,129,067,183		28,592,181
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		160,000,000		3,666,383		3,660,074		(6,309)
Philippine Peso, Expiring 09/17/14*	The Royal Bank of Scotland	PHP		210,000,000		4,811,308		4,803,847		(7,461)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		445,255,000		145,893,584		145,900,443		6,859
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		445,255,000		145,891,909		145,900,443		8,534
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		1,764,100,000		50,204,878		50,983,678		778,800
Russian Ruble, Expiring 09/17/14*	The Royal Bank of Scotland	RUB		1,824,100,000		51,896,093		52,717,720		821,627
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		165,093,500		24,715,274		24,689,115		(26,159)
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		165,093,500		24,716,492		24,689,115		(27,377)
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		176,045,000		140,540,965		141,190,331		649,366
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		176,045,000		140,539,778		141,190,331		650,553
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		44,955,000		20,939,059		20,882,204		(56,855)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		44,955,000		20,938,936		20,882,205		(56,731)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		3,750,000,000		125,278,090		125,719,544		441,454
Taiwanese Dollar, Expiring 09/17/14*	The Royal Bank of Scotland	TWD		3,750,000,000		125,279,999		125,719,544		439,545
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		242,700,000		22,390,952		22,524,737		133,785
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		242,700,000		22,390,839		22,524,737		133,898
						$9,945,946,208		$10,067,877,933		$121,931,725
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		(152,518,000)		$(141,444,060)		$(143,016,024)		$(1,571,964)
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		(152,518,000)		(141,442,640)		(143,016,024)		(1,573,384)

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

70 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		(6,000,000)		$(2,620,995)		$(2,655,585)		$(34,590)
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		(6,000,000)		(2,620,950)		(2,655,585)		(34,635)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(145,853,001)		(133,367,952)		(136,423,730)		(3,055,778)
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		(145,853,000)		(133,367,826)		(136,423,729)		(3,055,903)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		(5,229,000)		(5,841,577)		(5,900,432)		(58,855)
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		(5,422,000)		(6,059,243)		(6,118,215)		(58,972)
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		(11,924,000,000)		(21,432,020)		(21,385,383)		46,637
Chilean Peso, Expiring 09/17/14*	The Royal Bank of Scotland	CLP		(11,924,000,000)		(21,432,118)		(21,385,383)		46,735
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		(1,279,916,000)		(63,581,764)		(63,908,975)		(327,211)
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		(1,279,916,000)		(63,582,035)		(63,908,975)		(326,940)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(188,141,000)		(255,471,784)		(257,697,261)		(2,225,477)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(188,161,000)		(255,496,781)		(257,724,655)		(2,227,874)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(6,854,000)		(11,508,430)		(11,722,373)		(213,943)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(6,854,000)		(11,508,196)		(11,722,372)		(214,176)
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		(6,750,000,000)		(29,733,604)		(29,757,118)		(23,514)
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		(6,750,000,000)		(29,731,591)		(29,757,118)		(25,527)
Indonesian Rupiah, Expiring 09/17/14*	Credit Suisse International	IDR		(369,050,000,000)		(30,665,917)		(30,673,960)		(8,043)
Indonesian Rupiah, Expiring 09/17/14*	The Royal Bank of Scotland	IDR		(369,050,000,000)		(30,665,670)		(30,673,960)		(8,290)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		(43,500,000)		(12,506,373)		(12,671,187)		(164,814)
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		(43,500,000)		(12,505,367)		(12,671,187)		(165,820)
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		(4,460,000,000)		(73,131,355)		(72,747,863)		383,492
Indian Rupee, Expiring 09/17/14*	The Royal Bank of Scotland	INR		(4,460,000,000)		(73,131,181)		(72,747,863)		383,318
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(131,001,284,501)		(1,280,189,823)		(1,293,869,689)		(13,679,866)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		(131,001,284,499)		(1,280,188,723)		(1,293,869,689)		(13,680,966)
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		(4,000,000,000)		(3,900,024)		(3,940,938)		(40,914)
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		(7,000,000,000)		(6,844,085)		(6,896,643)		(52,558)
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		(625,000,000)		(47,697,103)		(47,917,750)		(220,647)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		(625,000,000)		(47,694,575)		(47,917,750)		(223,175)

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

AQR Funds Semi-Annual Report June 2014 71

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Malaysian Ringgit, Expiring 09/17/14*	Credit Suisse International	MYR		(30,655,000)		$(9,422,217)		$(9,488,432)		$(66,215)
Malaysian Ringgit, Expiring 09/17/14*	The Royal Bank of Scotland	MYR		(30,655,000)		(9,422,161)		(9,488,432)		(66,271)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		(3,966,039,500)		(648,547,671)		(644,652,529)		3,895,142
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		(3,966,039,500)		(648,551,804)		(644,652,529)		3,899,275
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		(387,013,500)		(324,535,461)		(336,360,499)		(11,825,038)
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		(387,013,500)		(324,544,140)		(336,360,499)		(11,816,359)
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		(567,750,000)		(12,925,563)		(12,987,543)		(61,980)
Philippine Peso, Expiring 09/17/14*	The Royal Bank of Scotland	PHP		(567,750,000)		(12,925,641)		(12,987,543)		(61,902)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		(80,000,000)		(26,056,419)		(26,214,272)		(157,853)
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		(80,000,000)		(26,057,623)		(26,214,272)		(156,649)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		(140,000,000)		(3,991,164)		(4,046,095)		(54,931)
Russian Ruble, Expiring 09/17/14*	The Royal Bank of Scotland	RUB		(140,000,000)		(3,991,085)		(4,046,095)		(55,010)
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		(4,634,664,000)		(693,794,866)		(693,096,670)		698,196
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		(4,634,663,999)		(693,795,640)		(693,096,669)		698,971
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		(18,000,000)		(14,375,546)		(14,436,229)		(60,683)
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		(18,000,000)		(14,375,684)		(14,436,229)		(60,545)
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		(22,500,000)		(10,298,106)		(10,451,554)		(153,448)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		(22,500,000)		(10,296,697)		(10,451,554)		(154,857)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		(3,506,850,001)		(117,082,862)		(117,567,890)		(485,028)
Taiwanese Dollar, Expiring 09/17/14*	The Royal Bank of Scotland	TWD		(3,506,850,000)		(117,082,159)		(117,567,890)		(485,731)
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		(525,000,000)		(48,223,249)		(48,724,709)		(501,460)
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		(525,000,000)		(48,222,840)		(48,724,709)		(501,869)
						(8,047,882,360)		(8,107,830,259)		(59,947,899)
						$1,898,063,848		$1,960,047,674		$61,983,826

Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $9,324 at June 30, 2014. Cash held as collateral for Credit Suisse International and The Royal Bank of Scotland for forward currency exchange contracts were $33,440,000 and $13,210,000, respectively at June 30, 2014.

* Non deliverable forward. See Note 3 in the Notes to Financial Statements.

AUD - Australian Dollar

BRL - Brazilian Real

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

72 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian Peso

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

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 - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2014 73

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

MONEY MARKET FUND - 39.1%	SHARES			VALUE (Note 3)
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^
(cost $60,356,223)		60,356,223		$	60,356,223
SHORT-TERM INVESTMENTS - 53.5%		PRINCIPAL AMOUNT (000’s	)
U.S. Treasury Bill, 0.053%, 07/31/2014 (c)	$	10,342			10,341,403
U.S. Treasury Bill, 0.062%, 08/07/2014 (c)		2,838			2,838,286
U.S. Treasury Bill, 0.050%, 11/20/2014 ^(c)		69,532			69,518,602
TOTAL SHORT-TERM INVESTMENTS (cost $82,697,851)					82,698,291
TOTAL INVESTMENTS - 92.6% (cost $143,054,074)					143,054,514
OTHER ASSETS IN EXCESS OF LIABILITIES - 7.4% (d)					11,365,796
NET ASSETS - 100.0%				$	154,420,310

(a) Represents annualized seven-day yield as of June 30, 2014.

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

(c) The rate shown is the effective yield at the date of purchase.

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

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820 (See Note 5).

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Cocoa Futures^	9/2014	USD		2,444,531			$4,660
CitiBank	Cocoa Futures^	9/2014	USD		1,543,327			20,173
CitiBank	Corn Futures^	9/2014	USD		(8,132,384	)		343,634
CitiBank	Cotton No. 2 Futures^	12/2014	USD		(38,655	)		1,900
Bank of America	Euro - Bobl Futures	9/2014	EUR		10,450,843			76,332
Bank of America	Euro - SCHATZ Futures	9/2014	EUR		46,238,854			23,127
Barclays Capital	Gasoline RBOB Futures^	7/2014	USD		3,573,087			5,834
Barclays Capital	Gasoline RBOB Futures^	6/2014	USD		3,288,600			225,429
Barclays Capital	Gasoline RBOB Futures^	6/2014	USD		(3,372,768	)		(141,265	)
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		26,124,950			182,809
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		(25,744,820	)		(959,365	)
Bank of America	Hang Seng Index Futures	7/2014	HKD		12,523,744			23,666
Bank of America	H-SHARES Index Futures	7/2014	HKD		14,142,885			25,276
Deutsche Bank	Lean Hogs Futures^	8/2014	USD		3,902,350			82,400
Deutsche Bank	Lean Hogs Futures^	8/2014	USD		(2,836,029	)		(86,121	)
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		3,911,870			226,810
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		(3,915,600	)		(223,080	)
CitiBank	LME Aluminum Futures^	9/2014	USD		1,538,537			21,332
CitiBank	LME Aluminum Futures^	9/2014	USD		(1,384,025	)		13,231
CitiBank	LME Copper Futures^	9/2014	USD		(500,513	)		(26,287	)
CitiBank	LME Copper Futures^	9/2014	USD		1,586,092			16,163
CitiBank	LME Copper Futures^	9/2014	USD		(2,749,067	)		(54,870	)
CitiBank	LME Nickel Futures^	9/2014	USD		227,100			1,344
Bank of America	Mini Japanese 10-Year Treasury Bond	9/2014	JPY		14,521,890			413
Bank of America	MSCI Taiwan Stock Index Futures	7/2014	USD		1,469,124			26,676
Barclays Capital	Heating Oil ULSD Futures^	7/2014	USD		2,306,737			(57,245	)

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

74 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	Heating Oil ULSD Futures^	7/2014	USD		(125,748	)		$777
Barclays Capital	Platinum Futures^	10/2014	USD		(218,640	)		(3,793	)
Barclays Capital	Platinum Futures^	10/2014	USD		221,965			470
Bank of America	SGX S&P CNX Nifty Index Futures	7/2014	USD		2,634,248			19,774
Barclays Capital	Silver Futures^	9/2014	USD		4,204,225			6,972
Barclays Capital	Silver Futures^	9/2014	USD		(4,203,600	)		(7,597	)
Deutsche Bank	Soybean Futures^	11/2014	USD		9,711,300			(453,300	)
Deutsche Bank	Soybean Futures^	11/2014	USD		(1,668,998	)		106,711
CitiBank	Soybean Meal Futures^	12/2014	USD		1,780,665			(127,365	)
CitiBank	Soybean Oil Futures^	12/2014	USD		(4,394,537	)		(45,073	)
CitiBank	Sugar #11 (World Markets) Futures^	9/2014	USD		(1,694,084	)		(20,468	)
Bank of America	Swiss Market Index Futures	9/2014	CHF		8,740,237			(119,605	)
Bank of America	Taiwan Stock Exchange Futures	7/2014	TWD		38,322,133			23,262
Bank of America	U.S. Treasury 2-Year Note Futures	9/2014	USD		53,826,699			(26,230	)
CitiBank	Wheat Futures^	9/2014	USD		328,534			(13,417	)
CitiBank	Wheat Futures^	9/2014	USD		(999,493	)		19,137
CitiBank	Wheat Futures^	9/2014	USD		1,349,222			(49,831	)
CitiBank	Wheat Futures^	9/2014	USD		(11,741,806	)		393,808
Barclays Capital	WTI Crude Oil Futures^	7/2014	USD		7,487,750			98,890
								$(423,902)

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank and Deutsche Bank for total return swap contracts in the amount of $880,001, $2,560,003, $2,610,000 and $400,000, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
96	Goldman Sachs	Brent Crude Futures^	8/2014	$	10,806,098	$	10,758,720	$	(47,378	)
33	Goldman Sachs	Cocoa Futures^	9/2014		1,040,640		1,050,523		9,883
1	Goldman Sachs	Coffee ‘C’ Futures^	9/2014		68,252		65,662		(2,590	)
45	Goldman Sachs	Gas Oil Futures^	8/2014		4,189,541		4,134,375		(55,166	)
30	Goldman Sachs	Gasoline RBOB Futures^	8/2014		3,823,193		3,834,558		11,365
8	J.P. Morgan	LME Aluminum Futures^	8/2014		357,067		374,062		16,995
6	J.P. Morgan	LME Aluminum Futures^	8/2014		267,762		280,899		13,137
4	J.P. Morgan	LME Aluminum Futures^	8/2014		179,008		187,643		8,635
5	J.P. Morgan	LME Aluminum Futures^	8/2014		224,423		234,613		10,190
2	J.P. Morgan	LME Aluminum Futures^	8/2014		88,754		93,939		5,185
1	J.P. Morgan	LME Aluminum Futures^	8/2014		44,027		46,981		2,954
5	J.P. Morgan	LME Aluminum Futures^	8/2014		230,167		235,237		5,070
13	J.P. Morgan	LME Aluminum Futures^	8/2014		596,118		611,763		15,645
1	J.P. Morgan	LME Aluminum Futures^	9/2014		46,217		47,104		887
1	J.P. Morgan	LME Aluminum Futures^	9/2014		45,641		47,125		1,484
4	J.P. Morgan	LME Aluminum Futures^	9/2014		184,575		188,544		3,969
5	J.P. Morgan	LME Aluminum Futures^	9/2014		230,217		236,344		6,127
1	J.P. Morgan	LME Copper Futures^	7/2014		166,846		175,950		9,104
1	J.P. Morgan	LME Copper Futures^	7/2014		165,926		175,925		9,999
6	J.P. Morgan	LME Copper Futures^	7/2014		992,262		1,055,212		62,950
5	J.P. Morgan	LME Copper Futures^	7/2014		846,797		879,103		32,306

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

AQR Funds Semi-Annual Report June 2014 75

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
8	J.P. Morgan	LME Copper Futures^	8/2014	$	1,376,802	$	1,406,400	$	29,598
4	J.P. Morgan	LME Copper Futures^	8/2014		690,461		703,200		12,739
2	J.P. Morgan	LME Copper Futures^	8/2014		346,568		351,475		4,907
1	J.P. Morgan	LME Copper Futures^	8/2014		170,803		175,716		4,913
1	J.P. Morgan	LME Copper Futures^	8/2014		174,063		175,655		1,592
4	J.P. Morgan	LME Copper Futures^	8/2014		689,360		702,617		13,257
2	J.P. Morgan	LME Copper Futures^	9/2014		344,937		351,306		6,369
3	J.P. Morgan	LME Copper Futures^	9/2014		510,931		526,953		16,022
8	J.P. Morgan	LME Copper Futures^	9/2014		1,375,992		1,404,800		28,808
4	J.P. Morgan	LME Copper Futures^	9/2014		693,731		701,643		7,912
1	J.P. Morgan	LME Copper Futures^	9/2014		173,366		175,375		2,009
1	J.P. Morgan	LME Nickel Futures^	7/2014		97,464		113,821		16,357
1	J.P. Morgan	LME Nickel Futures^	7/2014		107,138		113,904		6,766
1	J.P. Morgan	LME Nickel Futures^	8/2014		109,212		113,997		4,785
2	J.P. Morgan	LME Nickel Futures^	8/2014		222,595		228,056		5,461
4	J.P. Morgan	LME Nickel Futures^	9/2014		465,888		456,566		(9,322	)
3	J.P. Morgan	LME Nickel Futures^	9/2014		329,406		342,569		13,163
12	J.P. Morgan	LME Nickel Futures^	9/2014		1,378,453		1,370,664		(7,789	)
1	J.P. Morgan	LME Zinc Futures^	7/2014		49,502		55,356		5,854
1	J.P. Morgan	LME Zinc Futures^	7/2014		51,450		55,325		3,875
5	J.P. Morgan	LME Zinc Futures^	7/2014		258,321		276,378		18,057
1	J.P. Morgan	LME Zinc Futures^	7/2014		51,217		55,268		4,051
3	J.P. Morgan	LME Zinc Futures^	9/2014		156,748		166,382		9,634
30	J.P. Morgan	LME Zinc Futures^	9/2014		1,614,303		1,665,000		50,697
6	J.P. Morgan	LME Zinc Futures^	9/2014		324,128		332,888		8,760
6	J.P. Morgan	LME Zinc Futures^	9/2014		328,162		332,832		4,670
5	J.P. Morgan	LME Zinc Futures^	9/2014		273,054		277,312		4,258
2	J.P. Morgan	LME Zinc Futures^	9/2014		109,094		110,906		1,812
1	J.P. Morgan	LME Zinc Futures^	9/2014		54,685		55,444		759
107	Goldman Sachs	Natural Gas Futures^	8/2014		5,032,203		4,773,270		(258,933	)
22	Goldman Sachs	Heating Oil ULSD Futures^	8/2014		2,806,523		2,749,178		(57,345	)
7	Goldman Sachs	Platinum Futures^	10/2014		518,028		519,015		987
11	Goldman Sachs	Silver Futures^	9/2014		1,157,983		1,158,080		97
29	Goldman Sachs	Soybean Meal Futures^	12/2014		1,157,232		1,065,460		(91,772	)
12	Goldman Sachs	WTI Crude Futures^	8/2014		1,273,177		1,264,440		(8,737	)
87	Barclays Capital	Amsterdam Index Futures	7/2014		9,898,390		9,846,020		(52,370	)
126	Barclays Capital	CAC40 Index Futures	7/2014		7,810,129		7,629,356		(180,773	)
22	Barclays Capital	DAX Index Futures	9/2014		7,483,309		7,425,337		(57,972	)
141	Barclays Capital	DJIA Mini E-CBOT Futures	9/2014		11,768,405		11,801,700		33,295
41	Barclays Capital	E-Mini Russell 2000 Futures	9/2014		4,776,379		4,880,230		103,851
188	Barclays Capital	Euro Stoxx 50 Index	9/2014		8,420,065		8,320,086		(99,979	)
79	Barclays Capital	FTSE 100 Index Futures	9/2014		9,092,698		9,073,312		(19,386	)
109	J.P. Morgan	FTSE/JSE Top 40 Index Futures	9/2014		4,720,969		4,721,796		827
14	Barclays Capital	FTSE/MIB Index Futures	9/2014		2,102,072		2,041,914		(60,158	)
29	Barclays Capital	Hang Seng Index Futures	7/2014		4,271,481		4,322,461		50,980
29	Barclays Capital	IBEX 35 Index Futures	7/2014		4,336,976		4,310,687		(26,289	)
10	Barclays Capital	KOSPI Index 200 Futures	9/2014		1,303,712		1,287,804		(15,908	)
59	Barclays Capital	MSCI Singapore Index Futures	7/2014		3,512,248		3,506,215		(6,033	)
50	Barclays Capital	MSCI Taiwan Stock Index Futures	7/2014		1,633,857		1,662,000		28,143
140	Barclays Capital	NASDAQ 100 E-Mini Futures	9/2014		10,567,327		10,753,400		186,073
119	Barclays Capital	S&P 500 E-Mini Futures	9/2014		11,466,821		11,616,780		149,959
57	Barclays Capital	S&P MID 400 E-Mini Futures	9/2014		7,986,440		8,147,010		160,570

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

76 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
92	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	9/2014	$	14,750,098		$	14,893,473		$	143,375
67	Barclays Capital	SGX S&P CNX Nifty Index Futures	7/2014		1,017,500			1,021,951			4,451
58	Barclays Capital	SPI 200 Index Futures	9/2014		7,323,625			7,320,404			(3,221	)
49	Barclays Capital	TOPIX Index Futures	9/2014		6,000,174			6,106,560			106,386
103	J.P. Morgan	3-Month Euro Euribor Futures	12/2014		35,194,199			35,203,060			8,861
131	J.P. Morgan	3-Month Euro Euribor Futures	3/2015		44,757,685			44,770,582			12,897
148	J.P. Morgan	3-Month Euro Euribor Futures	6/2015		50,552,983			50,575,438			22,455
194	J.P. Morgan	3-Month Euro Euribor Futures	9/2015		66,245,096			66,284,870			39,774
211	J.P. Morgan	3-Month Euro Euribor Futures	12/2015		72,006,885			72,075,280			68,395
213	J.P. Morgan	3-Month Euro Euribor Futures	3/2016		72,638,174			72,732,937			94,763
215	J.P. Morgan	3-Month Euro Euribor Futures	6/2016		73,321,400			73,379,076			57,676
10	J.P. Morgan	90-Day EURODollar Futures	12/2014		2,493,126			2,493,125			(1	)
14	J.P. Morgan	90-Day EURODollar Futures	3/2015		3,487,454			3,487,575			121
28	J.P. Morgan	90-Day EURODollar Futures	6/2015		6,963,304			6,963,950			646
27	J.P. Morgan	90-Day EURODollar Futures	9/2015		6,701,764			6,702,075			311
43	J.P. Morgan	90-Day EURODollar Futures	12/2015		10,647,584			10,649,488			1,904
56	J.P. Morgan	90-Day EURODollar Futures	3/2016		13,831,692			13,835,500			3,808
72	J.P. Morgan	90-Day EURODollar Futures	6/2016		17,735,852			17,740,800			4,948
84	J.P. Morgan	Australia 10-Year Bond Futures	9/2014		9,416,486			9,542,347			125,861
288	J.P. Morgan	Australia 3-Year Bond Futures	9/2014		29,611,563			29,731,119			119,556
149	J.P. Morgan	Canadian 10-Year Bond Futures	9/2014		18,864,118			18,987,882			123,764
103	J.P. Morgan	Euro - Bobl Futures	9/2014		17,964,840			18,071,186			106,346
91	J.P. Morgan	Euro - Bund Futures	9/2014		18,076,434			18,318,372			241,938
52	J.P. Morgan	Euro - Buxl 30-Year Bond Futures	9/2014		9,387,250			9,588,277			201,027
14	J.P. Morgan	Long Gilt Futures	9/2014		2,640,257			2,633,639			(6,618	)
284	J.P. Morgan	Mini Japanese 10-Year Treasury Bond	9/2014		40,708,407			40,828,943			120,536
77	J.P. Morgan	U.S. Long Bond Futures	9/2014		10,501,997			10,563,437			61,440
110	J.P. Morgan	U.S. Treasury 10-Year Note Futures	9/2014		13,748,662			13,768,906			20,244
136	J.P. Morgan	U.S. Treasury 5-Year Note Futures	9/2014		16,246,254			16,246,687			433
					853,052,652			854,904,580			1,851,928
Short Contracts:
127	Goldman Sachs	Corn Futures^	9/2014		(2,799,456	)		(2,659,062	)		140,394
61	Goldman Sachs	Cotton No. 2 Futures^	12/2014		(2,348,983	)		(2,242,055	)		106,928
8	J.P. Morgan	LME Aluminum Futures^	8/2014		(356,490	)		(374,062	)		(17,572	)
6	J.P. Morgan	LME Aluminum Futures^	8/2014		(268,168	)		(280,899	)		(12,731	)
4	J.P. Morgan	LME Aluminum Futures^	8/2014		(178,617	)		(187,643	)		(9,026	)
5	J.P. Morgan	LME Aluminum Futures^	8/2014		(223,754	)		(234,612	)		(10,858	)
2	J.P. Morgan	LME Aluminum Futures^	8/2014		(88,731	)		(93,939	)		(5,208	)
1	J.P. Morgan	LME Aluminum Futures^	8/2014		(43,948	)		(46,981	)		(3,033	)
5	J.P. Morgan	LME Aluminum Futures^	8/2014		(229,989	)		(235,237	)		(5,248	)

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

AQR Funds Semi-Annual Report June 2014 77

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS		COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
	Short Contracts: (continued)
	13	J.P. Morgan	LME Aluminum Futures^	8/2014		$(595,629	)		$(611,764	)		$(16,135	)
	1	J.P. Morgan	LME Aluminum Futures^	9/2014		(46,373	)		(47,103	)		(730	)
	1	J.P. Morgan	LME Aluminum Futures^	9/2014		(45,498	)		(47,125	)		(1,627	)
	4	J.P. Morgan	LME Aluminum Futures^	9/2014		(184,117	)		(188,544	)		(4,427	)
	5	J.P. Morgan	LME Aluminum Futures^	9/2014		(229,914	)		(236,343	)		(6,429	)
	1	J.P. Morgan	LME Copper Futures^	7/2014		(166,548	)		(175,950	)		(9,402	)
	1	J.P. Morgan	LME Copper Futures^	7/2014		(163,498	)		(175,925	)		(12,427	)
	6	J.P. Morgan	LME Copper Futures^	7/2014		(994,850	)		(1,055,213	)		(60,363	)
	5	J.P. Morgan	LME Copper Futures^	7/2014		(845,364	)		(879,103	)		(33,739	)
	8	J.P. Morgan	LME Copper Futures^	8/2014		(1,380,983	)		(1,406,400	)		(25,417	)
	4	J.P. Morgan	LME Copper Futures^	8/2014		(693,767	)		(703,200	)		(9,433	)
	2	J.P. Morgan	LME Copper Futures^	8/2014		(342,996	)		(351,475	)		(8,479	)
	1	J.P. Morgan	LME Copper Futures^	8/2014		(170,348	)		(175,716	)		(5,368	)
	1	J.P. Morgan	LME Copper Futures^	8/2014		(174,248	)		(175,655	)		(1,407	)
	4	J.P. Morgan	LME Copper Futures^	8/2014		(686,917	)		(702,617	)		(15,700	)
	2	J.P. Morgan	LME Copper Futures^	9/2014		(345,996	)		(351,307	)		(5,311	)
	3	J.P. Morgan	LME Copper Futures^	9/2014		(508,119	)		(526,953	)		(18,834	)
	8	J.P. Morgan	LME Copper Futures^	9/2014		(1,373,583	)		(1,404,800	)		(31,217	)
	4	J.P. Morgan	LME Copper Futures^	9/2014		(693,667	)		(701,643	)		(7,976	)
	1	J.P. Morgan	LME Copper Futures^	9/2014		(173,373	)		(175,375	)		(2,002	)
	1	J.P. Morgan	LME Nickel Futures^	7/2014		(97,048	)		(113,821	)		(16,773	)
	1	J.P. Morgan	LME Nickel Futures^	7/2014		(107,800	)		(113,904	)		(6,104	)
	1	J.P. Morgan	LME Nickel Futures^	8/2014		(108,505	)		(113,997	)		(5,492	)
	2	J.P. Morgan	LME Nickel Futures^	8/2014		(222,134	)		(228,057	)		(5,923	)
	4	J.P. Morgan	LME Nickel Futures^	9/2014		(468,952	)		(456,567	)		12,385
	3	J.P. Morgan	LME Nickel Futures^	9/2014		(334,705	)		(342,569	)		(7,864	)
	3	J.P. Morgan	LME Nickel Futures^	9/2014		(329,502	)		(342,666	)		(13,164	)
	1	J.P. Morgan	LME Zinc Futures^	7/2014		(49,451	)		(55,357	)		(5,906	)
	1	J.P. Morgan	LME Zinc Futures^	7/2014		(51,323	)		(55,325	)		(4,002	)
	5	J.P. Morgan	LME Zinc Futures^	7/2014		(258,239	)		(276,377	)		(18,138	)
	1	J.P. Morgan	LME Zinc Futures^	7/2014		(51,273	)		(55,268	)		(3,995	)
	3	J.P. Morgan	LME Zinc Futures^	9/2014		(156,369	)		(166,382	)		(10,013	)
	6	J.P. Morgan	LME Zinc Futures^	9/2014		(324,387	)		(332,887	)		(8,500	)
	6	J.P. Morgan	LME Zinc Futures^	9/2014		(328,262	)		(332,832	)		(4,570	)
	5	J.P. Morgan	LME Zinc Futures^	9/2014		(274,115	)		(277,313	)		(3,198	)
	2	J.P. Morgan	LME Zinc Futures^	9/2014		(108,746	)		(110,907	)		(2,161	)
	1	J.P. Morgan	LME Zinc Futures^	9/2014		(54,598	)		(55,444	)		(846	)
	16	Goldman Sachs	Sugar #11 (World Markets) Futures^	9/2014		(318,768	)		(322,740	)		(3,972	)
	7	Goldman Sachs	Wheat Futures^	9/2014		(209,691	)		(202,125	)		7,566
	215	J.P. Morgan	90-Day Sterling Futures	12/2014		(45,583,495	)		(45,598,327	)		(14,832	)
	206	J.P. Morgan	90-Day Sterling Futures	3/2015		(43,580,019	)		(43,585,999	)		(5,980	)
	207	J.P. Morgan	90-Day Sterling Futures	6/2015		(43,687,758	)		(43,689,089	)		(1,331	)
	222	J.P. Morgan	90-Day Sterling Futures	9/2015		(46,755,674	)		(46,745,735	)		9,939
	234	J.P. Morgan	90-Day Sterling Futures	12/2015		(49,188,170	)		(49,162,403	)		25,767
	235	J.P. Morgan	90-Day Sterling Futures	3/2016		(49,302,261	)		(49,276,982	)		25,279
	238	J.P. Morgan	90-Day Sterling Futures	6/2016		(49,849,869	)		(49,814,403	)		35,466
	73	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	12/2014		(16,885,389	)		(16,886,017	)		(628	)
	49	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	3/2015		(11,326,874	)		(11,329,858	)		(2,984	)
	71	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	12/2014		(20,023,778	)		(20,021,792	)		1,986
	10	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	3/2015		(2,820,146	)		(2,819,971	)		175
						(399,211,225	)		(399,331,815	)		(120,590	)
					$	453,841,427		$	455,572,765		$	1,731,338

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

78 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $6,433,024, $1,625,921 and $2,225,029, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		18,581,000		$17,206,958		$17,423,389		$216,431
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		18,581,000		17,207,092		17,423,389		216,297
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		5,955,000		2,573,640		2,635,667		62,027
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		5,955,000		2,573,642		2,635,666		62,024
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		10,961,000		10,132,829		10,252,381		119,552
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		10,961,000		10,132,925		10,252,381		119,456
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		299,000		334,327		337,393		3,066
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		30,000,000		53,880		53,804		(76	)
Chilean Peso, Expiring 09/17/14*	The Royal Bank of Scotland	CLP		30,000,000		53,880		53,804		(76	)
Columbian Peso, Expiring 09/17/14*	Credit Suisse International	COP		908,500,000		472,851		481,252		8,401
Columbian Peso, Expiring 09/17/14*	The Royal Bank of Scotland	COP		1,458,500,000		759,606		772,599		12,993
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		7,150,000		355,830		357,016		1,186
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		18,350,000		912,872		916,256		3,384
Euro, Expiring 09/17/14	Credit Suisse International	EUR		14,392,998		19,591,290		19,714,130		122,840
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		14,497,999		19,734,156		19,857,950		123,794
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		21,772,999		36,524,260		37,238,284		714,024
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		21,772,999		36,524,281		37,238,283		714,002
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		29,500		3,806		3,805		(1	)
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		29,500		3,806		3,805		(1	)
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		344,500,000		1,536,716		1,518,715		(18,001	)
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		514,500,000		2,296,326		2,268,153		(28,173	)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		10,320,000		2,984,806		3,006,131		21,325
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		10,320,000		2,985,046		3,006,131		21,085
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		161,000,000		2,678,016		2,626,099		(51,917	)
Indian Rupee, Expiring 09/17/14*	The Royal Bank of Scotland	INR		162,000,000		2,694,675		2,642,410		(52,265	)

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

AQR Funds Semi-Annual Report June 2014 79

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		2,236,689,500		$22,015,863		$22,091,271		$75,408
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		2,236,756,500		22,016,724		22,091,933		75,209
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		8,292,000,001		8,086,064		8,169,568		83,504
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		8,562,000,000		8,349,884		8,435,581		85,697
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		28,875,000		2,219,160		2,213,800		(5,360	)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		28,875,000		2,219,306		2,213,800		(5,506	)
Malaysian Ringgit, Expiring 09/17/14*	Credit Suisse International	MYR		3,085,000		955,094		954,877		(217	)
Malaysian Ringgit, Expiring 09/17/14*	The Royal Bank of Scotland	MYR		3,085,000		955,105		954,877		(228	)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		23,833,000		3,957,811		3,873,890		(83,921	)
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		23,833,000		3,957,795		3,873,891		(83,904	)
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		42,411,000		35,938,322		36,860,175		921,853
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		42,411,000		35,938,440		36,860,175		921,735
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		7,000,000		160,404		160,128		(276	)
Philippine Peso, Expiring 09/17/14*	The Royal Bank of Scotland	PHP		7,000,000		160,407		160,128		(279	)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		18,405,001		6,027,072		6,030,922		3,850
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		18,405,000		6,026,838		6,030,921		4,083
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		70,800,000		2,011,331		2,046,167		34,836
Russian Ruble, Expiring 09/17/14*	The Royal Bank of Scotland	RUB		71,800,000		2,039,821		2,075,068		35,247
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		25,799,500		3,837,513		3,858,219		20,706
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		25,799,500		3,837,639		3,858,219		20,580
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		7,064,500		5,640,936		5,665,820		24,884
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		7,224,500		5,768,324		5,794,143		25,819
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		1,769,000		823,261		821,725		(1,536	)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		1,769,000		823,622		821,724		(1,898	)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		109,550,000		3,661,216		3,672,688		11,472
Taiwanese Dollar, Expiring 09/17/14*	The Royal Bank of Scotland	TWD		109,550,000		3,661,271		3,672,688		11,417
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		10,115,000		934,644		938,763		4,119
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		10,115,000		934,636		938,763		4,127
						$383,286,019		$387,858,817		$4,572,798

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

80 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		(6,989,000	)		$(6,505,395	)		$(6,553,582	)		$(48,187	)
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		(6,989,000	)		(6,505,335	)		(6,553,581	)		(48,246	)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		(20,000	)		(8,848	)		(8,852	)		(4	)
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		(1,240,000	)		(552,036	)		(548,821	)		3,215
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(5,632,500	)		(5,147,819	)		(5,268,364	)		(120,545	)
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		(5,632,500	)		(5,147,811	)		(5,268,364	)		(120,553	)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		(180,000	)		(201,401	)		(203,114	)		(1,713	)
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		(224,000	)		(250,738	)		(252,764	)		(2,026	)
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		(219,500,000	)		(394,526	)		(393,668	)		858
Chilean Peso, Expiring 09/17/14*	The Royal Bank of Scotland	CLP		(219,500,000	)		(394,527	)		(393,668	)		859
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		(53,800,000	)		(2,670,463	)		(2,686,350	)		(15,887	)
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		(53,800,000	)		(2,670,505	)		(2,686,350	)		(15,845	)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(7,465,000	)		(10,136,115	)		(10,224,832	)		(88,717	)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(7,483,000	)		(10,160,709	)		(10,249,487	)		(88,778	)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(2,428,500	)		(4,123,933	)		(4,153,454	)		(29,521	)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(2,428,500	)		(4,123,881	)		(4,153,454	)		(29,573	)
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		(287,000,000	)		(1,264,005	)		(1,265,229	)		(1,224	)
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		(467,000,000	)		(2,053,888	)		(2,058,752	)		(4,864	)
Indonesian Rupiah, Expiring 09/17/14*	Credit Suisse International	IDR		(14,605,000,000	)		(1,214,708	)		(1,213,909	)		799
Indonesian Rupiah, Expiring 09/17/14*	The Royal Bank of Scotland	IDR		(17,505,000,000	)		(1,456,070	)		(1,454,945	)		1,125
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		(45,000	)		(12,946	)		(13,108	)		(162	)
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		(45,000	)		(12,945	)		(13,108	)		(163	)
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		(163,500,000	)		(2,682,546	)		(2,666,878	)		15,668
Indian Rupee, Expiring 09/17/14*	The Royal Bank of Scotland	INR		(181,500,000	)		(2,978,519	)		(2,960,479	)		18,040
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(4,956,896,998	)		(48,448,721	)		(48,958,136	)		(509,415	)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		(4,956,896,998	)		(48,448,602	)		(48,958,136	)		(509,534	)
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		(925,000,000	)		(908,622	)		(911,342	)		(2,720	)

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

AQR Funds Semi-Annual Report June 2014 81

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		(925,000,000	)		$(908,610	)		$(911,342	)		$(2,732	)
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		(26,800,000	)		(2,045,463	)		(2,054,714	)		(9,251	)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		(31,000,000	)		(2,366,607	)		(2,376,720	)		(10,113	)
Malaysian Ringgit, Expiring 09/17/14*	Credit Suisse International	MYR		(465,000	)		(142,924	)		(143,928	)		(1,004	)
Malaysian Ringgit, Expiring 09/17/14*	The Royal Bank of Scotland	MYR		(465,000	)		(142,923	)		(143,928	)		(1,005	)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		(147,272,000	)		(24,061,594	)		(23,938,055	)		123,539
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		(147,272,000	)		(24,061,629	)		(23,938,055	)		123,574
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		(6,922,500	)		(5,805,897	)		(6,016,471	)		(210,574	)
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		(6,922,500	)		(5,806,082	)		(6,016,471	)		(210,389	)
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		(9,200,000	)		(209,450	)		(210,454	)		(1,004	)
Philippine Peso, Expiring 09/17/14*	The Royal Bank of Scotland	PHP		(9,200,000	)		(209,451	)		(210,454	)		(1,003	)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		(3,895,000	)		(1,269,319	)		(1,276,307	)		(6,988	)
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		(6,405,000	)		(2,088,535	)		(2,098,780	)		(10,245	)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		(5,000,000	)		(142,554	)		(144,503	)		(1,949	)
Russian Ruble, Expiring 09/17/14*	The Royal Bank of Scotland	RUB		(5,000,000	)		(142,551	)		(144,503	)		(1,952	)
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		(194,656,000	)		(29,116,891	)		(29,110,077	)		6,814
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		(194,656,000	)		(29,117,000	)		(29,110,077	)		6,923
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		(1,300,000	)		(1,039,881	)		(1,042,617	)		(2,736	)
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		(1,300,000	)		(1,039,883	)		(1,042,617	)		(2,734	)
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		(845,000	)		(386,435	)		(392,514	)		(6,079	)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		(845,000	)		(386,377	)		(392,514	)		(6,137	)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		(99,550,000	)		(3,323,666	)		(3,337,434	)		(13,768	)
Taiwanese Dollar, Expiring 09/17/14*	The Royal Bank of Scotland	TWD		(99,550,000	)		(3,323,646	)		(3,337,434	)		(13,788	)
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		(20,400,000	)		(1,874,108	)		(1,893,302	)		(19,194	)
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		(20,400,000	)		(1,874,097	)		(1,893,302	)		(19,205	)
							(309,361,187	)		(311,249,300	)		(1,888,113	)
							$73,924,832			$76,609,517			$2,684,685

Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $1 at June 30, 2014. Cash held as collateral for Credit Suisse International and The Royal Bank of Scotland was $1,480,000 and $540,000, respectively, at June 30, 2014.

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

82 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

* Non deliverable forward. See Note 3 in the Notes to Financial Statements.

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

HKD - Hong Kong Dollar

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 - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2014 83

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

MONEY MARKET FUNDS - 95.0%	SHARES		VALUE (Note 3)
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% ^(a)		2,244,670	$	2,244,670
Dreyfus Treasury Cash Management, Class I, 0.010% ^(a)		8,978,681		8,978,681
J.P. Morgan U.S. Treasury Plus Money
Market Fund - Institutional Shares, 0.000% ^(a)(b)		40,735,074		40,735,074
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% ^(a)		11,223,352		11,223,352
TOTAL MONEY MARKET FUNDS (cost $63,181,777)				63,181,777

SHORT-TERM INVESTMENTS - 1.1%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
U.S. Treasury Bill, 0.052%, 12/04/2014 ^(c)
(cost $749,830)	$	750	$	749,837
TOTAL INVESTMENTS - 96.1% (cost $63,931,607)				63,931,614
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.9% (d)				2,576,396
NET ASSETS - 100.0%			$	66,508,010

(a) Represents annualized seven-day yield as of June 30, 2014.

(b) A portion of the security is pledged as collateral to the brokers for swap contracts.

(c) The rate shown is the effective yield at the date of purchase.

(d) Includes appreciation/(depreciation) on futures and swap contracts.

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820 (See Note 5).

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Brent Crude Futures^	7/2014	USD		6,641,930			$324,390
Deutsche Bank	Brent Crude Futures^	7/2014	USD		(6,691,660	)		(274,660	)
Deutsche Bank	Brent Crude Futures^	8/2014	USD		6,978,610			305,940
Deutsche Bank	Brent Crude Futures^	8/2014	USD		(7,404,400	)		119,850
Deutsche Bank	Brent Crude Futures^	9/2014	USD		6,249,100			(106,700	)
Deutsche Bank	Brent Crude Futures^	9/2014	USD		(337,560	)		2,520
CitiBank	Cocoa Futures^	9/2014	USD		1,636,976			20,330
CitiBank	Cocoa Futures^	9/2014	USD		(122,124	)		(2,955	)
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		3,285,795			128,627
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		(470,454	)		10,815
CitiBank	Corn Futures^	9/2014	USD		7,554,754			(1,210,315	)
CitiBank	Corn Futures^	9/2014	USD		(7,110,084	)		765,783
Deutsche Bank	Corn Futures^	9/2014	USD		25,350			(4,413)
Deutsche Bank	Corn Futures^	9/2014	USD		(22,250	)		1,313
CitiBank	Corn Futures^	12/2014	USD		5,658,351			(300,201	)
Deutsche Bank	Corn Futures^	12/2014	USD		22,400			(1,137	)
CitiBank	Cotton No. 2 Futures^	12/2014	USD		1,446,658			(86,644	)
CitiBank	Cotton No. 2 Futures^	12/2014	USD		(422,933	)		18,611
Deutsche Bank	Gas Oil Futures^	7/2014	USD		4,934,110			98,390
Deutsche Bank	Gas Oil Futures^	7/2014	USD		(4,885,800	)		(146,700	)
Deutsche Bank	Gas Oil Futures^	8/2014	USD		4,179,475			138,650
Deutsche Bank	Gas Oil Futures^	8/2014	USD		(4,389,800	)		71,675
Deutsche Bank	Gas Oil Futures^	9/2014	USD		4,408,600			(72,850	)
Deutsche Bank	Gas Oil Futures^	9/2014	USD		(93,300	)		1,050
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		3,884,899			205,296
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		(3,935,916	)		(154,279	)
Deutsche Bank	Gasoline RBOB Futures^	8/2014	USD		3,171,714			110,292

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

84 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Gasoline RBOB Futures^	8/2014	USD		(887,868	)		$4,251
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		17,713,770			529,711
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		(1,944,820	)		(38,171	)
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		627,120			62,660
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		(653,280	)		(36,500	)
Deutsche Bank	Lean Hogs Futures^	8/2014	USD		623,222			14,338
Deutsche Bank	Lean Hogs Futures^	8/2014	USD		(257,600	)		(8,050	)
Deutsche Bank	Live Cattle Futures^	8/2014	USD		9,706,994			618,166
CitiBank	LME Aluminum Futures^	9/2014	USD		9,829,813			427,506
CitiBank	LME Aluminum Futures^	9/2014	USD		(10,017,988	)		(239,331	)
CitiBank	LME Aluminum Futures^	12/2014	USD		7,762,500			(22,950	)
CitiBank	LME Aluminum Futures^	12/2014	USD		(2,452,275	)		(32,025	)
CitiBank	LME Copper Futures^	9/2014	USD		16,410,025			447,575
CitiBank	LME Copper Futures^	9/2014	USD		(16,022,500	)		(835,100	)
CitiBank	LME Copper Futures^	12/2014	USD		13,368,000			644,000
CitiBank	LME Copper Futures^	12/2014	USD		(852,225	)		(23,525	)
CitiBank	LME Lead Futures^	9/2014	USD		2,270,419			61,794
CitiBank	LME Lead Futures^	9/2014	USD		(2,267,613	)		(64,600	)
CitiBank	LME Lead Futures^	12/2014	USD		1,451,200			24,688
CitiBank	LME Lead Futures^	12/2014	USD		(163,875	)		(113	)
CitiBank	LME Nickel Futures^	9/2014	USD		2,885,610			312,606
CitiBank	LME Nickel Futures^	9/2014	USD		(3,162,120	)		(36,096	)
CitiBank	LME Nickel Futures^	12/2014	USD		2,397,060			7,020
CitiBank	LME Nickel Futures^	12/2014	USD		(114,660	)		180
CitiBank	LME Zinc Futures^	9/2014	USD		4,834,088			382,912
CitiBank	LME Zinc Futures^	9/2014	USD		(4,985,075	)		(231,925	)
CitiBank	LME Zinc Futures^	12/2014	USD		4,454,506			170,669
CitiBank	LME Zinc Futures^	12/2014	USD		(434,000	)		(11,800	)
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		3,960,082			(212,842	)
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		(3,855,740	)		108,500
Deutsche Bank	Natural Gas Swap Futures^	8/2014	USD		3,581,020			(162,220	)
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		3,402,021			96,932
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		(3,407,695	)		(91,258	)
Deutsche Bank	Heating Oil ULSD Futures^	8/2014	USD		3,415,457			95,491
Barclays Capital	Silver Futures^	9/2014	USD		10,403,500			19,212
Barclays Capital	Silver Futures^	9/2014	USD		(527,750	)		1,349
Deutsche Bank	Soybean Futures^	11/2014	USD		10,053,548			(564,099)
Deutsche Bank	Soybean Futures^	11/2014	USD		(3,609,845	)		195,958
CitiBank	Soybean Meal Futures^	12/2014	USD		4,155,334			(297,337	)
CitiBank	Soybean Meal Futures^	12/2014	USD		(1,326,411	)		77,174
Deutsche Bank	Soybean Meal Futures^	12/2014	USD		79,450			(5,970	)
CitiBank	Soybean Oil Futures^	12/2014	USD		2,767,064			28,217
CitiBank	Soybean Oil Futures^	12/2014	USD		(677,448	)		19,708
Deutsche Bank	Soybean Oil Futures^	12/2014	USD		162,972			1,458
CitiBank	Sugar #11 (World Markets) Futures^	9/2014	USD		6,417,589			77,499
CitiBank	Sugar #11 (World Markets) Futures^	9/2014	USD		(667,520	)		22,031
CitiBank	Wheat Futures^	9/2014	USD		5,550,272			(958,849	)
CitiBank	Wheat Futures^	9/2014	USD		(5,093,094	)		501,813
Deutsche Bank	Wheat Futures^	9/2014	USD		171,779			(27,404)
Deutsche Bank	Wheat Futures^	9/2014	USD		(155,438	)		11,063
CitiBank	Wheat Futures^	12/2014	USD		4,210,668			(321,721	)
CitiBank	Wheat Futures^	12/2014	USD		(511,380	)		32,747
Deutsche Bank	Wheat Futures^	12/2014	USD		161,250			(11,688	)
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		5,435,830			359,520
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		(5,645,300	)		(150,050	)

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

AQR Funds Semi-Annual Report June 2014 85

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	WTI Crude Oil Futures^	8/2014	USD		6,418,540			$74,720
Deutsche Bank	WTI Crude Oil Futures^	8/2014	USD		(315,720	)		1,530
								$1,012,052

Money Market Fund is pledged as collateral to Barclays Capital, CitiBank and Deutsche Bank for total return swap contracts in the amount of $1,441,390, $4,030,000 and $2,870,000, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
24	Goldman Sachs	Cocoa Futures^		9/2014		$742,039		$750,480		$8,441
15	Goldman Sachs	Gas Oil Futures^		9/2014		1,408,910		1,383,750		(25,160	)
17	Goldman Sachs	Gold 100 OZ Futures^		8/2014		2,235,833		2,247,400		11,567
28	Goldman Sachs	Lean Hogs Futures^		8/2014		1,458,856		1,487,640		28,784
9	Goldman Sachs	Live Cattle Futures^		8/2014		545,478		540,270		(5,208	)
7	J.P. Morgan	LME Aluminum Futures^		9/2014		332,063		330,338		(1,725	)
5	J.P. Morgan	LME Aluminum Futures^		9/2014		233,135		236,067		2,932
2	J.P. Morgan	LME Aluminum Futures^		9/2014		92,529		94,515		1,986
7	J.P. Morgan	LME Aluminum Futures^		12/2014		334,265		334,425		160
1	J.P. Morgan	LME Copper Futures^		7/2014		165,998		176,030		10,032
3	J.P. Morgan	LME Copper Futures^		7/2014		497,519		527,970		30,451
3	J.P. Morgan	LME Copper Futures^		7/2014		505,200		527,441		22,241
3	J.P. Morgan	LME Copper Futures^		8/2014		499,731		527,400		27,669
3	J.P. Morgan	LME Copper Futures^		8/2014		501,489		527,400		25,911
5	J.P. Morgan	LME Copper Futures^		8/2014		862,232		879,000		16,768
1	J.P. Morgan	LME Copper Futures^		8/2014		171,002		175,694		4,692
1	J.P. Morgan	LME Copper Futures^		8/2014		172,141		175,654		3,513
1	J.P. Morgan	LME Copper Futures^		9/2014		172,886		175,654		2,768
5	J.P. Morgan	LME Copper Futures^		9/2014		846,885		878,250		31,365
5	J.P. Morgan	LME Copper Futures^		9/2014		832,135		878,156		46,021
2	J.P. Morgan	LME Copper Futures^		9/2014		332,004		351,237		19,233
27	J.P. Morgan	LME Copper Futures^		9/2014		4,577,457		4,741,200		163,743
5	J.P. Morgan	LME Copper Futures^		9/2014		846,760		877,411		30,651
18	J.P. Morgan	LME Copper Futures^		12/2014		3,007,925		3,152,700		144,775
2	J.P. Morgan	LME Lead Futures^		9/2014		105,873		108,475		2,602
1	J.P. Morgan	LME Lead Futures^		9/2014		52,921		54,251		1,330
1	J.P. Morgan	LME Lead Futures^		12/2014		53,596		54,663		1,067
2	J.P. Morgan	LME Nickel Futures^		7/2014		217,870		227,957		10,087
2	J.P. Morgan	LME Nickel Futures^		8/2014		219,088		227,994		8,906
1	J.P. Morgan	LME Nickel Futures^		8/2014		117,062		114,041		(3,021	)
3	J.P. Morgan	LME Nickel Futures^		9/2014		329,047		342,666		13,619
1	J.P. Morgan	LME Zinc Futures^		7/2014		49,302		55,356		6,054
7	J.P. Morgan	LME Zinc Futures^		7/2014		359,990		386,903		26,913
9	J.P. Morgan	LME Zinc Futures^		9/2014		471,999		499,500		27,501
2	J.P. Morgan	LME Zinc Futures^		9/2014		106,910		110,981		4,071
4	J.P. Morgan	LME Zinc Futures^		9/2014		214,727		221,925		7,198
6	J.P. Morgan	LME Zinc Futures^		12/2014		323,788		334,351		10,563
2	Goldman Sachs	Heating Oil ULSD Futures^		9/2014		257,048		250,782		(6,266	)

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

86 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
10	Goldman Sachs	Silver Futures^		9/2014		$1,052,212			$1,052,800			$588
26	Goldman Sachs	Sugar #11 (World Markets) Futures^		9/2014		512,189			524,451			12,262
5	Goldman Sachs	Wheat Futures^		12/2014		154,548			149,563			(4,985	)
50	Goldman Sachs	WTI Crude Oil Futures^		9/2014		5,257,774			5,236,500			(21,274	)
						31,230,416			31,929,241			698,825
Short Contracts:
7	J.P. Morgan	LME Aluminum Futures^		9/2014		(332,135	)		(330,338	)		1,797
5	J.P. Morgan	LME Aluminum Futures^		9/2014		(233,108	)		(236,067	)		(2,959	)
2	J.P. Morgan	LME Aluminum Futures^		9/2014		(92,252	)		(94,515	)		(2,263	)
7	J.P. Morgan	LME Aluminum Futures^		12/2014		(329,273	)		(334,425	)		(5,152	)
1	J.P. Morgan	LME Copper Futures^		7/2014		(165,248	)		(176,030	)		(10,782	)
3	J.P. Morgan	LME Copper Futures^		7/2014		(497,244	)		(527,970	)		(30,726	)
3	J.P. Morgan	LME Copper Futures^		7/2014		(505,831	)		(527,441	)		(21,610	)
3	J.P. Morgan	LME Copper Futures^		8/2014		(497,037	)		(527,400	)		(30,363	)
3	J.P. Morgan	LME Copper Futures^		8/2014		(503,394	)		(527,400	)		(24,006	)
5	J.P. Morgan	LME Copper Futures^		8/2014		(864,364	)		(879,000	)		(14,636	)
1	J.P. Morgan	LME Copper Futures^		8/2014		(171,523	)		(175,694	)		(4,171	)
1	J.P. Morgan	LME Copper Futures^		8/2014		(172,498	)		(175,654	)		(3,156	)
1	J.P. Morgan	LME Copper Futures^		9/2014		(173,098	)		(175,653	)		(2,555	)
5	J.P. Morgan	LME Copper Futures^		9/2014		(848,027	)		(878,250	)		(30,223	)
5	J.P. Morgan	LME Copper Futures^		9/2014		(832,118	)		(878,156	)		(46,038	)
2	J.P. Morgan	LME Copper Futures^		9/2014		(333,261	)		(351,238	)		(17,977	)
27	J.P. Morgan	LME Copper Futures^		9/2014		(4,515,969	)		(4,741,200	)		(225,231	)
5	J.P. Morgan	LME Copper Futures^		9/2014		(847,785	)		(877,412	)		(29,627	)
17	J.P. Morgan	LME Copper Futures^		12/2014		(2,853,590	)		(2,977,550	)		(123,960	)
2	J.P. Morgan	LME Lead Futures^		9/2014		(101,846	)		(108,475	)		(6,629	)
1	J.P. Morgan	LME Lead Futures^		9/2014		(53,273)			(54,251)			(978)
2	J.P. Morgan	LME Nickel Futures^		7/2014		(218,912	)		(227,957	)		(9,045	)
2	J.P. Morgan	LME Nickel Futures^		8/2014		(218,870	)		(227,995	)		(9,125	)
1	J.P. Morgan	LME Nickel Futures^		8/2014		(115,828	)		(114,041	)		1,787
3	J.P. Morgan	LME Nickel Futures^		9/2014		(336,324	)		(342,666	)		(6,342	)
1	J.P. Morgan	LME Zinc Futures^		7/2014		(49,379	)		(55,356	)		(5,977	)
7	J.P. Morgan	LME Zinc Futures^		7/2014		(358,935	)		(386,902	)		(27,967	)
9	J.P. Morgan	LME Zinc Futures^		9/2014		(460,025	)		(499,500	)		(39,475	)
2	J.P. Morgan	LME Zinc Futures^		9/2014		(107,046	)		(110,982	)		(3,936	)
4	J.P. Morgan	LME Zinc Futures^		9/2014		(214,992	)		(221,925	)		(6,933	)
						(17,003,185	)		(17,741,443	)		(738,258	)
						$14,227,231			$14,187,798			$(39,433)

Cash held as collateral at Goldman Sachs and J.P. Morgan for futures contracts was $905,873 and $89,641, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

USD - United States Dollar

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

AQR Funds Semi-Annual Report June 2014 87

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

GOVERNMENT RELATED OBLIGATIONS - 16.2%	INTEREST RATE		MATURITY DATE		CURRENCY	PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Sovereign Debt - 16.2%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100%		04/15/23	EUR	$	20,556	$	29,095,888
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.750%		04/15/18	EUR		11,615		16,744,579
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750%		04/15/20	EUR		7,250		11,283,065
France Government Bond OAT (France)		0.250%		07/25/18	EUR		5,422		7,700,848
France Government Bond OAT (France)		0.250%		07/25/24	EUR		1,833		2,546,295
France Government Bond OAT (France)		1.100%		07/25/22	EUR		4,242		6,399,925
France Government Bond OAT (France)		1.300%		07/25/19	EUR		12,716		19,151,803
France Government Bond OAT (France)		2.100%		07/25/23	EUR		1,871		3,064,456
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/24	GBP		4,219		7,467,330
United Kingdom Treasury Gilt (United Kingdom)		1.875%		11/22/22	GBP		13,552		27,820,020
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $123,571,157)									131,274,209
U.S. TREASURY OBLIGATIONS - 27.8%
U.S. Treasury Inflation Protected Securities - 27.8%
U.S. Treasury Inflation Protected Securities		0.125%		04/15/18	USD		50,000		52,969,101
U.S. Treasury Inflation Protected Securities		0.125%		01/15/22	USD		22,100		23,302,153
U.S. Treasury Inflation Protected Securities		0.125%		07/15/22	USD		21,000		21,796,259
U.S. Treasury Inflation Protected Securities		0.125%		01/15/23	USD		20,100		20,573,333
U.S. Treasury Inflation Protected Securities		0.375%		07/15/23	USD		18,900		19,626,658
U.S. Treasury Inflation Protected Securities		1.375%		07/15/18	USD		10,600		12,733,304
U.S. Treasury Inflation Protected Securities		1.625%		01/15/18	USD		23,400		28,881,970
U.S. Treasury Inflation Protected Securities		2.125%		01/15/19	USD		9,200		11,441,168
U.S. Treasury Inflation Protected Securities		2.625%		07/15/17	USD		26,400		33,805,134
TOTAL U.S. TREASURY OBLIGATIONS (cost $221,809,688)									225,129,080
MONEY MARKET FUNDS - 34.5%							SHARES
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (a)^							16,320,542		16,320,542
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^							65,282,167		65,282,167
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^							116,243,727		116,243,727
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^							81,603,553		81,603,553
TOTAL MONEY MARKET FUNDS (cost $279,449,989)									279,449,989
SHORT-TERM INVESTMENTS - 15.3%						PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.045%, 11/28/2014 (c)^						$	4,190		4,190,040
U.S. Treasury Bill, 0.052%, 12/04/2014 (c)^							6,719		6,719,542
U.S. Treasury Bill, 0.060%, 07/31/2014 (c)^							43,599		43,600,171
U.S. Treasury Bill, 0.062%, 08/07/2014 (c)^							69,476		69,480,453
TOTAL SHORT-TERM INVESTMENTS (cost $123,984,918)									123,990,206
TOTAL INVESTMENTS - 93.8% (cost $748,815,752)									759,843,484
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.2% (d)									50,111,087
NET ASSETS - 100.0%								$	809,954,571

(a) Represents annualized seven-day yield as of June 30, 2014.

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

(c) The rate shown is the effective yield at the date of purchase.

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

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

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

88 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

All securities are Level 2 with respect to ASC 820 (See Note 5).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

Credit default swap contracts sell protection as of June 30, 2014:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE RECEIVED BY FUND	CURRENCY	CREDIT SPREAD		NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank	iTraxx Europe Crossover Series 21.V1	5.000%	EUR		2.410%		78,975,000		$9,610,389		06/20/2019		$3,171,823
CitiBank	iTraxx Europe Crossover Series 21.V1	1.000%	EUR		0.620%		167,750,000		2,409,666		06/20/2019		1,878,702
CitiBank	Markit CDX Emerging Market Index Series 21	5.000%	USD		2.370%		24,125,000		2,042,777		06/20/2019		873,898
CitiBank	Markit CDX North America High Yield Index Series 22	5.000%	USD		3.030%		115,050,000		7,986,890		06/20/2019		2,088,097
CitiBank	Markit CDX North America Investment Grade Index Series 22	1.000%	USD		0.580%		233,375,000		3,288,795		06/20/2019		1,410,901
									$25,338,517				$9,423,421

Credit default swap contracts buy protection as of June 30, 2014:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE RECEIVED BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CitiBank

Markit CDX North America High Yield Index Series 22

5.000%

USD

3.030%

1,500,000

$(122,747)

06/20/2019

$(8,609)

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

AQR Funds Semi-Annual Report June 2014 89

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

Cash held as collateral for CitiBank for credit default swap contracts was $19,386,234 at June 30, 2014.

Interest rate swap contracts outstanding as of June 30, 2014:

COUNTERPARTY†	PAYMENTS MADE BY THE FUND	PAYMENTS RECEIVED BY THE FUND			CURRENCY	NOTIONAL AMOUNT		UPFRONT PREMIUM (RECEIVED) PAID		TERMINATION DATE		UNREALIZED APPRECIATION (DEPRECIATION)
Exchange Cleared
CitiBank	1.000%			(1)	CZK		30,000,000		$(6,576)		09/18/2019		$(15,775)
CitiBank	1.500%			(1)	CZK		40,000,000		(18,946)		09/18/2019		(60,842)
CitiBank	6 Month Prague Interbank Offered Rate		1.500%		CZK		380,000,000		130,598		09/18/2019		627,392
CitiBank	2.000%			(2)	HKD		25,000,000		11,267		09/18/2019		(28,021)
CitiBank	2.000%			(2)	HKD		26,000,000		(33,744)		09/18/2019		16,319
CitiBank	3 Month Hong Kong Interbank Offered Rate		2.000%		HKD		305,000,000		(224,511)		09/18/2019		428,911
CitiBank	4.000%			(3)	HUF		700,000,000		(67,683)		09/18/2019		(96,162)
CitiBank	5.000%			(3)	HUF		300,000,000		(17,126)		09/18/2019		(116,089)
CitiBank	6 Month Budapest Interbank Offered Rate		5.000%		HUF		4,700,000,000		245,984		09/18/2019		1,841,060
CitiBank	3.500%			(5)	PLN		11,000,000		(38,776)		09/18/2019		(49,583)
CitiBank	4.000%			(5)	PLN		14,000,000		(38,334)		09/18/2019		(181,089)
CitiBank	6 Month Warsaw Interbank Offered Rate		4.000%		PLN		129,000,000		383,520		09/18/2019		1,638,304
CitiBank	2.000%			(6)	SGD		6,000,000		(4,477)		09/18/2019		(50,778)
CitiBank	2.000%			(6)	SGD		10,000,000		(113,628)		09/18/2019		21,536
CitiBank	6 Month Singapore Interbank Offered Rate		2.000%		SGD		49,000,000		(17,202)		09/18/2019		468,452
CitiBank	6 Month Singapore Interbank Offered Rate		2.000%		SGD		49,000,000		(17,397)		09/18/2019		468,647
CitiBank	8.000%			(7)	ZAR		60,000,000		(92,306)		09/18/2019		17,526
CitiBank	8.500%			(7)	ZAR		10,000,000		(6,567)		09/18/2019		(25,116)
CitiBank	3 Month Johannesburg Interbank Agreed Rate		8.500%		ZAR		470,000,000		315,363		09/18/2019		1,173,717
Over the Counter
CitiBank	2.970%			(4)	KRW*		10,000,000,000		—		09/18/2019		(72,531)
CitiBank	3.028%			(4)	KRW*		28,666,680,000		—		03/20/2019		(313,156)
CitiBank	3.065%			(4)	KRW*		28,666,660,000		—		03/20/2019		(359,814)
CitiBank	3.075%			(4)	KRW*		28,666,660,000		—		03/20/2019		(372,425)
CitiBank	3.150%			(4)	KRW*		7,000,000,000		—		09/18/2019		(108,497)
CitiBank	3 Month Korean Certificate of Deposit		3.098%		KRW*		29,000,000,000		—		09/18/2019		380,401
CitiBank	3 Month Korean Certificate of Deposit		3.146%		KRW*		29,000,000,000		—		09/18/2019		444,173
CitiBank	3 Month Korean Certificate of Deposit		3.153%		KRW*		29,000,000,000		—		09/18/2019		452,809
CitiBank	3 Month Korean Certificate of Deposit		3.165%		KRW*		6,000,000,000		—		03/20/2019		101,704
CitiBank	3 Month Korean Certificate of Deposit		3.173%		KRW*		5,000,000,000		—		03/20/2019		86,403
CitiBank	3 Month Korean Certificate of Deposit		3.245%		KRW*		8,000,000,000		—		03/20/2019		163,758
CitiBank	3 Month Korean Certificate of Deposit		3.278%		KRW*		31,000,000,000		—		03/20/2019		678,883
CitiBank	3 Month Korean Certificate of Deposit		3.318%		KRW*		31,000,000,000		—		03/20/2019		733,430

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

90 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY†

PAYMENTS MADE BY THE FUND

PAYMENTS RECEIVED BY THE FUND

CURRENCY

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Over the Counter (continued)

CitiBank

3 Month Korean Certificate of Deposit

3.360%

KRW*

5,000,000,000

$—

03/20/2019

$127,643

$389,459

$8,021,190

† Forward effective date swap. See Note 3 in the Notes to Financial Statements.

* Non deliverable swap. See Note 3 in the Notes to Financial Statements.

(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

Cash collateral for positions held for CitiBank is included in the collateral for credit default swap.

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond	9/2014	CAD		25,352,155			$196,998
Bank of America	10-Year Japanese Government Bond	9/2014	JPY		1,893,433,100			154
Morgan Stanley and Co., International PLC	Bovespa Index	8/2014	BRL		23,057,025			(350,980	)
Merrill Lynch	Brent Crude Futures^	7/2014	USD		35,998,700			1,978,863
Merrill Lynch	Brent Crude Futures^	7/2014	USD		(36,537,800	)		(1,439,789	)
Merrill Lynch	Brent Crude Futures^	8/2014	USD		39,851,810			1,613,862
Merrill Lynch	Brent Crude Futures^	8/2014	USD		(42,031,450	)		565,465
Merrill Lynch	Brent Crude Futures^	9/2014	USD		36,739,050			(554,730	)
CitiBank	Cocoa Futures^	9/2014	USD		2,872,228			35,882
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		4,052,691			149,677
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		(130,911	)		(414	)
CitiBank	Corn Futures^	9/2014	USD		(12,617,551	)		1,415,549
CitiBank	Corn Futures^	9/2014	USD		13,582,619			(2,380,317	)
CitiBank	Corn Futures^	12/2014	USD		7,384,341			(388,590	)
CitiBank	Corn Futures^	12/2014	USD		(132,233	)		4,653
CitiBank	Cotton No. 2 Futures^	12/2014	USD		(722,468	)		24,101
CitiBank	Cotton No. 2 Futures^	12/2014	USD		2,581,485			(155,514	)
Bank of America	Euro - Bund Futures	9/2014	EUR		79,606,700			902,274
Merrill Lynch	Gas Oil Futures^	7/2014	USD		15,770,275			307,311
Merrill Lynch	Gas Oil Futures^	7/2014	USD		(15,616,050	)		(462,429	)
Merrill Lynch	Gas Oil Futures^	8/2014	USD		16,432,135			452,550
Merrill Lynch	Gas Oil Futures^	8/2014	USD		(17,114,400	)		230,987
Merrill Lynch	Gas Oil Futures^	9/2014	USD		16,204,910			(267,224	)
Merrill Lynch	Gas Oil Futures^	9/2014	USD		(186,650	)		2,150
Merrill Lynch	Gasoline RBOB Futures^	6/2014	USD		8,086,000			503,863
Merrill Lynch	Gasoline RBOB Futures^	6/2014	USD		(7,944,552	)		(645,308	)
Merrill Lynch	Gasoline RBOB Futures^	7/2014	USD		13,493,063			822,536
Merrill Lynch	Gasoline RBOB Futures^	7/2014	USD		(13,786,416	)		(529,212	)
Merrill Lynch	Gasoline RBOB Futures^	8/2014	USD		12,692,828			435,116

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

AQR Funds Semi-Annual Report June 2014 91

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Merrill Lynch	Gasoline RBOB Futures^	8/2014	USD		(4,316,302	)		$24,444
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		26,712,930			520,153
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		(4,030,960	)		(199,395	)
Morgan Stanley and Co., International PLC	H-SHARES Index Futures	7/2014	HKD		35,434,116			53,266
Merrill Lynch	Lean Hogs Futures^	7/2014	USD		3,415,296			192,772
Merrill Lynch	Lean Hogs Futures^	7/2014	USD		(3,404,184	)		(203,883	)
Merrill Lynch	Lean Hogs Futures^	8/2014	USD		3,527,988			84,852
Merrill Lynch	Live Cattle Futures^	8/2014	USD		14,701,064			1,026,796
CitiBank	LME Aluminum Futures^	9/2014	USD		13,033,694			626,975
CitiBank	LME Aluminum Futures^	9/2014	USD		(13,189,313	)		(471,356	)
CitiBank	LME Aluminum Futures^	12/2014	USD		9,583,950			18,825
CitiBank	LME Aluminum Futures^	12/2014	USD		(2,204,400	)		6,750
CitiBank	LME Copper Futures^	9/2014	USD		25,082,813			554,788
CitiBank	LME Copper Futures^	9/2014	USD		(24,307,088	)		(1,330,513	)
CitiBank	LME Copper Futures^	12/2014	USD		20,725,950			992,650
CitiBank	LME Copper Futures^	12/2014	USD		(3,547,850	)		(130,300	)
CitiBank	LME Lead Futures^	9/2014	USD		1,585,275			41,850
CitiBank	LME Lead Futures^	9/2014	USD		(1,584,625	)		(42,500	)
CitiBank	LME Lead Futures^	12/2014	USD		1,183,087			19,488
CitiBank	LME Nickel Futures^	9/2014	USD		3,078,036			691,290
CitiBank	LME Nickel Futures^	9/2014	USD		(3,767,520	)		(1,806	)
CitiBank	LME Nickel Futures^	12/2014	USD		3,642,336			21,024
CitiBank	LME Nickel Futures^	12/2014	USD		(229,320	)		360
CitiBank	LME Zinc Futures^	9/2014	USD		7,960,825			641,675
CitiBank	LME Zinc Futures^	9/2014	USD		(8,010,175	)		(592,325	)
CitiBank	LME Zinc Futures^	12/2014	USD		5,367,400			205,100
Morgan Stanley and Co., International PLC	MSCI Taiwan Stock Index Futures	7/2014	USD		9,660,081			178,959
Merrill Lynch	Natural Gas Swap Futures^	7/2014	USD		9,238,260			(638,550	)
Merrill Lynch	Natural Gas Swap Futures^	7/2014	USD		(8,843,920	)		244,670
Merrill Lynch	Natural Gas Swap Futures^	8/2014	USD		6,975,150			(270,750	)
Merrill Lynch	Heating Oil ULSD Futures^	6/2014	USD		11,523,561			310,957
Merrill Lynch	Heating Oil ULSD Futures^	6/2014	USD		(11,386,032	)		(448,483	)
Merrill Lynch	Heating Oil ULSD Futures^	7/2014	USD		13,087,074			408,844
Merrill Lynch	Heating Oil ULSD Futures^	7/2014	USD		(13,128,318	)		(367,604	)
Merrill Lynch	Heating Oil ULSD Futures^	8/2014	USD		12,187,850			225,859
Morgan Stanley and Co., International PLC	SGX S&P CNX Nifty Index Futures	7/2014	USD		3,597,089			48,378
Barclays Capital	Silver Futures^	9/2014	USD		12,517,070			11,250
Merrill Lynch	Soybean Futures^	11/2014	USD		16,250,712			(801,142	)
Merrill Lynch	Soybean Futures^	11/2014	USD		(7,280,725	)		394,972
Deutsche Bank	Soybean Meal Futures^	12/2014	USD		5,211,697			(398,757	)
Deutsche Bank	Soybean Meal Futures^	12/2014	USD		(1,013,888	)		58,648
CitiBank	Soybean Oil Futures^	12/2014	USD		2,120,236			(6,136	)
CitiBank	Sugar #11 (World Markets) Futures^	9/2014	USD		9,666,244			116,729
CitiBank	Sugar #11 (World Markets) Futures^	9/2014	USD		(1,359,103	)		7,629
Morgan Stanley and Co., International PLC	Swiss Market Index Futures	9/2014	CHF		5,798,669			(80,110	)
Morgan Stanley and Co., International PLC	Taiwan Stock Exchange Futures	7/2014	TWD		5,450,608			4,123
Bank of America	U.S. Treasury 10-Year Note Futures	9/2014	USD		512,242,517			962,171
CitiBank	Wheat Futures^	9/2014	USD		8,638,577			(1,592,582	)
CitiBank	Wheat Futures^	9/2014	USD		(7,642,302	)		596,616
CitiBank	Wheat Futures^	12/2014	USD		6,542,730			(499,905	)

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

92 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Wheat Futures^	12/2014	USD		(660,364	)		$32,169
Merrill Lynch	WTI Crude Oil Futures^	7/2014	USD		42,189,200			3,119,665
Merrill Lynch	WTI Crude Oil Futures^	7/2014	USD		(44,339,670	)		(969,353	)
Merrill Lynch	WTI Crude Oil Futures^	8/2014	USD		49,170,980			785,230
								$6,651,961

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank, Morgan Stanley and Co., International PLC and Merrill Lynch for total return swap contracts in the amount of $2,081, $2,762,143, $5,550,000, $200,005, $9,501,566 and $16,720,150, respectively at June 30, 2014. Additional cash held as collateral for Bank of America for total return swap contracts in the amount of $1,690,000 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
24	Goldman Sachs	Lean Hogs Futures^		8/2014		$1,249,699		$1,275,120		$25,421
9	Goldman Sachs	Live Cattle Futures^		8/2014		861,805		957,488		95,683
72	Barclays Capital	Amsterdam Index Futures		7/2014		8,190,363		8,148,430		(41,933	)
140	Barclays Capital	CAC40 Index Futures		7/2014		8,675,101		8,477,063		(198,038	)
26	Barclays Capital	DAX Index Futures		9/2014		8,841,097		8,775,398		(65,699	)
69	Barclays Capital	E-Mini Russell 2000 Futures		9/2014		7,977,832		8,213,070		235,238
577	Barclays Capital	Euro Stoxx 50 Index		9/2014		25,838,286		25,535,583		(302,703	)
223	Barclays Capital	FTSE 100 Index Futures		9/2014		25,646,260		25,612,008		(34,252	)
214	J.P. Morgan	FTSE/JSE Top 40 Index Futures		9/2014		9,268,509		9,270,315		1,806
10	Barclays Capital	FTSE/MIB Index Futures		9/2014		1,501,480		1,458,510		(42,970	)
54	Barclays Capital	Hang Seng Index Futures		7/2014		7,954,312		8,048,720		94,408
168	Barclays Capital	H-SHARES Index Futures		7/2014		10,966,073		11,100,433		134,360
37	Barclays Capital	IBEX 35 Index Futures		7/2014		5,532,216		5,499,841		(32,375	)
100	Barclays Capital	KOSPI Index 200 Futures		9/2014		13,007,180		12,878,039		(129,141	)
88	Barclays Capital	MSCI Taiwan Stock Index Futures		7/2014		2,876,069		2,925,120		49,051
1,412	Barclays Capital	S&P 500 E-Mini Futures		9/2014		136,016,957		137,839,440		1,822,483
74	Barclays Capital	S&P MID 400 E-Mini Futures		9/2014		10,337,127		10,576,821		239,694
96	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		9/2014		15,389,618		15,541,015		151,397
177	Barclays Capital	SGX S&P CNX Nifty Index Futures		7/2014		2,688,253		2,699,781		11,528
54	Barclays Capital	SPI 200 Index Futures		9/2014		6,815,331		6,815,548		217
157	Barclays Capital	TOPIX Index Futures		9/2014		19,184,403		19,565,915		381,512
146	J.P. Morgan	Australia 10-Year Bond Futures		9/2014		16,277,197		16,585,508		308,311
						$345,095,168		$347,799,166		$2,703,998

Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $16,411,835 and $675,033, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2)

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

AQR Funds Semi-Annual Report June 2014 93

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		41,949,000		$18,088,576		$18,566,517		$477,941
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		41,949,000		18,088,486		18,566,517		478,031
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		188,000		172,660		175,845		3,185
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		11,500		12,848		12,976		128
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		270,500		301,472		305,233		3,761
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		2,944,000		146,281		147,000		719
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		2,944,000		146,282		147,000		718
Euro, Expiring 09/17/14	Credit Suisse International	EUR		6,146,000		8,357,351		8,418,193		60,842
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		19,887,387		27,105,980		27,239,809		133,829
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		2,230,377		3,763,333		3,814,606		51,273
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		789,500		101,849		101,825		(24)
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		1,529,500		197,312		197,266		(46)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		79,134,000		22,845,253		23,051,076		205,823
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		79,134,000		22,847,006		23,051,076		204,070
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		5,215,000		51,019		51,507		488
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		19,950,837,000		19,468,993		19,656,263		187,270
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		19,950,836,999		19,468,875		19,656,263		187,388
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		298,881,000		22,944,893		22,914,728		(30,165)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		298,881,000		22,945,030		22,914,728		(30,302)
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		22,414,000		17,851,840		17,976,314		124,474
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		22,414,000		17,851,920		17,976,314		124,394
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		34,667,000		16,141,858		16,103,289		(38,569)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		34,667,000		16,141,438		16,103,289		(38,149)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		497,290,500		16,605,736		16,671,771		66,035
Taiwanese Dollar, Expiring 09/17/14*	The Royal Bank of Scotland	TWD		497,290,500		16,605,717		16,671,770		66,053
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		122,297,499		11,287,223		11,350,306		63,083

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

94 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		137,777,500		$12,726,354			$12,786,989		$60,635
						$332,265,585			$334,628,470		$2,362,885
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		(13,500)		$(12,419)			$(12,659)		$(240)
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		(13,500)		(12,419)			(12,659)		(240)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		(2,274,000)		(975,693)			(1,006,466)		(30,773)
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		(2,274,000)		(975,678)			(1,006,466)		(30,788)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(2,500)		(2,289)			(2,338)		(49)
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		(6,500)		(5,941)			(6,079)		(138)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(83,245,860)		(113,308,357)			(114,022,091)		(713,734)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(89,421,038)		(121,696,441)			(122,480,249)		(783,808)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(10,616,095)		(17,789,458)			(18,156,670)		(367,212)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(12,182,100)		(20,446,199)			(20,835,002)		(388,803)
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		(4,053,001)		(18,079)			(17,867)		212
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		(4,053,001)		(18,079)			(17,867)		212
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		(8,977,500)		(2,585,304	)		(2,615,071)		(29,767)
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		(8,977,500)		(2,585,275)			(2,615,071)		(29,796)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(58,210,000)		(568,692)			(574,927)		(6,235)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		(58,855,000)		(574,999)			(581,298)		(6,299)
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		(2,084,452,500)		(2,033,492)			(2,053,676)		(20,184)
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		(2,084,452,500)		(2,033,461)			(2,053,676)		(20,215)
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		(76,211,500)		(5,803,796)			(5,843,014)		(39,218)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		(76,211,500)		(5,803,479)			(5,843,014)		(39,535)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		(2,000)		(655)			(655)		—
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		(2,000)		(657)			(655)		2
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		(1,824,500)		(1,452,147)			(1,463,272)		(11,125)

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

AQR Funds Semi-Annual Report June 2014 95

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		(1,824,500)		$(1,452,167)		$(1,463,272)		$(11,105)
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		(6,560,500)		(3,021,773)		(3,047,440)		(25,667)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		(6,560,500)		(3,022,310)		(3,047,440)		(25,130)
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		(52,252,500)		(4,800,046)		(4,849,500)		(49,454)
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		(52,252,500)		(4,800,027)		(4,849,500)		(49,473)
						(315,799,332)		(318,477,894)		(2,678,562)
						$16,466,253		$16,150,576		$(315,677)

Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $2 and $5,267,173, respectively at June 30, 2014. Additional cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $330,000 at June 30, 2014.

