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, 2015 to December 31, 2015

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.)

Annual Report

December 31, 2015

AQR Diversified Arbitrage Fund

AQR Equity Market Neutral Fund

AQR Global Macro Fund

AQR Long-Short Equity Fund

AQR Managed Futures Strategy Fund

AQR Managed Futures Strategy HV Fund

AQR Multi-Strategy Alternative Fund

AQR Risk-Balanced Commodities Strategy Fund

AQR Risk Parity Fund

AQR Risk Parity II HV Fund

AQR Risk Parity II MV Fund

AQR Style Premia Alternative Fund

AQR Style Premia Alternative LV Fund

Table of Contents

Shareholder Letters (unaudited)
AQR Diversified Arbitrage Fund	2
AQR Equity Market Neutral Fund	6
AQR Global Macro Fund	8
AQR Long-Short Equity Fund	11
AQR Managed Futures Strategy Fund	13
AQR Managed Futures Strategy HV Fund	16
AQR Multi-Strategy Alternative Fund	19
AQR Risk-Balanced Commodities Strategy Fund	21
AQR Risk Parity Fund	23
AQR Risk Parity II HV Fund	26
AQR Risk Parity II MV Fund	29
AQR Style Premia Alternative Fund	32
AQR Style Premia Alternative LV Fund	34
Schedule of Investments
AQR Diversified Arbitrage Fund	40
AQR Equity Market Neutral Fund	62
AQR Global Macro Fund	88
AQR Long-Short Equity Fund	105
AQR Managed Futures Strategy Fund	134
AQR Managed Futures Strategy HV Fund	146
AQR Multi-Strategy Alternative Fund	157
AQR Risk-Balanced Commodities Strategy Fund	222
AQR Risk Parity Fund	228
AQR Risk Parity II HV Fund	241
AQR Risk Parity II MV Fund	248
AQR Style Premia Alternative Fund	256
AQR Style Premia Alternative LV Fund	286
Financial Statements and Notes	315
Report of Independent Registered Public Accounting Firm	402
Other Federal Tax Information (unaudited)	403
Fund Expense Examples (unaudited)	404
Trustees and Officers (unaudited)	408
Board Approval of Investment Advisory Agreements (unaudited)	410

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Ronen Israel

Principal

Mark Mitchell Ph.D.

Founding Principal, CNH Partners

Lars Nielsen

Principal

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The AQR Diversified Arbitrage Fund (the “Fund”) invests in merger arbitrage, convertible arbitrage, and event-driven strategies. The investment process seeks to capture liquidity premia around corporate events and is implemented using corporate securities. Over the 2015 calendar year, the Fund returned -4.87%, for Class I. As described below, this loss was driven by negative contributions from investments in the Fund’s event-driven segment a result of the continued decline in commodity prices and increases in regulatory scrutiny around corporate restructurings. The negative contribution from event-driven investments was partially offset by a positive contribution from merger arbitrage. The Fund’s correlation with overall equity markets continues to be low. Based on monthly return data since its inception on January 15, 2009 through December 31, 2015, the Fund’s equity market beta (relative to the S&P 500^®) is 0.06, its annualized volatility is 2.7% and its sharpe ratio is 0.5.

Fund Description

Unlike textbook arbitrage where identical securities can simultaneously be bought and sold for different prices, corporate arbitrage investments involve the purchase and sale of similar but not identical securities at advantageous prices. For example, in merger arbitrage, the target stock can often be purchased for a price that is less than the merger consideration offered by the acquiring company. Arbitrageurs attempt to capture this difference by buying the target stock, and in the case of a stock merger, short-selling the acquirer’s stock. Similarly, in the case of convertible arbitrage, investors typically purchase a convertible bond at a price below fundamental value, and through short selling of the issuer’s common stock, effectively hedging the risk of the call option that is embedded in the convertible bond. Profits are generated when the market price of the bond increases relative to fundamental value.

Like merger arbitrage and convertible arbitrage, other strategies employed by the Fund involve the purchase of securities around corporate events at what we believe are discounts to their fundamental values. For every investment, an attempt is made to hedge the embedded systematic risk. Where there is no direct hedge for a purchased security, highly correlated indirect hedges are employed. For example, systematic equity market risk is hedged by shorting S&P futures. Similarly, credit market risk and interest rate risk are hedged using derivative contracts (credit default swap indices and Treasury futures). Although indirect hedges effectively mitigate systematic risk (e.g. beta), they expose the Fund to basis risk – the basket of securities purchased around corporate events do not necessarily move in lockstep with the hedging instruments.

Performance Attribution

The Fund’s 2015 performance was caused by a negative contribution from event-driven investments (-5.8%) partially offset by a positive contribution from merger arbitrage (+1.0%). Convertible arbitrage did not contribute, positively or negatively, to the Fund’s 2015 return. There were two underlying causes for the negative contribution from event-driven investments. The first involves commodity prices. For event-driven trades that focus on corporate bankruptcies and restructurings in commodity-focused industries, the significant and continuous decline in prices of the underlying commodities caused deterioration in recovery values. As a result, even secured corporate bonds that would normally receive a full recovery in a corporate restructuring suffered significant losses. This was especially true in the energy industry, but it was also true in other industries such as chemicals and paper. Large losses are not uncommon in event-driven investments. However, they are typically idiosyncratic in nature and are offset by idiosyncratic gains. In the global environment that has existed since the fourth quarter of 2014, the distribution of returns has been skewed to the downside with few positive outcomes.

The second underlying cause of the negative contribution from event-driven investments is related to regulatory developments. In 2014, the Obama administration announced that it was considering new regulations to dissuade companies from undertaking tax-inversion mergers whereby merging companies reduce their overall tax liabilities by incorporating in foreign countries with lower corporate tax rates. Beginning in late 2014, a number of mergers were adversely affected by the new

AQR Funds Annual Report December 2015

2

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

regulations. Along a similar vein, in 2015 the government signalled a possible change in the tax treatment of corporate spinoffs. Historically, corporations were able to separate lines of business without incurring taxes at the corporate level. However, in response to Yahoo!’s announced spinoff of its holdings in Alibaba Group, the government indicated that it may take a more aggressive view of the taxability of these types of corporate restructurings. This aggressive response by the government had a direct and significant effect on the Fund. One of the Fund’s largest positions is comprised of a long position in Yahoo! and short positions in Alibaba and Yahoo! Japan. However, when the government refused to grant Yahoo! a favorable tax ruling, Yahoo! cancelled the Alibaba spinoff causing the effective market price of the core internet assets to decline generating losses for the Fund. Ultimately we think that Yahoo! will successfully separate its core internet business from its holdings in Alibaba and Yahoo! Japan in a tax-efficient way, and when it does, the Fund’s position should appreciate.

Over 2015, merger arbitrage contributed +1.0% to the Fund’s return. Throughout the year, merger deal flow remained strong, nearly matching pre-financial-crisis levels, and merger spreads were wide. One might think that with strong deal flow and wide spreads, merger profits would be unusually strong. However, wide deal spreads often reflect heightened risk that announced mergers will fail to be consummated. There were two primary sources of deal failure risk in 2015, both related to government regulations. As suggested above, one involves tax inversion mergers where the government continues to modify rules in an attempt to make it less economically attractive for U.S. corporations to change their domiciles through mergers. The second source of risk is related to a more aggressive stance taken by U.S. anti-trust regulators. In a number of cases, the government filed suit to prevent parties from consummating mergers. Merging parties responded by either cancelling their mergers or opting to fight anti-trust authorities in court. As a result of the increase in regulatory risk, the median merger spread widened throughout 2015. At the beginning of the year, the median annualized merger spread was 5.5%. By the end of 2015, the median annualized spread had increased to 8.5%. Although a portion of the spread increase may have been caused by the combination of robust merger deal flow and insufficient arbitrage capital, a majority of the increase was likely caused by investors’ reactions to more aggressive merger regulation.

Unlike merger arbitrage, new deal flow in the convertible market was slow in 2015. Approximately $39 billion was issued in the domestic convertible market, a decrease from approximately $49 billion in each of the two prior years. On a net basis (new issues less retirements), the convertible market grew by approximately $10 billion in 2015, similar to the growth in 2014.

During 2015, we estimated the median difference between the market price and fundamental value (we refer to this difference as “cheapness”) for equity-sensitive convertible bonds increased from approximately 1.0% to 1.6%. Although it is difficult to know with certainty the underlying cause of convertible cheapening, it is likely related to activity in the high yield market. Convertible bonds richened moderately between January and May when high-yield corporate debt generated positive returns and then cheapened considerably between June and December when the high yield market generated negative returns. However, even with the net cheapening, other sources of value in the convertible strategy, namely dynamic hedging, portfolio rebalancing, and portfolio hedging offset the cheapening such that losses from convertible arbitrage were not realized over the year.

Looking Forward

2015 was a difficult year across corporate arbitrage strategies, particularly in the restructuring space. The Altman-Kuehne Defaulted Bond Index returned -39.5%, its second-worst year ever (2008 was the worst year). As a consequence, redemptions from event-driven funds were high and a number of hedge funds and mutual funds that follow event/restructuring strategies announced that they were ceasing operations. Although the selling associated with the cessation of operations put further pressure on prices and has amplified losses, it has produced two positive effects. First, price pressure caused by sellers’ demand for liquidity should revert causing a partial rebound in prices. More importantly, with fewer investors going forward, securities issued by companies involved in restructurings will be more attractively priced. In addition, given the copious amount of high-yield debt issued over the past several years, we expect the volume of restructuring opportunities to increase, particularly if the market volatility experienced during the first few weeks of 2016 continues. Recent market volatility is also creating opportunities in other strategies. Closed-end fund discounts have widened significantly as have yields on Special Purpose Acquisition Companies (SPACs). The increase in SPAC spreads is a particularly strong indication that the price of liquidity has increased.

The price of liquidity noted in the event-driven space is also affecting prices in the merger and convertible markets. As noted above, merger spreads widened significantly in 2015 and remain wide relative to recent history. Although merger spreads reflect heightened regulatory risk, currently wide spreads can be partially attributed to strong deal flow and reduced investor willingness to provide liquidity. Similarly, in the convertible market, the fundamental cheapness of convertible bonds has increased despite the extraordinarily slow new-issue market. This too is an indication that the price of liquidity has increased.

AQR Funds Annual Report December 2015

3

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

Opportunities in corporate arbitrage will be particularly attractive if deal flow remains robust. In the current environment, the convertible new-issue market is slow, but merger deal flow continues to be strong and we expect distressed opportunities across industries to be plentiful. Relative to prior years, we expect investment opportunities to be above average in 2016. Irrespective of where the Fund deploys capital in 2016, we will continue to hedge systematic equity, credit, and interest rate risk, with the intention of delivering uncorrelated positive returns.¹

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR DIVERSIFIED ARBITRAGE FUND
	1 Year			3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: ADAIX		-4.87%	*		-2.78%		-0.87%		1.31%		1/15/2009
Fund - Class N: ADANX		-5.04%	*		-3.00%		-1.11%		1.05%		1/15/2009
Fund - Class R6: QDARX		-4.74%	*		na		na		-7.90%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.96%, 2.20% and 2.02%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

¹  Note that the Fund utilizes various derivatives instruments (e.g., futures, options, forwards, and swaps), primarily to hedge systematic risks including credit risk and interest rate risk. While the purpose of employing derivatives instruments is to decrease the Fund’s overall risk, hedging instruments are imperfect tools and their effectiveness depends on the degree of price correlation between the derivative instruments and the assets being hedged. Imperfect correlation may be caused by several factors, including temporary price disparities between derivative markets and markets for the underlying assets.

AQR Funds Annual Report December 2015

4

Shareholder Letter (Unaudited)

AQR DIVERSIFIED ARBITRAGE FUND

AQR DIVERSIFIED ARBITRAGE FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 01/15/2009

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

5

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

Andrea Frazzini

Principal

Jacques Friedman

Principal

Lars Nielsen

Principal

Dear Shareholder:

The AQR Equity Market Neutral Fund (the “Fund”) seeks to provide investors with returns from potential gains of its long and short equity positions. The Fund is designed to be market- or beta-neutral, meaning the Fund seeks to achieve returns that are not closely correlated with the returns of the equity markets in which the Fund invests. Accordingly, the Fund, on average, intends to target a portfolio beta of zero over a normal business cycle.

Since the Fund targets a beta of zero, an appropriate benchmark is U.S. Treasury returns, which remain at near-zero levels. Since inception, the Fund handily outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, its benchmark, with the Class I shares returning 19.51% vs the benchmark return of 0.05% during this period.

Fund returns were driven by strong performance of most of our investment themes. Investor Sentiment, Stability, Country-Industry Pairs, and all of our Momentum-related themes (within industry, across industry and indirect Momentum) worked particularly well in 2015, with the exposure gained through the use of Total Return basket swaps. Valuation signals within and across industries underperformed slightly. These valuation themes tend to be negatively correlated with momentum signals. Geographically, stocks in the U.S. and Canada contributed the most to overall returns, while in Spain and the Netherlands stock selection detracted most from returns. At the sector level, the stock selection strategy worked best in industrials and energy in 2015.

The Fund ended the year with a highly diversified stock portfolio. Securities remained globally diversified with nearly 40% of the Fund invested outside of the U.S. The Fund does take small industry views. As of the end of the year, our largest sector overweights were in healthcare and information technology, while our largest underweights were in energy and utilities.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR EQUITY MARKET NEUTRAL FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QMNIX		17.60%		19.51%		10/7/2014
Fund - Class N: QMNNX		17.43%		19.31%		10/7/2014
Fund - Class R6: QMNRX		17.72%		19.63%		10/7/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 4.61%, 4.87% and 4.53%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

6

Shareholder Letter (Unaudited)

AQR EQUITY MARKET NEUTRAL FUND

AQR EQUITY MARKET NEUTRAL FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 10/07/2014

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

7

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

John Liew

Founding Principal

Michael Katz

Principal

Lars Nielsen

Principal

Jordan Brooks

Managing Director

David Kupersmith

Managing Director

Dear Shareholders:

The AQR Global Macro Fund (the “Fund”) invests across four liquid asset classes: fixed income, currencies, commodities and equities. Within each asset class, we take both relative value and directional positions. The strategy is long-term market-neutral, but can take directional views over the short term. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on attractiveness of opportunities within the different asset classes we trade. The Fund’s strategy trades predominately on macroeconomic news and trends, using a systematic, bottom-up approach that integrates both quantitative and discretionary trading signals.

Our investment philosophy is rooted in the insight that financial markets tend to underreact to macroeconomic news. This implies that macroeconomic news tends to have a persistent effect on asset prices. Our strategy seeks to take advantage of this tendency by investing across liquid markets on the basis of macroeconomic news and trends, an investment approach we call macro momentum. We form macro momentum views by evaluating both quantitative and discretionary indicators across a variety of dimensions, from growth and inflation to monetary policy and international trade. By integrating both quantitative and discretionary indicators of macro momentum in a bottom-up, risk-controlled portfolio construction, we capture the best features of both approaches while maintaining the benefits of a systematic and disciplined process.

With macro momentum at the core of our investment philosophy, we also consider price momentum, value and carry indicators. This multifactor approach provides a more holistic picture of each asset’s attractiveness than trading on macro momentum alone does. Macro momentum tends to drive asset positioning (long or short) in our portfolio, but the degree of agreement between macro momentum, on the one hand, and price momentum, value and carry, on the other, determines ultimate position sizing. Our bottom-up portfolio construction – in which we evaluate the attractiveness of each asset across a large number of dimensions – allows us to build a highly diversified portfolio.

The Fund’s benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, was up +0.05% over the course of 2015. The Fund outperformed this benchmark, with the Class I shares returning +1.71% net of fees on the year. The low, positive benchmark performance can be attributed to the general low rate environment over the course of 2015. The Fund performance across asset classes was mixed. The Fund experienced gains in commodities (up +2.93%) and currencies (developed currencies up +1.50% and emerging currencies up +0.63%). The Fund had losses in equities (developed equities down -1.81% and emerging equities down -0.01%) and fixed income (developed interest rates down -1.70%, yield curve -1.54% although somewhat offset by developed bonds that were up +1.65%). U.S. tactical asset allocation also contributed to returns, as the strategy was up +0.07% on the year.

Commodities

The Fund’s directional commodities strategies were the top contributor on the year. Gains were seen in the first, third and fourth quarters, largely driven by short positions in energy and agricultural commodity futures. The Fund held short Brent and WTI crude oil positions over the year based on downward revisions to growth and industrial production forecasts in commodity consuming countries such as China, U.S. dollar appreciation, unattractive carry, and negative price momentum. The Fund was short agricultural commodities also on downward revisions to growth forecasts in key commodity consuming countries, U.S. dollar appreciation, and negative longer-term price momentum. The sizing of our short views across these commodity markets was slightly reduced by attractive value. Short positions in Brent and WTI crude oil performed well, as global oil production remained elevated despite the drastic decline in crude prices from over $100 per barrel in mid-2014 to below $40 per barrel in 2015. Shale oil operations in the U.S., a segment of global production once thought to be highly dependent on elevated crude prices, managed to maintain production near peak levels. OPEC members not only failed to boost prices by cutting production quotas, but actually pushed their output further above previously agreed limits, adding to the glut of crude in global markets. Short positions in agricultural commodities performed well as weather was favorable in key growing regions, production was elevated and a stronger U.S. dollar weighed on export prospects.

AQR Funds Annual Report December 2015

8

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

Developed Bonds

Both directional and relative value bond strategies added to returns. Directional long views in U.K. gilts and Canadian government bonds performed well. The Fund was long U.K. gilts during the third quarter based on poor equity market performance and positive price momentum. Concerns over slower growth in China and other emerging markets boosted gilt prices during the period. The Fund was long Canadian government bonds over the year on negative earnings revisions, poor equity market performance, downward revisions to inflation and positive price momentum. This position performed well as the Bank of Canada responded to lower oil prices and related growth concerns by cutting its key policy rate twice, once in January and again in July. Short Australian and Japanese government bonds were top contributors within the relative value strategy. The Fund was short Australian bonds on poor carry and positive growth surprises. The Fund’s short in Japanese government bonds was driven by unattractive carry and valuation as well as equity market outperformance. Australian bonds underperformed over the fourth quarter on stronger than expected employment data released by the Australian Bureau of Statistics and a less dovish than expected Reserve Bank of Australia (RBA). The RBA kept its key policy rate unchanged at its November meeting, despite nearly half of surveyed economists expecting a rate cut. Japanese government bonds underperformed the cross section over the year as the Bank of Japan remained optimistic on reaching its inflation target without taking further easing measures.

Developed Currencies

The developed currency strategy was another meaningful contributor. Gains were seen in a long Japanese Yen position in the third quarter and a long Euro position in the second quarter. The Fund was long the Yen and Euro on improvements in terms of trade, aided by the fall in oil prices, positive twelve month equity market performance and attractive valuation. The Japanese Yen outperformed, with large gains seen in the third quarter. In addition to the Bank of Japan remaining optimistic on reaching its inflation target, worries over global growth during the third quarter led low-yielding currencies to outperform their high-yielding counterparts. After depreciating over the first quarter on the European Central Bank’s announcement of a larger than expected asset purchase program, the Euro rebounded in the second quarter as European growth data improved and inflation exceeded consensus forecasts.

Developed Equities

The largest detractor over the year was the developed equity strategies, with losses concentrated in the Fund’s relative value strategy. During the second quarter the Fund was long the German DAX Index and short the S&P 500 Index. The German DAX position was based on positive growth surprises and improved international trade, helped by a weaker Euro. The short S&P 500 view was driven by deteriorating exports, partially the result of a strengthening U.S. dollar, as well as elevated valuations. The overweight position in the German DAX detracted from performance due to uncertainty over Greek bailout negotiations and a rebound in the value of the Euro currency, which dampened the outlook for exporters which make up a meaningful portion of the index. The short position in the S&P 500 was also unprofitable, as a depreciating U.S. dollar and dovish guidance from the Federal Reserve (“Fed”) led to outperformance relative to other developed markets.

Developed Interest Rates

Another detractor was the developed interest rates strategy, with losses concentrated in the first and fourth quarters and mainly in the Fund’s relative value strategy. In the first quarter, a short view on Canadian interest rate futures was a large detractor. The short position was driven by equity market outperformance and unattractive value. Canadian interest rate futures outperformed over the quarter as the Bank of Canada surprised markets in January by cutting its key policy rate despite consensus forecasts for the central bank to remain on hold. Losses over the first quarter were partially offset by a long Swiss interest rate futures position. The Swiss National Bank surprised markets on January 15^th by removing its 1.20 Euro-Swiss franc FX floor and cutting its deposit rate to -0.75%. In the fourth quarter the Fund was long U.S. and U.K. interest rate futures. The U.S. view was supported by inflation forecasts being revised lower and negative inflation surprises, U.S. dollar appreciation and attractive value. The U.K. view was based on equity market underperformance, negative growth revisions and attractive value. The Fund’s long U.S. interest rate futures position detracted as the Fed came across more hawkish than expected at its October meeting, shifting market pricing to expect higher odds the Fed would hike at its December meeting. In line with these revised expectations, at its December meeting, the Fed hiked its key policy rate for the first time since 2006. U.K. interest rate futures also underperformed. Despite Bank of England (BOE) Governor Mark Carney signaling that the BOE was unlikely to follow the Fed in hiking rates due to low inflation in the U.K., Canadian and European interest rate futures outperformed the U.K. contracts. Lower oil prices helped to support Canadian interest rate futures and a more accommodative European Central Bank aided European interest rate futures.

AQR Funds Annual Report December 2015

9

Shareholder Letter (Unaudited)

AQR GLOBAL MACRO FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR GLOBAL MACRO FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QGMIX		1.71%		0.74%		4/8/2014
Fund - Class N: QGMNX		1.41%		0.45%		4/8/2014
Fund - Class R6: QGMRX		1.71%		3.15%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.30%, 2.55% and 2.08%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR GLOBAL MACRO FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 04/08/2014

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

10

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

Jacques Friedman

Principal

Lars Nielsen

Principal

Andrea Frazzini

Principal

Dear Shareholder:

The AQR Long-Short Equity Fund (the “Fund”) seeks to provide higher risk-adjusted returns with lower volatility relative to global equity markets. It does so using three different sources of return: 1) the potential gains from its long/short equity positions by entering into Total Return Basket Swaps, 2) overall exposure to equity markets, through the use of futures contracts, and 3) the tactical variation of its net exposure to equity markets. The strategy primarily seeks to add alpha via its long/short (market-neutral) stock portfolio. It also manages its beta relative to the MSCI World Index** (“MSCI World”) to a long-term target of 0.5, and within a shorter-term range of 0.3 to 0.7, depending on our market views.

Global developed equity markets performed negatively in 2015, driven primarily by expectations of slower growth in China and the underperformance of the energy sector. The Fund’s custom benchmark (0.5* MSCI World + 0.5* Bofa Merrill Lynch 3-Month U.S. Treasury Bill Index^SM) delivered slightly negative returns of -0.19% over this period. The Fund handily outperformed this benchmark, with the Class I shares returning 17.04%.

The stock selection strategy, through the use of Total Return basket swaps, contributed to the majority of the outperformance and returned 16.90% for the year. Returns were driven by the strong performance of nearly all of our investment themes. In particular, investor sentiment, stability, and all of our momentum investment themes contributed the most to positive returns. Conversely, valuation signals within and across industries underperformed. These valuation themes tend to be negatively correlated to momentum signals. Geographically, stocks in the U.S. and Canada contributed the most to overall returns, while Spanish and Italian stocks detracted slightly from performance. At the sector level, the stock selection strategy worked best in industrials and energy in 2015.

The Fund did not benefit from its static long-term beta exposure of 0.5 to the MSCI World, given this index’s negative performance. Our tactical market exposure (the desired deviation from a beta of 0.5) slightly contributed to outperformance.

The Fund ended the year with a highly diversified stock portfolio. Securities remained globally diversified, with nearly 40% of the Fund invested outside of the U.S. The stock selection strategy does take small industry views. As of the end of the year, our largest sector overweights were in healthcare and information technology, while our largest underweights were in energy and utilities.

Our tactical market view was positive at the end of the year and as a consequence, our ex-ante beta to the MSCI World was 0.6. This was mostly driven by favorable valuation and fundamental momentum indicators.

AQR Funds Annual Report December 2015

11

Shareholder Letter (Unaudited)

AQR LONG-SHORT EQUITY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR LONG-SHORT EQUITY FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QLEIX		17.04%		17.76%		7/16/2013
Fund - Class N: QLENX		16.79%		17.45%		7/16/2013
Fund - Class R6: QLERX		17.16%		17.86%		9/2/2014
50% MSCI World Index**/50% BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		-0.19%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.40%, 2.52% and 2.05%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR LONG-SHORT EQUITY FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 07/16/2013

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report December 2015

12

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Yao Hua Ooi

Principal

Ari Levine

Managing Director

Dear Shareholder:

The AQR Managed Futures Strategy Fund (the “Fund”) actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets. The Fund uses both short- and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.

In addition to trend-following signals, we also incorporate signals that seek to identify overextended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.

We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.

The strategy had another year of positive performance in 2015, with the Class I shares returning 2.00% versus a 0.05% return for its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM. The strategy outperformed the SG Trend Index, formerly the Newedge Trend Index, which returned +0.04% in 2015. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, on a gross basis, equities detracted -2.06%, fixed income contributed +0.28%, commodities contributed +5.05%, and currencies were roughly flat at +0.02%.

Several market themes that emerged in 2014 continued to shape the path markets took in 2015. One in particular was the divergence of central bank policy across various countries, which continued throughout 2015.

Most notably, the Federal Reserve (“Fed”) ended its quantitative easing program in late 2014, and in subsequent communications throughout 2015, reiterated the readiness of the U.S. economy for a rate hike sometime within the year. While acknowledging certain headwinds to the global economy, the Fed raised interest rates in December for the first time since 2006, justifying its action on the back of strong improvements in the U.S. labor market. In sharp contrast, the European Central Bank (“ECB”) took the opposite path, announcing a new and larger than expected 60 billion Euro per month asset purchase program in early 2015. Also early in the year, the Bank of Canada preemptively cut interest rates due to concerns regarding the impact of falling commodity prices on its economy. Other central banks joined the easing bias in 2015 including Australia, New Zealand, Singapore, India, Korea and China. In Japan, the government remained committed to continuing aggressive monetary policy and fiscal stimulus, as well as implementing structural reforms.

These divergent policy responses had significant influence on markets during the year. The Fed’s aim of hiking interest rates versus other countries’ easing bias fueled a continuation of 2014’s bullish trend in the U.S. dollar, which was among the strongest performing trends in 2015. Related to U.S. dollar strength, commodity prices continued to suffer significant declines in 2015, most notably in the energy sector. This was partially a U.S. dollar story, but perhaps more importantly global oil producers largely maintained, and in some cases increased, production despite falling prices, causing prices to fall further. Falling energy prices were in fact among the most consistent trends in 2015 and the strongest contributors to overall performance for the year.

In contrast to these key trends, most other markets responded to inherently unstable sentiment throughout 2015. In the first quarter for example, European equities and fixed income experienced strong rallies, only to give back some of their gains as issues concerning Greece took center stage, and as the prospect for rising rates in the U.S. became tangible in the second quarter. Additionally, the consistent path of monetary policy in Japan meant that at times the Yen depreciated due to monetary stimulus, while at others, it appreciated on safe-haven demand. The Euro exhibited similar dynamics, as

AQR Funds Annual Report December 2015

13

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

markets debated the degree of commitment to additional stimulus by the ECB. These shifts prompted reversals and generally hurt the strategy.

In the third quarter, global equities suffered their worst drawdown since 2011 due to fears that slowing growth in China and other large emerging markets might drag down global growth. These concerns intensified following the Chinese leadership’s surprise decision to allow the Renminbi to depreciate against the dollar on August 11^th, which caused large sell-offs in higher-yielding currencies, and risk assets more broadly. In the major risk-off episode of August, and the third quarter more generally, the strategy demonstrated its strong diversification potential with positive performance.

Transitioning into the fourth quarter, sentiment shifted again. As the Fed did not hike in September and the People’s Bank of China eased, riskier assets globally rallied strongly as markets entered a more accommodative environment. However, with the Fed raising interest rates in December for the first time since 2006, and the ECB disappointing markets with the pace of its stimulus measures in December, equities, fixed income and currencies experienced reversals yet again, creating a difficult environment for trend following.

Long-term trend-following signals outperformed short-term signals, contributing mainly due to short commodities positioning, and also from long positions in the U.S. dollar and in global fixed income markets. Short-term signals detracted however, performing negatively in every asset class as every asset class exhibited reversals at various points throughout the year. Over-extended signals contributed, as they helped the strategy navigate reversals in fixed income during the second quarter and in commodities in February and at the end of August.

The strategy’s average annualized volatility target is 10.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 8.4% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 8.2% as the trend environment continued to be varied for the assets the Fund trades at the end of the year.

Overall, given the degree to which market sentiment changed direction in 2015 across various asset classes, our strategy weathered a difficult environment for trend following and markets more broadly. The Fund notably outperformed the SG Trend Index. There are several factors we can point to which were likely helpful in 2015. First, unlike some competitors, we maintain a trend-following focused approach and avoid adding non-trend strategies, which can exhibit positive correlation to risky assets in weak market environments. Some of these non-trend strategies performed poorly in 2015. Second, our over-extended signals helped navigate certain periods of reversals, such as in fixed income in late-April and early-May. Some aspects of our approach did not help, such as trading non-U.S. dollar currency crosses, but we will continue to emphasize diversification as we believe it allows for better risk management and an improved long-run investor experience.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR MANAGED FUTURES STRATEGY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQMIX		2.00%		6.97%		3.37%		3.71%		1/5/2010
Fund - Class N: AQMNX		1.75%		6.68%		3.10%		3.44%		1/5/2010
Fund - Class R6: AQMRX		2.16%		na		na		11.40%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.26%, 1.53% and 1.19%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

14

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY FUND

AQR MANAGED FUTURES STRATEGY FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 01/05/2010

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

15

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

Cliff Asness

Managing & Founding Principal

John Liew

Founding Principal

Brian Hurst

Principal

Yao Hua Ooi

Principal

Ari Levine

Managing Director

Dear Shareholder:

The AQR Managed Futures Strategy HV Fund (the “Fund”) actively invests in futures and forward contracts both long and short across the global equity, fixed income, commodity and currency markets. The Fund uses both short- and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.