* Non deliverable forward. See Note 3 in the Notes to Financial Statements.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

96 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II MV FUND

GOVERNMENT RELATED OBLIGATIONS - 19.5%	INTEREST RATE			MATURITY DATE		CURRENCY	PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Sovereign Debt - 19.5%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23	EUR	$	3,011	$	4,261,512
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.750	%		04/15/18	EUR		1,705		2,457,925
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20	EUR		1,098		1,709,554
France Government Bond OAT (France)		0.250	%		07/25/18	EUR		834		1,184,744
France Government Bond OAT (France)		0.250	%		07/25/24	EUR		204		282,921
France Government Bond OAT (France)		1.100	%		07/25/22	EUR		653		984,604
France Government Bond OAT (France)		1.300	%		07/25/19	EUR		1,817		2,735,973
France Government Bond OAT (France)		2.100	%		07/25/23	EUR		220		360,525
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24	GBP		633		1,120,099
United Kingdom Treasury Gilt (United Kingdom)		1.875	%		11/22/22	GBP		1,865		3,828,443
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $18,361,958)										18,926,300
U.S. TREASURY OBLIGATIONS - 34.0%
U.S. Treasury Inflation Protected Securities - 34.0%
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/18	USD		7,300		7,733,489
U.S. Treasury Inflation Protected Securities		0.125	%		01/15/22	USD		3,200		3,374,067
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/22	USD		3,100		3,217,543
U.S. Treasury Inflation Protected Securities		0.125	%		01/15/23	USD		2,900		2,968,292
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/23	USD		2,800		2,907,653
U.S. Treasury Inflation Protected Securities		1.375	%		07/15/18	USD		1,500		1,801,883
U.S. Treasury Inflation Protected Securities		1.625	%		01/15/18	USD		3,400		4,196,526
U.S. Treasury Inflation Protected Securities		2.125	%		01/15/19	USD		1,400		1,741,047
U.S. Treasury Inflation Protected Securities		2.625	%		07/15/17	USD		3,900		4,993,940
TOTAL U.S. TREASURY OBLIGATIONS (cost $32,547,673)										32,934,440
MONEY MARKET FUNDS - 35.0%							SHARES
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (a)^								657,618		657,618
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^								2,630,471		2,630,471
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^								27,369,623		27,369,623
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^								3,288,088		3,288,088
TOTAL MONEY MARKET FUNDS (cost $33,945,800)										33,945,800
SHORT-TERM INVESTMENTS - 6.4%							PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bills, 0.060%, 07/31/2014 (c)							$	1,469		1,468,972
U.S. Treasury Bills, 0.060%, 07/31/2014 (c)^								901		900,783
U.S. Treasury Bills, 0.062%, 08/07/2014 (c)								2,945		2,944,685
U.S. Treasury Bills, 0.062%, 08/07/2014 (c)^								901		900,796
TOTAL SHORT-TERM INVESTMENTS (cost $6,214,938)										6,215,236
TOTAL INVESTMENTS - 94.9% (cost $91,070,369)									$	92,021,776
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1% (d)										4,973,307
NET ASSETS - 100.0%									$	96,995,083

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

(a) Represents annualized seven-day yield as of June 30, 2014.

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

(c) The rate shown is the effective yield at the date of purchase.

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

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820 (See Note 5).

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

AQR Funds Semi-Annual Report June 2014 97

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II MV FUND

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond	9/2014	CAD		269,695			$2,104
Goldman Sachs	Bovespa Index	8/2014	BRL		3,332,876			(50,435	)
Deutsche Bank	Brent Crude Futures^	9/2014	USD		4,885,660			(83,420	)
Deutsche Bank	Brent Crude Futures^	7/2014	USD		4,585,630			245,850
Deutsche Bank	Brent Crude Futures^	7/2014	USD		(4,640,990	)		(190,490	)
Deutsche Bank	Brent Crude Futures^	8/2014	USD		5,167,770			211,590
Deutsche Bank	Brent Crude Futures^	8/2014	USD		(5,472,950	)		93,590
CitiBank	Cocoa Futures^	9/2014	USD		339,620			4,350
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		256,024			6,626
CitiBank	Corn Futures^	12/2014	USD		360,308			(20,108	)
CitiBank	Corn Futures^	9/2014	USD		406,089			(71,067	)
CitiBank	Corn Futures^	9/2014	USD		(358,000	)		22,993
CitiBank	Cotton No. 2 Futures^	12/2014	USD		156,840			(9,820	)
Bank of America	Euro - Bund Futures	9/2014	EUR		1,469,608			676
Deutsche Bank	Gas Oil Futures^	9/2014	USD		2,157,400			(35,650	)
Deutsche Bank	Gas Oil Futures^	7/2014	USD		1,965,875			47,125
Deutsche Bank	Gas Oil Futures^	7/2014	USD		(1,950,250	)		(62,750	)
Deutsche Bank	Gas Oil Futures^	8/2014	USD		2,143,775			61,225
Deutsche Bank	Gas Oil Futures^	8/2014	USD		(2,236,750	)		31,750
Deutsche Bank	Gasoline RBOB Futures^	8/2014	USD		1,586,521			54,482
Deutsche Bank	Gasoline RBOB Futures^	8/2014	USD		(383,118	)		4,425
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		1,806,319			110,960
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		(1,843,909	)		(73,370	)
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		1,572,130			14,270
Goldman Sachs	H-SHARES Index Futures	7/2014	HKD		10,623,460			16,854
Deutsche Bank	Lean Hogs Futures^	8/2014	USD		364,618			7,292
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		348,420			23,000
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		(351,820	)		(19,600	)
Deutsche Bank	Live Cattle Futures^	8/2014	USD		1,773,018			147,942
CitiBank	LME Aluminum Futures^	12/2014	USD		144,750			(1,425	)
CitiBank	LME Aluminum Futures^	9/2014	USD		132,844			8,963
CitiBank	LME Aluminum Futures^	9/2014	USD		(143,775	)		1,970
CitiBank	LME Copper Futures^	12/2014	USD		668,400			32,200
CitiBank	LME Copper Futures^	9/2014	USD		693,088			9,313
CitiBank	LME Copper Futures^	9/2014	USD		(669,000	)		(33,400	)
CitiBank	LME Lead Futures^	12/2014	USD		53,813			850
CitiBank	LME Lead Futures^	9/2014	USD		54,600			(362	)
CitiBank	LME Lead Futures^	9/2014	USD		(53,550	)		(688	)
CitiBank	LME Zinc Futures^	9/2014	USD		(53,375	)		(2,125	)
CitiBank	LME Zinc Futures^	12/2014	USD		53,669			2,056
CitiBank	LME Zinc Futures^	9/2014	USD		51,025			4,475
Bank of America	Long Gilt Futures	9/2014	GBP		110,095			(302	)
Goldman Sachs	MSCI Taiwan Stock Index Futures	7/2014	USD		1,468,632			27,168
Deutsche Bank	Natural Gas Swap Futures^	8/2014	USD		1,021,140			(44,340	)
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		1,243,470			(83,610	)
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		(1,194,020	)		34,160
Deutsche Bank	Heating Oil ULSD Futures^	8/2014	USD		1,601,250			28,833

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

98 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II MV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		1,697,766			$51,710
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		(1,703,071	)		(46,406	)
Goldman Sachs	SGX S&P CNX Nifty Index Futures	7/2014	USD		527,829			6,026
Barclays Capital	Silver Futures^	9/2014	USD		105,500			(220	)
Deutsche Bank	Soybean Futures^	11/2014	USD		791,784			(39,572	)
CitiBank	Soybean Meal Futures^	12/2014	USD		316,483			(22,563	)
CitiBank	Soybean Oil Futures^	12/2014	USD		281,210			670
CitiBank	Sugar #11 (World Markets) Futures^	9/2014	USD		160,406			963
Goldman Sachs	Swiss Market Index Futures	9/2014	CHF		518,435			(6,231	)
Goldman Sachs	Taiwan Stock Exchange Futures	7/2014	TWD		3,645,434			2,359
Bank of America	U.S. Treasury 10-Year Note Futures	9/2014	USD		33,887,963			33,615
CitiBank	Wheat Futures^	12/2014	USD		356,287			(27,250	)
CitiBank	Wheat Futures^	9/2014	USD		391,410			(73,762	)
CitiBank	Wheat Futures^	9/2014	USD		(343,613	)		25,979
Deutsche Bank	WTI Crude Oil Futures^	8/2014	USD		6,490,920			107,070
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		5,003,520			370,350
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		(5,259,820	)		(114,050	)
								$742,818

Money Market Fund is pledged as collateral to Bank of America, CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $60,000, $340,000, $1,500,000, and $1,350,000, respectively at June 30, 2014. Additional cash held as collateral for total return swap contracts for Barclays Capital was $20,000 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Goldman Sachs	Cocoa Futures^		9/2014		$30,883		$31,270		$387
6	Goldman Sachs	Coffee ‘C’ Futures^		9/2014		388,566		393,975		5,409
33	Goldman Sachs	Corn Futures^		12/2014		740,365		701,663		(38,702)
4	Goldman Sachs	Cotton No. 2 Futures^		12/2014		154,919		147,020		(7,899)
12	Goldman Sachs	Gold 100 OZ Futures^		8/2014		1,544,289		1,586,400		42,111
6	Goldman Sachs	Lean Hogs Futures^		8/2014		312,970		318,780		5,810
1	Goldman Sachs	Live Cattle Futures^		8/2014		95,416		106,387		10,971
4	Goldman Sachs	Live Cattle Futures^		8/2014		242,883		240,120		(2,763)
3	J.P. Morgan	LME Aluminum Futures^		7/2014		137,347		139,293		1,946
1	J.P. Morgan	LME Aluminum Futures^		7/2014		46,782		46,518		(264)
12	J.P. Morgan	LME Aluminum Futures^		7/2014		566,707		559,963		(6,744)
1	J.P. Morgan	LME Aluminum Futures^		7/2014		46,127		46,711		584
5	J.P. Morgan	LME Aluminum Futures^		8/2014		223,261		233,789		10,528
2	J.P. Morgan	LME Aluminum Futures^		8/2014		88,304		93,680		5,376
2	J.P. Morgan	LME Aluminum Futures^		8/2014		89,804		93,845		4,041
3	J.P. Morgan	LME Aluminum Futures^		8/2014		133,056		140,943		7,887
7	J.P. Morgan	LME Aluminum Futures^		8/2014		320,015		329,412		9,397
8	J.P. Morgan	LME Aluminum Futures^		9/2014		368,982		377,088		8,106
1	J.P. Morgan	LME Aluminum Futures^		9/2014		47,441		47,191		(250)
4	J.P. Morgan	LME Aluminum Futures^		9/2014		186,502		188,854		2,352
36	J.P. Morgan	LME Aluminum Futures^		9/2014		1,662,191		1,701,675		39,484
2	J.P. Morgan	LME Aluminum Futures^		9/2014		94,254		94,539		285

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

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Consolidated Schedule of Investments June 30, 2014 (Unaudited)

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
3	J.P. Morgan	LME Aluminum Futures^		9/2014		$142,131		$141,816		$ (315)
1	J.P. Morgan	LME Aluminum Futures^		9/2014		47,513		47,273		(240)
26	J.P. Morgan	LME Aluminum Futures^		12/2014		1,227,148		1,242,150		15,002
5	J.P. Morgan	LME Copper Futures^		7/2014		839,479		879,172		39,693
1	J.P. Morgan	LME Copper Futures^		7/2014		169,360		175,821		6,461
1	J.P. Morgan	LME Copper Futures^		8/2014		166,882		175,800		8,918
2	J.P. Morgan	LME Copper Futures^		8/2014		345,750		351,600		5,850
1	J.P. Morgan	LME Copper Futures^		8/2014		171,002		175,694		4,692
1	J.P. Morgan	LME Copper Futures^		8/2014		172,296		175,654		3,358
2	J.P. Morgan	LME Copper Futures^		9/2014		338,754		351,300		12,546
1	J.P. Morgan	LME Copper Futures^		9/2014		166,002		175,619		9,617
16	J.P. Morgan	LME Copper Futures^		9/2014		2,728,745		2,809,600		80,855
13	J.P. Morgan	LME Copper Futures^		12/2014		2,173,977		2,276,950		102,973
1	J.P. Morgan	LME Lead Futures^		7/2014		52,204		53,692		1,488
1	J.P. Morgan	LME Lead Futures^		7/2014		54,171		53,821		(350)
5	J.P. Morgan	LME Lead Futures^		9/2014		264,836		271,188		6,352
3	J.P. Morgan	LME Lead Futures^		12/2014		160,363		163,988		3,625
3	J.P. Morgan	LME Nickel Futures^		7/2014		333,696		341,842		8,146
1	J.P. Morgan	LME Nickel Futures^		8/2014		113,102		114,076		974
5	J.P. Morgan	LME Nickel Futures^		9/2014		518,549		571,110		52,561
4	J.P. Morgan	LME Nickel Futures^		12/2014		442,034		457,920		15,886
3	J.P. Morgan	LME Zinc Futures^		7/2014		155,369		165,850		10,481
3	J.P. Morgan	LME Zinc Futures^		8/2014		152,249		165,780		13,531
1	J.P. Morgan	LME Zinc Futures^		9/2014		52,840		55,460		2,620
17	J.P. Morgan	LME Zinc Futures^		9/2014		882,792		943,500		60,708
1	J.P. Morgan	LME Zinc Futures^		9/2014		53,580		55,481		1,901
14	J.P. Morgan	LME Zinc Futures^		12/2014		743,176		780,150		36,974
17	Goldman Sachs	Silver Futures^		9/2014		1,787,826		1,789,760		1,934
8	Goldman Sachs	Soybean Futures^		11/2014		490,700		462,900		(27,800)
8	Goldman Sachs	Soybean Meal Futures^		12/2014		319,125		293,920		(25,205)
4	Goldman Sachs	Soybean Oil Futures^		12/2014		95,136		93,960		(1,176)
51	Goldman Sachs	Sugar #11 (World Markets) Futures^		9/2014		1,008,990		1,028,732		19,742
14	Goldman Sachs	Wheat Futures^		12/2014		451,110		418,775		(32,335)
8	Barclays Capital	Amsterdam Index Futures		7/2014		910,002		905,381		(4,621)
23	Barclays Capital	CAC40 Index Futures		7/2014		1,422,483		1,392,660		(29,823)
4	Barclays Capital	DAX Index Futures		9/2014		1,359,895		1,350,061		(9,834)
14	Barclays Capital	E-Mini Russell 2000 Futures		9/2014		1,618,708		1,666,420		47,712
92	Barclays Capital	Euro Stoxx 50 Index		9/2014		4,119,308		4,071,531		(47,777)
27	Barclays Capital	FTSE 100 Index Futures		9/2014		3,104,737		3,101,006		(3,731)
24	J.P. Morgan	FTSE/JSE Top 40 Index Futures		9/2014		1,039,552		1,039,662		110
4	Barclays Capital	FTSE/MIB Index Futures		9/2014		600,592		583,404		(17,188)
3	Barclays Capital	Hang Seng Index Futures		7/2014		442,744		447,151		4,407
12	Barclays Capital	H-SHARES Index Futures		7/2014		783,291		792,888		9,597
5	Barclays Capital	IBEX 35 Index Futures		7/2014		747,802		743,222		(4,580)
12	Barclays Capital	KOSPI Index 200 Futures		9/2014		1,560,754		1,545,364		(15,390)
5	Barclays Capital	MSCI Taiwan Stock Index Futures		7/2014		163,480		166,201		2,721
199	Barclays Capital	S&P 500 E-Mini Futures		9/2014		19,163,655		19,426,380		262,725
14	Barclays Capital	S&P MID 400 E-Mini Futures		9/2014		1,955,672		2,001,020		45,348
8	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		9/2014		1,282,468		1,295,084		12,616
20	Barclays Capital	SGX S&P CNX Nifty Index Futures		7/2014		303,755		305,060		1,305
1	Barclays Capital	SPI 200 Index Futures		9/2014		126,243		126,214		(29)

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

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
25	Barclays Capital	TOPIX Index Futures		9/2014		$3,052,569		$3,115,591		$63,022
24	J.P. Morgan	Australia 10-Year Bond Futures		9/2014		2,674,985		2,726,385		51,400
29	J.P. Morgan	Canadian 10-Year Bond Futures		9/2014		3,662,203		3,695,628		33,425
95	J.P. Morgan	Euro - Bund Futures		9/2014		18,891,641		19,123,576		231,935
3	J.P. Morgan	Long Gilt Futures		9/2014		564,838		564,352		(486)
41	J.P. Morgan	Mini Japanese 10-Year Treasury Bond		9/2014		5,889,956		5,894,319		4,363
358	J.P. Morgan	U.S. Treasury 10-Year Note Futures		9/2014		44,783,614		44,811,532		27,918
						144,566,898		145,769,562		1,202,664
Short Contracts:
3	J.P. Morgan	LME Aluminum Futures^		7/2014		(136,644)		(139,294)		(2,650)
1	J.P. Morgan	LME Aluminum Futures^		7/2014		(46,748)		(46,519)		229
12	J.P. Morgan	LME Aluminum Futures^		7/2014		(563,375)		(559,962)		3,413
1	J.P. Morgan	LME Aluminum Futures^		7/2014		(46,723)		(46,711)		12
5	J.P. Morgan	LME Aluminum Futures^		8/2014		(223,133)		(233,788)		(10,655)
2	J.P. Morgan	LME Aluminum Futures^		8/2014		(88,397)		(93,680)		(5,283)
2	J.P. Morgan	LME Aluminum Futures^		8/2014		(89,753)		(93,845)		(4,092)
3	J.P. Morgan	LME Aluminum Futures^		8/2014		(133,179)		(140,944)		(7,765)
7	J.P. Morgan	LME Aluminum Futures^		8/2014		(320,235)		(329,411)		(9,176)
8	J.P. Morgan	LME Aluminum Futures^		9/2014		(369,383)		(377,088)		(7,705)
1	J.P. Morgan	LME Aluminum Futures^		9/2014		(47,448)		(47,191)		257
4	J.P. Morgan	LME Aluminum Futures^		9/2014		(186,492)		(188,854)		(2,362)
36	J.P. Morgan	LME Aluminum Futures^		9/2014		(1,635,036)		(1,701,675)		(66,639)
2	J.P. Morgan	LME Aluminum Futures^		9/2014		(94,082)		(94,539)		(457)
3	J.P. Morgan	LME Aluminum Futures^		9/2014		(140,625)		(141,816)		(1,191)
1	J.P. Morgan	LME Aluminum Futures^		9/2014		(47,348)		(47,273)		75
5	J.P. Morgan	LME Aluminum Futures^		12/2014		(238,727)		(238,875)		(148)
5	J.P. Morgan	LME Copper Futures^		7/2014		(841,864)		(879,172)		(37,308)
1	J.P. Morgan	LME Copper Futures^		7/2014		(169,123)		(175,821)		(6,698)
1	J.P. Morgan	LME Copper Futures^		8/2014		(167,798)		(175,800)		(8,002)
2	J.P. Morgan	LME Copper Futures^		8/2014		(345,746)		(351,600)		(5,854)
1	J.P. Morgan	LME Copper Futures^		8/2014		(171,625)		(175,694)		(4,069)
1	J.P. Morgan	LME Copper Futures^		8/2014		(172,498)		(175,654)		(3,156)
2	J.P. Morgan	LME Copper Futures^		9/2014		(340,038)		(351,300)		(11,262)
1	J.P. Morgan	LME Copper Futures^		9/2014		(166,434)		(175,619)		(9,185)
16	J.P. Morgan	LME Copper Futures^		9/2014		(2,670,491)		(2,809,600)		(139,109)
3	J.P. Morgan	LME Copper Futures^		12/2014		(503,956)		(525,450)		(21,494)
1	J.P. Morgan	LME Lead Futures^		7/2014		(52,273)		(53,693)		(1,420)
1	J.P. Morgan	LME Lead Futures^		7/2014		(54,398)		(53,821)		577
5	J.P. Morgan	LME Lead Futures^		9/2014		(262,164)		(271,187)		(9,023)
3	J.P. Morgan	LME Nickel Futures^		7/2014		(332,544)		(341,843)		(9,299)
1	J.P. Morgan	LME Nickel Futures^		8/2014		(114,054)		(114,077)		(23)
5	J.P. Morgan	LME Nickel Futures^		9/2014		(553,882)		(571,110)		(17,228)
3	J.P. Morgan	LME Zinc Futures^		7/2014		(155,694)		(165,850)		(10,156)
3	J.P. Morgan	LME Zinc Futures^		8/2014		(151,569)		(165,780)		(14,211)
1	J.P. Morgan	LME Zinc Futures^		9/2014		(52,498)		(55,461)		(2,963)
17	J.P. Morgan	LME Zinc Futures^		9/2014		(879,889)		(943,500)		(63,611)
1	J.P. Morgan	LME Zinc Futures^		9/2014		(53,748)		(55,481)		(1,733)
						(12,619,614)		(13,108,978)		(489,364)
						$131,947,284		$132,660,584		$713,300

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,994,032, $806,182 and $906,487, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

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

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Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		20,500		$22,901		$23,132		$231
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		52,500		58,728		59,241		513
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		516,034		704,302		706,812		2,510
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		542,000		69,914		69,904		(10)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		36,000		356		356		—
						$856,201		$859,445		$3,244
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(5,018,603)		$(6,830,885)		$(6,873,994)		$(43,109)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(5,630,868)		(7,662,386)		(7,712,615)		(50,229)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(1,402,633)		(2,350,401)		(2,398,919)		(48,518)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(1,512,718)		(2,534,258)		(2,587,197)		(52,939)
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		(116,000)		(14,965)		(14,961)		4
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		(116,000)		(14,965)		(14,961)		4
						(19,407,860)		(19,602,647)		(194,787)
						$(18,551,659)		$(18,743,202)		$(191,543)

Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $1 at June 30, 2014.

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

TWD - Taiwanese Dollar

USD - United States Dollar

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

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GOVERNMENT RELATED OBLIGATIONS - 29.1%	INTEREST RATE		MATURITY DATE		CURRENCY	PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Sovereign Debt - 29.1%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100%		04/15/23	EUR	$	2,180	$	3,085,923
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.750%		04/15/18	EUR		1,279		1,843,436
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750%		04/15/20	EUR		769		1,196,687
France Government Bond OAT (France)		0.250%		07/25/18	EUR		626		888,558
France Government Bond OAT (France)		0.250%		07/25/24	EUR		204		282,921
France Government Bond OAT (France)		1.100%		07/25/22	EUR		435		656,403
France Government Bond OAT (France)		1.300%		07/25/19	EUR		1,282		1,931,275
France Government Bond OAT (France)		2.100%		07/25/23	EUR		220		360,525
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125%		03/22/24	GBP		422		746,733
United Kingdom Treasury Gilt (United Kingdom)		1.875%		11/22/22	GBP		1,368		2,807,525
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $13,256,398)									13,799,986
U.S. TREASURY OBLIGATIONS - 50.2%
U.S. Treasury Inflation Protected Securities - 50.2%
U.S. Treasury Inflation Protected Securities (a)		0.125%		04/15/18	USD		5,300		5,614,725
U.S. Treasury Inflation Protected Securities (a)		0.125%		01/15/22	USD		2,300		2,425,111
U.S. Treasury Inflation Protected Securities (a)		0.125%		07/15/22	USD		2,200		2,283,418
U.S. Treasury Inflation Protected Securities (a)		0.125%		01/15/23	USD		2,100		2,149,453
U.S. Treasury Inflation Protected Securities (a)		0.375%		07/15/23	USD		2,000		2,076,895
U.S. Treasury Inflation Protected Securities (a)		1.375%		07/15/18	USD		1,100		1,321,381
U.S. Treasury Inflation Protected Securities (a)		1.625%		01/15/18	USD		2,500		3,085,680
U.S. Treasury Inflation Protected Securities (a)		2.125%		01/15/19	USD		1,000		1,243,605
U.S. Treasury Inflation Protected Securities (a)		2.625%		07/15/17	USD		2,800		3,585,393
TOTAL U.S. TREASURY OBLIGATIONS (cost $23,513,186)									23,785,661
MONEY MARKET FUNDS - 50.5%						SHARES
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (b)^							240,006		240,006
Dreyfus Treasury Cash Management, Class I, 0.010% (b)^							960,025		960,025
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)(c)^							21,488,638		21,488,638
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (b)^							1,200,031		1,200,031
TOTAL MONEY MARKET FUNDS (cost $23,888,700)									23,888,700
SHORT-TERM INVESTMENTS - 12.5%						PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.045%, 11/28/2014 (d)^						$	1,050		1,049,760
U.S. Treasury Bill, 0.052%, 12/04/2014 (d)^							1,050		1,049,772
U.S. Treasury Bill, 0.060%, 07/31/2014 (d)^							2,543		2,543,552
U.S. Treasury Bill, 0.062%, 08/07/2014 (d)							1,275		1,274,793
TOTAL SHORT-TERM INVESTMENTS (cost $5,917,768)									5,917,877
TOTAL INVESTMENTS - 142.3% (cost $66,576,052)									67,392,224
LIABILITIES IN EXCESS OF OTHER ASSETS - (42.3%) (e)									(20,041,558	)
NET ASSETS - 100.0%								$	47,350,666

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

(a) On June 30, 2014, securities valued at $23,785,661 were pledged as collateral for reverse repurchase agreements outstanding.

(b) Represents annualized seven-day yield as of June 30, 2014.

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

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

(d) The rate shown is the effective yield at the date of purchase.

(e) Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and reverse repurchase agreements.

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820 (See Note 5).

The following abbreviations are used in portfolio descriptions:

EUR - Euro

GBP - British Pound

USD - United States Dollar

Reverse repurchase agreements at June 30, 2014:

COUNTERPARTY	TRADE DATE		RATE		DUE DATE		PRINCIPAL AMOUNT OF REVERSE REPURCHASE AGREEMENT
Barclays Capital		6/20/2014		0.14%		7/16/2014		$412,250
Barclays Capital		6/13/2014		0.15%		7/16/2014		4,090,625
BNP Paribas Corp.		6/18/2014		0.15%		7/16/2014		8,915,250
BNP Paribas Corp.		6/20/2014		0.15%		7/16/2014		128,125
BNP Paribas Corp.		6/27/2014		0.16%		7/16/2014		123,125
CitiBank		6/18/2014		0.13%		7/16/2014		5,355,000
CitiBank		6/20/2014		0.13%		7/16/2014		211,250
JP Morgan Securities, Inc.		6/18/2014		0.13%		7/16/2014		3,840,250
JP Morgan Securities, Inc.		6/20/2014		0.13%		7/16/2014		407,500
								$23,483,375

Cash held as collateral for Barclays Capital for open reverse repurchase agreements was $90,000 at June 30, 2014.

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond	9/2014	CAD		405,729		$2,054
Goldman Sachs	Bovespa Index	8/2014	BRL		2,221,802		(33,572)
Deutsche Bank	Brent Crude Futures^	7/2014	USD		3,416,940		178,580
Deutsche Bank	Brent Crude Futures^	7/2014	USD		(3,453,760)		(141,760)
Deutsche Bank	Brent Crude Futures^	8/2014	USD		3,655,080		155,300
Deutsche Bank	Brent Crude Futures^	8/2014	USD		(3,871,690)		61,310
Deutsche Bank	Brent Crude Futures^	9/2014	USD		3,634,740		(60,980)
CitiBank	Cocoa Futures^	9/2014	USD		247,171		2,989
CitiBank	Coffee ‘C’ Futures^	9/2014	USD		193,873		3,114
CitiBank	Corn Futures^	12/2014	USD		622,400		(73,766)
CitiBank	Corn Futures^	12/2014	USD		(290,875)		18,682
CitiBank	Cotton No. 2 Futures^	12/2014	USD		117,630		(7,358)
CitiBank	Cotton No. 2 Futures^	12/2014	USD		(37,318)		562
Bank of America	Euro - Bund Futures	9/2014	EUR		1,761,953		2,963
Deutsche Bank	Gas Oil Futures^	7/2014	USD		1,430,505		33,495
Deutsche Bank	Gas Oil Futures^	7/2014	USD		(1,418,650)		(45,350	)
Deutsche Bank	Gas Oil Futures^	8/2014	USD		1,520,325		41,550
Deutsche Bank	Gas Oil Futures^	8/2014	USD		(1,587,800)		25,925
Deutsche Bank	Gas Oil Futures^	9/2014	USD		1,594,600		(26,350)
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		1,324,008		81,997

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

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Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		(1,353,038)		$(52,966)
Deutsche Bank	Gasoline RBOB Futures^	8/2014	USD		1,097,901		38,178
Deutsche Bank	Gasoline RBOB Futures^	8/2014	USD		(382,117)		3,424
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		1,174,120		15,680
Goldman Sachs	H-SHARES Index Futures	7/2014	HKD		4,047,032		6,420
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		301,740		16,620
Deutsche Bank	Lean Hogs Futures^	7/2014	USD		(300,920)		(17,440)
Deutsche Bank	Lean Hogs Futures^	8/2014	USD		311,630		7,150
Deutsche Bank	Live Cattle Futures^	8/2014	USD		787,780		52,640
CitiBank	LME Aluminum Futures^	9/2014	USD		177,125		11,950
CitiBank	LME Aluminum Futures^	9/2014	USD		(191,700)		2,625
CitiBank	LME Aluminum Futures^	12/2014	USD		193,000		(1,900)
CitiBank	LME Copper Futures^	9/2014	USD		520,688		6,112
CitiBank	LME Copper Futures^	9/2014	USD		(501,750)		(25,050)
CitiBank	LME Copper Futures^	12/2014	USD		501,300		24,150
CitiBank	LME Nickel Futures^	12/2014	USD		111,972		2,508
CitiBank	LME Zinc Futures^	9/2014	USD		205,550		16,450
CitiBank	LME Zinc Futures^	9/2014	USD		(213,500)		(8,500)
CitiBank	LME Zinc Futures^	12/2014	USD		214,675		8,225
Bank of America	Long Gilt Futures	9/2014	GBP		220,191		(603)
Goldman Sachs	MSCI Taiwan Stock Index Futures	7/2014	USD		783,251		14,509
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		860,820		(57,840)
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		(826,590)		23,610
Deutsche Bank	Natural Gas Swap Futures^	8/2014	USD		741,890		(31,490)
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		1,213,187		36,439
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		(1,216,081)		(33,545)
Deutsche Bank	Heating Oil ULSD Futures^	8/2014	USD		1,235,917		17,993
Goldman Sachs	SGX S&P CNX Nifty Index Futures	7/2014	USD		331,933		3,633
Barclays Capital	Silver Futures^	9/2014	USD		210,180		380
Deutsche Bank	Soybean Futures^	11/2014	USD		731,039		(36,689)
CitiBank	Soybean Meal Futures^	12/2014	USD		237,422		(16,982)
CitiBank	Soybean Oil Futures^	12/2014	USD		232,382		2,518
Goldman Sachs	Swiss Market Index Futures	9/2014	CHF		345,624		(4,154)
Goldman Sachs	Taiwan Stock Exchange Futures	7/2014	TWD		9,108,501		6,067
Bank of America	U.S. Treasury 10-Year Note Futures	9/2014	USD		44,499,547		61,640
CitiBank	Wheat Futures^	9/2014	USD		498,147		(93,868)
CitiBank	Wheat Futures^	9/2014	USD		(437,325)		33,065
CitiBank	Wheat Futures^	12/2014	USD		453,456		(34,682)
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		3,629,990		268,700
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		(3,815,430)		(83,260)
Deutsche Bank	WTI Crude Oil Futures^	8/2014	USD		4,743,500		74,080
							$475,182

Money Market Fund is pledged as collateral to CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $280,000, $1,200,001 and 830,000, respectively at June 30, 2014. Additional cash held as collateral for Barclays Capital for total return swap contracts was $100,000 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

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

AQR Funds Semi-Annual Report June 2014 105

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II HV FUND

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Goldman Sachs	Cocoa Futures^	9/2014		$30,883		$31,270		$387
4	Goldman Sachs	Coffee ‘C’ Futures^	9/2014		260,302		262,650		2,348
22	Goldman Sachs	Corn Futures^	12/2014		493,899		467,775		(26,124	)
3	Goldman Sachs	Cotton No. 2 Futures^	12/2014		116,365		110,265		(6,100	)
9	Goldman Sachs	Gold 100 OZ Futures^	8/2014		1,163,691		1,189,800		26,109
4	Goldman Sachs	Lean Hogs Futures^	8/2014		207,523		212,520		4,997
13	Goldman Sachs	Live Cattle Futures^	8/2014		740,373		780,390		40,017
4	J.P. Morgan	LME Aluminum Futures^	7/2014		183,130		185,725		2,595
1	J.P. Morgan	LME Aluminum Futures^	7/2014		46,782		46,518		(264	)
2	J.P. Morgan	LME Aluminum Futures^	8/2014		89,304		93,515		4,211
1	J.P. Morgan	LME Aluminum Futures^	8/2014		44,152		46,840		2,688
2	J.P. Morgan	LME Aluminum Futures^	8/2014		89,804		93,845		4,041
4	J.P. Morgan	LME Aluminum Futures^	8/2014		182,866		188,235		5,369
7	J.P. Morgan	LME Aluminum Futures^	9/2014		322,859		329,952		7,093
3	J.P. Morgan	LME Aluminum Futures^	9/2014		139,877		141,641		1,764
23	J.P. Morgan	LME Aluminum Futures^	9/2014		1,047,048		1,087,181		40,133
2	J.P. Morgan	LME Aluminum Futures^	9/2014		94,254		94,539		285
2	J.P. Morgan	LME Aluminum Futures^	9/2014		94,904		94,543		(361	)
17	J.P. Morgan	LME Aluminum Futures^	12/2014		801,636		812,175		10,539
1	J.P. Morgan	LME Copper Futures^	7/2014		166,079		176,010		9,931
1	J.P. Morgan	LME Copper Futures^	8/2014		166,882		175,800		8,918
2	J.P. Morgan	LME Copper Futures^	8/2014		345,750		351,600		5,850
1	J.P. Morgan	LME Copper Futures^	8/2014		171,002		175,694		4,692
1	J.P. Morgan	LME Copper Futures^	8/2014		172,296		175,654		3,358
1	J.P. Morgan	LME Copper Futures^	9/2014		169,377		175,650		6,273
1	J.P. Morgan	LME Copper Futures^	9/2014		166,002		175,619		9,617
12	J.P. Morgan	LME Copper Futures^	9/2014		2,052,106		2,107,200		55,094
1	J.P. Morgan	LME Copper Futures^	9/2014		167,625		175,483		7,858
10	J.P. Morgan	LME Copper Futures^	12/2014		1,670,459		1,751,500		81,041
2	J.P. Morgan	LME Lead Futures^	9/2014		105,873		108,475		2,602
2	J.P. Morgan	LME Lead Futures^	12/2014		106,973		109,325		2,352
3	J.P. Morgan	LME Nickel Futures^	9/2014		281,634		342,666		61,032
3	J.P. Morgan	LME Nickel Futures^	12/2014		330,972		343,440		12,468
1	J.P. Morgan	LME Zinc Futures^	8/2014		50,750		55,260		4,510
1	J.P. Morgan	LME Zinc Futures^	8/2014		51,079		55,280		4,201
1	J.P. Morgan	LME Zinc Futures^	9/2014		52,840		55,460		2,620
10	J.P. Morgan	LME Zinc Futures^	9/2014		520,002		555,000		34,998
7	J.P. Morgan	LME Zinc Futures^	12/2014		370,614		390,076		19,462
10	Goldman Sachs	Silver Futures^	9/2014		1,049,919		1,052,800		2,881
4	Goldman Sachs	Soybean Futures^	11/2014		244,766		231,450		(13,316	)
5	Goldman Sachs	Soybean Meal Futures^	12/2014		199,154		183,700		(15,454	)
1	Goldman Sachs	Soybean Oil Futures^	12/2014		24,369		23,490		(879	)
43	Goldman Sachs	Sugar #11 (World Markets) Futures^	9/2014		851,968		867,361		15,393
4	Goldman Sachs	Wheat Futures^	12/2014		128,609		119,650		(8,959	)
6	Barclays Capital	Amsterdam Index Futures	7/2014		682,502		679,036		(3,466	)
16	Barclays Capital	CAC40 Index Futures	7/2014		990,921		968,807		(22,114	)
3	Barclays Capital	DAX Index Futures	9/2014		1,018,771		1,012,546		(6,225	)
10	Barclays Capital	E-Mini Russell 2000 Futures	9/2014		1,156,220		1,190,300		34,080
67	Barclays Capital	Euro Stoxx 50 Index	9/2014		3,000,701		2,965,137		(35,564	)
21	Barclays Capital	FTSE 100 Index Futures	9/2014		2,416,224		2,411,893		(4,331	)

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

106 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
18	J.P. Morgan	FTSE/JSE Top 40 Index Futures	9/2014		$779,698			$779,746			$48
3	Barclays Capital	FTSE/MIB Index Futures	9/2014		452,011			437,553			(14,458	)
3	Barclays Capital	Hang Seng Index Futures	7/2014		442,744			447,151			4,407
16	Barclays Capital	H-SHARES Index Futures	7/2014		1,044,714			1,057,184			12,470
3	Barclays Capital	IBEX 35 Index Futures	7/2014		448,819			445,933			(2,886	)
9	Barclays Capital	KOSPI Index 200 Futures	9/2014		1,170,566			1,159,024			(11,542	)
6	Barclays Capital	MSCI Taiwan Stock Index Futures	7/2014		195,822			199,440			3,618
145	Barclays Capital	S&P 500 E-Mini Futures	9/2014		13,965,056			14,154,900			189,844
10	Barclays Capital	S&P MID 400 E-Mini Futures	9/2014		1,396,909			1,429,300			32,391
5	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	9/2014		801,828			809,428			7,600
19	Barclays Capital	SGX S&P CNX Nifty Index Futures	7/2014		288,508			289,807			1,299
1	Barclays Capital	SPI 200 Index Futures	9/2014		126,088			126,214			126
18	Barclays Capital	TOPIX Index Futures	9/2014		2,194,038			2,243,226			49,188
18	J.P. Morgan	Australia 10-Year Bond Futures	9/2014		2,007,440			2,044,789			37,349
20	J.P. Morgan	Canadian 10-Year Bond Futures	9/2014		2,526,506			2,548,710			22,204
64	J.P. Morgan	Euro - Bund Futures	9/2014		12,720,194			12,883,251			163,057
1	J.P. Morgan	Long Gilt Futures	9/2014		188,279			188,117			(162	)
30	J.P. Morgan	Mini Japanese 10-Year Treasury Bond	9/2014		4,309,371			4,312,916			3,545
103	J.P. Morgan	U.S. Treasury 10-Year Note Futures	9/2014		12,878,225			12,892,703			14,478
					82,968,907			83,880,133			911,226
Short Contracts:
4	J.P. Morgan	LME Aluminum Futures^	7/2014		(182,192	)		(185,725	)		(3,533	)
1	J.P. Morgan	LME Aluminum Futures^	7/2014		(46,748	)		(46,519	)		229
2	J.P. Morgan	LME Aluminum Futures^	8/2014		(89,253	)		(93,515	)		(4,262	)
1	J.P. Morgan	LME Aluminum Futures^	8/2014		(44,198	)		(46,839	)		(2,641	)
2	J.P. Morgan	LME Aluminum Futures^	8/2014		(89,753	)		(93,845	)		(4,092	)
4	J.P. Morgan	LME Aluminum Futures^	8/2014		(182,992	)		(188,235	)		(5,243	)
7	J.P. Morgan	LME Aluminum Futures^	9/2014		(323,210	)		(329,952	)		(6,742	)
3	J.P. Morgan	LME Aluminum Futures^	9/2014		(139,869	)		(141,641	)		(1,772	)
23	J.P. Morgan	LME Aluminum Futures^	9/2014		(1,041,939	)		(1,087,181	)		(45,242	)
2	J.P. Morgan	LME Aluminum Futures^	9/2014		(94,082	)		(94,539	)		(457	)
2	J.P. Morgan	LME Aluminum Futures^	9/2014		(94,684	)		(94,544	)		140
4	J.P. Morgan	LME Aluminum Futures^	12/2014		(190,992	)		(191,100	)		(108	)
1	J.P. Morgan	LME Copper Futures^	7/2014		(166,073	)		(176,010	)		(9,937	)
1	J.P. Morgan	LME Copper Futures^	8/2014		(167,798	)		(175,800	)		(8,002	)
2	J.P. Morgan	LME Copper Futures^	8/2014		(345,746	)		(351,600	)		(5,854	)
1	J.P. Morgan	LME Copper Futures^	8/2014		(171,625	)		(175,694	)		(4,069	)
1	J.P. Morgan	LME Copper Futures^	8/2014		(172,498	)		(175,654	)		(3,156	)
1	J.P. Morgan	LME Copper Futures^	9/2014		(170,019	)		(175,650	)		(5,631	)
1	J.P. Morgan	LME Copper Futures^	9/2014		(166,434	)		(175,619	)		(9,185	)
12	J.P. Morgan	LME Copper Futures^	9/2014		(1,997,325	)		(2,107,200	)		(109,875	)
1	J.P. Morgan	LME Copper Futures^	9/2014		(167,998	)		(175,482	)		(7,484	)
2	J.P. Morgan	LME Copper Futures^	12/2014		(334,883	)		(350,300	)		(15,417	)
2	J.P. Morgan	LME Lead Futures^	9/2014		(106,296	)		(108,475	)		(2,179	)
3	J.P. Morgan	LME Nickel Futures^	9/2014		(330,024	)		(342,666	)		(12,642	)
1	J.P. Morgan	LME Zinc Futures^	8/2014		(50,523	)		(55,260	)		(4,737	)
1	J.P. Morgan	LME Zinc Futures^	8/2014		(50,748	)		(55,280	)		(4,532	)
1	J.P. Morgan	LME Zinc Futures^	9/2014		(52,498	)		(55,461	)		(2,963	)
10	J.P. Morgan	LME Zinc Futures^	9/2014		(514,141	)		(555,000	)		(40,859	)
					(7,484,541	)		(7,804,786	)		(320,245	)
					$75,484,366			$76,075,347			$590,981

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

AQR Funds Semi-Annual Report June 2014 107

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR RISK PARITY II HV FUND

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,502,747, $488,504 and $403,356, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		17,500		$19,550		$19,747		$197
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		52,500		58,740		59,241		501
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		241,211		329,439		330,387		948
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		210,000		27,089		27,085		(4)
						$434,818		$436,460		$1,642
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(3,673,931)		$(5,000,634)		$(5,032,194)		$(31,560)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(4,005,355)		(5,450,848)		(5,486,146)		(35,298)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(1,037,771)		(1,738,999)		(1,774,896)		(35,897)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(1,037,771)		(1,738,994)		(1,774,895)		(35,901)
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		(91,500)		(11,804)		(11,801)		3
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		(91,500)		(11,804)		(11,801)		3
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(6,000)		(59)		(60)		(1)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		(5,999)		(59)		(59)		—
						(13,953,201)		(14,091,852)		(138,651)
						$(13,518,383)		$(13,655,392)		$(137,009)

Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $10,001 at June 30, 2014.

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

JPY - Japanese Yen

TWD - Taiwanese Dollar

USD - United States Dollar

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

108 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

LONG INVESTMENTS - 126.3%	SHARES		VALUE (Note 3)
COMMON STOCKS - 53.9%
Belgium - 0.3%
Belgacom SA		36,665	$	1,217,158
Colruyt SA		1,437		72,987
Delhaize Group SA		8,594		581,532
Solvay SA		11,371		1,957,067
UCB SA		186		15,736
Umicore SA		27,822		1,294,613
				5,139,093
Brazil - 1.4%
Banco Bradesco SA ADR (1)(a)		174,860		2,538,967
Banco do Brasil SA (1)		208,600		2,341,381
Banco Santander Brasil SA (1)		2,315		15,842
BR Malls Participacoes SA (1)		30,100		256,112
BR Properties SA (1)		11,500		69,276
Braskem SA ADR (1)(a)		12,400		159,340
BRF SA ADR (1)(a)		27,600		670,956
Cia Brasileira de Distribuicao ADR (1)(a)		35,100		1,626,183
Cia Energetica de Minas Gerais ADR (1)(a)		263,477		2,105,181
Cielo SA (1)		92		1,897
Fibria Celulose SA ADR (1)†(a)		56,700		551,124
Gerdau SA ADR (1)(a)		296,900		1,748,741
Itau Unibanco Holding SA ADR (1)(a)		166,034		2,387,569
JBS SA (1)		354,093		1,206,753
Kroton Educacional SA (1)		45,900		1,289,853
Multiplan Empreendimentos Imobiliarios SA (1)		5,700		133,116
Petroleo Brasileiro SA ADR (1)(a)		114,000		1,782,960
Porto Seguro SA (1)		111,100		1,586,927
Tim Participacoes SA ADR (1)(a)		36,700		1,065,401
Vale SA ADR (1)(a)		22,900		272,510
				21,810,089
Chile - 0.1%
Banco de Chile (1)		794,225		105,602
Banco Santander Chile ADR (1)(a)		36		952
Enersis SA ADR (1)(a)		27,300		460,005
ENTEL Chile SA (1)		23,209		285,803
				852,362
China - 1.7%
Agricultural Bank of China Ltd., H Shares		3,003,000		1,325,445
Bank of China Ltd., H Shares		6,136,000		2,747,173
Bank of Communications Co., Ltd., H Shares †		596,000		411,403
Beijing Capital International Airport Co., Ltd., H Shares		160,000		109,997
China BlueChemical Ltd., H Shares		542,000		295,750
China CITIC Bank Corp. Ltd., H Shares		1,033,000		626,344
China Construction Bank Corp., H Shares †		4,752,000		3,593,708
China Merchants Bank Co., Ltd., H Shares †		151,500		298,671
China Petroleum & Chemical Corp. ADR (1)(a)		15,620		1,484,369

	SHARES		VALUE (Note 3)
China - 1.7% (continued)
China Railway Construction Corp. Ltd., H Shares		389,000	$	342,480
China Railway Group Ltd., H Shares		397,000		194,056
China Telecom Corp. Ltd., H Shares		678,000		331,629
China Zhongwang Holdings Ltd.		186		58
CNOOC Ltd. ADR (1)(a)		6,800		1,219,172
Country Garden Holdings Co., Ltd.		329,000		130,693
Dongfeng Motor Group Co., Ltd., H Shares		728,000		1,303,946
Evergrande Real Estate Group Ltd.		295,000		114,582
GOME Electrical Appliances Holding Ltd.		13,037,000		2,134,696
Huaneng Power International, Inc., H Shares †		688,000		778,096
Industrial & Commercial Bank of China Ltd., H Shares		4,824,000		3,050,384
Longfor Properties Co., Ltd.		73,000		89,934
PetroChina Co., Ltd. ADR (1)(a)		5,800		728,190
Sihuan Pharmaceutical Holdings Group Ltd.		1,606,000		982,220
Sino-Ocean Land Holdings Ltd.		136,500		69,213
Sinopec Shanghai Petrochemical Co., Ltd., H Shares		4,381,000		1,220,034
SOHO China Ltd.		39,000		30,738
Tencent Holdings Ltd.		211,000		3,209,953
Zhejiang Expressway Co., Ltd., H Shares		514,000		520,577
				27,343,511
Denmark - 1.1%
AP Moeller - Maersk A/S, Class B		1,133		2,816,960
Carlsberg A/S, Class B		6,727		724,523
Chr Hansen Holding A/S		1,851		77,951
Coloplast A/S, Class B		32,085		2,903,216
Danske Bank A/S		29,442		832,281
DSV A/S		64,914		2,116,741
GN Store Nord A/S		126,666		3,630,069
Jyske Bank A/S †		14,387		817,294
Pandora A/S		12,796		982,013
TDC A/S		162,476		1,680,718
Tryg A/S		9,052		914,589
				17,496,355
Finland - 0.9%
Fortum OYJ		58,263		1,562,202
Kesko OYJ, B Shares		24,516		968,774
Metso OYJ		15,834		599,450
Neste Oil OYJ		149,195		2,910,824
Nokia OYJ		82,857		626,959
Orion OYJ, Class B		10,053		374,703
Sampo, A Shares		18,658		943,207
Stora Enso OYJ, R Shares		249,243		2,423,172
UPM-Kymmene OYJ		143,108		2,444,507
Valmet OYJ		13,244		158,309
Wartsila OYJ		16,059		795,914
				13,808,021

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

AQR Funds Semi-Annual Report June 2014 109

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Germany - 5.7%
Aurubis AG		53,891	$	2,744,295
Bayer AG		34,414		4,854,894
Beiersdorf AG		2,251		217,548
Bilfinger SE		26,960		3,070,111
Brenntag AG		15,664		2,798,447
Continental AG		21,099		4,878,316
Deutsche Lufthansa AG		337,067		7,235,836
Deutsche Post AG		275,883		9,957,972
Deutsche Telekom AG		236,775		4,152,799
E.ON SE		362,759		7,478,481
Freenet AG		89,625		2,846,244
GEA Group AG		52,590		2,486,148
Hannover Rueck SE		5,731		516,085
HeidelbergCement AG		77,306		6,587,087
Hochtief AG		22,856		1,978,147
Hugo Boss AG		4,563		681,344
Leoni AG		28,302		2,248,905
Merck KGaA		107,664		9,336,269
Muenchener Rueckversicherungs AG		9,746		2,158,236
ProSiebenSat.1 Media AG		114,094		5,078,212
Rheinmetall AG		25,388		1,795,269
Rhoen Klinikum AG		54,333		1,793,879
Salzgitter AG		14,975		631,634
TUI AG		104,422		1,755,057
United Internet AG		35,229		1,547,686
				88,828,901
Hong Kong - 0.7%
Belle International Holdings Ltd.		752,000		834,492
China Gas Holdings Ltd.		524,000		1,087,262
China Mobile Ltd. ADR (1)(a)		97,700		4,749,197
China Overseas Land & Investment Ltd.		296,000		717,963
China Resources Land Ltd.		146,000		267,118
China Resources Power Holdings Co., Ltd.		352,000		1,000,910
Geely Automobile Holdings Ltd.		155,000		54,592
Shimao Property Holdings Ltd. †		38,000		69,812
Shougang Fushan Resources Group Ltd.		1,978,000		405,729
Sino Biopharmaceutical Ltd.		3,000,000		2,432,719
				11,619,794
India - 0.4%
Dr. Reddy’s Laboratories Ltd. ADR (1)(a)		10,500		453,075
Infosys Ltd. ADR (1)(a)		35,100		1,887,327
Tata Motors Ltd. ADR (1)(a)		71,900		2,808,414
Wipro Ltd. ADR (1)(a)		119,457		1,420,344
				6,569,160
Indonesia - 0.4%
Adaro Energy Tbk PT		4,648,300		461,590
Astra Agro Lestari Tbk PT		11,000		26,167
Bank Negara Indonesia Persero Tbk PT		1,448,500		582,470
Bank Rakyat Indonesia Persero Tbk PT		1,111,300		968,288
Global Mediacom Tbk PT		364,000		65,287
Indocement Tunggal Prakarsa Tbk PT		153,500		291,914
Indofood Sukses Makmur Tbk PT		1,401,600		792,870
Lippo Karawaci Tbk PT		1,115,100		90,341

	SHARES		VALUE (Note 3)
Indonesia - 0.4% (continued)
Perusahaan Gas Negara Persero Tbk PT		1,974,500	$	927,987
Telekomunikasi Indonesia Persero
Tbk PT ADR (1)(a)		28,500		1,187,310
Unilever Indonesia Tbk PT		69,400		171,458
				5,565,682
Italy - 1.9%
Autogrill SpA †		120,164		1,058,532
Banca Popolare dell’Emilia Romagna SC †		158,680		1,431,698
Banco Popolare SC †		61,678		1,014,555
Buzzi Unicem SpA		42,880		721,038
Enel SpA		1,165,212		6,777,617
Eni SpA		108,554		2,968,917
GTECH SpA		19,782		483,334
Intesa Sanpaolo SpA		272,221		839,891
Mediobanca SpA †		180,758		1,799,922
Mediolanum SpA		257,333		1,981,698
Prysmian SpA		167,371		3,779,669
Saipem SpA †		18,164		489,759
Terna Rete Elettrica Nazionale SpA		192,579		1,014,681
Unione di Banche Italiane SCpA		550,599		4,757,763
				29,119,074
Japan - 21.0%
Aeon Co., Ltd.		23,100		284,265
Aisin Seiki Co., Ltd.		14,300		569,225
Ajinomoto Co., Inc.		112,000		1,755,413
Alfresa Holdings Corp.		10,400		670,517
ANA Holdings, Inc.		308,000		726,876
Asahi Group Holdings Ltd.		600		18,842
Asahi Kasei Corp.		465,000		3,559,817
Astellas Pharma, Inc.		384,900		5,061,653
Azbil Corp.		34,300		878,408
Bank of Yokohama Ltd./The		165,000		950,235
Benesse Holdings, Inc.		2,500		108,438
Bridgestone Corp.		43,400		1,520,018
Brother Industries Ltd.		48,000		832,202
Calbee, Inc.		42,900		1,182,306
Calsonic Kansei Corp.		126,000		840,818
Casio Computer Co., Ltd.		100,700		1,462,683
Central Japan Railway Co.		32,000		4,567,944
Chiba Bank Ltd./The		356,000		2,514,398
Chiyoda Corp.		181,000		2,193,670
Chubu Electric Power Co., Inc. †		116,000		1,440,659
Chugai Pharmaceutical Co., Ltd.		121,300		3,420,252
Citizen Holdings Co., Ltd.		204,800		1,608,255
Coca-Cola West Co., Ltd.		8,800		151,754
COMSYS Holdings Corp.		121,100		2,251,573
Dai Nippon Printing Co., Ltd.		310,000		3,238,868
Daicel Corp.		191,000		1,826,203
Daiichi Sankyo Co., Ltd.		10,800		201,871
Daiwa House Industry Co., Ltd.		52,000		1,077,992
Denso Corp.		76,600		3,659,227
Dentsu, Inc.		49,800		2,028,096
DIC Corp.		417,000		1,111,824
Don Quijote Holdings Co., Ltd.		14,200		792,237
Dowa Holdings Co., Ltd.		8,000		75,451

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

110 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - 21.0% (continued)
East Japan Railway Co.		25,200	$	1,985,561
Ebara Corp.		313,000		1,979,042
FamilyMart Co., Ltd.		4,300		185,385
FANUC Corp.		1,500		259,032
Fuji Electric Co., Ltd.		946,000		4,488,841
Fuji Heavy Industries Ltd.		400,600		11,108,143
Fuji Media Holdings, Inc.		121,900		2,119,826
FUJIFILM Holdings Corp.		91,600		2,556,611
Fujikura Ltd.		120,000		584,534
Fujitsu Ltd.		1,150,000		8,616,775
Fukuoka Financial Group, Inc.		727,000		3,511,458
GungHo Online Entertainment, Inc.		56,700		366,377
Hikari Tsushin, Inc.		14,200		1,072,398
Hino Motors Ltd.		395,600		5,457,833
Hirose Electric Co., Ltd.		8,500		1,263,625
Hitachi Chemical Co., Ltd.		45,100		746,689
Hitachi High-Technologies Corp.		41,000		976,241
Hokuetsu Kishu Paper Co., Ltd.		92,400		413,142
Hoya Corp.		150,400		5,000,473
Idemitsu Kosan Co., Ltd.		4,400		95,545
IHI Corp.		972,000		4,530,902
Isetan Mitsukoshi Holdings Ltd.		5,900		76,876
Isuzu Motors Ltd.		48,000		317,855
ITOCHU Corp.		35,500		455,741
J Front Retailing Co., Ltd.		467,000		3,278,815
Japan Airlines Co., Ltd.		29,100		1,608,925
Japan Petroleum Exploration Co.		10,300		429,692
Japan Tobacco, Inc.		98,000		3,573,287
JFE Holdings, Inc.		19,500		403,342
JGC Corp.		271,000		8,243,682
Joyo Bank Ltd./The		13,000		69,348
JSR Corp.		8,800		151,079
JTEKT Corp.		288,200		4,862,761
Kajima Corp.		469,000		2,074,516
Kaken Pharmaceutical Co., Ltd.		173		3,661
Kandenko Co., Ltd.		292		1,698
Kaneka Corp.		29,000		181,573
Kansai Electric Power Co., Inc./The †		189,000		1,781,539
Kao Corp.		48,600		1,914,050
KDDI Corp.		44,000		2,684,598
Keio Corp.		49,000		385,307
Keisei Electric Railway Co., Ltd.		103,000		1,026,505
Keyence Corp.		1,100		481,016
Kirin Holdings Co., Ltd.		19,100		275,782
Koito Manufacturing Co., Ltd.		2,000		51,251
Konica Minolta, Inc.		689,400		6,814,094
Kurita Water Industries Ltd.		17,100		396,050
KYB Co., Ltd.		43,000		202,589
Kyocera Corp.		19,500		925,934
Kyowa Hakko Kirin Co., Ltd.		118,000		1,598,715
Lintec Corp.		8,000		160,931
Mabuchi Motor Co., Ltd.		700		53,079
Marubeni Corp.		152,000		1,112,484
Marui Group Co., Ltd.		38,200		367,015
Maruichi Steel Tube Ltd.		6,200		166,519
Medipal Holdings Corp.		79,200		1,122,883
MEIJI Holdings Co., Ltd.		17,600		1,166,832

	SHARES		VALUE (Note 3)
Japan - 21.0% (continued)
Miraca Holdings, Inc.		36,400	$	1,764,093
Mitsubishi Chemical Holdings Corp.		110,400		489,629
Mitsubishi Corp.		47,300		984,522
Mitsubishi Electric Corp.		611,000		7,547,524
Mitsubishi Heavy Industries, Ltd.		1,051,000		6,564,442
Mitsubishi Materials Corp.		283,000		992,828
Mitsubishi Tanabe Pharma Corp.		10,100		151,188
Mitsubishi UFJ Financial Group, Inc.		488,200		2,996,922
Mitsubishi UFJ Lease & Finance Co., Ltd.		211,900		1,218,064
Mitsui & Co., Ltd.		70,100		1,123,818
Mitsui Engineering & Shipbuilding Co., Ltd.		325,000		729,893
Mizuho Financial Group, Inc.		731,200		1,502,985
MS&AD Insurance Group Holdings, Inc.		900		21,752
Murata Manufacturing Co., Ltd.		11,000		1,031,588
Namco Bandai Holdings, Inc.		289,700		6,792,204
NET One Systems Co., Ltd.		155,700		1,080,984
NGK Spark Plug Co., Ltd.		19,000		536,448
NH Foods Ltd.		43,000		839,540
NHK Spring Co., Ltd.		222,000		2,083,382
Nintendo Co., Ltd.		10,500		1,260,916
Nippon Express Co., Ltd.		257,000		1,246,517
Nippon Kayaku Co., Ltd.		75,000		976,474
Nippon Shokubai Co., Ltd.		30,000		403,243
Nippon Television Holdings, Inc.		34,700		601,735
Nippon Yusen KK		118,000		340,380
Nissan Chemical Industries Ltd.		7,400		115,083
Nisshin Seifun Group, Inc.		48,950		584,788
Nisshinbo Holdings, Inc.		18,000		180,505
Nomura Research Institute Ltd.		21,800		686,822
North Pacific Bank Ltd.		34		147
NSK Ltd.		182,000		2,368,428
NTT DOCOMO, Inc.		76,300		1,302,503
Okinawa Electric Power Co., Inc./The		2		71
Omron Corp.		160,100		6,751,351
Osaka Gas Co., Ltd.		551,000		2,315,204
Otsuka Corp.		37,200		1,803,994
Otsuka Holdings Co., Ltd.		64,400		1,997,053
Pacific Metals Co., Ltd. †		18,000		87,741
Panasonic Corp.		708,100		8,583,628
Resona Holdings, Inc.		810,500		4,723,055
Rohm Co., Ltd.		88,000		5,047,233
Ryohin Keikaku Co., Ltd.		8,900		1,010,574
Sankyo Co., Ltd.		39,500		1,519,452
Santen Pharmaceutical Co., Ltd.		3,600		202,806
Secom Co., Ltd.		58,500		3,571,158
Seiko Epson Corp.		172,000		7,317,602
Sekisui Chemical Co., Ltd.		351,000		4,069,358
Seven & I Holdings Co., Ltd.		155,700		6,562,728
Shimamura Co., Ltd.		19,600		1,929,299
Shimizu Corp.		264,000		1,870,859
Shin-Etsu Chemical Co., Ltd.		11,900		723,618
Shinko Electric Industries Co., Ltd.		16,700		152,114
Shionogi & Co., Ltd.		73,300		1,530,989
Shiseido Co., Ltd.		10,800		196,981
Shizuoka Bank Ltd./The		63,000		681,479

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

AQR Funds Semi-Annual Report June 2014 111

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - 21.0% (continued)
Showa Denko KK		250,000	$	355,708
Showa Shell Sekiyu KK		64,300		730,898
SoftBank Corp.		19,500		1,453,198
Stanley Electric Co., Ltd.		16,100		420,055
Sumitomo Bakelite Co., Ltd.		57,000		226,294
Sumitomo Corp.		24,100		325,185
Sumitomo Electric Industries Ltd.		110,700		1,558,376
Sumitomo Heavy Industries Ltd.		611,000		2,908,335
Sumitomo Metal Mining Co., Ltd.		52,000		848,742
Sumitomo Mitsui Financial Group, Inc.		70,000		2,936,985
Sumitomo Osaka Cement Co., Ltd.		276,000		1,049,779
Sumitomo Rubber Industries Ltd.		1,900		27,462
Suzuki Motor Corp.		145,100		4,552,016
Taisei Corp.		983,000		5,447,938
Takara Holdings, Inc.		24		211
Takashimaya Co., Ltd.		369,000		3,583,925
THK Co., Ltd.		110,400		2,602,737
Tobu Railway Co., Ltd.		44,000		230,428
Tohoku Electric Power Co., Inc.		26,700		312,475
Tokyo Electric Power Co., Inc. †		789,800		3,282,879
Tokyo Electron Ltd.		43,091		2,936,838
Tokyo Gas Co., Ltd.		591,000		3,452,214
Tokyo Steel Manufacturing Co., Ltd.		211,400		1,106,757
Tokyu Corp.		161,000		1,141,954
Toppan Printing Co., Ltd.		287,000		2,219,161
Toray Industries, Inc.		21,000		138,181
Tosoh Corp.		398,000		1,930,364
TOTO Ltd.		80,000		1,078,883
Toyo Seikan Group Holdings Ltd.		218,200		3,354,410
Toyo Suisan Kaisha Ltd.		18,000		554,843
Toyota Boshoku Corp.		13,000		137,590
Toyota Tsusho Corp.		31,000		892,071
Ube Industries Ltd.		57,000		99,149
UNY Group Holdings Co., Ltd.		109,200		684,697
Ushio, Inc.		31,300		403,350
USS Co., Ltd.		121,300		2,070,383
West Japan Railway Co.		36,600		1,612,248
Yamaguchi Financial Group, Inc.		56		591
Yamaha Corp.		118,600		1,875,141
Yamato Holdings Co., Ltd.		22,200		460,185
Yokohama Rubber Co., Ltd./The		61,000		528,054
				329,018,831
Korea, Republic of - 1.3%
DGB Financial Group, Inc.		6,960		104,229
Dongbu Insurance Co., Ltd.		11,661		599,139
E-Mart Co., Ltd.		2,262		518,767
Hana Financial Group, Inc.		1,981		73,412
Hanwha Life Insurance Co., Ltd.		51,420		328,200
Hyosung Corp.		19,445		1,299,538
Hyundai Mobis		6,387		1,793,745
Hyundai Wia Corp.		1,171		226,898
Kia Motors Corp.		19,761		1,105,537
KJB Financial Group Co., Ltd. †		2,726		30,040
KNB Financial Group Co., Ltd. †		4,167		52,922
Korea Electric Power Corp.		25,740		947,583
Korea Zinc Co., Ltd.		2,185		856,764

	SHARES		VALUE (Note 3)
Korea, Republic of - 1.3% (continued)
Korean Air Lines Co., Ltd. †		19,691	$	649,971
KT Corp. ADR (1)		31,500		476,910
LG Display Co., Ltd. ADR (1)†(a)		103,300		1,629,041
Mirae Asset Securities Co., Ltd.		2,810		124,530
NAVER Corp.		557		458,948
NHN Entertainment Corp. †		1,131		87,595
POSCO ADR (1)(a)		6,800		506,192
Samsung Card Co., Ltd.		12,767		544,488
Shinhan Financial Group Co., Ltd.		9,780		451,213
Shinsegae Co., Ltd.		789		170,282
SK Holdings Co., Ltd.		7,811		1,409,546
SK Hynix, Inc. †		65,520		3,146,131
SK Telecom Co., Ltd. ADR (1)(a)		95,800		2,485,052
Woori Finance Holdings Co., Ltd. †		35,936		427,847
				20,504,520
Luxembourg - 0.0% (b)
APERAM †		11,370		383,945
Malaysia - 0.4%
Alliance Financial Group Bhd		200,700		295,112
Genting Malaysia Bhd		87,500		114,463
Hong Leong Bank Bhd		3,900		16,767
IOI Corp. Bhd		334,200		546,676
Malayan Banking Bhd		304,600		932,713
MISC Bhd		121,600		246,164
Petronas Chemicals Group Bhd		181,400		382,524
RHB Capital Bhd		25,700		68,451
Tenaga Nasional Bhd		755,900		2,871,678
UMW Holdings Bhd		149,900		510,037
				5,984,585
Mexico - 0.8%
Alfa SAB de CV, Class A (1)		611,800		1,689,659
America Movil SAB de CV, Series L ADR (1)(a)		216,100		4,484,075
Arca Continental SAB de CV (1)		93,900		635,771
Cemex SAB de CV ADR (1)†		47,112		623,292
Compartamos SAB de CV (1)		465,600		897,573
Fibra Uno Administracion SA de CV REIT (1)		65,000		226,812
Fomento Economico Mexicano SAB de CV ADR (1)(a)		7,700		721,105
Grupo Bimbo SAB de CV, Series A (1)		112,744		330,841
Grupo Mexico SAB de CV, Series B (1)		287,100		956,668
Grupo Televisa SAB ADR (1)(a)		42,000		1,441,020
Kimberly-Clark de Mexico SAB de CV, Class A (1)		450,200		1,263,482
				13,270,298
Netherlands - 1.6%
Aegon NV		527,560		4,602,144
Akzo Nobel NV		40,457		3,033,435
Delta Lloyd NV		48,110		1,221,490
Koninklijke Ahold NV		204,009		3,825,392
Koninklijke Boskalis Westminster NV		14,594		836,930
Koninklijke DSM NV		1,338		97,369
Koninklijke Philips NV		182,630		5,796,367

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

112 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Netherlands - 1.6% (continued)
Nutreco NV		81,391	$	3,594,819
Randstad Holding NV		14,859		805,494
TNT Express NV		132,502		1,198,788
Wolters Kluwer NV		870		25,771
				25,037,999
Norway - 1.1%
DNB ASA		250,644		4,579,589
Gjensidige Forsikring ASA		24,446		438,258
Orkla ASA		76,784		683,297
Petroleum Geo-Services ASA		147,509		1,561,846
Statoil ASA		140,285		4,312,201
Telenor ASA		190,043		4,326,985
Yara International ASA		27,997		1,402,611
				17,304,787
Peru - 0.0% (b)
Cia de Minas Buenaventura SAA ADR (1)(a)		7,400		87,394
Credicorp Ltd. (1)(a)		1,300		202,111
				289,505
Poland - 0.4%
Bank Pekao SA		15,213		871,366
Bank Zachodni WBK SA		3,236		393,372
Grupa Lotos SA †		17,706		215,789
Jastrzebska Spolka Weglowa SA		6,858		106,148
PGE SA		338,106		2,408,750
Polskie Gornictwo Naftowe i Gazownictwo SA		373,963		646,051
Powszechny Zaklad Ubezpieczen SA		10,689		1,561,753
Tauron Polska Energia SA †		423,744		721,472
				6,924,701
South Africa - 1.0%
African Rainbow Minerals Ltd.		42,521		748,908
AngloGold Ashanti Ltd. ADR (1)†(a)		37,400		643,654
FirstRand Ltd.		182,979		700,977
Growthpoint Properties Ltd. REIT		98,764		229,436
Harmony Gold Mining Co., Ltd. ADR (1)†(a)		82,500		245,025
Imperial Holdings Ltd.		27,544		517,929
Investec Ltd.		107,728		988,108
Liberty Holdings Ltd.		47,860		585,169
MMI Holdings Ltd.		236,680		584,184
MTN Group Ltd.		119,752		2,522,433
Naspers Ltd., N Shares		11,903		1,401,494
Redefine Properties Ltd. REIT		197,093		177,774
Remgro Ltd.		19,213		415,594
RMB Holdings Ltd.		162,799		805,328
Sanlam Ltd.		62,578		363,334
Sasol Ltd. ADR (1)(a)		35,700		2,110,584
Vodacom Group Ltd.		39,137		483,732
Woolworths Holdings Ltd.		267,808		1,968,588
				15,492,251
Spain - 2.4%
Acerinox SA		69,667		1,235,627
ACS Actividades de Construccion y Servicios SA		51,745		2,368,380