In addition to trend-following signals, we also incorporate signals that seek to identify overextended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.

We expect that the correlation of this strategy to the equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.

The Fund had another year of positive performance in 2015, with the Class I shares returning +2.48% versus a +0.05% return for its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM. By asset class, on a gross basis, equities detracted -3.15%, fixed income contributed +0.29%, commodities contributed +7.43%, and currencies detracted -0.37%. The strategy outperformed the SG Trend Index, formerly the Newedge Trend Index, which returned +0.04% in 2015. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds.

Overall, given the degree to which market sentiment changed direction in 2015 across various asset classes, our strategy weathered a difficult environment for trend following and markets more broadly. There are several factors we can point to for the positive results. We continually maintain a trend-following focused approach and avoid adding non-trend strategies, which can exhibit positive correlation to risky assets in weak market environments. Second, our over-extended signals helped navigate certain periods of reversals, such as in fixed income in late-April and early-May. Some aspects of our approach did not help, such as trading non-U.S. dollar currency crosses, however we will continue to emphasize diversification as we believe it allows for better risk management and an improved long-run investor experience.

Several market themes that emerged in 2014 continued to shape the path markets took in 2015. One in particular was the divergence of central bank policy across various countries, which continued throughout 2015.

Most notably, the Federal Reserve (“Fed”) ended its quantitative easing program in late 2014, and in subsequent communications throughout 2015, reiterated the readiness of the U.S. economy for a rate hike sometime within the year. While acknowledging certain headwinds to the global economy, the Fed raised interest rates in December for the first time since 2006, justifying its action on the back of strong improvements in the U.S. labor market. In sharp contrast, the European Central Bank (“ECB”) took the opposite path, announcing a new and larger than expected 60 billion Euro per month asset purchase program in early-2015. Also early in the year, the Bank of Canada preemptively cut interest rates due to concerns regarding the impact of falling commodity prices on its economy. Other central banks joined the easing bias in 2015 including Australia, New Zealand, Singapore, India, Korea and China. In Japan, the government remained committed to continuing aggressive monetary policy and fiscal stimulus, as well as implementing structural reforms.

These divergent policy responses had significant influence on markets during the year. The Fed’s aim of hiking interest rates versus other countries’ easing bias fueled a continuation of 2014’s bullish trend in the U.S. dollar, which was among the strongest performing trends in 2015. Related to U.S. dollar strength, commodity prices continued to suffer significant declines in 2015, most notably in the energy sector. This was partially a U.S. dollar story, but perhaps more importantly global oil producers largely maintained, and in some cases increased, production despite falling prices, causing prices to fall further. Falling energy prices were in fact among the most consistent trends in 2015 and the strongest contributors to overall performance for the year.

AQR Funds Annual Report December 2015

16

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

In contrast to these key trends, most other markets responded to inherently unstable sentiment throughout 2015. In the first quarter for example, European equities and fixed income experienced strong rallies, only to give back some of their gains as issues concerning Greece took center stage, and as the prospect for rising rates in the U.S. became tangible in the second quarter. Additionally, the consistent path of monetary policy in Japan meant that at times the Yen depreciated due to monetary stimulus, while at others, it appreciated on safe-haven demand. The Euro exhibited similar dynamics, as markets debated the degree of commitment to additional stimulus by the ECB. These shifts prompted reversals and generally hurt the strategy.

In the third quarter, global equities suffered their worst drawdown since 2011 due to fears that slowing growth in China and other large emerging markets might drag down global growth. These concerns intensified following the Chinese leadership’s surprise decision to allow the Renminbi to depreciate against the dollar on August 11^th, which caused large sell-offs in higher-yielding currencies, and risk assets more broadly. In the major risk-off episode of August, and the third quarter more generally, the strategy demonstrated its strong diversification potential with positive performance.

Transitioning into the fourth quarter, sentiment shifted again. As the Fed did not hike in September and the People’s Bank of China eased, riskier assets globally rallied strongly as markets entered a more accommodative environment. However, with the Fed raising interest rates in December for the first time since 2006, and the ECB disappointing markets with the pace of its stimulus measures in December, equities, fixed income and currencies experienced reversals yet again, creating a difficult environment for trend following.

Long-term trend-following signals outperformed short-term signals, contributing mainly due to short commodities positioning, and also from long positions in the U.S. dollar and in global fixed income markets. Short-term signals detracted however, performing negatively in every asset class as every asset class exhibited reversals at various points throughout the year. Over-extended signals contributed, as they helped the strategy navigate reversals in fixed income during the second quarter and in commodities in February and at the end of August.

The strategy’s average annualized volatility target is 15.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 12.5% volatility, due to conflicting long- and short-term signals in some assets. The Fund ended the year at a similar volatility level of 11.8% as the trend environment continued to be varied for the assets the Fund trades at the end of the year.

Overall, given the degree to which market sentiment changed direction in 2015 across various asset classes, our strategy weathered a difficult environment for trend following and markets more broadly. The Fund notably outperformed the SG Trend Index. There are several factors we can point to which were likely helpful in 2015. First, unlike some competitors, we maintain a trend-following focused approach and avoid adding non-trend strategies, which can exhibit positive correlation to risky assets in weak market environments. Some of these non-trend strategies performed poorly in 2015. Second, our over-extended signals helped navigate certain periods of reversals, such as in fixed income in late-April and early-May. Some aspects of our approach did not help, such as trading non-U.S. dollar currency crosses, but we will continue to emphasize diversification as we believe it allows for better risk management and an improved long-run investor experience.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR MANAGED FUTURES STRATEGY HV FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QMHIX		2.48%		10.24%		7/16/2013
Fund - Class N: QMHNX		2.19%		9.94%		7/16/2013
Fund - Class R6: QMHRX		2.54%		16.85%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.79%, 2.15% and 1.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

17

Shareholder Letter (Unaudited)

AQR MANAGED FUTURES STRATEGY HV FUND

AQR MANAGED FUTURES STRATEGY HV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 07/16/2013

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

18

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

John Liew

Founding Principal

Jacques Friedman

Principal

Ronen Israel

Principal

Lars Nielsen

Principal

Mark Mitchell, Ph.D.

Founding Principal, CNH Partners

Todd Pulvino, Ph.D.

Founding Principal, CNH Partners

Dear Shareholder:

The AQR Multi-Strategy Alternative Fund’s (the “Fund”) Class I shares returned 9.25% in 2015. For the year, the Fund realized 7.9% annualized daily volatility and a 0.0 correlation to equities. The Fund’s benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, had a slight positive return of 0.05%. The hedge fund industry, as measured by its representative indices, also posted modest losses, with the Credit Suisse Hedge Fund Index^SM (“CS Index”) gaining -0.70% and the HFRI^TM Fund Weighted Composite Index (“HFRI Index”) gaining -1.02% net of fees for the year. These indices had monthly correlations to global equities, as represented by the MSCI World Index**, of 0.7 and 0.9, respectively in the past 24 months.

Eight of the Fund’s nine strategies had positive results for the year. Stock selection strategies in aggregate were the largest source of profits, particularly the Dedicated Short Bias strategy. The Arbitrage and Macro strategy groups also contributed positively.

Following is a more detailed review of the performance of the categories with notable contributions.

Stock Selection Strategies – Dedicated Short Bias (+5.1%), Equity Market Neutral (+1.7%) and Long/Short Equity (+0.7%) were all strong contributors. The net effect of the directional components of Long/Short Equity and Dedicated Short Bias was slightly down (-0.2%), with the remaining stock selection gains all coming from market neutral themes within the three strategies. Nearly all of the underlying themes produced gains for the year. The largest thematic contributions, in descending order of magnitude, were investor sentiment, growth, high-risk, and valuation.

Event Driven (+1.0%) – Gains from mergers were not concentrated in any particular deal but rather were the product of numerous relatively small gains. In fact, the largest profit from any deal (Lorillard/Reynolds) was less than +0.2%. Gains from mergers were a function of a low rate of deal cancellations (10 of 237) and healthy median annualized spreads in the portfolio throughout the year, averaging about 8%. Relatively wide spreads were partially explained by the perception of increased regulatory risk. In this past year, deal volume increased 81% to a total volume of $880 billion, led by a number of “mega-deals”. These deals may have contributed to larger spreads as the arbitrage community may not have had the capacity or willingness to totally absorb their impact. Due to the low rate of deal cancellations, there were very few portfolio holdings that produced meaningful losses. In fact, Office Depot/Staples, a not-quite-dead-yet deal that was announced in February, lost -0.3% in 2015 and no other deal even lost half as much.

Managed Futures (+0.6%) – Trend following was profitable across asset classes with the exception of equity indices but short positioning across commodities, the result of both longer- and shorter-term trend signals, was virtually the sole driver of performance. Within commodities, energy contracts themselves produced +1.4% in gains, as WTI and Brent crude oil declined -30% and -35%, respectively, while industrial metals led by copper (-26.1%) produced smaller gains, and grains produced small losses while precious metals, softs and livestock were all relatively flat on the year. Equity indices lessened strategy gains by -0.5%, driven by fourth quarter losses as shorter-term trend signals struggled with indices that had dropped sharply in the third quarter and reversed course in October and November. Fixed income and currencies produced very modest gains.

** MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI.

AQR Funds Annual Report December 2015

19

Shareholder Letter (Unaudited)

AQR MULTI-STRATEGY ALTERNATIVE FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR MULTI-STRATEGY ALTERNATIVE FUND
	1 Year			3 Year		Since Inception		Date of Inception
Fund - Class I: ASAIX		9.25%			6.99%		4.59%		7/18/2011
Fund - Class N: ASANX		9.02%			6.72%		4.34%		7/18/2011
Fund - Class R6: QSARX		9.33%	*		na		11.97%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 3.68%, 3.97% and 3.23%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance

* Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 12/31/2015 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting.

AQR MULTI-STRATEGY ALTERNATIVE FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 07/18/2011

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

20

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Brian Hurst

Principal

Yao Hua Ooi

Principal

Ari Levine

Managing Director

Dear Shareholder:

The AQR Risk Balanced Commodities Fund’s (the “Fund”) Class I shares returned -19.48% in 2015, as commodities across the board experienced extreme sell-offs. Energies, in particular, exhibited significant declines, as West Texas Intermediate (“WTI”) and Brent crude fell -44% and -45%, respectively. The protracted decline was driven primarily by continued supply concerns as OPEC maintained its current production quota, U.S. inventory levels increased more than expected, and Russian production rose to a multi-decade high. Natural gas dropped -39% mainly on warmer weather. In addition, concerns about weaker demand, particularly in China, also fueled the decline in energies. Grains fell throughout 2015 on beneficial weather, diminishing export estimates, and a stronger dollar. Base metals also sold off, as copper and aluminum fell -25% and -22%, respectively. Continued demand weakness in China (the biggest user of industrial metals), which saw volatile financial markets and bearish economic data, contributed to losses in the sector. Precious metals declined in 2015 on US interest rate hikes by the Federal Reserve and a stronger dollar.

While the Class I shares declined -19.48% in 2015, the Fund’s benchmark, the Bloomberg Commodity Index^SM (“BCOM”) declined -24.66%, for an outperformance of 5.18% relative to the benchmark. This brings our three-year outperformance to 0.17% annualized, and our since inception underperformance to -0.07% annualized. We expect the Fund to outperform traditional passive indices over the long term, but in any given year we expect the Fund to average a sizable tracking error of about 10% per year to its benchmark.

The outperformance in 2015 relative to the passive BCOM benchmark was due to a number of fund features. The largest source of outperformance was our drawdown control process, which reduced the Fund’s long-run risk target throughout 2015 as all sectors declined. Although the Fund’s risk-targeted allocation detracted from relative performance since an average net exposure of greater than 100% is entailed in order to target steady volatility, this effect was mitigated by the Fund’s drawdown control process. Tactical models also contributed to relative performance, with gains driven primarily by bearish views on commodities as a whole. Another source of outperformance is the Fund’s risk-balanced strategic allocation, which is less exposed to energies than the passive benchmark. Given the significant declines in energies in 2015, the Fund’s sector allocation contributed significantly to relative outperformance.

The Fund began the year at a volatility target of 9.6%, reflecting a lowered strategic risk target due to drawdown control. Ultimately, at year-end, the volatility target of the Fund was 11.4%, reflecting both drawdown control and bearish tactical views on commodities.

The strategic portion of the portfolio returned -21.2% while tactical tilts added +1.8%. The strategic return in this attribution is the return to a long-only portfolio with risk-balanced sector weights and an annual volatility target of 18%. The tactical returns are the active returns to commodity over- and underweights relative to this strategic portfolio.

The main contributors to tactical performance were our bearish views across most sectors. Generally, fundamental and technical signals were bearish on commodities throughout 2015, when the asset class declined significantly across the board. In addition, within agricultural commodities, value and risk-premia metrics underweighted wheat, contributing meaningfully to performance, particularly in January, as wheat underperformed the sector.

At year-end, the Fund’s tactical positioning reflected bearish views on commodities as a whole due to technical and fundamental weakness. Specifically, trend-following signals contributed to underweights given the poor performance of the asset class in 2015. The Fund finished its third full year with unfortunately poor absolute returns. However, the Fund’s risk-balanced and active approach helped it to outperform the BCOM benchmark. While short term results can be noisy, in the long term we believe the Fund’s broader diversification, strong risk management and active commodity selection can ultimately deliver more steady volatility and strong returns across market environments.

AQR Funds Annual Report December 2015

21

Shareholder Letter (Unaudited)

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR RISK-BALANCED COMMODITIES STRATEGY FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: ARCIX		-19.48%		-17.12%		-15.26%		7/9/2012
Fund - Class N: ARCNX		-19.74%		-17.33%		-15.48%		7/9/2012
Fund - Class R6: QRCRX		-19.46%		na		-27.30%		9/2/2014
Bloomberg Commodity IndexSM		-24.66%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.40%, 1.65% and 1.38%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR RISK-BALANCED COMMODITIES STRATEGY FUND VS. BLOOMBERG COMMODITY INDEX^SM
VALUE OF $10,000 INVESTED ON 07/09/2012

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

22

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Managing Director

Dear Shareholder:

Through the use of derivatives such as futures and swaps, the AQR Risk Parity Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, nominal and inflation-linked government bonds, commodities, global credit, and emerging currencies – in an attempt to build a truly diversified portfolio where all markets matter, but no one market matters too much. Risk parity investing involves allocating to investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks, and enables the investor to remain invested through difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These tilts allow the portfolio to get over- and underweight a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.

The Fund is expected to remain long all of the markets in which it invests while averaging a moderate (below 0.5 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year at slightly above the 10% long-term average as bullish tactical views in equities and fixed income were not fully offset by bearish views in inflation-sensitive assets. By the end of the year the Fund’s volatility was below its long-term target due to bearish tactical views in fixed income, credit, and inflation-sensitive assets coupled with a fund-wide reduction in portfolio volatility as a result of risk management policies.

Total exposures ended the year lower than they began the year, primarily driven by a shift to bearish tactical tilts and the Fund’s risk management policies. Equity volatility rose on the year, peaking in August, causing a reduction in exposures required to target the same level of risk. Volatility in credit rose slightly while volatility in global bonds and commodities remained relatively flat on the year. Despite these changes, the Fund’s beta to the S&P 500^® at the end of 2014 and at the end of 2015 was 0.36. For the year ended December 31, 2015, the Fund’s Class I shares returned 8.10% and realized an annualized volatility of 9.1%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM returned 0.05% and a “60/40 benchmark” consisting of 60% S&P 500^®/40% Barclays^® U.S. Aggregate Bond Index returned 1.28% at an average realized volatility of 9.1%. The Fund’s net assets across all share classes were over $510 million at the end of 2015. The Fund experienced gains in one of the four major asset class buckets for the full year. To the net total return of -8.10% for 2015, fixed income contributed +0.9%, credit assets detracted -1.0%, equities detracted –1.8%, and inflation-sensitive assets detracted -6.2%. Tactical tilts contributed positively to performance in all asset classes except equities.

Equity risk detracted as markets fell sharply in August and September on concerns over slower Chinese growth and subsequently rebounded as fears eased in the fourth quarter on accommodative European Central Bank (ECB) rhetoric and better than expected economic data. Emerging markets significantly underperformed developed markets as Chinese growth slowed, commodity prices fell, and political uncertainty increased. Nominal bonds contributed over the year. Bond yields were up in most markets on the year, but returns were generally positive due to roll down and carry. Inflation-sensitive assets detracted significantly from the Fund, with losses coming from both commodities and inflation-linked bonds. Commodity markets were down substantially during the period, driven by excess production, weak demand, and a stronger U.S. dollar. Inflation-linked bonds detracted somewhat as inflation expectations fell in tandem with commodities. Credit spreads contributed and emerging currencies detracted on the year. European credit spreads held on to large gains from early in the year when the ECB was more accommodative than expected with its asset purchase program and economic data improved despite a less dovish ECB at the end of the year. U.S. credit spreads eked out small

AQR Funds Annual Report December 2015

23

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

gains despite widening spreads. Emerging currencies fell against the dollar, especially the Brazilian Real, which was hurt by lower commodity prices, worse than expected economic data and political uncertainty.

Tactical tilts in equities detracted from performance, driven mostly from trend reversals in the second half of the year. Fixed income active views contributed positively, driven by asset class timing underweights in the second quarter which offset strategic losses, as global bond prices fell. Tactical views in inflation-sensitive assets added significant value as trend-following and fundamental momentum timing signals kept commodities underweight throughout the year. Active tilts in credit assets contributed as bearish asset class timing views in the third quarter helped to mitigate loses. Going forward, the portfolio is tactically underweight in fixed income, credit assets, and inflation-sensitive assets and relatively neutral in equities.

Despite a disappointing year, we stand by our conviction in the Fund’s underlying premises and believe that it is a better long-term asset allocation strategy than a traditional equity-risk-centric allocation. It is inevitable that painful periods of underperformance such as the recent one can occur in a strategy that has a high tracking error to traditional allocations with only a modest (but valuable) edge. The great strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is still a sound one. Nothing about the past year (or past few years) would lead us to change our long-term beliefs and going forward, we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR RISK PARITY FUND
	1 Year		3 Year		5 Year		Since Inception		Date of Inception
Fund - Class I: AQRIX		-8.10%		-0.51%		3.46%		4.04%		9/29/2010
Fund - Class N: AQRNX		-8.20%		-0.77%		3.21%		3.78%		9/29/2010
Fund - Class R6: AQRRX		-8.00%		na		na		-8.89%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%
60% S&P 500®/40% Barclays® U.S. Aggregate Bond Index		1.28%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.93%, 1.23% and 0.89%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

24

Shareholder Letter (Unaudited)

AQR RISK PARITY FUND

AQR RISK PARITY FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM/ 60% S&P 500^®/
40% BARCLAYS^® U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 09/29/2010

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

25

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Managing Director

Dear Shareholder:

Through the use of derivatives such as futures and swaps, the AQR Risk Parity II HV Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, nominal and inflation-linked government bonds, and commodities – in an attempt to build a truly diversified portfolio where all markets matter, but no one market matters too much. Risk parity investing involves allocating to investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks, and enables the investor to remain invested through difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These tilts allow the portfolio to get over- and underweight a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.

The Fund is expected to remain long all of the markets in which it invests while averaging a moderate (below 0.7 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 15%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year close to the 15% long-term average as bullish tactical views in equities and fixed income were offset by bearish views in inflation-sensitive assets. By the end of the year the Fund’s volatility was below its long-term target due to bearish tactical views in fixed income and inflation-sensitive assets coupled with a fund-wide reduction in portfolio volatility as a result of risk management policies.

Total exposures ended the year lower than they began the year, primarily driven by a shift to bearish tactical tilts and the Fund’s risk management policies. Equity volatility rose on the year, peaking in August, causing a reduction in exposures required to target the same level of risk. Volatility in global bonds and commodities remained relatively flat on the year. With these changes, the Fund went from a 0.42 beta versus the S&P 500 Index at the end of 2014 to a 0.35 beta at the end of 2015. For the year ended December 31, 2015, the Fund’s Class I shares returned -13.33% and realized an annualized volatility of 12.7%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM returned 0.05% and a “60/40 benchmark” consisting of 60% S&P 500^®/40% Barclays^® U.S. Aggregate Bond Index returned 1.28% at an average realized volatility of 9.1%. The Fund’s net assets across all share classes were over $48 million at the end of 2015. The Fund experienced gains in one of the three major asset class buckets for the full year. To the net total return of -13.33% for 2015, fixed income contributed 1.3%, equities detracted –4.0%, and inflation-sensitive assets detracted -10.6%. Tactical tilts contributed positively to performance in all asset classes except equities.

Equity risk detracted as markets fell sharply in August and September on concerns over slower Chinese growth and subsequently rebounded as fears eased in the fourth quarter on accommodative European Central Bank (ECB) rhetoric and better than expected economic data. Emerging markets significantly underperformed developed markets as Chinese growth slowed, commodity prices fell, and political uncertainty increased. Nominal bonds contributed over the year. Bond yields were up in most markets on the year, but returns were generally positive due to roll down and carry. Inflation-sensitive assets detracted significantly from the Fund, with losses coming from both commodities and inflation-linked bonds. Commodity markets were down substantially during the period, driven by excess production, weak demand, and a stronger U.S. dollar. Inflation-linked bonds detracted somewhat as inflation expectations fell in tandem with commodities.

Tactical tilts in equities detracted from performance, driven mostly from trend reversals in the second half of the year. Fixed income active views contributed positively, driven by asset class timing underweights in the second quarter which offset strategic losses, as global bond prices fell. Tactical

AQR Funds Annual Report December 2015

26

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

views in inflation-sensitive assets added significant value as trend-following and fundamental momentum timing signals kept commodities underweight throughout the year. Going forward, the portfolio is tactically underweight in fixed income and inflation-sensitive assets and relatively neutral in equities.

Despite a disappointing year, we stand by our conviction in the Fund’s underlying premises and believe that it is a better long-term asset allocation strategy than a traditional equity-risk-centric allocation. It is inevitable that painful periods of underperformance such as the recent one can occur in a strategy that has a high tracking error to traditional allocations with only a modest (but valuable) edge. The great strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is still a sound one. Nothing about the past year (or past few years) would lead us to change our long-term beliefs and going forward, we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR RISK PARITY II HV FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QRHIX		-13.33%		-2.74%		-1.86%		11/5/2012
Fund - Class N: QRHNX		-13.64%		-3.02%		-2.15%		11/5/2012
Fund - Class R6: QRHRX		-13.42%		na		-13.74%		9/2/2014
BofA Merrill Lynch U.S. 3-Month Treasury Bill IndexSM		0.05%
60% S&P 500®/40% Barclays® U.S. Aggregate Bond Index		1.28%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.57%, 1.89% and 1.50%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

27

Shareholder Letter (Unaudited)

AQR RISK PARITY II HV FUND

AQR RISK PARITY II HV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM/ 60% S&P 500^®/
40% BARCLAYS^® U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 11/05/2012

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

28

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

John Liew

Founding Principal

Brian Hurst

Principal

Michael Mendelson

Principal

Yao Hua Ooi

Principal

John J. Huss

Managing Director

Dear Shareholder:

Through the use of derivatives such as futures and swaps, the AQR Risk Parity II MV Fund (the “Fund”) invests across a wide variety of global markets – including developed- and emerging-market equities, nominal and inflation-linked government bonds, and commodities – in an attempt to build a truly diversified portfolio where all markets matter, but no one market matters too much. Risk parity investing involves allocating to investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks, and enables the investor to remain invested through difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These tilts allow the portfolio to get over- and underweight a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.

The Fund is expected to remain long all of the markets in which it invests while averaging a moderate (below 0.5 on average) beta to the stock market over a full market cycle. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year close to the 10% long-term average as bullish tactical views in equities and fixed income were offset by bearish views in inflation-sensitive assets. By the end of the year the Fund’s volatility was below its long-term target due to bearish tactical views in fixed income and inflation-sensitive assets coupled with a fund-wide reduction in portfolio volatility as a result of risk management policies.

Total exposures ended the year lower than they began the year, primarily driven by a shift to bearish tactical tilts and the Fund’s risk management policies. Equity volatility rose on the year, peaking in August, causing a reduction in exposures required to target the same level of risk. Volatility in global bonds and commodities remained relatively flat on the year. Despite these changes, the Fund’s beta to the S&P 500^® at the end of 2014 and at the end of 2015 was 0.27. For the year ended December 31, 2015, the Fund’s Class I shares returned -8.77% and realized an annualized volatility of 8.6%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM returned 0.05% and a “60/40 benchmark” consisting of 60% S&P 500^®/40% Barclays^® U.S. Aggregate Bond Index returned 1.28% at an average realized volatility of 9.1%. The Fund’s net assets across all share classes were over $90 million at the end of 2015. The Fund experienced gains in one of the three major asset class buckets for the full year. To the net total return of -8.77% for 2015, fixed income contributed +0.9%, equities detracted –2.5%, and inflation-sensitive assets detracted -7.2%. Tactical tilts contributed positively to performance in all asset classes except equities.

Equity risk detracted as markets fell sharply in August and September on concerns over slower Chinese growth and subsequently rebounded as fears eased in the fourth quarter on accommodative European Central Bank (ECB) rhetoric and better than expected economic data. Emerging markets significantly underperformed developed markets as Chinese growth slowed, commodity prices fell, and political uncertainty increased. Nominal bonds contributed over the year. Bond yields were up in most markets on the year, but returns were generally positive due to roll down and carry. Inflation-sensitive assets detracted significantly from the Fund, with losses coming from both commodities and inflation-linked bonds. Commodity markets were down substantially during the period, driven by excess production, weak demand, and a stronger U.S. dollar. Inflation-linked bonds detracted somewhat as inflation expectations fell in tandem with commodities.

Tactical tilts in equities detracted from performance, driven mostly from trend reversals in the second half of the year. Fixed income active views contributed positively, driven by asset class timing underweights in the second quarter which offset strategic losses, as global bond prices fell. Tactical views in inflation-sensitive assets added significant value as trend-following and fundamental

AQR Funds Annual Report December 2015

29

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

momentum timing signals kept commodities underweight throughout the year. Going forward, the portfolio is tactically underweight in fixed income and inflation-sensitive assets and relatively neutral in equities.

Despite a disappointing year, we stand by our conviction in the Fund’s underlying premises and believe that it is a better long-term asset allocation strategy than a traditional equity-risk-centric allocation. It is inevitable that painful periods of underperformance such as the recent one can occur in a strategy that has a high tracking error to traditional allocations with only a modest (but valuable) edge. The great strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is still a sound one. Nothing about the past year (or past few years) would lead us to change our long-term beliefs and going forward, we remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR RISK PARITY II MV FUND
	1 Year		3 Year		Since Inception		Date of Inception
Fund - Class I: QRMIX		-8.77%		-1.51%		-0.88%		11/5/2012
Fund - Class N: QRMNX		-8.94%		-1.75%		-1.14%		11/5/2012
Fund - Class R6: QRMRX		-8.59%		na		-8.97%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%
60% S&P 500®/40% Barclays® U.S. Aggregate Bond Index		1.28%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.15%, 1.47% and 1.06%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

30

Shareholder Letter (Unaudited)

AQR RISK PARITY II MV FUND

AQR RISK PARITY II MV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM/ 60% S&P 500^®/
40% BARCLAYS^® U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 11/05/2012

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

31

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Andrea Frazzini

Principal

Michael Katz

Principal

Dear Shareholder:

The AQR Style Premia Alternative Fund (the “Fund”), which targets 10% annual volatility, returned 8.76% (Class I shares) in 2015. The Fund’s benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM, had a slight positive return of 0.05% over this period. We invest long and short across six different asset groups: stocks of major developed markets, country indices, bond futures, interest rate futures, currencies and commodities. We employ market-neutral, long-short strategies across these asset groups based on four investment styles:

Value – the tendency for relatively cheap assets to outperform relatively expensive ones

Momentum – the tendency for an asset’s recent relative performance to continue in the future

Carry – the tendency for higher-yielding assets to provide higher returns than lower-yielding assets

Defensive – the tendency for lower-risk and higher-quality assets to generate higher risk-adjusted returns

Each of these styles have historically had low correlations to one another, so we expect them to be profitable at different times for different reasons. Thus, a portfolio combining all four of them seeks to benefit from their expected low correlations to one another and could help provide a more robust, dependable stream of returns.

Two of the Fund’s four styles had positive results for the period. Defensive was the top contributor, with gains coming primarily from stock & industry selection. Value also contributed with profits in equity indices, commodities, and fixed income. Momentum and Carry detracted from performance. Momentum detracted in fixed income, equity indices, and commodities but produced partially offsetting gains from stocks & industry selection. Carry detracted in commodities and currencies.

Positive performance was almost entirely driven by stocks and industries while commodities also contributed meaningfully. Currencies, fixed income, and to a lesser degree equity indices detracted, offsetting some of the gains. Gains in stocks & industries were largely driven by gains from Defensive but Momentum also contributed. Offsetting some of these gains were losses from Value. Commodity gains were solely due to Value as Momentum and Carry both detracted. Losses in currencies came from Carry and Value while Momentum was flat. Conversely, losses in fixed income came from Momentum which were offset by gains in Carry, Value and Defensive.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR STYLE PREMIA ALTERNATIVE FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QSPIX		8.76%		11.23%		10/30/2013
Fund - Class N: QSPNX		8.50%		10.99%		10/30/2013
Fund - Class R6: QSPRX		8.80%		12.65%		9/2/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.61%, 2.97% and 2.62%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

32

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE FUND

AQR STYLE PREMIA ALTERNATIVE FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 10/30/2013

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

33

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

Jacques Friedman

Principal

Ronen Israel

Principal

Andrea Frazzini

Principal

Michael Katz

Principal

Dear Shareholder:

The AQR Style Premia Alternative LV Fund (the “Fund”), which targets 5% annual volatility, returned 4.02% (Class I shares) in 2015. The Fund’s benchmark, the BofA Merrill Lynch 3-Month U.S Treasury Bill Index^SM, had a slight positive return of 0.05% over this period. We invest long and short across six different asset groups: stocks of major developed markets, country indices, bond futures, interest rate futures, currencies and commodities. We employ market-neutral, long-short strategies across these asset groups based on four investment styles:

Value – the tendency for relatively cheap assets to outperform relatively expensive ones

Momentum – the tendency for an asset’s recent relative performance to continue in the future

Carry – the tendency for higher-yielding assets to provide higher returns than lower-yielding assets

Defensive – the tendency for lower-risk and higher-quality assets to generate higher risk-adjusted returns

Each of these styles have historically had low correlations to one another, so we expect them to be profitable at different times for different reasons. Thus, a portfolio combining all four of them seeks to benefit from their expected low correlations to one another and could help provide a more robust, dependable stream of returns.

Two of the Fund’s four styles had positive results for the period. Defensive was the top contributor, with gains coming primarily from stock & industry selection. Value also contributed with profits in equity indices, commodities, and fixed income. Momentum and Carry detracted from performance. Momentum detracted in fixed income, equity indices, and commodities but produced partially offsetting gains from stocks & industry selection. Carry detracted in commodities and currencies.

Positive performance was almost entirely driven by stocks and industries while commodities also contributed. Currencies and fixed income detracted, offsetting some of the gains. Gains in stocks & industries were largely driven by gains from Defensive but Momentum also contributed meaningfully. Offsetting some of these gains were losses from Value. Commodity gains were solely due to Value as Momentum and Carry both detracted. Losses in currencies came from Carry and Value while Momentum was flat. Conversely, losses in fixed income came from Momentum which were offset by gains in Carry, Value and Defensive.

AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2015 AQR STYLE PREMIA ALTERNATIVE LV FUND
	1 Year		Since Inception		Date of Inception
Fund - Class I: QSLIX		4.02%		5.56%		9/17/2014
Fund - Class N: QSLNX		3.85%		5.32%		9/17/2014
Fund - Class R6: QSLRX		4.23%		5.65%		9/17/2014
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM		0.05%

Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.54%, 1.97% and 1.80%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.

AQR Funds Annual Report December 2015

34

Shareholder Letter (Unaudited)

AQR STYLE PREMIA ALTERNATIVE LV FUND

AQR STYLE PREMIA ALTERNATIVE LV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX^SM
VALUE OF $10,000 INVESTED ON 09/17/2014

The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.

AQR Funds Annual Report December 2015

35

Shareholder Letter (Unaudited)

RISK FACTORS:

AQR Diversified Arbitrage Fund: As the Fund employs arbitrage and alternative strategies, the Fund has the risk that the anticipated opportunites do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. The Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The use of derivatives, including forward and futures contracts and swap agreements, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser or Sub-Adviser. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. The Fund may invest in securities rated below investment grade which are high risk investments that may cause income and principal losses for the Fund. The Fund may invest in illiquid instruments which may be difficult to sell in a timely manner at the price that it believes the investments are worth. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Global Macro Fund: The use of derivatives, including forward and futures contracts, options and swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. The Fund may have exposure to the securities of small and mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Long-Short Equity Fund and AQR Equity Market Neutral Fund: The use of derivatives, including futures and forward contracts, options and swap agreements, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. A Fund may also take a short position in a derivative instrument, which involved the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of small or mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.

AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. A Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations,

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Shareholder Letter (Unaudited)

political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.

AQR Risk-Balanced Commodities Strategy Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund may take a short position in a derivative instrument, which involves the risk of a theoretically unlimited increase in the value of the underlying instrument. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. A Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. A Fund may have exposure to the securities of small and mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.

AQR Multi-Strategy Alternative Fund: The use of derivatives, including forward and futures contracts, swap agreements and exposure to the commodities markets, exposes the Fund to additional risks including increased volatility, lack of liquidity, and possible losses greater than the Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risk, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. The Fund employs arbitrage and alternative strategies, which carry the risk that the anticipated opportunities do not play out as planned, resulting in potentially reduced returns or losses to the Fund as it unwinds its trades. This Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. The Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. When investing in or gaining exposure to bonds, yield and share price will vary with changes in interest rates and market conditions. The Fund may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser or Sub-Adviser. There is also a chance that some of the Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. This Fund is not suitable for all investors.

AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund: The use of derivatives, including futures and forward contracts, options and swap agreements and exposure to the commodities markets, exposes the Funds to additional risks including increased volatility, lack of liquidity, and possible losses greater than a Fund’s initial investment as well as increased transaction costs. Derivative contracts involve exposure to counterparty credit risks, which refers to the possibility that the counterparty to a derivative instrument will not be able to make principal and interest payments when due. A Fund enters into a short sale by selling a security it has borrowed. If the market price of a security increases after the Fund borrows the security, the Fund will suffer a potentially unlimited loss when it replaces the borrowed security at the higher price. A Fund may also take a short position in a derivative instrument, which involves the risk of theoretically unlimited increase in the value of the underlying instrument. Short sales also involve transaction and other costs that will reduce potential Fund gains and increase potential Fund losses. The Funds may have exposure to the securities of mid-cap companies, the prices of which are generally more volatile than those of larger capitalization companies. When investing in or gaining exposure to bonds,

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Shareholder Letter (Unaudited)

yield and share price will vary with changes in interest rates and market conditions. The Funds may lose money if short-term or long-term interest rates rise sharply or otherwise change in a manner not anticipated by the Fund’s Adviser. There is also a chance that some of a Fund’s holdings may have their credit rating downgraded or may default. Emerging market and foreign investing involves special risks such as currency fluctuations, political uncertainty, differences in generally accepted accounting principles, increased volatility and lower trading volume. These Funds are not suitable for all investors.

An investment in any of the AQR Funds listed above (the ”Funds”) involves risk, including loss of principal. Diversification does not eliminate this risk. The value of the Funds’ portfolio holdings may fluctuate in response to events specific to the companies in which the Fund invests, as well as economic, political or social events in the United States or abroad.

The Funds (other than the AQR Diversified Arbitrage Fund, the AQR Long-Short Equity Fund and the AQR Equity Market Neutral Fund) are each a non-diversified fund. Because these Funds may invest in securities of a smaller number of issuers, the Fund may be more exposed to the risks associated with and developments affecting an individual issuer than a fund that invests more widely, which may therefore have a greater impact on the Fund’s performance. The Funds (other than the AQR Diversified Arbitrage Fund, the AQR Long-Short Equity Fund and the AQR Equity Market Neutral Fund) also invest in a wholly-owned and controlled subsidiary and are indirectly exposed to the risks associated with the subsidiary’s investments. The Funds from time to time employ various hedging techniques, it is not possible to hedge fully or perfectly against any risk, and hedging entails its own costs.

An investor considering the Funds should be able to tolerate potentially wide price fluctuations. The Funds are subject to high portfolio turnover risk as a result of frequent trading, and thus will incur a higher level of brokerage fees and commissions and cause a higher level of tax liability to shareholders in the funds. The AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund may attempt to increase their income or total return through the use of securities lending, and they may be subject to the possibility of additional loss as a result of this investment technique.

Please refer to each Fund’s prospectus for complete information regarding the principal risks associated with the Funds.

DEFINITIONS:

Accommodative Monetary Policy: An accommodative monetary policy is one where the central bank increases the money supply, typically by lowering interest rates and/or purchasing financial assets, in an attempt to stimulate the economy.

Alpha: is a measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a mutual fund and compares its risk-adjusted performance to a benchmark index. The excess return of the fund relative to the return of the benchmark index is a fund’s alpha.

Barclays^® U.S. Aggregate Bond Index: is a broad-based bond index comprised of government, corporate, mortgage and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. Indexes are unmanaged and one cannot invest directly in an index.

Bearish: A belief that a particular security, sector or the overall market will fall.

Beta: is a measure of volatility of a security or portfolio in comparison to an index or the market as a whole. A beta of 1.0 means the security or portfolio will generally move in tandem with the index or market it is being compared to. A beta greater than 1.0 means the security or portfolio will be more volatile and a beta less than 1.0 means the security or portfolio will be less volatile than the index or market it is being compared to.

Bloomberg Commodity Index^SM: is a broad-based index used to represent the most frequently-traded global commodity futures. It was formally known as the Dow Jones – UBS Commodity Index. Indexes are unmanaged and one cannot invest directly in an index.

BofA Merrill Lynch 3-Month U.S. Treasury Bill Index^SM: is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.

Bullish: A belief that a particular security, sector or the overall market will rise.

Bund: Is the German equivalent of a U.S. Treasury Bond.

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Shareholder Letter (Unaudited)

Carry: The return obtained from holding an asset (if positive), or the cost of holding it (if negative).

Contagion: The likelihood that significant economic changes in one country will spread to other countries.

Correlation: is computed into what is known as the correlation coefficient, which ranges between -1 and +1. Perfect positive correlation (+1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, perfect negative correlation (-1) means that if one security moves in either direction the security that is perfectly negatively correlated will move in the opposite direction. If the correlation is 0, the movements of the securities are said to have no correlation; they are completely random.

Credit: This strategy purchases attractively priced securities on a hedged basis, typically around event induced capital flows.

Credit Default Swap contracts: is designed to transfer the credit exposure of fixed income products between parties.

Credit Suisse Hedge Fund Index^SM: is an asset-weighted benchmark that seeks to measure hedge fund performance and provide the most accurate representation of the hedge fund universe. Indexes are unmanaged and one cannot invest directly in an index.

Futures and Forwards contracts: A financial contract obligating the buyer to purchase an asset (or the seller to sell an asset) at a pre-determined future date and price.

Gilt: Is the U.K. equivalent of a U.S. Treasury Bond.

HFRI^TM Fund Weighted Composite Index: is a global, equal-weighted index of over 2,000 single-manager funds.

Macroeconomics: is focused on the movement and trends of the whole economy as a whole, including changes such as unemployment, national income, rate of growth, GDP, inflation and price levels.

Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the past relative to other assets in the same universe.

MSCI World Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, including the United States and Canada. Indexes are unmanaged and one cannot invest directly in an index.

NASDAQ Index: is a capitalization weighted index designed to measure performance of the more than 3,000 common stocks representing all major industries. Indexes are unmanaged and one cannot invest directly in an index.

Profitability: An investment style wherein an asset as certain identifiable characteristics including, profit margin, asset efficiency, leverage and earnings variability.

S&P 500^®: is a capitalization weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Indexes are unmanaged and one cannot invest directly in an index.

SG CTA Index: The Societe General (SG) CTA index follows traders of trend following methodologies. The SG CTA Index is equal weighted, calculates the net daily rate of return for a pool of commodity trading advisors (CTAs) selected from the larger managers open to new investment. Indexes are unmanaged and one cannot invest directly in an index.

Sharpe Ratio: is a ratio which measures risk-adjusted performance.

Tail Risk: The risk of larger or more frequent losses than would be expected if returns to an asset or portfolio followed a normal distribution.

Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.

Valuation: A process of determining the current worth of an asset or company.

Volatility: is a statistical measurement of up and down asset price fluctuations over time. If an asset has rapid dramatic price swings, its “volatility” will likely be relatively high. If prices are consistent and rarely change, “volatility” of that asset will likely be relatively low. “Volatility” can be measured as the standard deviation of an asset with a specific time horizon. It is often used to quantify the risk of such asset over a time period, typically expressed in annualized terms.

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Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

LONG INVESTMENTS - 136.0%	SHARES		VALUE (Note 5)
COMMON STOCKS - 31.4%
Communications - 0.0% (a)
FriendFinder Networks, Inc. (3)†(b)		6,483	$	177,657
Consumer Discretionary - 1.4%
Barnes & Noble Education, Inc. †(c)		55,476		551,986
China Networks International Holdings Ltd. (2)†		2,287,278		114,364
DEMC Ltd., Class A (3)†(b)		13,027		130,269
DEMC Ltd., Class B (3)†(b)		10,488		—
Education Management Corp. (3)†(b)		26,919,323		1,766,446
Exide Technologies (3)†(b)		198,814		31,383
Expedia, Inc.		16		1,989
General Motors Co. (n)		165		5,612
MSG Networks, Inc., Class A †(c)		27,418		570,294
News Corp., Class A (c)		39,762		531,220
Pep Boys - Manny Moe & Jack/The †		5,550		102,176
Sequential Brands Group, Inc. †(c)		200,229		1,583,809
Time Warner Cable, Inc.		25,524		4,736,999
Twenty-First Century Fox, Inc., Class A (c)		116,821		3,172,858
			13,299,405
Consumer Staples - 0.1%
Herbalife Ltd. †(c)		12,094		648,480
Energy - 0.0% (a)
Energy Fuels, Inc. (Canada) †		14,400		42,668
Financials - 20.8%
1347 Capital Corp. †*(c)		420,504		4,141,964
Acasta Enterprises, Inc., Class A (Canada) (2)†		733,170		5,033,689
Alignvest Acquisition Corp., Class A (Canada) †		890,000		6,303,390
AR Capital Acquisition Corp. †		905,000		8,805,650
Arowana, Inc. (Australia) †*		787,920		7,737,374
Atlantic Alliance Partnership Corp. (2)†		450,000		4,549,500
Bank of Cyprus PCL (Cyprus) (2)†		64,254,993		10,261,179
Barington/Hilco Acquisition Corp. (2)†*		487,260		4,775,148
Boulevard Acquisition Corp. II †		1,047,480		10,370,052
Capitol Acquisition Corp. III †		125,000		1,195,000
Care Capital Properties, Inc. REIT (c)		19,569		598,224
CB Pharma Acquisition Corp. †*		325,500		3,238,725
Deutsche Wohnen AG (Germany) (2)		49,778		1,376,452
DT Asia Investments Ltd. (Hong Kong) (2)†		209,241		2,090,318
Dundee Acquisition Ltd., Class A (Canada) (2)†*		1,260,000		8,769,097
Easterly Acquisition Corp. †		1,146,500		11,350,350
Federal Home Loan Mortgage Corp. †		160,324		259,725
Federal National Mortgage Association †		56,433		92,550
FinTech Acquisition Corp. (2)†*		810,000		7,703,100
Garnero Group Acquisition Co. (Brazil) †*		1,800,200		17,659,962
Gibraltar Growth Corp., Class A (Canada) (2)†*		1,274,000		8,756,045
Global Partner Acquisition Corp. †(c)		757,142		7,495,706
Gores Holdings, Inc., Class A (2)†(c)		215,000		2,150,000
GP Investments Acquisition Corp. (2)†*(c)		2,130,000		20,448,000
Harmony Merger Corp. (2)†*(c)		1,375,100		13,407,225
Hennessy Capital Acquisition Corp. II †(c)		609,837		5,878,829

	SHARES		VALUE (Note 5)
Financials - 20.8% (continued)
Hydra Industries Acquisition Corp. (2)†*(c)		1,620,000	$	15,649,200
Pacific Special Acquisition Corp. (China) (3)†(b)(c)		373,500		3,678,975
PNBK Holdings LLC, Class A (3)†(b)		2,090,900		1,403,705
PNBK Holdings LLC, Class B (3)†(b)		3,218		—
Pinecrest Resources Ltd. (Canada) (2)†		79,820		2,884
PJT Partners, Inc., Class A †(c)		23,789		672,991
Rescap Liquidating Trust †(c)		294,219		2,412,596
TPT Acquisition, Inc. (3)†(b)		20,730		—
Wilshire Bancorp, Inc.		4,113		47,505
			198,315,110
Health Care - 0.1%
China Medical Technologies, Inc. ADR (China) (3)†(b)(c)		4,931		49
Ocata Therapeutics, Inc. †		145,427		1,224,496
Rotech Healthcare, Inc. (3)†(b)		16,828		186,220
			1,410,765
Industrials - 0.1%
Pangaea Logistics Solutions Ltd. †(c)		56,508		150,311
SPX Corp. (c)		63,409		591,606
USG People NV (Netherlands) (2)		3,139		58,398
			800,315
Information Technology - 8.5%
Akamai Technologies, Inc. †		4,823		253,834
Alcatel-Lucent ADR (France) †		3,538		13,551
Alphabet, Inc., Class C †		5,794		4,396,951
Citrix Systems, Inc. †		60,958		4,611,473
Fairchild Semiconductor International, Inc. †		112,058		2,320,721
Hewlett Packard Enterprise Co. (c)		177,025		2,690,780
Red Hat, Inc. †		124,896		10,342,638
SunEdison, Inc. †		194,237		988,666
Telestone Technologies Corp. (China) †		115,818		116
Yahoo!, Inc. †(c)		1,659,320		55,188,983
			80,807,713
Materials - 0.3%
Chemours Co./The		79,167		424,335
Dow Chemical Co./The		3,612		185,946
Jaguar Mining, Inc. (3)†(b)		142,136		8,640
Jaguar Mining, Inc. (Canada) (2)†(c)		25,812		2,798
Momentive Performance Materials, Inc. (3)†(b)		288,707		2,539,415
Southern Arc Minerals, Inc. (Canada) †(c)		24,848		5,747
			3,166,881
Telecommunication Services - 0.1%
Cleveland Unlimited (3)†(b)		1		1,473,412
XO holdings, Inc. O Shares (3)†(b)		1,366,340		—
			1,473,412
TOTAL COMMON STOCKS (cost $330,140,540)				300,142,406

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

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Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

CONVERTIBLE PREFERRED STOCKS - 19.5%					SHARES		VALUE (Note 5)
Consumer Discretionary - 4.3%
Fiat Chrysler Automobiles NV, Series FCAU (Netherlands), $100.00 par, 7.875%, 12/15/16 (2)(c)						12,355,000	$	14,354,966
Sealy Corp., $25.00 par, 8.000%, 07/15/16 (3)†(b)(d)						299,636		27,392,207
							41,747,173
Consumer Staples - 3.9%
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875%, 12/31/49 (c)(e)						96,625		8,989,990
Post Holdings, Inc., Perpetual Preferred Stock, Series C, $100.00 par, 2.500%, 12/31/49 (2)(c)(e)						22,897		2,734,761
Tyson Foods, Inc., $50.00 par, 4.750%, 07/15/17 (c)						232,550		14,111,134
Universal Corp., Perpetual Preferred Stock, $1,000.00 par, 6.750%, 03/15/18 (2)(c)(e)						9,125		11,508,906
							37,344,791
Energy - 1.6%
Energy XXI Ltd., Perpetual Preferred Stock, $250.00 par, 5.625% , 12/31/49 (2)(c)(e)						4,610		76,353
Sanchez Energy Corp., Perpetual Preferred Stock, Series A, $50.00 par, 4.875%, 10/05/17 (2)(c)(e)						411,250		4,125,331
Sanchez Energy Corp., Perpetual Preferred Stock, Series B, $50.00 par, 6.500%, 04/06/18 (2)(c)(e)						140,250		1,412,318
Southwestern Energy Co., Series B, $50.00 par, 6.250%, 01/15/18 (c)						488,875		9,068,631
							14,682,633
Financials - 3.3%
Cowen Group, Inc., Perpetual Preferred Stock, Series A 144A, $1,000.00 par, 5.625%, 12/31/49 (2)(c)(e)(f)						5,700		4,275,000
Crown Castle International Corp., Series A, $100.00 par, 4.500%, 11/01/16 (2)(c)						40,550		4,330,334
iStar, Inc., Perpetual Preferred Stock, Series J, $50.00 par, 4.500%, 03/15/18 (2)(c)(e)						125,175		6,221,198
Maiden Holdings Ltd., Series B, $50.00 par, 7.250%, 09/15/16 (c)						83,593		4,399,082
Welltower, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500%, 12/31/49 (c)(e)						205,600		12,523,096
							31,748,710
Health Care - 2.0%
Allergan PLC, Series A, $1,000.00 par, 5.500% , 03/01/18 (c)						13,075		13,469,603
Amsurg Corp., Series A-1, $100.00 par, 5.250%, 07/01/17 (2)(c)						41,475		5,956,847
							19,426,450
Industrials - 0.0% (a)
Timberjack Corp., $188,000.00 par, 8.000% ,12/31/16 (3)†(b)(g)						188,000		917
Materials - 0.4%
A Schulman, Inc., Perpetual Preferred Stock, $1,000.00 par, 6.000% ,12/31/49 (c)(e)						4,625		3,838,750
Telecommunication Services - 2.0%
T-Mobile US, Inc., $50.00 par, 5.500% ,12/15/17 (c)						281,925		19,089,142
Utilities - 2.0%
Dominion Resources, Inc., Series A, $49.00 par, 6.125% , 04/01/16 (c)						118,650		6,297,942
Dominion Resources, Inc., Series B, $49.00 par, 6.000%, 07/01/16 (c)						242,350		13,006,924
							19,304,866
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $244,883,311)								187,183,432
CORPORATE BONDS - 1.7%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)
Communications - 0.0% (a)
Interactive Network, Inc./FriendFinder Networks, Inc. (2)(c)		14.000%		12/20/18	$	838		439,932

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

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Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Consumer Discretionary - 0.3%
Brookstone Holdings Corp. (3)(b)(d)		10.000%		07/07/21	$	59	$	17,636
Caesars Entertainment Operating Co., Inc. (2)(c)(g)		10.750%		02/01/16		10,125		2,581,875
Exide Technologies (3)(b)(g)		8.625%		02/01/18		33,550		—
Quiksilver, Inc. / QS Wholesale, Inc. (2)(g)		10.000%		08/01/20		6,325		300,438
RS Legacy Corp. (3)(b)(c)(g)		6.750%		05/15/19		6,230		5,607
								2,905,556
Consumer Staples - 0.1%
Rite Aid Corp. (2)		9.250%		03/15/20		1,175		1,242,563
Energy - 0.7%
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(g)		13.750%		12/01/15		5,800		406,000
Endeavour International Corp. (3)(b)(c)(g)		12.000%		06/01/18		7,600		38,000
Endeavour International Corp., Series WI (3)(b)(g)		12.000%		03/01/18		16,850		842,500
Gold Point Energy Corp. (3)(b)(g)		4.500%		05/01/15		1,140		—
NSA Bondco Ltd. (Cayman Islands) (3)(b)(d)		12.000%		08/31/20		4,223		2,111,456
Quicksilver Resources, Inc. (2)(g)		9.125%		08/15/19		4,425		121,687
Sabine Oil & Gas Corp. (2)(g)		7.250%		06/15/19		17,830		1,114,375
Sabine Oil & Gas Corp. (2)(g)		7.500%		09/15/20		10,750		623,500
Songa Offshore (Cyprus) (2)		7.500%		12/11/18		15,000		1,118,436
ZaZa Energy Corp. (3)(b)(c)(g)		9.000%		08/01/17		3,550		355,000
								6,730,954
Financials - 0.1%
Washington Mutual Bank, Bank Note (3)(b)(g)		0.000%		05/01/09		5,000		950,000
Materials - 0.5%
Momentive Performance Materials, Inc. (2)(c)		3.880%		10/24/21		6,175		4,260,750
Momentive Performance Materials, Inc. (3)(b)(g)		8.875%		10/15/20		13,550		—
Verso Paper Holdings LLC / Verso Paper, Inc. (2)(c)(g)		13.000%		08/01/20		12,680		63,402
								4,324,152
TOTAL CORPORATE BONDS (cost $85,280,202)								16,593,157
CONVERTIBLE BONDS - 26.6%
Consumer Discretionary - 1.4%
Cenveo Corp. (2)(c)		7.000%		05/15/17		1,800		1,326,375
Exide Technologies (3)(b)(g)(h)		0.000%		09/18/13		650		1
JAKKS Pacific, Inc. 144A (2)(c)(f)		4.250%		08/01/18		5,775		5,839,969
JAKKS Pacific, Inc. 144A (2)(c)(f)		4.875%		06/01/20		6,250		6,046,875
Palm Harbor Homes, Inc. (3)(b)(g)		3.250%		05/15/24		70		4,552
								13,217,772
Consumer Staples - 0.5%
Herbalife Ltd. (2)(c)		2.000%		08/15/19		5,475		4,581,891
Energy - 5.2%
Aegean Marine Petroleum Network, Inc. (Greece) (2)(c)		4.000%		11/01/18		6,175		5,360,672
Alon USA Energy, Inc. (2)(c)		3.000%		09/15/18		3,900		4,611,750
Alpha Natural Resources, Inc. (2)(c)(g)		4.875%		12/15/20		800		1,000
Amyris, Inc. 144A (2)(c)(f)		9.500%		04/15/19		8,400		8,925,000
Cal Dive International, Inc. (3)(b)(c)(g)		5.000%		07/15/17		2,275		11,375
Cheniere Energy, Inc. (2)(c)		4.250%		03/15/45		13,475		7,007,000
Emerald Oil, Inc. 144A (3)(b)(c)(f)		2.000%		04/01/19		1,600		512,000
Endeavour International Corp. (3)(b)(c)(g)		5.500%		07/15/16		8,229		41,145
James River Coal Co. (3)(b)(c)(g)		10.000%		06/01/18		310		31
Renewable Energy Group, Inc. (2)(c)		2.750%		06/15/19		3,650		3,081,969

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

AQR Funds Annual Report December 2015

42

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Energy - 5.2% (continued)
SandRidge Energy, Inc. (2)		7.500%		02/16/23	$	4,200	$	766,500
SandRidge Energy, Inc. (2)		8.125%		10/16/22		1,400		268,625
Scorpio Tankers, Inc. 144A (2)(c)(f)		2.375%		07/01/19		3,125		2,888,672
Ship Finance International Ltd. (Norway) (2)(c)		3.250%		02/01/18		14,850		15,787,406
								49,263,145
Financials - 2.1%
Cowen Group, Inc. (2)(c)		3.000%		03/15/19		4,550		4,370,844
Encore Capital Group, Inc. (2)(c)		3.000%		07/01/20		1,300		1,108,250
Ezcorp, Inc. (2)(c)		2.625%		06/15/19		2,475		1,703,109
GAIN Capital Holdings, Inc. (2)(c)		4.125%		12/01/18		3,325		3,327,078
Lexington Realty Trust 144A (2)(c)(f)		6.000%		01/15/30		7,550		8,894,844
MBF Healthcare Acquisition Corp. (2)(g)		3.375%		08/01/18		1,609		358,002
NorthStar Realty Finance LP 144A (2)(f)		5.375%		06/15/33		300		373,849
								20,135,976
Health Care - 5.1%
Accuray, Inc., Series A (2)(c)		3.500%		02/01/18		3,025		4,104,547
Acorda Therapeutics, Inc. (2)(c)		1.750%		06/15/21		875		1,006,250
Albany Molecular Research, Inc. (2)(c)		2.250%		11/15/18		1,525		2,051,125
Anthem, Inc. (2)(c)		2.750%		10/15/42		6,429		12,271,354
China Medical Technologies, Inc. (China) 144A (3)(b)(c)(f)(g)		6.250%		12/15/16		2,625		262
China Medical Technologies, Inc., Series CMT (China) (2)(c)(g)		4.000%		08/15/13		250		2
Healthways, Inc. (2)(c)		1.500%		07/01/18		6,775		6,402,375
Medicines Co./The (2)(c)		1.375%		06/01/17		2,300		3,273,187
Medicines Co./The (2)(c)		2.500%		01/15/22		6,325		8,016,938
PDL BioPharma, Inc. (2)(c)		4.000%		02/01/18		1,250		1,000,781
Sequenom, Inc. (2)(c)		5.000%		01/01/18		7,325		5,548,688
Spectrum Pharmaceuticals, Inc. (2)(c)		2.750%		12/15/18		5,600		4,907,000
								48,582,509
Industrials - 3.2%
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)(g)		7.500%		12/31/15		1,850		18
General Cable Corp. (2)(c)(i)		4.500%		11/15/29		1,270		778,669
Meritor, Inc. (2)(c)		7.875%		03/01/26		10,015		11,942,888
Titan International, Inc. 144A (2)(c)(f)		5.625%		01/15/17		7,575		6,983,203
UTi Worldwide, Inc. (2)(c)		4.500%		03/01/19		11,075		10,922,719
								30,627,497
Information Technology - 8.2%
Avid Technology, Inc. 144A (2)(c)(f)		2.000%		06/15/20		1,725		1,085,672
Convergys Corp. (2)(c)		5.750%		09/15/29		4,250		9,578,438
GT Advanced Technologies, Inc. (2)(c)(g)		3.000%		10/01/17		2,650		6,625
Microchip Technology, Inc. (2)(c)		2.125%		12/15/37		6,065		11,542,453
Micron Technology, Inc., Series F (2)(c)		2.125%		02/15/33		1,375		2,021,250
ModusLink Global Solutions, Inc. (2)(c)		5.250%		03/01/19		7,600		5,861,500
Nortel Networks Corp. (Canada) (2)(c)(g)		1.750%		04/15/12		3,000		2,535,000
Powerwave Technologies, Inc. 144A (3)(b)(c)(f)(g)		2.750%		07/15/41		3,900		4,875
Powerwave Technologies, Inc. (3)(b)(g)		3.875%		10/01/27		4,104		410
Quantum Corp. (2)(c)		4.500%		11/15/17		1,650		1,509,750
SunEdison, Inc. 144A (2)(c)(f)		0.250%		01/15/20		575		221,375
SunEdison, Inc. (2)(c)		2.000%		10/01/18		19,350		10,557,844
SunEdison, Inc. (2)(c)		2.750%		01/01/21		4,400		2,202,750
TTM Technologies, Inc. (2)(c)		1.750%		12/15/20		6,150		5,542,688
VeriSign, Inc. (2)(c)		4.297%		08/15/37		4,135		10,588,184
Vishay Intertechnology, Inc. (2)(c)		2.250%		11/15/40		15,402		14,901,435
								78,160,249