	SHARES		VALUE (Note 3)
Spain - 2.4% (continued)
Banco Santander SA		15,064	$	157,408
Bankinter SA		352,768		2,760,726
Bolsas y Mercados Espanoles SA		7,673		366,264
CaixaBank SA		112,457		693,752
Distribuidora Internacional de Alimentacion SA		297,777		2,740,807
Ebro Foods SA		8,509		189,052
Enagas SA		192,424		6,193,909
Endesa SA		129,373		5,002,436
Ferrovial SA		148,983		3,319,482
Gas Natural SDG SA		233,974		7,391,995
Iberdrola SA		303,519		2,321,781
Indra Sistemas SA		4,627		82,622
Repsol SA		123,253		3,249,772
				38,074,013
Sweden - 2.3%
Electrolux AB, Series B		120,648		3,044,756
Getinge AB, B Shares		3,669		96,074
Meda AB, A Shares		170,845		2,965,951
NCC AB, B Shares		26,382		908,045
Nordea Bank AB		221,913		3,128,518
Securitas AB, B Shares		100,674		1,193,715
Skandinaviska Enskilda Banken AB, Class A		410,799		5,483,244
Skanska AB, B Shares		46,668		1,065,349
Svenska Cellulosa AB SCA, Class B		142,819		3,719,563
Swedbank AB, A Shares		131,637		3,486,686
Swedish Match AB		25,784		894,641
Telefonaktiebolaget LM Ericsson, B Shares		580,615		7,014,268
TeliaSonera AB		158,864		1,160,022
Trelleborg AB, B Shares		77,785		1,654,264
				35,815,096
Switzerland - 3.4%
Actelion Ltd. †		48,135		6,092,434
Adecco SA †		13,880		1,142,240
Aryzta AG †		28,063		2,657,682
Baloise Holding AG		6,951		818,459
EMS-Chemie Holding AG		2,525		1,007,590
Flughafen Zuerich AG		399		245,125
Galenica AG		735		717,302
GAM Holding AG †		3,086		58,736
Givaudan SA †		236		393,159
Helvetia Holding AG		147		67,491
Lindt & Spruengli AG		72		366,441
Lonza Group AG †		25,968		2,823,983
Nestle SA		17,763		1,376,401
Novartis AG		41,078		3,719,958
OC Oerlikon Corp. AG †		372,018		5,384,888
Panalpina Welttransport Holding AG		1,597		252,661
Partners Group Holding AG		734		200,525
Roche Holding AG		27,761		8,271,581
Sika AG		805		3,288,913
STMicroelectronics NV		211,733		1,894,586
Straumann Holding AG		1,460		337,804
Sulzer AG		12,694		1,778,828

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

AQR Funds Semi-Annual Report June 2014 113

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Switzerland - 3.4% (continued)
Swiss Life Holding AG †		24,707	$	5,856,591
Swiss Re AG †		27,647		2,458,294
Swisscom AG		4,296		2,495,446
				53,707,118
Taiwan - 1.3%
Asustek Computer, Inc.		220		2,459
AU Optronics Corp. †		1,324,000		560,965
Cheng Shin Rubber Industry Co., Ltd.		400		1,023
Chicony Electronics Co., Ltd.		133,420		360,473
China Motor Corp.		211,000		210,603
China Petrochemical Development Corp.		932		379
CTBC Financial Holding Co., Ltd.		1,235,000		823,327
Delta Electronics, Inc.		26,000		189,362
E.Sun Financial Holding Co., Ltd.		825		529
Eva Airways Corp. †		500		240
Far Eastern Department Stores Ltd.		77,250		72,559
Far EasTone Telecommunications Co., Ltd.		139,000		316,636
Foxconn Technology Co., Ltd.		577		1,399
Fubon Financial Holding Co., Ltd.		1,265,297		1,827,772
Hon Hai Precision Industry Co., Ltd.		694,690		2,328,994
Innolux Corp. †		689,000		323,077
Inventec Corp.		1,891,000		1,812,016
Kinsus Interconnect Technology Corp.		177,000		795,504
Largan Precision Co., Ltd.		14,000		1,116,896
Lite-On Technology Corp.		103,020		172,056
MediaTek, Inc.		120,176		2,032,812
President Chain Store Corp.		140,000		1,121,974
Realtek Semiconductor Corp.		383,833		1,217,415
SinoPac Financial Holdings Co., Ltd.		661		298
Taiwan Business Bank †		499		156
Taiwan Cooperative Financial Holding Co., Ltd.		108,385		62,073
Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1)(a)		126,700		2,710,113
Tripod Technology Corp.		330		637
Uni-President Enterprises Corp.		786,851		1,413,220
Walsin Lihwa Corp. †		486,000		173,364
Yang Ming Marine Transport Corp. †		100		40
				19,648,371
Thailand - 0.4%
Airports of Thailand PCL NVDR		278,400		1,702,943
Bangkok Bank PCL NVDR		22,000		130,841
BEC World PCL NVDR		404,600		607,530
PTT Exploration & Production PCL NVDR		263,000		1,357,473
PTT Global Chemical PCL NVDR		870,300		1,810,449
				5,609,236
Turkey - 0.3%
Emlak Konut Gayrimenkul Yatirim
Ortakligi AS REIT		116,228		146,275
Enka Insaat ve Sanayi AS		323,293		877,618
Koza Altin Isletmeleri AS		62,594		717,314
TAV Havalimanlari Holding AS		69,032		548,972

	SHARES		VALUE (Note 3)
Turkey - 0.3% (continued)
Tofas Turk Otomobil Fabrikasi AS		68,941	$	428,032
Turk Hava Yollari		318,769		977,451
Turkiye Halk Bankasi AS		94,571		709,995
Turkiye Is Bankasi, Class C		188,926		511,097
				4,916,754
United States - 1.6%
Digital Realty Trust, Inc. (1)(i)		107,086		6,245,255
Exterran Holdings, Inc. (1)(a)		88,726		3,991,786
Goodyear Tire & Rubber Co./The (1)(a)		424		11,779
Hillshire Brands Co./The (1)		187,179		11,661,252
Riverbed Technology, Inc. (1)†		102,100		2,106,323
Southern Copper Corp. (1)(a)		8,101		246,027
Steel Dynamics, Inc. (1)(a)		14,618		262,393
				24,524,815
TOTAL COMMON STOCKS (cost $697,726,771)				844,658,867
PREFERRED STOCKS - 0.4%
Brazil - 0.1%
Cia Energetica de Sao Paulo, Series B (1)		86,600		1,086,860
Lojas Americanas SA (1)		61		389
Metalurgica Gerdau SA (1)		6,900		48,655
Usinas Siderurgicas de Minas Gerais SA, Series A (1)†		29		99
				1,136,003
Germany - 0.3%
Henkel AG & Co. KGaA		6,499		750,845
Porsche Automobil Holding SE		40,486		4,209,430
				4,960,275
TOTAL PREFERRED STOCKS (cost $4,817,182)				6,096,278

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

114 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

CONVERTIBLE PREFERRED STOCKS - 2.1%					SHARES		VALUE (Note 3)
United States - 2.1%
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1)(a)(c)						30,900	$	3,212,055
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% 05/17/15 (a)(c)(d)						400		512,000
Dominion Resources, Inc., $50.00 par, 6.375% 07/01/17 (1)†						19,150		1,007,769
Dominion Resources, Inc., Series A, $49.00 par, 6.125% 04/01/16 (1)(a)						101,200		5,834,180
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1)(a)						70,400		4,084,608
Exelon Corp., $50.00 par, 6.500% 06/01/17 †(a)						18,475		996,663
McDermott International, Inc., $25.00 par, 6.250% 04/01/17 (a)						17,575		483,365
NextEra Energy, Inc., $50.00 par, 5.599% 06/01/15 (1)(a)						139,250		9,239,948
NextEra Energy, Inc., $50.00 par, 5.799% 09/01/16 (1)(a)						72,550		4,140,429
Omnicare Capital Trust II, Series B, $50.00 par, 4.000% 06/15/33 (1)†						4,950		403,623
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500% 02/15/19 (a)(c)(d)						22,177		2,249,579
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $29,253,846)								32,164,219
CORPORATE BONDS - 3.9%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)
Canada - 0.1%
National Money Mart Co. (a)		10.375%		12/15/16	$	1,925		2,028,469
United Kingdom - 0.2%
Virgin Media Finance PLC (a)		4.875%		02/15/22		3,125		2,945,312
United States - 3.6%
American Airlines, Inc. 144A (3)(a)(d)(i)		7.500%		03/15/16		2,542		2,640,502
Beam Suntory, Inc. (a)		3.250%		05/15/22		3,100		3,064,679
Beam Suntory, Inc. (a)		3.250%		06/15/23		1,575		1,548,994
Biomet, Inc. (a)		6.500%		08/01/20		12,225		13,172,437
Copano Energy LLC/Copano Energy Finance Corp.		7.125%		04/01/21		81		91,793
Edgen Murray Corp. 144A (3)(a)(d)(i)		8.750%		11/01/20		5,012		5,726,210
EPL Oil & Gas, Inc.		8.250%		02/15/18		7,200		7,704,000
Forest Oil Corp. (a)		7.250%		06/15/19		10,200		10,098,000
Nuveen Investments, Inc. 144A (a)(d)		9.500%		10/15/20		3,405		4,034,925
Plains Exploration & Production Co.		6.875%		02/15/23		1,025		1,199,250
Texas Industries, Inc. (a)		9.250%		08/15/20		1,550		1,755,375
US Foods, Inc. (a)		8.500%		06/30/19		5,290		5,662,945
								56,699,110
TOTAL CORPORATE BONDS (cost $62,648,732)								61,672,891
CONVERTIBLE BONDS - 28.8%
Canada - 0.0% (b)
Element Financial Corp. 144A (d)		5.125%		06/30/19	CAD	950		958,413
Cayman Islands - 0.2%
Herbalife Ltd. 144A (a)(d)		2.000%		08/15/19	$	3,000		2,790,000
India - 0.0% (b)
Sterlite Industries India Ltd. (3)(a)(i)		4.000%		10/30/14		225		225,000
Malta - 0.1%
Lufthansa Malta Blues LP, Series JBLU 144A (d)		0.750%		04/05/17		475		1,085,157

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

AQR Funds Semi-Annual Report June 2014 115

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
Mexico - 0.8%
Cemex SAB de CV (a)		3.750%		03/15/18	$	350	$	530,906
Cemex SAB de CV (a)		3.250%		03/15/16		8,325		12,086,860
								12,617,766
Monaco - 0.0% (b)
Scorpio Tankers, Inc. 144A (d)		2.375%		07/01/19		400		400,000
Netherlands - 0.2%
Volkswagen International Finance NV 144A (d)		5.500%		11/09/15		2,000		3,211,830
United States - 27.5%
Acorda Therapeutics, Inc. (a)		1.750%		06/15/21		275		285,141
Alpha Natural Resources, Inc. (a)		3.750%		12/15/17		1,100		950,125
Alpha Natural Resources, Inc. (a)		4.875%		12/15/20		200		154,875
American Realty Capital Properties, Inc. (a)		3.750%		12/15/20		525		547,641
American Realty Capital Properties, Inc. (a)		3.000%		08/01/18		3,250		3,300,781
Annaly Capital Management, Inc. (a)		5.000%		05/15/15		2,650		2,709,625
Ares Capital Corp. 144A (a)(d)		5.750%		02/01/16		525		557,812
Avis Budget Group, Inc. (a)		3.500%		10/01/14		7,375		27,167,656
Ciena Corp. (a)		4.000%		12/15/20		1,166		1,615,639
Ciena Corp. 144A (a)(d)		3.750%		10/15/18		2,125		2,917,891
DDR Corp. (a)		1.750%		11/15/40		1,670		2,002,956
Equinix, Inc.		4.750%		06/15/16		4,450		11,358,625
Exelixis, Inc. (a)		4.250%		08/15/19		525		443,625
General Cable Corp. (a)(e)		4.500%		11/15/29		1,620		1,603,800
Health Care REIT, Inc. (a)		3.000%		12/01/29		4,550		5,616,406
Illumina, Inc. (a)		0.250%		03/15/16		1,675		3,600,203
Illumina, Inc. 144A (a)(d)		0.000%		06/15/19		950		975,531
j2 Global, Inc. (a)		3.250%		06/15/29		4,075		4,133,578
Lennar Corp. 144A (a)(d)		2.750%		12/15/20		2,650		5,059,844
Lennar Corp. 144A (a)(d)		3.250%		11/15/21		4,400		8,101,500
MGIC Investment Corp. (a)		5.000%		05/01/17		3,250		3,770,000
MGIC Investment Corp. (a)		2.000%		04/01/20		10,000		14,887,500
MGM Resorts International (a)		4.250%		04/15/15		5,000		7,340,625
Microchip Technology, Inc.		2.125%		12/15/37		20,400		38,976,750
Micron Technology, Inc.		2.375%		05/01/32		9,875		33,982,344
Micron Technology, Inc.		3.125%		05/01/32		2,275		7,661,063
Micron Technology, Inc., Series F		2.125%		02/15/33		1,300		3,946,312
Navistar International Corp. (a)		3.000%		10/15/14		50		50,500
NorthStar Realty Finance LP 144A (a)(d)		5.375%		06/15/33		100		182,000
Novellus Systems, Inc. (a)		2.625%		05/15/41		8,400		16,999,500
NRG Yield, Inc. 144A (a)(d)		3.500%		02/01/19		2,925		3,471,609
Palo Alto Networks, Inc. 144A (d)		0.000%		07/01/19		500		515,938
PHH Corp.		6.000%		06/15/17		14,402		28,119,905
PHH Corp. (a)		4.000%		09/01/14		600		603,000
Prospect Capital Corp. 144A (a)(d)		4.750%		04/15/20		1,100		1,085,563
Radian Group, Inc.		3.000%		11/15/17		6,425		9,292,156
Radian Group, Inc.		2.250%		03/01/19		6,525		9,779,344
Regeneron Pharmaceuticals, Inc.		1.875%		10/01/16		6,550		21,987,531
Ryman Hospitality Properties, Inc. 144A (d)		3.750%		10/01/14		4,550		10,453,625
SanDisk Corp. (a)		1.500%		08/15/17		11,190		22,764,656
Sirius XM Radio, Inc. 144A (d)		7.000%		12/01/14		2,775		5,270,766
SL Green Operating Partnership LP 144A (a)(d)		3.000%		10/15/17		5,325		7,328,531
Spirit Realty Capital, Inc. (a)		2.875%		05/15/19		2,050		2,050,000
Spirit Realty Capital, Inc. (a)		3.750%		05/15/21		2,550		2,561,156
Standard Pacific Corp. (a)		1.250%		08/01/32		2,175		2,733,703
Stillwater Mining Co. (a)		1.750%		10/15/32		2,100		3,055,500
SunEdison, Inc. 144A (a)(d)		0.250%		01/15/20		950		1,017,094
SunEdison, Inc. 144A (a)(d)		2.000%		10/01/18		6,450		10,977,094

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

116 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 3)
United States - 27.5% (continued)
SunEdison, Inc. 144A (a)(d)		2.750%		01/01/21	$	5,575	$	9,623,844
SunPower Corp.		4.500%		03/15/15		1,300		2,387,125
Take-Two Interactive Software, Inc. (a)		1.750%		12/01/16		2,450		3,206,438
Tesla Motors, Inc.		1.500%		06/01/18		4,350		8,808,750
Theravance, Inc. (a)		2.125%		01/15/23		325		468,609
UTi Worldwide, Inc. 144A (a)(d)		4.500%		03/01/19		2,400		2,553,000
VeriSign, Inc.		3.250%		08/15/37		19,969		30,290,477
Vishay Intertechnology, Inc. 144A (a)(d)		2.250%		11/15/40		1,175		1,416,609
Web.com Group, Inc. (a)		1.000%		08/15/18		1,975		2,119,422
WebMD Health Corp. 144A (a)(d)		1.500%		12/01/20		1,775		1,975,797
WellPoint, Inc. (a)		2.750%		10/15/42		5,925		9,076,359
Yahoo!, Inc. 144A (a)(d)		0.000%		12/01/18		5,150		5,124,250
								431,017,699
TOTAL CONVERTIBLE BONDS (cost $339,175,477)								452,305,865

RIGHTS - 0.0% (b)	SHARES			VALUE (Note 3)
Acerinox SA †		69,667		$	42,260
Banca Popolare dell’Emilia Romagna SC †		158,680			135,366
Repsol SA †		123,253			83,879
TOTAL RIGHTS (cost $—)					261,505
MONEY MARKET FUNDS - 33.1%
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (f)^		1,500,076			1,500,076
Dreyfus Treasury Cash Management, Class I, 0.010% (f)^		6,000,302			6,000,302
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (f)(g)^		503,272,284			503,272,284
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (f)^		7,500,711			7,500,711
TOTAL MONEY MARKET FUNDS (cost $518,273,373)					518,273,373
SHORT-TERM INVESTMENTS - 4.1%		PRINCIPAL AMOUNT (000’s	)
U.S. Treasury Bill, 0.045%, 11/28/2014 (h)^	$	11,300			11,297,412
U.S. Treasury Bill, 0.052%, 12/04/2014 (h)^		11,300			11,297,548
U.S. Treasury Bill, 0.058%, 07/31/2014 (h)^		23,744			23,743,149
U.S. Treasury Bill, 0.062%, 08/07/2014 (h)^		18,023			18,022,610
TOTAL SHORT-TERM INVESTMENTS (cost $64,359,345)					64,360,719
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (cost $1,716,254,726)					1,979,793,717

SECURITIES SOLD SHORT - (66.9)%	SHARES			VALUE (Note 3)
COMMON STOCKS - (66.4)%
Belgium - (0.3)%
Anheuser-Busch InBev NV		(28,552	)	$	(3,280,635	)
KBC Groep NV †		(6,046	)		(328,909	)
Mobistar SA †		(14,457	)		(275,962	)
Telenet Group Holding NV †		(3,230	)		(184,083	)
					(4,069,589	)
Canada - 0.0% (b)
Element Financial Corp. (1)		(23,800	)		(300,664	)
Cayman Islands - 0.0% (b)
Theravance Biopharma, Inc. (1)		(3,007	)		(95,863	)
Denmark - (0.9)%
FLSmidth & Co. A/S		(101,712	)		(5,679,436	)
Novo Nordisk A/S, Class B		(13,896	)		(641,342	)
Novozymes A/S, B Shares		(143,979	)		(7,221,481	)
Vestas Wind Systems A/S †		(11,139	)		(562,059	)
William Demant Holding A/S †		(3,522	)		(319,828	)
					(14,424,146	)
Finland - (0.9)%
Cargotec OYJ, B Shares		(71,148	)		(2,708,992	)
Elisa OYJ		(25,842	)		(790,081	)
Kone OYJ, Class B		(80,368	)		(3,351,029	)
Konecranes OYJ		(25,697	)		(828,891	)
Nokian Renkaat OYJ		(161,302	)		(6,288,680	)
YIT OYJ		(449	)		(5,168	)
					(13,972,841	)
Germany - (5.3)%
adidas AG		(11,877	)		(1,200,957	)
Aixtron SE †		(206,705	)		(3,000,068	)
Allianz SE		(23,533	)		(3,927,983	)
Axel Springer SE		(3,723	)		(228,804	)
BASF SE		(57,395	)		(6,676,394	)
Bayerische Motoren Werke AG		(37,952	)		(4,805,852	)
Commerzbank AG †		(157,780	)		(2,472,901	)
Daimler AG		(32,254	)		(3,012,994	)

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

AQR Funds Semi-Annual Report June 2014 117

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES			VALUE (Note 3)
Germany - (5.3)% (continued)
Deutsche Bank AG		(157,848	)	$	(5,547,567	)
Deutsche Boerse AG		(1,119	)		(86,761	)
Dialog Semiconductor PLC †		(7,830	)		(270,933	)
Fraport AG Frankfurt Airport Services Worldwide		(30,530	)		(2,154,106	)
Fresenius Medical Care AG & Co. KGaA		(27,352	)		(1,840,278	)
Infineon Technologies AG		(520,754	)		(6,500,649	)
K+S AG		(200,851	)		(6,595,627	)
LANXESS AG		(34,577	)		(2,332,186	)
Linde AG		(4,958	)		(1,053,556	)
MAN SE		(30,102	)		(3,720,211	)
Metro AG †		(1,724	)		(75,026	)
MTU Aero Engines AG		(3,703	)		(340,075	)
RWE AG		(110,134	)		(4,723,442	)
SAP AG		(113,925	)		(8,778,458	)
Siemens AG		(7,808	)		(1,030,922	)
Sky Deutschland AG †		(316,651	)		(2,917,756	)
Software AG		(24,042	)		(867,547	)
Stada Arzneimittel AG		(37,171	)		(1,765,655	)
Suedzucker AG		(78,773	)		(1,590,647	)
Symrise AG		(9,905	)		(539,103	)
ThyssenKrupp AG †		(119,027	)		(3,463,275	)
Wacker Chemie AG		(18,537	)		(2,134,116	)
Wirecard AG		(4,403	)		(189,892	)
					(83,843,741	)
Italy - (1.9)%
A2A SpA		(563,045	)		(648,412	)
Assicurazioni Generali SpA		(201,958	)		(4,422,984	)
Atlantia SpA		(71,159	)		(2,027,175	)
Davide Campari-Milano SpA		(45,234	)		(391,196	)
Enel Green Power SpA		(96,629	)		(273,483	)
Fiat SpA †		(192,205	)		(1,895,047	)
Finmeccanica SpA †		(474,801	)		(4,508,687	)
Luxottica Group SpA		(12,097	)		(700,485	)
Mediaset SpA †		(434,588	)		(2,116,591	)
Pirelli & C. SpA		(2,084	)		(33,406	)
Salvatore Ferragamo SpA		(96,514	)		(2,876,078	)
Telecom Italia SpA †		(1,941,230	)		(2,457,018	)
Tenaris SA		(225,234	)		(5,306,995	)
Tod’s SpA		(11,205	)		(1,426,258	)
UniCredit SpA		(45,963	)		(384,314	)
					(29,468,129	)
Japan - (19.3)%
ABC-Mart, Inc.		(50,849	)		(2,721,014	)
Acom Co., Ltd. †		(762,330	)		(3,630,765	)
Advantest Corp.		(467,796	)		(5,788,268	)
Aeon Credit Service Co., Ltd.		(220,500	)		(5,766,968	)
Amada Co., Ltd.		(155,000	)		(1,578,815	)
Aozora Bank Ltd.		(189,000	)		(621,394	)
Asahi Glass Co., Ltd.		(553,000	)		(3,260,315	)
Asics Corp.		(127,100	)		(2,968,006	)
Canon, Inc.		(8,500	)		(277,797	)
Capcom Co., Ltd.		(6,087	)		(103,206	)
Chugoku Electric Power Co., Inc./The		(102,500	)		(1,396,714	)
Credit Saison Co., Ltd.		(92,113	)		(1,917,826	)

	SHARES			VALUE (Note 3)
Japan - (19.3)% (continued)
Daido Steel Co., Ltd.		(81,000	)	$	(414,458	)
Daihatsu Motor Co., Ltd.		(5,800	)		(103,219	)
Dai-ichi Life Insurance Co., Ltd./The		(61,100	)		(910,551	)
Daikin Industries Ltd.		(72,300	)		(4,563,053	)
Dainippon Screen Manufacturing Co., Ltd.		(229,000	)		(1,071,426	)
Daiwa Securities Group, Inc.		(1,000	)		(8,664	)
Dena Co., Ltd.		(92,000	)		(1,244,839	)
Disco Corp.		(46,900	)		(3,151,690	)
DMG Mori Seiki Co., Ltd.		(29,800	)		(433,285	)
Eisai Co., Ltd.		(26,800	)		(1,124,670	)
Electric Power Development Co., Ltd.		(24,100	)		(782,062	)
Fast Retailing Co., Ltd.		(27,800	)		(9,158,143	)
Furukawa Electric Co., Ltd.		(987,000	)		(2,096,371	)
Gree, Inc.		(5,600	)		(49,106	)
GS Yuasa Corp.		(1,078,853	)		(6,874,222	)
Hamamatsu Photonics KK		(12,700	)		(623,301	)
Hitachi Capital Corp.		(48,500	)		(1,358,725	)
Hitachi Construction Machinery Co., Ltd.		(222,195	)		(4,435,056	)
Hitachi Ltd.		(541,000	)		(3,965,026	)
Hitachi Metals Ltd.		(286,000	)		(4,360,538	)
Hokkaido Electric Power Co., Inc. †		(297,795	)		(2,298,769	)
Hokuriku Electric Power Co.		(15,124	)		(200,501	)
Honda Motor Co., Ltd.		(156,700	)		(5,468,010	)
Ibiden Co., Ltd.		(37,700	)		(760,581	)
Inpex Corp.		(117,600	)		(1,788,955	)
Itochu Techno-Solutions Corp.		(16,000	)		(695,508	)
Japan Steel Works Ltd./The		(91,000	)		(399,458	)
JX Holdings, Inc.		(30,500	)		(163,212	)
Kakaku.com, Inc.		(33,400	)		(585,702	)
Kansai Paint Co., Ltd.		(228,000	)		(3,810,858	)
Kawasaki Heavy Industries Ltd.		(713,868	)		(2,721,394	)
Kawasaki Kisen Kaisha Ltd.		(646	)		(1,353	)
Keikyu Corp.		(155,000	)		(1,393,318	)
Kikkoman Corp.		(62,000	)		(1,292,228	)
Kintetsu Corp.		(709,000	)		(2,583,496	)
Kobe Steel Ltd.		(11,116	)		(16,718	)
Komatsu Ltd.		(523,700	)		(12,156,798	)
Konami Corp.		(1,500	)		(33,186	)
K’s Holdings Corp.		(4	)		(116	)
Kubota Corp.		(358,000	)		(5,080,124	)
Kuraray Co., Ltd.		(72,400	)		(918,264	)
Kyushu Electric Power Co., Inc.		(245,600	)		(2,764,953	)
Lawson, Inc.		(10,300	)		(773,091	)
LIXIL Group Corp.		(210,100	)		(5,686,553	)
M3, Inc.		(90,300	)		(1,437,680	)
Makita Corp.		(73,900	)		(4,567,312	)
Mazda Motor Corp.		(542,000	)		(2,543,564	)
Minebea Co., Ltd.		(203,649	)		(2,294,478	)
Mitsubishi Gas Chemical Co., Inc.		(268,000	)		(1,716,182	)
Mitsubishi Logistics Corp.		(93,000	)		(1,393,770	)
Mitsubishi Motors Corp.		(8,824	)		(97,509	)
Mitsui Chemicals, Inc.		(1,431,025	)		(3,915,445	)
Mitsui OSK Lines Ltd.		(742,000	)		(2,764,304	)
Nabtesco Corp.		(172,703	)		(3,822,092	)
Nachi-Fujikoshi Corp.		(141,000	)		(994,029	)
Nexon Co., Ltd.		(5,700	)		(54,477	)

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

118 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES			VALUE (Note 3)
Japan - (19.3)% (continued)
NGK Insulators Ltd.		(186,000	)	$	(4,222,347	)
Nidec Corp.		(157,100	)		(9,661,706	)
Nikon Corp.		(271,695	)		(4,280,300	)
Nippon Electric Glass Co., Ltd.		(405,000	)		(2,360,289	)
Nippon Sheet Glass Co., Ltd. †		(516,236	)		(729,754	)
Nippon Steel & Sumitomo Metal Corp.		(117,071	)		(375,038	)
Nissan Motor Co., Ltd.		(733,600	)		(6,946,795	)
Nissin Foods Holdings Co., Ltd.		(2,100	)		(107,968	)
Nitori Holdings Co., Ltd.		(59,500	)		(3,255,357	)
Nitto Denko Corp.		(47,200	)		(2,210,915	)
NKSJ Holdings, Inc.		(13,000	)		(350,287	)
NOK Corp.		(43,300	)		(870,643	)
NTN Corp.		(745,402	)		(3,260,660	)
NTT Data Corp.		(10,400	)		(399,948	)
Obayashi Corp.		(54,000	)		(385,672	)
Odakyu Electric Railway Co., Ltd.		(68,000	)		(654,849	)
Oji Holdings Corp.		(12,000	)		(49,380	)
Olympus Corp. †		(11,400	)		(392,232	)
Ono Pharmaceutical Co., Ltd.		(25,045	)		(2,200,436	)
Oriental Land Co., Ltd.		(3,800	)		(651,270	)
Park24 Co., Ltd.		(6,500	)		(118,217	)
Rakuten, Inc.		(715,068	)		(9,245,183	)
Ricoh Co., Ltd.		(189,500	)		(2,258,582	)
Rinnai Corp.		(9,900	)		(955,747	)
Saizeriya Co., Ltd.		(5	)		(64	)
Sanrio Co., Ltd.		(26,100	)		(758,403	)
Sawai Pharmaceutical Co., Ltd.		(900	)		(53,051	)
Sega Sammy Holdings, Inc.		(4,000	)		(78,770	)
Seven Bank Ltd.		(198,972	)		(813,628	)
Sharp Corp. †		(2,752,000	)		(8,835,879	)
Shikoku Electric Power Co., Inc. †		(312,273	)		(4,354,305	)
Shimadzu Corp.		(13,000	)		(119,279	)
Shimano, Inc.		(10,800	)		(1,198,433	)
Shinsei Bank Ltd.		(609,000	)		(1,371,688	)
SMC Corp.		(19,200	)		(5,144,865	)
Sojitz Corp.		(97,600	)		(172,599	)
Sony Corp.		(314,600	)		(5,257,127	)
Sony Financial Holdings, Inc.		(48,600	)		(829,705	)
Start Today Co., Ltd.		(44,264	)		(1,164,076	)
Sumco Corp.		(227,200	)		(2,082,488	)
Sumitomo Chemical Co., Ltd.		(219,362	)		(829,230	)
Sumitomo Dainippon Pharma Co., Ltd.		(110,300	)		(1,269,390	)
Sumitomo Mitsui Trust Holdings, Inc.		(64,000	)		(292,512	)
Suruga Bank Ltd.		(96,000	)		(1,864,710	)
Sysmex Corp.		(64,000	)		(2,406,485	)
T&D Holdings, Inc.		(58,800	)		(799,772	)
Taiheiyo Cement Corp.		(673,923	)		(2,717,284	)
Taiyo Nippon Sanso Corp.		(343,680	)		(3,044,625	)
Takara Bio, Inc.		(24,000	)		(397,378	)
Takeda Pharmaceutical Co., Ltd.		(31,000	)		(1,438,795	)
TDK Corp.		(10,900	)		(511,763	)
Teijin Ltd.		(154,000	)		(386,504	)
Terumo Corp.		(153,000	)		(3,427,637	)
Toho Co., Ltd.		(14,800	)		(347,104	)
Toho Titanium Co., Ltd. †		(3,100	)		(20,528	)
Tokai Carbon Co., Ltd.		(229,000	)		(653,937	)

	SHARES			VALUE (Note 3)
Japan - (19.3)% (continued)
Tokio Marine Holdings, Inc.		(12,000	)	$	(394,965	)
Tokuyama Corp.		(106,068	)		(337,299	)
TonenGeneral Sekiyu KK		(48,000	)		(455,888	)
Toshiba Corp.		(1,206,398	)		(5,639,227	)
Toyoda Gosei Co., Ltd.		(1,000	)		(20,787	)
Toyota Industries Corp.		(30,000	)		(1,550,110	)
Toyota Motor Corp.		(3,700	)		(221,529	)
Trend Micro, Inc.		(3,000	)		(98,856	)
Tsumura & Co.		(97,900	)		(2,310,053	)
Unicharm Corp.		(24,600	)		(1,466,685	)
Yahoo Japan Corp.		(1,378,600	)		(6,366,319	)
Yakult Honsha Co., Ltd.		(19,268	)		(975,899	)
Yamada Denki Co., Ltd.		(2,688,970	)		(9,585,495	)
Yamaha Motor Co., Ltd.		(404,019	)		(6,957,370	)
Yaskawa Electric Corp.		(335,400	)		(4,065,878	)
Yokogawa Electric Corp.		(33,400	)		(423,038	)
					(303,408,468	)
Luxembourg - (0.7)%
ArcelorMittal		(749,083	)		(11,167,449	)
Oriflame Cosmetics SA SDR		(4,588	)		(106,814	)
					(11,274,263	)
Mexico - (0.7)%
Cemex SAB de CV ADR (1)		(787,771	)		(10,422,210	)
Monaco - 0.0%(b)
Scorpio Tankers, Inc. (1)		(22,142	)		(225,184	)
Netherlands - (1.8)%
ASML Holding NV		(105,724	)		(9,859,965	)
Fugro NV CVA		(157,246	)		(8,991,948	)
Gemalto NV		(17,894	)		(1,857,489	)
Heineken NV		(22,732	)		(1,631,682	)
Koninklijke KPN NV †		(147,271	)		(536,960	)
Koninklijke Vopak NV		(46,845	)		(2,287,246	)
PostNL NV †		(106,668	)		(503,785	)
QIAGEN NV †		(14,022	)		(339,124	)
SBM Offshore NV †		(134,326	)		(2,165,767	)
					(28,173,966	)
Norway - (0.7)%
Aker Solutions ASA		(158,601	)		(2,752,692	)
Marine Harvest ASA		(51,443	)		(701,971	)
Norsk Hydro ASA		(178,200	)		(954,188	)
Schibsted ASA		(1,971	)		(102,524	)
Seadrill Ltd.		(76,930	)		(3,048,782	)
Storebrand ASA †		(194,996	)		(1,097,036	)
TGS Nopec Geophysical Co. ASA		(74,595	)		(2,381,681	)
					(11,038,874	)
Spain - (2.1)%
Abertis Infraestructuras SA		(113,571	)		(2,612,848	)
Acciona SA		(21,053	)		(1,882,283	)
Amadeus IT Holding SA, A Shares		(13,575	)		(559,606	)
Banco Bilbao Vizcaya Argentaria SA		(392,064	)		(4,997,021	)
Banco de Sabadell SA		(1,184,702	)		(4,043,676	)
Banco Popular Espanol SA		(307,921	)		(2,057,027	)

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

AQR Funds Semi-Annual Report June 2014 119

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES			VALUE (Note 3)
Spain - (2.1)% (continued)
Banco Santander SA (1)		(1,621	)	$	(16,938	)
Bankia SA †		(988,101	)		(1,915,603	)
Grifols SA		(47,803	)		(2,611,954	)
Inditex SA		(10,471	)		(1,611,538	)
Mapfre SA		(389,010	)		(1,550,008	)
Mediaset Espana Comunicacion SA †		(349,709	)		(4,081,058	)
Obrascon Huarte Lain SA		(29,736	)		(1,304,983	)
Red Electrica Corp. SA		(1,453	)		(132,822	)
Tecnicas Reunidas SA		(10,519	)		(650,593	)
Telefonica SA		(203,377	)		(3,491,547	)
					(33,519,505	)
Sweden - (2.6)%
Alfa Laval AB		(21,605	)		(556,330	)
Assa Abloy AB, Class B		(31,409	)		(1,597,647	)
Atlas Copco AB, A Shares		(144,381	)		(4,168,448	)
Boliden AB		(40,105	)		(581,831	)
Elekta AB, B Shares		(367,070	)		(4,662,120	)
Hennes & Mauritz AB, B Shares		(31,682	)		(1,383,231	)
Hexagon AB, B Shares		(106,891	)		(3,443,909	)
Husqvarna AB, B Shares		(233,407	)		(1,813,945	)
Modern Times Group AB, B Shares		(32,229	)		(1,384,624	)
Sandvik AB		(442,886	)		(6,048,574	)
SKF AB, B Shares		(57,264	)		(1,460,097	)
SSAB AB, A Shares †		(419,935	)		(3,894,163	)
Svenska Handelsbanken AB, A Shares		(45,327	)		(2,216,470	)
Tele2 AB, B Shares		(5,850	)		(68,846	)
Volvo AB, B Shares		(514,184	)		(7,078,576	)
					(40,358,811	)
Switzerland - (3.0)%
Barry Callebaut AG †		(258	)		(350,427	)
Cie Financiere Richemont SA		(18,978	)		(1,988,691	)
Clariant AG †		(130,924	)		(2,560,198	)
Credit Suisse Group AG †		(290,498	)		(8,261,611	)
DKSH Holding AG		(1,387	)		(105,380	)
Dufry AG †		(4,816	)		(874,912	)
Geberit AG		(660	)		(231,524	)
Holcim Ltd. †		(25,506	)		(2,240,381	)
Julius Baer Group Ltd. †		(131,130	)		(5,402,468	)
Kuehne + Nagel International AG		(27,321	)		(3,632,871	)
Schindler Holding AG		(866	)		(131,542	)
SGS SA		(503	)		(1,203,641	)
Sonova Holding AG		(21,275	)		(3,243,640	)
Swatch Group AG/The		(8,760	)		(5,281,993	)
Syngenta AG		(9,092	)		(3,359,033	)
Transocean Ltd.		(86,225	)		(3,873,932	)
UBS AG †		(110,605	)		(2,027,889	)
Zurich Insurance Group AG †		(6,425	)		(1,935,122	)
					(46,705,255	)
United Kingdom - (0.4)%
CNH Industrial NV		(116,933	)		(1,199,838	)
Subsea 7 SA		(228,676	)		(4,262,409	)
					(5,462,247	)
United States - (25.8)%
Acorda Therapeutics, Inc. (1)†		(4,459	)		(150,313	)
Alpha Natural Resources, Inc. (1)†		(61,536	)		(228,299	)

	SHARES			VALUE (Note 3)
United States - (25.8)% (continued)
American Realty Capital Properties, Inc. REIT (1)		(72,317	)	$	(906,132	)
Annaly Capital Management, Inc. REIT (1)		(1,399	)		(15,991	)
Applied Materials, Inc. (1)		(140,047	)		(3,158,060	)
Ares Capital Corp. (1)		(5,763	)		(102,927	)
Avis Budget Group, Inc. (1)†		(453,846	)		(27,090,068	)
Bunge Ltd. (1)		(17,197	)		(1,300,781	)
Chesapeake Energy Corp. (1)		(9,242	)		(287,241	)
Ciena Corp. (1)†		(120,424	)		(2,608,384	)
DDR Corp. REIT (1)		(88,575	)		(1,561,577	)
Digital Realty Trust, Inc. REIT (1)		(107,087	)		(6,245,314	)
Dominion Resources, Inc. (1)		(106,283	)		(7,601,360	)
Equinix, Inc. (1)†		(52,777	)		(11,087,920	)
Exelixis, Inc. (1)†		(73,624	)		(249,585	)
Exelon Corp. (1)		(17,420	)		(635,482	)
Exterran Holdings, Inc. (1)		(89,018	)		(4,004,920	)
General Cable Corp. (1)		(39,548	)		(1,014,802	)
Health Care REIT, Inc. REIT (1)		(88,356	)		(5,537,270	)
Herbalife Ltd. (1)		(2,096	)		(135,276	)
Illumina, Inc. (1)†		(21,338	)		(3,809,687	)
j2 Global, Inc. (1)		(40,828	)		(2,076,512	)
JetBlue Airways Corp. (1)†		(81,375	)		(882,919	)
Lam Research Corp. (1)		(225,488	)		(15,238,479	)
Lennar Corp., Class A (1)		(288,475	)		(12,110,180	)
McDermott International, Inc. (1)†		(48,125	)		(389,331	)
MGIC Investment Corp. (1)†		(1,320,728	)		(12,203,527	)
MGM Resorts International (1)†		(244,930	)		(6,466,152	)
Microchip Technology, Inc. (1)		(762,940	)		(37,239,101	)
Micron Technology, Inc. (1)†		(1,354,370	)		(44,626,491	)
Navistar International Corp. (1)†		(124	)		(4,648	)
NextEra Energy, Inc. (1)		(108,987	)		(11,168,988	)
NorthStar Realty Finance Corp. REIT (1)		(9,657	)		(167,839	)
NRG Yield, Inc., Class A (1)		(41,471	)		(2,158,566	)
Omnicare, Inc. (1)		(5,462	)		(363,605	)
PHH Corp. (1)†		(1,047,814	)		(24,078,766	)
Post Holdings, Inc. (1)†		(37,698	)		(1,919,205	)
Prospect Capital Corp. (1)		(10,648	)		(113,135	)
Radian Group, Inc. (1)		(956,241	)		(14,161,929	)
Regeneron Pharmaceuticals, Inc. (1)†		(77,179	)		(21,800,752	)
Riverbed Technology, Inc. (1)†		(102,100	)		(2,106,323	)
Ryman Hospitality Properties, Inc. REIT (1)		(215,685	)		(10,385,233	)
SanDisk Corp. (1)		(203,480	)		(21,249,416	)
Sirius XM Holdings, Inc. (1)†		(1,634,361	)		(5,654,889	)
SL Green Realty Corp. REIT (1)		(55,804	)		(6,105,516	)
Spirit Realty Capital, Inc. REIT (1)		(171,322	)		(1,946,218	)
Standard Pacific Corp. (1)†		(191,126	)		(1,643,684	)
Steel Dynamics, Inc. (1)		(14,618	)		(262,393	)
Stillwater Mining Co. (1)†		(147,368	)		(2,586,308	)
SunEdison, Inc. (1)†		(767,370	)		(17,342,562	)
SunPower Corp. (1)†		(54,816	)		(2,246,360	)
Take-Two Interactive Software, Inc. (1)†		(94,955	)		(2,111,799	)
Tesla Motors, Inc. (1)†		(33,186	)		(7,966,631	)
Theravance, Inc. (1)†		(14,178	)		(422,221	)
UTi Worldwide, Inc. (1)†		(112,560	)		(1,163,870	)

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

120 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

	SHARES			VALUE (Note 3)
United States - (25.8)% (continued)
VeriSign, Inc. (1)†		(499,689	)	$	(24,389,820	)
Vishay Intertechnology, Inc. (1)		(78,199	)		(1,211,302	)
Web.com Group, Inc. (1)†		(36,396	)		(1,050,753	)
WebMD Health Corp. (1)†		(26,385	)		(1,274,395	)
WellPoint, Inc. (1)		(65,169	)		(7,012,836	)
Yahoo!, Inc. (1)†		(43,375	)		(1,523,764	)
					(404,557,807	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $906,096,806)					(1,041,321,563	)
PREFERRED STOCKS - (0.4)%
Germany - (0.4)%
Fuchs Petrolub SE		(8,908	)		(401,942	)
Volkswagen AG		(18,763	)		(4,914,342	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $4,799,560)					(5,316,284	)
U.S. TREASURY OBLIGATIONS - (0.1)%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Note, 0.250%, 08/15/15 (proceeds $1,726,367)	$	(1,725,000	)		(1,726,618	)
TOTAL SECURITIES SOLD SHORT (proceeds $912,622,733)					(1,048,364,465	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 59.4% (cost $803,631,993)					931,429,252
OTHER ASSETS IN EXCESS OF LIABILITIES - 40.6% (j)					635,867,670
NET ASSETS - 100.0%				$	1,567,296,922
SECTOR		VALUE			% OF NET ASSETS
Consumer Discretionary	$	(19,475,144	)		(1.2	%)
Consumer Staples		68,432,202			4.4
Energy		9,159,626			0.6
Financials		82,480,923			5.3
Health Care		54,153,997			3.4
Industrials		29,705,124			1.9
Information Technology		47,177,242			3.0
Materials		(10,621,931	)		(0.7	)
Telecommunication Services		37,032,747			2.4
Utilities		52,476,992			3.3
Money Market Funds^		518,273,373			33.0
Other Investments^		62,634,101			4.0
Total Investments		931,429,252			59.4
Other Assets in Excess of Liabilities (j)		635,867,670			40.6
Net Assets	$	1,567,296,922			100.0	%

† Non income-producing security.

(a) 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, 2014, the value of these securities was $360,335,067. In addition, $475,936,767 of cash collateral was pledged.

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

(c) Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of June 30, 2014.

(d) 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.

(e) Represents a step bond. The rate shown reflects the yield at June 30, 2014.

(f) Represents annualized seven-day yield as of June 30, 2014.

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

(h) The rate shown is the effective yield at the date of purchase.

(i) Security fair valued at as of June 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $8,591,712 or 0.5% of total net assets.

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

^ Represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.

(1) Level 1 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

CVA - Dutch Certification

NVDR - Non-Voting Depository Receipt

REIT - Real Estate Investment Trust

SDR - Special Drawing Rights

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

AQR Funds Semi-Annual Report June 2014 121

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Credit default swap contracts buy protection as of June 30, 2014:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE RECEIVED BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CitiBank

Markit CDX North America Investment Grade Index Series 22

1.000%

USD

0.580%

9,200,000

$(127,172)

06/20/2019

$(58,097)

Credit default swap contracts sell protection as of June 30, 2014:

COUNTERPARTY

REFERENCE ENTITY

FIXED ANNUAL RATE RECEIVED BY FUND

CURRENCY

CREDIT SPREAD

NOTIONAL AMOUNT

UPFRONT PREMIUM (RECEIVED) PAID

TERMINATION DATE

UNREALIZED APPRECIATION (DEPRECIATION)

Exchange Cleared

CitiBank

Markit CDX North America High Yield Index Series 22

5.000%

USD

3.030%

40,475,000

$2,851,672

06/20/2019

$692,743

Cash held as collateral for CitiBank for credit default swap contracts was $908,240.

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	10-Year Canadian Bond	9/2014	CAD		42,677,191			$272,041
Bank of America	10-Year Japanese Government Bond	9/2014	JPY		(2,758,087,500	)		(90,845	)
Bank of America	30-Year Euro Buxl Bond	9/2014	EUR		8,057,804			213,440
Morgan Stanley and Co., International PLC	Bovespa Index	8/2014	BRL		3,601,044			(50,514	)
Deutsche Bank	Brent Crude Futures^	7/2014	USD		41,819,690			1,551,270
Deutsche Bank	Brent Crude Futures^	7/2014	USD		(43,392,080	)		21,120
Deutsche Bank	Brent Crude Futures^	8/2014	USD		32,480,040			(428,020	)
Deutsche Bank	Brent Crude Futures^	8/2014	USD		(791,280	)		6,790
CitiBank	Cocoa Futures^	9/2014	GBP		32,657			(49	)
CitiBank	Corn Futures^	8/2014	USD		(21,449,087	)		909,400
Bank of America	Euro - Bobl Futures	9/2014	EUR		46,264,096			337,911
Bank of America	Euro - Bund Futures	9/2014	EUR		119,578,185			1,725,861
Bank of America	Euro - SCHATZ Futures	9/2014	EUR		66,037,970			35,412
Deutsche Bank	Gas Oil Futures^	7/2014	USD		8,051,230			770
Deutsche Bank	Gas Oil Futures^	7/2014	USD		(8,017,000	)		(35,000	)
Deutsche Bank	Gas Oil Futures^	8/2014	USD		5,410,050			(81,300	)
Deutsche Bank	Gasoline RBOB Futures^	7/2014	USD		12,260,702			137,702
Merrill Lynch	Gold 100 OZ Futures^	8/2014	USD		8,892,850			336,967
Merrill Lynch	Gold 100 OZ Futures^	8/2014	USD		(9,796,400	)		(224,560	)
Bank of America	Hang Seng Index Futures	7/2014	HKD		33,017,567			62,338

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

122 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley and Co., International PLC	H-SHARES Index Futures	7/2014	HKD		18,729,461			$28,155
Merrill Lynch	Lean Hogs Futures^	7/2014	USD		8,443,284			470,766
Merrill Lynch	Lean Hogs Futures^	7/2014	USD		(8,381,204	)		(532,842	)
Merrill Lynch	Lean Hogs Futures^	8/2014	USD		6,693,380			160,366
Merrill Lynch	Lean Hogs Futures^	8/2014	USD		(4,788,720	)		(152,347	)
CitiBank	LME Aluminum Futures^	9/2014	USD		835,087			15,750
CitiBank	LME Aluminum Futures^	9/2014	USD		(859,050	)		8,212
CitiBank	LME Copper Futures^	9/2014	USD		(333,675	)		(17,525	)
CitiBank	LME Copper Futures^	9/2014	USD		(864,019	)		(16,943	)
Bank of America	Long Gilt Futures	9/2014	GBP		(50,931,921	)		(123,127	)
Morgan Stanley and Co., International PLC	MSCI Taiwan Stock Index Futures	7/2014	USD		5,352,207			99,153
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		12,106,580			(552,590	)
Deutsche Bank	Natural Gas Swap Futures^	7/2014	USD		(3,289,830	)		77,910
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		12,459,602			(213,267	)
Deutsche Bank	Heating Oil ULSD Futures^	7/2014	USD		(4,645,477	)		(103,102	)
Morgan Stanley and Co., International PLC	SGX S&P CNX Nifty Index Futures	7/2014	USD		(7,017,834	)		(105,317	)
Merrill Lynch	Silver Futures^	9/2014	USD		526,500			(3,624	)
Merrill Lynch	Silver Futures^	9/2014	USD		(523,350	)		475
Merrill Lynch	Soybean Futures^	11/2014	USD		35,548,587			(1,756,242	)
Merrill Lynch	Soybean Futures^	11/2014	USD		(22,207,580	)		1,087,368
Deutsche Bank	Soybean Meal Futures^	12/2014	USD		2,900,975			(218,955	)
CitiBank	Soybean Oil Futures^	12/2014	USD		(7,952,020	)		(81,560	)
Morgan Stanley and Co., International PLC	Swiss Market Index Futures	9/2014	CHF		(119,651,607	)		1,320,338
Morgan Stanley and Co., International PLC	Taiwan Stock Exchange Futures	7/2014	TWD		123,546,698			93,461
Bank of America	Tel Aviv 25 Index Futures	7/2014	ILS		20,102,654			(69,975	)
Bank of America	U.S. Treasury 10-Year Note Futures	9/2014	USD		251,284,387			436,253
Bank of America	U.S. Treasury 2-Year Note Futures	9/2014	USD		20,211,905			(9,280	)
Bank of America	U.S. Treasury 5-Year Note Futures	9/2014	USD		8,597,074			4,114
Bank of America	U.S. Treasury Long Bond Futures	9/2014	USD		10,792,894			44,918
CitiBank	Wheat Futures^	9/2014	USD		3,328,458			(123,294	)
CitiBank	Wheat Futures^	9/2014	USD		(15,893,131	)		560,332
Goldman Sachs	WIG20 Index Futures	9/2014	PLN		10,770,484			(84,473	)
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		36,602,180			593,430
Deutsche Bank	WTI Crude Oil Futures^	7/2014	USD		(10,092,687	)		(22,833	)
								$5,514,439

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank, Goldman Sachs, Merrill Lynch and Morgan Stanley and Co., International PLC for total return swap contracts in the amount of $199, $10,006, $3,870,000, $ 12,400,019, $ 960,000, $ 4,650,000 and $ 30,208,619 respectively at June 30, 2014. Cash held as collateral for Bank of America for total return swap contracts was $1,590,000 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

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

AQR Funds Semi-Annual Report June 2014 123

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
305	Goldman Sachs	Cocoa Futures^	9/2014		$9,792,141		$9,872,377		$80,236
11	Goldman Sachs	Coffee ‘C’ Futures^	9/2014		718,187		722,287		4,100
130	Goldman Sachs	Gold 100 OZ Futures^	8/2014		17,133,469		17,186,000		52,531
12	J.P. Morgan	LME Aluminum Futures^	7/2014		544,334		557,025		12,691
18	J.P. Morgan	LME Aluminum Futures^	7/2014		824,084		835,763		11,679
35	J.P. Morgan	LME Aluminum Futures^	7/2014		1,607,657		1,626,844		19,187
3	J.P. Morgan	LME Aluminum Futures^	7/2014		137,573		139,481		1,908
9	J.P. Morgan	LME Aluminum Futures^	7/2014		421,040		418,669		(2,371	)
9	J.P. Morgan	LME Aluminum Futures^	7/2014		426,734		418,781		(7,953	)
8	J.P. Morgan	LME Aluminum Futures^	7/2014		376,603		372,550		(4,053	)
12	J.P. Morgan	LME Aluminum Futures^	7/2014		558,951		558,975		24
2	J.P. Morgan	LME Aluminum Futures^	7/2014		92,558		93,188		630
9	J.P. Morgan	LME Aluminum Futures^	7/2014		422,785		419,760		(3,025	)
1	J.P. Morgan	LME Aluminum Futures^	7/2014		47,385		46,652		(733	)
22	J.P. Morgan	LME Aluminum Futures^	8/2014		981,971		1,028,671		46,700
16	J.P. Morgan	LME Aluminum Futures^	8/2014		714,033		749,064		35,031
3	J.P. Morgan	LME Aluminum Futures^	8/2014		132,726		140,485		7,759
18	J.P. Morgan	LME Aluminum Futures^	8/2014		794,462		843,120		48,658
5	J.P. Morgan	LME Aluminum Futures^	8/2014		221,823		234,436		12,613
11	J.P. Morgan	LME Aluminum Futures^	8/2014		488,148		516,665		28,517
12	J.P. Morgan	LME Aluminum Futures^	8/2014		530,575		563,775		33,200
5	J.P. Morgan	LME Aluminum Futures^	8/2014		219,760		234,906		15,146
20	J.P. Morgan	LME Aluminum Futures^	8/2014		887,792		939,625		51,833
18	J.P. Morgan	LME Aluminum Futures^	8/2014		828,603		846,855		18,252
24	J.P. Morgan	LME Aluminum Futures^	8/2014		1,101,888		1,129,410		27,522
5	J.P. Morgan	LME Aluminum Futures^	9/2014		231,083		235,515		4,432
7	J.P. Morgan	LME Aluminum Futures^	9/2014		324,337		329,798		5,461
5	J.P. Morgan	LME Aluminum Futures^	9/2014		228,207		235,625		7,418
26	J.P. Morgan	LME Aluminum Futures^	9/2014		1,199,778		1,225,536		25,758
3	J.P. Morgan	LME Aluminum Futures^	9/2014		141,885		141,540		(345	)
6	J.P. Morgan	LME Aluminum Futures^	9/2014		284,645		283,148		(1,497	)
9	J.P. Morgan	LME Aluminum Futures^	9/2014		425,880		424,823		(1,057	)
11	J.P. Morgan	LME Aluminum Futures^	9/2014		512,293		519,349		7,056
74	J.P. Morgan	LME Aluminum Futures^	9/2014		3,442,235		3,497,887		55,652
6	J.P. Morgan	LME Aluminum Futures^	9/2014		282,565		283,632		1,067
1	J.P. Morgan	LME Aluminum Futures^	9/2014		47,704		47,273		(431	)
15	J.P. Morgan	LME Copper Futures^	7/2014		2,486,469		2,639,850		153,381
8	J.P. Morgan	LME Copper Futures^	7/2014		1,334,767		1,407,600		72,833
7	J.P. Morgan	LME Copper Futures^	7/2014		1,161,481		1,231,475		69,994
1	J.P. Morgan	LME Copper Futures^	7/2014		164,225		175,900		11,675
19	J.P. Morgan	LME Copper Futures^	7/2014		3,144,779		3,341,116		196,337
9	J.P. Morgan	LME Copper Futures^	7/2014		1,500,231		1,582,571		82,340
3	J.P. Morgan	LME Copper Futures^	7/2014		503,074		527,503		24,429
15	J.P. Morgan	LME Copper Futures^	7/2014		2,540,392		2,637,311		96,919
6	J.P. Morgan	LME Copper Futures^	8/2014		995,061		1,054,800		59,739
6	J.P. Morgan	LME Copper Futures^	8/2014		1,002,222		1,054,800		52,578
8	J.P. Morgan	LME Copper Futures^	8/2014		1,374,807		1,406,400		31,593
11	J.P. Morgan	LME Copper Futures^	8/2014		1,893,102		1,933,800		40,698
22	J.P. Morgan	LME Copper Futures^	8/2014		3,789,732		3,867,600		77,868
1	J.P. Morgan	LME Copper Futures^	8/2014		173,284		175,737		2,453
13	J.P. Morgan	LME Copper Futures^	8/2014		2,262,822		2,283,518		20,696
28	J.P. Morgan	LME Copper Futures^	8/2014		4,822,188		4,918,319		96,131

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

124 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	J.P. Morgan	LME Copper Futures^	9/2014		$172,469		$175,654		$3,185
5	J.P. Morgan	LME Copper Futures^	9/2014		862,813		878,260		15,447
4	J.P. Morgan	LME Copper Futures^	9/2014		681,241		702,604		21,363
14	J.P. Morgan	LME Copper Futures^	9/2014		2,331,456		2,458,663		127,207
65	J.P. Morgan	LME Copper Futures^	9/2014		11,087,823		11,414,000		326,177
6	J.P. Morgan	LME Copper Futures^	9/2014		1,008,120		1,052,893		44,773
21	J.P. Morgan	LME Copper Futures^	9/2014		3,611,701		3,684,376		72,675
4	J.P. Morgan	LME Copper Futures^	9/2014		689,028		701,714		12,686
8	J.P. Morgan	LME Copper Futures^	9/2014		1,390,291		1,403,286		12,995
3	J.P. Morgan	LME Copper Futures^	9/2014		520,097		526,125		6,028
1	J.P. Morgan	LME Nickel Futures^	7/2014		98,575		113,853		15,278
2	J.P. Morgan	LME Nickel Futures^	7/2014		197,409		227,718		30,309
2	J.P. Morgan	LME Nickel Futures^	8/2014		219,057		227,994		8,937
3	J.P. Morgan	LME Nickel Futures^	8/2014		333,893		342,085		8,192
1	J.P. Morgan	LME Nickel Futures^	8/2014		111,452		114,034		2,582
1	J.P. Morgan	LME Nickel Futures^	8/2014		115,551		114,041		(1,510	)
28	J.P. Morgan	LME Nickel Futures^	9/2014		3,217,108		3,198,216		(18,892	)
11	J.P. Morgan	LME Zinc Futures^	7/2014		559,187		608,644		49,457
8	J.P. Morgan	LME Zinc Futures^	7/2014		411,602		442,600		30,998
6	J.P. Morgan	LME Zinc Futures^	7/2014		307,218		331,913		24,695
9	J.P. Morgan	LME Zinc Futures^	7/2014		462,147		497,813		35,666
12	J.P. Morgan	LME Zinc Futures^	7/2014		616,850		663,675		46,825
16	J.P. Morgan	LME Zinc Futures^	7/2014		830,012		884,652		54,640
7	J.P. Morgan	LME Zinc Futures^	7/2014		365,600		387,009		21,409
2	J.P. Morgan	LME Zinc Futures^	7/2014		103,764		110,566		6,802
5	J.P. Morgan	LME Zinc Futures^	7/2014		258,321		276,378		18,057
1	J.P. Morgan	LME Zinc Futures^	7/2014		51,229		55,272		4,043
3	J.P. Morgan	LME Zinc Futures^	7/2014		153,651		165,803		12,152
5	J.P. Morgan	LME Zinc Futures^	9/2014		265,225		277,183		11,958
7	J.P. Morgan	LME Zinc Futures^	9/2014		372,215		388,114		15,899
9	J.P. Morgan	LME Zinc Futures^	9/2014		480,108		499,075		18,967
2	J.P. Morgan	LME Zinc Futures^	9/2014		105,680		110,921		5,241
57	J.P. Morgan	LME Zinc Futures^	9/2014		3,036,444		3,163,500		127,056
7	J.P. Morgan	LME Zinc Futures^	9/2014		378,370		388,369		9,999
8	J.P. Morgan	LME Zinc Futures^	9/2014		436,887		443,700		6,813
1	J.P. Morgan	LME Zinc Futures^	9/2014		54,547		55,453		906
1	J.P. Morgan	LME Zinc Futures^	9/2014		54,658		55,444		786
1	J.P. Morgan	LME Zinc Futures^	9/2014		54,834		55,425		591
13	Goldman Sachs	Platinum Futures^	10/2014		962,286		963,885		1,599
65	Goldman Sachs	Silver Futures^	9/2014		6,843,460		6,843,200		(260	)
71	Goldman Sachs	Soybean Meal Futures^	12/2014		2,838,008		2,608,540		(229,468	)
51	Barclays Capital	DAX Index Futures	9/2014		17,328,641		17,213,282		(115,359	)
218	Barclays Capital	DJIA Mini E-CBOT Futures	9/2014		18,192,512		18,246,600		54,088
3,116	Barclays Capital	Euro Stoxx 50 Index	9/2014		139,638,631		137,900,999		(1,737,632	)
828	Barclays Capital	FTSE 100 Index Futures	9/2014		95,221,927		95,097,499		(124,428	)
668	J.P. Morgan	FTSE/JSE Top 40 Index Futures	9/2014		28,931,690		28,937,245		5,555
151	Barclays Capital	FTSE/MIB Index Futures	9/2014		22,591,805		22,023,499		(568,306	)
3	Barclays Capital	Hang Seng Index Futures	7/2014		442,744		447,151		4,407
129	Barclays Capital	IBEX 35 Index Futures	7/2014		19,287,493		19,175,123		(112,370	)
75	Barclays Capital	MSCI Singapore Index Futures	7/2014		4,465,980		4,457,053		(8,927	)
231	Barclays Capital	MSCI Taiwan Stock Index Futures	7/2014		7,551,131		7,678,440		127,309
219	Barclays Capital	NASDAQ 100 E-Mini Futures	9/2014		16,536,360		16,821,390		285,030
84	Barclays Capital	S&P MID 400 E-Mini Futures	9/2014		11,770,672		12,006,120		235,448
143	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	9/2014		22,924,404		23,149,636		225,232
7	Barclays Capital	TOPIX Index Futures	9/2014		871,137		872,366		1,229

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

AQR Funds Semi-Annual Report June 2014 125

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
310	J.P. Morgan	3-Month Euro Euribor Futures	9/2015		$105,841,250			$105,919,121			$77,871
391	J.P. Morgan	3-Month Euro Euribor Futures	12/2015		133,432,241			133,561,300			129,059
406	J.P. Morgan	3-Month Euro Euribor Futures	3/2016		138,465,967			138,636,491			170,524
386	J.P. Morgan	3-Month Euro Euribor Futures	6/2016		131,670,771			131,741,039			70,268
788	J.P. Morgan	90-Day EURODollar Futures	12/2014		196,358,168			196,458,250			100,082
94	J.P. Morgan	90-Day EURODollar Futures	3/2015		23,418,402			23,416,575			(1,827	)
38	J.P. Morgan	90-Day EURODollar Futures	9/2015		9,432,110			9,432,550			440
63	J.P. Morgan	90-Day EURODollar Futures	12/2015		15,599,949			15,602,737			2,788
84	J.P. Morgan	90-Day EURODollar Futures	3/2016		20,747,281			20,753,250			5,969
110	J.P. Morgan	90-Day EURODollar Futures	6/2016		27,094,475			27,104,000			9,525
694	J.P. Morgan	90-Day Sterling Futures	12/2014		147,389,770			147,187,158			(202,612	)
906	J.P. Morgan	90-Day Sterling Futures	3/2015		192,045,742			191,693,763			(351,979	)
659	J.P. Morgan	90-Day Sterling Futures	6/2015		139,375,425			139,087,487			(287,938	)
412	J.P. Morgan	Australia 3-Year Bond Futures	9/2014		42,361,524			42,532,017			170,493
					1,851,913,119			1,852,722,581			809,462
Short Contracts:
1,218	Goldman Sachs	Corn Futures^	9/2014		(26,738,269	)		(25,501,875	)		1,236,394
145	Goldman Sachs	Cotton No. 2 Futures^	12/2014		(5,598,179	)		(5,329,475	)		268,704
12	J.P. Morgan	LME Aluminum Futures^	7/2014		(544,475	)		(557,025	)		(12,550	)
18	J.P. Morgan	LME Aluminum Futures^	7/2014		(823,575	)		(835,762	)		(12,187	)
35	J.P. Morgan	LME Aluminum Futures^	7/2014		(1,607,927	)		(1,626,844	)		(18,917	)
3	J.P. Morgan	LME Aluminum Futures^	7/2014		(137,244	)		(139,481	)		(2,237	)
9	J.P. Morgan	LME Aluminum Futures^	7/2014		(421,013	)		(418,669	)		2,344
9	J.P. Morgan	LME Aluminum Futures^	7/2014		(423,881	)		(418,781	)		5,100
8	J.P. Morgan	LME Aluminum Futures^	7/2014		(375,183	)		(372,550	)		2,633
12	J.P. Morgan	LME Aluminum Futures^	7/2014		(556,475	)		(558,975	)		(2,500	)
2	J.P. Morgan	LME Aluminum Futures^	7/2014		(93,546	)		(93,188	)		358
9	J.P. Morgan	LME Aluminum Futures^	7/2014		(424,388	)		(419,760	)		4,628
1	J.P. Morgan	LME Aluminum Futures^	7/2014		(46,948	)		(46,652	)		296
22	J.P. Morgan	LME Aluminum Futures^	8/2014		(980,305	)		(1,028,671	)		(48,366	)
16	J.P. Morgan	LME Aluminum Futures^	8/2014		(715,116	)		(749,064	)		(33,948	)
3	J.P. Morgan	LME Aluminum Futures^	8/2014		(133,521	)		(140,485	)		(6,964	)
18	J.P. Morgan	LME Aluminum Futures^	8/2014		(795,760	)		(843,120	)		(47,360	)
5	J.P. Morgan	LME Aluminum Futures^	8/2014		(221,351	)		(234,436	)		(13,085	)
11	J.P. Morgan	LME Aluminum Futures^	8/2014		(488,019	)		(516,664	)		(28,645	)
12	J.P. Morgan	LME Aluminum Futures^	8/2014		(531,507	)		(563,775	)		(32,268	)
5	J.P. Morgan	LME Aluminum Futures^	8/2014		(219,900	)		(234,907	)		(15,007	)
20	J.P. Morgan	LME Aluminum Futures^	8/2014		(887,858	)		(939,625	)		(51,767	)
18	J.P. Morgan	LME Aluminum Futures^	8/2014		(827,963	)		(846,855	)		(18,892	)
24	J.P. Morgan	LME Aluminum Futures^	8/2014		(1,100,306	)		(1,129,410	)		(29,104	)
5	J.P. Morgan	LME Aluminum Futures^	9/2014		(231,865	)		(235,515	)		(3,650	)
7	J.P. Morgan	LME Aluminum Futures^	9/2014		(321,985	)		(329,798	)		(7,813	)
5	J.P. Morgan	LME Aluminum Futures^	9/2014		(227,490	)		(235,625	)		(8,135	)
26	J.P. Morgan	LME Aluminum Futures^	9/2014		(1,196,571	)		(1,225,536	)		(28,965	)
3	J.P. Morgan	LME Aluminum Futures^	9/2014		(142,494	)		(141,541	)		953
6	J.P. Morgan	LME Aluminum Futures^	9/2014		(284,388	)		(283,148	)		1,240
9	J.P. Morgan	LME Aluminum Futures^	9/2014		(421,856	)		(424,822	)		(2,966	)
11	J.P. Morgan	LME Aluminum Futures^	9/2014		(508,377	)		(519,348	)		(10,971	)
65	J.P. Morgan	LME Aluminum Futures^	9/2014		(2,990,515	)		(3,072,469	)		(81,954	)
6	J.P. Morgan	LME Aluminum Futures^	9/2014		(283,488	)		(283,632	)		(144	)
1	J.P. Morgan	LME Aluminum Futures^	9/2014		(47,752	)		(47,273	)		479
15	J.P. Morgan	LME Copper Futures^	7/2014		(2,487,553	)		(2,639,850	)		(152,297	)
8	J.P. Morgan	LME Copper Futures^	7/2014		(1,332,383	)		(1,407,600	)		(75,217	)
7	J.P. Morgan	LME Copper Futures^	7/2014		(1,144,485	)		(1,231,475	)		(86,990	)
1	J.P. Morgan	LME Copper Futures^	7/2014		(166,373	)		(175,900	)		(9,527	)

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

126 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
19	J.P. Morgan	LME Copper Futures^	7/2014		$(3,147,310	)		$(3,341,116	)		$(193,806	)
9	J.P. Morgan	LME Copper Futures^	7/2014		(1,492,856	)		(1,582,571	)		(89,715	)
3	J.P. Morgan	LME Copper Futures^	7/2014		(503,769	)		(527,504	)		(23,735	)
15	J.P. Morgan	LME Copper Futures^	7/2014		(2,536,094	)		(2,637,311	)		(101,217	)
6	J.P. Morgan	LME Copper Futures^	8/2014		(991,188	)		(1,054,800	)		(63,612	)
6	J.P. Morgan	LME Copper Futures^	8/2014		(1,006,488	)		(1,054,800	)		(48,312	)
8	J.P. Morgan	LME Copper Futures^	8/2014		(1,373,983	)		(1,406,400	)		(32,417	)
11	J.P. Morgan	LME Copper Futures^	8/2014		(1,898,852	)		(1,933,800	)		(34,948	)
22	J.P. Morgan	LME Copper Futures^	8/2014		(3,827,529	)		(3,867,600	)		(40,071	)
1	J.P. Morgan	LME Copper Futures^	8/2014		(171,498	)		(175,738	)		(4,240	)
13	J.P. Morgan	LME Copper Futures^	8/2014		(2,265,223	)		(2,283,518	)		(18,295	)
28	J.P. Morgan	LME Copper Futures^	8/2014		(4,807,942	)		(4,918,319	)		(110,377	)
1	J.P. Morgan	LME Copper Futures^	9/2014		(172,998	)		(175,653	)		(2,655	)
5	J.P. Morgan	LME Copper Futures^	9/2014		(858,740	)		(878,260	)		(19,520	)
4	J.P. Morgan	LME Copper Futures^	9/2014		(677,492	)		(702,604	)		(25,112	)
14	J.P. Morgan	LME Copper Futures^	9/2014		(2,331,321	)		(2,458,663	)		(127,342	)
10	J.P. Morgan	LME Copper Futures^	9/2014		(1,716,979	)		(1,756,000	)		(39,021	)
6	J.P. Morgan	LME Copper Futures^	9/2014		(1,007,613	)		(1,052,894	)		(45,281	)
21	J.P. Morgan	LME Copper Futures^	9/2014		(3,610,644	)		(3,684,377	)		(73,733	)
4	J.P. Morgan	LME Copper Futures^	9/2014		(687,942	)		(701,714	)		(13,772	)
8	J.P. Morgan	LME Copper Futures^	9/2014		(1,388,871	)		(1,403,286	)		(14,415	)
10	Goldman Sachs	LME Copper Futures^	9/2014		(785,306	)		(800,875	)		(15,569	)
3	J.P. Morgan	LME Copper Futures^	9/2014		(520,119	)		(526,125	)		(6,006	)
1	J.P. Morgan	LME Nickel Futures^	7/2014		(98,506	)		(113,853	)		(15,347	)
2	J.P. Morgan	LME Nickel Futures^	7/2014		(196,916	)		(227,718	)		(30,802	)
2	J.P. Morgan	LME Nickel Futures^	8/2014		(218,756	)		(227,995	)		(9,239	)
3	J.P. Morgan	LME Nickel Futures^	8/2014		(333,201	)		(342,085	)		(8,884	)
1	J.P. Morgan	LME Nickel Futures^	8/2014		(111,388	)		(114,035	)		(2,647	)
1	J.P. Morgan	LME Nickel Futures^	8/2014		(116,716	)		(114,041	)		2,675
11	J.P. Morgan	LME Zinc Futures^	7/2014		(559,946	)		(608,644	)		(48,698	)
8	J.P. Morgan	LME Zinc Futures^	7/2014		(410,583	)		(442,600	)		(32,017	)
6	J.P. Morgan	LME Zinc Futures^	7/2014		(307,488	)		(331,913	)		(24,425	)
9	J.P. Morgan	LME Zinc Futures^	7/2014		(460,781	)		(497,812	)		(37,031	)
12	J.P. Morgan	LME Zinc Futures^	7/2014		(620,975	)		(663,675	)		(42,700	)
16	J.P. Morgan	LME Zinc Futures^	7/2014		(835,167	)		(884,652	)		(49,485	)
7	J.P. Morgan	LME Zinc Futures^	7/2014		(362,804	)		(387,009	)		(24,205	)
2	J.P. Morgan	LME Zinc Futures^	7/2014		(103,721	)		(110,567	)		(6,846	)
5	J.P. Morgan	LME Zinc Futures^	7/2014		(258,240	)		(276,378	)		(18,138	)
1	J.P. Morgan	LME Zinc Futures^	7/2014		(51,448	)		(55,272	)		(3,824	)
3	J.P. Morgan	LME Zinc Futures^	7/2014		(153,819	)		(165,803	)		(11,984	)
5	J.P. Morgan	LME Zinc Futures^	9/2014		(266,240	)		(277,184	)		(10,944	)
7	J.P. Morgan	LME Zinc Futures^	9/2014		(370,110	)		(388,113	)		(18,003	)
9	J.P. Morgan	LME Zinc Futures^	9/2014		(474,956	)		(499,074	)		(24,118	)
2	J.P. Morgan	LME Zinc Futures^	9/2014		(105,496	)		(110,921	)		(5,425	)
7	J.P. Morgan	LME Zinc Futures^	9/2014		(378,585	)		(388,368	)		(9,783	)
8	J.P. Morgan	LME Zinc Futures^	9/2014		(438,583	)		(443,700	)		(5,117	)
1	J.P. Morgan	LME Zinc Futures^	9/2014		(54,373	)		(55,453	)		(1,080	)
1	J.P. Morgan	LME Zinc Futures^	9/2014		(54,798	)		(55,444	)		(646	)
1	J.P. Morgan	LME Zinc Futures^	9/2014		(54,748	)		(55,425	)		(677	)
176	Goldman Sachs	Soybean Futures^	11/2014		(10,751,160	)		(10,183,800	)		567,360
322	Goldman Sachs	Sugar #11 (World Markets) Futures^	9/2014		(6,348,288	)		(6,495,126	)		(146,838	)
248	Goldman Sachs	Wheat Futures^	9/2014		(7,736,499	)		(7,424,912	)		311,587
231	Barclays Capital	Amsterdam Index Futures	7/2014		(26,219,002	)		(26,142,881	)		76,121
563	J.P. Morgan	BIST National 30 Index Futures	8/2014		(2,593,252	)		(2,600,945	)		(7,693	)
109	Barclays Capital	CAC40 Index Futures	7/2014		(6,730,789	)		(6,599,998	)		130,791
557	Barclays Capital	E-Mini Russell 2000 Futures	9/2014		(64,876,995	)		(66,299,710	)		(1,422,715	)

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

AQR Funds Semi-Annual Report June 2014 127

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
53	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures	7/2014		$(1,561,238	)		$(1,554,430	)		$6,808
55	Barclays Capital	H-SHARES Index Futures	7/2014		(3,600,002	)		(3,634,070	)		(34,068	)
81	Barclays Capital	KOSPI Index 200 Futures	9/2014		(10,402,049	)		(10,431,212	)		(29,163	)
1,788	Barclays Capital	MSCI Emerging Markets E-Mini Futures	9/2014		(92,687,310	)		(93,038,580	)		(351,270	)
2,049	Barclays Capital	S&P 500 E-Mini Futures	9/2014		(198,138,106	)		(200,023,381	)		(1,885,275	)
685	Barclays Capital	SET50 Index Futures	9/2014		(4,129,579	)		(4,183,238	)		(53,659	)
80	Barclays Capital	SGX S&P CNX Nifty Index Futures	7/2014		(1,215,129	)		(1,220,240	)		(5,111	)
64	Barclays Capital	SPI 200 Index Futures	9/2014		(8,180,868	)		(8,077,687	)		103,181
31	J.P. Morgan	10-Year Japanese Government Bond	9/2014		(44,432,842	)		(44,569,863	)		(137,021	)
1,235	J.P. Morgan	3-Month Euro Euribor Futures	12/2014		(421,678,803	)		(422,094,942	)		(416,139	)
1,049	J.P. Morgan	3-Month Euro Euribor Futures	3/2015		(358,069,970	)		(358,506,412	)		(436,442	)
739	J.P. Morgan	3-Month Euro Euribor Futures	6/2015		(252,485,806	)		(252,535,463	)		(49,657	)
256	J.P. Morgan	90-Day EURODollar Futures	6/2015		(63,635,196	)		(63,670,400	)		(35,204	)
353	J.P. Morgan	90-Day Sterling Futures	9/2015		(74,338,416	)		(74,329,930	)		8,486
372	J.P. Morgan	90-Day Sterling Futures	12/2015		(78,179,770	)		(78,155,615	)		24,155
373	J.P. Morgan	90-Day Sterling Futures	3/2016		(78,231,751	)		(78,214,102	)		17,649
380	J.P. Morgan	90-Day Sterling Futures	6/2016		(79,599,616	)		(79,535,603	)		64,013
2,415	J.P. Morgan	Australia 10-Year Bond Futures	9/2014		(269,208,086	)		(274,342,482	)		(5,134,396	)
893	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	12/2014		(206,596,776	)		(206,564,571	)		32,205
628	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	3/2015		(145,210,105	)		(145,207,160	)		2,945
932	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	6/2015		(215,390,983	)		(215,367,509	)		23,474
103	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	12/2014		(29,047,949	)		(29,045,698	)		2,251
14	J.P. Morgan	Euro CHF 3-Month LIFFE Futures	3/2015		(3,948,213	)		(3,947,959	)		254
12	J.P. Morgan	Mini Japanese 10-Year Treasury Bond	9/2014		(1,719,670	)		(1,725,167	)		(5,497	)
6	J.P. Morgan	U.S. Treasury 2-Year Note Futures	9/2014		(1,318,302	)		(1,317,563	)		739
7	J.P. Morgan	U.S. Treasury 5-Year Note Futures	9/2014		(837,312	)		(836,227	)		1,085
					(2,870,759,217	)		(2,880,438,119	)		(9,678,902	)
					$(1,018,846,098	)		$(1,027,715,538	)		$(8,869,440	)