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

AQR Funds Annual Report December 2015

43

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Materials - 0.2%
A.M. Castle & Co. (2)(c)		7.000%		12/15/17	$	925	$	343,984
Cereplast, Inc. (3)(b)(g)		7.000%		06/01/16		3,516		35
ShengdaTech, Inc. 144A (3)(b)(f)(g)		6.000%		06/01/18		300		3
ShengdaTech, Inc. 144A (3)(b)(f)(g)		6.500%		12/15/15		1,200		12
Stillwater Mining Co. (2)(c)		1.750%		10/15/32		2,125		2,017,422
							2,361,456
Utilities - 0.7%
NRG Yield, Inc. 144A (2)(c)(f)		3.500%		02/01/19		7,500		6,871,875
TOTAL CONVERTIBLE BONDS (cost $322,810,222)								253,802,370

SECURITIES IN LITIGATION – 0.0% (a)	NUMBER OF UNITS		VALUE (Note 5)
Information Technology - 0.0% (a)
Timegate (3)†(b)		4,993,399	$	90,995
TOTAL SECURITIES IN LITIGATION (cost $3,586,539)				90,995
CLOSED END FUNDS - 10.9%		SHARES
Aberdeen Global Income Fund, Inc.		7,286		56,029
Adams Diversified Equity Fund, Inc.		5,820		74,671
Advent Claymore Convertible Securities and Income Fund (c)		20,090		271,617
Advent Claymore Convertible Securities and Income Fund II (c)		165,776		920,057
Advent Claymore Enhanced Growth & Income Fund (c)		32,894		272,033
AllianceBernstein Global High Income Fund, Inc.		83,549		900,658
AllianzGI Convertible & Income Fund		30,728		170,233
AllianzGI Convertible & Income Fund II		29,935		151,172
AllianzGI Equity & Convertible Income Fund		17,055		306,308
Alpine Global Dynamic Dividend Fund (c)		66,960		592,596
Alpine Global Premier Properties Fund (c)		371,239		2,142,049
Alpine Total Dynamic Dividend Fund		50,776		389,960
Apollo Senior Floating Rate Fund, Inc. (c)		13,260		200,889
Apollo Tactical Income Fund, Inc.		31,192		433,257
Ares Dynamic Credit Allocation Fund, Inc.		73,763		985,474
Avenue Income Credit Strategies Fund		33,128		376,003
Babson Capital Global Short Duration High Yield Fund		23,475		387,103
BlackRock Core Bond Trust		252,951		3,197,301
BlackRock Corporate High Yield Fund, Inc.		306,535		2,997,912
BlackRock Credit Allocation Income Trust		278,877		3,441,342
BlackRock Enhanced Equity Dividend Trust		9,800		74,578
BlackRock Floating Rate Income Strategies Fund, Inc.		91,244		1,177,048
BlackRock Floating Rate Income Trust		22,992		287,400

CLOSED END FUNDS - 10.9% (continued)	SHARES		VALUE (Note 5)
BlackRock Limited Duration Income Trust		87,097	$	1,269,874
BlackRock Long-Term Municipal Advantage Trust		14,664		168,636
BlackRock Multi-Sector Income Trust		50,853		803,986
BlackRock Muni Intermediate Duration Fund, Inc.		44,115		625,110
BlackRock Municipal Income Investment Quality Trust		2,062		30,476
BlackRock Municipal Target Term Trust		82,057		1,769,969
BlackRock MuniHoldings New Jersey Quality Fund, Inc.		32,373		467,142
BlackRock MuniYield Investment Quality Fund		834		11,759
BlackRock MuniYield Michigan Quality Fund, Inc.		63,612		888,024
BlackRock MuniYield Pennsylvania Quality Fund		5,198		75,579
BlackRock Resources & Commodities Strategy Trust		354,350		2,519,428
BlackRock Utility and Infrastructure Trust		1,400		23,492
Blackstone/GSO Long-Short Credit Income Fund		56,559		762,415
Blackstone/GSO Strategic Credit Fund		164,836		2,203,857
Boulder Growth & Income Fund, Inc. (c)		11,875		91,912
Brookfield Global Listed Infrastructure Income Fund, Inc.		46,982		552,038
Brookfield High Income Fund, Inc.		27,898		191,938
Calamos Convertible Opportunities and Income Fund		2,556		25,330
Calamos Global Dynamic Income Fund		23,400		167,544
Calamos Strategic Total Return Fund		12,254		121,315
CBRE Clarion Global Real Estate Income Fund (c)		309,637		2,365,627
Central Securities Corp.		47,685		906,969
Clough Global Allocation Fund		2,950		39,736
Clough Global Equity Fund		7,198		90,192
Clough Global Opportunities Fund		25,329		264,435
Cohen & Steers Quality Income Realty Fund, Inc.		277,677		3,393,213
Cohen & Steers REIT and Preferred Income Fund, Inc.		116,494		2,148,149

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

AQR Funds Annual Report December 2015

44

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 10.9% (continued)	SHARES		VALUE (Note 5)
Cushing Renaissance Fund/The		9,004	$	128,487
Delaware Enhanced Global Dividend & Income Fund		51,440		480,964
Deutsche High Income Trust		21,623		171,903
Dividend and Income Fund		6,525		71,840
Eaton Vance Floating-Rate Income Plus Fund		6,642		93,984
Eaton Vance Floating-Rate Income Trust		26,831		339,144
Eaton Vance Limited Duration Income Fund (c)		268,707		3,428,701
Eaton Vance Senior Income Trust		91,965		530,638
Eaton Vance Short Duration Diversified Income Fund		62,780		841,880
Eaton Vance Tax-Advantaged Bond and Options Strategies Fund		18,569		233,412
First Trust Aberdeen Global Opportunity Income Fund		112,237		1,136,961
First Trust High Income Long/Short Fund		159,985		2,252,589
First Trust Senior Floating Rate Income Fund II		17,430		215,261
First Trust Strategic High Income Fund II		20,769		231,159
Franklin Limited Duration Income Trust		85,296		914,373
Gabelli Dividend & Income Trust/The		33,308		614,866
Gabelli Healthcare & WellnessRx Trust/The		36,476		373,879
GAMCO Natural Resources Gold & Income Trust		6,616		37,910
General American Investors Co., Inc.		29,675		947,820
Invesco Bond Fund (c)		1,872		32,891
Invesco Dynamic Credit Opportunities Fund (c)		121,120		1,277,816
Invesco High Income Trust II (c)		28,675		368,474
Invesco Municipal Trust (c)		9,424		120,344
Invesco Pennsylvania Value Municipal Income Trust (c)		27,911		357,819
Invesco Quality Municipal Income Trust (c)		67,809		860,496
Ivy High Income Opportunities Fund (c)		33,166		410,595
John Hancock Hedged Equity & Income Fund (c)		1,691		24,452
John Hancock Income Securities Trust (c)		2,128		28,579
KKR Income Opportunities Fund (c)		22,799		316,222
Lazard Global Total Return and Income Fund, Inc. (c)		10,604		138,700
Liberty All Star Equity Fund		431,844		2,310,365
Liberty All Star Growth Fund, Inc.		13,172		60,328
LMP Capital and Income Fund, Inc. (c)		35,486		438,962
LMP Corporate Loan Fund, Inc. (c)		4,527		44,727
Macquarie Global Infrastructure Total Return Fund, Inc. (c)		25,906		493,509
Madison Covered Call & Equity Strategy Fund (c)		2,629		19,402
MFS Investment Grade Municipal Trust (c)		2,598		25,642
MFS Municipal Income Trust (c)		57,207		389,008
Morgan Stanley Emerging Markets Fund, Inc. (c)		531		6,807
Morgan Stanley Income Securities, Inc. (c)		17,929		302,462
Neuberger Berman High Yield Strategies Fund, Inc. (c)		64,878		654,619

CLOSED END FUNDS - 10.9% (continued)	SHARES		VALUE (Note 5)
New America High Income Fund, Inc./The		21,183	$	162,262
Nuveen Connecticut Premium Income Municipal Fund (c)		25,223		321,845
Nuveen Credit Strategies Income Fund (c)		361,008		2,830,303
Nuveen Diversified Dividend & Income Fund (c)		44,311		479,888
Nuveen Dividend Advantage Municipal Fund 2		81,753		1,157,622
Nuveen Dividend Advantage Municipal Fund 3		28,689		411,974
Nuveen Dividend Advantage Municipal Income Fund (c)		4,633		67,086
Nuveen Floating Rate Income Opportunity Fund (c)		2,769		27,136
Nuveen Global Equity Income Fund (c)		64,168		700,715
Nuveen Maryland Premium Income Municipal Fund (c)		72,572		920,939
Nuveen Michigan Quality Income Municipal Fund (c)		14,708		201,353
Nuveen Municipal Advantage Fund, Inc.		52,080		721,308
Nuveen Municipal Market Opportunity Fund, Inc. (c)		64,942		895,550
Nuveen New Jersey Dividend Advantage Municipal Fund (c)		107,761		1,454,774
Nuveen New York AMT-Free Municipal Income Fund (c)		90,486		1,188,081
Nuveen North Carolina Premium Income Municipal Fund (c)		48,664		637,498
Nuveen Ohio Quality Income Municipal Fund (c)		13,491		205,873
Nuveen Pennsylvania Investment Quality Municipal Fund (c)		61,098		837,043
Nuveen Performance Plus Municipal Fund, Inc. (c)		13,387		200,270
Nuveen Premier Municipal Income Fund, Inc. (c)		34,499		471,256
Nuveen Premium Income Municipal Fund 2, Inc. (c)		25,260		365,260
Nuveen Premium Income Municipal Fund, Inc. (c)		100,028		1,410,395
Nuveen Quality Income Municipal Fund, Inc.		66,789		947,068
Nuveen Quality Municipal Fund, Inc.		91,442		1,247,269
Nuveen Select Quality Municipal Fund, Inc. (c)		67,446		947,616
Nuveen Senior Income Fund (c)		36,490		210,547
Nuveen Short Duration Credit Opportunities Fund (c)		33,092		490,754
PIMCO Dynamic Credit Income Fund (c)		163,053		2,939,846
PIMCO Income Strategy Fund (c)		490		4,773
PIMCO Income Strategy Fund II (c)		549		4,815
Pioneer Diversified High Income Trust		10,931		159,483
Pioneer Floating Rate Trust		52,178		566,131
Prudential Global Short Duration High Yield Fund, Inc. (c)		60,675		858,551
Prudential Short Duration High Yield Fund, Inc.		48,225		704,085
Putnam High Income Securities Fund (c)		55,292		404,185

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

AQR Funds Annual Report December 2015

45

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

CLOSED END FUNDS - 10.9% (continued)	SHARES		VALUE (Note 5)
Putnam Managed Municipal Income Trust (c)		39,324	$	289,425
Putnam Municipal Opportunities Trust (c)		32,565		399,898
RMR Real Estate Income Fund (c)		40,121		773,132
Royce Micro-Cap Trust, Inc.		31,598		229,401
Royce Value Trust, Inc.		55,611		654,541
Sprott Focus Trust, Inc.		52,540		304,732
Stone Harbor Emerging Markets Total Income Fund (c)		26,011		295,745
Swiss Helvetia Fund, Inc./The (c)		35,998		380,139
Templeton Emerging Markets Fund (c)		4,387		43,738
Templeton Global Income Fund (c)		253,134		1,607,401
THL Credit Senior Loan Fund (c)		4,125		65,423
Tortoise Energy Independence Fund, Inc. (c)		1,900		21,432
Tortoise Pipeline & Energy Fund, Inc. (c)		451		6,544
Tri-Continental Corp. (c)		36,283		726,386
Voya Emerging Markets High Income Dividend Equity Fund		8,072		59,733
Voya Global Equity Dividend and Premium Opportunity Fund		8,673		60,711
Voya Infrastructure Industrials and Materials Fund		9,263		113,564
Voya Natural Resources Equity Income Fund		3,919		21,398
Voya Prime Rate Trust		51,080		258,465
Wells Fargo Global Dividend Opportunity Fund		42,245		250,090

CLOSED END FUNDS - 10.9% (continued)	SHARES		VALUE (Note 5)
Wells Fargo Income Opportunities Fund		101,774	$	758,216
Wells Fargo Multi-Sector Income Fund		138,115		1,563,462
Western Asset Global Corporate Defined Opportunity Fund, Inc. (c)		47,967		757,879
Western Asset Global High Income Fund, Inc. (c)		77,541		676,158
Western Asset Global Partners Income Fund, Inc. (c)		51,455		397,747
Western Asset High Income Fund II, Inc. (c)		62,939		397,145
Western Asset High Income Opportunity Fund, Inc. (c)		325,386		1,526,060
Western Asset High Yield Defined Opportunity Fund, Inc. (c)		23,599		332,746
Western Asset Managed High Income Fund, Inc.		189,489		856,490
Western Asset Worldwide Income Fund, Inc. (c)		62,760		632,621
Zweig Total Return Fund, Inc./The		37,480		456,506
TOTAL CLOSED END FUNDS (cost $110,457,423)				103,582,307
OPEN END FUND - 0.0% (a)
Transamerica Flexible Income Fund (cost $278,043)		32,684		295,133

LOAN PARTICIPATIONS - 0.3%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Consumer Discretionary - 0.1%
RH Donnelley, Inc. (2)(h)		6.000%		12/31/16	$	1,950	$	809,397
Financials - 0.1%
J.G. Wentworth LLC (3)(b)(h)		7.500%		02/08/19		1,876		1,385,235
Information Technology - 0.1%
GT Advanced Techonologies, Inc. (3)(b)(h)		9.500%		07/27/16		841		839,289
TOTAL LOAN PARTICIPATIONS (cost $4,418,548)								3,033,921

PREFERRED STOCKS - 0.3%	SHARES		VALUE (Note 5)
Financials - 0.3%
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series V (2)†(e)		119,409	$	311,657
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series W (2)†(e)		56,025		168,075
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series X (2)†(e)		50,343		133,409
Federal Home Loan Mortgage Corp., Perpetual Preferred Stock, Series Z (2)†(e)(h)		158,730		539,682
Federal National Mortgage Association, Perpetual Preferred Stock, 8.250%, Series S (2)†(e)(h)		158,730		555,555

	SHARES		VALUE (Note 5)
Financials - 0.3% (continued)
First Banks, Inc. (3)†(b)		2,458	$	817,262
TOTAL PREFERRED STOCKS (cost $6,095,927)				2,525,640
RIGHTS - 0.2%
Financials - 0.1%
1347 Capital Corp. (2)†*(c)		420,504		12,615
Arowana, Inc. (Australia) †*		720,000		144,000
Barington/Hilco Acquisition Corp.†*		487,260		97,745
CB Pharma Acquisition Corp. (2)†*		325,500		41,501
DT Asia Investments Ltd. (Hong Kong) (2)†		209,241		20,924
Garnero Group Acquisition Co. (Brazil) †*		2,430,200		583,248

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

AQR Funds Annual Report December 2015

46

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES		VALUE (Note 5)
Financials - 0.1% (continued)
Hydra Industries Acquisition Corp. (2)†*(c)		1,720,000	$	399,040
Pacific Special Acquisition Corp. (China) (2)†(c)		373,500		56,025
				1,355,098
Health Care - 0.1%
Ambit Biosciences Corp. (3)†(b)		146,272		119,171
American Medical Alert Corp. (3)†(b)		283,523		2,835
Chelsea Therapeutics International Ltd. (3)†(b)		4,668,137		197,135
Community Health Systems, Inc. †		7,762,436		69,862
Durata Therapeutics, Inc. (3)†(b)		261,441		270,657
Forest Laboratories, Inc. (3)†(b)		335,833		—
Furiex Pharmaceuticals, Inc. (3)†(b)		251,398		2
Prosensa Holding NV (Netherlands) (3)†(b)		197,426		126,100
				785,762
Information Technology - 0.0% (a)
Gerber Scientific, Inc. (3)†(b)		879,944		—
TOTAL RIGHTS (cost $284,220)				2,140,860
SHORT-TERM INVESTMENTS - 8.7%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.327%, 5/19/2016 (c)(j)	$	80,647		80,545,143
U.S. Treasury Bill, 0.515%, 6/23/2016 (c)(j)		2,164		2,159,189
TOTAL SHORT-TERM INVESTMENTS (cost $82,703,851)				82,704,332
WARRANTS - 1.9%		SHARES
Consumer Discretionary - 0.4%
Del Taco Restaurants, Inc. †		733,262		2,126,460
Education Management Corp. (3)†(b)		16,528,497		98,840
Global Eagle Entertainment, Inc. (2)†		367,857		1,434,642
IVS Group SA (Luxembourg) (2)†		590,301		7,057
KBS Fashion Group Ltd. (China) (2)†(c)		763,024		22,891
			3,689,890
Energy - 0.0% (a)
Glori Energy, Inc.(2) †		287,100		5,742
Financials - 0.9%
1347 Capital Corp. (2)†*(c)		420,504		59,291
Acasta Enterprises, Inc. (Canada) †		579,085		188,327
Alignvest Acquisition Corp. (Canada) †		445,000		112,561
AR Capital Acquisition Corp. †		697,500		125,550
Arowana, Inc. (Australia) (2)†*		720,000		61,200
Associated Banc-Corp. (2)†		20,065		58,188
Barington/Hilco Acquisition Corp. (2)†*		487,260		60,908
Boston Private Financial Holdings, Inc. †		97,674		468,835
Boulevard Acquisition Corp. II (2)†		1,698,740		679,496
Capitol Acquisition Corp. III (2)†		1,575,000		661,500

	SHARES		VALUE (Note 5)
Financials - 0.9% (continued)
CB Pharma Acquisition Corp. (2)†*		325,500	$	48,825
Comerica, Inc. (2)†		9,708		30,580
Double Eagle Acquisition Corp. (2)†		2,047,500		532,350
DT Asia Investments Ltd. (Hong Kong) (2)†		209,241		20,924
Dundee Acquisition Ltd. (Canada) (2)†*		630,000		97,890
Easterly Acquisition Corp. (2)†		823,250		271,673
Electrum Special Acquisition Corp. (2)†		990,000		158,400
FinTech Acquisition Corp. (2)†*		810,000		202,500
Garnero Group Acquisition Co. (Brazil) †*		2,430,200		291,624
Gibraltar Growth Corp. (Canada) (2)†*		1,274,000		119,694
Global Partner Acquisition Corp. †(c)		1,068,000		305,448
Gores Holdings, Inc. (3)†(b)(c)		3,115,000		841,050
GP Investments Acquisition Corp. (3)†*(b)(c)		1,237,500		495,000
Harmony Merger Corp. †*(c)		1,475,100		516,285
Hennessy Capital Acquisition Corp. II †(c)		1,028,837		195,479
Hydra Industries Acquisition Corp. (2)†*(c)		1,720,000		321,640
Neostem (3)†(b)		243,000		2
Pace Holdings Corp. (2)†(c)		455,000		61,561
Pacific Special Acquisition Corp. (China) (2)†(c)		373,500		33,615
Quinpario Acquisition Corp. 2 †(c)		2,880,708		590,545
ROI Acquisition Corp. II (3)†(b)		882,000		—
Terrapin 3 Acquisition Corp. (2)†(c)		1,428,000		357,000
Valley National Bancorp †		49,509		7,426
WL Ross Holding Corp. †(c)		2,898,000		956,340
			8,931,707
Health Care - 0.0% (a)
Mast Therapeutics, Inc. (3)†(b)		103,750		249
Pluristem Therapeutics, Inc. (Israel) (3)†(b)		63,750		6,375
Venaxis, Inc. (3)†(b)		24,000		1,080
			7,704
Industrials - 0.3%
Ability, Inc. (Israel) †		1,454,787		2,036,702
Blue Bird Corp. (2)†		756,000		680,400
Jack Cooper Holdings Corp. (2)†		2,223		255,645
Jason Industries, Inc. †(c)		1,933,070		115,984
Pingtan Marine Enterprise Ltd. (China) (2)†(c)		395,000		790
Tempus Applied Solutions Holdings, Inc. (3)†(b)		614,551		122,910
				3,212,431
Information Technology - 0.0% (a)
exceet Group SE (Germany) (2)†		72,000		3,443
Net Element International, Inc. (Bulgaria) (3)†(b)		319,668		32
RMG Networks Holding Corp. (3)†(b)(c)		631,210		6,312
				9,787
Materials - 0.3%
AgroFresh Solutions, Inc. †(c)		504,000		473,760
Delta Technology Holdings Ltd. (China) (2)†		818,832		49,130
Tecnoglass, Inc. †		330,838		1,968,486
				2,491,376

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

AQR Funds Annual Report December 2015

47

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 5)
Utilities - 0.0% (a)
Electrawinds SE (Germany) (3)†(b)		621,000		$	1,350
TOTAL WARRANTS (cost $1,910,911)					18,349,987
MONEY MARKET FUNDS - 34.5%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% (2)(k)		11,153,760			11,153,760
Dreyfus Treasury Cash Management, Class I, 0.090% (2)(k)		44,615,040			44,615,040
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% (2)(k)		168,920,927			168,920,927
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% (2)(k)(l)		49,486,880			49,486,880
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% (2)(k)		55,768,800			55,768,800
TOTAL MONEY MARKET FUNDS (cost $329,945,407)					329,945,407
PURCHASED OPTIONS - 0.0% (a)		CONTRACTS/ NOTIONAL
Call – Charter Communication, Inc., Expires 03/18/2016, Strike $210.00 (cost $36,922)		67			15,276
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $1,522,832,066)					1,300,405,223
SECURITIES SOLD SHORT - (36.2)%		SHARES
COMMON STOCKS - (33.2)%
Consumer Discretionary - (3.2)%
Charter Communications, Inc., Class A †		(26,456	)		(4,844,094	)
Comcast Corp., Class A		(37	)		(2,088	)
Ferrari NV (Italy) †		(9,587	)		(460,176	)
Fiat Chrysler Automobiles NV (United Kingdom) †		(853,617	)		(11,942,102	)
Global Eagle Entertainment, Inc. †		(234,566	)		(2,315,166	)
JAKKS Pacific, Inc. †		(942,106	)		(7,499,164	)
News Corp., Class B		(39,972	)		(558,009	)
Twenty-First Century Fox, Inc., Class B		(116,863	)		(3,182,179	)
					(30,802,978	)
Consumer Staples - (2.5)%
Bunge Ltd.		(64,597	)		(4,410,683	)
Post Holdings, Inc. †		(39,345	)		(2,427,587	)
Tyson Foods, Inc., Class A		(206,477	)		(11,011,418	)
Universal Corp.		(113,419	)		(6,360,538	)
					(24,210,226	)

	SHARES			VALUE (Note 5)
Energy - (3.3)%
Aegean Marine Petroleum Network, Inc. (Greece)		(195,257	)	$	(1,632,349	)
Alon USA Energy, Inc.		(196,108	)		(2,910,243	)
Amyris, Inc. †		(274,863	)		(445,278	)
Cheniere Energy, Inc. †		(52,584	)		(1,958,754	)
Renewable Energy Group, Inc. †		(176,126	)		(1,636,210	)
Sanchez Energy Corp. †		(1,030,071	)		(4,439,606	)
SandRidge Energy, Inc. †		(2,036,364	)		(407,273	)
Scorpio Tankers, Inc. (Monaco)		(146,875	)		(1,177,937	)
Ship Finance International Ltd. (Norway)		(574,072	)		(9,512,373	)
Southwestern Energy Co. †		(1,030,887	)		(7,329,607	)
					(31,449,630	)
Financials - (3.6)%
Associated Banc-Corp.		(11,343	)		(212,681	)
Boston Private Financial Holdings, Inc.		(87,311	)		(990,107	)
CareTrust REIT, Inc.		(62,239	)		(681,517	)
Cowen Group, Inc., Class A †		(1,207,435	)		(4,624,476	)
Crown Castle International Corp. REIT		(29,515	)		(2,551,572	)
Encore Capital Group, Inc. †		(16,065	)		(467,170	)
Ezcorp, Inc., Class A †		(37,745	)		(188,347	)
GAIN Capital Holdings, Inc.		(116,375	)		(943,801	)
iStar, Inc. REIT †		(410,988	)		(4,820,889	)
Lexington Realty Trust REIT		(975,782	)		(7,806,256	)
Maiden Holdings Ltd.		(185,868	)		(2,771,292	)
NorthStar Realty Finance Corp. REIT		(21,952	)		(373,843	)
Penson Worldwide, Inc. (3)†(b)		(217,523	)		—
Valley National Bancorp		(1,322	)		(13,022	)
Vonovia SE (Germany) (2)		(31,659	)		(978,044	)
Welltower, Inc. REIT		(98,099	)		(6,673,675	)
					(34,096,692	)
Health Care - (4.7)%
Accuray, Inc. †		(476,914	)		(3,219,169	)
Acorda Therapeutics, Inc. †		(15,214	)		(650,855	)
Albany Molecular Research, Inc. †		(82,452	)		(1,636,672	)
Allergan PLC †		(34,112	)		(10,660,000	)
Amsurg Corp. †		(70,046	)		(5,323,496	)
Anthem, Inc.		(78,046	)		(10,882,734	)
China Medical Technologies, Inc. ADR (China) (3)†(b)		(45,264	)		(453	)
Healthways, Inc. †		(174,039	)		(2,239,882	)
Medicines Co./The †		(221,781	)		(8,281,303	)
PDL BioPharma, Inc.		(2,728	)		(9,657	)
Sequenom, Inc. †		(332,361	)		(545,072	)
Spectrum Pharmaceuticals, Inc. †		(287,312	)		(1,732,491	)
					(45,181,784	)
Industrials - (0.6)%
Cenveo, Inc. †		(10,868	)		(9,470	)
General Cable Corp.		(31,961	)		(429,236	)
Meritor, Inc. †		(542,479	)		(4,529,700	)
Titan International, Inc.		(151,356	)		(596,343	)
					(5,564,749	)

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

AQR Funds Annual Report December 2015

48

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

	SHARES			VALUE (Note 5)
Information Technology - (11.8)%
Alibaba Group Holding Ltd. ADR (China) †		(678,163	)	$	(55,114,307	)
Alphabet, Inc., Class A †		(5,794	)		(4,507,790	)
Avid Technology, Inc. †		(34,598	)		(252,219	)
Convergys Corp.		(346,247	)		(8,618,088	)
Microchip Technology, Inc.		(235,015	)		(10,937,598	)
Micron Technology, Inc. †		(105,031	)		(1,487,239	)
ModusLink Global Solutions, Inc. †		(398,025	)		(987,102	)
Nokia OYJ ADR (Finland)		(1,947	)		(13,668	)
Quantum Corp. †		(470,856	)		(437,896	)
SunEdison, Inc. †		(850,690	)		(4,330,012	)
TTM Technologies, Inc. †		(420,700	)		(2,738,757	)
VeriSign, Inc. †		(120,315	)		(10,510,718	)
Vishay Intertechnology, Inc.		(1,024,090	)		(12,340,285	)
					(112,275,679	)
Materials - (0.3)%
A Schulman, Inc.		(62,757	)		(1,922,874	)
A.M. Castle & Co. †		(10,793	)		(17,161	)

	SHARES			VALUE (Note 5)
Materials - (0.3)% (continued)
EI du Pont de Nemours & Co.		(2,821	)	$	(187,879	)
Stillwater Mining Co. †		(88,877	)		(761,676	)
				(2,889,590)
Telecommunication Services - (1.7)%
T-Mobile US, Inc. †		(419,880	)		(16,425,706	)
Utilities - (1.5)%
Dominion Resources, Inc.		(190,626	)		(12,893,943	)
NRG Yield, Inc., Class A		(91,757	)		(1,276,340	)
				(14,170,283)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $414,197,935)					(317,067,317	)

CONVERTIBLE BONDS - (2.9)%	INTEREST RATE		MATURITY DATE		PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
Information Technology - (2.9)%
Akamai Technologies, Inc. (2)		0.000%		02/15/19	$	(1,600	)	$	(1,534,000	)
Citrix Systems, Inc. (2)		0.500%		04/15/19		(9,975	)		(10,847,812	)
Red Hat, Inc. (2)		0.250%		10/01/19		(12,225	)		(15,915,422	)
TOTAL CONVERTIBLE BONDS SOLD SHORT (proceeds $25,463,623)									(28,297,234	)

EXCHANGE-TRADED FUND (ETF) -(0.1)%	SHARES			VALUE (Note 5)
SPDR S&P Oil & Gas Exploration & Production ETF
(proceeds $837,819)		(22,494	)	$	(679,769	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $440,499,377)					(346,044,320	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 99.8% (cost $1,082,332,689)					954,360,903
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% (m)				1,928,342
NET ASSETS - 100.0%				$956,289,245

† Non-income producing security.

* Affiliated company as defined under the Investment Company Act of 1940.

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

(b) Security fair valued as of December 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $49,511,641 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 December 31, 2015, the value of these securities was $684,668,763.