Cash held as collateral at Barclays Capital, Deutsche Bank, Goldman Sachs and J.P. Morgan for futures contracts was $48,837,328, $2,079, $10,272,190 and $17,334,917, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

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

128 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		109,126,500		$100,794,226		$102,327,841		$1,533,615
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		109,126,500		100,794,391		102,327,841		1,533,450
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		107,937,500		46,678,040		47,772,853		1,094,813
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		107,937,500		46,678,027		47,772,853		1,094,826
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		18,035,500		16,620,808		16,869,520		248,712
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		18,035,500		16,620,841		16,869,520		248,679
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		1,306,000		1,461,424		1,473,698		12,274
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		1,306,000		1,461,421		1,473,698		12,277
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		200,000,000		359,487		358,695		(792	)
Chilean Peso, Expiring 09/17/14*	The Royal Bank of Scotland	CLP		200,000,000		359,491		358,695		(796	)
Columbian Peso, Expiring 09/17/14*	Credit Suisse International	COP		1,493,000,000		781,060		790,873		9,813
Columbian Peso, Expiring 09/17/14*	The Royal Bank of Scotland	COP		1,493,000,000		781,063		790,873		9,810
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		5,500,000		273,344		274,626		1,282
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		5,500,000		273,329		274,626		1,297
Danish Krone, Expiring 09/17/14	Credit Suisse International	DKK		1,313,500		239,828		241,346		1,518
Danish Krone, Expiring 09/17/14	The Royal Bank of Scotland	DKK		1,313,500		239,828		241,346		1,518
Euro, Expiring 09/17/14	Credit Suisse International	EUR		40,093,500		54,567,471		54,916,179		348,708
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		42,052,500		57,227,346		57,599,427		372,081
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		53,983,498		91,015,892		92,327,786		1,311,894
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		53,983,498		91,016,166		92,327,786		1,311,620
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		2,891,199,999		12,896,831		12,745,745		(151,086	)
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		2,891,199,999		12,896,754		12,745,745		(151,009	)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		4,000,000		1,163,337		1,165,168		1,831
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		4,000,000		1,163,715		1,165,168		1,453
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		928,230,000		15,442,578		15,140,527		(302,051	)
Indian Rupee, Expiring 09/17/14*	The Royal Bank of Scotland	INR		928,230,000		15,442,487		15,140,527		(301,960	)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		4,280,558,500		42,078,924		42,278,096		199,172

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

AQR Funds Semi-Annual Report June 2014 129

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		5,297,276,500		$52,058,883		$52,319,987		$261,104
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		46,765,584,504		45,600,673		46,075,092		474,419
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		47,465,584,503		46,286,409		46,764,758		478,349
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		10,000,000		770,452		766,685		(3,767	)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		10,000,000		770,451		766,685		(3,766	)
Malaysian Ringgit, Expiring 09/17/14*	Credit Suisse International	MYR		36,891,500		11,349,364		11,418,776		69,412
Malaysian Ringgit, Expiring 09/17/14*	The Royal Bank of Scotland	MYR		36,891,500		11,349,325		11,418,776		69,451
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		100,598,002		16,705,736		16,351,516		(354,220	)
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		100,598,000		16,705,668		16,351,515		(354,153	)
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		219,160,500		184,778,965		190,476,394		5,697,429
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		219,160,498		184,778,556		190,476,391		5,697,835
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		10,000,000		229,149		228,755		(394	)
Philippine Peso, Expiring 09/17/14*	The Royal Bank of Scotland	PHP		10,000,000		229,152		228,755		(397	)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		66,646,500		21,851,699		21,838,618		(13,081	)
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		66,646,499		21,851,517		21,838,619		(12,898	)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		1,448,267,000		40,998,869		41,855,891		857,022
Russian Ruble, Expiring 09/17/14*	The Royal Bank of Scotland	RUB		1,468,267,000		41,569,430		42,433,904		864,474
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		69,709,500		10,487,789		10,424,795		(62,994	)
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		69,709,500		10,487,897		10,424,795		(63,102	)
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		6,350,000		5,079,288		5,092,780		13,492
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		6,350,000		5,079,206		5,092,780		13,574
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		56,159,500		26,157,873		26,086,847		(71,026	)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		56,159,500		26,157,716		26,086,847		(70,869	)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		330,927,999		11,053,508		11,094,434		40,926
Taiwanese Dollar, Expiring 09/17/14*	The Royal Bank of Scotland	TWD		330,927,998		11,053,597		11,094,434		40,837
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		26,413,500		2,436,849		2,451,410		14,561
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		26,413,499		2,436,837		2,451,410		14,573
						$1,537,642,967		$1,559,682,707		$22,039,740

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

130 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		(16,790,000)		$(15,699,458)		$(15,743,972)		$(44,514)
Australian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	AUD		(16,790,000)		(15,699,329)		(15,743,972)		(44,643)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		(39,550,000)		(17,001,304)		(17,504,726)		(503,422)
Brazilian Real, Expiring 09/17/14*	The Royal Bank of Scotland	BRL		(39,550,000)		(17,001,037)		(17,504,726)		(503,689)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(26,531,499)		(24,337,357)		(24,816,261)		(478,904)
Canadian Dollar, Expiring 09/17/14	The Royal Bank of Scotland	CAD		(26,894,498)		(24,670,633)		(25,155,792)		(485,159)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		(29,408,500)		(32,856,586)		(33,184,716)		(328,130)
Swiss Franc, Expiring 09/17/14	The Royal Bank of Scotland	CHF		(35,565,500)		(39,721,320)		(40,132,309)		(410,989)
Chilean Peso, Expiring 09/17/14*	Credit Suisse International	CLP		(8,161,958,500)		(14,670,182)		(14,638,261)		31,921
Chilean Peso, Expiring 09/17/14*	The Royal Bank of Scotland	CLP		(8,161,958,500)		(14,670,248)		(14,638,261)		31,987
Czech Republic Koruna, Expiring 09/17/14	Credit Suisse International	CZK		(134,973,000)		(6,705,223)		(6,739,495)		(34,272)
Czech Republic Koruna, Expiring 09/17/14	The Royal Bank of Scotland	CZK		(134,973,000)		(6,705,259)		(6,739,495)		(34,236)
Danish Krone, Expiring 09/17/14	The Royal Bank of Scotland	DKK		(7,968,000)		(1,453,253)		(1,464,059)		(10,806)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(56,247,774)		(76,531,734)		(77,042,735)		(511,001)
Euro, Expiring 09/17/14	The Royal Bank of Scotland	EUR		(57,010,773)		(77,567,019)		(78,087,816)		(520,797)
Euro, Expiring 04/07/15	The Royal Bank of Scotland	EUR		(3,562)		(4,716)		(4,884)		(168)
Euro, Expiring 06/09/15	The Royal Bank of Scotland	EUR		(110,000)		(141,776)		(150,891)		(9,115)
Euro, Expiring 11/09/15	The Royal Bank of Scotland	EUR		(46,110)		(59,499)		(63,436)		(3,937)
Euro, Expiring 04/05/16	The Royal Bank of Scotland	EUR		(3,562)		(4,730)		(4,915)		(185)
Euro, Expiring 04/05/17	The Royal Bank of Scotland	EUR		(3,562)		(4,751)		(4,995)		(244)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(5,318,000)		(8,891,660)		(9,095,356)		(203,696)
British Pound, Expiring 09/17/14	The Royal Bank of Scotland	GBP		(6,157,000)		(10,293,681)		(10,530,295)		(236,614)
Hong Kong Dollar, Expiring 09/17/14	Credit Suisse International	HKD		(82,798,500)		(10,681,361)		(10,678,831)		2,530
Hong Kong Dollar, Expiring 09/17/14	The Royal Bank of Scotland	HKD		(82,798,500)		(10,681,403)		(10,678,831)		2,572
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		(1,270,000,000)		(5,591,848)		(5,598,748)		(6,900)
Hungarian Forint, Expiring 09/17/14	The Royal Bank of Scotland	HUF		(1,270,000,000)		(5,591,250)		(5,598,748)		(7,498)
Indonesian Rupiah, Expiring 09/17/14*	Credit Suisse International	IDR		(38,748,640,496)		(3,220,534)		(3,220,632)		(98)

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

AQR Funds Semi-Annual Report June 2014 131

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Indonesian Rupiah, Expiring 09/17/14*	The Royal Bank of Scotland	IDR		(38,748,640,498)		$(3,220,513)		$(3,220,632)		$(119)
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		(63,712,501)		(18,380,450)		(18,558,923)		(178,473)
Israeli Shekel, Expiring 09/17/14	The Royal Bank of Scotland	ILS		(63,712,500)		(18,380,314)		(18,558,922)		(178,608)
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		(245,000,000)		(4,018,325)		(3,996,240)		22,085
Indian Rupee, Expiring 09/17/14*	The Royal Bank of Scotland	INR		(245,000,000)		(4,018,313)		(3,996,240)		22,073
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(10,949,698,499)		(107,001,567)		(108,147,665)		(1,146,098)
Japanese Yen, Expiring 09/17/14	The Royal Bank of Scotland	JPY		(11,678,032,497)		(114,096,887)		(115,341,254)		(1,244,367)
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		(1,150,000,000)		(1,125,303)		(1,133,021)		(7,718)
Korean Won, Expiring 09/17/14*	The Royal Bank of Scotland	KRW		(1,450,000,000)		(1,417,977)		(1,428,592)		(10,615)
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		(982,393,001)		(75,296,364)		(75,318,496)		(22,132)
Mexican Peso, Expiring 09/17/14	The Royal Bank of Scotland	MXN		(982,393,001)		(75,294,733)		(75,318,496)		(23,763)
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		(424,679,000)		(69,892,669)		(69,028,660)		864,009
Norwegian Krone, Expiring 09/17/14	The Royal Bank of Scotland	NOK		(435,528,000)		(71,675,626)		(70,792,091)		883,535
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		(16,473,500)		(13,828,014)		(14,317,420)		(489,406)
New Zealand Dollar, Expiring 09/17/14	The Royal Bank of Scotland	NZD		(16,473,500)		(13,828,490)		(14,317,420)		(488,930)
Peru Nuevo Sol, Expiring 09/17/14*	Credit Suisse International	PEN		(360,000)		(128,617)		(127,568)		1,049
Peru Nuevo Sol, Expiring 09/17/14*	The Royal Bank of Scotland	PEN		(360,000)		(128,617)		(127,568)		1,049
Philippine Peso, Expiring 09/17/14*	Credit Suisse International	PHP		(32,400,000)		(737,628)		(741,165)		(3,537)
Philippine Peso, Expiring 09/17/14*	The Royal Bank of Scotland	PHP		(32,400,000)		(737,632)		(741,165)		(3,533)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		(4,700,000)		(1,530,373)		(1,540,089)		(9,716)
Poland Zloty, Expiring 09/17/14	The Royal Bank of Scotland	PLN		(4,700,000)		(1,530,440)		(1,540,089)		(9,649)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		(10,000,000)		(288,142)		(289,006)		(864)
Russian Ruble, Expiring 09/17/14*	The Royal Bank of Scotland	RUB		(10,000,000)		(288,138)		(289,006)		(868)
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		(972,455,000)		(145,482,524)		(145,427,008)		55,516
Swedish Krona, Expiring 09/17/14	The Royal Bank of Scotland	SEK		(990,177,999)		(148,135,841)		(148,077,416)		58,425
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		(106,084,000)		(84,423,601)		(85,080,718)		(657,117)
Singapore Dollar, Expiring 09/17/14	The Royal Bank of Scotland	SGD		(106,084,000)		(84,424,050)		(85,080,719)		(656,669)
Thailand Baht, Expiring 09/17/14	Credit Suisse International	THB		(53,760,500)		(1,634,421)		(1,650,531)		(16,110)

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

132 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD		VALUE AT SETTLEMENT DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Thailand Baht, Expiring 09/17/14	The Royal Bank of Scotland	THB		(53,760,500)		$(1,634,430)		$(1,650,531)		$(16,101)
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		(57,800,000)		(26,751,266)		(26,848,881)		(97,615)
Turkish Lira, Expiring 09/17/14	The Royal Bank of Scotland	TRY		(57,800,000)		(26,750,393)		(26,848,881)		(98,488)
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		(92,500,000)		(8,547,834)		(8,584,827)		(36,993)
South African Rand, Expiring 09/17/14	The Royal Bank of Scotland	ZAR		(92,500,000)		(8,547,931)		(8,584,827)		(36,896)
						(1,573,634,574)		(1,581,471,225)		(7,836,651)
						$(35,991,607)		$(21,788,518)		$14,203,089

Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $8,401 at June 30, 2014. Cash held as collateral for Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts were $9,180,000 and $3,480,000, respectively at June 30, 2014.

* Non deliverable forward. See Note 3 in the Notes to Financial Statements.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Columbian Peso

CZK - Czech Republic Koruna

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

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

PEN - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

THB - Thailand Baht

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Semi-Annual Report June 2014 133

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at June 30, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Bank of America	The Fund receives or pays the total return on a portfolio of short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	5.5 years maturity 08/12/2019		$(94,408)

* See the accompanying “Additional Information — Total Return Basket Swaps” for further details.

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Cayman Islands
Herbalife Ltd.		(22,591	)	$	(1,463,671	)	$	5,648
Net Cash and Other Receivables/ (Payables) (b)								(100,056	)
Swaps, at Value							$	(94,408	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged as collateral for this position to Bank of America is included in the collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	24 months maturity 12/22/2014		$1,107,463

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
DCC PLC		24,076	$	1,362,777	$	112,612

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
Coca-Cola HBC AG		365	$	8,638	$	(258	)
Wolseley PLC		41,749		2,318,506		(31,450	)
						(31,708	)

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

134 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Anglo American PLC		12,674	$	338,616	$	(27,997	)
Ashtead Group PLC		84,231		1,293,907		(33,818	)
Associated British Foods PLC		85,296		4,277,599		170,803
Aviva PLC		811,700		6,225,028		856,878
Babcock International Group PLC		375,211		6,850,585		607,454
BAE Systems PLC		461,165		3,124,794		290,933
Barratt Developments PLC		517,769		2,852,380		455,870
Berkeley Group Holdings PLC		9,124		348,869		28,245
BP PLC		586,232		4,757,348		404,967
British Sky Broadcasting Group PLC		5,245		74,213		6,903
BT Group PLC		310,057		1,995,372		42,032
Centrica PLC		66,905		396,525		(39,010	)
Cobham PLC		27,298		144,541		1,302
Compass Group PLC		47,332		759,987		62,948
Darty PLC		13,527		13,835		8,955
Direct Line Insurance Group PLC		675,313		2,844,342		272,135
Drax Group PLC		241,007		2,577,562		61,008
DS Smith PLC		349,426		1,786,652		(131,916	)
Experian PLC		19,922		353,055		(16,469	)
G4S PLC		130,471		542,258		27,355
GKN PLC		1,005,477		4,984,524		1,257,457
GlaxoSmithKline PLC		60,044		1,634,111		(35,428	)
HSBC Holdings PLC		189,334		1,997,041		(76,233	)
Imperial Tobacco Group PLC		37,307		1,593,629		84,741
Inchcape PLC		285,979		2,478,443		623,854
Inmarsat PLC		20,437		255,586		5,631
Investec PLC		326,039		2,410,744		593,121
ITV PLC		1,231,769		3,953,938		(200,181	)
J Sainsbury PLC		414,749		2,702,731		(463,934	)
Kazakhmys PLC		2,043		10,449		165
Kingfisher PLC		572,254		3,762,116		(249,106	)
Legal & General Group PLC		502,297		1,486,549		448,550
Lloyds Banking Group PLC		2,962,317		3,788,939		(23,615	)
Michael Page International PLC		3,469		29,744		(4,168	)
Mondi PLC		147,878		2,545,865		138,846
National Grid PLC		109,182		1,463,973		107,900
Next PLC		74,843		6,113,278		2,172,075
Reckitt Benckiser Group PLC		34,884		2,832,623		209,093
Rexam PLC		41,431		406,213		(27,000	)
Rolls-Royce Holdings PLC		10,986		171,285		29,437
Rolls-Royce Holdings PLC		3,855,314		132		6,466
RSA Insurance Group PLC		2,539		20,000		621

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Serco Group PLC		301,724		$	2,312,358		$	(427,470	)
Severn Trent PLC		18,312			553,108			52,246
Shire PLC		34,922			1,883,822			855,568
Smith & Nephew PLC		21,920			303,678			84,262
Smiths Group PLC		22,351			515,119			(19,826	)
Spirax-Sarco Engineering PLC		5,418			264,793			(11,542	)
Standard Life PLC		163,485			1,017,910			27,984
Tate & Lyle PLC		336,335			4,230,763			(295,659	)
Tesco PLC		500,320			2,952,924			(521,276	)
Travis Perkins PLC		181,157			5,203,872			(130,506	)
United Utilities Group PLC		40,391			516,257			93,249
Vodafone Group PLC		49,479			193,004			(27,632	)
Whitbread PLC		4,439			321,657			13,223
William Hill PLC		417,178			2,895,055			(552,789	)
WPP PLC		63,179			1,399,934			(23,145	)
								6,763,557
Total of Long Equity Positions								6,844,461
Short Positions
United Kingdom
Admiral Group PLC		(120,775	)		(2,576,671	)		(623,467	)
Aggreko PLC		(194,849	)		(5,690,846	)		189,645
AMEC PLC		(55,037	)		(1,070,956	)		(71,879	)
Antofagasta PLC		(158,688	)		(2,199,704	)		126,611
ARM Holdings PLC		(108,891	)		(1,674,036	)		36,655
Barclays PLC		(153,469	)		(623,942	)		64,888
BG Group PLC		(102,189	)		(2,037,509	)		(118,820	)
British American Tobacco PLC		(74,216	)		(3,906,107	)		(509,914	)
Bunzl PLC		(84,864	)		(2,038,284	)		(317,669	)
Burberry Group PLC		(425,160	)		(10,383,381	)		(407,622	)
Capita PLC		(87,099	)		(1,296,135	)		(410,245	)
Carnival PLC		(57,922	)		(2,360,905	)		176,026
Croda International PLC		(75,013	)		(3,191,956	)		366,882
Diageo PLC		(149,315	)		(4,847,495	)		91,946
Eurasian Natural Resources Corp. PLC		(2,433	)		(9,254	)		(112	)
ICAP PLC		(347,404	)		(2,149,706	)		(107,355	)
IMI PLC		(154,173	)		(3,845,911	)		(74,305	)
Informa PLC		(54,819	)		(481,034	)		31,902
InterContinental Hotels Group PLC		(84,418	)		(2,723,277	)		(769,211	)
Intertek Group PLC		(111,594	)		(5,934,816	)		687,941
John Wood Group PLC		(22,496	)		(293,596	)		(16,584	)
Johnson Matthey PLC		(87,956	)		(4,144,622	)		(519,286	)
Lonmin PLC		(104,325	)		(469,349	)		45,845
Man Group PLC		(1,396,294	)		(2,229,978	)		(282,962	)
Marks & Spencer Group PLC		(339,887	)		(2,559,471	)		87,029
Meggitt PLC		(73,184	)		(615,118	)		(18,513	)
Old Mutual PLC		(252,036	)		(818,220	)		(33,527	)

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

AQR Funds Semi-Annual Report June 2014 135

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Pearson PLC		(286,012	)	$	(6,053,623	)	$	406,454
Pennon Group PLC		(79,458	)		(867,349	)		(200,667	)
Petrofac Ltd.		(204,463	)		(4,423,391	)		217,627
Prudential PLC		(172,093	)		(3,691,597	)		(251,304	)
Royal Bank of Scotland Group PLC		(103,862	)		(603,778	)		20,051
SABMiller PLC		(107,622	)		(5,382,714	)		(854,519	)
Sports Direct International PLC		(107,109	)		(1,438,249	)		143,947
SSE PLC		(10,160	)		(247,276	)		(24,901	)
Standard Chartered PLC		(64,823	)		(1,083,852	)		(241,136	)
Taylor Wimpey PLC		(764,894	)		(1,431,588	)		(59,227	)
Telecity Group PLC		(78,367	)		(1,012,778	)		2,027
Vedanta Resources PLC		(27,104	)		(380,213	)		(133,825	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Weir Group PLC/The		(233,072	)	$	(8,165,599	)	$	(2,277,772	)
WM Morrison Supermarkets PLC		(409,192	)		(1,389,640	)		106,306
Total of Short Equity Positions								(5,523,040	)
Total of Long and Short Equity Positions								1,321,421
Net Cash and Other Receivables/(Payables) (b)								(213,958	)
Swaps, at Value							$	1,107,463

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund is pledged as collateral to Deutsche Bank in the amount of $34,482,960 for the total return basket swaps at June 30, 2014.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	24 months maturity 12/22/2014		$6,126,216

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Aeroports de Paris		5,356	$	663,380	$	42,737
Airbus Group NV		38,690		2,318,766		275,321
Arkema SA		52,717		5,723,154		(600,836	)
AtoS		55,580		4,067,863		561,438
Cap Gemini SA		38,161		1,895,408		827,905
Casino Guichard Perrachon SA		1,691		223,873		321

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Cie Generale des Etablissements Michelin		63,730		6,198,745		1,410,758
CNP Assurances		16,436		358,285		(17,158	)
Eiffage SA		3,307		241,898		(17,032	)
Etablissements Maurel et Prom		29,465		497,346		7,742
GDF Suez		52,338		1,495,942		(53,949	)

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

136 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Groupe Eurotunnel SA		49,386		$	593,948		$	74,200
Iliad SA		15,053			3,717,523			836,140
Imerys SA		8,207			690,323			1,810
JCDecaux SA		9,927			393,785			(23,024	)
Lagardere SCA		114,973			3,839,982			(93,981	)
Natixis		64,625			448,239			(33,482	)
Orange SA		297,228			4,498,313			204,523
Publicis Groupe SA		9,310			754,825			34,258
Renault SA		56,637			4,541,345			578,340
Rexel SA		182,297			4,316,653			(53,169	)
Safran SA		3,469			197,778			29,320
Sanofi		27,748			2,700,025			249,298
SCOR SE		957			33,355			(403	)
SES SA		28,098			1,028,850			37,391
Societe BIC SA		17,367			2,046,535			329,929
Societe Generale SA		983			57,502			(5,951	)
Suez Environnement Co.		294,100			4,258,884			1,367,300
Thales SA		25,395			1,343,046			192,448
Total SA		98,112			5,872,498			1,225,875
Valeo SA		82,798			5,564,602			5,544,790
Vivendi SA		200,641			4,776,715			133,284
Wendel SA		1,078			160,797			(6,358	)
								13,059,785
Total of Long Equity Positions								13,059,785
Short Positions
France
Accor SA		(33,112	)		(1,221,396	)		(499,618	)
Air France-KLM		(56,844	)		(792,578	)		76,108
Air Liquide SA		(5,401	)		(720,113	)		(9,718	)
Alcatel-Lucent		(1,388,586	)		(2,552,438	)		(2,439,633	)
Alstom SA		(79,071	)		(2,575,521	)		(296,130	)
Bouygues SA		(30,142	)		(947,285	)		(306,929	)
Carrefour SA		(38,638	)		(1,391,247	)		(33,498	)
CGG SA		(136,571	)		(2,699,077	)		764,306
Christian Dior SA		(4,305	)		(786,475	)		(70,644	)
Cie de St-Gobain		(27,044	)		(1,378,787	)		(147,096	)
Credit Agricole SA		(4,489	)		(68,610	)		5,231
Danone SA		(5,304	)		(364,458	)		(29,939	)
Dassault Systemes SA		(3,700	)		(469,726	)		(6,024	)
Edenred		(6,548	)		(198,477	)		(85	)
Electricite de France SA		(49,737	)		(1,578,992	)		12,879

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Essilor International SA		(6,330	)	$	(662,432	)	$	(8,396	)
Eutelsat Communications SA		(87,365	)		(2,938,819	)		(97,088	)
Faurecia		(28,346	)		(835,125	)		(234,485	)
Hermes International		(2,669	)		(946,695	)		(38,928	)
Ingenico		(5,673	)		(501,064	)		7,673
Kering		(21,614	)		(4,637,841	)		(103,645	)
Lafarge SA		(23,971	)		(1,728,664	)		(355,834	)
L’Oreal SA		(8,346	)		(1,385,273	)		(51,734	)
LVMH Moet Hennessy Louis Vuitton SA		(44,311	)		(8,222,072	)		(328,571	)
Neopost SA		(13,110	)		(808,011	)		(173,859	)
Nexans SA		(1,303	)		(78,936	)		10,628
Pernod Ricard SA		(24,631	)		(2,784,878	)		(173,811	)
Peugeot SA		(219,809	)		(3,083,432	)		(168,783	)
Remy Cointreau SA		(18,729	)		(1,647,459	)		(77,065	)
Schneider Electric SE		(12,540	)		(1,041,018	)		(141,421	)
Sodexo		(3,851	)		(374,587	)		(39,777	)
Technip SA		(40,120	)		(3,783,075	)		(600,491	)
Vallourec SA		(158,770	)		(8,512,538	)		1,395,494
Veolia Environnement SA		(428,319	)		(5,204,723	)		(2,955,067	)
Vinci SA		(15,264	)		(1,123,308	)		(17,810	)
Zodiac Aerospace		(3,990	)		(97,668	)		(37,423	)
								(7,171,183	)
Total of Short Equity Positions								(7,171,183	)
Total of Long and Short Equity Positions								5,888,602
Net Cash and Other Receivables/(Payables) (b)								237,614
Swaps, at Value							$	6,126,216

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 137

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	24 months maturity 12/22/2014		$(316,650	)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
India
Reliance Industries Ltd.		43,667	$	1,299,007	$	167,201
State Bank of India		7,761		642,158		49,223
						216,424
Korea, Republic of Samsung Electronics Co., Ltd.		14,991		10,023,088		(345,670	)
Russia
Gazprom OAO		279,252		2,563,296		(136,886	)
Lukoil OAO		38,094		2,494,459		(225,254	)
MMC Norilsk Nickel OJSC		39,266		751,622		26,238
Rosneft OAO		40,251		321,855		(28,041	)
Sistema JSFC		58,835		1,709,739		102,250
Surgutneftegas OAO		134,541		1,020,596		16,946
Tatneft OAO		17,068		623,803		37,581
						(207,166	)
Total of Long Equity Positions						(336,412	)
Net Cash and Other Receivables/(Payables) (b)						19,762
Swaps, at Value					$	(316,650	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

138 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	24 months maturity 12/22/2014		$(1,310,780	)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
United Kingdom
Caracal Energy, Inc.		967,561		$	8,955,919		$	115,543
Dixons Retail PLC		281,909			217,326			22,728
Heritage Oil PLC		1,549,297			8,358,249			107,884
Kentz Corp. Ltd.		238,474			3,783,524			(5,268	)
								240,887
Total of Long Equity Positions								240,887
Short Positions
United Kingdom
AMEC PLC		(522,439	)		(9,624,247	)		(1,224,123	)
Carphone Warehouse Group PLC		(43,734	)		(223,075	)		(18,271	)
								(1,242,394	)
Total of Short Equity Positions								(1,242,394	)
Total of Long and Short Equity Positions								(1,001,507	)
Net Cash and Other Receivables/(Payables) (b)								(309,273	)
Swaps, at Value							$	(1,310,780	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 139

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	12 months maturity 10/16/2014		$(122,543	)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Australia
Australand Property Group		1,037,988		$	4,415,251		$	(70,656	)
David Jones Ltd.		4,499,719			16,708,689			11,041
Envestra Ltd.		6,869,133			7,505,252			1,294,880
Goodman Fielder Ltd.		4,968,095			3,198,541			(12,969	)
PanAust Ltd.		2,865,717			5,919,838			179,917
SAI Global Ltd.		357,488			1,715,294			10,159
								1,412,372
Total of Long Equity Positions								1,412,372
Short Positions
Australia
APA Group		(636,077	)		(3,755,006	)		(381,934	)
Stockland		(345,607	)		(1,286,656	)		22,611
								(359,323	)
Total of Short Equity Positions								(359,323	)
Total of Long and Short Equity Positions								1,053,049
Net Cash and Other Receivables/(Payables) (b)								(1,175,592	)
Swaps, at Value							$	(122,543	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swap.

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

140 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Deutsche Bank	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	12 months maturity 05/11/2015		$(8,885	)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Groupe Steria SCA		12,869		$	355,687		$	(18,414	)
Short Positions
France
Sopra Group SA		(3,206	)		(360,907	)		9,663
Total of Long and Short Equity Positions								(8,751	)
Net Cash and Other Receivables/ (Payables) (b)								(134	)
Swaps, at Value							$	(8,885	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Deutsche Bank is included in the collateral noted in the previous Deutsche Bank total return basket swaps.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate, which is denominated in USD based on the local currencies of the positions within the swap.	1 to 24 months maturity ranging from 07/24/2014 - 07/23/2015		$61,079,913

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
Alkermes PLC		39,100	$	1,558,486	$	409,417
Covidien PLC		12,700		786,739		358,547
Seagate Technology PLC		34,100		1,499,873		437,689
						1,205,653

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore
Avago Technologies Ltd.		42,800	$	1,667,752	$	1,416,844
Flextronics International Ltd.		980,000		7,852,248		2,996,352
						4,413,196

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

AQR Funds Semi-Annual Report June 2014 141

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden
Autoliv, Inc.		24,100	$	2,009,365	$	559,213
Switzerland
Allied World Assurance Co. Holdings AG		65,562		2,086,183		406,484
TE Connectivity Ltd.		203,200		9,912,407		2,653,481
Tyco International Ltd.		250,900		8,962,182		2,478,858
						5,538,823
United Kingdom
Aon PLC		24,000		1,789,123		373,037
Delphi Automotive PLC		48,600		3,056,602		284,162
Willis Group Holdings PLC		3,800		158,349		6,191
						663,390
United States
3M Co.		6,100		713,738		160,026
Aaron’s, Inc.		1,700		59,257		1,331
Abbott Laboratories		143,900		5,205,048		680,462
AbbVie, Inc.		153,700		7,806,572		868,256
Accenture PLC		34,400		2,587,568		193,328
ACE Ltd.		25,900		2,453,766		232,064
Activision Blizzard, Inc.		283,000		4,778,133		1,532,767
Acxiom Corp.		47,100		1,334,811		(313,212	)
Advance Auto Parts, Inc.		49,300		4,353,660		2,297,896
Advent Software, Inc.		15,300		504,283		(5,962	)
AECOM Technology Corp.		159,601		5,298,650		(159,497	)
AES Corp.		99,586		1,306,855		241,708
Aetna, Inc.		39,600		2,549,456		661,312
AGCO Corp.		34,400		1,935,982		(2,014	)
Agilent Technologies, Inc.		35,700		1,855,156		195,452
Akamai Technologies, Inc.		28,100		1,527,859		187,927
Alaska Air Group, Inc.		64,400		3,944,500		2,176,720
Alexion Pharmaceuticals, Inc.		44,800		7,447,667		(447,667	)
Allergan, Inc.		7,430		1,224,764		32,540
Alliant Energy Corp.		2,800		144,903		25,505
Alliant Techsystems, Inc.		14,200		1,353,401		548,263
Allscripts Healthcare Solutions, Inc.		13,500		210,163		6,512
Allstate Corp./The		26,300		1,370,230		174,106
Alpha Natural Resources, Inc.		266,700		1,280,084		(290,627	)
Altria Group, Inc.		34,800		1,295,262		164,250
Amazon.com, Inc.		28,100		9,298,516		(172,198	)
Amdocs Ltd.		58,100		2,299,724		392,049
Ameren Corp.		39,100		1,414,441		183,967
American Capital Ltd.		537,260		7,145,893		1,068,812
American Eagle Outfitters, Inc.		66,900		1,017,065		(266,447	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
American Electric Power Co., Inc.		58,300	$	2,743,881	$	507,510
American Financial Group, Inc.		49,500		2,587,860		360,360
American International Group, Inc.		15,700		822,779		34,127
American Water Works Co., Inc.		25,800		1,096,757		179,053
Ameriprise Financial, Inc.		20,500		1,995,600		464,400
AmerisourceBergen Corp.		11,435		716,362		114,505
Amgen, Inc.		49,900		5,478,152		428,511
Anadarko Petroleum Corp.		74,100		6,871,525		1,240,202
Analog Devices, Inc.		19,900		955,142		120,851
Anixter International, Inc.		1,000		81,630		18,440
ANN, Inc.		21,600		865,542		23,082
AO Smith Corp.		83,100		3,503,347		616,751
Apache Corp.		3,800		379,440		2,916
Apollo Education Group, Inc.		20,000		561,326		63,674
Applied Materials, Inc.		213,300		3,537,767		1,272,148
Archer-Daniels-Midland Co.		216,200		8,282,000		1,254,582
ARIAD Pharmaceuticals, Inc.		740,100		4,994,053		(279,616	)
Armstrong World Industries, Inc.		2,200		125,840		506
ARRIS Group, Inc.		4,158		63,481		71,778
Arrow Electronics, Inc.		55,900		2,487,398		889,521
Arthur J. & Gallager Corp.		11,600		531,530		9,030
Ascena Retail Group, Inc.		13,700		241,721		(7,451	)
Associated Banc-Corp.		48,700		810,368		70,128
Assurant, Inc.		83,400		4,635,374		831,496
AT&T, Inc.		50,400		1,775,635		6,509
Atmos Energy Corp.		8,000		350,923		76,277
Autodesk, Inc.		74,500		3,219,289		981,021
Avery Dennison Corp.		29,100		1,389,020		102,355
Avnet, Inc.		102,700		3,747,791		802,846
Axis Capital Holdings Ltd.		59,300		2,730,828		(105,024	)
Baker Hughes, Inc.		58,000		4,145,065		173,035
Ball Corp.		42,500		2,103,501		560,399
Bank of America Corp.		12,700		197,352		(2,153	)
Barnes & Noble, Inc.		64,700		1,143,118		331,395
Becton Dickinson and Co.		1,300		135,083		18,707
Best Buy Co., Inc.		211,400		6,092,334		463,180
Big Lots, Inc.		30,687		1,144,525		257,871
Biogen Idec, Inc.		34,500		8,770,086		2,108,109
Boeing Co./The		22,700		3,040,291		(152,170	)
Boston Scientific Corp.		660,500		6,582,163		1,852,422

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

142 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Brinker International, Inc.		20,100	$	831,510	$	146,355
Bristol-Myers Squibb Co.		45,800		2,205,798		15,960
Bristow Group, Inc.		5,300		368,138		59,148
Broadcom Corp.		2,200		73,321		8,343
Broadridge Financial Solutions, Inc.		37,300		1,280,169		273,003
Brocade Communications Systems, Inc.		1,556,600		10,635,994		3,684,726
Brown & Brown, Inc.		23,400		779,009		(60,395	)
Bruker Corp.		23,100		440,553		120,084
Bunge Ltd.		22,000		1,654,329		9,751
CA, Inc.		148,800		4,412,105		(135,593	)
Cabot Corp.		19,061		941,876		163,471
Cabot Oil & Gas Corp.		122,300		4,521,352		(346,030	)
Capital One Financial Corp.		65,800		4,887,800		547,280
Cardinal Health, Inc.		110,900		6,295,172		1,308,132
Career Education Corp.		127,803		472,871		125,247
CareFusion Corp.		107,700		4,164,950		611,545
Carlisle Cos., Inc.		16,500		1,119,059		310,171
Carter’s, Inc.		23,700		1,725,492		(91,851	)
Catamaran Corp.		7,600		365,995		(30,379	)
CBOE Holdings, Inc.		21,200		1,107,235		(63,983	)
CBS Corp.		69,500		3,976,705		342,025
Celanese Corp.		14,700		728,524		216,392
Celgene Corp.		101,400		7,596,476		1,111,756
CenterPoint Energy, Inc.		49,700		1,214,964		54,374
CF Industries Holdings, Inc.		16,900		3,162,641		902,316
Charles River Laboratories International, Inc.		47,700		2,276,841		276,063
Chevron Corp.		55,600		7,050,861		207,719
Chico’s FAS, Inc.		91,100		1,545,904		(848	)
Chubb Corp./The		1,100		98,409		2,978
Church & Dwight Co., Inc.		4,400		279,845		27,935
Cigna Corp.		134,800		10,965,620		1,431,936
Cimarex Energy Co.		33,600		3,584,384		1,235,872
Cinemark Holdings, Inc.		32,800		954,480		205,328
Cintas Corp.		24,300		1,155,951		388,071
Cisco Systems, Inc.		219,690		5,149,627		309,670
Civeo Corp.		8,900		180,866		41,901
CLARCOR, Inc.		400		22,032		2,708
Cleco Corp.		3,400		166,226		34,204
Cobalt International Energy, Inc.		125,400		2,274,667		26,423
Coca-Cola Enterprises, Inc.		131,700		4,924,213		1,368,413

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cognizant Technology Solutions Corp.		23,750	$	1,154,440	$	7,173
Colfax Corp.		5,800		368,893		63,439
Colgate-Palmolive Co.		18,300		1,194,570		53,124
Comcast Corp.		38,900		1,748,013		340,139
Commercial Metals Co.		203,600		3,125,793		398,523
Computer Sciences Corp.		181,800		8,782,996		2,706,764
Compuware Corp.		158,355		1,770,123		(188,156	)
Comtech Telecommunications Corp.		2,140		58,936		20,951
ConocoPhillips		130,800		9,014,904		2,198,580
Consolidated Edison, Inc.		14,600		849,347		(6,343	)
Convergys Corp.		81,834		1,649,902		104,619
Conversant, Inc.		6,769		171,429		504
Con-way, Inc.		52,600		2,146,080		505,486
Cooper Cos., Inc./The		17,300		2,188,917		155,752
Copart, Inc.		4,100		149,144		(1,708	)
CoreLogic, Inc.		48,000		1,498,940		(41,660	)
Corning, Inc.		5,000		107,756		1,994
Costco Wholesale Corp.		9,800		1,162,762		(34,194	)
Covance, Inc.		4,400		350,372		26,180
Crane Co.		42,053		2,675,373		451,688
Crocs, Inc.		62,151		839,423		94,707
Crown Holdings, Inc.		101,700		4,378,826		681,766
Cummins, Inc.		25,200		2,977,128		910,980
CVS Caremark Corp.		101,100		6,689,815		930,092
Cytec Industries, Inc.		43,200		3,247,344		1,306,800
Delta Air Lines, Inc.		251,400		5,118,045		4,616,163
Deluxe Corp.		4,400		209,430		48,322
Devon Energy Corp.		15,400		1,037,292		185,468
Diamond Offshore Drilling, Inc.		21,900		1,098,339		(11,442	)
Dillard’s, Inc.		71,200		5,916,154		2,386,478
Discover Financial Services		172,800		8,774,982		1,935,162
DISH Network Corp.		89,200		4,409,975		1,395,161
Dolby Laboratories, Inc.		1,900		64,220		17,860
Dollar General Corp.		19,897		1,132,589		8,703
Dollar Tree, Inc.		46,448		2,481,253		48,305
Domino’s Pizza, Inc.		64,800		4,117,611		618,621
Donaldson Co., Inc.		11,000		422,047		43,473
Dover Corp.		9,300		687,965		157,870
Dr Pepper Snapple Group, Inc.		13,200		640,742		132,514
Dresser-Rand Group, Inc.		4,100		242,982		18,311
Dril-Quip, Inc.		9,300		1,014,624		1,308
DST Systems, Inc.		26,200		1,915,561		499,293
DSW, Inc.		17,898		499,317		753
DTE Energy Co.		63,600		4,452,902		499,630

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

AQR Funds Semi-Annual Report June 2014 143

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
East West Bancorp., Inc.		39,000	$	1,228,065	$	136,545
Eastman Chemical Co.		6,900		555,206		47,509
eBay, Inc.		66,641		3,506,160		(170,112	)
Edison International		82,600		4,127,684		672,202
Electronic Arts, Inc.		76,800		2,203,106		551,710
Eli Lilly & Co.		61,500		3,115,172		708,283
EMCOR Group, Inc.		20,000		852,171		38,429
Endurance Specialty Holdings Ltd.		1,100		56,366		383
Energen Corp.		12,700		1,004,982		123,794
Energizer Holdings, Inc.		8,800		876,405		197,459
Entergy Corp.		14,400		978,928		203,168
EOG Resources, Inc.		91,600		8,817,548		1,886,828
Equifax, Inc.		33,500		2,058,240		371,850
Era Group, Inc.		500		12,620		1,720
Estee Lauder Cos., Inc./The		12,400		906,524		14,300
Esterline Technologies Corp.		6,900		564,834		229,494
Everest Re Group Ltd.		35,800		4,646,840		1,098,702
Exelis, Inc.		19,600		332,230		578
Express Scripts Holding Co.		46,300		2,976,172		233,807
Exxon Mobil Corp.		16,600		1,601,151		70,137
Ezcorp, Inc.		4,900		90,993		(34,398	)
Facebook, Inc.		342,700		20,249,820		2,810,463
Fair Isaac Corp.		19,423		987,849		250,562
FedEx Corp.		14,600		1,746,858		463,290
Fidelity National Information Services, Inc.		43,300		1,922,031		448,211
Fifth Third Bancorp.		103,191		1,964,938		238,189
First Republic Bank		7,100		356,960		33,469
First Solar, Inc.		72,300		2,950,466		2,187,172
Fiserv, Inc.		25,800		1,243,926		312,330
FleetCor Technologies, Inc.		34,100		4,022,648		471,732
Fluor Corp.		17,700		1,345,467		15,663
Foot Locker, Inc.		161,200		6,181,544		1,994,520
Forest Laboratories, Inc.		34,500		1,509,720		1,905,780
Fortinet, Inc.		13,000		295,530		31,160
Fossil Group, Inc.		2,900		303,178		(70	)
Frontier Communications Corp.		189,000		956,961		146,799
Fulton Financial Corp.		48,200		599,608		(2,410	)
GameStop Corp.		75,800		3,357,581		(289,955	)
Gannett Co., Inc.		33,900		899,896		161,513
Gap, Inc./The		216,800		9,555,768		(543,392	)
Gartner, Inc.		29,900		1,796,093		312,455
General Cable Corp.		37,800		1,063,284		(93,336	)
Genpact Ltd.		27,600		474,004		9,824
Genuine Parts Co.		20,600		1,694,706		113,974

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Genworth Financial, Inc.		207,300	$	3,052,975	$	554,045
Goldman Sachs Group, Inc./The		28,900		4,700,885		138,131
Goodyear Tire & Rubber Co./The		195,800		3,787,962		1,651,362
Google, Inc.		2,400		1,316,235		86,973
Graham Holdings Co.		3,132		1,845,913		403,208
Groupon, Inc.		460,700		4,087,817		(1,037,983	)
Guess?, Inc.		104,000		3,299,875		(491,875	)
H&R Block, Inc.		90,100		2,811,450		208,702
Halliburton Co.		113,000		6,514,059		1,510,071
Hanesbrands, Inc.		29,700		2,026,633		897,035
Hanover Insurance Group, Inc./The		26,100		1,389,252		258,963
Harman International Industries, Inc.		59,400		3,892,297		2,489,045
Harris Corp.		8,100		581,809		31,766
Harsco Corp.		79,786		2,036,953		87,748
Hartford Financial Services Group, Inc./The		34,200		1,084,398		140,304
Hasbro, Inc.		28,000		1,270,640		214,760
HCA Holdings, Inc.		17,200		904,437		65,299
HCC Insurance Holdings, Inc.		23,900		1,095,098		74,568
Health Net, Inc.		103,200		3,426,373		860,555
Helix Energy Solutions Group, Inc.		103,900		2,664,488		69,121
Helmerich & Payne, Inc.		11,400		1,254,988		68,666
Henry Schein, Inc.		3,100		321,067		46,810
Hershey Co./The		11,900		1,103,129		55,574
Hertz Global Holdings, Inc.		31,500		894,728		(11,783	)
Hess Corp.		97,700		7,238,195		2,423,358
Hewlett-Packard Co.		210,300		5,610,809		1,472,095
Hill-Rom Holdings, Inc.		62,100		2,202,013		375,758
Hillshire Brands Co./The		74,520		2,461,044		2,181,552
HollyFrontier Corp.		7,548		365,941		(36,169	)
Home Depot, Inc./The		104,100		8,278,227		149,709
Honeywell International, Inc.		30,600		2,540,225		304,045
Hormel Foods Corp.		12,800		529,536		102,144
Howard Hughes Corp./The		3,800		565,093		34,661
HSN, Inc.		4,000		219,219		17,741
Hubbell, Inc.		12,000		1,276,680		201,120
Humana, Inc.		77,400		8,193,335		1,692,193
Huntington Bancshares, Inc.		211,300		1,817,113		198,689
Huntington Ingalls Industries, Inc.		5,100		502,612		(20,203	)
Huntsman Corp.		32,300		579,107		328,523
Hyatt Hotels Corp.		700		33,478		9,208

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

144 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
IAC/InterActiveCorp.		150,400	$	8,632,314	$	1,779,878
IDACORP, Inc.		1,100		61,417		2,196
Ingersoll-Rand PLC		86,700		4,467,528		952,088
Ingram Micro, Inc.		221,825		4,790,835		1,688,674
Ingredion, Inc.		48,800		3,043,355		618,597
Integrated Device Technology, Inc.		113,000		1,333,445		413,535
Integrys Energy Group, Inc.		1,229		76,702		10,717
Intel Corp.		17,000		507,331		17,969
International Flavors & Fragrances, Inc.		300		23,970		7,314
International Rectifier Corp.		33,400		861,815		70,045
Interpublic Group of Cos., Inc./The		198,400		3,112,265		758,519
Intersil Corp.		40,900		496,358		115,097
Intuit, Inc.		15,800		1,049,148		223,226
Invesco Ltd.		45,300		1,471,797		238,278
Itron, Inc.		14,500		617,745		(29,770	)
ITT Corp.		138,500		4,700,209		1,961,641
Jabil Circuit, Inc.		369,600		7,888,662		(164,022	)
Jack Henry & Associates, Inc.		5,600		272,963		59,845
Jarden Corp.		10,700		575,697		59,348
JDS Uniphase Corp.		198,300		2,569,973		(97,172	)
JM Smucker Co./The		11,700		1,257,744		(10,875	)
John Wiley & Sons, Inc.		300		18,040		137
Johnson & Johnson		72,100		6,585,317		957,785
Johnson Controls, Inc.		197,900		9,557,622		323,525
JPMorgan Chase & Co.		44,800		2,515,968		65,408
KBR, Inc.		149,100		4,632,744		(1,076,709	)
KeyCorp.		263,800		3,176,152		604,102
Kimberly-Clark Corp.		31,500		3,172,312		331,118
KLA-Tencor Corp.		59,600		3,609,711		719,633
L-3 Communications Holdings, Inc.		38,800		3,583,956		1,101,144
Lands’ End, Inc.		8,431		245,887		37,226
Landstar System, Inc.		12,800		672,000		147,200
Lear Corp.		18,100		1,496,775		119,917
Lennox International, Inc.		15,400		1,084,378		295,000
Leucadia National Corp.		32,718		932,937		(75,071	)
Lincoln Electric Holdings, Inc.		7,500		530,306		(6,206	)
Loews Corp.		63,400		2,955,525		(165,291	)
Lowe’s Cos., Inc.		177,600		7,994,500		528,524
LPL Financial Holdings, Inc.		28,000		1,362,704		30,016
LyondellBasell Industries NV		209,200		14,311,418		6,116,962
M&T Bank Corp.		4,000		468,789		27,411
Macy’s, Inc.		74,300		3,683,796		627,090
Madison Square Garden Co./The		4,400		247,383		27,397

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Manpowergroup, Inc.		108,500	$	7,427,047	$	1,779,178
Marathon Oil Corp.		155,200		5,772,395		423,189
Marathon Petroleum Corp.		48,500		4,057,072		(270,677	)
Marsh & McLennan Cos., Inc.		21,400		908,380		200,568
Marvell Technology Group Ltd.		406,400		5,131,170		692,542
Masco Corp.		80,100		1,691,670		86,550
MasterCard, Inc.		20,400		1,555,364		(56,576	)
Mattel, Inc.		32,900		1,396,947		(114,834	)
Maxim Integrated Products, Inc.		113,800		3,147,580		699,998
McGraw Hill Financial, Inc.		33,500		2,147,393		634,112
McKesson Corp.		72,500		10,198,907		3,301,318
MeadWestvaco Corp.		1,600		58,638		12,178
Medtronic, Inc.		32,700		1,771,030		313,922
Mentor Graphics Corp.		2,600		51,033		5,049
Merck & Co., Inc.		44,620		2,542,336		38,931
Meredith Corp.		1,300		61,823		1,045
Michael Kors Holdings Ltd.		11,900		1,072,310		(17,375	)
Microsoft Corp.		75,400		2,734,967		409,213
MKS Instruments, Inc.		55,372		1,533,868		195,953
Mohawk Industries, Inc.		14,700		1,778,281		255,317
Mondelez International, Inc.		130,800		4,150,411		768,977
Monsanto Co.		14,600		1,520,736		300,468
MRC Global, Inc.		500		16,021		(1,876	)
Murphy Oil Corp.		48,200		2,825,911		378,425
Murphy USA, Inc.		34,350		1,489,588		189,784
Myriad Genetics, Inc.		72,000		2,159,938		642,302
Nabors Industries Ltd.		38,534		638,149		493,595
National Oilwell Varco, Inc.		22,800		1,722,435		155,145
Navient Corp.		171,800		2,715,175		327,403
NetApp, Inc.		97,629		3,662,606		(97,195	)
New York Times Co./The		400		5,735		349
Newell Rubbermaid, Inc.		51,000		1,384,650		195,840
Newfield Exploration Co.		37,500		1,323,357		334,143
News Corp.		119,400		2,022,793		119,243
NextEra Energy, Inc.		300		29,675		1,069
NIKE, Inc.		6,600		508,852		2,978
NiSource, Inc.		14,500		449,736		120,694
Noble Energy, Inc.		34,300		2,249,564		407,314
Northrop Grumman Corp.		110,800		10,699,218		2,555,786
Nu Skin Enterprises, Inc.		9,900		738,729		(6,525	)
NVIDIA Corp.		125,600		1,792,593		536,031

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

AQR Funds Semi-Annual Report June 2014 145

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NVR, Inc.		100	$	103,970	$	11,090
Occidental Petroleum Corp.		29,200		2,783,986		212,810
Oceaneering International, Inc.		63,900		5,143,292		(150,785	)
OGE Energy Corp.		53,100		1,946,792		128,356
Oil States International, Inc.		27,800		1,681,111		100,591
Old Dominion Freight Line, Inc.		41,800		1,839,000		822,824
Old Republic International Corp.		54,446		773,393		127,144
Omnicare, Inc.		25,000		1,252,750		411,500
Omnicom Group, Inc.		600		41,726		1,006
ON Semiconductor Corp.		305,900		2,460,682		335,244
Oracle Corp.		99,800		3,451,502		593,392
O’Reilly Automotive, Inc.		16,800		1,989,456		540,624
Oshkosh Corp.		60,000		2,834,195		497,605
Owens-Illinois, Inc.		187,200		5,632,733		851,875
PACCAR, Inc.		4,600		254,912		34,106
Packaging Corp. of America		28,400		1,514,449		515,867
Pall Corp.		7,400		523,772		108,114
Palo Alto Networks, Inc.		11,200		773,894		165,226
Pandora Media, Inc.		196,900		5,725,499		83,051
Panera Bread Co.		1,700		300,490		(45,779	)
Parker Hannifin Corp.		15,700		1,630,633		343,328
Patterson Cos., Inc.		11,800		480,065		(13,847	)
Patterson-UTI Energy, Inc.		220,400		5,972,220		1,728,556
Paychex, Inc.		8,000		314,800		17,680
PepsiCo, Inc.		15,900		1,356,326		64,180
PerkinElmer, Inc.		23,900		815,796		303,680
PetSmart, Inc.		30,800		2,208,460		(366,620	)
Pfizer, Inc.		265,486		8,055,317		(175,693	)
PG&E Corp.		48,400		2,027,696		296,472
Phillips 66		131,200		9,469,945		1,082,471
Pinnacle West Capital Corp.		28,300		1,655,459		(18,587	)
PNC Financial Services Group, Inc./The		31,200		2,454,520		323,840
PNM Resources, Inc.		29,800		719,449		154,585
Polaris Industries, Inc.		9,200		962,561		235,647
Polycom, Inc.		309,800		3,678,034		203,760
Popular, Inc.		29,626		779,562		233,054
PPG Industries, Inc.		30,942		4,933,455		1,569,006
ProAssurance Corp.		15,100		798,888		(128,448	)
Procter & Gamble Co./The		30,100		2,393,278		(27,719	)
Protective Life Corp.		50,901		2,194,851		1,334,115
Prudential Financial, Inc.		63,900		5,150,257		522,146

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Public Service Enterprise Group, Inc.		4,600	$	171,754	$	15,880
PulteGroup, Inc.		286,400		5,464,653		309,171
QLogic Corp.		24,021		266,010		(23,639	)
Ralph Lauren Corp.		1,900		328,342		(23,031	)
Raytheon Co.		69,400		4,893,169		1,508,981
Red Hat, Inc.		11,500		583,574		52,031
Regal-Beloit Corp.		11,800		811,715		115,293
Regions Financial Corp.		295,700		2,938,494		201,840
Reinsurance Group of America, Inc.		41,400		2,813,130		453,330
Reliance Steel & Aluminum Co.		95,700		6,669,515		384,532
RenaissanceRe Holdings Ltd.		4,400		402,013		68,787
Reynolds American, Inc.		3,800		205,377		23,953
RF Micro Devices, Inc.		193,726		1,870,957		(13,125	)
Robert Half International, Inc.		64,400		2,348,199		726,257
Rock-Tenn Co.		15,200		1,640,462		(35,494	)
Rockwell Automation, Inc.		11,000		1,092,528		284,232
Rockwood Holdings, Inc.		4,896		321,599		50,448
Ross Stores, Inc.		70,579		4,851,984		(184,595	)
Rovi Corp.		23,600		489,542		75,914
Royal Caribbean Cruises Ltd.		58,100		3,062,560		167,800
RPC, Inc.		26,700		407,976		219,207
RPM International, Inc.		39,000		1,330,680		470,340
RR Donnelley & Sons Co.		21,800		350,671		19,057
Ryder System, Inc.		56,800		3,677,473		1,326,039
Sanderson Farms, Inc.		4,105		269,229		129,777
Schlumberger Ltd.		1,500		160,879		16,046
SEACOR Holdings, Inc.		15,200		1,308,940		(58,740	)
Sears Holdings Corp.		64,600		2,420,156		161,260
Seattle Genetics, Inc.		1,200		41,453		4,447
SEI Investments Co.		47,300		1,508,958		41,063
Sempra Energy		8,400		793,112		86,452
Service Corp. International		83,000		1,547,950		171,810
Sherwin-Williams Co./The		16,600		2,878,342		556,364
Signature Bank		2,400		299,702		3,130
Signet Jewelers Ltd.		70,500		5,115,344		2,681,251
Skyworks Solutions, Inc.		40,800		1,914,023		1,945
SLM Corp.		14,200		124,053		(6,051	)
SM Energy Co.		61,700		4,884,203		304,767
Snap-on, Inc.		14,200		1,355,248		327,736
Sonoco Products Co.		1,127		42,646		6,864
Southwest Airlines Co.		115,200		2,629,499		464,773
Splunk, Inc.		52,900		3,396,710		(469,753	)

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

146 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SPX Corp.		22,300	$	1,866,132	$	546,951
StanCorp Financial Group, Inc.		4,600		253,985		40,415
Starbucks Corp.		131,300		9,849,784		310,210
Starwood Hotels & Resorts Worldwide, Inc.		7,300		505,283		84,703
State Street Corp.		600		39,156		1,200
Steel Dynamics, Inc.		288,400		4,386,564		790,216
STERIS Corp.		5,600		249,200		50,288
Stryker Corp.		1,100		78,255		14,497
SunTrust Banks, Inc.		66,496		2,443,123		220,707
Superior Energy Services, Inc.		138,800		3,800,224		1,216,008
Symantec Corp.		345,500		8,228,206		(316,256	)
Synopsys, Inc.		60,600		2,270,682		81,810
Tech Data Corp.		57,432		3,000,612		590,036
Techne Corp.		1,100		95,656		6,171
Teleflex, Inc.		12,500		992,625		327,375
Telephone & Data Systems, Inc.		67,100		1,798,914		(46,933	)
Tesla Motors, Inc.		23,300		4,658,363		935,035
Texas Instruments, Inc.		1,400		64,059		2,847
Thermo Fisher Scientific, Inc.		37,100		3,553,242		824,558
Thoratec Corp.		59,764		1,985,491		97,882
TIBCO Software, Inc.		27,600		583,141		(26,449	)
Time Warner, Inc.		41,000		2,556,961		323,289
Timken Co./The		122,100		7,118,910		1,164,354
TJX Cos., Inc./The		87,300		4,733,764		(93,769	)
T-Mobile US, Inc.		32,700		1,045,527		53,847
Torchmark Corp.		14,900		1,036,765		183,843
Toro Co./The		2,300		134,931		11,349
Total System Services, Inc.		57,200		1,457,285		339,367
Towers Watson & Co.		58,000		6,189,227		(143,887	)
Tractor Supply Co.		20,520		1,256,768		(17,360	)
Travelers Cos., Inc./The		21,500		1,820,382		202,123
TRW Automotive Holdings Corp.		26,600		2,054,696		326,536
Tupperware Brands Corp.		36,800		3,138,266		(58,106	)
Twenty-First Century Fox, Inc.		48,200		1,478,776		215,454
Tyson Foods, Inc.		203,800		6,696,146		954,506
UGI Corp.		6,400		265,280		57,920
Union Pacific Corp.		50,400		4,079,559		947,841
Unit Corp.		34,200		1,707,945		646,041
United Parcel Service, Inc.		17,000		1,546,706		198,514
United States Steel Corp.		89,703		2,248,534		87,332
United Technologies Corp.		3,800		410,368		28,342
United Therapeutics Corp.		17,400		1,610,553		(70,827	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Universal Health Services, Inc.		56,700	$	4,024,127	$	1,405,465
Unum Group		91,800		2,888,028		302,940
URS Corp.		3,100		167,036		(24,901	)
US Bancorp.		19,300		722,997		113,079
Valero Energy Corp.		114,000		5,460,489		250,911
Validus Holdings Ltd.		13,601		501,836		18,267
Valmont Industries, Inc.		2,300		341,238		8,247
Valspar Corp./The		28,300		1,945,368		210,809
Verisk Analytics, Inc.		21,600		1,336,392		(39,960	)
Verizon Communications, Inc.		34,200		1,709,344		(35,938	)
Vertex Pharmaceuticals, Inc.		94,673		7,867,478		1,096,162
Viacom, Inc.		64,900		5,202,126		426,651
Vishay Intertechnology, Inc.		98,154		1,421,256		99,149
Visteon Corp.		13,300		1,088,295		201,938
WABCO Holdings, Inc.		45,300		3,660,822		1,178,124
Wabtec Corp.		18,000		1,150,830		335,790
Waddell & Reed Financial, Inc.		19,300		1,273,455		(65,468	)
Walgreen Co.		113,200		7,397,174		994,342
Wal-Mart Stores, Inc.		12,200		947,353		(31,499	)
Walt Disney Co./The		25,400		1,911,203		266,593
Waste Management, Inc.		10,600		449,334		24,804
Weight Watchers International, Inc.		12,100		263,892		(19,835	)
WellCare Health Plans, Inc.		9,500		643,205		66,065
WellPoint, Inc.		35,300		3,383,740		414,893
Wells Fargo & Co.		134,100		6,274,732		773,564
Werner Enterprises, Inc.		5,100		124,948		10,253
Western Digital Corp.		201,300		14,223,388		4,356,602
Westlake Chemical Corp.		4,800		388,470		13,578
WGL Holdings, Inc.		1,000		45,607		(2,507	)
Whirlpool Corp.		47,800		6,161,898		492,818
Whiting Petroleum Corp.		88,600		5,598,539		1,511,611
Williams-Sonoma, Inc.		20,500		1,193,510		277,980
Wisconsin Energy Corp.		18,100		772,361		76,891
Worthington Industries, Inc.		67,300		2,387,712		508,880
WPX Energy, Inc.		41,500		898,661		93,604
WR Grace & Co.		53,900		4,503,129		592,038
Wyndham Worldwide Corp.		55,000		3,291,200		873,400
Wynn Resorts Ltd.		7,300		1,507,848		7,340
Xcel Energy, Inc.		12,700		358,445		50,876
Xerox Corp.		237,700		2,396,138		560,850
Xilinx, Inc.		79,200		3,750,305		(3,353	)

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

AQR Funds Semi-Annual Report June 2014 147

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Yahoo!, Inc.		373,100		$	11,120,725		$	1,986,278
Zimmer Holdings, Inc.		19,700			1,707,953			338,089
								189,314,319
Total of Long Equity Positions								201,694,594
Short Positions
Canada
Domtar Corp.		(600	)		(29,908	)		4,198
Enerplus Corp.		(5,100	)		(84,354	)		(44,064	)
Lululemon Athletica, Inc.		(92,700	)		(6,221,811	)		2,469,315
Penn West Petroleum Ltd.		(37,600	)		(443,698	)		76,722
								2,506,171
Cayman Islands
Theravance Biopharma, Inc.		(21,700	)		(528,294	)		(163,502	)
Ireland
Endo International PLC		(74,500	)		(5,095,120	)		(121,370	)
Netherlands
Chicago Bridge & Iron Co. NV		(16,100	)		(1,202,822	)		104,802
Core Laboratories NV		(28,300	)		(4,383,953	)		(343,845	)
QIAGEN NV		(19,500	)		(469,400	)		(7,375	)
Sensata Technologies Holding NV		(71,300	)		(2,689,716	)		(645,698	)
								(892,116	)
Norway
Golar LNG Ltd.		(14,000	)		(501,357	)		(340,043	)
Seadrill Ltd.		(134,700	)		(5,029,223	)		(352,042	)
								(692,085	)
Panama
Copa Holdings SA		(900	)		(129,220	)		907
Switzerland
Garmin, Ltd.		(16,800	)		(757,507	)		(265,613	)
Weatherford International PLC		(110,500	)		(1,624,591	)		(916,909	)
								(1,182,522	)
United Kingdom
Ensco PLC		(112,300	)		(5,778,899	)		(461,612	)
Liberty Global PLC		(319,100	)		(13,331,795	)		(778,807	)
Noble Corp. PLC		(124,700	)		(4,028,773	)		(156,159	)
Pentair PLC		(29,010	)		(1,762,067	)		(330,134	)
								(1,726,712	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
3D Systems Corp.		(3,846	)	$	(365,875	)	$	135,884
Abercrombie & Fitch Co.		(187,600	)		(6,846,994	)		(1,266,706	)
ACI Worldwide, Inc.		(10,600	)		(581,318	)		(10,480	)
Actavis PLC		(10,828	)		(2,317,184	)		(98,001	)
Acuity Brands, Inc.		(12,200	)		(1,235,415	)		(451,235	)
Adobe Systems, Inc.		(10,800	)		(519,156	)		(262,332	)
ADT Corp./The		(123,100	)		(3,678,945	)		(622,169	)
ADTRAN, Inc.		(238,400	)		(6,269,574	)		891,270
Advanced Micro Devices, Inc.		(667,082	)		(2,571,714	)		(223,359	)
Aeropostale, Inc.		(87,188	)		(795,186	)		490,899
Aflac, Inc.		(43,800	)		(2,826,227	)		99,677
Air Lease Corp.		(3,900	)		(118,104	)		(32,358	)
Air Products & Chemicals, Inc.		(7,700	)		(750,784	)		(239,590	)
Airgas, Inc.		(10,896	)		(1,134,809	)		(51,874	)
Albemarle Corp.		(13,100	)		(840,809	)		(95,841	)
Alcoa, Inc.		(28,500	)		(325,020	)		(99,345	)
Alere, Inc.		(41,500	)		(1,291,156	)		(261,774	)
Allegheny Technologies, Inc.		(145,900	)		(4,249,430	)		(2,330,660	)
Alliance Data Systems Corp.		(27,500	)		(5,399,027	)		(2,335,348	)
Altera Corp.		(67,900	)		(2,340,752	)		(19,452	)
AMC Networks, Inc.		(41,100	)		(2,611,661	)		84,422
American Express Co.		(15,200	)		(1,125,796	)		(316,228	)
AMETEK, Inc.		(3,400	)		(155,919	)		(21,833	)
Amphenol Corp.		(16,099	)		(1,275,567	)		(275,411	)
ANSYS, Inc.		(6,100	)		(482,510	)		20,008
AOL, Inc.		(101,300	)		(4,162,889	)		132,162
Apple, Inc.		(56,900	)		(3,611,652	)		(1,676,066	)
Arch Capital Group Ltd.		(14,100	)		(781,422	)		(28,482	)
Arch Coal, Inc.		(546,553	)		(2,224,815	)		229,897
Ares Capital Corp.		(78,700	)		(1,364,280	)		(41,302	)
Ashland, Inc.		(1,946	)		(182,173	)		(29,435	)
Assured Guaranty Ltd.		(121,800	)		(2,723,268	)		(260,832	)
Atmel Corp.		(35,900	)		(276,071	)		(60,312	)
Atwood Oceanics, Inc.		(65,900	)		(3,565,691	)		107,259
Automatic Data Processing, Inc.		(2,387	)		(173,965	)		(15,277	)
AutoNation, Inc.		(25,900	)		(1,216,447	)		(329,265	)
AutoZone, Inc.		(2,200	)		(941,588	)		(238,140	)
Avis Budget Group, Inc.		(73,700	)		(3,012,027	)		(1,387,126	)
Avon Products, Inc.		(320,300	)		(5,927,587	)		1,248,004
B/E Aerospace, Inc.		(2,900	)		(276,685	)		8,464
Babcock & Wilcox Co./The		(17,300	)		(572,055	)		10,497
Bally Technologies, Inc.		(71,800	)		(4,849,837	)		131,141
BancorpSouth, Inc.		(16,700	)		(385,743	)		(24,576	)
Bank of Hawaii Corp.		(4,300	)		(236,113	)		(16,254	)

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

148 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bank of New York Mellon Corp./The		(41,965	)	$	(1,333,419	)	$	(239,429	)
Baxter International, Inc.		(39,900	)		(2,828,349	)		(56,421	)
BB&T Corp.		(27,600	)		(946,100	)		(142,168	)
Bed Bath & Beyond, Inc.		(9,900	)		(758,176	)		190,114
Bemis Co., Inc.		(2,000	)		(81,466	)		146
Bill Barrett Corp.		(129,634	)		(3,069,215	)		(402,383	)
BioMarin Pharmaceutical, Inc.		(121,700	)		(7,807,701	)		236,744
Black Hills Corp.		(9,283	)		(492,370	)		(77,513	)
Bob Evans Farms, Inc.		(6,300	)		(300,635	)		(14,680	)
BorgWarner, Inc.		(39,800	)		(1,814,283	)		(780,279	)
Brookdale Senior Living, Inc.		(128,000	)		(3,830,237	)		(437,283	)
Cabela’s, Inc.		(63,600	)		(3,987,407	)		18,767
Cablevision Systems Corp.		(170,100	)		(2,925,301	)		(76,964	)
Cadence Design Systems, Inc.		(137,900	)		(2,165,742	)		(246,129	)
Calpine Corp.		(77,355	)		(1,482,325	)		(359,498	)
Cameron International Corp.		(41,400	)		(2,426,090	)		(377,104	)
Campbell Soup Co.		(66,400	)		(2,865,417	)		(176,367	)
CARBO Ceramics, Inc.		(16,100	)		(1,634,528	)		(846,804	)
CarMax, Inc.		(210,001	)		(10,027,603	)		(894,549	)
Carnival Corp.		(153,900	)		(5,436,344	)		(357,991	)
Carpenter Technology Corp.		(16,800	)		(1,024,719	)		(37,881	)
Cash America International, Inc.		(36,613	)		(1,635,346	)		8,630
Caterpillar, Inc.		(74,200	)		(6,375,683	)		(1,687,631	)
Cavium, Inc.		(49,600	)		(1,855,040	)		(608,096	)
CenturyLink, Inc.		(189,800	)		(6,308,404	)		(562,356	)
Cepheid, Inc.		(84,700	)		(2,978,315	)		(1,082,203	)
Cerner Corp.		(5,700	)		(283,803	)		(10,203	)
CH Robinson Worldwide, Inc.		(66,000	)		(3,901,460	)		(308,680	)
Charles Schwab Corp./The		(707,600	)		(15,350,097	)		(3,705,571	)
Chart Industries, Inc.		(1,500	)		(152,625	)		28,515
Charter Communications, Inc.		(44,100	)		(5,856,128	)		(1,128,430	)
Cheesecake Factory, Inc./The		(8,689	)		(376,147	)		(27,197	)
Cheniere Energy, Inc.		(175,100	)		(8,242,952	)		(4,311,718	)
Chesapeake Energy Corp.		(148,100	)		(3,344,098	)		(1,258,850	)
Children’s Place, Inc./The		(2,100	)		(118,886	)		14,663
Chipotle Mexican Grill, Inc.		(10,900	)		(4,457,773	)		(2,000,586	)
Ciena Corp.		(552,900	)		(12,142,057	)		166,243
Cincinnati Financial Corp.		(35,900	)		(1,778,849	)		54,213

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CIT Group, Inc.		(9,200	)	$	(426,214	)	$	5,222
Citigroup, Inc.		(34,500	)		(1,657,715	)		32,765
Citrix Systems, Inc.		(52,000	)		(3,177,274	)		(75,326	)
City National Corp.		(5,400	)		(375,133	)		(33,971	)
Clean Harbors, Inc.		(42,500	)		(2,378,089	)		(352,536	)
Cliffs Natural Resources, Inc.		(241,700	)		(4,517,509	)		879,924
Clorox Co./The		(24,700	)		(2,194,441	)		(63,139	)
CMS Energy Corp.		(2,000	)		(53,461	)		(8,839	)
Coach, Inc.		(384,000	)		(21,584,072	)		8,455,112
Coca-Cola Co./The		(86,500	)		(3,513,770	)		(150,370	)
Comerica, Inc.		(78,400	)		(3,306,912	)		(625,632	)
Commerce Bancshares, Inc.		(105	)		(4,552	)		(330	)
Community Health Systems, Inc.		(43,800	)		(1,760,047	)		(227,159	)
CommVault Systems, Inc.		(6,100	)		(302,844	)		2,907
Compass Minerals International, Inc.		(12,600	)		(1,068,014	)		(138,310	)
ConAgra Foods, Inc.		(39,300	)		(1,180,310	)		13,886
Concho Resources, Inc.		(41,100	)		(3,704,745	)		(2,234,205	)
Concur Technologies, Inc.		(109,500	)		(9,776,835	)		(443,895	)
CONSOL Energy, Inc.		(325,000	)		(9,555,141	)		(5,417,609	)
Covanta Holding Corp.		(87,800	)		(1,577,927	)		(231,631	)
CR Bard, Inc.		(1,500	)		(168,924	)		(45,591	)
Cree, Inc.		(120,067	)		(6,812,273	)		814,926
CST Brands, Inc.		(7,800	)		(251,678	)		(17,422	)
CSX Corp.		(27,500	)		(726,035	)		(121,240	)
Cubist Pharmaceuticals, Inc.		(63,200	)		(4,170,247	)		(242,377	)
Cullen/Frost Bankers, Inc.		(4,400	)		(316,503	)		(32,945	)
CVR Energy, Inc.		(33,300	)		(1,335,790	)		(268,937	)
Cypress Semiconductor Corp		(299,700	)		(3,169,670	)		(100,057	)
Danaher Corp.		(14,099	)		(968,460	)		(141,554	)
Darden Restaurants, Inc.		(78,400	)		(3,815,789	)		188,221
DaVita HealthCare Partners, Inc.		(6,400	)		(436,486	)		(26,362	)
Dean Foods Co.		(110,931	)		(1,779,732	)		(171,544	)
Deckers Outdoor Corp.		(10,800	)		(652,783	)		(279,581	)
Deere & Co.		(13,500	)		(1,138,274	)		(84,151	)
Denbury Resources, Inc.		(138,699	)		(2,282,055	)		(278,329	)
DENTSPLY International, Inc.		(39,900	)		(1,744,460	)		(144,805	)
DeVry, Inc.		(59,400	)		(1,858,344	)		(656,652	)
Dick’s Sporting Goods, Inc.		(47,000	)		(2,457,256	)		268,936
Diebold, Inc.		(52,300	)		(1,850,349	)		(250,542	)

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

AQR Funds Semi-Annual Report June 2014 149

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Discovery Communications, Inc.		(55,800	)	$	(4,485,018	)	$	340,194
Dominion Resources, Inc.		(28,100	)		(1,677,008	)		(332,704	)
Dow Chemical Co./The		(51,701	)		(1,792,474	)		(868,060	)
DR Horton, Inc.		(175,400	)		(3,507,912	)		(803,420	)
DreamWorks Animation SKG, Inc.		(81,500	)		(2,092,001	)		196,311
Dun & Bradstreet Corp./The		(2,500	)		(264,410	)		(11,090	)
Dunkin’ Brands Group, Inc.		(17,100	)		(762,198	)		(21,153	)
E*TRADE Financial Corp.		(12,000	)		(255,329	)		209
Eagle Materials, Inc.		(17,800	)		(1,412,568	)		(265,616	)
Ecolab, Inc.		(38,900	)		(3,634,733	)		(696,393	)
Edwards Lifesciences Corp.		(40,900	)		(2,927,768	)		(583,088	)
EI du Pont de Nemours & Co.		(52,800	)		(3,060,789	)		(394,443	)
EMC Corp.		(48,300	)		(1,190,076	)		(82,146	)
Emerson Electric Co.		(9,900	)		(594,929	)		(62,035	)
EQT Corp.		(2,800	)		(233,856	)		(65,464	)
Equinix, Inc.		(66,500	)		(12,238,153	)		(1,732,832	)
Exelon Corp.		(171,100	)		(5,396,296	)		(845,432	)
Expedia, Inc.		(59,600	)		(4,093,886	)		(600,210	)
Expeditors International of Washington, Inc.		(10,100	)		(418,561	)		(27,455	)
F5 Networks, Inc.		(86,200	)		(7,921,605	)		(1,684,523	)
FactSet Research Systems, Inc.		(8,300	)		(907,937	)		(90,387	)
Fairchild Semiconductor International, Inc.		(27,100	)		(328,419	)		(94,341	)
Family Dollar Stores, Inc.		(41,700	)		(2,733,600	)		(24,438	)
Fastenal Co.		(176,700	)		(8,216,835	)		(528,048	)
Federated Investors, Inc.		(34,700	)		(1,042,869	)		(30,055	)
Fidelity National Financial, Inc.		(50,253	)		(1,265,098	)		(381,190	)
Finisar Corp.		(113,337	)		(2,145,256	)		(93,150	)
First American Financial Corp.		(31,000	)		(806,662	)		(54,828	)
First Horizon National Corp.		(312,300	)		(3,767,595	)		63,717
First Niagara Financial Group, Inc.		(1,200	)		(10,477	)		(11	)
FirstEnergy Corp.		(96,900	)		(3,383,122	)		18,754
FirstMerit Corp.		(39,400	)		(848,282	)		70,132
FLIR Systems, Inc.		(6,200	)		(183,334	)		(31,992	)
Flowers Foods, Inc.		(92,150	)		(2,104,776	)		162,254
Flowserve Corp.		(3,300	)		(189,255	)		(56,100	)
FMC Corp.		(25,900	)		(1,781,038	)		(62,783	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FMC Technologies, Inc.		(98,600	)	$	(5,701,052	)	$	(320,450	)
Ford Motor Co.		(420,400	)		(6,806,046	)		(441,650	)
Forest City Enterprises, Inc.		(365,700	)		(6,705,270	)		(561,189	)
Fortune Brands Home & Security, Inc.		(27,200	)		(1,096,349	)		10,253
Franklin Resources, Inc.		(26,097	)		(1,420,025	)		(89,426	)
Freeport-McMoRan Copper & Gold, Inc.		(179,400	)		(5,506,942	)		(1,041,158	)
Freescale Semiconductor Ltd.		(108,400	)		(2,506,775	)		(40,625	)
FTI Consulting, Inc.		(77,806	)		(2,900,773	)		(41,849	)
GATX Corp.		(42,500	)		(2,075,052	)		(769,898	)
General Dynamics Corp.		(5,100	)		(591,695	)		(2,710	)
General Electric Co.		(26,500	)		(652,369	)		(44,051	)
General Mills, Inc.		(9,800	)		(506,310	)		(8,582	)
General Motors Co.		(112,300	)		(4,126,635	)		50,145
Genesee & Wyoming, Inc.		(12,600	)		(1,188,131	)		(134,869	)
Gentex Corp.		(144,030	)		(3,651,987	)		(537,846	)
Gilead Sciences, Inc.		(56,200	)		(3,683,280	)		(976,262	)
Global Payments, Inc.		(68,400	)		(3,880,819	)		(1,102,121	)
GNC Holdings, Inc.		(2,800	)		(101,522	)		6,042
Graco, Inc.		(5,500	)		(417,687	)		(11,753	)
GrafTech International Ltd.		(123,400	)		(993,803	)		(296,961	)
Great Plains Energy, Inc.		(4,700	)		(115,051	)		(11,238	)
Greenhill & Co., Inc.		(84,400	)		(4,183,911	)		27,211
Hancock Holding Co.		(26,000	)		(849,159	)		(69,161	)
Harley-Davidson, Inc.		(42,900	)		(2,521,369	)		(475,196	)
Hawaiian Electric Industries, Inc.		(1,458	)		(39,176	)		2,260
Hexcel Corp.		(59,200	)		(2,077,753	)		(343,527	)
HMS Holdings Corp.		(94,700	)		(1,818,381	)		(114,446	)
Hologic, Inc.		(201,800	)		(4,408,759	)		(706,871	)
HomeAway, Inc.		(148,400	)		(5,159,189	)		(8,099	)
Hospira, Inc.		(77,200	)		(3,115,004	)		(850,760	)
IDEX Corp.		(7,022	)		(411,489	)		(155,467	)
IDEXX Laboratories, Inc.		(14,500	)		(1,444,503	)		(492,262	)
IHS, Inc.		(20,100	)		(2,163,945	)		(563,022	)
Illinois Tool Works, Inc.		(2,499	)		(183,152	)		(35,661	)
Illumina, Inc.		(16,900	)		(2,584,203	)		(433,123	)
Incyte Corp. Ltd.		(99,800	)		(5,212,361	)		(420,351	)
Informatica Corp.		(97,300	)		(3,787,674	)		318,929
InterDigital, Inc.		(52,900	)		(1,825,797	)		(702,823	)
International Business Machines Corp.		(6,600	)		(1,187,453	)		(8,929	)
International Game Technology		(74,800	)		(1,176,171	)		(13,897	)
International Paper Co.		(34,900	)		(1,559,945	)		(201,458	)

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

150 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Intrepid Potash, Inc.		(242,300	)	$	(4,482,828	)	$	421,880
Intuitive Surgical, Inc.		(31,500	)		(12,262,886	)		(708,814	)
IPG Photonics Corp.		(61,269	)		(3,663,723	)		(551,584	)
Iron Mountain, Inc.		(159,186	)		(4,429,206	)		(1,213,937	)
ITC Holdings Corp.		(34,200	)		(1,078,554	)		(169,062	)
Jacobs Engineering Group, Inc.		(699	)		(38,159	)		916
Janus Capital Group, Inc.		(328,300	)		(3,665,468	)		(431,716	)
Jazz Pharmaceuticals PLC		(19,300	)		(2,119,483	)		(717,810	)
JB Hunt Transport Services, Inc.		(22,417	)		(1,693,264	)		39,338
JC Penney Co., Inc.		(307,097	)		(3,718,595	)		939,367
JetBlue Airways Corp.		(444,400	)		(3,371,530	)		(1,450,210	)
Joy Global, Inc.		(80,400	)		(4,071,767	)		(879,265	)
Juniper Networks, Inc.		(47,200	)		(1,206,102	)		47,814
Kansas City Southern		(11,000	)		(1,114,960	)		(67,650	)
KAR Auction Services, Inc.		(3,400	)		(98,160	)		(10,198	)
KB Home		(170,000	)		(2,827,762	)		(347,838	)
Kellogg Co.		(31,700	)		(2,047,005	)		(35,685	)
Kennametal, Inc.		(47,600	)		(2,050,829	)		(152,099	)
Keurig Green Mountain, Inc.		(63,088	)		(5,359,178	)		(2,502,218	)
Kinder Morgan, Inc.		(196,000	)		(6,565,923	)		(541,037	)
Kirby Corp.		(50,700	)		(4,233,889	)		(1,705,109	)
Kohl’s Corp.		(103,900	)		(5,564,866	)		91,414
Kraft Foods Group, Inc.		(9,100	)		(543,468	)		(2,077	)
L Brands, Inc.		(86,100	)		(4,583,510	)		(467,116	)
Laboratory Corp. of America Holdings		(49,000	)		(4,666,506	)		(351,094	)
Lam Research Corp.		(16,400	)		(826,576	)		(281,736	)
Lamar Advertising Co.		(99,100	)		(4,425,590	)		(826,710	)
Laredo Petroleum, Inc.		(102,400	)		(2,607,324	)		(565,028	)
Las Vegas Sands Corp.		(58,300	)		(3,262,468	)		(1,181,158	)
Leap Wireless International, Inc.		(110,787	)		(264,781	)		(10,127	)
Legg Mason, Inc.		(41,200	)		(1,408,216	)		(705,756	)
Leggett & Platt, Inc.		(42,900	)		(1,348,837	)		(121,775	)
Leidos Holdings, Inc.		(28,100	)		(1,049,582	)		(27,772	)
Lennar Corp.		(170,800	)		(6,114,369	)		(1,055,815	)
Level 3 Communications, Inc.		(14,800	)		(319,384	)		(330,484	)
Lexmark International, Inc.		(8,000	)		(272,394	)		(112,886	)
Life Time Fitness, Inc.		(68,103	)		(3,708,204	)		388,863
LifePoint Hospitals, Inc.		(28,800	)		(1,475,447	)		(313,033	)
Lincoln National Corp.		(1,900	)		(92,630	)		(5,106	)
Linear Technology Corp.		(10,800	)		(452,031	)		(56,325	)
LinkedIn Corp.		(25,200	)		(4,233,611	)		(87,433	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lions Gate Entertainment Corp.		(24,000	)	$	(750,270	)	$	64,350
LKQ Corp.		(14,900	)		(394,267	)		(3,414	)
Lockheed Martin Corp.		(10,500	)		(1,232,176	)		(455,489	)
Lorillard, Inc.		(43,738	)		(2,098,393	)		(568,313	)
Louisiana-Pacific Corp.		(148,600	)		(2,381,237	)		149,265
Mallinckrodt PLC		(35,300	)		(2,382,579	)		(442,127	)
Manitowoc Co., Inc./The		(43,001	)		(890,525	)		(522,487	)
Markel Corp.		(2,000	)		(1,094,040	)		(217,240	)
Marriott International, Inc.		(56,600	)		(2,452,901	)		(1,175,159	)
Martin Marietta Materials, Inc.		(40,600	)		(4,284,419	)		(1,076,811	)
Masimo Corp.		(66,900	)		(1,593,705	)		14,865
McCormick & Co., Inc.		(14,600	)		(1,030,995	)		(14,219	)
McDermott International, Inc.		(486,270	)		(3,826,550	)		(107,375	)
McDonald’s Corp.		(14,862	)		(1,468,930	)		(28,268	)
MDC Holdings, Inc.		(47,600	)		(1,373,629	)		(68,175	)
MDU Resources Group, Inc.		(21,321	)		(601,679	)		(146,688	)
Mead Johnson Nutrition Co.		(28,700	)		(2,111,174	)		(562,805	)
Medivation, Inc.		(8,100	)		(594,616	)		(29,732	)
MEDNAX, Inc.		(76,700	)		(3,695,108	)		(764,997	)
MetLife, Inc.		(43,300	)		(2,109,328	)		(296,420	)
Mettler-Toledo International, Inc.		(8,700	)		(1,968,765	)		(233,901	)
MGM Resorts International		(10,600	)		(257,748	)		(22,092	)
Microchip Technology, Inc.		(30,200	)		(1,271,701	)		(202,361	)
Micron Technology, Inc.		(112,000	)		(2,301,233	)		(1,389,167	)
MICROS Systems, Inc.		(53,100	)		(2,490,491	)		(1,114,999	)
Monster Beverage Corp.		(37,800	)		(2,332,367	)		(352,567	)
Monster Worldwide, Inc.		(498,854	)		(2,883,299	)		(379,207	)
Mosaic Co./The		(135,152	)		(6,098,595	)		(584,671	)
Motorola Solutions, Inc.		(3,700	)		(248,267	)		1,958
MSC Industrial Direct Co., Inc.		(43,499	)		(3,594,773	)		(565,471	)
Mylan, Inc.		(127,800	)		(4,521,279	)		(2,068,089	)
National Fuel Gas Co.		(5,600	)		(352,352	)		(86,128	)
National Instruments Corp.		(4,000	)		(109,174	)		(20,386	)
Navistar International Corp.		(231,500	)		(7,938,579	)		(738,041	)
NCR Corp.		(24,883	)		(826,602	)		(46,543	)
Netflix, Inc.		(1,498	)		(594,042	)		(65,976	)
NetSuite, Inc.		(39,700	)		(3,294,673	)		(154,463	)
NeuStar, Inc.		(68,100	)		(1,913,835	)		141,873

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

AQR Funds Semi-Annual Report June 2014 151

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NewMarket Corp.		(1,300	)	$	(405,062	)	$	(104,681	)
Nielsen NV		(6,700	)		(307,966	)		(16,381	)
Nordson Corp.		(100	)		(7,373	)		(646	)
Nordstrom, Inc.		(75,100	)		(4,601,985	)		(499,558	)
Norfolk Southern Corp.		(12,100	)		(1,023,374	)		(223,289	)
Northeast Utilities		(18,900	)		(834,654	)		(58,749	)
Northern Trust Corp.		(9,800	)		(579,572	)		(49,686	)
NRG Energy, Inc.		(170,706	)		(4,824,857	)		(1,525,407	)
Nuance Communications, Inc.		(648,600	)		(11,510,885	)		(663,337	)
Nucor Corp.		(68,300	)		(3,198,641	)		(165,134	)
Oasis Petroleum, Inc.		(110,700	)		(5,357,459	)		(829,564	)
Ocwen Financial Corp.		(189,900	)		(7,500,929	)		455,639
Office Depot, Inc.		(379,400	)		(1,988,812	)		(169,974	)
Olin Corp.		(14,200	)		(380,777	)		(1,487	)
ONEOK, Inc.		(31,900	)		(1,419,861	)		(751,891	)
Owens & Minor, Inc.		(2,100	)		(72,217	)		859
Owens Corning		(156,300	)		(6,156,162	)		110,478
Peabody Energy Corp.		(82,100	)		(1,405,666	)		63,331
Penn National Gaming, Inc.		(53,500	)		(668,831	)		19,341
Penske Automotive Group, Inc.		(17,400	)		(575,070	)		(286,230	)
Pepco Holdings, Inc.		(18,340	)		(350,407	)		(153,576	)
Perrigo Co. PLC		(38,500	)		(4,967,123	)		(644,637	)
Pharmacyclics, Inc.		(58,500	)		(5,678,073	)		430,038
Philip Morris International, Inc.		(57,600	)		(5,028,016	)		171,760
Pitney Bowes, Inc.		(229,000	)		(4,145,221	)		(2,179,759	)
Plantronics, Inc.		(4,400	)		(202,089	)		(9,331	)
Post Holdings, Inc.		(53,000	)		(2,723,723	)		25,493
PPL Corp.		(86,100	)		(2,667,056	)		(392,077	)
Praxair, Inc.		(11,800	)		(1,397,421	)		(170,091	)
Precision Castparts Corp.		(4,200	)		(917,342	)		(142,738	)
Priceline Group, Inc./The		(1,293	)		(1,229,921	)		(325,558	)
Principal Financial Group, Inc.		(63,100	)		(2,542,749	)		(642,539	)
Progressive Corp./The		(183,500	)		(4,826,029	)		172,469
Prosperity Bancshares, Inc.		(3,200	)		(188,416	)		(11,904	)
PTC, Inc.		(28,700	)		(865,339	)		(248,221	)
PVH Corp.		(15,017	)		(1,927,388	)		176,406
QEP Resources, Inc.		(125,500	)		(3,763,226	)		(566,524	)
QUALCOMM, Inc.		(31,100	)		(1,967,664	)		(495,456	)
Quality Systems, Inc.		(36,532	)		(777,761	)		191,423
Quanta Services, Inc.		(9,100	)		(278,618	)		(36,060	)
Quest Diagnostics, Inc.		(77,800	)		(4,425,508	)		(140,574	)
Questar Corp.		(7,600	)		(177,104	)		(11,376	)
Rackspace Hosting, Inc.		(288,700	)		(11,885,609	)		2,167,967
Range Resources Corp.		(91,500	)		(7,399,423	)		(556,502	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Regal Entertainment Group		(10,300	)	$	(218,082	)	$	752
Regeneron Pharmaceuticals, Inc.		(38,000	)		(11,272,804	)		538,944
Rent-A-Center, Inc.		(68,737	)		(2,189,144	)		217,767
Republic Services, Inc.		(16,700	)		(568,311	)		(65,788	)
ResMed, Inc.		(1,400	)		(74,216	)		3,334
Riverbed Technology, Inc.		(215,600	)		(3,545,081	)		(902,747	)
Rockwell Collins, Inc.		(50,100	)		(3,617,248	)		(297,566	)
Roper Industries, Inc.		(8,700	)		(1,157,791	)		(112,496	)
Rosetta Resources, Inc.		(120,100	)		(5,647,928	)		(939,557	)
Rowan Cos. PLC		(89,000	)		(3,023,899	)		182,129
salesforce.com, Inc.		(235,900	)		(10,329,520	)		(3,371,552	)
Salix Pharmaceuticals Ltd.		(52,952	)		(4,039,565	)		(2,492,064	)
Sally Beauty Holdings, Inc.		(54,822	)		(1,437,790	)		62,854
SanDisk Corp.		(37,170	)		(2,348,433	)		(1,533,230	)
SBA Communications Corp.		(64,100	)		(5,742,473	)		(814,957	)
SCANA Corp.		(1,300	)		(60,111	)		(9,842	)
Scotts Miracle-Gro Co./The		(15,900	)		(811,331	)		(92,743	)
Scripps Networks Interactive, Inc.		(13,500	)		(979,692	)		(115,698	)
Sealed Air Corp.		(103,100	)		(2,910,196	)		(612,731	)
Semtech Corp.		(16,500	)		(382,027	)		(49,448	)
ServiceNow, Inc.		(11,400	)		(684,309	)		(22,035	)
Sigma-Aldrich Corp.		(10,100	)		(853,046	)		(171,902	)
Silicon Laboratories, Inc.		(2,403	)		(108,932	)		(9,416	)
Sirius XM Holdings, Inc.		(552,800	)		(1,816,518	)		(96,170	)
Sirona Dental Systems, Inc.		(5,900	)		(463,425	)		(23,089	)
Six Flags Entertainment Corp.		(35,000	)		(1,422,029	)		(67,221	)
SolarWinds, Inc.		(71,000	)		(2,754,541	)		9,681
Solera Holdings, Inc.		(400	)		(21,959	)		(4,901	)
Sotheby’s		(124,600	)		(5,105,661	)		(126,293	)
Southern Co./The		(66,600	)		(2,883,559	)		(138,749	)
Southwestern Energy Co.		(61,200	)		(2,405,656	)		(378,332	)
Spectra Energy Corp.		(71,100	)		(2,525,924	)		(494,404	)
Spirit AeroSystems Holdings, Inc.		(29,300	)		(806,185	)		(181,225	)
Sprint Corp.		(329,900	)		(2,656,904	)		(157,143	)
St. Jude Medical, Inc.		(1,000	)		(67,068	)		(2,182	)
Stanley Black & Decker, Inc.		(49,200	)		(4,035,697	)		(285,047	)
Staples, Inc.		(274,555	)		(3,486,905	)		510,729
Stericycle, Inc.		(7,400	)		(867,390	)		(8,918	)
Stifel Financial Corp.		(32,181	)		(1,213,740	)		(310,030	)

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

152 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Stratasys Ltd.		(70,000	)	$	(7,036,675	)	$	(917,425	)
Strayer Education, Inc.		(4,400	)		(177,533	)		(53,511	)
SunEdison, Inc.		(646,700	)		(6,910,844	)		(7,704,576	)
SUPERVALU, Inc.		(303,900	)		(2,145,719	)		(352,339	)
SVB Financial Group		(3,900	)		(344,097	)		(110,721	)
Synovus Financial Corp.		(290,942	)		(6,650,668	)		(442,498	)
Sysco Corp.		(43,400	)		(1,537,488	)		(87,842	)
T Rowe Price Group, Inc.		(30,500	)		(2,414,990	)		(159,515	)
Target Corp.		(86,600	)		(5,474,151	)		455,681
TCF Financial Corp.		(179,600	)		(2,829,523	)		(110,529	)
TECO Energy, Inc.		(52,400	)		(911,042	)		(57,310	)
Teekay Corp.		(7,800	)		(437,654	)		(47,896	)
Tempur Sealy International, Inc.		(108,400	)		(4,924,783	)		(1,546,697	)
Tenet Healthcare Corp.		(291,275	)		(12,443,413	)		(1,229,035	)
Teradata Corp.		(127,800	)		(6,357,709	)		1,220,149
Teradyne, Inc.		(234,100	)		(4,222,860	)		(365,500	)
Terex Corp.		(57,400	)		(2,270,735	)		(88,405	)
Tesoro Corp.		(108,400	)		(5,716,668	)		(643,160	)
Textron, Inc.		(197,403	)		(5,588,296	)		(1,970,265	)
Theravance, Inc.		(86,600	)		(2,431,498	)		(147,450	)
Thor Industries, Inc.		(3,000	)		(178,025	)		7,415
Tidewater, Inc.		(55,200	)		(3,112,937	)		13,457
Tiffany & Co.		(82,000	)		(6,463,240	)		(1,757,260	)
Toll Brothers, Inc.		(37,100	)		(1,258,160	)		(110,830	)
TransDigm Group, Inc.		(17,400	)		(3,144,547	)		234,223
TreeHouse Foods, Inc.		(350	)		(24,328	)		(3,696	)
Trimble Navigation Ltd.		(176,000	)		(5,379,351	)		(1,123,849	)
Trinity Industries, Inc.		(2,800	)		(57,369	)		(65,047	)
TripAdvisor, Inc.		(112,200	)		(9,814,592	)		(2,377,060	)
Triumph Group, Inc.		(77,900	)		(5,711,938	)		272,960
Ulta Salon Cosmetics & Fragrance, Inc.		(15,100	)		(1,446,300	)		66,009
Ultra Petroleum Corp.		(225,100	)		(4,868,012	)		(1,815,207	)
Under Armour, Inc.		(181,200	)		(5,692,813	)		(5,086,775	)
United Continental Holdings, Inc.		(60,800	)		(1,897,982	)		(599,074	)
United Natural Foods, Inc.		(22,247	)		(1,380,541	)		(67,738	)
United Rentals, Inc.		(51,500	)		(4,111,139	)		(1,282,456	)
UnitedHealth Group, Inc.		(16,700	)		(1,193,215	)		(172,010	)
Universal Corp.		(4,500	)		(275,962	)		26,887
Urban Outfitters, Inc.		(107,018	)		(4,410,977	)		787,348
Vail Resorts, Inc.		(2,100	)		(138,243	)		(23,835	)
Valley National Bancorp.		(60,899	)		(593,765	)		(9,744	)
Vantiv, Inc.		(35,800	)		(1,141,235	)		(62,361	)
Varian Medical Systems, Inc.		(35,100	)		(2,598,356	)		(319,858	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VCA, Inc.		(53,100	)	$	(1,498,251	)	$	(365,028	)
Vectren Corp.		(400	)		(14,552	)		(2,448	)
VeriSign, Inc.		(90,300	)		(4,380,710	)		(26,833	)
VF Corp.		(1,700	)		(107,020	)		(80	)
Visa, Inc.		(6,800	)		(1,446,274	)		13,446
VMware, Inc.		(26,800	)		(2,361,710	)		(232,798	)
Volcano Corp.		(49,200	)		(996,603	)		130,190
Vulcan Materials Co.		(1,700	)		(104,970	)		(3,405	)
Waste Connections, Inc.		(2,700	)		(116,478	)		(14,607	)
Waters Corp.		(11,400	)		(1,191,812	)		1,196
Watsco, Inc.		(15,000	)		(1,424,100	)		(117,300	)
Webster Financial Corp.		(33,200	)		(940,017	)		(107,111	)
Wendy’s Co./The		(55,264	)		(504,054	)		32,652
WESCO International, Inc.		(41,900	)		(3,371,261	)		(248,061	)
Westar Energy, Inc.		(14,901	)		(499,562	)		(69,507	)
Western Union Co./The		(651,500	)		(11,291,061	)		(5,949	)
Williams Cos., Inc./The		(101,300	)		(3,741,345	)		(2,155,328	)
Woodward, Inc.		(54,700	)		(2,289,600	)		(455,246	)
World Fuel Services Corp.		(7,410	)		(276,119	)		(88,675	)
WR Berkley Corp.		(7,901	)		(325,948	)		(39,948	)
WW Grainger, Inc.		(1,900	)		(498,788	)		15,675
Xylem, Inc.		(48,700	)		(1,651,327	)		(251,869	)
Yum! Brands, Inc.		(17,600	)		(1,263,750	)		(165,370	)
Zions BanCorp.		(203,200	)		(6,149,731	)		161,427
Zynga, Inc.		(488,800	)		(1,628,806	)		59,758
								(136,915,341	)
Total of Short Equity Positions								(139,186,570	)
Total of Long and Short Equity Positions								62,508,024
Net Cash and Other Receivables/ (Payables) (b)								(1,428,111	)
Swaps, at Value							$	61,079,913

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund is pledged as collateral to Morgan Stanley Capital Services, Inc. in the amount of $187,859,333 for total return basket swaps at June 30, 2014.

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

AQR Funds Semi-Annual Report June 2014 153

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	1 to 24 months maturity ranging from 07/24/2014 - 07/23/2015		$(1,144,450)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Nordion, Inc.		223,583	$	2,581,930	$	226,272
China
AutoNavi Holdings Ltd.		506,908		10,495,262		99,115
Ireland
Covidien PLC		135,379		11,760,380		448,098
Switzerland
Foster Wheeler AG		580,600		18,150,418		1,630,624
United Kingdom
AstraZeneca PLC		149,805		11,785,423		(653,413	)
Shire PLC		32,758		7,311,677		402,504
						(250,909	)
United States
Aeroflex Holding Corp.		160,350		1,674,054		9,621
Allergan, Inc.		82,184		13,584,266		322,910
American Realty Capital Healthcare Trust, Inc.		1,047,626		11,435,896		(27,249	)
Aspen Insurance Holdings Ltd.		338,411		15,229,768		140,859
DIRECTV		269,405		22,619,578		282,541
Emeritus Corp.		385,747		11,720,792		488,101
Forest Laboratories, Inc.		401,808		38,842,254		936,739
Furiex Pharmaceuticals, Inc.		74,622		7,714,207		209,157
Fusion-io, Inc.		129,800		1,474,528		(7,788	)
Gentiva Health Services, Inc.		109,367		1,501,903		145,164
Hudson City Bancorp, Inc.		3,206,343		29,788,509		1,729,843
Idenix Pharmaceuticals, Inc.		563,909		13,521,164		69,042

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Integrys Energy Group, Inc.		121,442		$	8,363,966		$	274,204
MICROS Systems, Inc.		49,629			3,361,746			8,063
Pepco Holdings, Inc.		506,749			13,656,885			268,577
Pinnacle Foods, Inc.		200,248			6,813,277			(225,117	)
Protective Life Corp.		173,901			12,062,048			(5,492	)
Questcor Pharmaceuticals, Inc.		203,640			16,540,676			2,293,988
Riverbed Technology, Inc.		643,496			13,052,592			222,730
Safeway, Inc.		428,474			14,698,566			15,231
Sirius XM Holdings, Inc.		54,463			185,174			3,268
Taylor Capital Group, Inc.		107,587			2,412,863			(112,653	)
Texas Industries, Inc.		112,268			9,065,409			1,303,664
Time Warner Cable, Inc.		266,621			38,010,238			1,263,035
TriQuint Semiconductor, Inc.		311,160			4,905,785			13,654
UNS Energy Corp.		466,588			27,797,606			388,975
								10,011,067
Total of Long Equity Positions								12,164,267
Short Positions
United Kingdom
Liberty Global PLC		(103,494	)		(4,305,316	)		(271,189	)
Liberty Global PLC		(255,339	)		(10,184,638	)		(618,755	)
								(889,944	)
United States
AbbVie, Inc.		(78,502	)		(4,214,160	)		(216,493	)
Actavis PLC		(133,641	)		(29,238,516	)		(570,109	)
Applied Materials, Inc.		(1,189,980	)		(21,568,942	)		(5,265,107	)
AT&T, Inc.		(392,550	)		(13,974,568	)		94,001
Brookdale Senior Living, Inc.		(366,586	)		(11,831,590	)		(390,387	)

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

154 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Comcast Corp.		(758,198	)	$	(39,673,839	)	$	(1,026,230	)
Endurance Specialty Holdings Ltd.		(178,952	)		(9,330,732	)		98,598
Liberty Media Corp.		(27	)		(3,715	)		24
M&T Bank Corp.		(269,637	)		(30,873,444	)		(2,575,026	)
Mallinckrodt PLC		(183,035	)		(11,604,829	)		(3,041,632	)
Martin Marietta Materials, Inc.		(78,806	)		(9,169,846	)		(1,236,486	)
MB Financial, Inc.		(69,200	)		(1,981,511	)		109,651
Medtronic, Inc.		(130,070	)		(7,776,297	)		(516,966	)
Pfizer, Inc.		(270,832	)		(7,951,290	)		(87,004	)
RF Micro Devices, Inc.		(521,193	)		(4,957,677	)		(40,564	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Umpqua Holdings Corp.		(1,492	)	$	(27,958	)	$	1,221
Valeant Pharmaceuticals International, Inc.		(63,797	)		(8,223,843	)		177,766
Ventas, Inc.		(167,149	)		(10,851,540	)		137,289
Wisconsin Energy Corp.		(136,674	)		(6,248,175	)		(164,569	)
								(14,512,023	)
Total of Short Equity Positions								(15,401,967	)
Total of Long and Short Equity Positions							$	(3,237,700	)

Written Options

NUMBER OF CONTRACTS			ISSUER	EXPIRATION DATE		PROCEEDS			VALUE AT JUNE 30, 2014			NET UNREALIZED APPRECIATION (DEPRECIATION)
	(2,200	)	Allergan, Inc. (Exercise price $160)		July 9, 2014		(25,080	)	$	(25,740	)	$	(660	)
	(129,800	)	Fusion-io, Inc. (Exercise price $11)		September 20, 2014		(71,390	)		(45,430	)		25,960
	(2,200	)	Allergan, Inc. (Exercise price $165)		July 9, 2014		(19,140	)		(16,280	)		2,860
	(2,900	)	Time Warner Cable, Inc. (Exercise price $130)		January 17, 2015		(27,956	)		(55,390	)		(27,434	)
	(2,200	)	Allergan, Inc. (Exercise price $155)		July 9, 2014		(31,764	)		(31,680	)		84
	Total of Written Options												810
	Total of Long and Short Equity Positions and Written Options												(3,236,890	)
	Net Cash and Other Receivables/ Payables (b)												2,092,440
	Swaps, at Value											$	(1,144,450	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 155

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the USD Discount Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	1 to 20 months maturity ranging from 07/30/2014 - 10/20/2015		$553,632

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Canada
Ainsworth Lumber Co., Ltd.		1,471,907		$	5,299,893		$	(1,478,907	)
Fortis, Inc.		100			3,018			(2,982	)
Loblaw Cos., Ltd.		2			86			3
Osisko Gold Royalties Ltd.		83,324			22,323			1,230,992
								(250,894	)
Total of Long Equity Positions								(250,894	)
Short Positions
Canada
Fortis, Inc.		(300	)		(8,842	)		(287	)
Total of Long and Short Equity Positions								(251,181	)
Net Cash and Other Receivables/ (Payables) (b)								804,813
Swaps, at Value							$	553,632

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

156 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Morgan Stanley Capital Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Effective Overnight Index Average plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	24 months maturity 04/05/2016		$1,193,026

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Bourbon SA		211,280		$	6,751,038		$	(104,243	)
Lafarge SA		61,086			5,379,629			(67,641	)
								(171,884	)
Netherlands
Ziggo NV		453,537			20,058,665			915,833
Total of Long Equity Positions								743,949
Short Positions
France
Publicis Groupe SA		(8,727	)		(799,579	)		59,910
Total of Long and Short Equity Positions								803,859
Net Cash and Other Receivables/ (Payables) (b)								389,167
Swaps, at Value							$	1,193,026

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

AQR Funds Semi-Annual Report June 2014 157

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Morgan Stanley Capital, Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	24 months maturity 10/14/2015		$4,633,719

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Japan
Tokyo Electron Ltd.		371,108	$	20,871,588	$	4,421,028
Net Cash and Other Receivables/ (Payables) (b)						212,691
Swaps, at Value					$	4,633,719

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Morgan Stanley Capital, Services, Inc.	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Swiss Franc Tom/Next Index Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap.	4 months maturity 07/15/2014		$115,879

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Switzerland
Holcim Ltd.		(61,086	)	$	(5,472,510	)	$	106,874
Net Cash and Other Receivables/ (Payables) (b)								9,005
Swaps, at Value							$	115,879

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.

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

158 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

LONG INVESTMENTS - 132.4%	SHARES		VALUE (Note 3)
COMMON STOCKS - 52.0%
Belgium - 0.3%
Belgacom SA (a)		34,274	$	1,137,784
Colruyt SA (a)		9,161		465,298
KBC Groep NV †(a)		951		51,736
Umicore SA (a)		11,300		525,812
				2,180,630
Denmark - 1.4%
AP Moeller - Maersk A/S, Class B (a)		1,680		4,176,958
Chr Hansen Holding A/S (a)		5,925		249,519
Coloplast A/S, Class B (a)		4,009		362,755
Jyske Bank A/S †(a)		39,629		2,251,236
TDC A/S (a)		160,062		1,655,746
Tryg A/S (a)		3,173		320,591
				9,016,805
Finland - 1.6%
Elisa OYJ (a)		36,545		1,117,309
Fortum OYJ (a)		29,971		803,611
Kesko OYJ, B Shares (a)		1,941		76,701
Neste Oil OYJ (a)		143,728		2,804,162
Orion OYJ, Class B (a)		33,097		1,233,617
Sampo, A Shares (a)		11,494		581,049
Stora Enso OYJ, R Shares (a)		142,981		1,390,079
UPM-Kymmene OYJ (a)		112,402		1,920,001
				9,926,529
Germany - 4.7%
Allianz SE (a)		910		151,892
Axel Springer SE (a)		15,941		979,684
Bayer AG (a)		13,648		1,925,367
Bilfinger SE (a)		1,498		170,587
Brenntag AG (a)		14,317		2,557,800
Continental AG (a)		12,925		2,988,399
Deutsche Post AG (a)		91,916		3,317,700
Deutsche Telekom AG (a)		213,101		3,737,581
Fresenius Medical Care AG & Co. KGaA (a)		6,550		440,692
GEA Group AG (a)		11,850		560,199
Hannover Rueck SE (a)		6,563		591,008
K+S AG (a)		5,979		196,341
Linde AG (a)		4,166		885,259
Merck KGaA (a)		39,062		3,387,329
Muenchener Rueckversicherungs AG (a)		20,700		4,583,981
ProSiebenSat.1 Media AG (a)		20,989		934,200
Rhoen Klinikum AG (a)		13,807		455,857
Siemens AG (a)		2,983		393,858
Stada Arzneimittel AG (a)		11,472		544,930
Symrise AG (a)		4,153		226,037
United Internet AG (a)		2,496		109,655
Wirecard AG (a)		2,480		106,957
				29,245,313
Italy - 2.2%
A2A SpA		1,723,308		1,984,591
Atlantia SpA		65,725		1,872,371
Autogrill SpA †		137,163		1,208,278

	SHARES		VALUE (Note 3)
Italy - 2.2% (continued)
Banca Monte dei Paschi di Siena SpA †		5,469	$	10,573
Davide Campari-Milano SpA		2,019		17,461
Enel SpA (a)		173,132		1,007,046
Eni SpA (a)		16,346		447,058
Fiat SpA †		69,948		689,653
GTECH SpA		44,299		1,082,359
Luxottica Group SpA		8,165		472,800
Pirelli & C. SpA		43,474		696,881
Prysmian SpA		16,307		368,254
Snam SpA		157,259		947,159
Terna Rete Elettrica Nazionale SpA		462,622		2,437,513
Tod’s SpA		2,180		277,487
				13,519,484
Japan - 29.0%
Aeon Co., Ltd. (a)		39,000		479,928
Aisin Seiki Co., Ltd. (a)		45,100		1,795,249
Alfresa Holdings Corp. (a)		33,300		2,146,943
Asahi Kasei Corp. (a)		506,000		3,873,694
Astellas Pharma, Inc. (a)		23,000		302,463
Bandai Namco Holdings, Inc. (a)		199,600		4,679,751
Bank of Yokohama Ltd./The (a)		250,000		1,439,751
Benesse Holdings, Inc. (a)		21,100		915,216
Bridgestone Corp. (a)		51,400		1,800,206
Brother Industries Ltd. (a)		133,100		2,307,627
Calbee, Inc. (a)		4,500		124,018
Canon, Inc. (a)		6,300		205,897
Central Japan Railway Co. (a)		48,700		6,951,839
Chiba Bank Ltd./The (a)		141,000		995,871
Chiyoda Corp. (a)		222,000		2,690,579
Coca-Cola West Co., Ltd. (a)		68,200		1,176,095
Dai Nippon Printing Co., Ltd. (a)		156,000		1,629,882
Daicel Corp. (a)		137,000		1,309,895
Daihatsu Motor Co., Ltd. (a)		70,100		1,247,521
Daiichi Sankyo Co., Ltd. (a)		15,700		293,461
Daiwa House Industry Co., Ltd. (a)		44,000		912,147
Denso Corp. (a)		35,300		1,686,302
East Japan Railway Co. (a)		31,400		2,474,071
Electric Power Development Co., Ltd. (a)		38,800		1,259,087
FamilyMart Co., Ltd. (a)		20,500		883,812
Fuji Electric Co., Ltd. (a)		613,000		2,908,731
Fuji Heavy Industries Ltd. (a)		122,500		3,396,774
FUJIFILM Holdings Corp. (a)		82,500		2,302,625
Fujitsu Ltd. (a)		360,000		2,697,425
Fukuoka Financial Group, Inc. (a)		260,000		1,255,817
Gunma Bank Ltd./The (a)		20,000		118,333
Hachijuni Bank Ltd./The (a)		14,000		86,690
Hakuhodo DY Holdings, Inc. (a)		5,400		53,667
Hikari Tsushin, Inc. (a)		17,100		1,291,409
Hino Motors Ltd. (a)		89,400		1,233,393
Hirose Electric Co., Ltd. (a)		2,000		297,324
Hiroshima Bank Ltd./The (a)		11,000		52,576
Hitachi Chemical Co., Ltd. (a)		96,500		1,597,683
Hokuhoku Financial Group, Inc.		113,000		241,026
Hokuriku Electric Power Co. (a)		7,600		100,754
Hoya Corp. (a)		85,700		2,849,338

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

AQR Funds Semi-Annual Report June 2014 159

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Japan - 29.0% (continued)
Ibiden Co., Ltd. (a)		10,500	$	211,833
Idemitsu Kosan Co., Ltd. (a)		22,000		477,723
ITOCHU Corp. (a)		106,400		1,365,941
Itochu Techno-Solutions Corp. (a)		16,300		708,548
Iyo Bank Ltd./The (a)		9,000		91,033
Japan Airlines Co., Ltd. (a)		122,200		6,756,378
Japan Petroleum Exploration Co. (a)		7,800		325,398
JGC Corp. (a)		131,000		3,984,953
Joyo Bank Ltd./The (a)		36,000		192,039
JTEKT Corp. (a)		31,100		524,746
JX Holdings, Inc. (a)		9,400		50,302
Kamigumi Co., Ltd. (a)		17,000		156,489
Kaneka Corp. (a)		181,000		1,133,266
KDDI Corp. (a)		19,500		1,189,765
Keyence Corp. (a)		2,100		918,304
Kinden Corp. (a)		25,000		243,271
Koito Manufacturing Co., Ltd. (a)		11,800		302,382
Konica Minolta, Inc. (a)		160,500		1,586,397
Kurita Water Industries Ltd. (a)		87,700		2,031,204
Kyocera Corp. (a)		4,700		223,174
Lawson, Inc. (a)		5,300		397,804
Mabuchi Motor Co., Ltd. (a)		1,900		144,072
Marubeni Corp. (a)		143,000		1,046,614
Maruichi Steel Tube Ltd. (a)		28,500		765,449
Medipal Holdings Corp. (a)		54,100		767,020
MEIJI Holdings Co., Ltd. (a)		14,400		954,681
Miraca Holdings, Inc. (a)		21,800		1,056,517
Mitsubishi Electric Corp. (a)		57,000		704,106
Mitsubishi Tanabe Pharma Corp. (a)		67,100		1,004,424
Mitsubishi UFJ Financial Group, Inc. (a)		224,800		1,379,984
Mitsui & Co., Ltd. (a)		13,200		211,618
Mizuho Financial Group, Inc.		650,400		1,336,901
MS&AD Insurance Group Holdings, Inc. (a)		40,500		978,838
Murata Manufacturing Co., Ltd. (a)		13,000		1,219,149
Nexon Co., Ltd. (a)		51,300		490,298
NGK Spark Plug Co., Ltd. (a)		10,000		282,341
NHK Spring Co., Ltd. (a)		102,700		963,799
Nippon Express Co., Ltd. (a)		90,000		436,524
Nippon Telegraph & Telephone Corp. (a)		80,700		5,029,859
Nippon Yusen KK (a)		44,000		126,921
Nishi-Nippon City Bank Ltd./The (a)		17,000		41,799
Nissin Foods Holdings Co., Ltd. (a)		1,900		97,685
Nitori Holdings Co., Ltd. (a)		26,400		1,444,394
NKSJ Holdings, Inc. (a)		1,700		45,807
Nomura Research Institute Ltd. (a)		15,700		494,638
NTT DOCOMO, Inc. (a)		83,300		1,421,998
Omron Corp. (a)		39,700		1,674,133
Oracle Corp. Japan (a)		3,300		144,351
Oriental Land Co., Ltd. (a)		9,700		1,662,451
Osaka Gas Co., Ltd. (a)		359,000		1,508,454
Otsuka Corp. (a)		59,100		2,866,022
Otsuka Holdings Co., Ltd. (a)		150,300		4,660,823
Park24 Co., Ltd. (a)		13,700		249,165
Resona Holdings, Inc. (a)		819,700		4,776,667
Ricoh Co., Ltd. (a)		137,000		1,632,854

	SHARES		VALUE (Note 3)
Japan - 29.0% (continued)
Rinnai Corp. (a)		4,700	$	453,738
Rohm Co., Ltd. (a)		43,200		2,477,732
Sankyo Co., Ltd. (a)		32,700		1,257,875
Santen Pharmaceutical Co., Ltd. (a)		1,600		90,136
Secom Co., Ltd. (a)		22,500		1,373,522
Seiko Epson Corp. (a)		104,300		4,437,359
Sekisui Chemical Co., Ltd. (a)		339,000		3,930,235
Seven & I Holdings Co., Ltd. (a)		54,300		2,288,736
Seven Bank Ltd. (a)		72,000		294,419
Shimadzu Corp. (a)		72,000		660,620
Shimamura Co., Ltd. (a)		16,300		1,604,468
Shimano, Inc. (a)		200		22,193
Shionogi & Co., Ltd. (a)		51,400		1,073,572
Showa Shell Sekiyu KK (a)		114,600		1,302,658
SMC Corp. (a)		2,700		723,497
SoftBank Corp. (a)		9,400		700,516
Stanley Electric Co., Ltd. (a)		43,000		1,121,887
Sumitomo Corp. (a)		8,900		120,089
Sumitomo Metal Mining Co., Ltd. (a)		15,000		244,829
Sumitomo Mitsui Financial Group, Inc. (a)		56,400		2,366,371
Sumitomo Rubber Industries Ltd. (a)		56,600		818,069
Suntory Beverage & Food Ltd. (a)		4,600		180,306
Suruga Bank Ltd. (a)		12,000		233,089
Suzuken Co., Ltd. (a)		2,600		96,852
Sysmex Corp. (a)		4,700		176,726
Taisei Corp. (a)		387,000		2,144,814
Taisho Pharmaceutical Holdings Co., Ltd. (a)		1,200		87,534
Takashimaya Co., Ltd. (a)		40,000		388,501
THK Co., Ltd. (a)		71,000		1,673,862
Toho Gas Co., Ltd. (a)		10,000		54,923
Tohoku Electric Power Co., Inc. (a)		69,800		816,882
Tokio Marine Holdings, Inc. (a)		13,900		457,501
Tokyo Electric Power Co., Inc. †(a)		835,700		3,473,667
Tokyo Gas Co., Ltd. (a)		484,000		2,827,194
Tokyu Corp. (a)		12,000		85,115
TonenGeneral Sekiyu KK (a)		21,000		199,451
Toppan Printing Co., Ltd. (a)		98,000		757,762
TOTO Ltd. (a)		311,000		4,194,157
Toyo Seikan Group Holdings Ltd. (a)		129,300		1,987,742
Toyo Suisan Kaisha Ltd. (a)		46,000		1,417,932
Toyoda Gosei Co., Ltd. (a)		16,700		347,144
Toyota Industries Corp. (a)		11,600		599,376
USS Co., Ltd. (a)		20,900		356,727
West Japan Railway Co. (a)		37,700		1,660,703
Yamaguchi Financial Group, Inc. (a)		15,000		158,190
Yamaha Corp. (a)		32,700		517,008
Yamato Holdings Co., Ltd. (a)		45,100		934,881
Yamato Kogyo Co., Ltd. (a)		500		14,678
Yokogawa Electric Corp. (a)		8,300		105,126
Yokohama Rubber Co., Ltd./The (a)		17,000		147,163
				182,013,703
Netherlands - 1.5%
Akzo Nobel NV (a)		732		54,885
Heineken NV (a)		687		49,312
Koninklijke Ahold NV (a)		111,943		2,099,054

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

160 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 3)
Netherlands - 1.5% (continued)
Koninklijke DSM NV (a)		7,361	$	535,677
Koninklijke Philips NV (a)		54,079		1,716,376
Nutreco NV (a)		29,950		1,322,810
Randstad Holding NV (a)		3,900		211,416
Royal Dutch Shell PLC, A Shares (a)		45,022		1,858,962
Wolters Kluwer NV (a)		53,196		1,575,743
				9,424,235
Norway - 1.8%
DNB ASA (a)		99,585		1,819,546
Gjensidige Forsikring ASA (a)		43,936		787,666
Marine Harvest ASA (a)		39,765		542,617
Orkla ASA (a)		4,464		39,725
Statoil ASA (a)		134,094		4,121,896
Telenor ASA (a)		157,872		3,594,501
Yara International ASA (a)		6,585		329,899
				11,235,850
Portugal - 0.1%
EDP - Energias de Portugal SA		151,847		761,909
Spain - 3.8%
Acerinox SA		4,512		80,026
ACS Actividades de Construccion y Servicios SA (a)		34,370		1,573,122
Amadeus IT Holding SA, A Shares (a)		71,543		2,949,238
Banco Santander SA (a)		279,223		2,917,674
Bankinter SA (a)		142,535		1,115,464
Bolsas y Mercados Espanoles SA (a)		45,534		2,173,525
Distribuidora Internacional de
Alimentacion SA (a)		69,790		642,363
Ebro Foods SA		39,396		875,297
Enagas SA (a)		96,590		3,109,122
Endesa SA		52,273		2,021,228
Ferrovial SA (a)		10,083		224,659
Gas Natural SDG SA (a)		97,283		3,073,484
Iberdrola SA (a)		112,741		862,417
Repsol SA (a)		86,486		2,280,349
				23,897,968
Sweden - 2.5%
Assa Abloy AB, Class B (a)		7,836		398,585
ICA Gruppen AB		69,164		2,356,525
Meda AB, A Shares		16,861		292,715
Modern Times Group AB, B Shares (a)		9,384		403,156
Nordea Bank AB (a)		260,253		3,669,034
Securitas AB, B Shares (a)		83,367		988,502
Skandinaviska Enskilda Banken AB, Class A (a)		153,355		2,046,945
Skanska AB, B Shares (a)		8,140		185,822
SKF AB, B Shares (a)		18,805		479,483
Svenska Cellulosa AB SCA, Class B (a)		56,679		1,476,142
Telefonaktiebolaget LM Ericsson, B Shares (a)		89,503		1,081,264
TeliaSonera AB (a)		267,183		1,950,965
				15,329,138

	SHARES		VALUE (Note 3)
Switzerland - 3.1%
Actelion Ltd. †(a)		1,144	$	144,796
Aryzta AG †(a)		3,228		305,705
Baloise Holding AG (a)		1,772		208,648
DKSH Holding AG (a)		6,349		482,378
EMS-Chemie Holding AG		241		96,170
Galenica AG (a)		1,378		1,344,819
Givaudan SA †(a)		811		1,351,066
Helvetia Holding AG (a)		35		16,069
Lonza Group AG †(a)		11,724		1,274,968
Nestle SA (a)		4,071		315,449
Novartis AG (a)		51,938		4,703,422
OC Oerlikon Corp. AG †(a)		8,027		116,189
Roche Holding AG (a)		12,266		3,654,739
Sika AG (a)		123		502,530
Swiss Life Holding AG †(a)		147		34,845
Swiss Re AG †(a)		36,524		3,247,612
Swisscom AG (a)		3,080		1,789,100
				19,588,505
TOTAL COMMON STOCKS (cost $301,295,120)				326,140,069
PREFERRED STOCKS - 1.6%
Germany - 1.6%
Fuchs Petrolub SE (a)		354		15,973
Henkel AG & Co. KGaA (a)		32,330		3,735,160
Porsche Automobil Holding SE		38,409		3,993,479
Volkswagen AG		9,793		2,564,950
TOTAL PREFERRED STOCKS (cost $9,691,748)				10,309,562
RIGHTS - 0.0% (b)
Acerinox SA †		4,512		2,737
Repsol SA †		86,486		58,858
TOTAL RIGHTS (cost $—)				61,595
MONEY MARKET FUNDS - 78.8%
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (c)		5,596,443		5,596,443
Dreyfus Treasury Cash Management, Class I, 0.010% (c)		21,102,990		21,102,990
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d)^		441,508,031		441,508,031
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (c)		26,058,041		26,058,041
TOTAL MONEY MARKET FUNDS (cost $494,265,505)				494,265,505
TOTAL INVESTMENTS, BEFORE SECURITIES SOLD SHORT (cost $805,252,373)				830,776,731

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

AQR Funds Semi-Annual Report June 2014 161

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

SECURITIES SOLD SHORT - (43.6)%	SHARES			VALUE (Note 3)
COMMON STOCKS - (43.6)%
Belgium - (0.2)%
UCB SA		(17,639	)	$	(1,492,297	)
Denmark - (0.9)%
Carlsberg A/S, Class B		(1,741	)		(187,512	)
Danske Bank A/S		(11,324	)		(320,113	)
FLSmidth & Co. A/S		(47,427	)		(2,648,248	)
Novo Nordisk A/S, Class B		(7,875	)		(363,455	)
Vestas Wind Systems A/S †		(37,592	)		(1,896,841	)
William Demant Holding A/S †		(3,339	)		(303,210	)
					(5,719,379	)
Finland - (1.2)%
Cargotec OYJ, B Shares		(60,616	)		(2,307,981	)
Metso OYJ		(19,253	)		(728,887	)
Nokia OYJ		(269,526	)		(2,039,439	)
Nokian Renkaat OYJ		(46,065	)		(1,795,936	)
Wartsila OYJ		(12,876	)		(638,159	)
					(7,510,402	)
Germany - (5.4)%
adidas AG		(8,679	)		(877,587	)
Aixtron SE †		(179,085	)		(2,599,198	)
Aurubis AG		(8,000	)		(407,385	)
Bayerische Motoren Werke AG		(8,230	)		(1,042,163	)
Commerzbank AG †		(180,174	)		(2,823,885	)
Deutsche Bank AG		(33,724	)		(1,185,230	)
E.ON SE		(8,904	)		(183,561	)
HeidelbergCement AG		(6,699	)		(570,808	)
Hochtief AG		(1,296	)		(112,167	)
Infineon Technologies AG		(93,571	)		(1,168,061	)
LANXESS AG		(64,321	)		(4,338,391	)
Metro AG †		(11,213	)		(487,973	)
MTU Aero Engines AG		(4,515	)		(414,647	)
Rheinmetall AG		(4,189	)		(296,218	)
RWE AG		(78,523	)		(3,367,705	)
Salzgitter AG		(44,958	)		(1,896,295	)
SAP AG		(59,892	)		(4,614,961	)
Sky Deutschland AG †		(84,741	)		(780,839	)
Software AG		(10,103	)		(364,563	)
ThyssenKrupp AG †		(113,347	)		(3,298,007	)
Wacker Chemie AG		(22,979	)		(2,645,512	)
					(33,475,156	)
Italy - (1.0)%
Assicurazioni Generali SpA		(9,755	)		(213,639	)
Banca Popolare dell’Emilia Romagna SC †		(12,477	)		(112,574	)
Buzzi Unicem SpA		(14,038	)		(236,052	)
Mediaset SpA †		(320,259	)		(1,559,770	)
Mediobanca SpA †		(57,648	)		(574,038	)
Salvatore Ferragamo SpA		(41,803	)		(1,245,712	)
Telecom Italia SpA †		(647,608	)		(819,678	)
UniCredit SpA		(209,773	)		(1,753,990	)
					(6,515,453	)
Japan - (23.8)%
Acom Co., Ltd. †		(878,100	)		(4,182,145	)
Advantest Corp.		(405,500	)		(5,017,449	)

	SHARES			VALUE (Note 3)
Japan - (23.8)% (continued)
Aeon Credit Service Co., Ltd.		(182,500	)	$	(4,773,114	)
Ajinomoto Co., Inc.		(4,000	)		(62,693	)
Amada Co., Ltd.		(372,000	)		(3,789,156	)
Aozora Bank Ltd.		(57,000	)		(187,404	)
Asahi Glass Co., Ltd.		(390,000	)		(2,299,318	)
Asics Corp.		(10,700	)		(249,864	)
Casio Computer Co., Ltd.		(61,600	)		(894,749	)
Chugai Pharmaceutical Co., Ltd.		(17,100	)		(482,162	)
Chugoku Electric Power Co., Inc./The		(128,300	)		(1,748,277	)
Citizen Holdings Co., Ltd.		(27,600	)		(216,737	)
Credit Saison Co., Ltd.		(83,900	)		(1,746,828	)
Daido Steel Co., Ltd.		(133,000	)		(680,529	)
Dai-ichi Life Insurance Co., Ltd./The		(143,200	)		(2,134,057	)
Daikin Industries Ltd.		(13,100	)		(826,777	)
Disco Corp.		(400	)		(26,880	)
Don Quijote Holdings Co., Ltd.		(800	)		(44,633	)
Eisai Co., Ltd.		(19,100	)		(801,537	)
FANUC Corp.		(6,000	)		(1,036,127	)
Fast Retailing Co., Ltd.		(4,600	)		(1,515,376	)
Furukawa Electric Co., Ltd.		(918,000	)		(1,949,816	)
GS Yuasa Corp.		(602,000	)		(3,835,816	)
Hamamatsu Photonics KK		(2,300	)		(112,881	)
Hitachi Capital Corp.		(22,500	)		(630,336	)
Hitachi Construction Machinery Co., Ltd.		(72,900	)		(1,455,098	)
Hitachi High-Technologies Corp.		(6,300	)		(150,008	)
Hitachi Ltd.		(224,000	)		(1,641,711	)
Hitachi Metals Ltd.		(67,000	)		(1,021,525	)
Hokkaido Electric Power Co., Inc. †		(337,600	)		(2,606,036	)
Honda Motor Co., Ltd.		(2,100	)		(73,279	)
Isetan Mitsukoshi Holdings Ltd.		(98,900	)		(1,288,654	)
Isuzu Motors Ltd.		(68,000	)		(450,294	)
Japan Steel Works Ltd./The		(685,000	)		(3,006,910	)
Japan Tobacco, Inc.		(43,200	)		(1,575,163	)
JFE Holdings, Inc.		(19,600	)		(405,410	)
Kajima Corp.		(197,000	)		(871,385	)
Kansai Electric Power Co., Inc./The †		(252,700	)		(2,381,984	)
Kansai Paint Co., Ltd.		(19,000	)		(317,572	)
Kawasaki Heavy Industries Ltd.		(395,000	)		(1,505,811	)
Keikyu Corp.		(151,000	)		(1,357,362	)
Keio Corp.		(34,000	)		(267,356	)
Keisei Electric Railway Co., Ltd.		(6,000	)		(59,796	)
Kikkoman Corp.		(12,000	)		(250,109	)
Kintetsu Corp.		(771,000	)		(2,809,415	)
Kobe Steel Ltd.		(374,000	)		(562,481	)
Komatsu Ltd.		(24,500	)		(568,726	)
Konami Corp.		(50,600	)		(1,119,470	)
Kubota Corp.		(13,000	)		(184,474	)
Kyowa Hakko Kirin Co., Ltd.		(31,000	)		(420,002	)
Kyushu Electric Power Co., Inc.		(239,000	)		(2,690,651	)
M3, Inc.		(64,100	)		(1,020,546	)
Marui Group Co., Ltd.		(77,500	)		(744,598	)
Mazda Motor Corp.		(438,000	)		(2,055,500	)
Mitsubishi Chemical Holdings Corp.		(118,500	)		(525,553	)
Mitsubishi Gas Chemical Co., Inc.		(105,000	)		(672,385	)
Mitsubishi Logistics Corp.		(197,000	)		(2,952,394	)
Mitsubishi Materials Corp.		(154,000	)		(540,267	)

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

162 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 3)
Japan - (23.8)% (continued)
Mitsubishi UFJ Lease & Finance Co., Ltd.		(37,200	)	$	(213,837	)
Mitsui Chemicals, Inc.		(811,000	)		(2,218,987	)
Mitsui OSK Lines Ltd.		(134,000	)		(499,214	)
NGK Insulators Ltd.		(82,000	)		(1,861,465	)
Nidec Corp.		(4,500	)		(276,752	)
Nintendo Co., Ltd.		(28,300	)		(3,398,469	)
Nippon Electric Glass Co., Ltd.		(193,000	)		(1,124,780	)
Nippon Shokubai Co., Ltd.		(37,000	)		(497,333	)
Nippon Steel & Sumitomo Metal Corp.		(259,000	)		(829,710	)
Nissan Motor Co., Ltd.		(340,700	)		(3,226,245	)
Nitto Denko Corp.		(52,800	)		(2,473,227	)
NOK Corp.		(7,000	)		(140,751	)
NSK Ltd.		(101,000	)		(1,314,347	)
Obayashi Corp.		(440,000	)		(3,142,509	)
Odakyu Electric Railway Co., Ltd.		(317,000	)		(3,052,753	)
Olympus Corp. †		(60,900	)		(2,095,347	)
Rakuten, Inc.		(142,500	)		(1,842,396	)
Sharp Corp. †		(1,191,000	)		(3,823,958	)
Shikoku Electric Power Co., Inc. †		(220,200	)		(3,070,448	)
Shimizu Corp.		(30,000	)		(212,598	)
Shin-Etsu Chemical Co., Ltd.		(23,100	)		(1,404,670	)
Shinsei Bank Ltd.		(431,000	)		(970,768	)
Shizuoka Bank Ltd./The		(2,000	)		(21,634	)
Showa Denko KK		(821,000	)		(1,168,145	)
Sojitz Corp.		(98,400	)		(174,014	)
Sony Corp.		(152,200	)		(2,543,340	)
Sony Financial Holdings, Inc.		(79,000	)		(1,348,697	)
Sumco Corp.		(203,200	)		(1,862,507	)
Sumitomo Chemical Co., Ltd.		(154,000	)		(582,150	)
Sumitomo Dainippon Pharma Co., Ltd.		(54,000	)		(621,460	)
Sumitomo Electric Industries Ltd.		(25,600	)		(360,383	)
Sumitomo Heavy Industries Ltd.		(213,000	)		(1,013,871	)
Sumitomo Mitsui Trust Holdings, Inc.		(163,000	)		(744,991	)
T&D Holdings, Inc.		(28,100	)		(382,204	)
Taiheiyo Cement Corp.		(332,000	)		(1,338,637	)
Taiyo Nippon Sanso Corp.		(115,000	)		(1,018,773	)
Takeda Pharmaceutical Co., Ltd.		(16,500	)		(765,810	)
TDK Corp.		(34,200	)		(1,605,714	)
Teijin Ltd.		(528,000	)		(1,325,157	)
Terumo Corp.		(21,600	)		(483,902	)
Tobu Railway Co., Ltd.		(65,000	)		(340,405	)
Toho Co., Ltd.		(6,800	)		(159,480	)
Toray Industries, Inc.		(124,000	)		(815,925	)
Toshiba Corp.		(718,000	)		(3,356,243	)
Toyota Tsusho Corp.		(90,200	)		(2,595,640	)
Trend Micro, Inc.		(14,700	)		(484,393	)
Tsumura & Co.		(5,900	)		(139,217	)
Ube Industries Ltd.		(261,000	)		(453,996	)
Yahoo Japan Corp.		(348,200	)		(1,607,974	)
Yakult Honsha Co., Ltd.		(13,300	)		(673,627	)
Yamada Denki Co., Ltd.		(724,100	)		(2,581,233	)
Yamaha Motor Co., Ltd.		(99,600	)		(1,715,152	)
Yaskawa Electric Corp.		(241,300	)		(2,925,153	)
					(149,696,977	)
Luxembourg - (0.4)%
ArcelorMittal		(154,057	)		(2,296,706	)

	SHARES			VALUE (Note 3)
Netherlands - (1.3)%
Aegon NV		(4,369	)	$	(38,113	)
ASML Holding NV		(25,220	)		(2,352,052	)
Delta Lloyd NV		(859	)		(21,810	)
Fugro NV CVA		(44,630	)		(2,552,120	)
Koninklijke Vopak NV		(8,883	)		(433,720	)
SBM Offshore NV †		(58,494	)		(943,111	)
TNT Express NV		(175,630	)		(1,588,981	)
					(7,929,907	)
Norway - (1.2)%
Aker Solutions ASA		(184,832	)		(3,207,959	)
Norsk Hydro ASA		(102,000	)		(546,168	)
Petroleum Geo-Services ASA		(164,010	)		(1,736,561	)
TGS Nopec Geophysical Co. ASA		(65,332	)		(2,085,931	)
					(7,576,619	)
Portugal - (0.2)%
Banco Espirito Santo SA †		(723,383	)		(595,163	)
Galp Energia SGPS SA		(14,154	)		(259,437	)
Jeronimo Martins SGPS SA		(4,683	)		(76,996	)
					(931,596	)
Spain - (2.9)%
Banco Bilbao Vizcaya Argentaria SA		(126,612	)		(1,613,723	)
Banco de Sabadell SA		(324,746	)		(1,108,437	)
Banco Popular Espanol SA		(236,039	)		(1,576,828	)
Bankia SA †		(1,304,459	)		(2,528,917	)
CaixaBank SA		(68,272	)		(421,173	)
Grifols SA		(37,400	)		(2,043,535	)
Inditex SA		(23,045	)		(3,546,738	)
Mapfre SA		(659,023	)		(2,625,873	)
Mediaset Espana Comunicacion SA †		(115,203	)		(1,344,404	)
Obrascon Huarte Lain SA		(32,018	)		(1,405,130	)
Telefonica SA		(4,412	)		(75,744	)
					(18,290,502	)
Sweden - (1.8)%
Atlas Copco AB, A Shares		(34,000	)		(981,620	)
Boliden AB		(133,823	)		(1,941,462	)
Electrolux AB, Series B		(59,070	)		(1,490,731	)
Elekta AB, B Shares		(78,627	)		(998,634	)
Hennes & Mauritz AB, B Shares		(2,381	)		(103,954	)
Husqvarna AB, B Shares		(21,289	)		(165,450	)
Sandvik AB		(265,107	)		(3,620,614	)
Swedish Match AB		(21,170	)		(734,547	)
Tele2 AB, B Shares		(60,090	)		(707,169	)
Trelleborg AB, B Shares		(19,051	)		(405,160	)
					(11,149,341	)
Switzerland - (2.9)%
Adecco SA †		(2,067	)		(170,102	)
Cie Financiere Richemont SA		(19,739	)		(2,068,436	)
Credit Suisse Group AG †		(19,703	)		(560,343	)
Dufry AG †		(5,861	)		(1,064,754	)
GAM Holding AG †		(22,366	)		(425,696	)
Holcim Ltd. †		(15,801	)		(1,387,919	)
Julius Baer Group Ltd. †		(21,444	)		(883,478	)
Kuehne + Nagel International AG		(5,851	)		(778,007	)

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

AQR Funds Semi-Annual Report June 2014 163

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 3)
Switzerland - (2.9)% (continued)
Partners Group Holding AG		(369	)	$	(100,809	)
Schindler Holding AG		(1,574	)		(239,084	)
SGS SA		(148	)		(354,153	)
Sonova Holding AG		(1,356	)		(206,739	)
STMicroelectronics NV		(249,096	)		(2,228,910	)
Sulzer AG		(8,312	)		(1,164,772	)
Swatch Group AG/The		(1,617	)		(974,998	)
Syngenta AG		(5,480	)		(2,024,582	)
Transocean Ltd.		(10,823	)		(486,258	)
UBS AG †		(147,151	)		(2,697,942	)
Zurich Insurance Group AG †		(1,245	)		(374,977	)
					(18,191,959	)
United Kingdom - (0.4)%
CNH Industrial NV		(86,549	)		(888,071	)
Subsea 7 SA		(88,503	)		(1,649,653	)
					(2,537,724	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $259,661,650)					(273,314,018	)
RIGHTS - 0.0% (b)
Banca Popolare dell’Emilia Romagna SC (cost $—) †		(12,477	)		(10,644	)
TOTAL SECURITIES SOLD SHORT (proceeds $259,661,650)					(273,324,662	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 88.8% (cost $545,590,724)					557,452,069
OTHER ASSETS IN EXCESS OF LIABILITIES - 11.2% (e)					70,100,490
NET ASSETS - 100.0%				$	627,552,559

† Non income-producing security.

(a) 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, 2014, the value of these securities was $300,222,562.

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

(c) Represents annualized seven-day yield as of June 30, 2014.

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

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

^ All or a portion represents positions held in the respective Subsidiary (Note 2).

All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.

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

The following abbreviations are used in portfolio descriptions:

CVA - Dutch Certification

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	9,541,941			1.5	%
Consumer Staples		18,271,996			2.9
Energy		572,067			0.1
Financials		4,130,533			0.7
Health Care		19,284,625			3.1
Industrials		1,718,385			0.3
Information Technology		(1,903,422	)		(0.3	)
Materials		(21,152,472	)		(3.5	)
Telecommunication Services		21,722,532			3.4
Utilities		11,000,379			1.8
Money Market Funds		494,265,505			78.8
Total Investments		557,452,069			88.8
Other Assets in Excess of Liabilities (d)		70,100,490			11.2
Net Assets	$	627,552,559			100.0	%

Total return swap contracts outstanding as of June 30, 2014:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Barclays Capital	10-Year Canadian Bond	9/2014	CAD		111,025,910			$823,055
Barclays Capital	10-Year Japanese Government Bond	9/2014	JPY		(12,768,571,200	)		(476,628	)
Bank of America	30-Year Euro Buxl Bond	9/2014	EUR		(14,127,306	)		(383,743	)
Bank of America	Bovespa Index	8/2014	BRL		(3,762,894	)		2,206
CitiBank	Corn Futures^	9/2014	USD		(13,074,535	)		574,847
Bank of America	Euro - Bobl Futures	9/2014	EUR		15,166,467			110,775
Bank of America	Euro - Bund Futures	9/2014	EUR		(10,895,773	)		(177,448	)
Bank of America	Euro - SCHATZ Futures	9/2014	EUR		88,589,238			67,131
Barclays Capital	Gold 100 OZ Futures^	8/2014	USD		(17,017,440	)		(432,960	)
Bank of America	Hang Seng Index Futures	7/2014	HKD		143,455,067			270,920
Barclays Capital	Long Gilt Futures	9/2014	GBP		13,558,685			(63,240	)
Bank of America	MSCI Taiwan Stock Index Futures	7/2014	USD		8,586,543			155,577

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

164 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Soybean Futures^	11/2014	USD		33,383,162			$(1,558,787	)
Deutsche Bank	Soybean Futures^	11/2014	USD		(15,092,814	)		858,639
Bank of America	Swiss Market Index Futures	9/2014	CHF		(83,408,172	)		1,126,579
Bank of America	Taiwan Stock Exchange Futures	7/2014	TWD		217,152,716			132,020
Bank of America	Tel Aviv 25 Index Futures	7/2014	ILS		8,012,946			(27,892	)
Bank of America	U.S. Treasury 10-Year Note Futures	9/2014	USD		(90,987,697	)		(137,428	)
Bank of America	U.S. Treasury 2-Year Note Futures	9/2014	USD		107,218,285			(56,535	)
Bank of America	U.S. Treasury 5-Year Note Futures	9/2014	USD		9,567,640			(10,765	)
Bank of America	U.S. Treasury Long Bond Futures	9/2014	USD		(25,322,449	)		(194,426	)
Goldman Sachs	WIG20 Index Futures	9/2014	PLN		9,603,962			(74,640	)
								$527,257

Money Market Fund is pledged as collateral to Bank of America, Barclays Capital and Goldman Sachs for total return swap contracts in the amounts of $8,150,033, $450,000 and $81,860,000, respectively at June 30, 2014. Cash held as collateral for Barclays Capital for total return swap contracts was $200,000 at June 30, 2014. Cash held as collateral at CitiBank for total return swap contracts was $1,270,000 at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

Open futures contracts outstanding at June 30, 2014:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Goldman Sachs	Brent Crude Futures^	8/2014		$112,893		$112,070		$(823)
8	J.P. Morgan	LME Copper Futures^	7/2014		1,324,017		1,408,240		84,223
62	J.P. Morgan	LME Copper Futures^	7/2014		10,297,554		10,912,620		615,066
1	J.P. Morgan	LME Copper Futures^	7/2014		165,765		175,990		10,225
32	J.P. Morgan	LME Copper Futures^	7/2014		5,373,667		5,626,704		253,037
5	J.P. Morgan	LME Copper Futures^	8/2014		861,885		878,271		16,386
2	J.P. Morgan	LME Copper Futures^	9/2014		333,065		351,237		18,172
28	J.P. Morgan	LME Copper Futures^	9/2014		4,807,008		4,916,800		109,792
26	J.P. Morgan	LME Copper Futures^	9/2014		4,471,630		4,561,609		89,979
613	Goldman Sachs	Natural Gas Futures^	8/2014		28,718,547		27,345,930		(1,372,617)
83	Goldman Sachs	Silver Futures^	9/2014		8,735,662		8,738,239		2,577
82	Barclays Capital	Amsterdam Index Futures	7/2014		9,327,866		9,280,157		(47,709)
518	Barclays Capital	CAC40 Index Futures	7/2014		32,111,649		31,365,131		(746,518)
83	Barclays Capital	DAX Index Futures	9/2014		28,200,570		28,013,773		(186,797)
1,124	Barclays Capital	Euro Stoxx 50 Index	9/2014		50,508,805		49,743,493		(765,312)
475	Barclays Capital	FTSE/JSE Top 40 Index Futures	9/2014		20,528,346		20,576,634		48,288
582	Barclays Capital	Hang Seng Index Futures	7/2014		85,731,274		86,747,316		1,016,042
121	Barclays Capital	IBEX 35 Index Futures	7/2014		18,091,562		17,985,968		(105,594)
228	Barclays Capital	MSCI Taiwan Stock Index Futures	7/2014		7,454,047		7,578,720		124,673
523	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	9/2014		83,841,643		84,666,154		824,511
254	Barclays Capital	SET50 Index Futures	9/2014		1,560,677		1,551,157		(9,520)
230	J.P. Morgan	3-Month Euro Euribor Futures	3/2015		78,588,578		78,604,838		16,260
820	J.P. Morgan	3-Month Euro Euribor Futures	6/2015		280,207,082		280,215,265		8,183
3,084	J.P. Morgan	90-Day EURODollar Futures	12/2014		768,496,311		768,879,750		383,439
3,286	J.P. Morgan	90-Day EURODollar Futures	3/2015		818,285,353		818,583,675		298,322
2,731	J.P. Morgan	90-Day EURODollar Futures	6/2015		679,385,507		679,233,837		(151,670)

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

AQR Funds Semi-Annual Report June 2014 165

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT JUNE 30, 2014		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2,148	J.P. Morgan	Australia 3-Year Bond Futures	9/2014		$220,596,486		$221,744,594		$1,148,108
492	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	12/2014		113,757,080		113,807,132		50,052
					3,361,874,529		3,363,605,304		1,730,775
Short Contracts:
866	Goldman Sachs	Corn Futures^	9/2014		(19,040,154)		(18,131,875)		908,279
146	Goldman Sachs	Gold 100 OZ Futures^	8/2014		(18,885,398)		(19,301,201)		(415,803)
8	J.P. Morgan	LME Copper Futures^	7/2014		(1,329,041)		(1,408,240)		(79,199)
62	J.P. Morgan	LME Copper Futures^	7/2014		(10,267,233)		(10,912,620)		(645,387)
1	J.P. Morgan	LME Copper Futures^	7/2014		(165,837)		(175,990)		(10,153)
32	J.P. Morgan	LME Copper Futures^	7/2014		(5,382,591)		(5,626,704)		(244,113)
5	J.P. Morgan	LME Copper Futures^	8/2014		(861,025)		(878,271)		(17,246)
2	J.P. Morgan	LME Copper Futures^	9/2014		(333,046)		(351,238)		(18,192)
22	J.P. Morgan	LME Copper Futures^	9/2014		(3,777,354)		(3,863,200)		(85,846)
26	J.P. Morgan	LME Copper Futures^	9/2014		(4,470,321)		(4,561,609)		(91,288)
83	Goldman Sachs	WTI Crude Futures^	8/2014		(8,787,394)		(8,745,710)		41,684
177	Barclays Capital	FTSE 100 Index Futures	9/2014		(20,469,792)		(20,328,813)		140,979
58	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures	7/2014		(1,708,715)		(1,701,075)		7,640
246	Barclays Capital	FTSE/MIB Index Futures	9/2014		(36,780,476)		(35,879,343)		901,133
65	Barclays Capital	H-SHARES Index Futures	7/2014		(4,270,163)		(4,294,810)		(24,647)
132	Barclays Capital	KOSPI Index 200 Futures	9/2014		(17,004,946)		(16,999,012)		5,934
70	Barclays Capital	MSCI Singapore Index Futures	7/2014		(4,160,291)		(4,159,917)		374
1,343	Barclays Capital	OMXS30 Index Futures	7/2014		(27,937,515)		(27,728,124)		209,391
397	Barclays Capital	S&P 500 E-Mini Futures	9/2014		(38,449,689)		(38,755,140)		(305,451)
596	Barclays Capital	SGX S&P CNX Nifty Index Futures	7/2014		(9,052,023)		(9,090,788)		(38,765)
174	Barclays Capital	SPI 200 Index Futures	9/2014		(22,204,524)		(21,961,210)		243,314
412	Barclays Capital	TOPIX Index Futures	9/2014		(50,133,250)		(51,344,948)		(1,211,698)
1,794	J.P. Morgan	90-Day Sterling Futures	12/2014		(380,630,673)		(380,480,925)		149,748
2,024	J.P. Morgan	90-Day Sterling Futures	3/2015		(428,978,653)		(428,243,018)		735,635
2,825	J.P. Morgan	90-Day Sterling Futures	6/2015		(597,348,284)		(596,239,987)		1,108,297
1,282	J.P. Morgan	Australia 10-Year Bond Futures	9/2014		(142,933,099)		(145,634,394)		(2,701,295)
5	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures	3/2015		(1,156,295)		(1,156,108)		187
					(1,856,517,782)		(1,857,954,270)		(1,436,488)
					$1,505,356,747		$1,505,651,034		$294,287

Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $32,941,111, $6,074,889 and $5,679,443, respectively at June 30, 2014.