(d) Represents a Pay-in-Kind. Income may be received in additional securities and/or cash.

(e) Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next call date. The rate shown represents the variable dividend rate in effect as of the close of the reporting period.

(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) Indicates a variable rate security. The interest rate shown represents the rate as of the close of the reporting period.

(i) Represents a step bond. The rate shown reflects the rate as of close of the reporting period.

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

(k) Represents annualized seven-day yield as of the close of the reporting period.

(l) All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

(n) All or a portion of this security has been segregated for covered call option written.

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

AQR Funds Annual Report December 2015

49

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

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

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

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

REIT - Real Estate Investment Trust

Credit default swap contracts buy protection as of December 31, 2015:

COUNTERPARTY	REFERENCE ENTITY	FIXED ANNUAL RATE PAID 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 25		5.000%	USD		4.726%		97,000,000		$395,173			12/20/2020		$(1,639,756	)
CitiBank	Markit CDX North America Investment Grade Index Series 25		1.000%	USD		0.885%		575,000		(5,026	)		12/20/2020		1,751
										$390,147					$(1,638,005	)

Open written options contracts outstanding at December 31, 2015:

Exchange Traded

Call options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
4,000	General Motors Co. (Exercise price $42)	J.P. Morgan		01/15/2016		$(2,203,697	)		$(4,000	)		$2,199,697
796	King Digital Entertainment PLC (Exercise price $18)	J.P. Morgan		02/19/2016		(12,683	)		(7,960	)		4,723
						$(2,216,380	)		$(11,960	)		$2,204,420

Put options written

NUMBER OF CONTRACTS	ISSUER	COUNTERPARTY	EXPIRATION DATE		PROCEEDS			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
67	Charter Communication, Inc. (Exercise price $210)	J.P. Morgan		03/18/2016		$(172,051	)		$(189,476	)		$(17,425	)

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

AQR Funds Annual Report December 2015

50

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
284	Barclays Capital	Euro Stoxx 50 Index		03/2016		$(9,986,931	)		$(10,129,466	)		$(142,535	)
352	Barclays Capital	S&P 500 E-Mini Futures		03/2016		(35,430,596	)		(35,823,040	)		(392,444	)
441	Barclays Capital	U.S. Treasury 10-Year Note Futures		03/2016		(55,680,133	)		(55,524,656	)		155,477
399	J.P. Morgan	U.S. Treasury 2-Year Note Futures		03/2016		(86,805,361	)		(86,676,516	)		128,845
198	J.P. Morgan	U.S. Treasury 5-Year Note Futures		03/2016		(23,480,976	)		(23,427,422	)		53,554
						$(211,383,997	)		$(211,581,100	)		$(197,103	)

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		8,130,000		$5,843,706		$5,876,683		$32,977
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		7,457,082		5,458,158		5,390,272		(67,886	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		1,424,338		1,552,627		1,550,744		(1,883	)
Euro, Expiring 04/05/16	Credit Suisse International	EUR		21,000		22,913		22,877		(36	)
Euro, Expiring 04/05/17	Credit Suisse International	EUR		21,000		23,363		23,237		(126	)
						$12,900,767		$12,863,813		$(36,954	)

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

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51

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(28,664,391	)		$(21,432,232	)		$(20,719,749	)		$712,483
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(28,664,391	)		(21,432,233	)		(20,719,748	)		712,485
Euro, Expiring 03/16/16	CitiBank	EUR		(5,699,458	)		(6,066,810	)		(6,205,267	)		(138,457	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(6,573,466	)		(7,000,841	)		(7,156,841	)		(156,000	)
Euro, Expiring 04/05/16	Credit Suisse International	EUR		(21,000	)		(27,886	)		(22,876	)		5,010
Euro, Expiring 04/05/17	Credit Suisse International	EUR		(21,000	)		(28,010	)		(23,237	)		4,773
							(55,988,012	)		(54,847,718	)		1,140,294
							$(43,087,245	)		$(41,983,905	)		$1,103,340

CAD - Canadian Dollar

EUR - Euro

USD - United States Dollar

Total Return Basket Swaps* Outstanding at December 31, 2015

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Bank of America	The Fund receives 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.	66 to 67 months maturity 08/12/2019		$126,482

* 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 swap position.

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stock
United States
Herbalife Ltd.		(48,266	)	$	(2,714,480	)	$	126,457
Net Cash and Other Receivables/(Payables) (b)								25
Swaps, at Value							$	126,482

(a) Notional value represents the market value (including any fees or commissions) of the 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.

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

AQR Funds Annual Report December 2015

52

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	25 months maturity 11/10/2016		$189,085

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United States
CareTrust REIT, Inc.		62,239	$	—	$	681,517
	PRINCIPAL
Corporate Bonds
United Kingdom
Virgin Media Finance PLC	$	11,400,000		10,771,328		(230,291	)

REFERENCE ENTITY	PRINCIPAL		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Convertible Bonds
United States
HomeAway, Inc.	$	2,375,000	$	2,457,258	$	(84,482	)
Total of Long Equity and Bond Positions						366,744
Net Cash and Other Receivables/ (Payables) (b)						(177,659	)
Swaps, at Value					$	189,085

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap.	25 months maturity 10/19/2016		$(1,971,221	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual short positions and related values within the total return basket swap as of December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Japan
Yahoo Japan Corp.		(3,591,338	)	$	(13,645,986	)	$	(952,461	)
Net Cash and Other Receivables/ (Payables) (b)								(1,018,760	)
Swaps, at Value							$	(1,971,221	)

(a) Notional value represents the market value (including any fees or commissions) of the 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.

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

AQR Funds Annual Report December 2015

53

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap 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 12/19/2016		$978

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Italy
Telecom Italia SpA		471,432		$	469,174		$	14,669
Short Positions
Common Stocks
Italy
Telecom Italia SpA		(471,432	)		(583,973	)		(13,480	)
Total of Long and Short Equity Positions								1,189
Net Cash and Other Receivables/ (Payables) (b)								(211	)
Swaps, at Value							$	978

(a) Notional value represents the market value (including any fees or commissions) of the 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.

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

AQR Funds Annual Report December 2015

54

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Federal Funds floating rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap.	25 months maturity 08/31/2016		$(1,030,621	)

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Alcatel-Lucent		1,450,477	$	5,482,803	$	72,524
Ireland
Avolon Holdings Ltd.		99,567		3,036,793		45,801
King Digital Entertainment PLC		196,994		3,528,163		(5,910	)
						39,891
Israel
EZchip Semiconductor Ltd.		132,237		3,221,293		47,605
Netherlands
NXP Semiconductors NV		384		35,652		(3,300	)
Taiwan
Inotera Memories, Inc.		1,022,676		878,593		(15,966	)
United States
AGL Resources, Inc.		64,904		4,031,346		110,178
Airgas, Inc.		12,960		1,796,386		(3,758	)
Allergan PLC		10,769		3,280,916		84,397
American Residential Properties, Inc.		63,321		1,179,670		17,097
Ark Restaurants Corp.		16,640		388,045		(3,661	)
Astoria Financial Corp.		138,948		2,235,673		(33,348	)
Atmel Corp.		158,201		1,365,275		(3,164	)
Avangrid, Inc.		919		36,650		(1,360	)
Baker Hughes, Inc.		122,219		6,517,939		(877,532	)
Baxalta, Inc.		35,261		1,165,729		210,508
BioMed Realty Trust, Inc.		222,279		5,252,453		13,337
Blount International, Inc.		186,112		1,833,203		(7,444	)
Boulder Brands, Inc.		176,082		1,933,160		220
Broadcom Corp.		74,114		3,819,836		465,436
Cablevision Systems Corp.		103,795		3,422,121		(111,061	)
Cameron International Corp.		35,465		2,317,283		(75,895	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Chubb Corp./The		28,323	$	3,606,084	$	150,678
Cigna Corp.		26,565		3,750,932		136,324
Cleco Corp.		96,676		5,152,831		(105,377	)
Community Bank System, Inc.		5,282		201,362		9,601
Constant Contact, Inc.		93,789		2,672,986		69,404
Diamond Foods, Inc.		32,898		1,306,051		(37,833	)
Dyax Corp.		50,988		1,921,738		(3,569	)
EMC Corp.		61,859		1,610,808		(22,269	)
Fidelity & Guaranty Life		113,992		2,904,691		(12,714	)
First Niagara Financial Group, Inc.		405,156		4,421,175		(25,233	)
Hawaiian Electric Industries, Inc.		167,188		4,955,452		(115,360	)
Health Net, Inc.		61,760		3,996,440		231,650
Heartland Payment Systems, Inc.		15,837		1,519,243		(17,579	)
Humana, Inc.		29,858		5,573,593		(243,641	)
Inland Real Estate Corp.		210,426		2,287,331		(52,607	)
Jarden Corp.		79,859		4,541,581		19,965
Journal Media Group, Inc.		131,965		1,603,351		(17,132	)
Keurig Green Mountain, Inc.		34,943		3,135,435		8,736
KLA-Tencor Corp.		53,117		3,677,343		6,321
MedAssets, Inc.		90,884		2,804,250		7,701
Media General, Inc.		126,912		1,902,714		146,915
Metro Bancorp, Inc.		96,143		2,888,136		128,832
National Penn Bancshares, Inc.		304,417		3,652,780		100,682
NewBridge BanCorp.		30,865		378,544		(2,608	)
Norfolk Southern Corp.		10,525		914,096		(23,787	)
Office Depot, Inc.		1,378,912		9,845,432		(2,068,368	)
PartnerRe Ltd.		23,723		3,301,767		13,285
Pep Boys-Manny Moe & Jack/The		112,537		1,958,144		113,662
Pepco Holdings, Inc.		270,850		7,158,565		(113,757	)
Phoenix Cos., Inc.		36,312		1,319,172		25,825
Piedmont Natural Gas Co., Inc.		43,541		2,488,897		(6,189	)

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

AQR Funds Annual Report December 2015

55

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Pinnacle Entertainment, Inc.		5,923		$	216,486		$	(32,162	)
Plum Creek Timber Co., Inc.		64,713			3,121,755			(33,651	)
PMC-Sierra, Inc.		361,693			4,218,395			(15,522	)
Precision Castparts Corp.		25,161			5,824,017			13,587
RealD, Inc.		226,553			2,367,479			22,655
Rentrak Corp.		5,840			282,195			(4,619	)
Rite Aid Corp.		361,231			2,850,113			(18,062	)
SanDisk Corp.		62,592			4,731,329			25,037
Sirona Dental Systems, Inc.		4,697			519,622			(4,972	)
SolarWinds, Inc.		44,549			2,601,259			22,677
Solera Holdings, Inc.		79,487			4,314,554			43,718
StanCorp Financial Group, Inc.		36,699			4,206,439			(27,157	)
Starwood Hotels & Resorts Worldwide, Inc.		16,661			1,168,936			(14,662	)
Symetra Financial Corp.		147,810			4,692,967			2,956
TECO Energy, Inc.		113,820			3,069,725			(36,422	)
TeleCommunication Systems, Inc.		421,275			2,097,949			(4,213	)
Time Warner Cable, Inc.		7,025			1,315,993			(12,224	)
Vivint Solar, Inc.		201,310			2,455,982			(531,458	)
Wausau Paper Corp.		139,680			1,430,323			(1,397	)
Wilshire Bancorp, Inc.		86,652			1,061,487			(60,656	)
								(2,581,039	)
Total of Long Equity Positions							(2,440,285)
Rights
Netherlands
Prosensa Holding NV (3)		7,998			—			5,108
United States
Durata Therapeutics, Inc. (3)		89,246			87,949			4,443
Safeway, Inc. (3)		351,185			—			16,952
Safeway, Inc. (3)		351,185			—			51,874
								73,269
Total Rights								78,377
Total of Long Equity Positions and Rights								(2,361,908	)
Short Positions
Common Stocks
Finland
Nokia OYJ		(753,960	)		(5,285,260	)		(7,540	)
Ireland
Shire PLC		(5,949	)		(1,274,276	)		54,731
Singapore
Avago Technologies Ltd.		(12,696	)		(1,510,316	)		(332,508	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland
ACE Ltd.		(17,160	)	$	(1,879,192	)	$	(125,954	)
United Kingdom
Liberty Global PLC		(204	)		(7,963	)		(678	)
Liberty Global PLC		(494	)		(18,534	)		(1,607	)
								(2,285	)
United States
Aetna, Inc.		(25,006	)		(2,743,016	)		39,367
American Homes 4 Rent		(71,870	)		(1,178,668	)		(18,686	)
Anthem, Inc.		(13,687	)		(2,020,304	)		111,789
ARRIS Group, Inc.		(150,113	)		(4,318,963	)		(269,992	)
Ball Corp.		(34,881	)		(2,362,770	)		(174,125	)
BB&T Corp.		(67,829	)		(2,476,849	)		(87,766	)
Centene Corp.		(38,415	)		(2,353,830	)		(174,262	)
comScore, Inc.		(5,839	)		(246,050	)		5,775
DENTSPLY International, Inc.		(9,456	)		(580,375	)		4,978
Diebold, Inc.		(17,451	)		(551,626	)		26,526
Equinix, Inc.		(7,888	)		(2,248,446	)		(136,885	)
Expedia, Inc.		(116	)		(16,122	)		1,703
FNB Corp.		(228,148	)		(2,984,300	)		(59,195	)
Gaming and Leisure Properties, Inc.		(5,035	)		(151,352	)		11,379
Global Payments, Inc.		(10,571	)		(693,669	)		11,734
Gramercy Property Trust		(2,943	)		(21,366	)		(1,354	)
Halliburton Co.		(136,886	)		(5,092,851	)		433,252
Iron Mountain, Inc.		(55,244	)		(1,750,130	)		257,989
KeyCorp.		(275,506	)		(3,672,581	)		38,657
Lam Research Corp.		(26,559	)		(2,135,203	)		25,887
Microsemi Corp.		(27,895	)		(917,136	)		8,038
New York Community Bancorp, Inc.		(138,948	)		(2,307,926	)		40,295
Newell Rubbermaid, Inc.		(68,800	)		(3,045,776	)		13,072
Nexstar Broadcasting Group, Inc.		(12,996	)		(704,224	)		(58,641	)
NextEra Energy, Inc.		(40,343	)		(4,186,393	)		(4,841	)
Pfizer, Inc.		(121,689	)		(3,807,965	)		(120,156	)
Schlumberger Ltd.		(25,393	)		(1,873,574	)		102,412
Snyder’s-Lance, Inc.		(25,484	)		(913,601	)		39,500
Staples, Inc.		(296,041	)		(3,722,716	)		919,207
STERIS PLC		(3	)		(202	)		(24	)
Western Digital Corp.		(1,028	)		(62,009	)		278
Weyerhaeuser Co.		(103,629	)		(3,173,120	)		66,323
Yadkin Financial Corp.		(15,386	)		(387,258	)		(8	)
								1,052,226
Total of Short Equity Positions								638,670
Total of Long and Short Equity Positions and Rights								(1,723,238	)
Net Cash and Other Receivables/ (Payables) (b)								692,617
Swaps, at Value							$	(1,030,621	)

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

AQR Funds Annual Report December 2015

56

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

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

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

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward Swap Rate 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 08/19/2016		$2,447,770

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Amlin PLC		344,979	$	3,346,624	$	26,537
BG Group PLC		323,580		5,136,039		(445,475	)
Cable & Wireless Communications PLC		61,218		66,627		346
Pace PLC		1,032,212		5,805,629		515,459
Rexam PLC		570,443		4,438,916		649,152
SABMiller PLC		82,367		4,917,751		9,775
Telecity Group PLC		234,758		3,821,689		516,695
						1,272,489
Total of Long Equity Positions						1,272,489

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Netherlands
Royal Dutch Shell PLC		(144,123	)	$	(3,841,694	)	$	556,997
Royal Dutch Shell PLC		(3,269	)		691			(74,731	)
								482,266
Total of Long and Short Equity Positions								1,754,755
Net Cash and Other Receivables/ (Payables) (b)								693,015
Swaps, at Value							$	2,447,770

(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.

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

AQR Funds Annual Report December 2015

57

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Canadian Offered Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap.	25 months maturity 08/31/2016		$18,568

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Canexus Corp.		1,391,565		$	1,307,435		$	50,239
Short Positions
Common Stocks
Canada
Canadian Pacific Railway Ltd.		(5,870	)		(750,763	)		1,030
Superior Plus Corp.		(212,934	)		(1,646,588	)		(9,240	)
								(8,210	)
Total of Short Equity Positions								(8,210	)
Total of Long and Short Equity Positions								42,029
Net Cash and Other Receivables/ (Payables) (b)								(23,461	)
Swaps, at Value							$	18,568

(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.

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

AQR Funds Annual Report December 2015

58

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	12-24 months maturity ranging from 04/20/2016 - 09/26/2016		$1,094,341

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Delhaize Group		40,639	$	3,516,810	$	438,445
Germany
Wincor Nixdorf AG		40,208		2,018,748		(2,862	)
Italy
Ansaldo STS SpA		360,382		3,801,730		59,706
Enel Green Power SpA		332,829		716,352		(39,854	)
Italcementi SpA		234,156		2,568,268		37,956
						57,808
Netherlands
TNT Express NV		431,580		3,200,820		449,844
USG People NV		40,260		751,110		(2,115	)
						447,729
Total of Long Equity Positions						941,120

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Germany
Dialog Semiconductor PLC		(17,719	)	$	(594,622	)	$	3,363
Italy
Enel SpA		(161,755	)		(725,481	)		47,193
Netherlands
Koninklijke Ahold NV		(206,572	)		(3,948,455	)		(408,861	)
Total of Short Equity Positions								(358,305	)
Total of Long and Short Equity Positions								582,815
Net Cash and Other Receivables/ (Payables) (b)								511,526
Swaps, at Value							$	1,094,341

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

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

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

AQR Funds Annual Report December 2015

59

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives 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.	24 months maturity 08/22/2016		$(108,771	)

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Asciano Ltd.		194,096	$	1,243,040	$	(9,036	)
Recall Holdings Ltd.		320,814		1,773,033		(159,149	)
Veda Group Ltd.		1,162,074		2,283,420		75,631
						(92,554	)
Total of Long Equity Positions						(92,554	)
Net Cash and Other Receivables/ (Payables) (b)						(16,217	)
Swaps, at Value					$	(108,771	)

(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.

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

AQR Funds Annual Report December 2015

60

Schedule of Investments December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND

Total Return Basket Swaps* Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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.	12 months maturity 04/20/2016		$561,243

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

Additional Information — Total Return Basket Swaps

The following table represents the individual long positions and related values within the total return basket swap as of December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Private Placements
United States
Penson Technologies LLC		9,326,216	$	9	$	561,243
Net Cash and Other Receivables/ (Payables) (b)						—
Swaps, at Value					$	561,243

(a) Notional value represents the market value (including any fees or commissions) of the long 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 pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$800,647			$—		$800,647
Barclays Capital
Cash		—			3,774,535		3,774,535
CitiBank
Cash		—			5,261,637		5,261,637
Credit Suisse International
Cash		(430,000	)		—		(430,000	)
Deutsche Bank
Money Market Funds		48,686,226			—		48,686,226
J.P. Morgan
Cash		—			209,514		209,514

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

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61

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

LONG INVESTMENTS - 113.0%	SHARES		VALUE (Note 5)
COMMON STOCKS - 28.1%
Belgium - 0.9%
Ageas (a)		20,691	$	960,350
bpost SA (a)		26,832		658,387
Colruyt SA (a)		2,202		113,278
KBC Groep NV (a)		9,197		575,053
Proximus (a)		5,554		180,732
				2,487,800
Canada - 5.4%
Aimia, Inc. (1)(a)		16,076		109,327
Air Canada (1)†(a)		162,289		1,197,493
Alimentation Couche-Tard, Inc., Class B (1)(a)		6,872		302,503
Atco Ltd., Class I (1)		6,227		160,659
Bank of Montreal (1)(a)		2,298		129,672
Bank of Nova Scotia/The (1)(a)		1,657		67,025
Baytex Energy Corp. (1)		120,004		388,536
BlackBerry Ltd. (1)†(a)		30,285		281,029
Bombardier, Inc., Class B (1)†		346,920		335,964
Canadian Imperial Bank of Commerce (1)(a)		4,076		268,621
Canadian Tire Corp. Ltd., Class A (1)(a)		7,261		620,048
Canfor Corp. (1)†(a)		27,701		404,194
CCL Industries, Inc., Class B (1)(a)		2,546		412,839
CGI Group, Inc., Class A (1)†(a)		7,711		308,730
CI Financial Corp. (1)(a)		8,692		192,220
Constellation Software, Inc. (1)(a)		965		402,319
Dollarama, Inc. (1)(a)		6,191		357,670
Element Financial Corp. (1)		6,604		79,704
Empire Co., Ltd., Class A (1)(a)		40,918		761,169
Encana Corp. (1)		43,001		218,470
Enerplus Corp. (1)		53,101		182,286
Fairfax Financial Holdings Ltd. (1)(a)		181		85,930
George Weston Ltd. (1)(a)		6,973		538,912
IGM Financial, Inc. (1)(a)		3,269		83,491
Industrial Alliance Insurance & Financial Services, Inc. (1)		6,606		210,684
Intact Financial Corp. (1)(a)		2,701		173,104
Kinross Gold Corp. (1)†		75,943		137,759
Linamar Corp. (1)(a)		14,649		791,154
Magna International, Inc. (1)(a)		31,573		1,280,535
MEG Energy Corp. (1)†		15,300		88,680
Metro, Inc. (1)(a)		21,313		596,709
National Bank of Canada (1)(a)		1,538		44,805
Onex Corp. (1)(a)		4,531		277,748
Open Text Corp. (1)(a)		4,520		216,707
Progressive Waste Solutions Ltd. (1)(a)		17,850		420,546
Ritchie Bros Auctioneers, Inc. (1)(a)		30,950		745,735
Royal Bank of Canada (1)(a)		5,084		272,442
Saputo, Inc. (1)(a)		2,167		51,838
Shaw Communications, Inc., Class B (1)(a)		22,917		394,178
SNC-Lavalin Group, Inc. (1)(a)		17,188		510,783
Sun Life Financial, Inc. (1)(a)		3,610		112,576
West Fraser Timber Co., Ltd. (1)(a)		9,613		364,942
				14,579,736

	SHARES		VALUE (Note 5)
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		503,500	$	388,994
Denmark - 2.0%
Chr Hansen Holding A/S (a)		739		46,225
Danske Bank A/S		3,590		96,328
DSV A/S (a)		23,937		942,248
Genmab A/S †(a)		4,083		542,892
GN Store Nord A/S (a)		2,555		46,369
ISS A/S (a)		14,458		521,164
Novo Nordisk A/S, Class B (a)		21,546		1,247,475
Pandora A/S (a)		6,286		792,563
TDC A/S		98,234		489,111
Vestas Wind Systems A/S (a)		6,480		452,556
William Demant Holding A/S †		684		65,154
				5,242,085
Finland - 1.1%
Amer Sports OYJ (a)		18,182		530,839
Cargotec OYJ, B Shares		17,436		650,450
Elisa OYJ (a)		11,913		448,225
Kesko OYJ, B Shares (a)		16,874		591,467
Metso OYJ (a)		17,533		392,743
Neste OYJ (a)		2,090		62,378
Orion OYJ, Class B (a)		9,306		321,971
				2,998,073
Germany - 5.1%
Allianz SE (a)		3,843		677,437
Aurubis AG (a)		14,199		718,983
Bayer AG (a)		2,727		340,576
Brenntag AG (a)		6,527		340,107
Deutsche Lufthansa AG †(a)		50,641		797,650
Evonik Industries AG (a)		19,379		640,999
Freenet AG (a)		32,687		1,103,018
Hannover Rueck SE (a)		2,765		315,734
HeidelbergCement AG (a)		554		45,150
Hella KGaA Hueck & Co. (a)		3,551		147,467
HOCHTIEF AG (a)		15,383		1,426,735
HUGO BOSS AG (a)		1,547		127,642
K+S AG (a)		7,211		183,817
KION Group AG †(a)		15,062		746,890
Krones AG (a)		3,764		448,189
LANXESS AG (a)		4,930		226,865
Merck KGaA (a)		8,239		797,707
MTU Aero Engines AG (a)		1,343		130,895
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		2,695		536,944
OSRAM Licht AG (a)		20,074		838,672
ProSiebenSat.1 Media SE (a)		8,840		445,990
Rheinmetall AG (a)		11,319		752,395
RHOEN-KLINIKUM AG		1,507		45,208
Salzgitter AG (a)		7,895		192,932
Software AG (a)		14,335		408,572
STADA Arzneimittel AG (a)		9,734		392,527
Symrise AG (a)		1,129		74,738
Talanx AG (a)		12,114		372,560
United Internet AG (a)		1,951		107,264
Zalando SE 144A †(a)(b)		6,730		265,798
				13,649,461

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

AQR Funds Annual Report December 2015

62

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

	SHARES		VALUE (Note 5)
Hong Kong - 0.3%
Hongkong Land Holdings Ltd. (1)		77,800	$	532,930
Jardine Matheson Holdings Ltd.		5,000		242,650
				775,580
Italy - 2.3%
A2A SpA		347,329		470,303
Assicurazioni Generali SpA (a)		4,963		90,658
Atlantia SpA (a)		1,690		44,715
Autogrill SpA †		12,056		114,898
Banca Generali SpA		3,447		108,429
Banca Popolare di Milano Scarl		150,504		149,068
Buzzi Unicem SpA		11,428		204,850
Davide Campari-Milano SpA (a)		29,823		257,844
Enel SpA		64,714		271,365
Eni SpA (a)		24,946		370,653
FinecoBank Banca Fineco SpA		32,588		267,968
Finmeccanica SpA †(a)		15,275		212,388
Luxottica Group SpA (a)		693		45,159
Mediobanca SpA (a)		26,269		251,816
Moncler SpA		7,170		99,777
Prysmian SpA (a)		79,303		1,732,702
Recordati SpA		25,143		656,002
Snam SpA (a)		8,722		45,520
Unipol Gruppo Finanziario SpA		83,521		429,598
UnipolSai SpA		142,004		361,273
				6,184,986
Netherlands - 2.3%
Akzo Nobel NV (a)		4,440		296,675
ASM International NV (a)		1,692		66,333
Boskalis Westminster (a)		13,914		567,583
Delta Lloyd NV		10,439		61,537
Fugro NV CVA †		20,217		331,600
Heineken NV (a)		8,532		727,071
Koninklijke Ahold NV (a)		35,067		739,684
Koninklijke KPN NV		22,319		84,419
Koninklijke Vopak NV (a)		2,945		126,826
NN Group NV (a)		51,191		1,806,167
Randstad Holding NV (a)		13,926		867,192
Wolters Kluwer NV (a)		11,037		370,661
				6,045,748
Norway - 0.2%
Orkla ASA (a)		5,698		44,951
Yara International ASA (a)		12,282		528,227
				573,178
Portugal - 0.2%
Galp Energia SGPS SA (a)		16,653		194,318
Jeronimo Martins SGPS SA (a)		28,021		364,620
NOS SGPS SA		5,688		44,753
				603,691
Singapore - 0.5%
ComfortDelGro Corp. Ltd.		84,300		180,509
Genting Singapore PLC		443,400		239,248
Singapore Airlines Ltd.		106,200		836,801
United Overseas Bank Ltd.		3,800		52,390
Wilmar International Ltd.		23,000		47,457
				1,356,405

	SHARES		VALUE (Note 5)
Spain - 1.9%
Abengoa SA, B Shares		366,501	$	77,431
ACS Actividades de Construccion y Servicios SA (a)		8,822		258,110
Almirall SA		33,263		672,282
Ebro Foods SA		10,978		215,946
Enagas SA (a)		1,603		45,217
Endesa SA (a)		45,890		921,914
Gamesa Corp. Tecnologica SA (a)		22,976		393,348
Gas Natural SDG SA (a)		49,446		1,008,315
Iberdrola SA (a)		35,639		252,644
Industria de Diseno Textil SA (a)		13,979		480,237
Mediaset Espana Comunicacion SA (a)		43,365		471,803
Tecnicas Reunidas SA		9,417		356,055
				5,153,302
Sweden - 2.3%
BillerudKorsnas AB		46,755		865,276
Boliden AB (a)		21,125		353,932
Electrolux AB, Series B (a)		42,418		1,023,437
Hexpol AB		11,327		121,451
Husqvarna AB, B Shares		43,060		284,170
Securitas AB, B Shares (a)		24,801		379,230
Skanska AB, B Shares (a)		17,122		332,057
SKF AB, B Shares		12,546		202,634
Svenska Cellulosa AB SCA, Class B (a)		14,332		415,343
Swedish Match AB (a)		17,569		620,843
Swedish Orphan Biovitrum AB †		43,780		694,437
Tele2 AB, B Shares (a)		35,658		355,599
TeliaSonera AB (a)		130,329		647,199
				6,295,608
Switzerland - 2.8%
Actelion Ltd. †(a)		10,771		1,496,562
Adecco SA †(a)		13,258		907,414
Baloise Holding AG (a)		353		44,739
Clariant AG †(a)		11,564		219,264
DKSH Holding AG †(a)		1,571		98,807
EMS-Chemie Holding AG		102		44,890
Flughafen Zuerich AG (a)		1,428		1,071,446
Galenica AG (a)		120		187,746
GAM Holding AG †(a)		2,740		45,354
Helvetia Holding AG (a)		80		45,065
Julius Baer Group Ltd. †(a)		1,238		59,891
Kuehne + Nagel International AG (a)		2,012		275,642
Lonza Group AG †(a)		4,173		678,675
Partners Group Holding AG (a)		361		129,828
Sika AG (a)		61		220,441
Sonova Holding AG (a)		358		45,485
Straumann Holding AG		210		63,737
Sunrise Communications Group AG 144A †(a)(b)		1,066		62,839
Swiss Life Holding AG †(a)		2,532		681,994
Swiss Re AG (a)		10,646		1,039,755
Zurich Insurance Group AG †(a)		818		210,144
				7,629,718
United Kingdom - 0.6%
Dialog Semiconductor PLC †(a)		19,271		643,047
Fiat Chrysler Automobiles NV †(a)		17,761		246,662