^ Represents positions held in the respective Subsidiary (Note 2).

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

166 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Forward foreign currency exchange contracts outstanding as of June 30, 2014:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		44,429,000			$41,325,341			$41,661,042			$335,701
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		60,200,000			26,275,745			26,644,362			368,617
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		25,194,999			23,069,912			23,566,164			496,252
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		51,000			57,071			57,549			478
Euro, Expiring 09/17/14	Credit Suisse International	EUR		73,773,000			100,417,374			101,047,088			629,714
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		24,622,999			41,267,447			42,112,629			845,182
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		6,320,000,000			28,192,066			27,861,481			(330,585	)
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		2,694,000,000			44,818,438			43,942,318			(876,120	)
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		1,236,324,000			12,112,212			12,210,888			98,676
Korean Won, Expiring 09/17/14*	Credit Suisse International	KRW		2,540,000,000			2,478,283			2,502,497			24,214
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		110,000,000			8,434,848			8,433,524			(1,324	)
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		123,709,000			104,048,388			107,517,751			3,469,363
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		178,400,000			58,505,239			58,457,825			(47,414	)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		1,482,000,000			42,392,108			42,830,800			438,692
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		6,161,000			923,725			921,354			(2,371	)
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		8,800,000			7,035,222			7,057,712			22,490
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		98,500,000			45,859,822			45,754,579			(105,243	)
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		514,000,000			17,160,868			17,231,959			71,091
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		7,000,000			650,661			649,663			(998	)
							$605,024,770			$610,461,185			$5,436,415
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 09/17/14	Credit Suisse International	AUD		(54,761,000	)		$(50,399,726	)		$(51,349,352	)		$(949,626	)
Brazilian Real, Expiring 09/17/14*	Credit Suisse International	BRL		(48,480,000	)		(20,868,998	)		(21,457,120	)		(588,122	)
Canadian Dollar, Expiring 09/17/14	Credit Suisse International	CAD		(6,833,000	)		(6,360,092	)		(6,391,252	)		(31,160	)

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

AQR Funds Semi-Annual Report June 2014 167

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT JUNE 30, 2014			UNREALIZED APPRECIATION (DEPRECIATION)
Swiss Franc, Expiring 09/17/14	Credit Suisse International	CHF		(80,953,000	)		$(90,438,866	)		$(91,347,820	)		$(908,954	)
Danish Krone, Expiring 09/17/14	Credit Suisse International	DKK		(17,980,000	)		(3,282,909	)		(3,303,689	)		(20,780	)
Euro, Expiring 09/17/14	Credit Suisse International	EUR		(4,186,000	)		(5,679,560	)		(5,733,576	)		(54,016	)
British Pound, Expiring 09/17/14	Credit Suisse International	GBP		(1,894,000	)		(3,210,937	)		(3,239,301	)		(28,364	)
Hungarian Forint, Expiring 09/17/14	Credit Suisse International	HUF		(3,770,000,000	)		(16,635,016	)		(16,619,902	)		15,114
Israeli Shekel, Expiring 09/17/14	Credit Suisse International	ILS		(60,800,000	)		(17,540,796	)		(17,710,534	)		(169,738	)
Indian Rupee, Expiring 09/17/14*	Credit Suisse International	INR		(661,000,000	)		(10,845,562	)		(10,781,689	)		63,873
Japanese Yen, Expiring 09/17/14	Credit Suisse International	JPY		(10,015,349,999	)		(97,849,478	)		(98,919,317	)		(1,069,839	)
Mexican Peso, Expiring 09/17/14	Credit Suisse International	MXN		(854,000,000	)		(65,482,769	)		(65,474,812	)		7,957
Norwegian Krone, Expiring 09/17/14	Credit Suisse International	NOK		(425,659,999	)		(70,587,309	)		(69,188,115	)		1,399,194
New Zealand Dollar, Expiring 09/17/14	Credit Suisse International	NZD		(6,016,000	)		(5,195,405	)		(5,228,615	)		(33,210	)
Poland Zloty, Expiring 09/17/14	Credit Suisse International	PLN		(34,300,000	)		(11,217,253	)		(11,239,367	)		(22,114	)
Russian Ruble, Expiring 09/17/14*	Credit Suisse International	RUB		(973,797,000	)		(27,544,748	)		(28,143,392	)		(598,644	)
Swedish Krona, Expiring 09/17/14	Credit Suisse International	SEK		(575,522,999	)		(86,060,215	)		(86,067,313	)		(7,098	)
Singapore Dollar, Expiring 09/17/14	Credit Suisse International	SGD		(110,680,000	)		(88,080,391	)		(88,766,769	)		(686,378	)
Turkish Lira, Expiring 09/17/14	Credit Suisse International	TRY		(32,200,000	)		(15,030,499	)		(14,957,337	)		73,162
Taiwanese Dollar, Expiring 09/17/14*	Credit Suisse International	TWD		(172,000,000	)		(5,750,252	)		(5,766,336	)		(16,084	)
South African Rand, Expiring 09/17/14	Credit Suisse International	ZAR		(103,600,000	)		(9,564,351	)		(9,615,011	)		(50,660	)
							(707,625,132	)		(711,300,619	)		(3,675,487	)
							$(102,600,362	)		$(100,839,434	)		$1,760,928

Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts was $2,940,000 at June 30, 2014.

* Non deliverable forward. See Note 3 in the Notes to Financial Statements.

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

ILS - Israeli Shekel

INR - Indian Rupee

JPY - Japanese Yen

KRW - Korean Won

MXN - Mexican Peso

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Poland Zloty

RUB - Russian Ruble

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - Taiwanese Dollar

USD - United States Dollar

ZAR - South African Rand

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

168 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps* Outstanding at June 30, 2014

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	13 months maturity 02/20/2015		$25,493,969

* See the accompanying “Additional Information — Total Return Basket Swap” for further details.

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
Covidien PLC		6,700	$	456,167	$	148,039
Eaton Corp. PLC		4,600		353,510		1,518
Mallinckrodt PLC		21,500		1,287,635		432,795
Seagate Technology PLC		34,100		2,035,259		(97,697	)
						484,655
Netherlands
Core Laboratories NV		2,600		492,961		(58,605	)
QIAGEN NV		2,300		55,186		1,049
						(57,556	)
Panama
Copa Holdings SA		5,600		819,840		(21,448	)
Singapore
Avago Technologies Ltd.		23,900		1,606,420		116,053
Switzerland
Garmin Ltd.		13,700		663,096		171,234
Noble Corp. PLC		23,500		802,557		(13,897	)
TE Connectivity Ltd.		51,700		2,881,149		315,979
						473,316
United Kingdom
Delphi Automotive PLC		64,300		4,012,702		407,280
Ensco PLC		18,300		994,634		22,297
						429,577
United States
3M Co.		28,800		3,784,145		341,167
Abbott Laboratories		20,400		803,760		30,600
AbbVie, Inc.		31,600		1,544,608		238,896
Accenture PLC		6,300		503,550		5,742

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ACE Ltd.		49,400	$	4,724,218	$	398,562
Actavis PLC		1,700		311,576		67,609
Activision Blizzard, Inc.		233,000		3,963,562		1,232,338
Acuity Brands, Inc.		1,600		199,979		21,221
Advance Auto Parts, Inc.		8,400		956,098		177,230
Advent Software, Inc.		7,200		238,060		(3,556	)
AECOM Technology Corp.		23,000		698,133		42,467
AES Corp.		50,000		715,000		62,500
Aetna, Inc.		49,800		3,480,498		557,286
Aflac, Inc.		7,600		491,796		(18,696	)
AGCO Corp.		37,500		2,042,900		65,350
Agilent Technologies, Inc.		10,500		637,455		(34,335	)
AGL Resources, Inc.		10,000		468,860		81,440
Air Lease Corp.		14,300		454,740		96,954
Akamai Technologies, Inc.		16,400		796,712		204,672
Alaska Air Group, Inc.		44,000		3,404,506		777,694
Alliant Energy Corp.		19,800		1,016,677		188,351
Alliant Techsystems, Inc.		13,800		1,815,360		32,736
Allied World Assurance Co. Holdings AG		22,000		790,027		46,413
Allstate Corp./The		25,100		1,327,790		146,082
Altria Group, Inc.		38,200		1,368,501		233,607
Amdocs Ltd.		25,300		1,078,734		93,415
Ameren Corp.		7,900		285,585		37,367
American Electric Power Co., Inc.		54,100		2,578,687		438,470
American Express Co.		4,600		418,462		17,940
American Financial Group, Inc.		22,300		1,237,415		90,773

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

AQR Funds Semi-Annual Report June 2014 169

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ameriprise Financial, Inc.		57,800	$	6,323,962	$	612,038
AmerisourceBergen Corp.		16,700		1,177,851		35,571
Amgen, Inc.		37,300		4,430,457		(15,256	)
Analog Devices, Inc.		1,000		48,883		5,187
ANSYS, Inc.		700		56,894		(3,820	)
AO Smith Corp.		6,000		280,844		16,636
AOL, Inc.		11,100		540,665		(98,996	)
Aon PLC		38,800		3,149,915		345,577
Apache Corp.		4,600		370,640		92,212
Apollo Education Group, Inc.		25,200		781,743		5,757
Archer-Daniels-Midland Co.		120,700		4,884,542		439,535
ARES Capital Corp.		91,100		1,634,257		(7,211	)
Arrow Electronics, Inc.		40,400		2,161,301		279,263
Ascena Retail Group, Inc.		32,500		587,158		(31,408	)
Associated Banc-Corp.		5,100		83,878		8,330
Assurant, Inc.		41,500		2,771,641		(51,316	)
AT&T, Inc.		23,200		768,464		51,888
Atmos Energy Corp.		12,900		599,017		89,843
Atwood Oceanics, Inc.		9,600		463,271		40,537
Autoliv, Inc.		13,700		1,243,249		216,897
AutoZone, Inc.		3,100		1,543,549		118,795
Avery Dennison Corp.		11,900		602,839		7,036
Avnet, Inc.		56,500		2,416,173		87,342
Axis Capital Holdings Co.		16,500		751,266		(20,646	)
Babcock & Wilcox Co./The		22,100		760,690		(43,324	)
Baker Hughes, Inc.		18,900		1,109,975		297,130
Ball Corp.		17,100		864,063		207,765
Bank of New York Mellon Corp./The		25,800		837,854		129,130
BankUnited, Inc.		7,500		241,500		9,600
Baxter International, Inc.		3,500		244,755		8,295
BB&T Corp.		4,600		175,429		5,949
Becton Dickinson and Co.		20,500		2,249,358		175,792
Bed Bath & Beyond, Inc.		18,100		1,162,577		(123,999	)
Bemis Co., Inc.		1,300		51,114		1,744
Berkshire Hathaway, Inc.		3,100		356,717		35,619
Best Buy Co., Inc.		20,000		457,772		162,428
Biogen Idec, Inc.		7,400		2,247,119		86,175
Bob Evans Farms, Inc.		3,300		156,334		8,831
Boeing Co./The		11,800		1,655,940		(154,626	)
Boston Scientific Corp.		43,800		591,738		(32,412	)
Broadridge Financial
Solutions, Inc.		48,500		1,783,834		235,706
Brocade Communications Systems, Inc.		509,100		4,731,316		(47,596	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bunge Ltd.		2,300	$	186,990	$	(13,018	)
CA, Inc.		123,800		4,095,547		(537,535	)
Cabot Corp.		1,300		76,449		(1,062	)
Capital One Financial Corp.		37,000		2,640,678		415,522
Cardinal Health, Inc.		27,800		1,870,142		35,826
CareFusion Corp.		46,800		1,898,871		176,709
Carlisle Cos., Inc.		4,100		311,573		43,569
Carter’s, Inc.		11,500		808,450		(15,755	)
CBS Corp.		9,000		544,410		14,850
Celanese Corp.		2,500		137,750		22,950
Celgene Corp.		38,400		3,037,567		260,225
Charles River Laboratories International, Inc.		2,700		158,490		(13,986	)
Cheesecake Factory, Inc./The		2,800		121,966		8,010
Chevron Corp.		48,400		5,666,238		652,382
Chubb Corp./The		14,300		1,255,932		62,099
Church & Dwight Co., Inc.		800		52,082		3,878
Cigna Corp.		34,200		2,993,220		152,154
Cimarex Energy Co.		6,900		803,179		186,695
Cinemark Holdings, Inc.		3,900		121,953		15,951
Cintas Corp.		25,000		1,453,664		134,836
Cisco Systems, Inc.		175,600		3,961,071		402,589
Civeo Corp.		10,200		209,664		45,642
Cleco Corp.		1,000		47,530		11,420
Clorox Co./The		5,500		494,835		7,865
CMS Energy Corp.		13,500		356,805		63,720
Coca-Cola Enterprises, Inc.		24,400		1,080,432		85,400
Comcast Corp., Class A		5,100		265,382		6,601
Comcast Corp.		48,300		2,585,982		6,762
Comerica, Inc.		9,100		429,859		26,597
Commerce Bancshares, Inc.		1,785		80,950		2,052
Commercial Metals Co.		53,800		1,057,356		(126,078	)
Computer Sciences Corp.		27,400		1,532,515		199,165
ConAgra Foods, Inc.		1,900		63,498		(7,106	)
ConocoPhillips		63,600		4,215,840		1,236,588
Consolidated Edison, Inc.		28,300		1,531,251		102,791
Convergys Corp.		4,600		90,793		7,831
Conversant, Inc.		18,000		424,262		32,938
Cooper Cos., Inc./The		3,200		410,492		23,204
CoreLogic, Inc.		4,000		132,598		(11,158	)
Corning, Inc.		175,800		3,166,262		692,548
Crane Co.		16,200		1,072,501		132,131
Crown Holdings, Inc.		18,000		755,133		140,547
CST Brands, Inc.		16,700		543,037		33,113
CSX Corp.		52,400		1,382,783		231,661
Cubist Pharmaceuticals, Inc.		1,200		89,472		(5,688	)

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

170 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cullen/Frost Bankers, Inc.		700	$	50,138	$	5,456
Cummins, Inc.		12,700		1,749,298		210,185
CVS Caremark Corp.		77,100		5,204,684		606,343
Danaher Corp.		7,800		588,570		25,524
Deckers Outdoor Corp.		4,400		330,739		49,113
Delta Air Lines, Inc.		154,600		4,972,206		1,013,906
Deluxe Corp.		11,100		574,092		76,146
DeVry Education Group, Inc.		24,000		890,546		125,614
Diamond Offshore Drilling, Inc.		10,800		567,304		(31,300	)
Dillard’s, Inc.		15,600		1,393,238		425,878
Discover Financial Services		48,200		2,558,754		428,682
Dollar Tree, Inc.		6,700		339,541		25,341
Domino’s Pizza, Inc.		700		49,719		1,444
Dover Corp.		29,900		2,248,218		471,187
Dow Chemical Co./The		18,600		801,102		156,054
Dr Pepper Snapple Group, Inc.		12,200		583,837		130,839
DST Systems, Inc.		17,200		1,551,940		33,384
DSW, Inc.		33,900		882,678		64,488
DTE Energy Co.		31,900		2,119,013		365,040
Duke Energy Corp.		12,700		858,777		83,436
Dun & Bradstreet Corp./The		7,200		816,923		(23,483	)
Eastman Chemical Co.		8,300		663,004		62,001
eBay, Inc.		1,000		52,955		(2,895	)
Edison International		48,400		2,285,029		527,495
EI du Pont de Nemours & Co.		7,300		443,168		34,544
Electronic Arts, Inc.		26,200		633,767		306,027
Eli Lilly & Co.		53,200		2,934,512		372,932
EMC Corp.		10,900		286,792		314
Emerson Electric Co.		800		55,296		(2,208	)
Endurance Specialty Holdings Ltd.		4,500		241,786		(9,631	)
Energen Corp.		3,100		212,443		63,085
Energizer Holdings, Inc.		18,100		1,809,308		399,435
Entergy Corp.		31,000		1,922,093		622,697
EOG Resources, Inc.		6,300		583,970		152,248
Equifax, Inc.		3,100		219,263		5,611
Everest Re Group Ltd.		4,100		660,033		(2,024	)
Exelis, Inc.		33,600		676,032		(105,504	)
Express Scripts PLC		700		51,776		(3,245	)
Exxon Mobil Corp.		6,800		674,288		10,336
Fidelity National Information Services, Inc.		25,800		1,345,004		67,288
Fifth Third BanCorp.		13,500		290,925		(2,700	)
First Niagara Financial Group, Inc.		24,900		260,205		(42,579	)
First Republic Bank		1,000		47,831		7,159
Fiserv, Inc.		26,100		1,476,464		97,888

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
FleetCor Technologies, Inc.		1,100	$	118,481	$	26,499
FLIR Systems, Inc.		29,000		969,760		37,410
Flowers Foods, Inc.		2,400		52,088		(1,496	)
Fluor Corp.		8,300		660,369		(22,099	)
Foot Locker, Inc.		58,500		2,220,657		746,463
Fossil Group, Inc.		1,000		115,090		(10,570	)
Franklin Resources, Inc.		16,600		941,836		18,308
Freeport-McMoRan Copper & Gold, Inc.		5,600		189,510		14,890
Fulton Financial Corp.		4,200		52,782		(744	)
GameStop Corp.		99,600		3,519,622		511,190
Gannett Co., Inc.		37,600		1,069,344		107,912
Gap, Inc./The		40,800		1,521,989		174,067
GATX Corp.		800		44,898		8,654
General Dynamics Corp.		800		76,376		16,864
General Mills, Inc.		29,400		1,418,355		126,321
Genuine Parts Co.		25,400		2,097,308		132,812
Gilead Sciences, Inc.		50,100		3,961,775		192,016
Google, Inc.		1,300		750,219		9,852
Graham Holdings Co.		3,400		2,162,075		279,499
Great Plains Energy, Inc.		29,800		729,743		70,983
Guess?, Inc.		16,300		471,421		(31,321	)
H&R Block, Inc.		8,200		238,046		36,818
Halliburton Co.		9,000		573,533		65,557
Hanesbrands, Inc.		39,200		2,649,010		1,209,838
Hanover Insurance Group, Inc./The		1,900		105,266		14,719
Harris Corp.		28,200		1,957,864		178,286
Hasbro, Inc.		16,800		836,237		55,003
HCA Holdings, Inc.		1,100		56,551		5,467
HCC Insurance Holdings, Inc.		4,500		202,545		17,685
Health Net, Inc.		12,500		408,571		110,679
Helmerich & Payne, Inc.		45,200		4,039,909		1,208,263
Henry Schein, Inc.		6,700		766,885		28,204
Hershey Co./The		4,100		404,143		(4,926	)
Hess Corp.		59,500		4,511,439		1,372,516
Hewlett-Packard Co.		119,900		3,563,507		474,725
Hill-Rom Holdings, Inc.		18,000		740,799		6,381
HollyFrontier Corp.		6,900		331,200		(29,739	)
Home Depot, Inc./The		11,500		921,063		9,977
Honeywell International, Inc.		41,200		3,703,355		126,185
Hormel Foods Corp.		31,200		1,408,142		131,578
Howard Hughes Corp./The		5,300		651,454		185,045
Hubbell, Inc.		1,600		190,048		6,992
Humana, Inc.		51,600		4,985,967		1,604,385
IAC/InterActiveCorp.		60,100		4,118,650		42,073
IDACORP, Inc.		4,600		239,455		26,563
IDEX Corp.		700		50,833		5,685
Illinois Tool Works, Inc.		6,000		495,960		29,400
Ingram Micro, Inc.		69,100		1,724,052		294,359
Ingredion, Inc.		2,200		149,314		15,774

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

AQR Funds Semi-Annual Report June 2014 171

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Integrys Energy Group, Inc.		4,400	$	236,016	$	76,956
Intel Corp.		152,900		3,810,510		914,100
International Business Machines Corp.		13,800		2,488,041		13,485
International Flavors & Fragrances, Inc.		700		60,711		12,285
International Paper Co.		29,000		1,390,723		72,907
International Rectifier Corp.		14,100		365,296		28,094
Intuit, Inc.		6,000		432,282		50,898
InvesCo., Ltd.		1,900		61,624		10,101
ITC Holdings Corp.		1,500		49,167		5,553
ITT Corp.		8,200		331,337		63,083
Jack Henry & Associates, Inc.		8,800		498,097		24,887
Jacobs Engineering Group, Inc.		12,100		784,846		(140,158	)
JM Smucker Co./The		12,200		1,180,260		119,894
John Wiley & Sons, Inc.		900		46,930		7,601
Johnson & Johnson		48,700		4,519,628		575,366
Johnson Controls, Inc.		26,900		1,302,145		40,972
JPMorgan Chase & Co.		44,300		2,548,340		4,226
Kellogg Co.		800		47,788		4,772
KeyCorp.		104,800		1,345,842		155,942
Kimberly-Clark Corp.		39,100		4,142,580		206,122
KLA-Tencor Corp.		8,200		509,904		85,744
Kohl’s Corp.		5,700		283,964		16,312
L-3 Communications Holdings, Inc.		10,000		1,080,440		127,060
Lam Research Corp.		27,000		1,391,303		433,357
Lear Corp.		37,100		2,844,342		469,430
Leggett & Platt, Inc.		2,100		62,476		9,512
Leidos Holdings, Inc.		29,200		1,350,099		(230,571	)
Lennox International, Inc.		700		61,460		1,239
Lexmark International, Inc.		93,400		3,521,442		976,702
Liberty Interactive Corp.		5,000		137,074		9,726
Liberty Media Corp.		28,300		3,852,406		15,638
LifePoint Hospitals, Inc.		900		50,051		5,839
Lincoln Electric Holdings, Inc.		12,500		888,705		(15,205	)
Lincoln National Corp.		56,400		2,773,842		127,374
Lockheed Martin Corp.		22,000		3,315,884		220,176
Loews Corp.		17,400		782,872		(17,098	)
Lorillard, Inc.		18,100		884,401		219,156
Lowe’s Cos., Inc.		16,200		771,282		6,156
LPL Financial Holdings, Inc.		3,500		180,836		(6,746	)
LyondellBasell Industries NV		70,600		5,690,763		1,203,327
M&T Bank Corp.		14,100		1,572,669		176,436
Manpowergroup, Inc.		38,400		3,113,108		145,132
Marathon Oil Corp.		75,500		2,544,311		469,649

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Marathon Petroleum Corp.		1,000	$	85,280	$	(7,210	)
Marriott International, Inc.		6,900		349,278		93,012
Marsh & McLennan Cos., Inc.		29,800		1,360,949		183,287
Marvell Technology Group Ltd.		130,600		1,970,528		(99,030	)
MasterCard, Inc.		27,100		2,135,175		(144,138	)
Mattel, Inc.		44,900		1,782,172		(32,419	)
Maxim Integrated Products, Inc.		3,800		108,490		19,988
McDonald’s Corp.		7,300		692,989		42,413
McGraw Hill Financial, Inc.		1,000		76,210		6,820
McKesson Corp.		27,800		4,699,111		477,527
Medtronic, Inc.		81,000		4,671,205		493,355
Mentor Graphics Corp.		35,100		731,806		25,301
Merck & Co., Inc.		27,400		1,436,060		149,030
Meredith Corp.		1,200		54,936		3,096
MetLife, Inc.		19,400		1,016,384		61,480
Microchip Technology, Inc.		1,700		78,540		4,437
Micron Technology, Inc.		177,500		4,062,015		1,786,610
MICROS Systems, Inc.		1,000		54,301		13,599
Microsoft Corp.		116,000		4,252,167		585,033
Murphy Oil Corp.		48,900		2,973,561		277,311
Murphy USA, Inc.		17,300		682,213		163,584
Myriad Genetics, Inc.		96,000		2,626,683		1,109,637
National Oilwell Varco, Inc.		19,500		1,150,969		454,856
Navient Corp.		157,700		1,865,116		927,751
NetApp, Inc.		22,000		978,780		(175,340	)
Netflix, Inc.		800		264,032		88,448
New York Community Bancorp., Inc.		33,400		529,009		4,723
Newell Rubbermaid, Inc.		1,700		53,069		(386	)
NewMarket Corp.		700		231,423		43,054
NextEra Energy, Inc.		20,500		1,838,904		261,936
Noble Energy, Inc.		7,500		479,250		101,700
Nordstrom, Inc.		3,300		197,088		27,081
Norfolk Southern Corp.		32,200		2,889,476		428,090
Northeast Utilities		5,400		229,986		25,272
Northrop Grumman Corp.		50,500		5,890,442		150,873
NOW, Inc.		4,875		287,742		(111,219	)
Nu Skin Enterprises, Inc.		26,000		2,167,428		(244,468	)
Nucor Corp.		9,700		498,386		(20,661	)
NVIDIA Corp.		26,600		419,895		73,269
Occidental Petroleum Corp.		15,200		1,366,034		193,942
Oceaneering International, Inc.		1,800		134,406		6,228
OGE Energy Corp.		3,300		112,563		16,401

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

172 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Oil States International, Inc.		9,600	$	566,392	$	48,872
Old Dominion Freight Line, Inc.		6,400		354,432		53,120
Olin Corp.		41,000		1,084,335		19,385
Omnicare, Inc.		19,900		1,260,126		64,617
Oracle Corp.		64,700		2,451,363		170,928
O’Reilly Automotive, Inc.		6,800		921,264		102,816
Owens & Minor, Inc.		14,500		518,646		(25,936	)
Owens-Illinois, Inc.		11,000		372,350		8,690
PACCAR, Inc.		26,400		1,524,699		134,013
Packaging Corp. of America		19,100		1,231,295		134,164
Parker Hannifin Corp.		10,200		1,159,158		123,288
PartnerRe Ltd.		13,200		1,310,871		130,701
Patterson Cos., Inc.		6,400		260,514		(7,650	)
Penn National Gaming, Inc.		22,800		279,455		(2,663	)
People’s United Financial, Inc.		53,900		780,381		37,282
PepsiCo, Inc.		29,500		2,390,943		244,587
PetSmart, Inc.		4,500		286,574		(17,474	)
Pfizer, Inc.		105,000		3,265,688		(149,288	)
PG&E Corp.		19,800		805,266		145,530
Phillips 66		44,000		3,316,901		222,019
Pinnacle West Capital Corp.		29,100		1,524,182		158,962
Plantronics, Inc.		4,000		175,181		17,019
PNC Financial Services Group, Inc./The		70,200		5,634,204		617,106
Polaris Industries, Inc.		2,700		369,603		(17,955	)
PPG Industries, Inc.		1,300		246,324		26,871
PPL Corp.		20,600		609,554		122,364
priceline.com, Inc.		2,400		2,772,730		114,470
ProAssurance Corp.		1,100		50,895		(2,055	)
Procter & Gamble Co./The		24,600		1,965,048		(31,734	)
Prosperity Bancshares, Inc.		1,200		73,870		1,250
Protective Life Corp.		11,100		576,387		193,176
Prudential Financial, Inc.		1,800		162,414		(2,628	)
PTC, Inc.		6,800		232,769		31,071
Public Service Enterprise Group, Inc.		93,500		3,024,366		789,499
Pulte Group, Inc.		26,200		518,637		9,555
Quanta Services, Inc.		14,000		437,057		47,063
Raytheon Co.		38,100		3,478,057		36,668
Regal Entertainment Group		36,500		711,700		58,450
Reinsurance Group of America, Inc.		23,200		1,726,080		104,400
Reliance Steel & Aluminum Co.		62,100		4,600,535		(23,144	)
RenaissanceRe Holdings Ltd.		1,500		150,685		9,815
Rent-A-Center, Inc.		14,400		446,678		(33,686	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Republic Services, Inc.		1,500	$	48,172	$	8,783
ResMed, Inc.		12,500		550,672		82,203
Reynolds American, Inc.		11,600		557,405		142,655
Rock-Tenn Co.		31,600		3,178,516		158,128
Rockwell Automation, Inc.		5,100		608,073		30,243
Ross Stores, Inc.		18,600		1,250,608		(20,590	)
Rovi Corp.		5,800		125,744		13,224
RR Donnelley & Sons Co.		40,400		763,441		(78,257	)
Ryder System, Inc.		28,600		2,088,992		430,382
SanDisk Corp.		10,200		695,917		369,269
SCANA Corp.		9,500		441,460		69,735
Scotts Miracle-Gro Co./The		9,600		581,328		(35,472	)
Seadrill Ltd.		4,500		170,353		9,422
SEI Investments Co.		3,900		136,812		(9,009	)
Sempra Energy		4,800		441,360		61,248
Signet Jewelers Ltd.		33,600		2,551,338		1,164,486
Silgan Holdings, Inc.		1,800		83,559		7,917
Skyworks Solutions, Inc.		53,900		1,878,537		652,607
SLM Corp.		27,100		320,509		(95,308	)
Snap-on, Inc.		5,800		599,562		87,854
Sonoco Products Co.		17,700		742,461		35,100
Southern Co./The		3,700		152,292		15,614
Southwest Airlines Co.		204,700		4,264,765		1,233,477
St Mary Land & Exploration Co.		12,500		913,576		137,674
StanCorp Financial Group, Inc.		7,700		511,073		(18,273	)
Starwood Hotels & Resorts Worldwide, Inc.		4,700		370,689		9,165
Steel Dynamics, Inc.		245,700		4,447,479		(37,164	)
STERIS Corp.		13,700		647,924		84,752
Stryker Corp.		12,800		1,000,600		78,696
Symantec Corp.		70,500		1,596,856		17,594
Synopsys, Inc.		19,300		767,298		(18,072	)
Sysco Corp.		12,300		449,073		11,562
Tech Data Corp.		14,000		756,763		118,517
Techne Corp.		5,200		469,215		12,149
Teleflex, Inc.		1,200		115,740		10,980
Telephone & Data Systems, Inc.		15,500		421,600		(16,895	)
Texas Instruments, Inc.		17,500		757,256		79,069
Thermo Fisher Scientific, Inc.		9,500		1,100,955		20,045
Tidewater, Inc.		3,600		189,340		12,800
Time Warner, Inc.		27,600		1,785,941		152,959
Time, Inc.		3,449		192,892		(109,357	)
Timken Co./The		17,100		940,500		219,564
TJX Cos., Inc./The		12,400		703,950		(44,890	)
Torchmark Corp.		6,700		520,657		28,207
Toro Co./The		1,600		101,312		448
Total System Services, Inc.		34,000		1,017,861		50,079

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

AQR Funds Semi-Annual Report June 2014 173

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Towers Watson & Co.		22,900	$	2,825,412	$	(438,544	)
Tractor Supply Co.		2,500		170,531		(19,531	)
Travelers Cos., Inc./The		73,700		6,170,976		761,983
TripAdvisor, Inc.		8,600		717,729		216,747
Tupperware Brands Corp.		11,900		1,063,046		(67,016	)
Twenty-First Century Fox, Inc.		2,300		72,358		6,371
Tyson Foods, Inc.		127,600		4,520,877		269,227
UGI Corp.		13,000		545,386		111,114
Ultra Petroleum Corp.		29,800		833,814		50,948
Union Pacific Corp.		57,200		4,823,497		882,203
Unit Corp.		19,100		1,214,858		99,795
United Rentals, Inc.		8,500		689,265		200,940
United States Steel Corp.		93,300		2,317,752		111,780
United Technologies Corp.		27,500		3,134,169		40,706
United Therapeutics Corp.		52,200		5,478,594		(859,416	)
UnitedHealth Group, Inc.		66,700		4,815,954		636,771
Universal Health Services, Inc.		5,800		493,112		62,296
Unum Group		71,400		2,362,477		119,387
URS Corp.		36,300		1,863,838		(199,483	)
US BanCorp.		11,200		441,439		43,745
Valero Energy Corp.		63,700		3,359,042		(167,672	)
Validus Holdings Ltd.		1,600		58,264		2,920
Valmont Industries, Inc.		10,300		1,551,576		13,509
Vectren Corp.		4,800		173,913		30,087
VeriSign, Inc.		9,000		543,485		(104,195	)
Verizon Communications, Inc.		10,800		522,180		6,264
VF Corp.		35,800		2,069,192		186,208
Viacom, Inc.		38,100		3,110,908		193,505
Visa, Inc.		2,000		446,753		(25,333	)
Wabtec Corp.		2,800		209,748		21,504
Waddell & Reed Financial, Inc.		6,500		443,560		(36,725	)
Walgreen Co.		38,700		2,273,212		595,619
Wal-Mart Stores, Inc.		8,300		632,377		(9,296	)
Walt Disney Co./The		29,300		2,091,807		420,375
Washington Federal, Inc.		6,900		146,081		8,686
Waste Connections, Inc.		6,000		249,000		42,300
Waste Management, Inc.		31,200		1,345,344		50,232
WellCare Health Plans, Inc.		8,400		576,127		51,017
WellPoint, Inc.		80,800		6,913,567		1,781,321
Wells Fargo & Co.		85,300		3,878,443		604,925
Werner Enterprises, Inc.		3,700		94,239		3,848
WESCO International, Inc.		4,600		381,632		15,716
Westar Energy, Inc.		36,700		1,198,797		202,776

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Western Digital Corp.		63,600		$	5,552,173		$	318,107
Westlake Chemical Corp.		25,000			1,521,226			572,774
WGL Holdings, Inc.		1,600			61,376			7,584
Whirlpool Corp.		20,900			3,038,782			(129,084	)
Whiting Petroleum Corp.		19,600			1,234,375			338,525
Williams-Sonoma, Inc.		900			48,554			16,048
Wisconsin Energy Corp.		1,100			45,541			6,071
World Fuel Services Corp.		9,200			404,313			48,603
Worthington Industries, Inc.		33,400			1,420,970			16,566
WR Berkley Corp.		2,500			103,800			11,975
Wynn Resorts Ltd.		3,600			776,520			(29,304	)
Xcel Energy, Inc.		42,800			1,206,960			172,484
Xerox Corp.		31,700			386,740			7,608
Xilinx, Inc.		1,100			51,194			847
Yahoo!, Inc.		85,700			3,094,627			(83,986	)
Zimmer Holdings, Inc.		19,400			1,832,602			182,282
								60,569,557
Total of Long Equity Positions								61,994,154
Short Positions
Canada
Lululemon Athletica, Inc.		(114,200	)		(5,325,299	)		702,483
Ireland
Endo International PLC		(18,900	)		(1,285,708	)		(37,670	)
Switzerland
Weatherford International Ltd.		(127,900	)		(1,821,004	)		(1,120,696	)
United Kingdom
Liberty Global PLC		(51,000	)		(2,205,926	)		(49,294	)
Liberty Global PLC		(51,000	)		(2,112,856	)		(44,954	)
Willis Group Holdings PLC		(10,600	)		(470,216	)		11,236
								(83,012	)
United States
Abercrombie & Fitch Co.		(59,200	)		(2,134,557	)		(425,843	)
Adobe Systems, Inc.		(8,000	)		(482,228	)		(96,652	)
ADTRAN, Inc.		(31,900	)		(790,497	)		70,833
Aeropostale, Inc.		(528,000	)		(2,958,181	)		1,115,461
Albemarle Corp.		(4,100	)		(256,377	)		(36,773	)
Alcoa, Inc.		(29,900	)		(339,664	)		(105,547	)
Alere, Inc.		(11,100	)		(428,460	)		13,098
Allegheny Technologies, Inc.		(36,300	)		(1,317,690	)		(319,440	)

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

174 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Alliance Data Systems Corp.		(800	)	$	(205,512	)	$	(19,488	)
Allscripts Healthcare Solutions, Inc.		(24,200	)		(401,048	)		12,638
Alpha Natural Resources, Inc.		(679,200	)		(3,151,817	)		631,985
Altera Corp.		(75,200	)		(2,455,395	)		(158,557	)
AMC Networks, Inc.		(800	)		(50,047	)		855
American Capital Ltd.		(130,600	)		(2,039,055	)		42,181
American Eagle Outfitters, Inc.		(140,200	)		(1,807,455	)		234,411
American International Group, Inc.		(39,000	)		(1,957,707	)		(170,913	)
AMETEK, Inc.		(7,100	)		(369,342	)		(1,846	)
Anadarko Petroleum Corp.		(4,200	)		(336,153	)		(123,621	)
ANN, Inc.		(1,400	)		(49,350	)		(8,246	)
Apollo Investment Corp.		(16,000	)		(143,040	)		5,280
Apple, Inc.		(19,600	)		(1,513,680	)		(307,748	)
Arch Coal, Inc.		(766,300	)		(3,202,546	)		405,551
Armstrong World Industries, Inc.		(5,000	)		(286,572	)		(578	)
Ashland, Inc.		(1,100	)		(108,790	)		(10,824	)
Assured Guaranty Ltd.		(67,400	)		(1,470,668	)		(180,632	)
Atmel Corp.		(119,100	)		(981,369	)		(134,598	)
Autodesk, Inc.		(22,100	)		(1,140,146	)		(105,852	)
AutoNation, Inc.		(3,400	)		(162,588	)		(40,324	)
Avis Budget Group, Inc.		(57,800	)		(2,131,954	)		(1,318,128	)
Avon Products, Inc.		(345,700	)		(5,068,542	)		17,865
Bally Technologies, Inc.		(3,000	)		(244,170	)		47,010
BancorpSouth, Inc.		(9,600	)		(234,624	)		(1,248	)
Bank of America Corp.		(75,600	)		(1,267,075	)		105,103
Barnes & Noble, Inc.		(111,100	)		(1,605,946	)		(926,023	)
BE Aerospace, Inc.		(5,200	)		(400,398	)		(80,550	)
Bill Barrett Corp.		(11,800	)		(319,205	)		3,201
BioMarin Pharmaceutical, Inc.		(88,400	)		(5,839,461	)		340,097
Bristol-Myers Squibb Co.		(8,800	)		(474,740	)		47,852
Broadcom Corp.		(19,300	)		(559,700	)		(156,716	)
Brookdale Senior Living, Inc.		(174,700	)		(4,952,278	)		(872,220	)
Brown & Brown, Inc.		(2,000	)		(63,425	)		2,005
Bruker Corp.		(48,800	)		(1,002,467	)		(181,909	)
Cabela’s, Inc.		(20,300	)		(1,375,757	)		109,037
Cablevision Systems Corp.		(56,500	)		(917,283	)		(79,942	)
Cabot Oil & Gas Corp.		(16,900	)		(633,412	)		56,446
Calpine Corp.		(245,100	)		(4,657,850	)		(1,177,981	)
Cameron International Corp.		(59,500	)		(3,507,012	)		(521,733	)
Campbell Soup Co.		(13,100	)		(528,037	)		(72,074	)
CARBO Ceramics, Inc.		(2,400	)		(267,170	)		(102,718	)
CarMax, Inc.		(39,100	)		(1,793,037	)		(240,554	)
Carnival Corp.		(91,800	)		(3,716,061	)		259,791
Catamaran Corp.		(20,900	)		(1,026,390	)		103,446

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Caterpillar, Inc.		(16,400	)	$	(1,507,401	)	$	(274,787	)
CenterPoint Energy, Inc.		(9,900	)		(231,858	)		(20,988	)
CenturyLink, Inc.		(6,500	)		(195,000	)		(40,300	)
Cerner Corp.		(1,100	)		(61,838	)		5,100
CF Industries Holdings, Inc.		(500	)		(122,905	)		2,640
CH Robinson Worldwide, Inc.		(19,400	)		(1,130,723	)		(106,803	)
Charles Schwab Corp./The		(89,700	)		(2,376,644	)		(38,977	)
Charter Communications, Inc.		(13,200	)		(1,805,845	)		(284,771	)
Cheniere Energy, Inc.		(59,700	)		(2,722,627	)		(1,557,863	)
Chico’s FAS, Inc.		(89,600	)		(1,479,291	)		(40,325	)
Ciena Corp.		(64,700	)		(1,372,103	)		(29,299	)
Cincinnati Financial Corp.		(16,600	)		(816,249	)		18,785
CIT Group, Inc.		(44,600	)		(2,193,513	)		152,617
Citigroup, Inc.		(45,700	)		(2,293,658	)		141,188
Citrix Systems, Inc.		(14,500	)		(828,963	)		(78,012	)
Clean Harbors, Inc.		(10,800	)		(615,600	)		(78,300	)
Coach, Inc.		(49,000	)		(2,427,531	)		752,221
Cognizant Technology Solutions Corp.		(4,300	)		(212,744	)		2,431
Colfax Corp.		(8,700	)		(537,278	)		(111,220	)
Community Health Systems, Inc.		(12,600	)		(513,595	)		(58,067	)
CommVault Systems, Inc.		(6,000	)		(392,857	)		97,837
Compass Minerals International, Inc.		(19,300	)		(1,552,951	)		(294,831	)
Concho Resources, Inc.		(14,100	)		(1,380,927	)		(656,523	)
Concur Technologies, Inc.		(27,900	)		(2,863,596	)		259,410
CONSOL Energy, Inc.		(97,700	)		(3,702,444	)		(798,595	)
Con-way, Inc.		(8,100	)		(328,779	)		(79,542	)
Copart, Inc.		(17,900	)		(638,558	)		(5,126	)
Costco Wholesale Corp.		(11,400	)		(1,282,316	)		(30,508	)
Covance, Inc.		(2,500	)		(233,495	)		19,545
Covanta Holding Corp.		(76,400	)		(1,369,902	)		(204,702	)
Cree, Inc.		(14,100	)		(762,135	)		57,840
CVR Energy, Inc.		(38,400	)		(1,487,359	)		(363,137	)
Cypress Semiconductor Corp.		(477,300	)		(4,771,279	)		(436,064	)
Cytec Industries, Inc.		(3,400	)		(314,636	)		(43,792	)
Darden Restaurants, Inc.		(7,500	)		(382,200	)		35,175
DaVita HealthCare Partners, Inc.		(27,600	)		(1,778,846	)		(217,186	)
Dean Foods Co.		(174,200	)		(2,779,776	)		(284,402	)
Denbury Resources, Inc.		(58,000	)		(925,442	)		(145,238	)
Devon Energy Corp.		(4,600	)		(271,446	)		(93,794	)
Dick’s Sporting Goods, Inc.		(11,700	)		(627,120	)		82,368
Diebold, Inc.		(50,500	)		(1,717,887	)		(310,698	)

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

AQR Funds Semi-Annual Report June 2014 175

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Discovery Communications, Inc.		(15,800	)	$	(1,248,254	)	$	74,630
Donaldson Co., Inc.		(3,200	)		(135,648	)		224
DR Horton, Inc.		(30,800	)		(672,075	)		(84,989	)
DreamWorks Animation SKG, Inc.		(76,200	)		(2,163,614	)		391,202
Dresser-Rand Group, Inc.		(12,800	)		(734,406	)		(81,338	)
Dunkin’ Brands Group, Inc.		(7,600	)		(354,506	)		6,350
E*TRADE Financial Corp.		(134,000	)		(2,770,443	)		(78,397	)
Eagle Materials, Inc.		(6,800	)		(530,808	)		(110,296	)
Ecolab, Inc.		(3,300	)		(343,695	)		(23,727	)
Edwards Lifesciences Corp.		(25,100	)		(1,720,354	)		(434,230	)
Equinix, Inc.		(32,100	)		(5,708,456	)		(1,035,433	)
Estee Lauder Cos., Inc./The		(13,900	)		(1,012,230	)		(19,984	)
Esterline Technologies Corp.		(10,100	)		(1,003,447	)		(159,265	)
Expeditors International of Washington, Inc.		(32,300	)		(1,393,106	)		(33,262	)
F5 Networks, Inc.		(16,300	)		(1,706,934	)		(109,538	)
Facebook, Inc.		(20,000	)		(1,126,000	)		(219,800	)
Fairchild Semiconductor International, Inc.		(97,700	)		(1,285,714	)		(238,406	)
Family Dollar Stores, Inc.		(41,500	)		(2,603,456	)		(141,354	)
Fastenal Co.		(66,100	)		(3,020,222	)		(251,067	)
Fidelity National Financial, Inc.		(33,500	)		(1,056,925	)		(40,535	)
First American Financial Corp.		(23,700	)		(620,424	)		(38,199	)
First Horizon National Corp.		(183,600	)		(2,140,244	)		(37,252	)
First Solar, Inc.		(16,000	)		(1,037,199	)		(99,761	)
FirstEnergy Corp.		(30,600	)		(997,866	)		(64,566	)
FMC Corp.		(5,600	)		(416,576	)		17,912
FMC Technologies, Inc.		(16,700	)		(836,469	)		(183,400	)
Ford Motor Co.		(186,600	)		(2,741,943	)		(475,041	)
Forest City Enterprises, Inc.		(120,700	)		(2,244,529	)		(153,780	)
Fortinet, Inc.		(171,400	)		(3,597,480	)		(709,802	)
Fortune Brands Home & Security, Inc.		(13,100	)		(522,115	)		(968	)
Freescale Semiconductor Ltd.		(69,100	)		(1,188,733	)		(435,117	)
FTI Consulting, Inc.		(21,200	)		(653,633	)		(148,151	)
General Cable Corp.		(6,900	)		(177,842	)		788
General Electric Co.		(35,900	)		(954,222	)		10,770
Genesee & Wyoming, Inc.		(5,200	)		(466,612	)		(79,388	)
Genpact Ltd.		(3,012	)		(52,475	)		(325	)
Genworth Financial, Inc.		(48,900	)		(787,647	)		(63,213	)
GNC Holdings, Inc.		(13,100	)		(544,465	)		97,755

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Goodyear Tire & Rubber Co./The		(8,500	)	$	(208,505	)	$	(27,625	)
Greenhill & Co., Inc.		(69,500	)		(3,851,440	)		428,565
Groupon, Inc.		(302,100	)		(2,482,499	)		482,597
Harley-Davidson, Inc.		(2,000	)		(135,160	)		(4,540	)
Harman International Industries, Inc.		(8,200	)		(741,936	)		(138,990	)
Harsco Corp.		(57,700	)		(1,477,154	)		(59,397	)
Helix Energy Solutions Group, Inc.		(87,900	)		(1,861,550	)		(451,099	)
Hertz Global Holdings, Inc.		(94,100	)		(2,450,730	)		(186,893	)
Hexcel Corp.		(20,600	)		(853,221	)		10,681
HMS Holdings Corp.		(130,700	)		(3,081,584	)		413,997
Hologic, Inc.		(111,800	)		(2,459,104	)		(375,026	)
HomeAway, Inc.		(58,100	)		(2,029,053	)		6,011
Hospira, Inc.		(8,200	)		(350,838	)		(70,396	)
HSN, Inc.		(2,500	)		(140,240	)		(7,860	)
Huntington Bancshares, Inc.		(125,900	)		(1,161,120	)		(39,966	)
Huntsman Corp.		(23,300	)		(518,982	)		(135,748	)
IDEXX Laboratories, Inc.		(1,200	)		(136,270	)		(24,014	)
IHS, Inc.		(1,600	)		(187,376	)		(29,696	)
Illumina, Inc.		(9,200	)		(1,254,328	)		(388,240	)
Incyte Corp. Ltd.		(8,700	)		(449,012	)		(42,016	)
Informatica Corp.		(5,500	)		(234,080	)		38,005
Ingersoll-Rand PLC		(6,100	)		(380,152	)		(1,159	)
Integrated Device Technology, Inc.		(4,100	)		(43,407	)		(19,979	)
InterDigital, Inc.		(23,700	)		(668,527	)		(464,333	)
International Game Technology		(60,500	)		(819,438	)		(143,117	)
Intrepid Potash, Inc.		(35,400	)		(517,444	)		(75,860	)
Intuitive Surgical, Inc.		(13,100	)		(5,494,028	)		99,448
Iron Mountain, Inc.		(111,000	)		(2,973,709	)		(961,241	)
Itron, Inc.		(48,700	)		(2,042,316	)		67,531
Jabil Circuit, Inc.		(72,700	)		(1,277,005	)		(242,425	)
Janus Capital Group, Inc.		(141,500	)		(1,705,237	)		(60,683	)
Jarden Corp.		(900	)		(55,076	)		1,661
Jazz Pharmaceuticals PLC		(13,900	)		(2,073,053	)		29,614
JB Hunt Transport Services, Inc.		(1,800	)		(137,830	)		5,026
JDS Uniphase Corp.		(120,000	)		(1,457,161	)		(39,239	)
JetBlue Airways Corp.		(118,700	)		(1,048,799	)		(239,096	)
Joy Global, Inc.		(23,100	)		(1,224,936	)		(197,562	)
Kansas City Southern		(4,000	)		(396,805	)		(33,235	)
KB Home		(84,100	)		(1,341,265	)		(229,723	)
KBR, Inc.		(2,100	)		(64,160	)		14,075
Keurig Green Mountain, Inc.		(1,100	)		(116,242	)		(20,829	)
Kinder Morgan, Inc.		(76,000	)		(2,620,086	)		(135,674	)
L Brands, Inc.		(3,400	)		(174,098	)		(25,346	)

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

176 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Laboratory Corp. of America Holdings		(3,400	)	$	(304,457	)	$	(43,703	)
Lamar Advertising Co.		(60,100	)		(2,950,613	)		(234,687	)
Laredo Petroleum, Inc.		(70,400	)		(1,740,141	)		(440,851	)
Las Vegas Sands Corp.		(28,300	)		(2,318,079	)		161,053
Legg Mason, Inc.		(15,400	)		(676,214	)		(113,960	)
Lennar Corp.		(78,500	)		(2,954,575	)		(340,855	)
Leucadia National Corp.		(22,800	)		(586,878	)		(10,938	)
Level 3 Communications, Inc.		(44,900	)		(1,474,846	)		(496,713	)
LinkedIn Corp.		(36,600	)		(6,580,812	)		305,010
Louisiana-Pacific Corp.		(141,900	)		(2,280,608	)		149,270
Macy’s, Inc.		(14,700	)		(819,897	)		(32,997	)
Manitowoc Co., Inc./The		(44,700	)		(1,144,320	)		(324,522	)
Markel Corp.		(500	)		(283,290	)		(44,530	)
Martin Marietta Materials, Inc.		(11,900	)		(1,282,367	)		(289,028	)
Masco Corp.		(96,100	)		(2,083,411	)		(50,009	)
Masimo Corp.		(3,200	)		(99,680	)		24,160
MBIA, Inc.		(66,100	)		(770,198	)		40,454
McDermott International, Inc.		(640,700	)		(5,661,093	)		477,830
Mead Johnson Nutrition Co.		(24,400	)		(2,007,632	)		(265,716	)
MeadWestvaco Corp.		(1,300	)		(46,265	)		(11,273	)
Medivation, Inc.		(67,100	)		(5,036,110	)		(135,958	)
MEDNAX, Inc.		(900	)		(49,348	)		(2,987	)
MGM Resorts International		(89,400	)		(2,278,489	)		(81,671	)
Michael Kors Holdings Ltd.		(25,200	)		(1,954,778	)		(279,202	)
Mohawk Industries, Inc.		(1,500	)		(204,171	)		(3,339	)
Monsanto Co.		(20,000	)		(2,219,865	)		(274,935	)
Monster Beverage Corp.		(3,400	)		(235,008	)		(6,494	)
Monster Worldwide, Inc.		(104,300	)		(675,864	)		(6,258	)
Mosaic Co./The		(37,900	)		(1,782,033	)		(92,122	)
Motorola Solutions, Inc.		(6,400	)		(417,636	)		(8,412	)
MSC Industrial Direct Co., Inc.		(3,100	)		(253,172	)		(43,312	)
MSCI, Inc.		(1,200	)		(52,102	)		(2,918	)
Nabors Industries Ltd.		(70,100	)		(1,195,529	)		(863,308	)
Navistar International Corp.		(159,000	)		(5,386,789	)		(572,531	)
NCR Corp.		(72,000	)		(2,467,796	)		(58,684	)
NetSuite, Inc.		(12,400	)		(1,065,790	)		(11,522	)
New York Times Co./The		(69,700	)		(1,026,434	)		(33,703	)
Newfield Exploration Co.		(58,700	)		(1,435,109	)		(1,159,431	)
News Corp.		(41,500	)		(708,820	)		(35,690	)
Nielsen Holdings NV		(9,400	)		(417,548	)		(37,506	)
NIKE, Inc.		(11,900	)		(863,264	)		(59,581	)
Nordson Corp.		(4,900	)		(341,115	)		(51,816	)
NRG Energy, Inc.		(47,800	)		(1,341,746	)		(436,414	)
Nuance Communications, Inc.		(101,300	)		(1,521,526	)		(379,875	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Oasis Petroleum, Inc.		(7,600	)	$	(320,669	)	$	(104,095	)
Office Depot, Inc.		(670,700	)		(3,136,011	)		(680,272	)
Old Republic International Corp.		(6,400	)		(107,456	)		1,600
ON Semiconductor Corp.		(103,300	)		(884,565	)		(59,597	)
ONEOK, Inc.		(10,600	)		(569,262	)		(152,386	)
Owens Corning		(50,300	)		(2,000,769	)		55,165
Pall Corp.		(1,300	)		(108,550	)		(2,457	)
Palo Alto Networks, Inc.		(71,900	)		(4,470,082	)		(1,558,733	)
Pandora Media, Inc.		(46,300	)		(1,659,648	)		293,798
Panera Bread Co.		(2,400	)		(413,256	)		53,664
Peabody Energy Corp.		(268,800	)		(4,696,336	)		301,456
PerkinElmer, Inc.		(24,000	)		(1,035,507	)		(88,653	)
Pharmacyclics, Inc.		(34,300	)		(4,626,792	)		1,549,739
Philip Morris International, Inc.		(17,300	)		(1,347,699	)		(110,864	)
Pitney Bowes, Inc.		(6,700	)		(174,985	)		(10,069	)
Post Holdings, Inc.		(27,000	)		(1,430,248	)		55,678
Precision Castparts Corp.		(3,700	)		(993,868	)		59,988
Principal Financial Group, Inc.		(20,400	)		(925,603	)		(104,189	)
Progressive Corp./The		(66,400	)		(1,572,615	)		(111,289	)
PVH Corp.		(15,900	)		(1,928,419	)		74,479
QEP Resources, Inc.		(39,400	)		(1,184,015	)		(175,285	)
Quest Diagnostics, Inc.		(900	)		(48,722	)		(4,099	)
Rackspace Hosting, Inc.		(79,100	)		(2,898,918	)		236,412
Range Resources Corp.		(48,400	)		(4,029,972	)		(178,408	)
Red Hat, Inc.		(30,500	)		(1,784,714	)		98,979
Regeneron Pharmaceuticals, Inc.		(3,300	)		(938,305	)		6,154
Regions Financial Corp.		(48,500	)		(512,645	)		(2,425	)
RF Micro Devices, Inc.		(10,500	)		(52,290	)		(48,405	)
Robert Half International, Inc.		(1,200	)		(48,543	)		(8,745	)
Rockwell Collins, Inc.		(7,000	)		(537,276	)		(9,704	)
Rockwood Holdings, Inc.		(29,100	)		(2,069,527	)		(141,782	)
Rosetta Resources, Inc.		(11,800	)		(515,107	)		(132,123	)
Rowan Cos. PLC		(3,100	)		(101,525	)		2,542
Royal Caribbean Cruises Ltd.		(1,200	)		(58,020	)		(8,700	)
Salesforce.com, Inc.		(55,100	)		(3,286,419	)		86,211
Salix Pharmaceuticals Ltd.		(20,700	)		(2,019,283	)		(534,062	)
Sally Beauty Holdings, Inc.		(41,500	)		(1,154,275	)		113,455
SBA Communications Corp.		(13,300	)		(1,207,494	)		(153,096	)
Scripps Networks Interactive, Inc.		(2,600	)		(192,842	)		(18,122	)
Sealed Air Corp.		(55,500	)		(1,809,893	)		(86,542	)
Seattle Genetics, Inc.		(41,900	)		(1,763,690	)		161,015
Semtech Corp.		(40,600	)		(905,045	)		(156,645	)
Sensata Technologies Holding NV		(44,600	)		(1,687,320	)		(399,068	)

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

AQR Funds Semi-Annual Report June 2014 177

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Service Corp. International		(67,500	)	$	(1,212,427	)	$	(186,173	)
ServiceNow, Inc.		(7,500	)		(466,024	)		1,324
Sherwin-Williams Co./The		(1,700	)		(327,443	)		(24,304	)
Silicon Laboratories, Inc.		(7,400	)		(337,046	)		(27,404	)
Sirius XM Holdings, Inc.		(1,439,200	)		(4,631,903	)		(347,729	)
Sirona Dental Systems, Inc.		(9,200	)		(645,179	)		(113,453	)
Six Flags Entertainment Corp.		(22,900	)		(844,861	)		(129,534	)
SolarWinds, Inc.		(46,400	)		(1,858,566	)		64,742
Solera Holdings, Inc.		(800	)		(54,864	)		1,144
Sotheby’s		(39,700	)		(1,980,694	)		313,691
Southwestern Energy Co.		(47,100	)		(1,875,444	)		(267,135	)
Spirit AeroSystems Holdings, Inc.		(28,100	)		(969,118	)		22,148
Splunk, Inc.		(26,800	)		(1,500,041	)		17,197
Sprint Corp.		(291,400	)		(2,520,560	)		34,918
SPX Corp.		(3,800	)		(396,606	)		(14,592	)
Stanley Black & Decker, Inc.		(10,500	)		(828,646	)		(93,464	)
Stratasys Ltd.		(28,200	)		(3,396,975	)		192,609
SunEdison, Inc.		(223,500	)		(3,275,745	)		(1,775,355	)
SunTrust Banks, Inc.		(19,100	)		(751,394	)		(13,752	)
SUPERVALU, Inc.		(144,400	)		(888,684	)		(298,284	)
SVB Financial Group		(500	)		(52,790	)		(5,520	)
Synovus Financial Corp.		(130,912	)		(3,169,422	)		(22,212	)
T Rowe Price Group, Inc.		(1,400	)		(115,192	)		(2,982	)
Target Corp.		(29,000	)		(1,711,529	)		30,979
TCF Financial Corp.		(15,900	)		(266,643	)		6,360
Teekay Corp.		(38,100	)		(2,043,227	)		(328,498	)
Tempur Sealy International, Inc.		(57,300	)		(2,795,107	)		(625,703	)
Tenet Healthcare Corp.		(94,600	)		(4,264,023	)		(176,501	)
Teradata Corp.		(40,000	)		(1,815,875	)		207,875
Teradyne, Inc.		(8,700	)		(169,563	)		(957	)
Terex Corp.		(21,900	)		(890,762	)		(9,328	)
Tesla Motors, Inc.		(3,100	)		(527,031	)		(217,155	)
Tesoro Corp.		(45,200	)		(2,376,616	)		(275,268	)
Textron, Inc.		(44,400	)		(1,584,033	)		(116,043	)
Theravance Biopharma, Inc.		(35,427	)		(1,037,551	)		(91,862	)
Theravance, Inc.		(124,000	)		(3,631,588	)		(61,132	)
Thor Industries, Inc.		(900	)		(47,838	)		(3,345	)
Thoratec Corp.		(25,900	)		(959,334	)		56,460
TIBCO Software, Inc.		(80,700	)		(1,831,573	)		203,854
Tiffany & Co.		(14,100	)		(1,222,611	)		(190,914	)
T-Mobile US, Inc.		(39,100	)		(1,217,294	)		(97,248	)
Toll Brothers, Inc.		(37,700	)		(1,357,938	)		(33,192	)
TransDigm Group, Inc.		(11,400	)		(1,942,749	)		35,985

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Trimble Navigation Ltd.		(91,800	)	$	(3,021,933	)	$	(370,077	)
Triumph Group, Inc.		(22,300	)		(1,692,044	)		135,058
tw telecom, Inc.		(28,000	)		(838,366	)		(290,314	)
Twenty-First Century Fox, Inc.		(43,900	)		(1,368,525	)		(174,560	)
Ulta Salon Cosmetics & Fragrance, Inc.		(33,400	)		(2,797,661	)		(255,433	)
Under Armour, Inc.		(22,200	)		(924,656	)		(396,022	)
United Continental Holdings, Inc.		(17,600	)		(831,059	)		108,227
Urban Outfitters, Inc.		(39,500	)		(1,409,164	)		71,694
Valspar Corp./The		(4,500	)		(321,336	)		(21,519	)
Vantiv, Inc.		(23,500	)		(761,972	)		(28,098	)
Varian Medical Systems, Inc.		(3,500	)		(277,748	)		(13,242	)
VeriFone Systems, Inc.		(118,400	)		(3,420,340	)		(930,860	)
Verisk Analytics, Inc.		(5,900	)		(373,803	)		19,685
Vertex Pharmaceuticals, Inc.		(88,700	)		(6,539,206	)		(1,858,910	)
Visteon Corp.		(1,800	)		(146,310	)		(28,308	)
VMware, Inc.		(24,700	)		(2,350,187	)		(41,020	)
Vulcan Materials Co		(61,400	)		(3,669,942	)		(244,308	)
WABCO Holdings, Inc.		(2,500	)		(237,650	)		(29,400	)
Waters Corp.		(1,600	)		(169,863	)		2,759
Webster Financial Corp.		(23,900	)		(754,890	)		1,084
Wendy’s Co./The		(91,258	)		(805,075	)		26,644
Western Union Co./The		(197,500	)		(3,164,344	)		(260,306	)
WEX, Inc.		(4,200	)		(368,479	)		(72,395	)
Williams Cos., Inc./The		(78,500	)		(3,098,408	)		(1,471,077	)
Woodward, Inc.		(8,500	)		(349,921	)		(76,609	)
WPX Energy, Inc.		(55,700	)		(1,038,805	)		(292,982	)
Xylem, Inc.		(47,700	)		(1,676,447	)		(187,669	)
Yum! Brands, Inc.		(41,900	)		(2,879,389	)		(522,891	)
Zions Bancorporation		(56,200	)		(1,668,665	)		12,451
Zynga, Inc.		(731,200	)		(3,070,098	)		722,946
								(36,530,933	)
Total of Short Equity Positions								(37,069,828	)
Total of Long and Short Equity Positions								24,924,326
Net Cash and Other Receivables/ (Payables) (b)								569,643
Swaps, at Value							$	25,493,969

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

178 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investments June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	13 months maturity ranging from 07/10/2014 - 02/20/2015		$(1,129,519)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Ireland
DCC PLC		48,652	$	2,362,358	$	619,062
Switzerland
Coca-Cola HBC AG		15,746		399,672		(38,203	)
United Kingdom
3i Group PLC		25,351		161,545		12,680
Admiral Group PLC		13,983		343,124		27,379
Amlin PLC		1,156		8,286		966
Anglo American PLC		98,319		2,456,403		(46,764	)
Ashtead Group PLC		52,976		732,750		59,767
ASOS PLC		7,099		815,635		(456,113	)
Associated British Foods PLC		93,614		4,317,670		564,537
Aviva PLC		300,483		2,376,030		245,619
Babcock International Group PLC		193,783		4,492,295		(640,486	)
BG Group PLC		26,469		504,763		53,769
BP PLC		7,039		57,405		4,580
British Sky Broadcasting Group PLC		152,282		2,229,263		125,834
BT Group PLC		596,509		3,961,727		(42,027	)
Bunzl PLC		35,302		980,177		(140	)
Capita PLC		81,490		1,436,944		159,549
Catlin Group Ltd.		1,094		9,895		117
Centrica PLC		254,956		1,387,433		(25,044	)
Compass Group PLC		71,411		1,178,000		63,583
Direct Line Insurance Group PLC		1,000,609		4,401,429		216,245
Drax Group PLC		91,623		1,262,270		(259,172	)
DS Smith PLC		125,463		703,052		(108,912	)
GKN PLC		474,611		3,276,693		(330,317	)
GlaxoSmithKline PLC		34,197		961,803		(51,301	)
Hargreaves Lansdown PLC		32,007		796,741		(119,107	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
HSBC Holdings PLC		46,550	$	538,522	$	(66,269	)
ICAP PLC		130,850		915,542		(65,418	)
Inchcape PLC		9,202		91,157		8,666
Investec PLC		309,823		2,203,758		650,705
ITV PLC		196,992		681,447		(81,124	)
J Sainsbury PLC		955,595		5,794,955		(636,695	)
Kingfisher PLC		596,431		4,004,717		(343,287	)
Legal & General Group PLC		29,997		107,513		8,051
London Stock Exchange Group PLC		1,021		32,149		2,905
Lonmin PLC		4,035		19,622		(3,242	)
Marks & Spencer Group PLC		103,740		861,143		(106,506	)
Meggitt PLC		61,671		552,557		(18,606	)
Mitchells & Butlers PLC		11,158		86,670		(12,291	)
Mondi PLC		67,620		1,138,642		88,992
National Grid PLC		219,594		2,965,489		195,964
Next PLC		45,414		4,811,279		216,192
Reckitt Benckiser Group PLC		17,068		1,370,294		117,953
Resolution Ltd.		51,769		317,548		(38,398	)
Rexam PLC		92,178		882,710		(39,015	)
Rightmove PLC		43,437		1,903,457		(311,216	)
Rolls-Royce Holdings PLC		1,871,578		25		3,178
Sage Group PLC/The		69,599		490,245		(33,120	)
Schroders PLC		7,713		337,446		(6,928	)
Shire PLC		24,210		1,262,503		636,604
Smith & Nephew PLC		84,079		1,280,827		207,202
Smiths Group PLC		88,603		2,246,073		(282,650	)
Sports Direct International PLC		125,813		1,545,156		(24,836	)
SSE PLC		76,127		1,738,898		300,472
Tesco PLC		356,823		2,014,265		(280,039	)
Travis Perkins PLC		81,644		2,512,233		(225,764	)

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

AQR Funds Semi-Annual Report June 2014 179

Consolidated Schedule of Investment June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Whitbread PLC		21,037		$	1,386,523		$	200,520
William Hill PLC		57,927			333,736			(8,502	)
WPP PLC		104,358			2,412,164			(138,007	)
								(629,267	)
Total of Long Equity Positions								(48,408	)
Short Positions
Switzerland
Wolseley PLC		(67,182	)		(3,936,396	)		256,092
United Kingdom
Aggreko PLC		(33,217	)		(1,026,291	)		88,470
Antofagasta PLC		(83,000	)		(1,211,584	)		127,276
ARM Holdings PLC		(223,378	)		(3,620,874	)		261,966
Barclays PLC		(302,927	)		(1,355,112	)		251,617
Burberry Group PLC		(205,907	)		(5,174,770	)		(51,364	)
Carnival PLC		(95,225	)		(4,128,794	)		536,807
Croda International PLC		(61,132	)		(2,531,862	)		229,562
Diageo PLC		(110,161	)		(3,550,874	)		42,345
Evraz PLC		(273,446	)		(458,276	)		42,764
Experian PLC		(27,438	)		(527,976	)		64,406
G4S PLC		(99,799	)		(406,388	)		(29,317	)
IMI PLC		(45,043	)		(1,295,686	)		150,361
InterContinental Hotels Group PLC		(3,390	)		(116,035	)		(24,214	)
Intertek Group PLC		(42,539	)		(2,088,511	)		88,432
John Wood Group PLC		(206,883	)		(2,324,021	)		(528,528	)
Johnson Matthey PLC		(52,282	)		(3,014,222	)		241,944
Kazakhmys PLC		(318,115	)		(1,298,402	)		(354,293	)
Ladbrokes PLC		(181,175	)		(479,288	)		44,320
Man Group PLC		(1,502,547	)		(2,504,883	)		(199,284	)
Melrose Industries PLC		(32,267	)		(199,414	)		55,829
Old Mutual PLC		(302,268	)		(993,045	)		(28,459	)
Pearson PLC		(110,932	)		(2,372,247	)		181,948
Pennon Group PLC		(147,990	)		(1,743,306	)		(245,867	)
Premier Oil PLC		(34,733	)		(171,775	)		(26,522	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Prudential PLC		(41,278	)	$	(929,985	)	$	(15,754	)
Royal Bank of Scotland Group PLC		(421,148	)		(2,553,396	)		186,452
SABMiller PLC		(97,810	)		(4,584,273	)		(1,084,306	)
Serco Group PLC		(303,044	)		(2,003,712	)		110,578
Severn Trent PLC		(51,114	)		(1,445,281	)		(244,434	)
Spirax-Sarco Engineering PLC		(22,657	)		(1,146,526	)		87,482
Standard Chartered PLC		(9,725	)		(135,418	)		(63,362	)
Standard Life PLC		(251,325	)		(1,572,757	)		(35,092	)
Tate & Lyle PLC		(12,783	)		(151,487	)		1,926
Taylor Wimpey PLC		(284,476	)		(523,385	)		(31,072	)
Telecity Group PLC		(23,980	)		(288,145	)		(21,141	)
UBM PLC		(26,450	)		(323,485	)		22,035
United Utilities Group PLC		(1,402	)		(16,615	)		(4,542	)
Vedanta Resources PLC		(34,960	)		(487,351	)		(175,679	)
Vodafone Group PLC		(65,206	)		(228,394	)		10,458
Weir Group PLC/The		(93,427	)		(3,479,446	)		(706,783	)
								(1,043,035	)
Total of Short Equity Positions								(786,943	)
Total of Long and Short Equity Positions								(835,351	)
Net Cash and Other Receivables/ (Payables) (b)								(294,168	)
Swaps, at Value							$	(1,129,519	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 3)
Goldman Sachs	The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	13 months maturity ranging from 07/22/2014 - 02/20/2015		$(1,020,429)

** The maturity dates are measured from the commencement of investment in each underlying portfolio swap position.

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

180 AQR Funds Semi-Annual Report June 2014

Consolidated Schedule of Investment June 30, 2014 (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Additional Information — Total Return Basket Swap

The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
France
Aeroports de Paris		4,048		$	462,139		$	71,535
AtoS		7,380			660,297			(45,611	)
AXA SA		1,110			30,649			(4,128	)
BNP Paribas SA		8,795			695,897			(98,199	)
Bouygues SA		84,474			3,415,149			99,831
Bureau Veritas SA		3,706			102,265			663
Cap Gemini SA		16,842			1,186,579			15,330
Christian Dior SA		360			70,204			1,472
Cie Generale des Etablissements Michelin		13,204			1,460,327			116,260
CNP Assurances		11,194			237,694			(5,364	)
Danone SA		8,953			621,337			44,394
Electricite de France		121,925			4,278,518			(439,356	)
European Aeronautic Defence and Space Co. NV		29,452			2,270,451			(295,754	)
GDF Suez		10,743			255,060			40,926
Iliad SA		12,768			3,241,018			621,412
Imerys SA		10,812			909,075			2,749
Lagardere SCA		43,329			1,581,771			(170,044	)
Legrand SA		8,338			469,298			41,326
L’Oreal SA		7,510			1,286,491			6,574
Natixis		18,390			117,371			654
Neopost SA		19,537			1,664,581			(201,363	)
Publicis Groupe SA		13,170			1,219,526			(103,284	)
Rexel SA		67,451			1,792,296			(214,781	)
Safran SA		36,912			2,678,366			(261,931	)
SCOR SE		41,962			1,418,375			26,501
SES SA		28,865			958,240			137,107
Societe BIC SA		756			88,727			14,722
Societe Generale SA		12,334			758,287			(111,459	)
Suez Environnement Co.		135,779			2,565,592			31,884
Thales SA		27,131			1,798,042			(157,582	)
Total SA		74,350			4,348,839			1,030,361
Valeo SA		6,691			779,066			118,697
Vinci SA		23,837			1,582,911			199,114
Vivendi SA		137,443			3,671,513			(308,068	)
Zodiac Aerospace		15,080			542,405			(31,835	)
								172,753
Total of Long Equity Positions								172,753
Short Positions
France
Accor SA		(5,067	)		(246,350	)		(17,010	)
Air France-KLM		(150,046	)		(1,853,603	)		(37,596	)
Alcatel-Lucent		(356,637	)		(1,458,643	)		176,506

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Alstom SA		(54,083	)	$	(1,912,359	)	$	(51,794	)
Arkema SA		(4,889	)		(538,769	)		63,723
Carrefour SA		(6,899	)		(242,213	)		(12,183	)
CGG SA		(279,987	)		(4,347,339	)		380,827
Cie de St-Gobain		(24,583	)		(1,378,446	)		(8,582	)
Credit Agricole SA		(64,635	)		(872,384	)		(40,188	)
Edenred		(45,479	)		(1,361,827	)		(17,276	)
Eiffage SA		(13,452	)		(791,330	)		(123,367	)
Essilor International SA		(14,759	)		(1,562,626	)		(1,474	)
Etablissements Maurel et Prom		(29,473	)		(491,675	)		(13,550	)
Eutelsat Communications SA		(24,348	)		(743,843	)		(102,243	)
Faurecia		(47,813	)		(1,873,441	)		69,263
Kering		(7,567	)		(1,562,001	)		(97,980	)
LVMH Moet Hennessy Louis Vuitton SA		(17,046	)		(2,970,199	)		(319,148	)
Pernod-Ricard SA		(13,200	)		(1,436,022	)		(149,569	)
Peugeot SA		(151,567	)		(2,116,236	)		(126,295	)
Remy Cointreau SA		(29,810	)		(2,246,132	)		(498,706	)
Renault SA		(17,278	)		(1,498,248	)		(63,591	)
Schneider Electric SA		(10,299	)		(831,083	)		(140,045	)
Technip SA		(23,807	)		(2,148,557	)		(452,629	)
Vallourec SA		(36,214	)		(1,862,878	)		239,545
Veolia Environnement SA		(189,156	)		(3,009,583	)		(593,977	)
Wendel SA		(1,408	)		(203,456	)		1,739
								(1,935,600	)
Total of Short Equity Positions								(1,935,600	)
Total of Long and Short Equity Positions								(1,762,847	)
Net Cash and Other Receivables/ (Payables) (b)								742,418
Swaps, at Value							$	(1,020,429	)

(a) Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established.

(b) Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets.

Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.