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

AQR Funds Annual Report December 2015

63

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

	SHARES			VALUE (Note 5)
United Kingdom - 0.6% (continued)
Subsea 7 SA †		14,150		$	100,154
Unilever NV CVA (a)		11,414			497,174
					1,487,037
United States - 0.1%
Thomson Reuters Corp. (1)(a)		6,873			260,327
TOTAL COMMON STOCKS (cost $75,484,557)					75,711,729
MONEY MARKET FUNDS - 66.2%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% (c)(d)		133,521,947			133,521,947
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% (c)(d)		44,640,000			44,640,000
TOTAL MONEY MARKET FUNDS (cost $178,161,947)					178,161,947
SHORT-TERM INVESTMENTS - 18.7%		PRINCIPAL AMOUNT (000’s	)
U.S. Treasury Bill, 0.343%, 5/12/2016 (e)	$	1,120			1,118,702
U.S. Treasury Bill, 0.113%, 3/24/2016 (e)		1,435			1,434,435
U.S. Treasury Bill, 0.327%, 5/19/2016 (e)		11,695			11,680,229
U.S. Treasury Bill, 0.582%, 6/16/2016 (e)		3,531			3,523,553
U.S. Treasury Bill, 0.536%, 6/9/2016 (e)		3,785			3,777,578
U.S. Treasury Bill, 0.259%, 3/17/2016 (e)		3,354			3,353,319
U.S. Treasury Bill, 0.145%, 4/28/2016 (e)		17,475			17,460,356
U.S. Treasury Bill, 0.264%, 3/3/2016 (e)		1,714			1,713,698
U.S. Treasury Bill, 0.241%, 2/11/2016 (e)		3,790			3,789,473
U.S. Treasury Bill, 0.345%, 5/26/2016 (e)		1,434			1,431,786
U.S. Treasury Bill, 0.516%, 6/23/2016 (e)		1,242			1,239,239
TOTAL SHORT-TERM INVESTMENTS (cost $50,522,922)					50,522,368
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $304,169,426)					304,396,044
SECURITIES SOLD SHORT - (23.6)%		SHARES
COMMON STOCKS - (23.2)%
Austria - 0.0% (f)
ams AG		(1,415	)		(47,301	)

	SHARES			VALUE (Note 5)
Belgium - (0.6)%
Anheuser-Busch InBev SA/NV		(7,849	)	$	(976,786	)
Telenet Group Holding NV †		(1,277	)		(69,015	)
UCB SA		(5,739	)		(518,020	)
					(1,563,821	)
Canada - (6.0)%
Agnico Eagle Mines Ltd. (1)		(36,660	)		(963,593	)
Agrium, Inc. (1)		(4,058	)		(362,689	)
ARC Resources Ltd. (1)		(11,112	)		(134,112	)
Barrick Gold Corp. (1)		(19,825	)		(146,714	)
Canadian National Railway Co. (1)		(13,333	)		(745,326	)
Canadian Natural Resources Ltd. (1)		(9,459	)		(206,585	)
Canadian Utilities Ltd., Class A (1)		(49,135	)		(1,134,185	)
Eldorado Gold Corp. (1)		(81,289	)		(240,865	)
Enbridge, Inc. (1)		(31,477	)		(1,046,428	)
First Quantum Minerals Ltd. (1)		(115,631	)		(432,875	)
Franco-Nevada Corp. (1)		(20,549	)		(940,053	)
Gildan Activewear, Inc. (1)		(26,744	)		(760,359	)
Goldcorp, Inc. (1)		(34,335	)		(396,774	)
Hudson’s Bay Co. (1)		(6,079	)		(79,519	)
Husky Energy, Inc. (1)		(13,714	)		(141,828	)
Imperial Oil Ltd. (1)		(37,181	)		(1,211,332	)
Inter Pipeline Ltd. (1)		(14,804	)		(237,622	)
Keyera Corp. (1)		(9,794	)		(284,965	)
Loblaw Cos., Ltd. (1)		(2,544	)		(120,131	)
Manulife Financial Corp. (1)		(5,233	)		(78,436	)
Methanex Corp. (1)		(20,351	)		(672,140	)
Pembina Pipeline Corp. (1)		(22,995	)		(501,047	)
Potash Corp of Saskatchewan, Inc. (1)		(6,221	)		(106,553	)
PrairieSky Royalty Ltd. (1)		(11,658	)		(184,681	)
Precision Drilling Corp. (1)		(114,766	)		(453,689	)
Restaurant Brands International, Inc. (1)		(17,057	)		(637,927	)
Rogers Communications, Inc., Class B (1)		(15,606	)		(538,208	)
Silver Wheaton Corp. (1)		(25,565	)		(317,784	)
Suncor Energy, Inc. (1)		(31,264	)		(807,075	)
Toronto-Dominion Bank/The (1)		(5,269	)		(206,541	)
Tourmaline Oil Corp. (1)†		(17,615	)		(284,524	)
TransAlta Corp. (1)		(101,688	)		(360,836	)
TransCanada Corp. (1)		(39,134	)		(1,278,070	)
Vermilion Energy, Inc. (1)		(8,159	)		(221,768	)
Yamana Gold, Inc. (1)		(38,922	)		(72,291	)
					(16,307,525	)
Denmark - (0.5)%
Carlsberg A/S, Class B		(3,704	)		(328,144	)
H Lundbeck A/S †		(1,736	)		(59,276	)
Novozymes A/S, B Shares		(9,926	)		(475,246	)
Tryg A/S		(19,971	)		(396,855	)
					(1,259,521	)
Finland - (1.0)%
Kone OYJ, Class B		(2,071	)		(87,688	)
Nokia OYJ		(262,121	)		(1,854,381	)
Nokian Renkaat OYJ		(14,868	)		(530,806	)
Wartsila OYJ Abp		(6,897	)		(314,903	)
					(2,787,778	)

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

AQR Funds Annual Report December 2015

64

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

	SHARES			VALUE (Note 5)
Germany - (4.0)%
adidas AG		(2,259	)	$	(219,257	)
BASF SE		(2,429	)		(185,037	)
Bayerische Motoren Werke AG		(13,758	)		(1,449,426	)
Beiersdorf AG		(6,140	)		(558,073	)
Bilfinger SE		(4,214	)		(198,035	)
Commerzbank AG †		(5,158	)		(53,223	)
Continental AG		(2,266	)		(548,168	)
Daimler AG		(5,205	)		(434,899	)
Deutsche Post AG		(14,590	)		(407,904	)
Deutsche Telekom AG		(36,384	)		(653,480	)
Duerr AG		(4,474	)		(355,067	)
E.ON SE		(43,633	)		(418,964	)
Fresenius Medical Care AG & Co. KGaA		(2,818	)		(236,809	)
Infineon Technologies AG		(30,076	)		(438,469	)
Linde AG		(1,103	)		(159,338	)
MAN SE		(542	)		(54,467	)
Rocket Internet SE 144A †(b)		(21,109	)		(643,056	)
RWE AG		(122,853	)		(1,548,855	)
SAP SE		(7,270	)		(576,898	)
Siemens AG		(5,969	)		(577,476	)
Telefonica Deutschland Holding AG		(30,003	)		(158,256	)
ThyssenKrupp AG		(3,550	)		(70,373	)
Wirecard AG		(15,919	)		(795,712	)
					(10,741,242	)
Italy - (0.3)%
Banca Popolare dell’Emilia Romagna SC		(5,819	)		(44,138	)
Banco Popolare SC †		(3,204	)		(44,152	)
Mediaset SpA		(46,697	)		(193,507	)
Salvatore Ferragamo SpA		(14,852	)		(348,103	)
UniCredit SpA		(29,557	)		(163,412	)
					(793,312	)
Luxembourg - (0.6)%
APERAM SA †		(1,278	)		(45,439	)
ArcelorMittal		(167,236	)		(705,603	)
Tenaris SA		(73,674	)		(872,400	)
					(1,623,442	)
Netherlands - (1.5)%
Aalberts Industries NV		(2,910	)		(100,266	)
Altice NV, Class A †		(10,155	)		(145,900	)
ASML Holding NV		(11,549	)		(1,026,146	)
Gemalto NV		(9,973	)		(598,400	)
Koninklijke Philips NV		(59,785	)		(1,525,969	)
QIAGEN NV †		(2,128	)		(57,678	)
SBM Offshore NV †		(46,037	)		(581,573	)
					(4,035,932	)
Norway - (0.5)%
Gjensidige Forsikring ASA		(30,068	)		(481,242	)
Marine Harvest ASA †		(13,077	)		(175,949	)
Norsk Hydro ASA		(11,917	)		(44,297	)
Schibsted ASA, Class A		(15,435	)		(507,451	)
Telenor ASA		(3,424	)		(57,073	)
					(1,266,012	)

	SHARES			VALUE (Note 5)
Portugal - (0.4)%
Banco Comercial Portugues SA †		(4,112,113	)	$	(217,914	)
EDP - Energias de Portugal SA		(266,546	)		(960,456	)
					(1,178,370	)
Singapore - (1.4)%
CapitaLand Ltd.		(180,100	)		(423,323	)
City Developments Ltd.		(26,700	)		(143,636	)
DBS Group Holdings Ltd.		(11,400	)		(133,602	)
Global Logistic Properties Ltd.		(245,400	)		(370,594	)
Golden Agri-Resources Ltd.		(874,800	)		(208,957	)
Hutchison Port Holdings Trust (1)		(544,600	)		(283,192	)
Keppel Corp. Ltd.		(142,000	)		(648,681	)
Oversea-Chinese Banking Corp. Ltd.		(89,800	)		(555,182	)
Singapore Post Ltd.		(394,200	)		(455,096	)
Singapore Press Holdings Ltd.		(61,800	)		(171,297	)
Singapore Telecommunications Ltd.		(98,600	)		(254,217	)
UOL Group Ltd.		(10,300	)		(45,141	)
					(3,692,918	)
Spain - (1.6)%
Acerinox SA		(4,260	)		(43,452	)
Amadeus IT Holding SA, A Shares		(13,926	)		(613,784	)
Atresmedia Corp. de Medios de Comunicacion SA		(17,820	)		(189,821	)
Banco de Sabadell SA		(146,975	)		(260,482	)
Banco Popular Espanol SA		(158,260	)		(521,449	)
Bankia SA		(229,042	)		(266,540	)
Bankinter SA		(35,508	)		(251,799	)
CaixaBank SA		(108,278	)		(376,874	)
Cellnex Telecom SAU 144A (b)		(41,422	)		(774,466	)
Distribuidora Internacional de Alimentacion SA †		(23,044	)		(135,916	)
Grifols SA		(975	)		(45,066	)
Obrascon Huarte Lain SA		(75,915	)		(433,221	)
Repsol SA		(4,654	)		(51,237	)
Telefonica SA		(23,775	)		(263,758	)
Zardoya Otis SA		(6,205	)		(72,570	)
					(4,300,435	)
Sweden - (1.3)%
Assa Abloy AB, Class B		(21,838	)		(457,128	)
Atlas Copco AB, A Shares		(5,363	)		(131,527	)
Getinge AB, B Shares		(17,162	)		(449,563	)
Hennes & Mauritz AB, B Shares		(16,717	)		(594,628	)
Hexagon AB, B Shares		(16,214	)		(599,802	)
Meda AB, A Shares		(6,818	)		(85,954	)
Nordea Bank AB		(10,736	)		(117,793	)
Skandinaviska Enskilda Banken AB, Class A		(6,390	)		(67,200	)
Svenska Handelsbanken AB, A Shares		(30,041	)		(398,989	)
Swedbank AB, A Shares		(9,831	)		(216,514	)
Telefonaktiebolaget LM Ericsson, B Shares		(24,458	)		(235,807	)
Trelleborg AB, B Shares		(4,659	)		(90,421	)
					(3,445,326	)

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

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	SHARES			VALUE (Note 5)
Switzerland - (2.4)%
Aryzta AG †		(7,992	)	$	(404,306	)
Barry Callebaut AG †		(189	)		(205,296	)
Chocoladefabriken Lindt & Spruengli AG		(34	)		(212,320	)
Cie Financiere Richemont SA		(15,798	)		(1,130,709	)
Dufry AG †		(11,618	)		(1,382,336	)
Geberit AG		(561	)		(190,012	)
LafargeHolcim Ltd. †		(21,153	)		(1,059,233	)
OC Oerlikon Corp. AG †		(7,342	)		(65,354	)
Roche Holding AG		(1,177	)		(326,157	)
SGS SA		(40	)		(76,020	)
Swatch Group AG/The		(1,747	)		(606,672	)
Swisscom AG		(1,328	)		(664,537	)
UBS Group AG		(9,606	)		(186,351	)
					(6,509,303	)
United Kingdom - (0.8)%
CNH Industrial NV		(270,743	)		(1,854,304	)
RELX NV		(18,527	)		(312,037	)
					(2,166,341	)
United States - (0.3)%
Valeant Pharmaceuticals International, Inc. (1)†		(6,892	)		(700,108	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $64,743,449)					(62,418,687	)
PREFERRED STOCKS - (0.4)%
Germany - (0.4)%
Henkel AG & Co. KGaA		(4,674	)		(521,628	)
Volkswagen AG		(4,601	)		(664,290	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $1,164,117)					(1,185,918	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $65,907,566)					(63,604,605	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 89.4% (cost $238,261,860)					240,791,439
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.6% (g)				28,423,836
NET ASSETS - 100.0%				$	269,215,275

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(1,431,785	)		(0.5	)%
Consumer Staples		3,039,303			1.1
Energy		(6,078,979	)		(2.3	)
Financials		5,879,650			2.2
Health Care		5,816,176			2.2
Industrials		12,254,627			4.6
Information Technology		(4,995,756	)		(1.9	)
Materials		(1,135,899	)		(0.4	)
Telecommunication Services		7,146			0.0	(f)
Utilities		(1,247,359	)		(0.5	)
Money Market Funds		178,161,947			66.2
Short-Term Investments		50,522,368			18.7
Total Investments In Securities, At Value	240,791,439			89.4
Other Assets in Excess of Liabilities (g)		28,423,836			10.6
Net Assets	$	269,215,275			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 December 31, 2015, the value of these securities was $54,149,034. In addition, $10,693,408 of cash collateral was pledged.

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

(c) Represents annualized seven-day yield as of the close of the reporting period.

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

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

(f) Represents less than 0.05% of net assets.

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

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:

144A - Restricted Security

CVA - Dutch Certification

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

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Schedule of Investments December 31, 2015

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Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		3,363,353			$2,451,347			$2,431,164			$(20,183	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		444,353			332,240			321,195			(11,045	)
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		423,000			424,115			423,634			(481	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		423,000			424,115			423,634			(481	)
Euro, Expiring 03/16/16	CitiBank	EUR		12,000			13,177			13,065			(112	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		5,118,500			587,503			577,850			(9,653	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		359,500			41,417			40,585			(832	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		2,352,500			1,663,909			1,655,220			(8,689	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		745,500			528,151			524,535			(3,616	)
							$6,465,974			$6,410,882			$(55,092	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(1,388,000	)		$(1,018,839	)		$(1,003,301	)		$15,538
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(1,388,000	)		(1,407,329	)		(1,390,080	)		17,249
Danish Krone, Expiring 03/16/16	CitiBank	DKK		(16,027,000	)		(2,347,370	)		(2,339,000	)		8,370
Danish Krone, Expiring 03/16/16	Credit Suisse International	DKK		(8,845,000	)		(1,288,255	)		(1,290,850	)		(2,595	)
Euro, Expiring 03/16/16	CitiBank	EUR		(6,292,500	)		(6,861,229	)		(6,850,940	)		10,289
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(1,018,500	)		(1,084,141	)		(1,108,889	)		(24,748	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		(5,332,000	)		(688,230	)		(688,390	)		(160	)
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(181,000	)		(23,364	)		(23,368	)		(4	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(1,077,000	)		(124,101	)		(121,587	)		2,514
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(17,027,000	)		(2,001,530	)		(2,021,278	)		(19,748	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(6,471,000	)		(746,442	)		(768,174	)		(21,732	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(92,000	)		(65,112	)		(64,731	)		381
							(17,655,942	)		(17,670,588	)		(14,646	)
							$(11,189,968	)		$(11,259,706	)		$(69,738	)

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

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CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro

HKD - Hong Kong Dollar

NOK - Norwegian Krone

SEK - Swedish Krona

SGD - Singapore Dollar

USD - United States Dollar

Total Return Basket Swaps* Outstanding at December 31, 2015

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives 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.	10-25 months maturity 10/14/2016		$432,864

* 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
ABC-Mart, Inc.		800	$	45,229	$	(1,439	)
Ajinomoto Co., Inc.		5,000		107,466		10,912
Alfresa Holdings Corp.		8,100		146,568		13,409
Alps Electric Co., Ltd.		15,200		418,857		(6,663	)
Amada Holdings Co., Ltd.		68,400		661,171		(8,451	)
Aozora Bank Ltd.		26,000		101,216		(10,480	)
Asahi Kasei Corp.		8,000		68,150		(14,053	)
Astellas Pharma, Inc.		16,400		237,197		(3,730	)
Bandai Namco Holdings, Inc.		41,600		952,880		(73,991	)
Bank of Yokohama Ltd./The		32,000		195,143		1,005
Bridgestone Corp.		19,900		729,555		(46,957	)
Central Japan Railway Co.		700		104,916		19,357
Chiba Bank Ltd./The		13,000		95,317		(3,066	)
Chubu Electric Power Co., Inc.		93,500		1,357,806		(77,442	)
Chugoku Bank Ltd./The		7,300		103,886		(6,476	)
Dai Nippon Printing Co., Ltd.		5,000		50,376		(933	)
Daicel Corp.		18,200		229,627		41,224
Dai-ichi Life Insurance Co., Ltd./The		57,400		945,086		9,917
Daiichi Sankyo Co., Ltd.		11,900		237,139		8,473
DeNA Co., Ltd.		47,600		781,893		(37,603	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Disco Corp.		1,400	$	121,564	$	10,276
Don Quijote Holdings Co., Ltd.		9,300		357,080		(30,476	)
Ezaki Glico Co., Ltd.		1,600		73,860		12,578
Fuji Electric Co., Ltd.		17,000		71,836		(541	)
Fuji Heavy Industries Ltd.		36,300		1,323,037		172,388
FUJIFILM Holdings Corp.		11,500		458,064		21,859
Fujitsu Ltd.		27,000		150,664		(15,903	)
Fukuoka Financial Group, Inc.		9,000		41,901		2,727
Gunma Bank Ltd./The		26,000		161,345		(10,175	)
Hachijuni Bank Ltd./The		23,000		159,786		(19,026	)
Hakuhodo DY Holdings, Inc.		43,000		432,072		33,169
Haseko Corp.		100,600		1,124,981		(12,710	)
Hikari Tsushin, Inc.		700		46,714		955
Hiroshima Bank Ltd./The		8,000		44,823		647
Hitachi Chemical Co., Ltd.		12,200		197,603		(4,054	)
Hitachi High-Technologies Corp.		15,000		366,011		39,636
Hitachi Metals Ltd.		6,600		99,479		(18,047	)
Hokuhoku Financial Group, Inc.		111,000		247,462		(21,183	)
Hoshizaki Electric Co., Ltd.		1,100		73,459		(5,077	)
Hoya Corp.		29,300		1,060,661		137,491
Ibiden Co., Ltd.		2,700		43,470		(4,762	)

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

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Idemitsu Kosan Co., Ltd.		4,100	$	63,492	$	1,973
Iida Group Holdings Co., Ltd.		6,800		108,179		17,852
Inpex Corp.		21,200		210,793		(4,116	)
Isuzu Motors Ltd.		78,300		856,350		(12,853	)
ITOCHU Corp.		13,800		168,716		(5,483	)
Itochu Techno-Solutions Corp.		32,100		682,469		(42,897	)
Iyo Bank Ltd./The		5,300		59,028		(7,535	)
Izumi Co., Ltd.		9,600		383,817		(11,122	)
Japan Airlines Co., Ltd.		33,000		1,129,337		51,829
Japan Petroleum Exploration Co., Ltd.		26,000		708,107		(9,815	)
JSR Corp.		6,200		109,440		(12,817	)
JTEKT Corp.		24,800		411,437		(5,508	)
JX Holdings, Inc.		136,400		560,426		12,056
Kaken Pharmaceutical Co., Ltd.		13,000		915,508		(27,177	)
Kamigumi Co., Ltd.		34,000		282,855		9,879
Kaneka Corp.		36,000		357,861		16,332
Kansai Electric Power Co., Inc./The		7,700		91,580		741
KDDI Corp.		5,900		139,806		13,419
Kewpie Corp.		5,600		133,933		4,397
Kobayashi Pharmaceutical Co., Ltd.		600		45,537		3,741
Koito Manufacturing Co., Ltd.		7,600		300,775		10,881
Konami Corp.		39,600		914,999		27,661
Konica Minolta, Inc.		73,500		800,523		(64,407	)
Kurita Water Industries Ltd.		2,200		50,110		(4,039	)
Lawson, Inc.		600		44,321		4,382
LIXIL Group Corp.		8,300		173,532		10,808
M3, Inc.		3,700		74,202		2,515
Mazda Motor Corp.		32,600		671,177		1,516
Medipal Holdings Corp.		45,200		740,676		29,712
MEIJI Holdings Co., Ltd.		2,100		159,591		13,868
Miraca Holdings, Inc.		4,000		179,645		(3,639	)
MISUMI Group, Inc.		13,100		138,479		42,480
Mitsubishi Chemical Holdings Corp.		27,300		176,475		(3,264	)
Mitsubishi Electric Corp.		144,000		1,505,232		6,314
Mitsubishi Motors Corp.		231,500		2,005,258		(46,644	)
Mitsubishi Tanabe Pharma Corp.		53,300		932,315		(14,029	)
Mitsubishi UFJ Financial Group, Inc.		24,200		172,450		(22,550	)
Mitsui Chemicals, Inc.		119,000		521,943		5,823
Mixi, Inc.		22,600		829,239		16,078
Mizuho Financial Group, Inc.		85,400		185,940		(15,140	)
MS&AD Insurance Group Holdings, Inc.		28,300		820,220		9,669
Murata Manufacturing Co., Ltd.		2,200		295,185		21,354
Nexon Co., Ltd.		49,300		745,153		56,847
NHK Spring Co., Ltd.		81,300		800,506		14,631

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nintendo Co., Ltd.		2,000	$	338,677	$	(63,657	)
Nippon Express Co., Ltd.		154,000		770,624		(46,943	)
Nippon Shokubai Co., Ltd.		4,700		343,854		(16,805	)
Nippon Telegraph & Telephone Corp.		45,700		1,718,226		100,548
Nippon Yusen KK		64,000		158,258		(3,142	)
Nisshin Seifun Group, Inc.		13,000		212,185		163
Nitori Holdings Co., Ltd.		600		38,937		11,452
Nitto Denko Corp.		4,400		300,515		20,710
NOK Corp.		30,700		827,989		(110,811	)
Nomura Research Institute Ltd.		5,540		208,860		3,897
NSK Ltd.		28,700		317,696		(5,844	)
NTN Corp.		85,000		370,745		(12,329	)
Obic Co., Ltd.		5,800		272,799		34,222
Omron Corp.		1,500		63,096		(13,076	)
Oracle Corp. Japan		10,900		489,887		17,618
ORIX Corp.		25,500		351,577		6,149
Osaka Gas Co., Ltd.		13,000		49,310		(2,355	)
Otsuka Corp.		15,300		741,737		9,857
Otsuka Holdings Co., Ltd.		14,200		467,355		37,156
Panasonic Corp.		61,000		655,839		(37,451	)
Park24 Co., Ltd.		3,500		63,244		21,552
Pola Orbis Holdings, Inc.		23,100		1,442,994		79,495
Recruit Holdings Co., Ltd.		1,500		47,109		(3,018	)
Resona Holdings, Inc.		20,600		111,021		(10,983	)
Rohm Co., Ltd.		7,800		393,659		1,418
Sankyo Co., Ltd.		17,300		654,268		(8,498	)
Santen Pharmaceutical Co., Ltd.		33,600		517,892		35,279
Sega Sammy Holdings, Inc.		16,500		168,322		(13,991	)
Sekisui Chemical Co., Ltd.		41,800		492,682		53,070
Shimadzu Corp.		30,000		449,680		52,518
Shimamura Co., Ltd.		2,300		225,870		43,481
Shimizu Corp.		7,000		48,460		8,619
Shinsei Bank Ltd.		25,000		49,953		(3,945	)
Shionogi & Co., Ltd.		10,600		470,012		9,428
Sojitz Corp.		480,300		1,031,547		(23,599	)
Sompo Japan Nipponkoa Holdings, Inc.		18,300		605,957		(5,082	)
Sony Corp.		14,000		377,277		(33,201	)
Sony Financial Holdings, Inc.		2,500		44,536		183
Sugi Holdings Co., Ltd.		5,000		226,888		48,976
Sumitomo Chemical Co., Ltd.		110,000		619,187		12,553
Sumitomo Mitsui Financial Group, Inc.		2,900		128,746		(19,297	)
Sumitomo Rubber Industries Ltd.		8,200		141,047		(34,420	)
Sundrug Co., Ltd.		8,200		527,683		(450	)
Suruga Bank Ltd.		2,600		50,787		2,796
Suzuken Co., Ltd./Aichi Japan		25,300		920,547		40,908

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

AQR Funds Annual Report December 2015

69

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Suzuki Motor Corp.		2,300		$	63,073		$	6,810
T&D Holdings, Inc.		45,800			575,423			28,841
Taiheiyo Cement Corp.		52,000			159,867			(8,011	)
TDK Corp.		1,400			94,232			(4,571	)
Teijin Ltd.		178,000			621,593			(14,992	)
Toho Gas Co., Ltd.		67,000			420,458			12,243
Tohoku Electric Power Co., Inc.		62,500			814,373			(33,041	)
Tokio Marine Holdings, Inc.		9,600			369,027			1,769
Tokyo Broadcasting System Holdings, Inc.		2,900			41,491			4,425
Tokyo Electric Power Co., Inc.		196,800			1,219,663			(86,438	)
Tokyo Gas Co., Ltd.		136,000			646,150			(7,114	)
Toppan Printing Co., Ltd.		22,000			198,810			3,880
Tosoh Corp.		85,000			445,968			(8,727	)
Toyo Suisan Kaisha Ltd.		6,100			219,080			(6,480	)
Toyoda Gosei Co., Ltd.		4,700			108,200			(1,430	)
Toyota Boshoku Corp.		26,300			547,432			(18,081	)
Trend Micro, Inc.		1,200			45,613			3,079
Tsuruha Holdings, Inc.		6,100			516,986			11,555
West Japan Railway Co.		2,300			134,089			24,894
Yamaguchi Financial Group, Inc.		10,000			121,897			(3,425	)
								284,845
Total of Long Equity Positions								284,845
Short Positions
Common Stocks
Japan
Advantest Corp.		(16,600	)		(140,713	)		3,012
Aeon Co., Ltd.		(42,800	)		(606,661	)		(52,784	)
AEON Financial Service Co., Ltd.		(12,200	)		(262,438	)		(10,095	)
Aisin Seiki Co., Ltd.		(4,000	)		(173,937	)		1,784
ANA Holdings, Inc.		(117,000	)		(336,829	)		(729	)
Asahi Glass Co., Ltd.		(84,000	)		(488,659	)		7,436
Asahi Group Holdings Ltd.		(21,600	)		(682,124	)		5,948
Asics Corp.		(31,300	)		(709,344	)		59,947
Brother Industries Ltd.		(13,000	)		(152,107	)		2,766
Calbee, Inc.		(15,000	)		(607,164	)		(26,272	)
Canon, Inc.		(21,000	)		(639,057	)		3,806
Century Tokyo Leasing Corp.		(1,900	)		(67,762	)		(109	)
Chugai Pharmaceutical Co., Ltd.		(21,200	)		(729,257	)		(9,703	)
Chugoku Electric Power Co., Inc./The		(24,700	)		(318,075	)		(8,049	)
Citizen Holdings Co., Ltd.		(6,300	)		(44,409	)		(871	)
Credit Saison Co., Ltd.		(25,100	)		(475,758	)		(18,767	)
Daihatsu Motor Co., Ltd.		(17,700	)		(241,198	)		2,425
Daikin Industries Ltd.		(6,900	)		(469,991	)		(32,478	)
Daiwa Securities Group, Inc.		(11,000	)		(75,812	)		8,561