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

AQR Funds Semi-Annual Report June 2014 181

Statements of Assets and Liabilities June 30, 2014 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND		AQR LONG-SHORT EQUITY FUND		AQR GLOBAL MACRO FUND**
ASSETS:
Investments in securities, at cost		$3,661,990,760		$13,795,275		$23,197,978
Investments in securities, at value		$3,773,524,871		$13,795,275		$23,197,978
Cash		35,069,785		—		—
Foreign currency, at value		6,033,503		35,854		1
Due from brokers		620,268,973		231,405		3,153,791
Unrealized appreciation on forward foreign currency exchange contracts		—		32,840		7,256
Swaps, at value		558,287		623,091		86,300
Unrealized appreciation on futures contracts		262,388		46,604		96,835
Receivables:
Securities sold		86,535,111		—		—
Foreign tax reclaim		45,376		—		—
Dividends and interest		17,377,815		—		—
Capital shares sold		2,898,160		32,917		—
Due from Investment Advisor		—		1,926		—
Prepaid expenses		206,680		24,264		57,688
Total Assets		4,542,780,949		14,824,176		26,599,849
LIABILITIES:
Securities sold short, at value (proceeds $1,491,225,592, $— and $—, respectively)		1,575,234,564		—		—
Options written, at value (proceeds $2,636,010, $— and $—, respectively)		1,247,165		—		—
Due to custodian		—		—		3,000
Due to brokers		—		—		3,460
Unrealized depreciation on forward foreign currency exchange contracts		301,850		—		—
Swaps, at value		27,175,051		—		57,250
Unrealized depreciation on futures contracts		5,818,725		—		600,596
Payables:
Securities purchased		134,083,308		—		—
Accrued Investment advisory fees		2,315,030		—		5,192
Accrued Distribution fees—Class N		157,775		212		202
Capital shares redeemed		8,336,010		—		—
Dividends and interest payable on securities sold short		1,470,808		—		—
Other accrued expenses and liabilities		1,197,873		26,858		45,484
Total Liabilities		1,757,338,159		27,070		715,184
Net Assets		$2,785,442,790		$14,797,106		$25,884,665
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$2,749,375,372		$13,979,604		$26,787,130
Undistributed (accumulated) net investment income (loss)		31,903,581		(326,046)		(84,345)
Undistributed (accumulated) net realized gain (loss)		(13,219,691)		435,120		(312,560)
Net unrealized appreciation (depreciation)		17,383,528		708,428		(505,560)
Net Assets		$2,785,442,790		$14,797,106		$25,884,665
NET ASSETS:
Class I		$2,015,822,334		$13,742,700		$24,891,526
Class N		769,620,456		1,054,406		993,139
SHARES OUTSTANDING:
Class I		182,546,200		1,284,862		2,579,017
Class N		70,027,913		98,704		102,956
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$11.04		$10.70		$9.65
Class N		$10.99		$10.68		$9.65

Foreign currency at cost of $6,012,134, $35,253 and $1, 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.

182 AQR Funds Semi-Annual Report June 2014

Statements of Assets and Liabilities June 30, 2014 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**		AQR MANAGED FUTURES STRATEGY HV FUND**		AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
ASSETS:
Investments in securities, at cost		$5,751,124,208		$143,054,074		$63,931,607
Investments in securities, at value		$5,751,178,943		$143,054,514		$63,931,614
Cash		52,664,000		—		2,000
Foreign currency, at value		4,731,523		13,333		—
Due from brokers		282,823,504		10,376,732		1,665,861
Unrealized appreciation on forward foreign currency exchange contracts		61,983,826		2,684,685		—
Swaps, at value		7,676,385		570,762		1,505,234
Unrealized appreciation on futures contracts		50,074,154		1,980,011		—
Receivables:
Securities sold		426,448		25,361		—
Dividends and interest		21,393		—		222
Capital shares sold		7,941,531		118,728		207,319
Prepaid expenses		336,219		27,163		40,888
Total Assets		6,219,857,926		158,851,289		67,353,138
LIABILITIES:
Due to custodian		—		160,000		—
Due to brokers		57,925,746		2,638,996		179,871
Swaps, at value		15,995,269		994,664		493,182
Unrealized depreciation on futures contracts		—		248,673		39,433
Payables:
Securities purchased		427,234		25,367		—
Accrued Investment advisory fees		5,311,240		196,372		31,793
Accrued Distribution fees—Class N		294,453		1,303		2,300
Capital shares redeemed		7,336,979		24,833		4,064
Other accrued expenses and liabilities		2,143,502		140,771		94,485
Total Liabilities		89,434,423		4,430,979		845,128
Net Assets		$6,130,423,503		$154,420,310		$66,508,010
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$6,103,557,146		$153,593,420		$62,295,474
Undistributed (accumulated) net investment income (loss)		(38,210,433)		(734,877)		(217,573)
Undistributed (accumulated) net realized gain (loss)		(38,846,231)		(2,433,455)		3,457,483
Net unrealized appreciation (depreciation)		103,923,021		3,995,222		972,626
Net Assets		$6,130,423,503		$154,420,310		$66,508,010
NET ASSETS:
Class I		$4,683,599,734		$147,844,272		$54,859,142
Class N		1,446,823,769		6,576,038		11,648,868
SHARES OUTSTANDING:
Class I		466,644,224		14,827,108		5,780,195
Class N		145,462,766		660,995		1,233,082
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$10.04		$9.97		$9.49
Class N		$9.95		$9.95		$9.45

Foreign currency at cost of $4,681,592, $13,233 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.

AQR Funds Semi-Annual Report June 2014 183

Statements of Assets and Liabilities June 30, 2014 (Unaudited)

	AQR RISK PARITY FUND**		AQR RISK PARITY II MV FUND**		AQR RISK PARITY II HV FUND**
ASSETS:
Investments in securities, at cost		$748,815,752		$91,070,369		$66,576,052
Investments in securities, at value		$759,843,484		$92,021,776		$67,392,224
Cash		889,602		6,995		5,000
Foreign currency, at value		2,231,405		56,870		54,347
Due from brokers		18,253,842		3,798,784		2,535,476
Swaps, at value		50,179,665		888,239		611,435
Unrealized appreciation on futures contracts		2,703,998		762,816		590,981
Receivables:
Securities sold		45,950		2,544		—
Dividends and interest		1,276,912		186,520		135,868
Capital shares sold		350,563		1,000		2,124
Prepaid expenses		74,518		24,441		14,372
Total Assets		835,849,939		97,749,985		71,341,827
LIABILITIES:
Reverse repurchase agreements, at value		—		—		23,483,375
Due to brokers		21,480,308		61,269		90,673
Unrealized depreciation on forward foreign currency exchange contracts		315,677		191,543		137,009
Swaps, at value		486,473		145,421		136,253
Unrealized depreciation on futures contracts		—		49,516		—
Payables:
Securities purchased		2,199,492		155,016		—
Accrued Investment advisory fees		495,857		52,033		24,883
Accrued Distribution fees—Class N		11,899		1,607		2,298
Capital shares redeemed		471,228		1,461		14,684
Interest payable for reverse repurchase agreements		—		—		1,186
Other accrued expenses and liabilities		434,434		97,036		100,800
Total Liabilities		25,895,368		754,902		23,991,161
Net Assets		$809,954,571		$96,995,083		$47,350,666
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$721,249,255		$91,014,940		$41,906,463
Undistributed (accumulated) net investment income (loss)		(5,885,882)		102,248		121,379
Undistributed (accumulated) net realized gain (loss)		56,621,220		3,660,121		3,576,136
Net unrealized appreciation (depreciation)		37,969,978		2,217,774		1,746,688
Net Assets		$809,954,571		$96,995,083		$47,350,666
NET ASSETS:
Class I		$752,308,123		$89,046,709		$35,950,583
Class N		57,646,448		7,948,374		11,400,083
SHARES OUTSTANDING:
Class I		62,985,826		8,110,380		3,170,943
Class N		4,837,140		726,474		1,007,525
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$11 .94		$10 .98		$11 .34
Class N		$11 .92		$10 .94		$11 .31

Foreign currency at cost of $1,963,621, $55,896 and $53,622, 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.

184 AQR Funds Semi-Annual Report June 2014

Statements of Assets and Liabilities June 30, 2014 (Unaudited)

	AQR MULTI- STRATEGY ALTERNATIVE FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**
ASSETS:
Investments in securities, at cost		$1,716,254,726		$805,252,373
Investments in securities, at value		$1,979,793,717		$830,776,731
Cash		2,543,103		22,993
Foreign currency, at value		9,143,988		2,066,758
Due from brokers		552,709,806		46,181,541
Unrealized appreciation on forward foreign currency exchange contracts		14,203,089		1,760,928
Swaps, at value		81,383,863		24,721,199
Unrealized appreciation on futures contracts		2,130,376		1,130,990
Receivables:
Securities sold		2,858,636		797,467
Foreign tax reclaim		816,148		206,191
Dividends and interest		2,963,372		83,150
Capital shares sold		1,901,064		190,980
Prepaid expenses		101,479		37,734
Total Assets		2,650,548,641		907,976,662
LIABILITIES:
Securities sold short, at value (proceeds $912,622,733 and $259,661,650, respectively)		1,048,364,465		273,324,662
Due to brokers		16,904,273		3,226,842
Swaps, at value		698,146		849,921
Unrealized depreciation on futures contracts		10,999,816		836,703
Payables:
Securities purchased		1,893,470		793,114
Accrued Investment advisory fees		2,335,293		721,606
Accrued Distribution fees—Class N		18,272		4,660
Capital shares redeemed		614,840		54,971
Dividends and interest payable on securities sold short		657,425		415,385
Other accrued expenses and liabilities		765,719		196,239
Total Liabilities		1,083,251,719		280,424,103
Net Assets		$1,567,296,922		$627,552,559
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)		$1,598,792,949		$607,660,729
Undistributed (accumulated) net investment income (loss)		(52,828,486)		(3,609,542)
Undistributed (accumulated) net realized gain (loss)		(190,226,522)		(14,249,108)
Net unrealized appreciation (depreciation)		211,558,981		37,750,480
Net Assets		$1,567,296,922		$627,552,559
NET ASSETS:
Class I		$1,477,653,717		$603,748,426
Class N		89,643,205		23,804,133
SHARES OUTSTANDING:
Class I		151,658,406		58,333,890
Class N		9,229,782		2,302,117
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE:
Class I		$9 .74		$10 .35
Class N		$9 .71		$10 .34

Foreign currency at cost of $9,051,515 and $2,053,742, 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 2014 185

Statements of Operations June 30, 2014 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND		AQR LONG-SHORT EQUITY FUND		AQR GLOBAL MACRO FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE PERIOD 4/08/14*-6/30/14
INVESTMENT INCOME:
Dividend income†		$48,447,317		$—		$—
Interest income		20,183,717		84		218
Total Income		68,631,034		84		218
EXPENSES:
Investment advisory fees		13,613,089		60,364		72,450
Custody, administration & accounting fees		503,186		4,266		2,980
Legal fees		62,824		24,140		5,115
Audit & tax fees		116,815		18,788		35,826
Shareholder reporting fees		106,661		3,262		1,275
Transfer agent fees		1,553,480		8,678		9,304
Trustee fees		63,094		106		327
Organization and offering costs		—		21,956		7,771
Distribution fees—Class N		965,119		1,187		561
Dividends and interest on securities sold short		5,386,223		—		—
Recoupment of waiver		87,780		—		—
Pricing fee		76,965		1,044		136
Blue Sky fee		33,403		21,008		8,186
Other fees		85,101		2,236		1,773
Total Expenses		22,653,740		167,035		145,704
Less fee waivers and/or reimbursements		—		(93,747)		(61,141)
Net Expenses		22,653,740		73,288		84,563
Net Investment Income (Loss)		45,977,294		(73,204)		(84,345)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		66,574,008		—		16
Foreign currency and foreign currency transactions		(787,910)		(2,601)		(543)
Forward foreign currency exchange contracts		420,718		8,450		(65,037)
Futures contracts		(39,085,952)		309,461		(223,184)
Securities sold short		(55,950,794)		—		—
Swap contracts		18,780,287		79,342		(23,812)
Written options		1,358,334		—		—
Net realized gain (loss)		(8,691,309)		394,652		(312,560)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		19,850,742		—		—
Foreign currency and foreign currency translations		19,238		7,043		(1,918)
Forward foreign currency exchange contracts		294,535		33,287		7,256
Futures contracts		6,012,210		(34,875)		(503,761)
Securities sold short		(2,668,339)		—		—
Swap contracts		(29,041,492)		358,546		(7,137)
Written options		1,452,160		—		—
Net change in unrealized appreciation (depreciation)		(4,080,946)		364,001		(505,560)
Net realized gain (loss) and change in unrealized appreciation (depreciation)		(12,772,255)		758,653		(818,120)
Net increase (decrease) in net assets resulting from operations		$33,205,039		$685,449		$(902,465)
†  Net of foreign taxes withheld of		$133,890		$—		$—

* 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.

186 AQR Funds Semi-Annual Report June 2014

Statements of Operations June 30, 2014 (Unaudited)

	AQR MANAGED FUTURES STRATEGY FUND**		AQR MANAGED FUTURES STRATEGY HV FUND**		AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE SIX MONTHS ENDED JUNE 30, 2014
INVESTMENT INCOME:
Dividend income		$144,630		$12		$1,135
Interest income		330,416		2,024		1,643
Total Income		475,046		2,036		2,778
EXPENSES:
Investment advisory fees		31,716,184		641,558		142,665
Shareholder servicing fees		—		—		28,540
Custody, administration & accounting fees		1,223,612		18,279		12,385
Legal fees		61,396		36,879		2,630
Audit & tax fees		57,966		56,002		56,705
Shareholder reporting fees		286,612		4,590		1,876
Transfer agent fees		2,942,211		35,342		28,596
Trustee fees		126,585		1,216		1,017
Organization and offering costs		—		14,227		—
Distribution fees—Class N		1,736,705		6,521		7,403
Recoupment of waiver		145,839		—		—
Other fees		341,692		28,179		18,938
Total Expenses		38,638,802		842,793		300,755
Less fee waivers and/or reimbursements		—		(105,880)		(80,404)
Net Expenses		38,638,802		736,913		220,351
Net Investment Income (Loss)		(38,163,756)		(734,877)		(217,573)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		8,270		(169)		(779)
Foreign currency and foreign currency transactions		313,840		(8,353)		—
Forward foreign currency exchange contracts		(125,612,876)		(3,193,347)		—
Futures contracts		(31,882,866)		593,545		671,029
Swap contracts		19,529,675		(864,314)		2,799,283
Net realized gain (loss)		(137,643,957)		(3,472,638)		3,469,533
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(23,835)		164		(148)
Foreign currency and foreign currency translations		(325,941)		50		—
Forward foreign currency exchange contracts		(50,768,526)		1,664,549		—
Futures contracts		(72,616,894)		650,601		126,266
Swap contracts		(28,285,411)		(397,893)		1,584,279
Net change in unrealized appreciation (depreciation)		(152,020,607)		1,917,471		1,710,397
Net realized gain (loss) and change in unrealized appreciation (depreciation)		(289,664,564)		(1,555,167)		5,179,930
Net increase (decrease) in net assets resulting from operations		$(327,828,320)		$(2,290,044)		$4,962,357

** 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 2014 187

Statements of Operations June 30, 2014 (Unaudited)

	AQR RISK PARITY FUND**		AQR RISK PARITY II MV FUND**		AQR RISK PARITY II HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE SIX MONTHS ENDED JUNE 30, 2014
INVESTMENT INCOME:
Dividend income		$10,435		$412		$—
Interest income		3,936,732		467,565		378,249
Total Income		3,947,167		467,977		378,249
EXPENSES:
Investment advisory fees		3,176,393		202,008		156,114
Shareholder servicing fees		—		42,606		30,273
Custody, administration & accounting fees		190,601		22,244		21,512
Legal fees		24,416		6,571		6,595
Audit & tax fees		71,545		56,705		56,705
Shareholder reporting fees		35,217		3,079		1,709
Transfer agent fees		249,129		22,581		18,723
Trustee fees		22,043		1,401		845
Distribution fees—Class N		81,068		10,391		12,510
Interest expense on reverse repurchase agreements		—		—		10,006
Pricing fee		6,557		5		5
Other fees		44,921		16,260		16,068
Total Expenses		3,901,890		383,851		331,065
Less fee waivers and/or reimbursements		(793)		(63,126)		(82,527)
Net Expenses		3,901,097		320,725		248,538
Net Investment Income (Loss)		46,070		147,252		129,711
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		772,778		43,360		20,117
Foreign currency and foreign currency transactions		89,569		1,164		(649)
Forward foreign currency exchange contracts		5,724,664		124,874		16,340
Futures contracts		29,664,673		3,526,334		3,390,788
Swap contracts		25,727,088		850,608		926,138
Net realized gain (loss)		61,978,772		4,546,340		4,352,734
Net change in unrealized appreciation (depreciation) on:
Investments in securities		10,476,472		1,021,860		857,851
Foreign currency and foreign currency translations		124,953		736		834
Forward foreign currency exchange contracts		1,192,856		(142,646)		(104,578)
Futures contracts		(4,382,308)		529,984		180,923
Swap contracts		17,684,318		500,543		436,666
Net change in unrealized appreciation (depreciation)		25,096,291		1,910,477		1,371,696
Net realized gain (loss) and change in unrealized appreciation (depreciation)		87,075,063		6,456,817		5,724,430
Net increase (decrease) in net assets resulting from operations		$87,121,133		$6,604,069		$5,854,141

** 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.

188 AQR Funds Semi-Annual Report June 2014

Statements of Operations June 30, 2014 (Unaudited)

	AQR MULTI- STRATEGY ALTERNATIVE FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014		FOR THE SIX MONTHS ENDED JUNE 30, 2014
INVESTMENT INCOME:
Dividend income†		$13,483,269		$5,877,838
Interest income		1,811,472		—
Total Income		15,294,741		5,877,838
EXPENSES:
Investment advisory fees		13,884,060		3,929,319
Custody, administration & accounting fees		410,573		107,242
Legal fees		25,717		22,004
Audit & tax fees		107,801		46,889
Shareholder reporting fees		65,123		24,728
Transfer agent fees		558,749		24,891
Trustee fees		33,527		10,054
Organization and offering costs		—		12,003
Distribution fees—Class N		92,819		23,839
Dividends and interest on securities sold short		15,570,811		4,149,199
Recoupment of waiver		—		115,604
Pricing fee		13,391		3,821
Other fees		99,113		80,311
Total Expenses		30,861,684		8,549,904
Less fee waivers and/or reimbursements		(98,096)		(5,837)
Net Expenses		30,763,588		8,544,067
Net Investment Income (Loss)		(15,468,847)		(2,666,229)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		64,238,411		(542,894)
Foreign currency and foreign currency transactions		(602,613)		241,356
Forward foreign currency exchange contracts		8,581,380		1,584,255
Futures contracts		(42,537,798)		(1,811,594)
Securities sold short		(81,192,191)		(5,279,110)
Swap contracts		(36,818,395)		(13,572,675)
Written options		259,320		—
Net realized gain (loss)		(88,071,886)		(19,380,662)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		27,652,018		19,099,570
Foreign currency and foreign currency translations		31,631		(3,937)
Forward foreign currency exchange contracts		9,674,924		1,386,168
Futures contracts		(5,970,641)		(3,397,173)
Securities sold short		17,940,408		(6,227,932)
Swap contracts		47,988,738		26,616,195
Written options		(8,805)		—
Net change in unrealized appreciation (depreciation)		97,308,273		37,472,891
Net realized gain (loss) and change in unrealized appreciation (depreciation)		9,236,387		18,092,229
Net increase (decrease) in net assets resulting from operations		$(6,232,460)		$15,426,000
†  Net of foreign taxes withheld of		$1,931,241		$933,706

** 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 2014 189

Statements of Changes in Net Assets June 30, 2014

	AQR DIVERSIFIED ARBITRAGE FUND				AQR LONG-SHORT EQUITY FUND
	FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE PERIOD 7/16/13*-12/31/13
OPERATIONS:
Net investment income (loss)		$45,977,294		$38,088,437		$(73,204)		$(33,862)
Net realized gain (loss)		(8,691,309)		(17,054,593)		394,652		285,657
Net change in unrealized appreciation (depreciation)		(4,080,946)		22,579,937		364,001		344,427
Net increase (decrease) in net assets resulting from operations		33,205,039		43,613,781		685,449		596,222
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(29,570,772)		—		(316,646)
Class N		—		(10,955,754)		—		(52,907)
Total		—		(40,526,526)		—		(369,553)
Net realized gain:
Class I		—		(12,468,588)		—		(107,112)
Class N		—		(5,475,329)		—		(18,230)
Total		—		(17,943,917)		—		(125,342)
Return of capital:
Class I		—		(15,100,534)		—		—
Class N		—		(6,624,075)		—		—
Total		—		(21,724,609)		—		—
Total distributions		—		(80,195,052)		—		(494,895)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		442,293,903		853,020,321		8,498,387		4,751,453
Reinvestment of distributions		—		47,464,198		—		423,758
Cost of shares redeemed		(327,031,484)		(751,220,427)		(642,324)		(11,827)
Net increase (decrease) from capital transactions		115,262,419		149,264,092		7,856,063		5,163,384
CLASS N
Proceeds from shares sold		111,422,660		298,155,480		112,660		1,087,057
Reinvestment of distributions		—		20,315,353		—		71,137
Cost of shares redeemed		(187,282,679)		(232,413,627)		(13,263)		(266,708)
Net increase (decrease) from capital transactions		(75,860,019)		86,057,206		99,397		891,486
Net increase (decrease) in net assets resulting from capital transactions		39,402,400		235,321,298		7,955,460		6,054,870
Total increase (decrease) in net assets		72,607,439		198,740,027		8,640,909		6,156,197
NET ASSETS:
Beginning of period		2,712,835,351		2,514,095,324		6,156,197		—
End of period		$2,785,442,790		$2,712,835,351		$14,797,106		$6,156,197
Undistributed accumulated net investment income (loss)		$31,903,581		$(14,073,713)		$(326,046)		$(252,842)
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		172,057,279		158,688,997		513,771		—
Shares sold		40,215,840		76,411,318		833,130		473,112
Shares issued on reinvestment of distributions		—		4,354,773		—		41,832
Shares redeemed		(29,726,919)		(67,397,809)		(62,039)		(1,173)
Shares outstanding, end of period		182,546,200		172,057,279		1,284,862		513,771
CLASS N
Shares outstanding, beginning of period		76,969,086		69,181,212		89,144		—
Shares sold		10,174,924		26,829,009		10,874		108,364
Shares issued on reinvestment of distributions		—		1,870,652		—		7,022
Shares redeemed		(17,116,097)		(20,911,787)		(1,314)		(26,242)
Shares outstanding, end of period		70,027,913		76,969,086		98,704		89,144

* Commencement of operations.

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

190 AQR Funds Semi-Annual Report June 2014

Statements of Changes in Net Assets June 30, 2014

	AQR GLOBAL MACRO FUND**		AQR MANAGED FUTURES STRATEGY FUND**
	FOR THE  PERIOD 4/08/14*-6/30/14 (Unaudited)		FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013
OPERATIONS:
Net investment income (loss)		$(84,345)		$(38,163,756)		$(51,865,139)
Net realized gain (loss)		(312,560)		(137,643,957)		254,277,194
Net change in unrealized appreciation (depreciation)		(505,560)		(152,020,607)		179,213,487
Net increase (decrease) in net assets resulting from operations		(902,465)		(327,828,320)		381,625,542
DISTRIBUTIONS TO SHAREHOLDERS:
Net realized gain:
Class I		—		—		(44,703,867)
Class N		—		—		(13,828,173)
Total distributions						(58,532,040)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		33,658,435		1,367,236,127		2,963,680,604
Reinvestment of distributions		—		—		35,641,387
Cost of shares redeemed		(7,900,000)		(938,610,880)		(888,754,364)
Net increase (decrease) from capital transactions		25,758,435		428,625,247		2,110,567,627
CLASS N
Proceeds from shares sold		1,031,195		335,986,619		1,012,924,117
Reinvestment of distributions		—		—		13,776,405
Cost of shares redeemed		(2,500)		(220,626,352)		(210,372,539)
Net increase (decrease) from capital transactions		1,028,695		115,360,267		816,327,983
Net increase (decrease) in net assets resulting from capital transactions		26,787,130		543,985,514		2,926,895,610
Total increase (decrease) in net assets		25,884,665		216,157,194		3,249,989,112
NET ASSETS:
Beginning of period		—		5,914,266,309		2,664,277,197
End of period		$25,884,665		$6,130,423,503		$5,914,266,309
Undistributed accumulated net investment income (loss)		$(84,345)		$(38,210,433)		$(46,677)
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		—		425,328,151		218,555,645
Shares sold		3,381,048		135,521,182		290,847,133
Shares issued on reinvestment of distributions		—		—		3,427,066
Shares redeemed		(802,031)		(94,205,109)		(87,501,693)
Shares outstanding, end of period		2,579,017		466,644,224		425,328,151
CLASS N
Shares outstanding, beginning of period		—		133,922,115		54,190,271
Shares sold		103,210		33,629,707		99,221,038
Shares issued on reinvestment of distributions		—		—		1,334,923
Shares redeemed		(254)		(22,089,056)		(20,824,117)
Shares outstanding, end of period		102,956		145,462,766		133,922,115

* 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 2014 191

Statements of Changes in Net Assets June 30, 2014

	AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE PERIOD 7/16/13*-12/31/13
OPERATIONS:
Net investment income (loss)		$(734,877)		$(224,405)
Net realized gain (loss)		(3,472,638)		761,930
Net change in unrealized appreciation (depreciation)		1,917,471		2,077,751
Net increase (decrease) in net assets resulting from operations		(2,290,044)		2,615,276
DISTRIBUTIONS TO SHAREHOLDERS:
Net realized gain:
Class I		—		(37,471)
Class N		—		(2,323)
Total distributions		—		(39,794)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		158,103,218		37,265,431
Reinvestment of distributions		—		37,471
Cost of shares redeemed		(45,416,695)		(2,656,317)
Net increase (decrease) from capital transactions		112,686,523		34,646,585
CLASS N
Proceeds from shares sold		5,783,471		2,502,670
Reinvestment of distributions		—		2,323
Cost of shares redeemed		(481,045)		(1,005,655)
Net increase (decrease) from capital transactions		5,302,426		1,499,338
Net increase (decrease) in net assets resulting from capital transactions		117,988,949		36,145,923
Total increase (decrease) in net assets		115,698,905		38,721,405
NET ASSETS:
Beginning of period		38,721,405		—
End of period		$154,420,310		$38,721,405
Undistributed accumulated net investment income (loss)		$(734,877)		$—
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,432,251		—
Shares sold		16,001,556		3,683,449
Shares issued on reinvestment of distributions		—		3,562
Shares redeemed		(4,606,699)		(254,760)
Shares outstanding, end of period		14,827,108		3,432,251
CLASS N
Shares outstanding, beginning of period		152,311		—
Shares sold		556,245		246,459
Shares issued on reinvestment of distributions		—		221
Shares redeemed		(47,561)		(94,369)
Shares outstanding, end of period		660,995		152,311

* 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.

192 AQR Funds Semi-Annual Report June 2014

Statements of Changes in Net Assets June 30, 2014

	AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013
OPERATIONS:
Net investment income (loss)		$(217,573)		$(645,518)
Net realized gain (loss)		3,469,533		(11,750,402)
Net change in unrealized appreciation (depreciation)		1,710,397		693,419
Net increase (decrease) in net assets resulting from operations		4,962,357		(11,702,501)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		25,249,315		23,425,236
Cost of shares redeemed		(3,170,031)		(47,521,978)
Net increase (decrease) from capital transactions		22,079,284		(24,096,742)
CLASS N
Proceeds from shares sold		9,014,771		5,602,455
Cost of shares redeemed		(1,784,992)		(3,103,737)
Net increase (decrease) from capital transactions		7,229,779		2,498,718
Net increase (decrease) in net assets resulting from capital transactions		29,309,063		(21,598,024)
Total increase (decrease) in net assets		34,271,420		(33,300,525)
NET ASSETS:
Beginning of period		32,236,590		65,537,115
End of period		$66,508,010		$32,236,590
Undistributed accumulated net investment income (loss)		$(217,573)		$—
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,422,135		6,413,854
Shares sold		2,720,629		2,602,548
Shares redeemed		(362,569)		(5,594,267)
Shares outstanding, end of period		5,780,195		3,422,135
CLASS N
Shares outstanding, beginning of period		467,151		223,691
Shares sold		959,710		606,741
Shares redeemed		(193,779)		(363,281)
Shares outstanding, end of period		1,233,082		467,151

** 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 2014 193

Statements of Changes in Net Assets June 30, 2014

	AQR RISK PARITY FUND**				AQR RISK PARITY II MV FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013
OPERATIONS:
Net investment income (loss)		$46,070		$(7,831,929)		$147,252		$(452,972)
Net realized gain (loss)		61,978,772		(7,757,826)		4,546,340		(4,178,303)
Net change in unrealized appreciation (depreciation)		25,096,291		(1,399,213)		1,910,477		242,828
Net increase (decrease) in net assets resulting from operations		87,121,133		(16,988,968)		6,604,069		(4,388,447)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(21,096,377)		—		(51,310)
Class N		—		(1,568,986)		—		(12,869)
Total		—		(22,665,363)		—		(64,179)
Net realized gain:
Class I		—		(35,650,580)		—		(8,622)
Class N		—		(3,239,083)		—		(2,163)
Total		—		(38,889,663)		—		(10,785)
Total distributions		—		(61,555,026)		—		(74,964)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		73,335,458		522,146,729		59,318,310		93,026,269
Reinvestment of distributions		—		48,021,450		—		42,081
Cost of shares redeemed		(256,888,001)		(514,099,505)		(13,982,342)		(81,847,252)
Net increase (decrease) from capital transactions		(183,552,543)		56,068,674		45,335,968		11,221,098
CLASS N
Proceeds from shares sold		3,984,712		37,388,598		1,404,103		29,862,796
Reinvestment of distributions		—		4,729,810		—		14,991
Cost of shares redeemed		(31,649,022)		(125,206,912)		(3,594,180)		(21,642,916)
Net increase (decrease) from capital transactions		(27,664,310)		(83,088,504)		(2,190,077)		8,234,871
Net increase (decrease) in net assets resulting from capital transactions		(211,216,853)		(27,019,830)		43,145,891		19,455,969
Total increase (decrease) in net assets		(124,095,720)		(105,563,824)		49,749,960		14,992,558
NET ASSETS:
Beginning of period		934,050,291		1,039,614,115		47,245,123		32,252,565
End of period		$809,954,571		$934,050,291		$96,995,083		$47,245,123
Undistributed accumulated net investment income (loss)		$(5,885,882)		$(5,931,952)		$102,248		$(45,004)
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		79,392,512		75,596,068		3,779,116		2,950,196
Shares sold		6,601,217		44,822,715		5,690,428		9,091,173
Shares issued on reinvestment of distributions		—		4,471,363		—		4,212
Shares redeemed		(23,007,903)		(45,497,634)		(1,359,164)		(8,266,465)
Shares outstanding, end of period		62,985,826		79,392,512		8,110,380		3,779,116
CLASS N
Shares outstanding, beginning of period		7,343,876		14,906,004		940,172		221,957
Shares sold		363,620		3,211,181		138,485		2,885,341
Shares issued on reinvestment of distributions		—		440,803		—		1,504
Shares redeemed		(2,870,356)		(11,214,112)		(352,183)		(2,168,630)
Shares outstanding, end of period		4,837,140		7,343,876		726,474		940,172

** 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.

194 AQR Funds Semi-Annual Report June 2014

Statements of Changes in Net Assets June 30, 2014

	AQR RISK PARITY II HV FUND**				AQR MULTI-STRATEGY ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013		FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE YEAR ENDED DECEMBER 31, 2013
OPERATIONS:
Net investment income (loss)		$129,711		$(253,403)		$(15,468,847)		$(21,316,846)
Net realized gain (loss)		4,352,734		(3,507,474)		(88,071,886)		(1,726,073)
Net change in unrealized appreciation (depreciation)		1,371,696		364,376		97,308,273		78,979,221
Net increase (decrease) in net assets resulting from operations		5,854,141		(3,396,501)		(6,232,460)		55,936,302
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(49,264)		—		(63,777,345)
Class N		—		(24,033)		—		(3,214,925)
Total		—		(73,297)		—		(66,992,270)
Net realized gain:
Class I		—		(41,465)		—		(17,108,033)
Class N		—		(20,229)		—		(901,984)
Total		—		(61,694)		—		(18,010,017)
Total distributions		—		(134,991)		—		(85,002,287)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		15,396,905		57,186,061		321,117,232		924,993,719
Reinvestment of distributions		—		89,047		—		66,445,405
Cost of shares redeemed		(1,464,976)		(54,453,441)		(291,552,366)		(318,011,140)
Net increase (decrease) from capital transactions		13,931,929		2,821,667		29,564,866		673,427,984
CLASS N
Proceeds from shares sold		2,037,558		24,623,879		34,966,678		53,142,617
Reinvestment of distributions		—		44,262		—		4,089,028
Cost of shares redeemed		(702,000)		(19,787,752)		(19,620,128)		(24,341,705)
Net increase (decrease) from capital transactions		1,335,558		4,880,389		15,346,550		32,889,940
Net increase (decrease) in net assets resulting from capital transactions		15,267,487		7,702,056		44,911,416		706,317,924
Total increase (decrease) in net assets		21,121,628		4,170,564		38,678,956		677,251,939
NET ASSETS:
Beginning of period		26,229,038		22,058,474		1,528,617,966		851,366,027
End of period		$47,350,666		$26,229,038		$1,567,296,922		$1,528,617,966
Undistributed accumulated net investment income (loss)		$121,379		$(8,332)		$(52,828,486)		$(37,359,639)
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		1,780,470		1,591,812		148,651,004		81,626,174
Shares sold		1,535,536		5,572,364		33,149,007		91,941,333
Shares issued on reinvestment of distributions		—		9,058		—		6,814,913
Shares redeemed		(145,063)		(5,392,764)		(30,141,605)		(31,731,416)
Shares outstanding, end of period		3,170,943		1,780,470		151,658,406		148,651,004
CLASS N
Shares outstanding, beginning of period		877,168		567,306		7,646,878		4,359,055
Shares sold		196,509		2,325,030		3,612,479		5,303,536
Shares issued on reinvestment of distributions		—		4,503		—		420,250
Shares redeemed		(66,152)		(2,019,671)		(2,029,575)		(2,435,963)
Shares outstanding, end of period		1,007,525		877,168		9,229,782		7,646,878

** 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 2014 195

Statements of Changes in Net Assets June 30, 2014

	AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)		FOR THE PERIOD 10/30/13*-12/31/13
OPERATIONS:
Net investment income (loss)		$(2,666,229)		$(1,032,370)
Net realized gain (loss)		(19,380,662)		14,118,343
Net change in unrealized appreciation (depreciation)		37,472,891		277,589
Net increase (decrease) in net assets resulting from operations		15,426,000		13,363,562
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—		(6,574,253)
Class N		—		(253,100)
Total		—		(6,827,353)
Net realized gain:
Class I		—		(992,985)
Class N		—		(38,950)
Total		—		(1,031,935)
Total distributions		—		(7,859,288)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		282,398,279		390,642,419
Reinvestment of distributions		—		7,567,238
Cost of shares redeemed		(96,867,879)		(318,591)
Net increase (decrease) from capital transactions		185,530,400		397,891,066
CLASS N
Proceeds from shares sold		11,225,356		15,941,402
Reinvestment of distributions		—		292,050
Cost of shares redeemed		(3,844,166)		(413,823)
Net increase (decrease) from capital transactions		7,381,190		15,819,629
Net increase (decrease) in net assets resulting from capital transactions		192,911,590		413,710,695
Total increase (decrease) in net assets		208,337,590		419,214,969
NET ASSETS:
Beginning of period		419,214,969		—
End of period		$627,552,559		$419,214,969
Undistributed accumulated net investment income (loss)		$(3,609,542)		$(943,313)
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		39,620,574		—
Shares sold		28,049,879		38,910,297
Shares issued on reinvestment of distributions		—		741,160
Shares redeemed		(9,336,563)		(30,883)
Shares outstanding, end of period		58,333,890		39,620,574
CLASS N
Shares outstanding, beginning of period		1,568,834		—
Shares sold		1,109,751		1,580,201
Shares issued on reinvestment of distributions		—		28,604
Shares redeemed		(376,468)		(39,971)
Shares outstanding, end of period		2,302,117		1,568,834

* 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.

196 AQR Funds Semi-Annual Report June 2014

Statements of Cash Flows June 30, 2014 (Unaudited)

	AQR DIVERSIFIED ARBITRAGE FUND		AQR RISK PARITY II HV FUND**		AQR MULTI- STRATEGY ALTERNATIVE FUND**		AQR STYLE PREMIA ALTERNATIVE FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	33,205,039	$	5,854,141	$	(6,232,460)	$	15,426,000
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Payments to purchase securities		(4,019,690,492)		(25,146,672)		(518,275,993)		(153,957,445)
Payments to cover short securities		(856,882,994)		—		(396,341,907)		(55,512,627)
Proceeds from sale of securities		2,665,631,181		3,904,627		550,581,503		34,130,795
Proceeds from securities sold short		1,774,989,585		—		402,962,267		151,315,405
Proceeds from written options		1,483,249		—		249,083		—
(Purchases) sales of short-term investments, net		311,647,263		(10,863,445)		(3,546,973)		(204,322,881)
Realized (gain) loss on investments in securities		(66,574,008)		(20,117)		(64,238,411)		542,894
Realized loss on securities sold short		55,950,794		—		81,192,191		5,279,110
Realized gain on written options		(1,358,334)		—		(259,320)		—
Realized gain on paydowns		(38,684)		—		(3,214)		—
Change in unrealized appreciation on investments in securities		(19,850,742)		(857,851)		(27,652,018)		(19,099,570)
Change in unrealized (appreciation) depreciation on securities sold short		2,668,339		—		(17,940,408)		6,227,932
Change in unrealized (appreciation) depreciation on written options		(1,452,160)		—		8,805		—
Amortization of bond premium		3,051,933		(158,953)		3,549,928		—
Increases (decreases) in operating assets:
Repurchase agreements, at value		—		191,000		—		—
Due from brokers		15,116,380		(1,229,344)		28,778,912		(9,482,694)
Unrealized appreciation on forward foreign currency exchange contracts		—		—		(9,674,924)		(1,386,168)
Swaps, at value		33,314,240		(300,601)		(42,519,566)		(22,508,936)
Unrealized appreciation on futures contracts		552,392		105,375		1,474,625		2,560,470
Receivable for securities sold		10,883,375		—		18,727,922		(738,365)
Foreign tax reclaim		27,158		—		(202,639)		(200,893)
Dividends and interest		(2,903,814)		(75,279)		(845,513)		(16,949)
Prepaid expenses		(53,632)		557		(49,901)		(22,105)
Increases (decreases) in operating liabilities:
Due to broker		(302,591)		62,260		10,009,738		1,648,201
Unrealized depreciation on forward foreign currency exchange contracts		(294,535)		104,578		—		—
Swaps, at value		4,682,615		(136,065)		(7,495,669)		(4,107,259)
Unrealized depreciation on futures contracts		(6,564,602)		(286,298)		4,496,016		836,703
Payable for securities purchased		53,191,730		—		(47,936,838)		793,017
Accrued Shareholder servicing fees		—		(5,671)		—		—
Accrued Investment advisory fees		(135,744)		15,179		(47,558)		366,779
Accrued Distribution fees—Class N		(19,828)		321		1,750		1,747
Dividends and interest payable on securities sold short and reverse repurchase agreements		1,279,924		(547)		190,078		230,514
Other accrued expenses and liabilities		(31,989)		3,585		100,212		(1,087)
Net cash used in operating activities	$	(8,478,952)	$	(28,839,220)	$	(40,940,282)	$	(251,997,412)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		555,370,901		17,440,925		356,886,191		335,040,345
Net change in reverse repurchase agreements		—		13,546,125		—		—
Payments on shares redeemed		(511,583,879)		(2,153,890)		(313,115,490)		(100,664,865)
Due to custodian		—		—		(1,025,978)		—
Net cash provided by financing activities	$	43,787,022	$	28,833,160	$	42,744,723	$	234,375,480
Net change in cash		35,308,070		(6,060)		1,804,441		(17,621,932)
Cash, beginning of period		5,795,218		65,407		9,882,650		19,711,683
Cash, end of period	$	41,103,288	$	59,347	$	11,687,091	$	2,089,751

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $1,126,067, $10,006, $5,043,167 and $707,164 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 2014 197

Financial Highlights June 30, 2014

	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 (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains		Return of Capital		Total Distributions
AQR DIVERSIFIED ARBITRAGE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.91		0.19			(0.06)			0.13		—		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$11.05		0.17			0.02			0.19		(0.18)		(0.06)		(0.09)		(0.33)
FOR THE YEAR ENDED DECEMBER 31, 20125		$10.89		0.10	6		0.24			0.34		(0.13)		(0.05)		—		(0.18)
FOR THE YEAR ENDED DECEMBER 31, 20115		$11.15		0.13			(0.02)			0.11		(0.09)		(0.28)		—		(0.37)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.80		0.06			0.46			0.52		(0.04)		(0.13)		—		(0.17)
FOR THE PERIOD 1/15/098—12/31/09†,5		$10.00		0.13			0.79			0.92		(0.03)		(0.09)		—		(0.12)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.87		0.17			(0.05)			0.12		—		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$11.01		0.13			0.04			0.17		(0.16)		(0.06)		(0.09)		(0.31)
FOR THE YEAR ENDED DECEMBER 31, 20125		$10.85		0.06	6		0.24			0.30		(0.09)		(0.05)		—		(0.14)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$11.12		0.10			(0.02)			0.08		(0.07)		(0.28)		—		(0.35)
FOR THE YEAR ENDED DECEMBER 31, 2010†		$10.78		0.05			0.43			0.48		(0.01)		(0.13)		—		(0.14)
FOR THE PERIOD 1/15/098—12/31/09†,5		$10.00		0.10			0.79			0.89		(0.02)		(0.09)		—		(0.11)
AQR LONG-SHORT EQUITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.21		(0.07)			0.56			0.49		—		—		—		—
FOR THE PERIOD 7/16/138—12/31/135		$10.00		(0.06)			1.17			1.11		(0.67)		(0.23)		—		(0.90)
AQR LONG-SHORT EQUITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.21		(0.10)			0.57			0.47		—		—		—		—
FOR THE PERIOD 7/16/138—12/31/135		$10.00		(0.07)			1.17			1.10		(0.66)		(0.23)		—		(0.89)
AQR GLOBAL MACRO FUND CLASS I
FOR THE PERIOD 4/08/148—6/30/14 (Unaudited)5		$10.00		(0.03)			(0.32)			(0.35)		—		—		—		—
AQR GLOBAL MACRO FUND CLASS N
FOR THE PERIOD 4/08/148—6/30/14 (Unaudited)5		$10.00		(0.04)			(0.31)			(0.35)		—		—		—		—
AQR MANAGED FUTURES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.59		(0.06)			(0.49)			(0.55)		—		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$9.78		(0.12)			1.04			0.92		—		(0.11)		—		(0.11)
FOR THE YEAR ENDED DECEMBER 31, 20125		$9.57		(0.12)			0.40			0.28		(0.07)		—		—		(0.07)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.30		(0.12)			(0.53)			(0.65)		(0.04)		(0.04)		—		(0.08)
FOR THE PERIOD 1/06/108—12/31/10†,5		$10.00		(0.12)			0.66			0.54		(0.09)		(0.15)		—		(0.24)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.51		(0.07)			(0.49)			(0.56)		—		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$9.73		(0.15)			1.04			0.89		—		(0.11)		—		(0.11)
FOR THE YEAR ENDED DECEMBER 31, 20125		$9.55		(0.14)			0.39			0.25		(0.07)		—		—		(0.07)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.28		(0.15)			(0.52)			(0.67)		(0.02)		(0.04)		—		(0.06)
FOR THE PERIOD 1/06/108—12/31/10†,5		$10.00		(0.15)			0.66			0.51		(0.08)		(0.15)		—		(0.23)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.80		(0.08)			(0.75)	10		(0.83)		—		—		—		—
FOR THE PERIOD 7/16/138—12/31/135		$10.00		(0.08)			0.89			0.81		—		(0.01)		—		(0.01)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.79		(0.09)			(0.75)	10		(0.84)		—		—		—		—
FOR THE PERIOD 7/16/138—12/31/135		$10.00		(0.09)			0.89			0.80		—		(0.01)		—		(0.01)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$8.29		(0.05)			1.25			1.20		—		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$9.87		(0.09)			(1.49)			(1.58)		—		—		—		—
FOR THE PERIOD 7/09/128—12/31/125		$10.00		(0.05)			(0.08)			(0.13)		—		—		—		—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$8.27		(0.06)			1.24			1.18		—		—		—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$9.86		(0.11)			(1.48)			(1.59)		—		—		—		—
FOR THE PERIOD 7/09/128—12/31/125		$10.00		(0.06)			(0.08)			(0.14)		—		—		—		—

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

198 AQR Funds Semi-Annual Report June 2014

Financial Highlights June 30, 2014

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
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
	$11.04		1.19	%		$2,015,822,334		1.60	%		1.20	%		1.60	%		3.44	%		189	%
	$10.91		1.75	%		$1,876,480,736		1.64	%		1.20	%		1.64	%		1.52	%		349	%
	$11.05		3.13	%		$1,752,723,858		2.30	%		1.21	%		2.32	%		0.88	%6		312	%
	$10.89		0.99	%		$1,456,748,122		2.75	%		1.20	%		2.84	%		1.18	%		298	%
	$11.15		4.81	%7		$824,237,659		2.59	%		1.20	%		2.62	%		1.13	%		361	%
	$10.80		9.24	%		$160,026,814		2.46	%		1.20	%		3.25	%		1.30	%		482	%
	$10.99		1.10	%		$769,620,456		1.83	%		1.43	%		1.83	%		3.21	%		189	%
	$10.87		1.51	%		$836,354,615		1.88	%		1.44	%		1.88	%		1.21	%		349	%
	$11.01		2.83	%		$761,371,466		2.62	%		1.52	%		2.62	%		0.57	%6		312	%
	$10.85		0.68	%		$651,790,519		3.05	%		1.50	%		3.08	%		0.89	%		298	%
	$11.12		4.52	%7		$382,758,131		2.89	%		1.50	%		2.92	%		0.85	%		361	%
	$10.78		8.88	%		$79,054,890		2.69	%		1.50	%		3.42	%		0.98	%		482	%
	$10.70		4.80	%		$13,742,700		1.31	%		1.30	%		2.77	%9		(1.28	)%		0	%
	$10.21		11.17	%		$5,245,981		1.30	%		1.30	%		3.56	%9		(1.29	)%		0	%
	$10.68		4.60	%		$1,054,406		1.56	%		1.55	%		3.55	%9		(1.93	)%		0	%
	$10.21		11.04	%		$910,216		1.55	%		1.55	%		5.49	%9		(1.54	)%		0	%
	$9.65		(3.50	)%		$24,891,526		1.45	%		1.45	%		1.91	%9		(1.45	)%		0	%
	$9.65		(3.50	)%		$993,139		1.70	%		1.70	%		2.16	%9		(1.70	)%		0	%
	$10.04		(5.19	)%		$4,683,599,734		1.21	%		1.21	%		1.21	%		(1.20	)%		0	%
	$10.59		9.40	%		$4,506,180,876		1.23	%		1.23	%		1.23	%		(1.22	)%		0	%
	$9.78		2.99	%		$2,136,959,054		1.25	%		1.25	%		1.25	%		(1.24	)%		0	%
	$9.57		(6.37	)%		$1,078,662,373		1.25	%		1.25	%		1.30	%		(1.22	)%		0	%
	$10.30		5.41	%		$657,237,349		1.25	%		1.25	%		1.28	%		(1.27	)%		0	%
	$9.95		(5.33	)%		$1,446,823,769		1.50	%		1.50	%		1.50	%		(1.49	)%		0	%
	$10.51		9.14	%		$1,408,085,433		1.50	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.73		2.68	%		$527,318,143		1.50	%		1.50	%		1.52	%		(1.48	)%		0	%
	$9.55		(6.59	)%		$476,854,001		1.50	%		1.50	%		1.57	%		(1.47	)%		0	%
	$10.28		5.12	%		$271,043,038		1.50	%		1.50	%		1.56	%		(1.54	)%		0	%
	$9.97		(7.69	)%		$147,844,272		1.65	%		1.65	%		1.86	%9		(1.65	)%		0	%
	$10.80		8.14	%		$37,077,791		1.68	%		1.65	%		2.51	%9		(1.66	)%		0	%
	$9.95		(7.78	)%		$6,576,038		1.90	%		1.90	%		2.29	%9		(1.90	)%		0	%
	$10.79		8.04	%		$1,643,614		1.93	%		1.90	%		4.03	%9		(1.92	)%		0	%
	$9.49		14.48	%		$54,859,142		1.03	%		1.03	%		1.41	%		(1.02	)%		0	%
	$8.29		(16.01	)%		$28,375,483		1.05	%		1.05	%		1.32	%		(1.05	)%		0	%
	$9.87		(1.30	)%		$63,330,812		1.05	%		1.05	%		1.72	%		(1.04	)%		0	%
	$9.45		14.27	%		$11,648,868		1.27	%		1.27	%		1.68	%		(1.26	)%		0	%
	$8.27		(16.13	)%		$3,861,107		1.30	%		1.30	%		1.70	%		(1.28	)%		0	%
	$9.86		(1.40	)%		$2,206,303		1.30	%		1.30	%		4.00	%		(1.30	)%		0	%

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

AQR Funds Semi-Annual Report June 2014 199

Financial Highlights June 30, 2014

	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 (Decrease) in Net Asset Value from Operations		Distributions from Net Investment Income		Distributions from Net Realized Gains			Return of Capital		Total Distributions
AQR RISK PARITY FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.77		(0.00)	11		1.17			1.17		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$11.49		(0.07)			0.08	10		0.01		(0.27)		(0.46)			—		(0.73)
FOR THE YEAR ENDED DECEMBER 31, 20125		$10.62		—			1.49			1.49		(0.14)		(0.48)			—		(0.62)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.28		0.04			0.51			0.55		(0.21)		(0.00)	11		—		(0.21)
FOR THE PERIOD 9/30/108—12/31/10		$10.00		0.02			0.38			0.40		(0.12)		—			—		(0.12)
AQR RISK PARITY FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.76		(0.02)			1.18			1.16		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$11.47		(0.11)			0.08	10		(0.03)		(0.22)		(0.46)			—		(0.68)
FOR THE YEAR ENDED DECEMBER 31, 20125		$10.59		(0.03)			1.50			1.47		(0.11)		(0.48)			—		(0.59)
FOR THE YEAR ENDED DECEMBER 31, 2011†,5		$10.27		0.03			0.49			0.52		(0.20)		(0.00)	11		—		(0.20)
FOR THE PERIOD 9/30/108—12/31/10†		$10.00		0.01			0.38			0.39		(0.12)		—			—		(0.12)
AQR RISK PARITY II MV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.02		0.03			0.93			0.96		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$10.17		(0.06)			(0.08)			(0.14)		(0.01)		(0.00)	11		—		(0.01)
FOR THE PERIOD 11/05/128—12/31/125		$10.00		—			0.19			0.19		(0.02)		—			—		(0.02)
AQR RISK PARITY II MV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$9.99		(0.01)			0.96			0.95		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$10.18		(0.07)			(0.11)			(0.18)		(0.01)		(0.00)	11		—		(0.01)
FOR THE PERIOD 11/05/128—12/31/125		$10.00		—			0.18			0.18		—		—			—		—
AQR RISK PARITY II HV FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$9.87		0.04			1.43			1.47		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$10.21		(0.06)			(0.23)			(0.29)		(0.03)		(0.02)			—		(0.05)
FOR THE PERIOD 11/05/128—12/31/125		$10.00		0.01			0.23			0.24		(0.03)		—			—		(0.03)
AQR RISK PARITY II HV FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$9.86		0.02			1.43			1.45		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$10.23		(0.09)			(0.23)			(0.32)		(0.03)		(0.02)			—		(0.05)
FOR THE PERIOD 11/05/128—12/31/125		$10.00		(0.01)			0.25			0.24		(0.01)		—			—		(0.01)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$9.78		(0.10)			0.06			(0.04)		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$9.90		(0.17)			0.61			0.44		(0.44)		(0.12)			—		(0.56)
FOR THE YEAR ENDED DECEMBER 31, 20125		$9.70		(0.17)			0.40			0.23		(0.01)		(0.02)			—		(0.03)
FOR THE PERIOD 7/18/118—12/31/115		$10.00		(0.05)			(0.21)			(0.26)		(0.04)		—			—		(0.04)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$9.76		(0.11)			0.06			(0.05)		—		—			—		—
FOR THE YEAR ENDED DECEMBER 31, 20135		$9.89		(0.20)			0.61			0.41		(0.42)		(0.12)			—		(0.54)
FOR THE YEAR ENDED DECEMBER 31, 20125		$9.69		(0.23)			0.45			0.22		—		(0.02)			—		(0.02)
FOR THE PERIOD 7/18/118—12/31/115		$10.00		(0.06)			(0.21)			(0.27)		(0.04)		—			—		(0.04)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.18		(0.05)			0.22			0.17		—		—			—		—
FOR THE PERIOD 10/30/138—12/31/135		$10.00		(0.03)			0.44			0.41		(0.20)		(0.03)			—		(0.23)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5		$10.18		(0.06)			0.22			0.16		—		—			—		—
FOR THE PERIOD 10/30/138—12/31/135		$10.00		(0.04)			0.45			0.41		(0.20)		(0.03)			—		(0.23)

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

200 AQR Funds Semi-Annual Report June 2014

Financial Highlights June 30, 2014

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
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
	$11.94		10.86	%		$752,308,123		0.90	%		0.90	%		0.90	%		0.04	%		44	%
	$10.77		0.12	%		$855,024,124		0.89	%		0.88	%		0.89	%		(0.64	)%		167	%
	$11.49		14.05	%		$868,660,662		0.95	%		0.95	%		0.95	%		(0.03	)%		72	%
	$10.62		5.45	%12		$337,526,380		0.95	%		0.95	%		1.06	%		0.41	%		66	%
	$10.28		3.98	%		$12,747,565		0.95	%		0.95	%		3.80	%		0.44	%		19	%
	$11.92		10.78	%		$57,646,448		1.20	%		1.20	%		1.20	%		(0.38	)%		44	%
	$10.76		(0.23	)%		$79,026,167		1.20	%		1.20	%		1.20	%		(0.92	)%		167	%
	$11.47		13.89	%		$170,953,453		1.20	%		1.20	%		1.23	%		(0.26	)%		72	%
	$10.59		5.12	%12		$51,560,342		1.20	%		1.20	%		1.42	%		0.30	%		66	%
	$10.27		3.88	%		$11,234,980		1.20	%		1.20	%		3.96	%		0.22	%		19	%
	$10.98		9.58	%		$89,046,709		0.95	%		0.95	%		1.13	%		0.55	%		26	%
	$10.02		(1.32	)%		$37,848,351		0.95	%		0.95	%		1.18	%		(0.61	)%		234	%
	$10.17		1.87	%		$29,993,223		0.95	%		0.95	%		2.07	%		0.18	%		0	%
	$10.94		9.51	%		$7,948,374		1.20	%		1.20	%		1.49	%		(0.20	)%		26	%
	$9.99		(1.71	)%		$9,396,772		1.20	%		1.20	%		1.59	%		(0.71	)%		234	%
	$10.18		1.80	%		$2,259,342		1.20	%		1.20	%		2.81	%		(0.29	)%		0	%
	$11.34		14.89	%		$35,950,583		1.20	%		1.15	%		1.60	%		0.77	%		14	%
	$9.87		(2.83	)%		$17,577,063		1.23	%		1.15	%		1.85	%		(0.62	)%		257	%
	$10.21		2.44	%		$16,253,630		1.28	%		1.15	%		2.26	%		0.53	%		0	%
	$11.31		14.71	%		$11,400,083		1.45	%		1.40	%		1.92	%		0.35	%		14	%
	$9.86		(3.12	)%		$8,651,975		1.48	%		1.40	%		2.22	%		(0.84	)%		257	%
	$10.23		2.38	%		$5,804,844		1.53	%		1.40	%		3.44	%		(0.62	)%		0	%
	$9.74		(0.41	)%		$1,477,653,717		4.02	%		1.98	%		4.04	%		(2.02	)%		68	%
	$9.78		4.46	%		$1,453,976,567		3.34	%		1.98	%		3.37	%		(1.67	)%		137	%
	$9.90		2.36	%		$808,261,775		3.52	%		1.98	%		3.60	%		(1.73	)%		208	%
	$9.70		(2.57	)%13		$257,168,435		2.23	%		1.98	%		2.59	%		(1.09	)%		133	%
	$9.71		(0.51	)%		$89,643,205		4.27	%		2.23	%		4.32	%		(2.26	)%		68	%
	$9.76		4.16	%		$74,641,399		3.59	%		2.23	%		3.66	%		(1.95	)%		137	%
	$9.89		2.22	%		$43,104,252		3.76	%		2.23	%		3.93	%		(2.32	)%		208	%
	$9.69		(2.73	)%13		$44,676,329		2.48	%		2.23	%		2.85	%		(1.37	)%		133	%
	$10.35		1.67	%		$603,748,426		2.93	%		1.50	%		2.92	%9		(0.91	)%		62	%
	$10.18		4.08	%		$403,242,880		2.07	%		1.50	%		2.11	%9		(1.77	)%		133	%
	$10.34		1.57	%		$23,804,133		3.18	%		1.75	%		3.24	%9		(1.16	)%		62	%
	$10.18		4.05	%		$15,972,089		2.44	%		1.75	%		2.70	%9		(2.05	)%		133	%

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

AQR Funds Semi-Annual Report June 2014 201

Financial Highlights June 30, 2014

  * 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.

  4 Portfolio turnover is not annualized.

  5 Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  6 For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows:

FUND	NET INVESTMENT INCOME PER SHARE		NET INVESTMENT INCOME RATIO
AQR Diversified Arbitrage Fund—Class I	$	0.08		0.73	%
AQR Diversified Arbitrage Fund—Class N		0.04		0.42

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

  8 Commencement of operations.

  9 Certain expenses incurred by the Fund were not annualized for the period.

10 The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund.

11 Amount is less than $.005 per share.

12 For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%.

13 For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%.

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

202 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

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, 2014, the Trust consists of twenty-seven active series, eleven of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Long-Short Equity Fund, AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund. The remaining sixteen active series are reported in a separate book. AQR Capital Management, LLC (the “Advisor”) serves as the investment Advisor of each Fund. The Advisor has retained CNH Partners, LLC (the “Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The AQR Global Macro Fund commenced operations on April 8, 2014.

The investment objective of the AQR Diversified Arbitrage Fund, the AQR Global Macro Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund and the AQR Style Premia Alternative Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II MV Fund and the AQR Risk Parity II HV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each of these funds offer Class I and Class N shares.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund (“CFC Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Managed Futures Strategy Offshore Fund Ltd., AQR Managed Futures Strategy HV Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., and AQR Style Premia Alternative Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All inter-company accounts and transactions have been eliminated in consolidation for the CFC Funds.

For Federal tax purposes, taxable income for each CFC Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”) and each Subsidiary’s taxable income is included in the calculation of the relevant CFC Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the CFC Funds either in the current period or future periods. 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.

The CFC Funds may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to effect certain investments consistent with the CFC Funds’ investment objectives and policies. The CFC Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the CFC Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

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Notes to Financial Statements (Unaudited) June 30, 2014

	INCEPTION DATE OF SUBSIDIARY		SUBSIDIARY NET ASSETS AT JUNE 30, 2014		% OF TOTAL NET ASSETS AT JUNE 30, 2014			NET REALIZED GAIN/LOSS ON INVESTMENTS HELD IN SUBSIDIARY
AQR Global Macro Offshore Fund Ltd.		April 8, 2014	$	6,021,119		22.9	%	$	113,686
AQR Managed Futures Strategy Offshore Fund Ltd.		January 6, 2010		1,412,491,500		23.0	%		(74,954,145	)
AQR Managed Futures Strategy HV Offshore Fund Ltd.		July 16, 2013		35,628,337		23.1	%		(2,265,984	)
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.		July 9, 2012		14,379,241		21.6	%		3,499,379
AQR Risk Parity Offshore Fund Ltd.		September 30, 2010		160,358,378		19.8	%		6,598,072
AQR Risk Parity II MV Offshore Fund Ltd.		November 5, 2012		14,466,703		14.9	%		48,064
AQR Risk Parity II HV Offshore Fund Ltd.		November 5, 2012		10,565,974		22.3	%		594,034
AQR Multi-Strategy Alternative Offshore Fund Ltd.		July 18, 2011		249,375,204		15.9	%		(6,282,493	)
AQR Style Premia Alternative Offshore Fund Ltd.		October 30, 2013		143,869,766		22.9	%		8,626,330

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 the Advisor to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, 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 and such differences could be material.

Valuation of Investments: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time). The Funds’ Board of Trustees has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Advisor. Equity securities, including securities sold short, rights and warrants, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. The value of securities listed on the NASDAQ Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value factors to international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an independent pricing service, unless the Advisor 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 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 evaluated quotes furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. 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. 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. Investments in open-end investment companies are valued at such investment company’s

204 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

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. Total return swap contracts are valued at fair value, based on the price of the underlying referenced instrument.

The Funds 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 reflect fair value, 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, which may include the use of proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed. These differences could be material.

Loan Participations and Assignments: Certain Funds invest in loan participations and assignments. When the Fund purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when the Fund purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. The Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.

Convertible Securities: Certain 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. 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 some of their investments in convertible debt securities by selling short the issuer’s common stock.

Short Sales: Certain Funds sell 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. 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 they may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.

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Notes to Financial Statements (Unaudited) June 30, 2014

The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported 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 Statement of Operations.

The Funds are 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 Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds 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 incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:

FUND
AQR Diversified Arbitrage Fund	$	993,981
AQR Multi-Strategy Alternative Fund		1,942,848
AQR Style Premia Alternative Fund		268,719

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements are contracts that govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.

Customer Account Agreements and related addendums govern cleared derivatives transactions and exchange traded futures transactions. Cleared derivative transactions require posting of initial margin as determined by each relevant clearing organization. Futures transactions require initial margin to be posted as required by each futures exchange. Such collateral is segregated at an account held at a broker registered with the Commodity Futures Trading Commission (CFTC), or other applicable regulator.

Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral.

Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity option transactions or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing arrangements for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern over-the-counter (“OTC”) derivative transactions entered into between certain Funds and a Swap Dealer. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination.

ISDA Master Agreements contain termination events applicable to the Fund or the counterparty. Such events may include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in

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Notes to Financial Statements (Unaudited) June 30, 2014

the counterparty’s long-term and short-term credit ratings below a specified level, respectively. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC swap 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 a party to elect early termination could impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. For futures, listed options and cleared derivatives, margin requirements are established by the exchange for futures/listed options and the clearing house centrally cleared derivatives. Such margin is transferred by the Fund pursuant to the governing Master Agreements for those investment types. Collateral is routinely transferred if the total net exposure (net of existing collateral already in place (“initial margin”)) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. Government and other securities or money market funds as agreed to by the Fund and the applicable counterparty or as permitted by the clearing house or exchange.

Collateral pledged by the Fund pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Fund’s Statement of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.

Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund’s custodian and, with respect to those amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability in the Statement of Assets and Liabilities in due to brokers.

The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.

Futures Contracts: Certain Funds invest in futures contracts as part of their investment strategy. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to 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 to and from the broker will be made on a periodic basis as the price of the underlying instruments fluctuates. Changes in market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses represent the difference between the value of the contract at the time it was opened and the value at the time it was closed or expired, and are reported in the Statements of Operations. Securities deposited as initial margin are designated in the Schedules of Investments and cash pledged/received is presented as Due to/from Broker on the Statements of Assets and Liabilities. 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 contract 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 Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange 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 foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing 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 unrealized appreciation or depreciation. When the contract is closed, the

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Notes to Financial Statements (Unaudited) June 30, 2014

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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate swaps may include forward effective dates, which are contracts that do not go effective until a later date. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts are accrued based on the effective date of the contract.

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return 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, security index or index component during the period of the swap. Total return swap contracts are marked to market daily based on the value of the underlying reference entity and the change, if any, is recorded as unrealized appreciation/depreciation on the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to a total return 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. The use of long Total Return Swap Contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short Total Return Swaps subjects the Funds to unlimited loss. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Fund and the counterparty.

The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. The value of the swap is reflected on the Statements of Assets and Liabilities as swaps, at value.

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Changes in the swap are recognized as changes in unrealized gains or losses in the Statements of Operations. Cash settlements between the Fund and the counterparty are recognized as realized gains or losses in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.

The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterparty’s failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s).

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 up-front 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. 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 entering into a centrally cleared swap, the Funds are required to deposit with the Futures Commission Merchant (“FCM”) cash or securities, which is referred to as the initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities. Subsequent payments, known as variation margin, are made or received by the Fund, depending on fluctuations in the value of the underlying referenced debt obligation. Such variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the 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 up-front 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. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. 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 Fund’s 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 the Fund’s Schedule of Investments.

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 up-front 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: Certain Funds enter 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. Interest rate swap agreements are privately negotiated in the OTC market or may

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be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). 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. Non-deliverable interest rate swaps are settled with the counterparty in U.S. dollars without the delivery of foreign currency.

High Yield Securities: Certain Funds 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 causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.

Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Master repurchase agreements govern transactions between a Fund and select counterparties. The master repurchase agreements maintain provisions for, among other things, initiation, income payments, events of default, maintenance of collateral for repurchase agreements and the disposition of such collateral following an event of default. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.

Reverse Repurchase Agreements: Certain Funds may enter into, under the terms of the Master Repurchase Agreement, reverse repurchase agreements. The Fund sells to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are valued based on the amount of cash received plus accrued interest, which represents fair value.

Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited.

Options: Certain Funds may write and purchase put and call options from time to time. 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, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums 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

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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 period ended June 30, 2014 for AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:

	CALL OPTIONS
AQR DIVERSIFIED ARBITRAGE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2013		(10,229	)	$	(2,511,095	)
Options written		(16,312	)		(1,483,251	)
Options expired		13,991			535,746
Options exercised		3,371			822,590
Options outstanding, June 30, 2014		(9,179	)	$	(2,636,010	)
	CALL OPTIONS
AQR MULTI-STRATEGY ALTERNATIVE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2013		(1,432	)	$	(10,237	)
Options written		(2,594	)		(249,083	)
Options expired		1,432			10,237
Options exercised		2,594			249,083
Options outstanding, June 30, 2014		—		$	—

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 the 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 or when the Fund first learns of the ex-date dividend notification.

Allocation of Income and Expenses: Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each Fund, such as advisory fees and registration costs. Trust level expenses are allocated among the Funds based on the ratio of average net assets or other reasonable methodology.

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, capital 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.

Organization and Offering Costs: Organizational costs incurred by the relevant funds, including professional and incorporation fees, are fully expensed by the end of the fiscal period. Offering costs, including professional fees,

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printing fees and the offering of the initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

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 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 and forward foreign currency exchange contracts, 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 include U.S. dollar and foreign currency deposited 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.

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, as amended (the “Code”). 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.

The Advisor 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 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 prior three fiscal years, or since inception if shorter, are open for examination. As of June 30, 2014, 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.

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. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

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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, 2014, 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 Diversified Arbitrage Fund	$	3,666,201,452	$	204,400,301	$	(97,076,882	)	$	107,323,419
AQR Long-Short Equity Fund		13,795,275		—		—			—
AQR Global Macro Fund		23,197,978		—		—			—
AQR Managed Futures Strategy Fund		5,784,359,538		—		(33,180,595	)		(33,180,595	)
AQR Managed Futures Strategy HV Fund		144,052,601		—		(998,087	)		(998,087	)
AQR Risk-Balanced Commodities Strategy Fund		69,154,652		—		(5,223,038	)		(5,223,038	)
AQR Risk Parity Fund		759,329,502		514,156		(174	)		513,982
AQR Risk Parity II MV Fund		92,388,996		—		(367,220	)		(367,220	)
AQR Risk Parity II HV Fund		67,717,743		—		(325,519	)		(325,519	)
AQR Multi-Strategy Alternative Fund		1,718,997,106		270,154,040		(9,357,429	)		260,796,611
AQR Style Premia Alternative Fund		805,295,472		29,886,762		(4,405,503	)		25,481,259

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

As of December 31, 2013, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.

FUND	SHORT-TERM		LONG TERM
AQR Risk Parity II MV Fund	$	149,623	$	—
AQR Risk Parity II HV Fund		149,828		—
AQR Multi-Strategy Alternative Fund		6,331,656		19,274,287

Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.

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)

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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 maximize the use of observable inputs and minimize the use of unobservable inputs.

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

Equities traded outside of the Western Hemisphere are fair valued daily based on the application of a fair value factor, and therefore are considered Level 2 (Note 2). 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 also 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 (including evaluated quotes) from an independent pricing service, as well as quotations from counterparties and other market participants. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include 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 Advisor 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 futures, forwards, and swaps, are valued by the Funds using observable inputs, such as quotations received from the counterparty, or dealers and 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.

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 contract increases, resulting in recognition of unrealized gains for long positions and unrealized losses for

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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 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.

Securities, for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced and all other assets of the Funds are valued at fair value using valuation procedures for the Funds, which have been approved by the Board of Trustees. The Advisor has established a Valuation Committee (the “VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing any securities or other assets for which prices or valuations are not readily determinable by the Funds’ pricing services. The VC considers time-sensitive valuation issues, including those relating to market closures, changes in illiquid security values, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade execution prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, third party model prices are reviewed against internal model prices.

Quantitative Information

These tables include a description of unobservable and quantitative inputs and the interrelationship of such inputs, as used in determining the value of Level 3 financial instruments, except for Level 3 instruments for which prior transaction or third party pricing information was used without adjustment.

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, 2014 in valuing the Funds’ assets carried at fair value:

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†	$	1,424,528,592	$	120,494,853	$	8,649,556	$	1,553,673,001
Convertible Preferred Stocks†		111,703,194		92,424,525		23,676,350		227,804,069
Corporate Bonds†		—		319,007,061		101,487,753		420,494,814
Convertible Bonds†		—		1,124,688,183		5,769,826		1,130,458,009
Closed End Funds		123,803,355		8,624,990		—		132,428,345
Loan Participations†		—		18,504,721		3,005,640		21,510,361
Preferred Stocks†		4,382,234		4,754,861		898,796		10,035,891
Rights†		160,707		607,824		2,835		771,366
Warrants†		8,753,651		4,309,302		1,104,243		14,167,196
Money Market Funds		—		256,664,344		—		256,664,344
Purchased Options		5,517,475		—		—		5,517,475
Futures Contracts*		262,388		—		—		262,388
Total Return Basket Swaps Contracts*		—		121,487		—		121,487
Total Assets	$	1,679,111,596	$	1,950,202,151	$	144,594,999	$	3,773,908,746

AQR Funds Semi-Annual Report June 2014 215

Notes to Financial Statements (Unaudited) June 30, 2014

AQR DIVERSIFIED ARBITRAGE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
LIABILITIES
Common Stocks (Sold Short)†	$	(1,524,910,896	)	$	(4,869,770	)	$	—	$	(1,529,780,666	)
Convertible Bonds (Sold Short)†		—			(26,508,547	)		—		(26,508,547	)
Exchange-Traded Funds (Sold Short)		(124,266	)		—			—		(124,266	)
Preferred Stocks (Sold Short)†		—			(15,943,388	)		—		(15,943,388	)
U.S. Treasury Obligations (Sold Short)		—			(2,877,697	)		—		(2,877,697	)
Futures Contracts*		(5,818,725	)		—			—		(5,818,725	)
Forward Foreign Currency Exchange Contracts*		—			(301,850	)		—		(301,850	)
Written Options*		(1,182,950	)		(64,215	)		—		(1,247,165	)
Credit Default Swap Contracts*		—			(26,738,251	)		—		(26,738,251	)
Total Liabilities	$	(1,532,036,837	)	$	(77,303,718	)	$	—	$	(1,609,340,555	)

Quantitative Information about Level 3 Fair Value Measurements*

					RANGE
	FAIR VALUE AT 6/30/2014		VALUATION TECHNIQUE(S)	UNOBSERVABLE INPUT(S)	RANGE	RANGE WEIGHTED AVG.
Common Stocks		$696,171	Enterprise Value Waterfall	Volatility	45.6%—65.6%	59.3%
		$387,409	Black Scholes Model	Volatility	79.8%	N/A
		$521,334	Liquidation Analysis	Volatility	71.3%	N/A
		$124,715	Options Pricing Model	Discount for lack of marketability**	7.1%	N/A
				Volatility	53.1%	N/A
		$1,472,060	As Converted Equivalent	Discount for lack of marketability**	19.7%	N/A
				Volatility	36.2%	N/A
Preferred Stock		$898,796	Enterprise Value Waterfall	Discount for lack of marketability**	6.3%	N/A
				Volatility	38.6%	N/A
Convertible Preferred Stocks		$5,106	As Converted Equivalent	Discount for lack of marketability**	16.4%	N/A
				Volatility	50.7%	N/A
Corporate Bonds		$104,546	Liquidation Analysis	Volatility	54.4%	N/A
Convertible Bonds		$239,510	Liquidation Analysis	Volatility	54.4%	N/A
		$1,796	Recovery Value	Volatility	58.1%	N/A
Warrants		$40,681	Black Scholes Model	Discount for lack of marketability**	29.0%—45.1%	32.6%
				Volatility	52.9%—73.0%	66.77%

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2014, the value of these securities was $140,102,874. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.

** Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments.

216 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

Level 3 values are based on significant unobservable inputs that reflect the Advisor’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discount, theoretical value, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.