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Denso Corp.		(25,300	)	$	(1,158,355	)	$	(50,618	)
Eisai Co., Ltd.		(3,300	)		(182,303	)		(35,995	)
Electric Power Development Co., Ltd.		(10,000	)		(354,285	)		(1,881	)
FamilyMart Co., Ltd.		(5,400	)		(251,784	)		495
Fast Retailing Co., Ltd.		(1,800	)		(661,406	)		31,745
Hamamatsu Photonics KK		(25,400	)		(685,669	)		(10,678	)
Hirose Electric Co., Ltd.		(1,400	)		(169,052	)		(449	)
Hitachi Construction Machinery Co., Ltd.		(27,100	)		(418,268	)		(3,200	)
Hitachi Ltd.		(56,000	)		(324,300	)		6,983
Hokkaido Electric Power Co., Inc.		(2,700	)		(17,428	)		(10,313	)
Honda Motor Co., Ltd.		(26,600	)		(816,568	)		(33,609	)
IHI Corp.		(386,000	)		(1,193,563	)		128,010
Isetan Mitsukoshi Holdings Ltd.		(9,500	)		(128,946	)		5,056
J Front Retailing Co., Ltd.		(13,700	)		(215,880	)		16,714
Japan Airport Terminal Co., Ltd.		(15,900	)		(745,144	)		41,266
Japan Tobacco, Inc.		(33,900	)		(1,206,613	)		(37,983	)
JFE Holdings, Inc.		(26,600	)		(429,170	)		11,486
JGC Corp.		(24,000	)		(409,912	)		42,563
Kajima Corp.		(14,000	)		(83,385	)		65
Kakaku.com, Inc.		(22,600	)		(409,387	)		(35,146	)
Kao Corp.		(10,600	)		(499,968	)		(44,753	)
Kawasaki Heavy Industries Ltd.		(47,000	)		(175,744	)		1,849
Keihan Electric Railway Co., Ltd.		(34,000	)		(224,929	)		(2,777	)
Keikyu Corp.		(28,000	)		(229,456	)		(1,915	)
Keio Corp.		(75,000	)		(589,472	)		(58,207	)
Keyence Corp.		(200	)		(99,148	)		(10,773	)
Kikkoman Corp.		(8,000	)		(247,242	)		(29,937	)
Kintetsu Group Holdings Co., Ltd.		(73,000	)		(265,838	)		(30,964	)
Kirin Holdings Co., Ltd.		(35,400	)		(485,585	)		4,954
Kobe Steel Ltd.		(90,000	)		(101,656	)		3,870
Komatsu Ltd.		(18,100	)		(316,574	)		20,413
Kubota Corp.		(30,000	)		(473,476	)		10,017
Kyocera Corp.		(1,800	)		(98,123	)		14,530
Kyushu Electric Power Co., Inc.		(133,000	)		(1,451,814	)		2,232
Mabuchi Motor Co., Ltd.		(3,200	)		(177,081	)		3,658
Makita Corp.		(9,700	)		(553,278	)		(5,701	)
Marubeni Corp.		(66,700	)		(349,024	)		6,113
Marui Group Co., Ltd.		(72,100	)		(862,228	)		(311,027	)
Maruichi Steel Tube Ltd.		(4,000	)		(118,903	)		816
Minebea Co., Ltd.		(58,000	)		(759,509	)		262,915
Mitsubishi Heavy Industries Ltd.		(103,000	)		(506,150	)		55,782
Mitsubishi Logistics Corp.		(65,000	)		(845,740	)		(10,711	)
Mitsui OSK Lines Ltd.		(255,000	)		(713,326	)		70,145
Nagoya Railroad Co., Ltd.		(35,000	)		(145,390	)		(284	)
NGK Insulators Ltd.		(11,000	)		(259,608	)		11,666

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

AQR Funds Annual Report December 2015

70

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
NGK Spark Plug Co., Ltd.		(55,200	)	$	(1,438,199	)	$	(15,133	)
Nidec Corp.		(13,300	)		(983,411	)		18,949
Nippon Electric Glass Co., Ltd.		(65,000	)		(325,670	)		(1,941	)
Nippon Paint Holdings Co., Ltd.		(53,900	)		(1,209,883	)		(94,607	)
Nippon Steel & Sumitomo Metal Corp.		(25,500	)		(513,368	)		8,917
Nissan Chemical Industries Ltd.		(2,000	)		(45,433	)		30
Nissan Motor Co., Ltd.		(23,200	)		(230,375	)		(12,546	)
Nomura Holdings, Inc.		(45,900	)		(272,107	)		16,442
Obayashi Corp.		(6,000	)		(41,173	)		(14,191	)
Odakyu Electric Railway Co., Ltd.		(90,000	)		(865,244	)		(103,769	)
Oji Holdings Corp.		(11,000	)		(44,840	)		631
Olympus Corp.		(9,000	)		(326,410	)		(27,908	)
Ono Pharmaceutical Co., Ltd.		(2,700	)		(315,291	)		(166,150	)
Oriental Land Co., Ltd.		(23,800	)		(1,351,586	)		(88,230	)
Pigeon Corp.		(17,600	)		(421,556	)		(5,422	)
Rakuten, Inc.		(24,400	)		(332,055	)		51,022
Ricoh Co., Ltd.		(136,900	)		(1,385,835	)		(23,798	)
Rinnai Corp.		(3,800	)		(333,888	)		(2,806	)
Ryohin Keikaku Co., Ltd.		(400	)		(79,621	)		(1,384	)
Secom Co., Ltd.		(4,500	)		(305,718	)		754
Seibu Holdings, Inc.		(8,300	)		(202,328	)		32,823
Seiko Epson Corp.		(31,800	)		(503,111	)		13,418
Seven & i Holdings Co., Ltd.		(7,200	)		(329,682	)		33
Shikoku Electric Power Co., Inc.		(36,700	)		(571,460	)		(1,840	)
Shimano, Inc.		(8,200	)		(1,243,159	)		(16,022	)
Shiseido Co., Ltd.		(15,700	)		(346,108	)		20,355
SoftBank Group Corp.		(30,100	)		(1,604,136	)		84,977
Sohgo Security Services Co., Ltd.		(8,800	)		(394,893	)		(17,817	)
Stanley Electric Co., Ltd.		(32,000	)		(692,294	)		(9,708	)
Sumco Corp.		(160,100	)		(1,744,172	)		536,298
Sumitomo Corp.		(9,800	)		(98,368	)		(1,546	)
Sumitomo Dainippon Pharma Co., Ltd.		(13,000	)		(154,419	)		1,260
Sumitomo Metal Mining Co., Ltd.		(29,000	)		(351,522	)		(507	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Sumitomo Mitsui Trust Holdings, Inc.		(12,000	)	$	(48,115	)	$	2,667
Suntory Beverage & Food Ltd.		(3,600	)		(154,850	)		(2,744	)
Sysmex Corp.		(700	)		(45,587	)		686
Taisei Corp.		(79,000	)		(523,266	)		2,896
Taiyo Nippon Sanso Corp.		(15,800	)		(154,948	)		12,057
Takashimaya Co., Ltd.		(27,000	)		(219,598	)		(23,550	)
Terumo Corp.		(18,500	)		(498,262	)		(75,116	)
THK Co., Ltd.		(11,400	)		(215,016	)		3,727
Tobu Railway Co., Ltd.		(71,000	)		(338,460	)		(11,742	)
Tokyo Electron Ltd.		(1,600	)		(102,765	)		5,830
Toray Industries, Inc.		(7,000	)		(58,911	)		(6,136	)
Toshiba Corp.		(831,000	)		(2,152,127	)		444,235
Toyo Seikan Group Holdings Ltd.		(84,300	)		(1,448,086	)		(115,607	)
Toyota Industries Corp.		(11,400	)		(603,973	)		(5,624	)
Toyota Motor Corp.		(5,200	)		(321,878	)		1,667
Unicharm Corp.		(98,100	)		(1,978,082	)		(25,284	)
Yahoo Japan Corp.		(52,800	)		(202,271	)		(12,356	)
Yakult Honsha Co., Ltd.		(20,400	)		(1,048,704	)		50,232
Yamaha Motor Co., Ltd.		(10,500	)		(235,246	)		(114	)
Yamato Holdings Co., Ltd.		(88,700	)		(1,807,178	)		(72,209	)
Yaskawa Electric Corp.		(63,500	)		(712,296	)		(151,729	)
Yokohama Rubber Co., Ltd./The		(16,600	)		(262,035	)		7,095
								171,715
Total of Short Equity Positions								171,715
Total of Long and Short Equity Positions								456,560
Net Cash and Other Receivables/ (Payables) (b)								(23,696	)
Swaps, at Value							$	432,864

(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.

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

AQR Funds Annual Report December 2015

71

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives 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.	10-12 months maturity 10/13/2016		$4,004,019

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Domtar Corp.		15,307	$	608,496	$	(42,902	)
Ireland
Accenture PLC		7,244		774,515		(17,517	)
Jazz Pharmaceuticals PLC		1,428		203,978		(3,258	)
XL Group PLC		8,741		325,314		17,159
						(3,616	)
Puerto Rico
Popular, Inc.		6,256		199,905		(22,610	)
Singapore
Flextronics International Ltd.		56,854		631,557		5,776
Switzerland
ACE Ltd.		481		51,265		4,940
Allied World Assurance Co. Holdings AG		4,448		170,106		(4,685	)
TE Connectivity Ltd.		4,456		291,883		(3,981	)
						(3,726	)
United Kingdom
Michael Kors Holdings Ltd.		12,174		510,437		(22,746	)
United States
3M Co.		7,530		1,139,062		(4,743	)
Aaron’s, Inc.		3,471		79,416		(1,700	)
Abbott Laboratories		33,006		1,381,892		100,408
AbbVie, Inc.		17,448		1,009,025		24,594
Activision Blizzard, Inc.		3,659		118,164		23,476
Adobe Systems, Inc.		1,459		139,228		(2,170	)
Aetna, Inc.		13,854		1,484,828		13,066
Aflac, Inc.		22,756		1,399,123		(36,039	)
AGCO Corp.		8,155		385,296		(15,140	)
Agilent Technologies, Inc.		36,859		1,332,983		208,092
Akamai Technologies, Inc.		16,686		1,004,340		(126,156	)
Alleghany Corp.		291		140,160		(1,082	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Allscripts Healthcare Solutions, Inc.		19,550	$	292,508	$	8,171
Allstate Corp./The		22,464		1,382,310		12,479
Alphabet, Inc.		1,970		1,408,976		123,704
Altria Group, Inc.		41,196		2,353,179		44,840
Amazon.com, Inc.		1,449		865,827		113,538
Amdocs Ltd.		25,844		1,479,630		(69,323	)
AMERCO		249		99,824		(2,839	)
Ameren Corp.		37,862		1,658,089		(21,315	)
American Eagle Outfitters, Inc.		15,432		238,087		1,109
American Electric Power Co., Inc.		4,109		233,679		5,753
American Express Co.		1,094		83,863		(7,775	)
American Financial Group, Inc.		6,110		444,709		(4,300	)
American International Group, Inc.		20,799		1,258,400		30,514
American Water Works Co., Inc.		3,591		210,678		3,884
Ameriprise Financial, Inc.		5,795		646,785		(30,081	)
AmerisourceBergen Corp.		19,921		1,935,395		130,612
Amgen, Inc.		12,595		1,935,466		109,081
Analog Devices, Inc.		10,487		619,941		(39,800	)
ANSYS, Inc.		483		44,081		597
Anthem, Inc.		11,572		1,548,866		64,734
AO Smith Corp.		19,692		1,477,370		31,234
Apollo Education Group, Inc.		48,024		514,890		(146,546	)
Apple, Inc.		12,843		1,434,576		(82,722	)
AptarGroup, Inc.		1,163		80,990		3,502
Arch Capital Group Ltd.		642		47,648		(2,868	)
Archer-Daniels-Midland Co.		21,388		914,987		(130,476	)
Armstrong World Industries, Inc.		7,880		381,170		(20,818	)
Arrow Electronics, Inc.		16,890		982,005		(66,905	)
Aspen Insurance Holdings Ltd.		4,189		204,629		(2,300	)
Assurant, Inc.		9,074		741,648		(10,828	)
Assured Guaranty Ltd.		51,134		1,402,241		(50,769	)
Atwood Oceanics, Inc.		37,911		599,408		(211,579	)

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

AQR Funds Annual Report December 2015

72

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Automatic Data Processing, Inc.		954	$	81,204	$	(382	)
AutoZone, Inc.		326		248,227		(6,364	)
Avery Dennison Corp.		16,931		1,047,235		13,662
Avnet, Inc.		35,391		1,608,110		(91,959	)
Avon Products, Inc.		208,679		761,484		83,666
Axis Capital Holdings Ltd.		8,670		486,535		893
Bank of New York Mellon Corp./The		2,613		109,005		(1,297	)
Baxalta, Inc.		15,819		619,227		(1,811	)
Baxter International, Inc.		34,088		1,246,816		53,641
BB&T Corp.		1,197		44,766		493
Bed Bath & Beyond, Inc.		5,242		293,298		(40,372	)
Bemis Co., Inc.		31,890		1,396,919		28,245
Best Buy Co., Inc.		33,102		1,167,767		(159,811	)
Big Lots, Inc.		21,622		923,613		(90,301	)
Biogen, Inc.		5,026		1,417,666		122,049
Bio-Rad Laboratories, Inc.		2,718		379,483		(2,606	)
BlackRock, Inc.		601		206,400		(1,748	)
Boeing Co./The		11,329		1,602,819		35,241
Boston Beer Co., Inc./The		224		47,689		(2,461	)
Brinker International, Inc.		6,989		345,506		(10,384	)
Bristol-Myers Squibb Co.		8,313		543,536		28,315
Broadridge Financial Solutions, Inc.		14,081		784,066		(27,494	)
Brocade Communications Systems, Inc.		226,282		2,297,662		(220,394	)
Bruker Corp.		6,666		164,892		(3,108	)
Brunswick Corp.		12,925		658,490		(5,648	)
Bunge Ltd.		13,396		982,077		(67,398	)
BWX Technologies, Inc.		31,151		892,325		97,342
CA, Inc.		24,812		703,550		5,080
Cabot Corp.		4,852		203,494		(5,144	)
Cadence Design Systems, Inc.		38,528		837,937		(36,170	)
California Resources Corp.		216,385		530,048		(25,871	)
Campbell Soup Co.		3,243		174,451		(4,032	)
Capital One Financial Corp.		7,345		560,739		(30,577	)
Cardinal Health, Inc.		9,590		770,169		85,930
Carlisle Cos., Inc.		15,542		1,339,782		38,638
Carnival Corp.		15,378		773,582		64,212
Carter’s, Inc.		12,363		1,112,599		(11,921	)
CDW Corp.		12,727		548,282		(13,238	)
CEB, Inc.		8,472		564,233		(44,136	)
Celgene Corp.		3,195		386,319		(3,685	)
CenterPoint Energy, Inc.		2,507		45,429		600
CH Robinson Worldwide, Inc.		3,725		230,603		421
Charles River Laboratories International, Inc.		16,120		1,097,833		198,054
Cheesecake Factory, Inc./The		13,037		656,524		(55,388	)
Chemours Co./The		22,689		144,771		(23,158	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Chico’s FAS, Inc.		32,810	$	395,967	$	(45,885	)
Church & Dwight Co., Inc.		7,227		618,953		(5,525	)
Cintas Corp.		8,170		747,187		(3,309	)
Cisco Systems, Inc.		73,173		2,026,460		(39,447	)
CIT Group, Inc.		1,131		47,340		(2,440	)
Citigroup, Inc.		16,381		845,563		2,154
Citizens Financial Group, Inc.		10,054		254,747		8,567
Citrix Systems, Inc.		12,053		914,225		(2,415	)
Clorox Co./The		5,506		680,857		17,469
Coach, Inc.		13,673		416,402		31,116
Coca-Cola Co./The		21,785		918,421		17,463
Cognizant Technology Solutions Corp.		1,417		93,076		(8,028	)
Colgate-Palmolive Co.		15,716		1,037,595		9,405
Comcast Corp.		9,737		587,144		(37,685	)
Commerce Bancshares, Inc.		9,002		387,927		(4,982	)
Commercial Metals Co.		16,358		233,453		(9,512	)
Community Health Systems, Inc.		27,410		1,081,009		(353,822	)
Computer Sciences Corp.		40,440		1,306,593		14,986
Consolidated Edison, Inc.		17,140		1,102,843		(1,255	)
Convergys Corp.		16,927		423,554		(2,241	)
CoreLogic, Inc.		10,819		401,535		(35,203	)
Corning, Inc.		10,587		189,854		3,676
CR Bard, Inc.		5,914		1,090,654		29,694
Cracker Barrel Old Country Store, Inc.		1,098		151,024		(11,765	)
Crane Co.		10,317		503,672		(10,107	)
Crown Holdings, Inc.		11,606		591,741		(3,317	)
CSX Corp.		14,854		430,413		(44,952	)
Cummins, Inc.		9,837		1,010,017		(144,263	)
CVR Energy, Inc.		1,477		59,077		(957	)
CVS Health Corp.		6,346		648,371		(27,922	)
Dana Holding Corp.		14,924		214,459		(8,508	)
Darden Restaurants, Inc.		12,729		730,632		79,441
Dean Foods Co.		26,475		472,536		(18,490	)
Delta Air Lines, Inc.		15,049		691,652		71,182
Deluxe Corp.		6,086		352,258		(20,328	)
DENTSPLY International, Inc.		10,877		649,661		12,205
Dick’s Sporting Goods, Inc.		4,389		205,511		(50,360	)
Discover Financial Services		26,559		1,481,385		(57,291	)
Domino’s Pizza, Inc.		1,122		115,162		9,660
Dover Corp.		728		46,184		(1,550	)
Dow Chemical Co./The		6,818		349,579		1,412
DR Horton, Inc.		9,885		321,728		(5,112	)
Dr. Pepper Snapple Group, Inc.		18,300		1,618,619		86,941
Dril-Quip, Inc.		753		45,991		(1,391	)
DST Systems, Inc.		2,427		276,465		359
DTE Energy Co.		7,078		576,169		(8,584	)
Dun & Bradstreet Corp./The		6,134		659,918		(22,412	)

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

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73

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Eaton Corp PLC		13,309	$	709,382	$	(16,781	)
eBay, Inc.		59,354		1,498,428		132,620
Edison International		3,267		208,173		(14,734	)
Edwards Lifesciences Corp.		4,196		307,831		23,569
Electronic Arts, Inc.		7,608		527,575		(4,753	)
Eli Lilly & Co.		10,581		882,795		8,760
Emerson Electric Co.		13,975		662,741		5,683
Entergy Corp.		7,533		510,084		4,872
EP Energy Corp.		96,552		612,116		(189,218	)
Equifax, Inc.		14,912		1,578,445		82,304
Estee Lauder Cos., Inc./The		6,798		574,072		24,559
Esterline Technologies Corp.		5,950		496,478		(14,528	)
Everest Re Group Ltd.		3,956		721,709		2,595
Exelon Corp.		38,600		1,169,522		(97,600	)
Expedia, Inc.		6,911		856,523		2,515
Expeditors International of Washington, Inc.		2,564		126,467		(10,831	)
Express Scripts Holding Co.		4,202		364,551		2,746
F5 Networks, Inc.		8,157		928,215		(137,312	)
Facebook, Inc.		1,340		143,103		(2,859	)
FactSet Research Systems, Inc.		5,432		906,565		(23,485	)
FedEx Corp.		2,462		382,964		(16,151	)
Fidelity National Information Services, Inc.		4,327		266,493		(4,277	)
Fifth Third BanCorp.		2,838		56,067		977
First Solar, Inc.		25,064		1,324,488		329,485
FLIR Systems, Inc.		4,471		128,019		(2,518	)
Flowers Foods, Inc.		15,175		337,191		(11,081	)
Fluor Corp.		2,916		140,649		(2,956	)
Foot Locker, Inc.		10,693		701,744		(5,737	)
Ford Motor Co.		29,603		411,594		5,512
Franklin Resources, Inc.		24,989		953,553		(33,458	)
FTI Consulting, Inc.		1,298		52,043		(7,055	)
GameStop Corp.		5,333		218,484		(68,947	)
Gap, Inc./The		13,796		381,195		(40,434	)
General Dynamics Corp.		12,083		1,710,988		(51,267	)
General Mills, Inc.		12,060		700,838		(5,459	)
General Motors Co.		67,389		2,325,115		(33,215	)
Genpact Ltd.		25,321		631,760		759
Gilead Sciences, Inc.		17,288		1,767,096		(17,724	)
Global Payments, Inc.		1,920		127,524		(3,665	)
GNC Holdings, Inc.		9,142		360,713		(77,128	)
Goldman Sachs Group, Inc./The		6,357		1,159,332		(13,610	)
Goodyear Tire & Rubber Co./The		31,294		1,013,395		8,980
Graham Holdings Co.		1,050		599,297		(90,078	)
Groupon, Inc.		185,032		674,715		(106,667	)
Guess?, Inc.		8,203		159,983		(5,111	)
H&R Block, Inc.		3,495		120,305		(3,886	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hanover Insurance Group, Inc./The		4,380	$	359,304	$	(3,035	)
Hartford Financial Services Group, Inc./The		7,226		339,162		(25,120	)
HCA Holdings, Inc.		17,867		1,296,388		(88,042	)
HD Supply Holdings, Inc.		15,850		478,212		(2,236	)
Herman Miller, Inc.		35,526		1,081,891		(62,294	)
HNI Corp.		2,413		89,775		(2,762	)
HollyFrontier Corp.		27,244		1,300,434		(213,671	)
Hologic, Inc.		9,367		358,462		3,948
Home Depot, Inc./The		3,435		416,034		38,245
Honeywell International, Inc.		2,656		279,953		(4,871	)
Hormel Foods Corp.		2,550		194,819		6,835
HP, Inc.		131,506		1,730,871		(173,840	)
HSN, Inc.		8,961		457,363		(3,309	)
Hubbell, Inc.		983		91,870		7,452
Huntington Ingalls Industries, Inc.		18,473		2,157,603		185,697
Huntsman Corp.		20,087		232,965		(4,576	)
IAC/InterActiveCorp.		20,871		1,356,912		(103,609	)
IHS, Inc.		380		45,549		(546	)
Illinois Tool Works, Inc.		484		43,537		1,320
IMS Health Holdings, Inc.		13,091		342,888		(9,461	)
Ingram Micro, Inc.		56,840		1,695,828		30,971
Ingredion, Inc.		7,561		721,558		3,088
Integrated Device Technology, Inc.		19,142		438,003		66,389
Intel Corp.		26,919		904,886		22,474
InterDigital, Inc.		4,879		247,491		(8,225	)
International Business Machines Corp.		9,585		1,384,731		(65,643	)
International Paper Co.		24,129		1,008,501		(98,837	)
Interpublic Group of Cos., Inc./The		29,586		632,268		56,494
Intuit, Inc.		4,856		448,216		20,388
Invesco Ltd.		13,301		444,040		1,278
ITT Corp.		11,467		427,139		(10,658	)
Jabil Circuit, Inc.		11,968		284,203		(5,469	)
Jack Henry & Associates, Inc.		6,118		483,338		(5,767	)
Jack in the Box, Inc.		9,717		727,656		17,735
Janus Capital Group, Inc.		7,631		110,614		(3,093	)
JetBlue Airways Corp.		20,284		474,469		(15,037	)
John Wiley & Sons, Inc.		13,312		642,176		(42,736	)
Johnson & Johnson		12,596		1,226,585		67,276
Joy Global, Inc.		8,513		110,107		(2,758	)
JPMorgan Chase & Co.		9,289		581,092		32,261
Juniper Networks, Inc.		32,956		973,261		(63,676	)
Kellogg Co.		945		65,079		3,217
KeyCorp.		7,107		94,882		(1,141	)
Keysight Technologies, Inc.		1,581		48,712		(3,922	)
Kimberly-Clark Corp.		14,154		1,690,339		111,466
Kohl’s Corp.		1,115		51,785		1,323
Kroger Co./The		7,475		283,430		29,249
L Brands, Inc.		5,876		547,704		15,335

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

AQR Funds Annual Report December 2015

74

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
L-3 Communications Holdings, Inc.		5,858	$	688,920	$	11,169
Lam Research Corp.		7,823		591,313		29,990
Lancaster Colony Corp.		3,566		392,332		19,398
Landstar System, Inc.		2,157		127,296		(788	)
Lear Corp.		6,244		748,673		18,278
Legg Mason, Inc.		14,043		607,824		(56,917	)
Leggett & Platt, Inc.		3,430		148,826		(4,698	)
Leidos Holdings, Inc.		23,357		1,198,210		115,855
Lennox International, Inc.		2,697		346,554		(9,698	)
Liberty Interactive Corp. QVC Group		32,262		865,273		16,125
LifePoint Health, Inc.		4,182		306,335		624
Lincoln Electric Holdings, Inc.		6,731		385,112		(35,840	)
Lincoln National Corp.		18,001		894,222		10,508
Linear Technology Corp.		7,519		330,511		(11,179	)
Lockheed Martin Corp.		1,062		230,389		224
Lowe’s Cos., Inc.		12,056		883,466		33,273
LyondellBasell Industries NV		12,673		1,173,712		(72,428	)
Macy’s, Inc.		23,689		1,142,724		(314,082	)
Mallinckrodt PLC		9,030		613,785		60,124
Manhattan Associates, Inc.		6,663		458,703		(17,812	)
ManpowerGroup, Inc.		17,133		1,457,648		(13,507	)
Marathon Petroleum Corp.		30,210		1,521,482		44,605
Marvell Technology Group Ltd.		163,823		1,484,956		(40,037	)
Masco Corp.		69,030		1,890,498		63,051
Maxim Integrated Products, Inc.		20,960		807,681		(11,201	)
McDonald’s Corp.		7,016		734,413		94,457
McGraw Hill Financial, Inc.		1,096		104,540		3,504
McKesson Corp.		9,455		1,757,178		107,632
Mead Johnson Nutrition Co.		5,492		396,138		37,455
Medivation, Inc.		26,694		1,100,939		189,449
Mentor Graphics Corp.		42,897		864,860		(74,697	)
Merck & Co., Inc.		22,169		1,145,645		25,322
MetLife, Inc.		20,905		1,018,009		(10,179	)
Mettler-Toledo International, Inc.		1,434		489,912		(3,600	)
Micron Technology, Inc.		53,059		958,663		(207,348	)
Microsoft Corp.		17,593		852,933		123,127
Minerals Technologies, Inc.		973		51,011		(6,390	)
Molina Healthcare, Inc.		21,250		1,253,624		24,139
Mondelez International, Inc.		23,603		1,048,604		9,754
Moody’s Corp.		811		79,786		1,590
Mosaic Co./The		10,287		349,897		(66,078	)
Motorola Solutions, Inc.		1,917		137,401		(6,182	)
MSCI, Inc.		22,064		1,374,808		216,668
MSG Networks, Inc.		43,282		884,955		15,310

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Murphy USA, Inc.		5,080	$	296,630	$	11,929
Nasdaq Inc		24,109		1,345,458		56,963
Navient Corp.		23,284		291,040		(24,438	)
NCR Corp.		14,190		358,959		(11,872	)
NetApp, Inc.		30,928		865,925		(45,405	)
NeuStar, Inc.		10,222		255,537		(10,516	)
News Corp.		25,288		345,620		(7,772	)
NIKE, Inc.		20,114		1,262,214		(5,089	)
NiSource, Inc.		12,006		235,895		(1,658	)
Nordstrom, Inc.		21,587		1,199,451		(124,203	)
Northrop Grumman Corp.		7,921		1,410,967		84,597
Nu Skin Enterprises, Inc.		17,202		590,491		61,292
Nuance Communications, Inc.		15,026		280,914		17,953
Nucor Corp.		1,332		56,781		(3,101	)
NVIDIA Corp.		11,481		331,369		47,045
NVR, Inc.		91		150,131		(618	)
Oil States International, Inc.		26,434		798,331		(78,005	)
Old Republic International Corp.		8,374		149,700		6,308
Omnicom Group, Inc.		2,604		196,676		342
ON Semiconductor Corp.		83,183		851,628		(36,434	)
OneMain Holdings, Inc.		8,459		373,939		(22,552	)
Oracle Corp.		23,349		882,038		(29,099	)
Orbital ATK, Inc.		2,613		208,738		24,707
O’Reilly Automotive, Inc.		703		179,260		(1,106	)
Owens Corning		42,694		1,936,374		71,525
Panera Bread Co.		540		105,969		(788	)
Parker-Hannifin Corp.		592		61,956		(4,544	)
PepsiCo, Inc.		44,911		4,452,155		35,352
Pfizer, Inc.		50,171		1,651,537		(32,017	)
PG&E Corp.		18,795		997,827		1,879
Philip Morris International, Inc.		8,362		703,662		31,441
Phillips 66		7,990		657,241		(3,659	)
Pinnacle West Capital Corp.		3,183		206,728		(1,488	)
Pitney Bowes, Inc.		12,237		255,128		(2,434	)
Plantronics, Inc.		7,574		379,672		(20,513	)
PNC Financial Services Group, Inc./The		4,047		377,985		7,735
Polycom, Inc.		69,207		917,682		(46,366	)
Priceline Group, Inc./The		751		969,605		(12,118	)
Principal Financial Group, Inc.		5,622		262,355		(9,477	)
ProAssurance Corp.		3,751		186,121		(4,085	)
Procter & Gamble Co./The		22,227		1,664,426		100,620
Progressive Corp./The		1,646		53,100		(757	)
Prudential Financial, Inc.		6,956		575,495		(9,207	)
PTC, Inc.		2,914		99,081		1,831
Public Service Enterprise Group, Inc.		89,257		3,680,020		(226,667	)
PVH Corp.		5,016		414,967		(45,539	)
QEP Resources, Inc.		21,743		347,624		(56,268	)
QUALCOMM, Inc.		8,793		446,937		(7,419	)