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

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCKS			CONVERTIBLE PREFERRED STOCKS			LOAN PARTICIPATIONS/ CORPORATE BONDS			CONVERTIBLE BONDS			PREFERRED STOCKS			RIGHTS		WARRANTS
Balance as of December 31, 2013		$14,041,304			$24,735,848			$74,581,303			$7,850,420			$20,828,897			$2,835		$9,194,739
Accrued discounts/ (premiums)		—			—			(692,596	)		920			—			—		—
Realized gain/(loss)		(4	)		(56,989	)		147,031			446,879			343,509			—		(471,699	)
Change in unrealized appreciation/(depreciation)		635,827			102,196			(3,983,848	)		(350,386	)		(139,288	)		—		(5,586,206	)
Purchases 1		928,441			—			39,949,501			5,416,118			—			—		—
Sales 2		—			(1,104,705	)		(43,105,084	)		(7,594,125	)		(20,134,322	)		—		(2,045,390	)
Transfers in to Level 3		5,399,146			—			45,816,525			—			—			—		255,610
Transfers out of Level 3		(12,355,158	)		—			(8,219,439	)		—			—			—		(242,811	)
Balance as of June 30, 2014		$8,649,556			$23,676,350			$104,493,393			$5,769,826			$898,796			$2,835		$1,104,243
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2014		$635,829			$4,292			$(5,968,307)			$(157,966)			$31,975			$—		$498,543

1 Purchases include all purchases of securities and securities received in corporate actions.

2 Sales include all sales of securities, maturities, paydowns and securities tendered in a corporate action.

AQR Funds Semi-Annual Report June 2014 217

Notes to Financial Statements (Unaudited) June 30, 2014

AQR LONG-SHORT EQUITY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Money Market Funds	$	—		$	13,795,275		$	—	$	13,795,275
Forward Foreign Currency Exchange Contracts*		—			32,840			—		32,840
Futures Contracts*		46,604			—			—		46,604
Total Return Basket Swaps Contracts*		—			626,207			—		626,207
Total Assets	$	46,604		$	14,454,322		$	—	$	14,500,926
LIABILITIES
Total Return Swap Contracts*	$	—		$	(3,116	)	$	—	$	(3,116	)
Total Liabilities	$	—		$	(3,116	)	$	—	$	(3,116	)
AQR GLOBAL MACRO FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Money Market Funds	$	—		$	23,197,978		$	—	$	23,197,978
Futures Contracts*		96,835			—			—		96,835
Forward Foreign Currency Exchange Contracts*		—			7,256			—		7,256
Total Return Swap Contracts*		—			86,300			—		86,300
Total Assets	$	96,835		$	23,291,534		$	—	$	23,388,369
LIABILITIES
Futures Contracts*	$	(600,596	)	$	—		$	—	$	(600,596	)
Interest Rate Swap Contracts*		—			(57,250	)		—		(57,250	)
Total Liabilities	$	(600,596	)	$	(57,250	)	$	—	$	(657,846	)
AQR MANAGED FUTURES STRATEGY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Short-Term Investments	$	—		$	4,263,064,561		$	—	$	4,263,064,561
Money Market Funds		—			1,488,114,382			—		1,488,114,382
Futures Contracts*		50,074,154			—			—		50,074,154
Forward Foreign Currency Exchange Contracts*		—			61,983,826			—		61,983,826
Total Return Swap Contracts*		—			7,676,385			—		7,676,385
Total Assets	$	50,074,154		$	5,820,839,154		$	—	$	5,870,913,308
LIABILITIES
Total Return Swap Contracts*	$	—		$	(15,995,269	)	$	—	$	(15,995,269	)
Total Liabilities	$	—		$	(15,995,269	)	$	—	$	(15,995,269	)

218 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

AQR MANAGED FUTURES STRATEGY HV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Short-Term Investments	$	—		$	82,698,291		$	—	$	82,698,291
Money Market Funds		—			60,356,223			—		60,356,223
Futures Contracts*		1,980,011			—			—		1,980,011
Forward Foreign Currency Exchange Contracts*		—			2,684,685			—		2,684,685
Total Return Swap Contracts*		—			570,762			—		570,762
Total Assets	$	1,980,011		$	146,309,961		$	—	$	148,289,972
LIABILITIES
Futures Contracts*	$	(248,673	)	$	—		$	—	$	(248,673	)
Total Return Swap Contracts*		—			(994,664	)		—		(994,664	)
Total Liabilities	$	(248,673	)	$	(994,664	)	$	—	$	(1,243,337	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Short-Term Investments	$	—		$	749,837		$	—	$	749,837
Money Market Funds		—			63,181,777			—		63,181,777
Total Return Swap Contracts*		—			1,505,234			—		1,505,234
Total Assets	$	—		$	65,436,848		$	—	$	65,436,848
LIABILITIES
Futures Contracts*	$	(39,433	)	$	—		$	—	$	(39,433	)
Total Return Swap Contracts*		—			(493,182	)		—		(493,182	)
Total Liabilities	$	(39,433	)	$	(493,182	)	$	—	$	(532,615	)
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	$	—		$	131,274,209		$	—	$	131,274,209
Short-Term Investments		—			123,990,206			—		123,990,206
U.S. Treasury Obligations		—			225,129,080			—		225,129,080
Money Market Funds		—			279,449,989			—		279,449,989
Futures Contracts*		2,703,998			—			—		2,703,998
Interest Rate Swap Contracts*		—			8,410,649			—		8,410,649
Credit Default Swap Contracts*		—			34,630,582			—		34,630,582
Total Return Swap Contracts*		—			8,526,912			—		8,526,912
Total Assets	$	2,703,998		$	811,411,627		$	—	$	814,115,625
LIABILITIES
Forward Foreign Currency Exchange Contracts*	$	—		$	(315,677	)	$	—	$	(315,677	)
Total Return Swap Contracts*		—			(1,874,951	)		—		(1,874,951	)
Total Liabilities	$	—		$	(2,190,628	)	$	—	$	(2,190,628	)

AQR Funds Semi-Annual Report June 2014 219

Notes to Financial Statements (Unaudited) June 30, 2014

AQR RISK PARITY II MV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—		$	18,926,300		$	—	$	18,926,300
Short-Term Investments		—			6,215,236			—		6,215,236
U.S. Treasury Obligations		—			32,934,440			—		32,934,440
Money Market Funds		—			33,945,800			—		33,945,800
Futures Contracts*		762,816			—			—		762,816
Total Return Swap Contracts*		—			888,239			—		888,239
Total Assets	$	762,816		$	92,910,015		$	—	$	93,672,831
LIABILITIES
Futures Contracts*	$	(49,516	)	$	—		$	—	$	(49,516	)
Forward Foreign Currency Exchange Contracts*		—			(191,543	)		—		(191,543	)
Total Return Swap Contracts*		—			(145,421	)		—		(145,421	)
Total Liabilities	$	(49,516	)	$	(336,964	)	$	—	$	(386,480	)

AQR RISK PARITY II HV FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)		OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Government Related Obligations	$	—	$	13,799,986		$	—	$	13,799,986
Short-Term Investments		—		5,917,877			—		5,917,877
U.S. Treasury Obligations		—		23,785,661			—		23,785,661
Money Market Funds		—		23,888,700			—		23,888,700
Futures Contracts*		590,981		—			—		590,981
Total Return Swap Contracts*		—		611,435			—		611,435
Total Assets	$	590,981	$	68,003,659		$	—	$	68,594,640
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—	$	(23,483,375	)	$	—	$	(23,483,375	)
Forward Foreign Currency Exchange Contracts*		—		(137,009	)		—		(137,009	)
Total Return Swap Contracts*		—		(136,253	)		—		(136,253	)
Total Liabilities	$	—	$	(23,756,637	)	$	—	$	(23,756,637	)

220 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	87,491,037		$	757,167,830		$	—	$	844,658,867
Convertible Preferred Stocks†		28,919,274			3,244,945			—		32,164,219
Corporate Bonds†		—			53,306,179			8,366,712		61,672,891
Convertible Bonds†		—			452,080,865			225,000		452,305,865
Preferred Stocks†		1,136,003			4,960,275			—		6,096,278
Rights†		—			261,505			—		261,505
Short-Term Investments		—			64,360,719			—		64,360,719
Money Market Funds		—			518,273,373			—		518,273,373
Futures Contracts*		2,130,376			—			—		2,130,376
Forward Foreign Currency Exchange Contracts*		—			14,203,089			—		14,203,089
Credit Default Swap Contracts*		—			3,359,146			—		3,359,146
Total Return Basket Swaps Contracts		—			71,906,540			—		71,906,540
Total Return Swap Contracts*		—			6,212,585			—		6,212,585
Total Assets	$	119,676,690		$	1,949,337,051		$	8,591,712	$	2,077,605,453
LIABILITIES
Common Stocks (Sold Short)†	$	(415,601,729	)	$	(625,719,834	)	$	—	$	(1,041,321,563	)
Preferred Stocks (Sold Short)†		—			(5,316,284	)		—		(5,316,284	)
U.S. Treasury Obligations (Sold Short)		—			(1,726,618	)		—		(1,726,618	)
Futures Contracts*		(10,999,816	)		—			—		(10,999,816	)
Total Return Basket Swaps Contracts		—			(94,408	)		—		(94,408	)
Total Return Swap Contracts*		—			(698,146	)		—		(698,146	)
Total Liabilities	$	(426,601,545	)	$	(633,555,290	)	$	—	$	(1,060,156,835	)

AQR MULTI-STRATEGY ALTERNATIVE FUND	COMMON STOCK			CORPORATE BOND			CONVERTIBLE BOND
Balance as of December 31, 2013	$	—		$	—		$	1,089,000
Accrued discounts/(premiums)		—			(223,007	)		934
Realized gain/(loss)		209,843			(217,903	)		—
Change in unrealized appreciation/(depreciation)		596,469			274,874			8,961
Purchases		8,297,891			—			—
Sales		(2,858,948	)		(3,214,690	)		(1,096,786	)
Transfers in to Level 3		—			11,747,438			222,891
Transfers out of Level 3		—			—			—
Balance as of June 30, 2014	$	6,245,255		$	8,366,712		$	225,000
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2014	$	596,469		$	274,874		$	1,143

AQR Funds Semi-Annual Report June 2014 221

Notes to Financial Statements (Unaudited) June 30, 2014

AQR STYLE PREMIA ALTERNATIVE FUND	QUOTED PRICES IN ACTIVE MARKET (LEVEL 1)			OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2)			SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		TOTALS
ASSETS
Common Stocks†	$	—		$	326,140,069		$	—	$	326,140,069
Preferred Stocks†		—			10,309,562			—		10,309,562
Rights†		—			61,595			—		61,595
Money Market Funds		—			494,265,505			—		494,265,505
Futures Contracts*		1,130,990			—			—		1,130,990
Forward Foreign Currency Exchange Contracts*		—			1,760,928			—		1,760,928
Total Return Basket Swaps Contracts		—			23,344,021			—		23,344,021
Total Return Swap Contracts*		—			1,451,818			—		1,451,818
Total Assets	$	1,130,990		$	857,333,498		$	—	$	858,464,488
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(273,314,018	)	$	—	$	(273,314,018	)
Rights (Sold Short)†		—			(10,644	)		—		(10,644	)
Futures Contracts*		(836,703	)		—			—		(836,703	)
Total Return Swap Contracts*		—			(924,561	)		—		(924,561	)
Total Liabilities	$	(836,703	)	$	(274,249,223	)	$	—	$	(275,085,926	)

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

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

There were no transfers between Levels 1 and 2 during the period for any of the Funds. There were no Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund.

6. Investment Transactions

During the period ended June 30, 2014, 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 Diversified Arbitrage Fund	$	3,825,478,446	$	2,456,291,967	$	1,780,148,729	$	703,016,617
AQR Long-Short Equity Fund		—		—		—		—
AQR Global Macro Fund		—		—		—		—
AQR Managed Futures Strategy Fund		—		—		—		—
AQR Managed Futures Strategy HV Fund		—		—		—		—
AQR Risk-Balanced Commodities Strategy Fund		—		—		—		—
AQR Risk Parity Fund		156,127,148		153,649,229		—		—
AQR Risk Parity II MV Fund		38,768,865		9,101,184		—		—
AQR Risk Parity II HV Fund		24,952,712		3,989,971		—		—
AQR Multi-Strategy Alternative Fund		504,861,408		525,210,118		402,962,267		394,040,325
AQR Style Premia Alternative Fund		153,957,442		33,887,066		151,315,384		55,295,531

222 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

During the period ended June 30, 2014, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES
AQR Diversified Arbitrage Fund	$	34,327,792	$	39,290,680
AQR Risk Parity Fund		90,968,520		76,377,849
AQR Risk Parity II MV Fund		23,275,522		3,526,052
AQR Risk Parity II HV Fund		14,869,813		1,300,173
AQR Multi-Strategy Alternative Fund		5,129,454		4,736,360

7. Derivative Instruments and Hedging Activities

Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at June 30, 2014, are not accounted for as hedging instruments under GAAP. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30, 2014 are as follows:

		ASSETS						LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	—	$	613,974	$	—	$	5,635,392	$	492,487	$	—	$	1,247,165
AQR Long-Short Equity Fund		57,534		638,084		—		10,930		14,993		—		—
AQR Global Macro Fund		61,377		50,027		—		128,886		1,362		—		—
AQR Managed Futures Strategy Fund		23,058,428		3,927,721		—		13,687,266		3,273,161		—		—
AQR Managed Futures Strategy HV Fund		967,910		118,654		—		522,089		119,605		—		—
AQR Risk Parity Fund		3,121,694		284,726		—		847,111		431,090		—		—
AQR Risk Parity II MV Fund		449,563		52,407		—		132,973		56,666		—		—
AQR Risk Parity II HV Fund		335,071		30,629		—		100,586		37,726		—		—
AQR Multi-Strategy Alternative Fund		1,255,199		76,413,293		—		6,455,976		3,307,995		—		—
AQR Style Premia Alternative Fund		3,522,279		27,181,271		—		3,442,011		2,252,480		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		504,074		—		—		805,924		—
AQR Long-Short Equity Fund		—		—		37,319		—		—		4,479		—
AQR Global Macro Fund		—		—		339,689		—		—		332,433		—
AQR Managed Futures Strategy Fund		—		—		142,309,285		—		—		80,325,459		—
AQR Managed Futures Strategy HV Fund		—		—		5,207,847		—		—		2,523,162		—
AQR Risk Parity Fund		—		—		2,500,566		—		—		2,816,243		—
AQR Risk Parity II MV Fund		—		—		3,262		—		—		194,805		—
AQR Risk Parity II HV Fund		—		—		1,652		—		—		138,661		—
AQR Multi-Strategy Alternative Fund		—		—		25,934,852		—		—		11,731,763		—
AQR Style Premia Alternative Fund		—		—		8,359,770		—		—		6,598,842		—

AQR Funds Semi-Annual Report June 2014 223

Notes to Financial Statements (Unaudited) June 30, 2014

		ASSETS									LIABILITIES
FUND	UNREALIZED APPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			UNREALIZED DEPRECIATION ON FUTURES CONTRACTS			SWAPS AT VALUE			UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS AT MARKET VALUE
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		262,388			—			—			183,333			—			—			—
AQR Global Macro Fund		15,477			1,922,999			—			548,948			1,947,630			—			—
AQR Managed Futures Strategy Fund		40,701,550			6,146,857			—			737,967			691,717			—			—
AQR Managed Futures Strategy HV Fund		1,536,316			99,872			—			32,374			26,230			—			—
AQR Risk Parity Fund		308,311			12,693,639			—			—			2,221,393			—			—
AQR Risk Parity II MV Fund		349,041			36,395			—			486			302			—			—
AQR Risk Parity II HV Fund		240,633			66,657			—			162			603			—			—
AQR Multi-Strategy Alternative Fund		914,275			3,069,950			—			7,058,712			223,252			—			—
AQR Style Premia Alternative Fund		3,898,231			1,000,961			—			2,852,965			1,500,213			—			—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			2,305,293			—			—			29,043,544			—			—
AQR Risk Parity Fund		—			34,761,938			—			—			131,356			—			—
AQR Multi-Strategy Alternative Fund		—			3,544,415			—			—			185,269			—			—
Commodity Risk Exposure:
AQR Global Macro Fund		224,301			5,016			—			127,082			—			—			—
AQR Managed Futures Strategy Fund		39,144,915			37,206,669			—			38,405,506			51,635,253			—			—
AQR Managed Futures Strategy HV Fund		781,327			1,772,484			—			999,752			2,269,077			—			—
AQR Risk-Balanced Commodities Strategy Fund		770,048			7,756,530			—			809,481			6,744,478			—			—
AQR Risk Parity Fund		121,104			20,525,595			—			—			15,788,867			—			—
AQR Risk Parity II MV Fund		686,125			1,767,032			—			637,970			1,056,048			—			—
AQR Risk Parity II HV Fund		508,096			1,266,001			—			392,071			849,776			—			—
AQR Multi-Strategy Alternative Fund		5,321,869			5,938,628			—			2,846,095			4,564,053			—			—
AQR Style Premia Alternative Fund		2,149,420			1,433,486			—			2,980,667			1,991,747			—			—
Netting:
AQR Diversified Arbitrage Fund		(262,388	)		(2,919,267	)		(504,074	)		(262,388	)		(2,919,267	)		(504,074	)		—
AQR Long-Short Equity Fund		(10,930	)		(14,993	)		(4,479	)		(10,930	)		(14,993	)		(4,479	)		—
AQR Global Macro Fund		(301,155	)		(1,948,992	)		(332,433	)		(301,155	)		(1,948,992	)		(332,433	)		—
AQR Managed Futures Strategy Fund		(52,830,739	)		(47,281,247	)		(80,325,459	)		(52,830,739	)		(47,281,247	)		(80,325,459	)		—
AQR Managed Futures Strategy HV Fund		(1,554,215	)		(1,991,010	)		(2,523,162	)		(1,554,215	)		(1,991,010	)		(2,523,162	)		—
AQR Risk-Balanced Commodities Strategy Fund		(770,048	)		(6,744,478	)		—			(770,048	)		(6,744,478	)		—			—
AQR Risk Parity Fund		(847,111	)		(18,572,706	)		(2,500,566	)		(847,111	)		(18,572,706	)		(2,500,566	)		—
AQR Risk Parity II MV Fund		(771,429	)		(1,113,016	)		(3,262	)		(771,429	)		(1,113,016	)		(3,262	)		—
AQR Risk Parity II HV Fund		(492,819	)		(888,105	)		(1,652	)		(492,819	)		(888,105	)		(1,652	)		—
AQR Multi-Strategy Alternative Fund		(7,491,343	)		(8,280,569	)		(11,731,763	)		(7,491,343	)		(8,280,569	)		(11,731,763	)		—
AQR Style Premia Alternative Fund		(9,275,643	)		(5,744,440	)		(6,598,842	)		(9,275,643	)		(5,744,440	)		(6,598,842	)		—

224 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

		ASSETS						LIABILITIES
FUND		UNREALIZED APPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		UNREALIZED DEPRECIATION ON FUTURES CONTRACTS		SWAPS AT VALUE		UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS AT MARKET VALUE
Net Fair Value of Derivative Contracts:
AQR Diversified Arbitrage Fund	$	—	$	—	$	—	$	5,556,337	$	26,616,764	$	301,850	$	1,247,165
AQR Long-Short Equity Fund		46,604		623,091		32,840		—		—		—		—
AQR Global Macro Fund		—		29,050		7,256		503,761		—		—		—
AQR Managed Futures Strategy Fund		50,074,154		—		61,983,826		—		8,318,884		—		—
AQR Managed Futures Strategy HV Fund		1,731,338		—		2,684,685		—		423,902		—		—
AQR Risk-Balanced Commodities Strategy Fund		—		1,012,052		—		39,433		—		—		—
AQR Risk Parity Fund		2,703,998		49,693,192		—		—		—		315,677		—
AQR Risk Parity II MV Fund		713,300		742,818		—		—		—		191,543		—
AQR Risk Parity II HV Fund		590,981		475,182		—		—		—		137,009		—
AQR Multi-Strategy Alternative Fund		—		80,685,717		14,203,089		8,869,440		—		—		—
AQR Style Premia Alternative Fund		294,287		23,871,278		1,760,928		—		—		—		—

The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2014:

		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			SWAP CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS		FUTURES CONTRACTS			SWAP CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS		WRITTEN OPTIONS
Equity Risk Exposure:
AQR Diversified Arbitrage Fund	$	(36,268,100	)	$	(3,808,377	)	$	—	$	1,358,334	$	7,056,222		$	111,135,945		$	—	$	1,452,160
AQR Long-Short Equity Fund		309,461			79,342			—		—		(34,875	)		358,546			—		—
AQR Global Macro Fund		62,498			(144,795	)		—		—		(67,509	)		48,665			—		—
AQR Managed Futures Strategy Fund		129,919,426			27,021,047			—		—		(99,868,816	)		(2,666,970	)		—		—
AQR Managed Futures Strategy HV Fund		2,735,340			553,547			—		—		(510,956	)		(28,849	)		—		—
AQR Risk Parity Fund		22,092,756			590,485			—		—		(11,616,672	)		(1,456,862	)		—		—
AQR Risk Parity II MV Fund		2,202,813			169,234			—		—		(584,191	)		(88,543	)		—		—
AQR Risk Parity II HV Fund		2,136,661			93,817			—		—		(482,375	)		(74,906	)		—		—
AQR Multi-Strategy Alternative Fund		(20,865,452	)		(36,653,880	)		—		259,320		(1,674,652	)		38,960,186			—		(8,805	)
AQR Style Premia Alternative Fund		(472,701	)		(15,412,062	)		—		—		(1,303,541	)		25,788,428			—		—

AQR Funds Semi-Annual Report June 2014 225

Notes to Financial Statements (Unaudited) June 30, 2014

		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			SWAP CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS		FUTURES CONTRACTS			SWAP CONTRACTS			FORWARD CURRENCY EXCHANGE CONTRACTS			WRITTEN OPTIONS
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund	$	—		$	—		$	420,718		$	—	$	—		$	—		$	294,535		$	—
AQR Long-Short Equity Fund		—			—			8,450			—		—			—			33,287			—
AQR Global Macro Fund		—			—			(65,037	)		—		—			—			7,256			—
AQR Managed Futures Strategy Fund		—			—			(125,612,876	)		—		—			—			(50,768,526	)		—
AQR Managed Futures Strategy HV Fund		—			—			(3,193,347	)		—		—			—			1,664,549			—
AQR Risk Parity Fund		—			—			5,724,664			—		—			—			1,192,856			—
AQR Risk Parity II MV Fund		—			—			124,874			—		—			—			(142,646	)		—
AQR Risk Parity II HV Fund		—			—			16,340			—		—			—			(104,578	)		—
AQR Multi-Strategy Alternative Fund		—			—			8,581,380			—		—			—			9,674,924			—
AQR Style Premia Alternative Fund		—			—			1,584,255			—		—			—			1,386,168			—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(2,817,852	)		31,261,749			—			—		(1,044,012	)		(142,472,536	)		—			—
AQR Global Macro Fund		(386,150	)		111,087			—			—		(533,471	)		(60,818	)		—			—
AQR Managed Futures Strategy Fund		(90,682,977	)		(10,990,307	)		—			—		29,219,209			9,433,138			—			—
AQR Managed Futures Strategy HV Fund		(1,083,404	)		(765,858	)		—			—		1,404,709			103,160			—			—
AQR Risk Parity Fund		2,578,087			(1,556,381	)		—			—		5,361,094			22,819,907			—			—
AQR Risk Parity II MV Fund		1,388,725			214,781			—			—		947,085			66,983			—			—
AQR Risk Parity II HV Fund		833,781			350,517			—			—		499,519			266,597			—			—
AQR Multi-Strategy Alternative Fund		(17,027,154	)		2,127,545			—			—		(4,300,005	)		6,119,751			—			—
AQR Style Premia Alternative Fund		(5,776,855	)		(2,195,748	)		—			—		1,765,274			2,236,123			—			—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—			(8,673,085	)		—			—		—			2,295,099			—			—
AQR Global Macro Fund		—			(4,883	)		—			—		—			—			—			—
AQR Risk Parity Fund		—			20,423,327			—			—		—			(5,436,204	)		—			—
AQR Multi-Strategy Alternative Fund		—			459,094			—			—		—			(55,841	)		—			—
Commodity Risk Exposure:
AQR Global Macro Fund		100,468			14,779			—			—		97,219			5,016			—			—
AQR Managed Futures Strategy Fund		(71,119,315	)		3,498,935			—			—		(1,967,287	)		(35,051,579	)		—			—
AQR Managed Futures Strategy HV Fund		(1,058,391	)		(652,003	)		—			—		(243,152	)		(472,204	)		—			—
AQR Risk-Balanced Commodities Strategy Fund		671,029			2,799,283			—			—		126,266			1,584,279			—			—
AQR Risk Parity Fund		4,993,830			6,269,657			—			—		1,873,270			1,757,477			—			—
AQR Risk Parity II MV Fund		(65,204	)		466,593			—			—		167,090			522,103			—			—
AQR Risk Parity II HV Fund		420,346			481,804			—			—		163,779			244,975			—			—
AQR Multi-Strategy Alternative Fund		(4,645,192	)		(2,751,154	)		—			—		4,016			2,964,642			—			—
AQR Style Premia Alternative Fund		4,437,962			4,035,135			—			—		(3,858,906	)		(1,408,356	)		—			—

226 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

For financial reporting purposes, the Funds do not offset financial assets financial liabilities across derivatives types that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All financial instruments held by the Funds were subject to a master netting agreement or similar arrangement. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.

The following tables present, by counterparty and contract type, the Funds’ derivative assets and liabilities as of June 30, 2014.

AQR DIVERSIFIED ARBITRAGE FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Basket Swaps Contracts	$	20,724	$	—		$	20,724	$	—		$	—		$	20,724
CitiBank	Credit Default Swap Contracts		2,305,293		(2,305,293	)		—		—			—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		28,369		(28,369	)		—		—			—			—
Deutsche Bank	Total Return Basket Swaps Contracts		55,687		(55,687	)		—		—			—			—
J.P. Morgan	Futures Contracts		262,388		—			262,388		—			—			262,388
	Total Return Basket Swaps Contracts		537,563		—			537,563		—			—			537,563
	Total J.P. Morgan		799,951		—			799,951		—			—			799,951
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		475,705		(475,705	)		—		—			—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,685,729		(2,865,054	)		820,675		—			—			820,675
										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED (a	)		NET AMOUNT
Barclays Capital	Futures Contracts	$	5,818,725	$	—		$	5,818,725	$	—		$	(5,818,725	)	$	—
CitiBank	Credit Default Swap Contracts		29,043,544		(2,305,293	)		26,738,251		—			(26,738,251	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		54,842		(28,369	)		26,473		—			(2	)		26,471
Deutsche Bank	Total Return Basket Swaps Contracts		492,487		(55,687	)		436,800		—			(436,800	)		—
J.P. Morgan	Written Options		1,247,165		—			1,247,165		(1,247,165	)		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		751,082		(475,705	)		275,377		—			(129,438	)		145,939
Total financial instruments subject to a master netting arrangement or similar arrangement			37,407,845		(2,865,054	)		34,542,791		(1,247,165	)		(33,123,216	)		172,410

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $118,172,945.

AQR Funds Semi-Annual Report June 2014 227

Notes to Financial Statements (Unaudited) June 30, 2014

AQR LONG SHORT EQUITY FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL RECEIVED			NET AMOUNT
Barclays Capital	Futures Contracts	$	57,534	$	(10,930	)	$	46,604	$        —	$        —		$	46,604
Credit Suisse	Forward Foreign Currency Exchange Contracts		18,660		(318	)		18,342	—	—			18,342
Deutsche Bank	Total Return Basket Swaps Contracts		293,098		(11,877	)		281,221	—	—			281,221
Goldman Sachs	Total Return Basket Swaps Contracts		344,986		(3,116	)		341,870	—	—			341,870
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		18,659		(4,161	)		14,498	—	—			14,498
Total financial instruments subject to a master netting arrangement or similar arrangement			732,937		(30,402	)		702,535	—	—			702,535
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS	COLLATERAL PLEDGED (a	)		NET AMOUNT
Barclays Capital	Futures Contracts	$	10,930	$	(10,930	)		$         —	$        —	$        —			$        —
Credit Suisse	Forward Foreign Currency Exchange Contracts		318		(318	)		—	—	—			—
Deutsche Bank	Total Return Basket Swaps Contracts		11,877		(11,877	)		—	—	—			—
Goldman Sachs	Total Return Swap Contracts		3,116		(3,116	)		—	—	—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		4,161		(4,161	)		—	—	—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			30,402		(30,402	)		—	—	—			—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,871,406.

228 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

AQR GLOBAL MACRO FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	85,113	$	(3,829	)	$	81,284	$        —	$	—		$	81,284
Barclays Capital	Futures Contracts		61,377		(61,377	)		—	—		—			—
CitiBank	Interest Rate Swap Contracts		1,887,915		(1,887,915	)		—	—		—			—
	Total Return Swap Contracts		3,182		—			3,182	—		—			3,182
	Total CitiBank		1,891,097		(1,887,915	)		3,182	—		—			3,182
Credit Suisse	Forward Foreign Currency Exchange Contracts		339,689		(332,433	)		7,256	—		—			7,256
Deutsche Bank	Total Return Swap Contracts		1,834		—			1,834	—		—			1,834
Goldman Sachs	Futures Contracts		102,453		(5,618	)		96,835	—		—			96,835
J.P. Morgan	Futures Contracts		137,325		(137,325	)		—	—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			2,618,888		(2,428,497	)		190,391	—		—			190,391
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	3,829	$	(3,829	)	$	—	$        —	$	—		$	—
Barclays Capital	Futures Contracts		128,791		(61,377	)		67,414	—		(67,414	)		—
CitiBank	Interest Rate Swap Contracts		1,945,165		(1,887,915	)		57,250	—		(57,250	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		332,433		(332,433	)		—	—		—			—
Goldman Sachs	Futures Contracts		5,618		(5,618	)		—	—		—			—
J.P. Morgan	Futures Contracts		670,507		(137,325	)		533,182	—		(533,182	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			3,086,343		(2,428,497	)		657,846	—		(657,846	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,697,753.

AQR Funds Semi-Annual Report June 2014 229

Notes to Financial Statements (Unaudited) June 30, 2014

AQR MANAGED FUTURES STRATEGY FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	10,074,578	$	(3,964,878	)	$	6,109,700	$        —	$	—		$	6,109,700
Barclays Capital	Futures Contracts		23,033,879		(13,687,266	)		9,346,613	—		—			9,346,613
	Total Return Swap Contracts		5,010,811		(5,010,811	)		—	—		—			—
	Total Barclays Capital		28,044,690		(18,698,077	)		9,346,613	—		—			9,346,613
CitiBank	Total Return Swap Contracts		20,740,795		(19,174,110	)		1,566,685	—		—			1,566,685
Credit Suisse	Forward Foreign Currency Exchange Contracts		71,013,980		(40,152,821	)		30,861,159	—		(30,861,159	)		—
Deutsche Bank	Total Return Swap Contracts		2,721,610		(2,721,610	)		—	—		—			—
Goldman Sachs	Futures Contracts		14,792,861		(14,392,700	)		400,161	—		—			400,161
J.P. Morgan	Futures Contracts		65,078,153		(24,750,773	)		40,327,380	—		—			40,327,380
Merrill Lynch	Total Return Swap Contracts		8,733,453		(8,733,453	)		—	—		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		71,295,305		(40,172,638	)		31,122,667	—		(13,210,000	)		17,912,667
Total financial instruments subject to a master netting agreement or similar arrangement			292,495,425		(172,761,060	)		119,734,365	—		(44,071,159	)		75,663,206
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	3,964,878	$	(3,964,878	)	$	—	$        —	$	—			$        —
Barclays Capital	Futures Contracts		13,687,266		(13,687,266	)		—	—		—			—
	Total Return Swap Contracts		17,250,064		(5,010,811	)		12,239,253	—		(12,239,253	)		—
	Total Barclays Capital		30,937,330		(18,698,077	)		12,239,253	—		(12,239,253	)		—
CitiBank	Total Return Swap Contracts		19,174,110		(19,174,110	)		—	—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		40,152,821		(40,152,821	)		—	—		—			—
Deutsche Bank	Total Return Swap Contracts		5,625,885		(2,721,610	)		2,904,275	—		(2,904,275	)		—
Goldman Sachs	Futures Contracts		14,392,700		(14,392,700	)		—	—		—			—
J.P. Morgan	Futures Contracts		24,750,773		(24,750,773	)		—	—		—			—
Merrill Lynch	Total Return Swap Contracts		9,585,194		(8,733,453	)		851,741	—		(851,741	)		—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		40,172,638		(40,172,638	)		—	—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			188,756,329		(172,761,060	)		15,995,269	—		(15,995,269	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,578,841.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $409,427,985.

230 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

AQR MANAGED FUTURES STRATEGY HV FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	218,526	$	(145,835	)	$	72,691	$        —	$	—		$	72,691
Barclays Capital	Futures Contracts		967,083		(522,089	)		444,994	—		—			444,994
	Total Return Swap Contracts		521,181		(521,181	)		—	—		—			—
	Total Barclays Capital		1,488,264		(1,043,270	)		444,994	—		—			444,994
CitiBank	Total Return Swap Contracts		835,382		(337,311	)		498,071	—		—			498,071
Credit Suisse	Forward Foreign Currency Exchange Contracts		2,594,096		(1,251,947	)		1,342,149	—		(1,342,149	)		—
Deutsche Bank	Total Return Swap Contracts		415,921		(415,921	)		—	—		—			—
Goldman Sachs	Futures Contracts		277,220		(277,220	)		—	—		—			—
J.P. Morgan	Futures Contracts		2,041,250		(506,233	)		1,535,017	—		—			1,535,017
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		2,613,751		(1,271,215	)		1,342,536	—		(540,000	)		802,536
Total financial instruments subject to a master netting agreement or similar arrangement			10,484,410		(5,248,952	)		5,235,458	—		(1,882,149	)		3,353,309
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	145,835	$	(145,835	)	$	—	$        —	$	—			$        —
Barclays Capital	Futures Contracts		522,089		(522,089	)		—	—		—			—
	Total Return Swap Contracts		1,169,265		(521,181	)		648,084	—		(648,084	)		—
	Total Barclays Capital		1,691,354		(1,043,270	)		648,084	—		(648,084	)		—
CitiBank	Total Return Swap Contracts		337,311		(337,311	)		—	—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		1,251,947		(1,251,947	)		—	—		—			—
Deutsche Bank	Total Return Swap Contracts		762,501		(415,921	)		346,580	—		(346,580	)		—
Goldman Sachs	Futures Contracts		525,893		(277,220	)		248,673	—		(248,673	)		—
J.P. Morgan	Futures Contracts		506,233		(506,233	)		—	—		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		1,271,215		(1,271,215	)		—	—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			6,492,289		(5,248,952	)		1,243,337	—		(1,243,337	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $137,851.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $15,490,642.

AQR Funds Semi-Annual Report June 2014 231

Notes to Financial Statements (Unaudited) June 30, 2014

AQR RISK BALANCED COMMODITIES STRATEGY FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Barclays Capital	Total Return Swap Contracts	$	550,272	$	(38,171	)	$	512,101	$         —		$        —		$	512,101
CitiBank	Total Return Swap Contracts		4,182,305		(4,182,305	)		—	—		—			—
Deutsche Bank	Total Return Swap Contracts		3,023,953		(2,030,820	)		993,133	—		—			993,133
Goldman Sachs	Futures Contracts		61,642		(61,642	)		—	—		—			—
J.P. Morgan	Futures Contracts		708,406		(708,406	)		—	—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			8,526,578		(7,021,344	)		1,505,234	—		—			1,505,234
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a	)		NET AMOUNT
Barclays Capital	Total Return Swap Contracts	$	38,171	$	(38,171	)	$	—	$        —	$	—		$	—
CitiBank	Total Return Swap Contracts		4,675,487		(4,182,305	)		493,182	—		(493,182	)		—
Deutsche Bank	Total Return Swap Contracts		2,030,820		(2,030,820	)		—	—		—			—
Goldman Sachs	Futures Contracts		62,893		(61,642	)		1,251	—		(1,251	)		—
J.P. Morgan	Futures Contracts		746,588		(708,406	)		38,182	—		(38,182	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			7,553,959		(7,021,344	)		532,615	—		(532,615	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,804,289.

232 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

AQR RISK PARITY FUND

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	2,061,597	$	—		$	2,061,597		$         —	$	(1,690,000	)	$	371,597
Barclays Capital	Futures Contracts		3,119,888	$	(847,111	)		2,272,777		—		—			2,272,777
	Total Return Swap Contracts		531,403		(199,395	)		332,008		—		—			332,008
CitiBank	Credit Default Swap Contracts		34,761,938		(131,356	)		34,630,582
	Interest Rate Swap Contracts		10,632,042		(2,221,393	)		8,410,649
	Total Credit Default and Interest Rate Swap Contracts		45,393,980		(2,352,749	)		43,041,231				(19,386,234	)		23,654,997
	Total Return Swap Contracts		6,203,780		(7,592,258	)		(1,388,478	)			—			(1,388,478	)
	Total CitiBank		51,597,760		(9,945,007	)		41,652,753		—		(19,386,234	)		22,266,519
Credit Suisse	Forward Foreign Currency Exchange Contracts		1,186,527		(1,186,527	)		—		—		—			—
Deutsche Bank	Total Return Swap Contracts		58,648		(58,648	)		—		—		—			—
Goldman Sachs	Futures Contracts		121,104		—			121,104		—		—			121,104
J.P. Morgan	Futures Contracts		310,117		—			310,117		—		—			310,117
Merrill Lynch	Total Return Swap Contracts		13,731,764		(7,598,457	)		6,133,307		—		—			6,133,307
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		284,726		(284,726	)		—		—		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		1,314,039		(1,314,039	)		—		—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			74,317,573		(21,433,910	)		52,883,663		—		(21,076,234	)		31,807,429

AQR Funds Semi-Annual Report June 2014 233

Notes to Financial Statements (Unaudited) June 30, 2014

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b	)		NET AMOUNT
Barclays Capital	Futures Contracts	$	847,111	$	(847,111	)	$	—	$        —	$	—		$	—
	Total Return Swap Contracts		199,395		(199,395	)		—	—		—			—
CitiBank	Credit Default Swap Contracts		131,356		(131,356	)
	Interest Rate Swap Contracts		2,221,393		(2,221,393	)
	Total Return Swap Contracts		7,592,258		(7,592,258	)
	Total CitiBank		9,945,007		(9,945,007	)		—	—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		1,362,416		(1,186,527	)		175,889	—		(2	)		175,887
Deutsche Bank	Total Return Swap Contracts		398,757		(58,648	)		340,109	—		(200,000	)		140,109
Merrill Lynch	Total Return Swap Contracts		7,598,457		(7,598,457	)		—	—		—			—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		431,090		(284,726	)		146,364	—		(146,364	)		—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		1,453,827		(1,314,039	)		139,788	—		(139,788	)		—
Total financial instruments subject to a master netting agreement or similar arrangement			22,236,060		(21,433,910	)		802,150	—		(486,154	)		315,996

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $330,000.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $56,603,834.

234 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

AQR RISK PARITY II MV FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	36,395	$	(302	)	$	36,093	$        —	$	—		$	36,093
Barclays Capital	Futures Contracts		449,453		(132,973	)		316,480	—		—			316,480
	Total Return Swap Contracts		14,270		(220	)		14,050	—		(14,050	)		—
	Total Barclays Capital		463,723		(133,193	)		330,530	—		(14,050	)		316,480
CitiBank	Total Return Swap Contracts		121,408		(121,408	)		—	—		—			—
Credit Suisse	Forward Foreign Currency Exchange Contracts		235		(235	)		—	—		—			—
Deutsche Bank	Total Return Swap Contracts		1,631,354		(793,258	)		838,096	—		—			838,096
Goldman Sachs	Futures Contracts		86,364		(86,364	)		—	—		—			—
	Total Return Swap Contracts		52,407		(52,407	)		—	—		—			—
	Total Goldman Sachs		138,771		(138,771	)		—	—		—			—
J.P. Morgan	Futures Contracts		948,912		(502,576	)		446,336	—		—			446,336
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		3,027		(3,027	)		—	—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			3,343,825		(1,692,770	)		1,651,055	—		(14,050	)		1,637,005
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	302	$	(302	)	$	—	$        —	$	—		$	—
Barclays Capital	Futures Contracts		132,973		(132,973	)		—	—		—			—
	Total Return Swap Contracts		220		(220	)		—	—		—			—
	Total Barclays Capital		133,193		(133,193	)		—	—		—			—
CitBank	Total Return Swap Contracts		262,570		(121,408	)		141,162	—		(141,162	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		91,627		(235	)		91,392	—		—			91,392
Deutsche Bank	Total Return Swap Contracts		793,258		(793,258	)		—	—		—			—
Goldman Sachs	Futures Contracts		135,880		(86,364	)		49,516	—		(49,516	)		—
	Total Return Swap Contracts		56,666		(52,407	)		4,259	—		(4,259	)		—
	Total Goldman Sachs		192,546		(138,771	)		53,775	—		(53,775	)		—
J.P. Morgan	Futures Contracts		502,576		(502,576	)		—	—		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		103,178		(3,027	)		100,151	—		(1	)		100,150
Total financial instruments subject to a master netting agreement or similar arrangement			2,079,250		(1,692,770	)		386,480	—		(194,938	)		191,542

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $5,950.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,761,764.

AQR Funds Semi-Annual Report June 2014 235

Notes to Financial Statements (Unaudited) June 30, 2014

AQR RISK PARITY II HV FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	66,657	$	(603	)	$	66,054	$        —	$	—		$	66,054
Barclays Capital	Futures Contracts		335,023		(100,586	)		234,437	—		—			234,437
	Total Return Swap Contracts		16,060		—			16,060	—		(16,060	)		—
	Total Barclays Capital		351,083		(100,586	)		250,497	—		(16,060	)		234,437
CitiBank	Total Return Swap Contracts		132,950		(132,950	)		—	—		—			—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		200		(200	)		—	—		—			—
Deutsche Bank	Total Return Swap Contracts		1,116,991		(587,670	)		529,321	—		—			529,321
Goldman Sachs	Futures Contracts		92,132		(70,832	)		21,300	—		—			21,300
	Total Return Swap Contracts		30,629		(30,629	)		—	—		—			—
	Total Goldman Sachs		122,761		(101,461	)		21,300	—		—			21,300
J.P. Morgan	Futures Contracts		656,645		(321,401	)		335,244	—		—			335,244
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		1,452		(1,452	)		—	—		—			—
Total financial instruments subject to a master netting agreement or similar arrangement			2,448,739		(1,246,323	)		1,202,416	—		(16,060	)		1,186,356

236 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

										GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS  & LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED (b	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	603	$	(603	)	$	—	$	—		$	—		$	—
Barclays Capital	Futures Contracts		100,586		(100,586	)		—		—			—			—
	Reverse Repurchase Agreements		4,502,875		—			4,502,875		(4,412,875	)		(90,000	)		—
	Total Barclays Capital		4,603,461		(100,586	)		4,502,875		(4,412,875	)		(90,000	)		—
BNP Paribas Corp.	Reverse Repurchase Agreements		9,166,500		—			9,166,500		(9,166,500	)		—			—
CitiBank	Total Return Swap Contracts		262,106		(132,950	)		129,156		—			(129,156	)		—
	Reverse Repurchase Agreements		5,566,250		—			5,566,250		(5,566,250	)		—			—
	Total CitBank		5,828,356		(132,950	)		5,695,406		(5,566,250	)		(129,156	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		67,458		(200	)		67,258		—			—			67,258
Deutsche Bank	Total Return Swap Contracts		587,670		(587,670	)		—		—			—			—
Goldman Sachs	Futures Contracts		70,832		(70,832	)		—		—			—			—
	Total Return Swap Contracts		37,726		(30,629	)		7,097		—			(7,097	)		—
	Total Goldman Sachs		108,558		(101,461	)		7,097		—			(7,097	)		—
J.P. Morgan	Futures Contracts		321,401		(321,401	)		—		—			—			—
	Reverse Repurchase Agreements		4,247,750		—			4,247,750		(4,247,750	)		—			—
	Total J.P. Morgan		4,569,151		(321,401	)		4,247,750		(4,247,750	)		—			—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		71,203		(1,452	)		69,751		—			(10,001	)		59,750
Total financial instruments subject to a master netting agreement or similar arrangement			25,002,960		(1,246,323	)		23,756,637		(23,393,375	)		(236,254	)		127,008

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $83,940.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,568,355.

AQR Funds Semi-Annual Report June 2014 237

Notes to Financial Statements (Unaudited) June 30, 2014

AQR MULTI-STRATEGY ALTERNATIVE FUND

								GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS	GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	3,132,288	(387,635	)	$	2,744,653	$        —	$	(1,590,000	)	$	1,154,653
Barclays Capital	Futures Contracts		1,249,644	(1,249,644	)		—	—		—			—
CitiBank	Credit Default Swap Contracts		3,544,415	(185,269	)		3,359,146	—		(908,240	)		2,450,906
	Total Return Swap Contracts		1,493,694	(239,371	)		1,254,323	—		—			1,254,323
	Total CitiBank		5,038,109	(424,640	)		4,613,469	—		(908,240	)		3,705,229
Credit Suisse	Forward Foreign Currency Exchange Contracts		12,908,003	(5,736,127	)		7,171,876	—		(7,171,876	)		—
Deutsche Bank	Total Return Basket Swaps Contracts		7,233,679
	Total Return Swap Contracts		2,388,992
	Total Deutsche Bank		9,622,671	(3,413,925	)		6,208,746	—		—			6,208,746
Goldman Sachs	Futures Contracts		2,522,511	(392,135	)		2,130,376	—		—			2,130,376
J.P. Morgan	Futures Contracts		3,719,188	(3,719,188	)		—	—		—			—
Merrill Lynch	Total Return Swap Contracts		2,055,942	(2,055,942	)		—	—		—			—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		1,541,107	(155,831	)		1,385,276	—		—			1,385,276
Morgan Stanley Capital Services, Inc.	Total Return Basket Swaps Contracts		67,576,169	(1,144,450	)		66,431,719	—		—			66,431,719
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		13,026,849	(5,995,636	)		7,031,213	—		(3,480,000	)		3,551,213
Total financial instruments subject to a master netting arrangement or similar arrangement			122,392,481	(24,675,153	)		97,717,328	—		(13,150,116	)		84,567,212

238 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b	)	NET AMOUNT
Bank of America	Total Return Basket Swaps Contracts		94,408
	Total Return Swap Contracts		293,227
	Total Bank of America	$	387,635	$	(387,635	)	$	—	$        —	$	—		$        —
Barclays Capital	Futures Contracts		6,448,283		(1,249,644	)		5,198,639	—		(5,198,639	)	—
CitiBank	Credit Default Swap Contracts		185,269		(185,269	)		—	—		—		—
	Total Return Swap Contracts		239,371		(239,371	)		—	—		—		—
	Total CitiBank		424,640		(424,640	)		—	—		—		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		5,736,127		(5,736,127	)		—	—		—		—
Deutsche Bank	Total Return Basket Swaps Contracts		1,758,858
	Total Return Swap Contracts		1,655,067
	Total Deutsche Bank		3,413,925		(3,413,925	)		—	—		—		—
Goldman Sachs	Futures Contracts		392,135		(392,135	)		—	—		—		—
	Total Return Swap Contracts		84,473		—			84,473	—		(84,473	)	—
	Total Goldman Sachs		476,608		(392,135	)		84,473	—		(84,473	)	—
J.P. Morgan	Futures Contracts		9,520,365		(3,719,188	)		5,801,177	—		(5,801,177	)	—
Merrill Lynch	Total Return Swap Contracts		2,669,615		(2,055,942	)		613,673	—		(613,673	)	—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		155,831		(155,831	)		—	—		—		—
Morgan Stanley Capital Services, Inc.	Total Return Basket Swaps Contracts		1,144,450		(1,144,450	)		—	—		—		—
The Royal Bank of Scotland	Forward Foreign Currency Exchange Contracts		5,995,636		(5,995,636	)		—	—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			36,373,115		(24,675,153	)		11,697,962	—		(11,697,962	)	—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,008,124.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $339,198,089.

AQR Funds Semi-Annual Report June 2014 239

AQR STYLE PREMIA ALTERNATIVE FUND

									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED ASSETS		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	1,865,208	$	(988,237	)	$	876,971	$         —	$	—		$	876,971
Barclays Capital	Futures Contracts		3,522,279		(3,442,011	)		80,268	—		—			80,268
	Total Return Swap Contracts		823,055		(823,055	)		—	—		—			—
	Total Barclays Capital		4,345,334		(4,265,066	)		80,268	—		—			80,268
CitiBank	Total Return Swap Contracts		574,847		—			574,847	—		—			574,847
Credit Suisse	Forward Foreign Currency Exchange Contracts		8,359,770		(6,598,842	)		1,760,928	—		(1,760,928	)		—
Deutsche Bank	Total Return Swap Contracts		858,639		(858,639	)		—	—		—			—
Goldman Sachs	Futures Contracts		952,540		(952,540	)		—	—		—			—
	Total Return Basket Swaps Contracts		25,493,969		(2,224,588	)		23,269,381	—		—			23,269,381
	Total Goldman Sachs		26,446,509		(3,177,128	)		23,269,381	—		—			23,269,381
J.P. Morgan	Futures Contracts		5,095,111		(4,044,389	)		1,050,722	—		—			1,050,722
Total financial instruments subject to a master netting arrangement or similar arrangement			47,545,418		(19,932,301	)		27,613,117	—		(1,760,928	)		25,852,189
									GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE		GROSS AMOUNTS OF RECOGNIZED LIABILITIES		GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES			NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES	FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b	)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	988,237	$	(988,237	)	$	—	$        —	$	—		$	—
Barclays Capital	Futures Contracts		3,442,011		(3,442,011	)		—	—		—			—
	Total Return Swap Contracts		972,828		(823,055	)		149,773	—		(149,773	)		—
	Total Barclays Capital		4,414,839		(4,265,066	)		149,773	—		(149,773	)		—
Credit Suisse	Forward Foreign Currency Exchange Contracts		6,598,842		(6,598,842	)		—	—		—			—
Deutsche Bank	Total Return Swap Contracts		1,558,787		(858,639	)		700,148	—		—			700,148
Goldman Sachs	Futures Contracts		1,789,243		(952,540	)		836,703	—		(836,703	)		—
	Total Return Basket Swaps Contracts		2,149,948
	Total Return Swap Contracts		74,640
	Total Swap Contracts		2,224,588		(2,224,588	)		—	—		—			—
	Total Goldman Sachs		4,013,831		(3,177,128	)		836,703	—		(836,703	)		—
J.P. Morgan	Futures Contracts		4,044,389		(4,044,389	)		—	—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			21,618,925		(19,932,301	)		1,686,624	—		(986,476	)		700,148

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $1,379,072.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $135,439,000.

240 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

For the period ended June 30, 2014, the quarterly average values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure

	AQR DIVERSIFIED ARBITRAGE FUND		AQR LONG- SHORT EQUITY FUND		AQR GLOBAL MACRO FUND		AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND
Futures Contracts:
Average Notional Balance Long	$	—	$	4,477,339	$	122,471,680	$	17,706,940,696	$	413,336,827	$	23,061,502
Average Notional Balance Short		806,623,651		230,902		297,426,611		12,785,424,312		248,980,040		13,787,668
Ending Notional Balance Long		—		6,295,270		122,471,680		23,026,660,249		854,904,580		31,929,241
Ending Notional Balance Short		919,063,787		265,535		297,426,611		10,920,351,552		399,331,815		17,741,443
Forward Foreign Currency Exchange Contracts:
Average Settlement Value Purchased		29,129,889		2,261,017		23,198,750		10,246,800,387		219,205,365		—
Average Settlement Value Sold		107,555,401		162,916		23,381,088		9,779,252,340		193,179,050		—
Ending Value Purchased		26,330,147		2,952,678		23,198,750		9,945,946,208		383,286,019		—
Ending Value Sold		86,435,143		314,513		23,381,088		8,047,882,360		309,361,187		—
Exchange-Traded Options:
Average Number of Contracts Written		8,973		—		—		—		—		—
Ending Number of Contracts Written		9,179		—		—		—		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		334,733,333		—		—		—		—		—
Average Notional Balance—Sell Protection		116,037,500		—		—		—		—		—
Ending Notional Balance—Buy Protection		337,800,000		—		—		—		—		—
Ending Notional Balance—Sell Protection		26,325,000		—		—		—		—		—
Total Return Swaps:
Average Notional Balance Long		—		247,399		8,570,356		3,591,997,327		101,382,417		153,630,958
Average Notional Balance Short		—		—		4,249,310		1,879,832,879		49,777,408		85,481,527
Ending Notional Balance Long		—		292,290		8,570,356		5,033,426,846		225,882,886		224,089,510
Ending Notional Balance Short		—		—		4,249,310		1,433,445,731		73,744,204		105,895,519
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		—		205,113,930		—		—		—
Average Notional Balance—Receives Fixed rate		—		—		230,688,153		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		—		205,113,930		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		—		230,688,153		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		880,131,086		20,202,665		—		—		—		—
Average Notional of Underlying Positions—Short		669,115,474		18,720,528		—		—		—		—
Ending Notional Balance—Long		192,501,804		26,374,799		—		—		—		—
Ending Notional Balance—Short		63,136,474		24,542,996		—		—		—		—

AQR Funds Semi-Annual Report June 2014 241

Notes to Financial Statements (Unaudited) June 30, 2014

	AQR RISK PARITY FUND		AQR RISK PARITY II MV FUND		AQR RISK PARITY II HV FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE FUND
Futures Contracts:
Average Notional Balance Long	$	533,564,087	$	97,307,110	$	68,052,268	$	1,870,259,128	$	2,714,643,718
Average Notional Balance Short		78,540,888		8,736,513		6,002,131		2,812,394,881		1,886,552,005
Ending Notional Balance Long		347,799,166		145,769,562		83,880,133		1,852,722,581		3,363,605,304
Ending Notional Balance Short		—		13,108,978		7,804,786		2,880,438,119		1,857,954,270
Forward Foreign Currency Exchange Contracts:
Average Settlement Value Purchased		270,783,460		1,406,269		738,200		1,481,692,072		446,047,688
Average Settlement Value Sold		297,567,928		13,997,569		11,606,339		1,612,285,176		532,184,835
Ending Value Purchased		332,265,585		856,201		434,818		1,537,642,967		605,024,770
Ending Value Sold		315,799,332		19,407,860		13,953,201		1,573,634,574		707,625,132
Exchange-Traded Options:
Average Number of Contracts Written		—		—		—		1,432		—
Ending Number of Contracts Written		—		—		—		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		84,040,251		—		—		35,012,500		—
Average Notional Balance—Sell Protection		778,608,051		—		—		31,708,333		—
Ending Notional Balance—Buy Protection		1,500,000		—		—		9,200,000		—
Ending Notional Balance—Sell Protection		710,390,544		—		—		40,475,000		—
Total Return Swaps:
Average Notional Balance Long		1,043,260,917		55,721,503		62,362,460		761,244,619		528,446,499
Average Notional Balance Short		459,109,254		21,705,170		17,385,194		516,887,635		348,536,685
Ending Notional Balance Long		1,268,761,353		93,079,646		89,097,664		915,024,419		459,610,206
Ending Notional Balance Short		311,066,537		26,658,010		19,898,543		419,619,722		417,556,357
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		363,369,564		—		—		—		—
Average Notional Balance—Receives Fixed rate		659,397,730		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		143,938,678		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		415,339,968		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		1,960,551,540		630,375,552
Average Notional of Underlying Positions—Short		—		—		—		1,486,755,399		506,762,214
Ending Notional Balance—Long		—		—		—		1,991,258,356		731,992,216
Ending Notional Balance—Short		—		—		—		1,618,954,068		592,603,301

8. Investment Advisory and Other Agreements

The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, or an Investment Management Agreement, dated June 10, 2010, as amended, entered into by the Trust, on behalf of the Funds (together, the “Advisory Agreement”). Under the Advisory Agreement, the Advisor 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 Advisor 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 Advisor

242 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

provides persons satisfactory to the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor an Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:

FUND	RATIO
AQR Diversified Arbitrage Fund		1.00	%
AQR Long-Short Equity Fund		1.10
AQR Global Macro Fund		1.25
AQR Managed Futures Strategy Fund		1.05
AQR Managed Futures Strategy HV Fund		1.45
AQR Risk-Balanced Commodities Strategy Fund		0.80	*
AQR Risk Parity Fund		0.75	**
AQR Risk Parity II MV Fund		0.75	***
AQR Risk Parity II HV Fund		0.95	****
AQR Multi-Strategy Alternative Fund		1.80	*****
AQR Style Premia Alternative Fund		1.35

** 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 of net assets and the second tier charges 0.70% on net assets in excess of $1 billion.

*** The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion.

**** The AQR Risk Parity II HV Fund Advisory Fee is based on three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion.

Prior to May 1, 2014, the following Funds paid the Advisor an Advisory fee calculated on the average daily net assets for each Fund in the annual ratios below:

* The AQR Risk-Balanced Commodities Strategy Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion.

*** The AQR Risk Parity II MV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.50% on the first $1 billion of net assets; the second tier charges 0.475% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.45% on net assets in excess of $3 billion.

**** The AQR Risk Parity II HV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.70% on the first $1 billion of net assets; the second tier charges 0.675% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.65% on net assets in excess of $3 billion.

***** The AQR Multi-Strategy Alternative Fund Advisory Fee was based on the following two tier structure. The first tier charges 1.85% on the first $1 billion of net assets and the second tier charges 1.80% on net assets in excess of $1 billion.

AQR Funds Semi-Annual Report June 2014 243

Notes to Financial Statements (Unaudited) June 30, 2014

The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2015, unless otherwise noted. The Advisor 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 and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N
AQR Diversified Arbitrage Fund		1.20	%		1.50	%
AQR Long-Short Equity Fund		1.30			1.55
AQR Global Macro Fund*		1.45			1.70
AQR Managed Futures Strategy Fund		1.25			1.50
AQR Managed Futures Strategy HV Fund		1.65			1.90
AQR Risk-Balanced Commodities Strategy Fund		1.00			1.25
AQR Risk Parity Fund		0.95			1.20
AQR Risk Parity II MV Fund		0.95			1.20
AQR Risk Parity II HV Fund		1.15			1.40
AQR Multi-Strategy Alternative Fund		1.98			2.23
AQR Style Premia Alternative Fund		1.50			1.75

* This arrangement will continue at least through April 30, 2016 for Class I and Class N.

Prior to May 1, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Risk-Balanced Commodities Strategy Fund was as follows:

FUND	CLASS I			CLASS N
AQR Risk-Balanced Commodities Strategy Fund		1.05	%		1.30	%

For the period ended June 30, 2014 the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:

	AQR LONG SHORT EQUITY FUND		AQR GLOBAL MACRO FUND		AQR MANAGED FUTURES STRATEGY HV FUND		AQR RISK BALANCED COMMODITIES STRATEGY FUND
Waivers and reimbursements:
Investment advisory fees and shareholder servicing fees waived	$	60,364	$	59,796	$	100,783	$	80,404
Expense reimbursements		33,383		1,345		5,097		—
Total	$	93,747	$	61,141	$	105,880	$	80,404
	AQR RISK PARITY FUND		AQR RISK PARITY II MV FUND		AQR RISK PARITY II HV FUND		AQR MULTI-STRATEGY ALTERNATIVE FUND
Waivers and reimbursements:
Investment advisory fees and shareholder servicing fees waived	$	—	$	63,126	$	82,527	$	84,795
Expense reimbursements		793		—		—		13,301
Total	$	793	$	63,126	$	82,527	$	98,096

244 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

	AQR STYLE PREMIA ALTERNATIVE FUND
Waivers and reimbursements:
Investment advisory fees and shareholder servicing fees waived	$	—
Expense reimbursements		5,837
Total	$	5,837

The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. 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 when the waiver was generated. 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 Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.

For the period ended June 30, 2014, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at June 30, 2014 are as follows:

	FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED JUNE 30, 2014		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2014		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2014		2015		2016		2017
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	—	$	1,139,574	$	911,984	$	227,590	$	—	$	—
Class N		—		—		—		—		—		—
Totals	$	—	$	1,139,574	$	911,984	$	227,590	$	—	$	—
AQR LONG-SHORT EQUITY FUND
Class I	$	83,434	$	165,087	$	—	$	—	$	81,653	$	83,434
Class N		10,313		32,094		—		—		21,781		10,313
Totals	$	93,747	$	197,181	$	—	$	—	$	103,434	$	93,747
AQR GLOBAL MACRO FUND
Class I	$	58,772	$	58,772	$	—	$	—	$	—	$	58,772
Class N		2,369		2,369		—		—		—		2,369
Totals	$	61,141	$	61,141	$	—	$	—	$	—	$	61,141
AQR MANAGED FUTURES STRATEGY FUND
Class I	$	—	$	—	$	—	$	—	$	—	$	—
Class N		—		241,294		161,636		77,598		2,060		—
Totals	$	—	$	241,294	$	161,636	$	77,598	$	2,060	$	—

AQR Funds Semi-Annual Report June 2014 245

Notes to Financial Statements (Unaudited) June 30, 2014

	FEES WAIVED/ REMIBURSED FOR THE PERIOD ENDED JUNE 30, 2014		TOTAL POTENTIAL RECOUPMENT AMOUNT JUNE 30, 2014		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2014		2015		2016		2017
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	95,229	$	275,599	$	—	$	—	$	180,370	$	95,229
Class N		10,651		27,360		—		—		16,709		10,651
Totals	$	105,880	$	302,959	$	—	$	—	$	197,079	$	105,880
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	68,346	$	400,540	$	—	$	181,810	$	150,384	$	68,346
Class N		12,058		48,753		—		19,100		17,595		12,058
Totals	$	80,404	$	449,293	$	—	$	200,910	$	167,979	$	80,404
AQR RISK PARITY FUND
Class I	$	—	$	—	$	—	$	—	$	—	$	—
Class N		793		132,290		96,564		34,933		—		793
Totals	$	793	$	132,290	$	96,564	$	34,933	$	—	$	793
AQR RISK PARITY II MV FUND
Class I	$	50,928	$	284,119	$	—	$	102,338	$	130,853	$	50,928
Class N		12,198		84,158		—		13,557		58,403		12,198
Totals	$	63,126	$	368,277	$	—	$	115,895	$	189,256	$	63,126
AQR RISK PARITY II HV FUND
Class I	$	58,857	$	280,188	$	—	$	79,653	$	141,678	$	58,857
Class N		23,670		155,685		—		36,272		95,743		23,670
Totals	$	82,527	$	435,873	$	—	$	115,925	$	237,421	$	82,527
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	80,711	$	1,117,621	$	322,982	$	449,951	$	263,977	$	80,711
Class N		17,385		172,243		59,491		55,557		39,810		17,385
Totals	$	98,096	$	1,289,864	$	382,473	$	505,508	$	303,787	$	98,096
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	—	$	—	$	—	$	—	$	—	$	—
Class N		5,837		15,509		—		—		9,672		5,837
Totals	$	5,837	$	15,509	$	—	$	—	$	9,672	$	5,837

During the period ended June 30, 2014, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N
AQR Diversified Arbitrage Fund	$	87,780	$	—
AQR Managed Futures Strategy Fund		—		145,839
AQR Style Premia Alternative Fund	$	115,604	$	—

246 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

Pursuant to the Sub-Advisory Agreements between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% and 0.35% of the average daily nets assets for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.

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

State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund and the AQR Style Premia Alternative Fund.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

During the period ended June 30, 2014, the Advisor contributed $194,737 into the AQR Risk-Balanced Commodities Strategy Fund for a loss incurred due to a trade processing error. During the period ended June 30, 2014, the Advisor will contribute $2,459 and $1,630 into the AQR Diversified Arbitrage Fund and AQR Risk Parity Fund respectively, for the losses incurred due to the trade processing errors. The impact of the Advisor’s contributions on the Fund’s total return was immaterial. This amount has been included in realized gain (loss) on investments on the Statement of Operations.

9. Distribution Plan

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.

10. Shareholder Servicing Agreements

Prior to May 1, 2014, pursuant to a Shareholder Services Agreement between the Trust (excluding the AQR Diversified Arbitrage Fund, AQR Long-Short Equity Fund, AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund) and the Advisor, the Advisor provided a wide range of services to the Funds and their shareholders. These services included, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this agreement the Advisor received an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:

FUND	CLASS I			CLASS N
AQR Risk-Balanced Commodities Strategy Fund		0.25	%		0.25	%
AQR Risk Parity II MV Fund		0.25			0.25
AQR Risk Parity II HV Fund		0.25			0.25

In addition, the Advisor may, from time to time, have compensated third parties (including financial intermediaries) from the fees the Advisor 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, 2014, were as follows:

FUND	CLASS I		CLASS N
AQR Risk-Balanced Commodities Strategy Fund	$	25,097	$	3,443
AQR Risk Parity II MV Fund		35,487		7,119
AQR Risk Parity II HV Fund		22,288		7,985

Effective May 1, 2014, the AQR Risk-Balanced Commodities Strategy, the AQR Risk Parity II MV, and the AQR Risk Parity II HV Funds’ contractual advisory fee and shareholder servicing fee were bundled into one contractual management fee.

AQR Funds Semi-Annual Report June 2014 247

Notes to Financial Statements (Unaudited) June 30, 2014

11. Risks and Concentrations

The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and entering into other forms of direct and indirect borrowing.

There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limits access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be the Funds’ best interest to do so.

The counterparties to the Funds’ with respect to the following transactions: securities sold short, currency forward, futures, option and swap contracts and reverse repurchase agreements, include clearing brokers and other major financial institutions. While the Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held and transactions with a limited number of clearing brokers and counterparties.

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 U.S. 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.

The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined price at which the convertible security could be exchanged for the associated stock.

Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).

248 AQR Funds Semi-Annual Report June 2014

Notes to Financial Statements (Unaudited) June 30, 2014

Credit risk is the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status. The Funds’ investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends.

If a Fund invests in illiquid investments, it may experience difficulty in selling the investments in a timely manner at the price that it believes the investments are worth. In addition, market conditions may cause the Fund to experience temporary mark-to-market losses, especially in less liquid positions, even in the absence of any selling of investments by the Fund.

Each Fund is subject to market risk, which is the risk that the markets on which the Fund’s investments trade will increase or decrease in value. Market risk applies to every Fund investment. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. If there is a general decline in the securities and other markets, your investment in a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

A Fund may have investments that appreciate or decrease significantly in value over short periods of time. This volatility may cause the Fund’s net asset value per share to experience significant increases or declines in value over short periods of time.

Securities sold short represent obligations of the Fund to deliver specified securities at a future date and thereby create a liability to repurchase the securities at prevailing future market prices. Accordingly, these transactions result in off- balance-sheet risk as the Fund’s ultimate obligation to satisfy the sale of securities sold short may exceed the amount recognized in the Statement of Assets and Liabilities.

As of June 30, 2014, the AQR Diversified Arbitrage Fund and the AQR Style Premia Alternative Fund pledged a substantial portion of their assets for securities sold short to State Street Bank and Trust Company, and AQR Multi-Strategy Alternative Fund pledged a substantial portion of its assets for securities sold short to JPMorgan Chase Bank, N.A.

12. Line of Credit

Effective February 28, 2014 and terminating on February 27, 2015, the Trust had renewed a committed $200,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bore interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate or (ii) the Eurodollar Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Funds’ Prospectus and/or Registration Statement and did 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. In the event of a draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid in full. Funds with less than $25,000,000 in assets are ineligible to draw upon the line of credit. For the period ended June 30, 2014, the funds did not have any outstanding borrowings under this agreement.

13. Principal Ownership

As of June 30, 2014, the Funds had individual shareholder accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF SHAREHOLDERS		TOTAL PERCENTAGE INTEREST HELD
AQR Long-Short Equity Fund*		4		41.09	%
AQR Global Global Macro Fund*		4		89.49	%
AQR Risk Parity II MV Fund		1		43.34	%
AQR Risk Parity II HV Fund*		3		36.55	%
AQR Style Premia Alternative Fund		1		70.50	%

* A majority of the percentage shown is owned by the Advisor and its affiliates.

AQR Funds Semi-Annual Report June 2014 249

Notes to Financial Statements (Unaudited) June 30, 2014

Significant shareholder transactions by these shareholders, if any, may impact the Fund’s Performance.

14. New Accounting Pronouncements

In June 2014, the FASB issued ASU No. 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”), which improves the existing accounting and disclosure guidance on repurchase agreements and other transactions involving a transfer and a forward agreement to repurchase the transferred assets at a fixed price from the transferee to address application issues and changes in the marketplace and to ensure that investors obtain useful information about these transactions. The Funds are required to apply ASU 2014-11 for annual reporting periods beginning on or after December 15, 2014, and interim periods within those periods. Management is currently assessing the impact of ASU 2014-11 but does not believe the adoption will have a material impact on the Funds’ financial statements.

15. Subsequent Events

On July 25, 2014, one shareholder redeemed their investment in the AQR Style Premia Alternative Fund. The redemption represented 70.5% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $52,771,157. The realized gain (loss) associated with the portion redeemed in-kind was $19,331,459.

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that, other than the items listed above, there are no material events that would require accrual or disclosure.

250 AQR Funds Semi-Annual Report June 2014

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 Ending 6/30/14” 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 6/30/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/14
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$1,011.90		1.20	%		$5.99
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
Class N
Actual Return		$1,000.00		$1,011.00		1.43	%		$7.13
Hypothetical Return		$1,000.00		$1,017.70		1.43	%		$7.15
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$1,048.00		1.30	%		$6.60
Hypothetical Return		$1,000.00		$1,018.35		1.30	%		$6.51
Class N
Actual Return		$1,000.00		$1,046.00		1.55	%		$7.86
Hypothetical Return		$1,000.00		$1,017.11		1.55	%		$7.75

AQR Funds Semi-Annual Report June 2014 251

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/14
AQR Global Macro Fund
Class I (1)
Actual Return		$1,000.00		$965.00		1.45	%		$3.24	(a)
Hypothetical Return		$1,000.00		$1,017.60		1.45	%		$7.25
Class N (1)
Actual Return		$1,000.00		$965.00		1.70	%		$3.80	(a)
Hypothetical Return		$1,000.00		$1,016.36		1.70	%		$8.50
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$948.10		1.21	%		$5.84
Hypothetical Return		$1,000.00		$1,018.79		1.21	%		$6.06
Class N
Actual Return		$1,000.00		$946.70		1.50	%		$7.24
Hypothetical Return		$1,000.00		$1,017.36		1.50	%		$7.50
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$923.10		1.65	%		$7.87
Hypothetical Return		$1,000.00		$1,016.61		1.65	%		$8.25
Class N
Actual Return		$1,000.00		$922.20		1.90	%		$9.06
Hypothetical Return		$1,000.00		$1,015.37		1.90	%		$9.49
AQR Risk-Balanced Commodities Strategy Fund (b)
Class I
Actual Return		$1,000.00		$1,144.80		1.03	%		$5.48
Hypothetical Return		$1,000.00		$1,019.69		1.03	%		$5.16
Class N
Actual Return		$1,000.00		$1,142.70		1.27	%		$6.75
Hypothetical Return		$1,000.00		$1,018.50		1.27	%		$6.36
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$1,108.60		0.90	%		$4.71
Hypothetical Return		$1,000.00		$1,020.33		0.90	%		$4.51
Class N
Actual Return		$1,000.00		$1,107.80		1.20	%		$6.27
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$1,095.80		0.95	%		$4.94
Hypothetical Return		$1,000.00		$1,020.08		0.95	%		$4.76
Class N
Actual Return		$1,000.00		$1,095.10		1.20	%		$6.23
Hypothetical Return		$1,000.00		$1,018.84		1.20	%		$6.01

252 AQR Funds Semi-Annual Report June 2014

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/14
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$1,148.90		1.15	%		$6.13
Hypothetical Return		$1,000.00		$1,019.09		1.15	%		$5.76
Class N
Actual Return		$1,000.00		$1,147.10		1.40	%		$7.45
Hypothetical Return		$1,000.00		$1,017.85		1.40	%		$7.00
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$995.90		1.98	%		$9.80
Hypothetical Return		$1,000.00		$1,014.98		1.98	%		$9.89
Class N
Actual Return		$1,000.00		$994.90		2.23	%		$11.03
Hypothetical Return		$1,000.00		$1,013.74		2.23	%		$11.13
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$1,016.70		1.50	%		$7.50
Hypothetical Return		$1,000.00		$1,017.36		1.50	%		$7.50
Class N
Actual Return		$1,000.00		$1,015.70		1.75	%		$8.70
Hypothetical Return		$1,000.00		$1,016.17		1.75	%		$8.70

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).

(1) Commencment of operations was April 8, 2014.

(a) Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 80/365 (to reflect the one-half year period unless stated otherwise).

(b) Effective May1, 2014, the expense caps were changed for the Fund. Had these expense rates been in effect throughout the entire most recent fiscal half-year, the corresponding table above would have read as follows:

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 6/30/14		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 6/30/14
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$1,144.80		1.05	%		$5.58
Hypothetical Return		$1,000.00		$1,019.59		1.05	%		$5.26
Class N
Actual Return		$1,000.00		$1,142.70		1.30	%		$6.91
Hypothetical Return		$1,000.00		$1,018.35		1.30	%		$6.51

AQR Funds Semi-Annual Report June 2014 253

Board Approval of Investment Advisory Agreements (Unaudited)

AQR Global Macro Fund

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on February 20-21, 2014, to consider the approval of the Investment Management Agreement between the Trust, on behalf of the AQR Global Macro Fund (the “Fund”), and AQR Capital Management, LLC (“AQR”) (the “Investment Management Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate call in advance of the in person meeting held on February 20-21, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 20-21, 2014, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the Investment Management Agreement. These materials included: (1) memoranda and materials provided by AQR, describing the personnel and services to be provided to the Fund; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Management Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Fund’s proposed fees and expenses; (4) a discussion of the financial information of AQR; and (5) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Adviser,” as applicable.

At the in person meeting held on February 20-21, 2014, the Board, including the Independent Board Members, unanimously approved the Investment Management Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser 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 Fund; (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 Fund’s portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Fund 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 weightings 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 Investment Management Agreement:

The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the Fund under the Investment Management Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Fund’s stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the Fund, the Board Members took into account discussions they had with officers of the Adviser regarding the management of the Fund’s investments in accordance with the Fund’s stated investment objectives and policies and the types of transactions that would be entered into on behalf of the Fund. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the Fund’s investment strategies, their efficacy and potential risks.

In addition to the investment advisory services to be provided to the Fund, the Board Members considered that the Adviser also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Fund. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the Fund by the Adviser.

Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with independent legal counsel to discuss and consider the Investment Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the Fund by the Adviser pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the Fund.

254 AQR Funds Semi-Annual Report June 2014

Board Approval of Investment Advisory Agreements (Unaudited)

Investment Performance and the Adviser’s Portfolio Management. Because the Fund is newly formed, the Board did not consider the investment performance of the Fund. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser 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 Fund. The Board also considered the experience, resources and strengths of the Adviser with respect to the investment strategies proposed for the Fund. Based on these factors, the Board Members determined that the Adviser would be an appropriate investment adviser for the Fund.

The Advisory Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Fund to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the Fund.

To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for the Fund’s Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.

The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to Fund-related activities at an assumed asset level. The Board also 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.

The Board reviewed the Adviser’s unaudited financial information. 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 Fund and attract and retain high quality employees.

Based on their review of the materials presented at the Meetings, the Board concluded that the proposed management fees are reasonable.

Economies of Scale. Because the Fund is newly formed and had not commenced operations as of February 20-21, 2014, and the eventual aggregate amount of the Fund’s assets was uncertain, the Adviser was not able to provide the Board Members with specific information concerning the extent to which economies of scale would be realized as the Fund grows and whether fee levels would reflect such economies of scale, if any. The Adviser presented information to show that the fees were set at a level that is competitive relative to comparable funds of an anticipated size. 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 the 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 further enhance 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 Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s 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 proposed advisory fee rates, management fee rate and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the Fund, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the Investment Management Agreement with respect to the Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Semi-Annual Report June 2014 255

Investment Advisor

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Advisor

CNH Partners, LLC

Two Greenwich Plaza, 3rd 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

State Street Bank and Trust Company

One Lincoln Street

Boston, MA 02111

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 policies, experienced of its management, marketability of shares and other information.

AQR Funds

P.O. Box 2248, Denver, CO 80201-2248

p: +1.866.290.2688  ^|  w: 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 internal control over financial reporting.

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 29, 2014

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 29, 2014

By:	/s/ Heather Bonner
	Heather Bonner,
	Principal Financial Officer
Date:	August 29, 2014