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

AQR Funds Annual Report December 2015

75

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Quanta Services, Inc.		29,854	$	652,086	$	(47,542	)
Quest Diagnostics, Inc.		14,473		959,605		70,004
Quintiles Transnational Holdings, Inc.		26,090		1,794,075		(2,736	)
Rackspace Hosting, Inc.		45,973		1,168,701		(4,665	)
Ralph Lauren Corp.		4,883		576,642		(32,285	)
Raymond James Financial, Inc.		6,116		360,702		(6,157	)
Raytheon Co.		8,589		1,060,941		8,647
Red Hat, Inc.		3,447		282,107		3,339
Regions Financial Corp.		21,850		211,730		(1,970	)
Reinsurance Group of America, Inc.		11,276		1,026,949		(62,287	)
Reliance Steel & Aluminum Co.		6,203		363,748		(4,532	)
RenaissanceRe Holdings Ltd.		398		43,796		1,253
Rent-A-Center, Inc.		2,997		57,498		(12,633	)
Republic Services, Inc.		5,054		218,307		4,019
ResMed, Inc.		3,939		214,860		(3,375	)
Reynolds American, Inc.		3,203		149,145		(1,327	)
Robert Half International, Inc.		34,495		1,715,237		(89,142	)
Rockwell Automation, Inc.		13,279		1,405,513		(42,955	)
Ross Stores, Inc.		4,071		197,185		21,876
Rovi Corp.		25,095		268,415		149,668
Sally Beauty Holdings, Inc.		5,836		146,204		16,562
Santander Consumer USA Holdings, Inc.		13,811		286,190		(67,285	)
Seagate Technology PLC		10,191		421,087		(47,485	)
Sealed Air Corp.		7,467		328,945		4,083
SEI Investments Co.		4,855		254,309		93
Service Corp. International		8,960		242,064		(8,925	)
Sherwin-Williams Co./The		672		175,128		(677	)
Skechers U.S.A., Inc.		14,282		480,655		(49,196	)
Skyworks Solutions, Inc.		4,407		356,378		(17,789	)
Snap-on, Inc.		461		76,683		2,346
Sonoco Products Co.		20,818		860,191		(9,359	)
Southwest Airlines Co.		12,154		473,659		49,692
Spirit AeroSystems Holdings, Inc.		40,324		2,015,633		3,390
SPX Corp.		43,178		437,242		(34,391	)
St. Jude Medical, Inc.		13,817		868,367		(14,891	)
Stanley Black & Decker, Inc.		4,533		487,371		(3,564	)
Staples, Inc.		51,084		541,299		(57,534	)
Starbucks Corp.		6,191		377,931		(6,286	)
State Street Corp.		810		56,290		(2,538	)
Steel Dynamics, Inc.		9,544		180,396		(9,845	)
Stryker Corp.		1,965		188,337		(5,710	)
SunTrust Banks, Inc.		5,038		220,439		(4,611	)
Superior Energy Services, Inc.		7,714		115,567		(11,660	)
SUPERVALU, Inc.		121,176		860,090		(38,517	)
Synchrony Financial		30,601		912,682		17,894

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Synopsys, Inc.		7,666	$	377,091	$	(27,444	)
T Rowe Price Group, Inc.		4,766		348,583		(7,862	)
Talen Energy Corp.		29,476		297,070		(113,434	)
Target Corp.		23,643		1,770,144		(53,425	)
Tech Data Corp.		18,621		1,380,556		(144,494	)
Teekay Corp.		10,463		104,091		(821	)
Teledyne Technologies, Inc.		991		88,594		(692	)
Telephone & Data Systems, Inc.		14,265		385,965		(16,644	)
Teradata Corp.		17,310		482,668		(25,338	)
Teradyne, Inc.		36,330		720,389		30,552
Tesoro Corp.		8,394		879,836		4,640
Texas Instruments, Inc.		15,089		859,398		(32,370	)
Textron, Inc.		7,566		320,500		(2,652	)
Thermo Fisher Scientific, Inc.		3,178		399,951		50,848
Thomson Reuters Corp.		2,442		96,664		(4,235	)
Thor Industries, Inc.		9,417		531,075		(2,310	)
Time Warner, Inc.		3,210		220,411		(12,820	)
Timken Co./The		5,037		150,908		(6,900	)
TJX Cos., Inc./The		9,157		639,971		9,352
Total System Services, Inc.		21,210		1,121,829		(65,571	)
Travelers Cos., Inc./The		8,976		946,519		66,513
Trinity Industries, Inc.		1,973		51,786		(4,395	)
Triumph Group, Inc.		6,887		308,057		(34,299	)
Tupperware Brands Corp.		3,206		175,982		2,432
Tyson Foods, Inc.		11,528		604,271		10,517
Union Pacific Corp.		6,413		540,864		(39,368	)
United Continental Holdings, Inc.		24,078		1,355,979		23,690
United Technologies Corp.		3,439		324,401		5,984
United Therapeutics Corp.		14,538		1,953,430		323,366
UnitedHealth Group, Inc.		10,556		1,210,747		31,061
Universal Health Services, Inc.		4,023		483,971		(3,262	)
Unum Group		18,453		615,743		(1,443	)
Urban Outfitters, Inc.		7,789		178,497		(1,297	)
US Bancorp.		7,642		327,648		(1,564	)
Valero Energy Corp.		18,190		1,198,456		87,759
Validus Holdings Ltd.		13,902		633,560		9,964
Varian Medical Systems, Inc.		6,816		528,634		22,099
Vectren Corp.		1,503		64,869		(1,112	)
VeriSign, Inc.		5,415		424,707		48,348
Verizon Communications, Inc.		15,574		704,886		14,944
VF Corp.		8,570		610,948		(77,466	)
Viacom, Inc.		21,765		1,028,359		(132,512	)
Vishay Intertechnology, Inc.		27,495		317,349		13,966
Visteon Corp.		8,751		971,540		30,450
VMware, Inc.		5,580		375,322		(59,661	)

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

AQR Funds Annual Report December 2015

76

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Voya Financial, Inc.		1,351		$	54,270		$	(4,404	)
VWR Corp.		4,419			120,611			4,491
Waddell & Reed Financial, Inc.		15,289			456,968			(18,785	)
Wal-Mart Stores, Inc.		29,573			1,896,960			(84,135	)
Walt Disney Co./The		2,575			276,002			(5,421	)
Waste Management, Inc.		13,961			738,206			6,892
Waters Corp.		1,873			235,583			16,485
Watsco, Inc.		1,975			236,249			(4,917	)
WellCare Health Plans, Inc.		3,357			272,109			(9,558	)
Wells Fargo & Co.		10,507			562,379			8,781
Werner Enterprises, Inc.		30,595			762,887			(47,270	)
WESCO International, Inc.		6,168			290,618			(21,199	)
Western Digital Corp.		20,310			1,589,248			(369,632	)
Western Refining, Inc.		10,279			473,831			(107,693	)
Western Union Co./The		32,345			619,061			(39,762	)
Westlake Chemical Corp.		12,054			692,687			(37,914	)
WGL Holdings, Inc.		709			42,171			2,489
Whirlpool Corp.		1,403			218,953			(12,894	)
World Fuel Services Corp.		16,282			653,745			(27,539	)
Worthington Industries, Inc.		6,381			195,003			(2,680	)
Wyndham Worldwide Corp.		1,344			101,803			(4,162	)
Xerox Corp.		65,415			685,813			9,548
Xilinx, Inc.		15,701			744,254			(6,778	)
Yelp, Inc.		8,069			196,915			35,472
Yum! Brands, Inc.		11,740			823,077			34,530
Zoetis, Inc.		12,219			559,863			25,671
Zynga, Inc.		134,502			331,005			29,460
								(2,618,630	)
Total of Long Equity Positions								(2,708,454	)
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(10,665	)		(558,883	)		(709	)
Ireland
Alkermes PLC		(1,223	)		(73,258	)		(23,824	)
Allegion PLC		(6,214	)		(413,509	)		3,882
Endo International PLC		(27,245	)		(1,637,512	)		(30,427	)
Medtronic PLC		(2,668	)		(199,595	)		(5,627	)
Perrigo Co. PLC		(5,442	)		(807,016	)		19,559
								(36,437	)
Netherlands
Chicago Bridge & Iron Co. NV		(11,952	)		(477,243	)		11,235
Core Laboratories NV		(10,894	)		(1,186,263	)		1,649
Frank’s International NV		(29,072	)		(486,952	)		1,741
QIAGEN NV		(36,049	)		(926,736	)		(70,019	)
Sensata Technologies Holding NV		(50,564	)		(2,307,177	)		(21,801	)
								(77,195	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Panama
Copa Holdings SA		(1,714	)	$	(83,966	)	$	1,248
Singapore
Avago Technologies Ltd.		(1,046	)		(122,058	)		(29,769	)
Switzerland
Weatherford International PLC		(107,312	)		(1,094,574	)		194,226
United Kingdom
Aon PLC		(9,830	)		(909,782	)		3,357
Delphi Automotive PLC		(6,338	)		(524,178	)		(19,179	)
Ensco PLC		(10,669	)		(169,053	)		4,857
Liberty Global PLC		(19,631	)		(838,736	)		7,167
Pentair PLC		(21,205	)		(1,176,081	)		125,797
Willis Group Holdings PLC		(4,234	)		(178,844	)		(26,801	)
								95,198
United States
3D Systems Corp.		(53,401	)		(485,650	)		21,595
Acadia Healthcare Co., Inc.		(24,546	)		(1,553,064	)		19,921
ACI Worldwide, Inc.		(3,122	)		(70,432	)		3,622
Acuity Brands, Inc.		(1,808	)		(419,824	)		(2,887	)
Acxiom Corp.		(20,512	)		(445,957	)		16,846
ADT Corp./The		(1,452	)		(49,484	)		1,597
Advance Auto Parts, Inc.		(1,252	)		(234,562	)		46,124
AECOM		(31,163	)		(935,188	)		(637	)
AES Corp.		(10,179	)		(90,042	)		(7,371	)
Agios Pharmaceuticals, Inc.		(5,431	)		(355,462	)		2,882
Air Lease Corp.		(14,057	)		(474,380	)		3,752
Air Products & Chemicals, Inc.		(1,430	)		(190,401	)		4,343
Akorn, Inc.		(46,155	)		(1,327,198	)		(394,845	)
Alaska Air Group, Inc.		(2,918	)		(238,362	)		3,434
Albemarle Corp.		(26,919	)		(1,342,096	)		(165,638	)
Alcoa, Inc.		(49,109	)		(441,736	)		(42,970	)
Alere, Inc.		(9,748	)		(387,096	)		6,046
Alexion Pharmaceuticals, Inc.		(15,512	)		(2,667,229	)		(291,685	)
Align Technology, Inc.		(9,344	)		(536,084	)		(79,218	)
Allegheny Technologies, Inc.		(27,031	)		(409,084	)		104,985
Alliance Data Systems Corp.		(7,033	)		(1,974,784	)		29,667
Alliant Energy Corp.		(11,243	)		(714,110	)		11,985
Ally Financial, Inc.		(49,865	)		(956,408	)		26,924
Alnylam Pharmaceuticals, Inc.		(7,445	)		(639,133	)		(61,739	)
AMC Networks, Inc.		(1,679	)		(131,707	)		6,319
American Airlines Group, Inc.		(13,954	)		(598,971	)		8,019
AMETEK, Inc.		(14,234	)		(795,432	)		32,632
Amphenol Corp.		(19,123	)		(1,006,135	)		7,340
Anadarko Petroleum Corp.		(13,300	)		(832,598	)		186,484
Apache Corp.		(20,359	)		(962,214	)		56,850
Applied Materials, Inc.		(2,779	)		(53,641	)		1,757

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

AQR Funds Annual Report December 2015

77

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Aqua America, Inc.		(25,335	)	$	(738,781	)	$	(16,202	)
ARRIS Group, Inc.		(53,565	)		(1,508,566	)		(128,916	)
Arista Networks, Inc.		(19,944	)		(1,429,450	)		(122,991	)
Arthur J Gallagher & Co.		(2,749	)		(116,764	)		4,220
Artisan Partners Asset Management, Inc.		(7,125	)		(258,568	)		1,641
Ascena Retail Group, Inc.		(47,697	)		(494,389	)		24,573
Ashland, Inc.		(3,277	)		(341,344	)		4,796
AT&T, Inc.		(14,697	)		(497,998	)		(7,726	)
athenahealth, Inc.		(297	)		(49,309	)		1,501
Autodesk, Inc.		(6,124	)		(344,254	)		(28,881	)
Avis Budget Group, Inc.		(58,472	)		(2,486,830	)		364,881
B/E Aerospace, Inc.		(1,701	)		(80,457	)		8,386
Ball Corp.		(15,708	)		(1,089,013	)		(53,430	)
Bank of America Corp.		(10,957	)		(194,376	)		9,970
Bank of the Ozarks, Inc.		(9,174	)		(457,523	)		3,777
Becton Dickinson and Co.		(4,385	)		(639,645	)		(36,040	)
Belden, Inc.		(1,034	)		(53,642	)		4,341
BioMarin Pharmaceutical, Inc.		(433	)		(43,641	)		(1,720	)
Bio-Techne Corp.		(10,339	)		(960,684	)		30,174
Black Hills Corp.		(13,178	)		(590,238	)		(21,617	)
Black Knight Financial Services, Inc.		(18,896	)		(624,060	)		(642	)
Bluebird Bio, Inc.		(11,795	)		(817,608	)		60,133
Booz Allen Hamilton Holding Corp.		(1,467	)		(43,327	)		(1,930	)
BorgWarner, Inc.		(52,040	)		(2,245,884	)		(3,805	)
Boston Scientific Corp.		(22,335	)		(401,336	)		(10,521	)
Brookdale Senior Living, Inc.		(16,402	)		(357,035	)		54,254
Brown & Brown, Inc.		(12,321	)		(396,735	)		1,231
Brown-Forman Corp.		(10,939	)		(1,135,903	)		49,879
Buffalo Wild Wings, Inc.		(3,644	)		(578,975	)		(2,790	)
Cabela’s, Inc.		(20,424	)		(923,534	)		(30,880	)
Cable One, Inc.		(609	)		(271,197	)		7,098
Cabot Oil & Gas Corp.		(37,717	)		(759,643	)		92,429
CalAtlantic Group, Inc.		(12,084	)		(487,951	)		29,725
CarMax, Inc.		(18,453	)		(1,077,068	)		81,160
Casey’s General Stores, Inc.		(1,285	)		(141,680	)		(13,098	)
Catalent, Inc.		(14,358	)		(383,565	)		24,184
Caterpillar, Inc.		(2,664	)		(179,931	)		(1,115	)
CBOE Holdings, Inc.		(10,464	)		(707,877	)		28,764
CBS Corp.		(5,127	)		(251,708	)		10,073
CDK Global, Inc.		(5,279	)		(262,577	)		11,983
Celanese Corp.		(1,537	)		(106,502	)		3,016
Centene Corp.		(688	)		(45,872	)		595
CenturyLink, Inc.		(3,023	)		(80,140	)		4,081
Cerner Corp.		(3,135	)		(199,455	)		10,822
CF Industries Holdings, Inc.		(9,795	)		(405,298	)		5,564
Charles Schwab Corp./The		(50,114	)		(1,506,686	)		(143,568	)
Cheniere Energy, Inc.		(30,939	)		(1,452,572	)		300,095
Chevron Corp.		(6,945	)		(626,803	)		2,030
Chipotle Mexican Grill, Inc.		(1,445	)		(916,778	)		223,395

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ciena Corp.		(40,548	)	$	(884,349	)	$	45,411
Cimarex Energy Co.		(12,359	)		(1,422,587	)		317,940
Clean Harbors, Inc.		(5,736	)		(271,878	)		32,974
CME Group, Inc.		(6,594	)		(625,604	)		28,188
CMS Energy Corp.		(27,711	)		(997,544	)		(2,268	)
Cobalt International Energy, Inc.		(37,764	)		(292,504	)		88,579
Cognex Corp.		(8,043	)		(281,101	)		9,489
Colfax Corp.		(17,341	)		(489,041	)		84,129
Columbia Pipeline Group, Inc.		(19,266	)		(373,973	)		(11,347	)
CommScope Holding Co., Inc.		(58,821	)		(1,594,490	)		71,614
Compass Minerals International, Inc.		(6,586	)		(519,198	)		23,470
ConAgra Foods, Inc.		(2,273	)		(94,943	)		(886	)
Concho Resources, Inc.		(9,022	)		(968,349	)		130,566
ConocoPhillips		(9,337	)		(506,348	)		70,403
CONSOL Energy, Inc.		(56,411	)		(587,410	)		141,763
Constellation Brands, Inc.		(6,894	)		(942,341	)		(39,641	)
Cooper Cos., Inc./The		(4,602	)		(644,471	)		26,883
Copart, Inc.		(15,758	)		(608,747	)		9,786
CoStar Group, Inc.		(3,739	)		(714,557	)		(58,257	)
Costco Wholesale Corp.		(6,103	)		(975,169	)		(10,466	)
Covanta Holding Corp.		(77,940	)		(1,326,579	)		119,289
CST Brands, Inc.		(10,210	)		(359,416	)		(40,203	)
Cullen/Frost Bankers, Inc.		(2,301	)		(155,548	)		17,488
Cypress Semiconductor Corp.		(100,144	)		(958,959	)		(23,453	)
Danaher Corp.		(3,565	)		(340,929	)		9,812
DaVita HealthCare Partners, Inc.		(10,070	)		(724,104	)		22,125
Deckers Outdoor Corp.		(7,191	)		(352,846	)		13,431
Deere & Co.		(8,145	)		(641,206	)		19,987
Devon Energy Corp.		(4,858	)		(205,653	)		50,197
DeVry Education Group, Inc.		(16,852	)		(433,450	)		6,926
DexCom, Inc.		(9,023	)		(727,800	)		(11,183	)
Diamond Offshore Drilling, Inc.		(5,051	)		(107,057	)		481
Diebold, Inc.		(21,130	)		(709,113	)		73,312
Discovery Communications, Inc.		(24,101	)		(699,376	)		56,361
DISH Network Corp.		(2,605	)		(152,920	)		3,967
Dolby Laboratories, Inc.		(9,728	)		(333,679	)		6,332
Dollar General Corp.		(4,049	)		(293,672	)		2,670
Dollar Tree, Inc.		(51,626	)		(3,330,979	)		(655,580	)
Dominion Resources, Inc.		(66,664	)		(4,642,974	)		133,821
Donaldson Co., Inc.		(16,449	)		(487,139	)		15,711
DreamWorks Animation SKG, Inc.		(6,735	)		(177,646	)		4,085
DSW, Inc.		(6,859	)		(161,594	)		(2,061	)
Duke Energy Corp.		(4,653	)		(316,229	)		(15,949	)
Dunkin’ Brands Group, Inc.		(12,495	)		(523,471	)		(8,691	)
E*TRADE Financial Corp.		(16,981	)		(484,529	)		(18,788	)
Eagle Materials, Inc.		(13,765	)		(987,100	)		155,281
Eastman Chemical Co.		(3,057	)		(209,367	)		2,989

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

AQR Funds Annual Report December 2015

78

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
EchoStar Corp.		(4,047	)	$	(176,891	)	$	18,613
Ecolab, Inc.		(4,762	)		(574,010	)		29,332
Energen Corp.		(11,889	)		(535,729	)		48,399
Envision Healthcare Holdings Inc		(40,855	)		(1,246,750	)		185,745
EOG Resources, Inc.		(12,467	)		(971,198	)		88,659
EQT Corp.		(7,863	)		(491,518	)		81,620
Eversource Energy		(14,799	)		(751,976	)		(3,809	)
Exxon Mobil Corp.		(9,374	)		(747,791	)		17,087
Federated Investors, Inc.		(2,006	)		(60,219	)		2,747
FEI Co.		(4,863	)		(381,856	)		(6,163	)
FireEye, Inc.		(17,149	)		(364,089	)		8,418
First Horizon National Corp.		(14,674	)		(215,070	)		2,004
First Republic Bank		(5,779	)		(381,427	)		(334	)
FirstEnergy Corp.		(2,100	)		(65,814	)		(819	)
FleetCor Technologies, Inc.		(5,863	)		(864,572	)		26,573
Flowserve Corp.		(2,017	)		(86,198	)		1,322
FMC Corp.		(29,452	)		(1,144,287	)		(8,170	)
FMC Technologies, Inc.		(2,017	)		(69,724	)		11,211
FNF Group		(12,969	)		(447,104	)		(2,531	)
Forest City Enterprises, Inc.		(34,146	)		(728,757	)		(20,065	)
Fortinet, Inc.		(7,387	)		(253,669	)		23,416
Fortune Brands Home & Security, Inc.		(13,281	)		(722,076	)		(15,020	)
Freeport-McMoRan, Inc.		(18,399	)		(247,644	)		123,083
Frontier Communications Corp.		(62,040	)		(323,746	)		34,019
GATX Corp.		(2,606	)		(114,587	)		3,702
General Electric Co.		(72,967	)		(2,219,386	)		(53,536	)
Genesee & Wyoming, Inc.		(15,210	)		(1,017,802	)		201,177
Gentex Corp.		(37,615	)		(605,741	)		3,525
Genworth Financial, Inc.		(14,287	)		(66,635	)		13,344
Graco, Inc.		(2,943	)		(215,839	)		3,737
Granite Construction, Inc.		(8,531	)		(352,942	)		(13,123	)
Graphic Packaging Holding Co.		(37,711	)		(500,425	)		16,593
Greif, Inc.		(21,724	)		(758,646	)		89,330
Hain Celestial Group, Inc./The		(9,134	)		(448,713	)		79,790
Halliburton Co.		(52,384	)		(2,033,267	)		250,116
Halyard Health, Inc.		(1,336	)		(38,998	)		(5,637	)
Hanesbrands, Inc.		(15,796	)		(460,336	)		(4,540	)
Harley-Davidson, Inc.		(34,294	)		(1,750,480	)		193,876
Harman International Industries, Inc.		(6,342	)		(612,485	)		15,005
Harris Corp.		(13,251	)		(1,021,225	)		(130,287	)
Hasbro, Inc.		(1,267	)		(95,872	)		10,526
Helmerich & Payne, Inc.		(9,053	)		(487,248	)		2,460
Henry Schein, Inc.		(590	)		(92,508	)		(824	)
Hershey Co./The		(503	)		(48,774	)		3,871
Hertz Global Holdings, Inc.		(77,488	)		(1,525,351	)		422,696
Hess Corp.		(2,179	)		(113,649	)		8,012

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hexcel Corp.		(25,306	)	$	(1,197,504	)	$	22,041
Hill-Rom Holdings, Inc.		(5,589	)		(275,767	)		7,160
Hilton Worldwide Holdings, Inc.		(13,529	)		(310,046	)		20,525
Howard Hughes Corp./The		(7,843	)		(958,485	)		70,971
IDEX Corp.		(1,201	)		(93,200	)		1,191
IDEXX Laboratories, Inc.		(23,187	)		(1,651,383	)		(39,413	)
Illumina, Inc.		(19,449	)		(3,051,034	)		(682,105	)
Incyte Corp.		(6,529	)		(682,337	)		(25,733	)
Ingersoll-Rand PLC		(883	)		(49,476	)		655
International Flavors & Fragrances, Inc.		(3,271	)		(388,506	)		(2,837	)
Intersil Corp.		(7,790	)		(97,141	)		(2,259	)
Ionis Pharmaceuticals, Inc.		(7,608	)		(429,763	)		(41,401	)
IPG Photonics Corp.		(497	)		(41,489	)		(2,823	)
ITC Holdings Corp.		(43,012	)		(1,588,192	)		(100,029	)
JB Hunt Transport Services, Inc.		(4,172	)		(312,434	)		6,376
JC Penney Co., Inc.		(12,431	)		(85,192	)		2,402
JM Smucker Co./The		(1,591	)		(186,107	)		(10,127	)
Kansas City Southern		(29,424	)		(2,689,782	)		492,692
KAR Auction Services, Inc.		(10,793	)		(403,686	)		4,021
Kate Spade & Co.		(33,230	)		(620,763	)		30,266
KBR, Inc.		(13,190	)		(248,628	)		25,453
Kinder Morgan, Inc.		(67,541	)		(1,698,691	)		690,980
Kirby Corp.		(2,210	)		(148,662	)		32,372
KLX, Inc.		(17,688	)		(651,048	)		106,435
Knowles Corp.		(21,992	)		(302,179	)		9,025
Kosmos Energy Ltd.		(113,124	)		(713,489	)		125,245
Laboratory Corp. of America Holdings		(4,518	)		(504,706	)		(53,900	)
Las Vegas Sands Corp.		(13,654	)		(629,172	)		30,581
Lennar Corp.		(16,602	)		(832,843	)		20,839
Leucadia National Corp.		(72,162	)		(1,428,164	)		173,267
Level 3 Communications, Inc.		(60,265	)		(2,848,999	)		(427,006	)
Lexmark International, Inc.		(3,572	)		(119,887	)		3,976
Liberty Broadband Corp.		(14,642	)		(785,350	)		26,016
LinkedIn Corp.		(2,181	)		(475,583	)		(15,317	)
Lions Gate Entertainment Corp.		(16,973	)		(614,535	)		64,780
Live Nation Entertainment, Inc.		(24,449	)		(635,494	)		34,782
Loews Corp.		(30,149	)		(1,113,395	)		(44,327	)
Louisiana-Pacific Corp.		(95,653	)		(1,635,706	)		(87,005	)
M&T Bank Corp.		(2,822	)		(352,898	)		10,928
Macquarie Infrastructure Corp.		(15,680	)		(1,168,672	)		30,304
Manitowoc Co., Inc./The		(40,285	)		(604,311	)		(14,063	)
Marathon Oil Corp.		(9,061	)		(182,851	)		68,773
Markel Corp.		(254	)		(224,315	)		(56	)
Marsh & McLennan Cos., Inc.		(7,871	)		(437,655	)		1,208

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

AQR Funds Annual Report December 2015

79

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Martin Marietta Materials, Inc.		(8,057	)	$	(1,294,604	)	$	194,179
MasterCard, Inc.		(4,344	)		(427,002	)		4,071
Mattel, Inc.		(47,105	)		(1,059,961	)		(219,882	)
MAXIMUS, Inc.		(12,413	)		(703,981	)		5,749
MDC Holdings, Inc.		(4,249	)		(109,582	)		1,105
MDU Resources Group, Inc.		(94,957	)		(1,766,575	)		26,963
MEDNAX, Inc.		(4,242	)		(332,149	)		28,167
Memorial Resource Development Corp.		(56,318	)		(1,019,227	)		109,691
MGM Resorts International		(46,000	)		(1,003,229	)		(41,891	)
Microchip Technology, Inc.		(6,990	)		(328,341	)		3,026
Middleby Corp./The		(11,593	)		(1,272,085	)		21,548
Mohawk Industries, Inc.		(1,108	)		(215,516	)		5,672
Molson Coors Brewing Co.		(12,170	)		(1,112,450	)		(30,556	)
Monsanto Co.		(4,469	)		(422,818	)		(17,468	)
Monster Beverage Corp.		(14,247	)		(1,993,898	)		(128,336	)
MSC Industrial Direct Co., Inc.		(2,515	)		(163,450	)		21,931
Murphy Oil Corp.		(2,172	)		(48,844	)		83
Mylan NV		(16,028	)		(676,591	)		(190,043	)
Nabors Industries Ltd.		(19,223	)		(168,266	)		4,678
National Fuel Gas Co.		(19,209	)		(899,107	)		77,922
National Oilwell Varco, Inc.		(21,904	)		(819,070	)		85,505
Netflix, Inc.		(4,172	)		(486,322	)		9,129
NetScout Systems, Inc.		(25,654	)		(820,047	)		32,469
NetSuite, Inc.		(16,907	)		(1,456,227	)		25,557
Newell Rubbermaid, Inc.		(15,924	)		(685,267	)		(16,663	)
Newfield Exploration Co.		(17,625	)		(602,187	)		28,317
Nielsen Holdings PLC		(30,286	)		(1,419,479	)		8,151
Noble Energy, Inc.		(22,691	)		(779,336	)		32,121
Nordson Corp.		(7,650	)		(521,394	)		30,646
Northern Trust Corp.		(3,815	)		(263,693	)		(11,331	)
NorthStar Asset Management Group, Inc.		(74,426	)		(958,966	)		55,434
Norwegian Cruise Line Holdings Ltd.		(5,867	)		(348,762	)		4,955
NOW, Inc.		(22,794	)		(361,080	)		479
NRG Energy, Inc.		(69,796	)		(888,178	)		66,680
Occidental Petroleum Corp.		(17,387	)		(1,258,838	)		83,303
Oceaneering International, Inc.		(3,162	)		(129,228	)		10,590
OGE Energy Corp.		(14,995	)		(404,957	)		10,738
Old Dominion Freight Line, Inc.		(5,078	)		(300,225	)		268
Olin Corp.		(3,833	)		(73,833	)		7,675
ONE Gas, Inc.		(6,835	)		(338,078	)		(4,834	)
ONEOK, Inc.		(43,293	)		(1,183,148	)		115,543
Oshkosh Corp.		(6,600	)		(271,936	)		14,272
Owens-Illinois, Inc.		(56,299	)		(1,051,534	)		70,805

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Packaging Corp. of America		(3,060	)	$	(195,769	)	$	2,836
PacWest Bancorp		(12,412	)		(559,496	)		24,539
Palo Alto Networks, Inc.		(6,183	)		(1,073,531	)		(15,543	)
Pandora Media, Inc.		(29,641	)		(383,015	)		(14,471	)
PAREXEL International Corp.		(3,868	)		(247,444	)		(16,045	)
Patterson Cos., Inc.		(4,924	)		(224,006	)		1,392
Patterson-UTI Energy, Inc.		(59,424	)		(963,383	)		67,269
PayPal Holdings, Inc.		(15,855	)		(562,904	)		(11,047	)
Penske Automotive Group, Inc.		(2,005	)		(97,454	)		12,562
PerkinElmer, Inc.		(5,703	)		(273,060	)		(32,450	)
Platform Specialty Products Corp.		(87,188	)		(1,106,974	)		(11,648	)
Polaris Industries, Inc.		(3,120	)		(377,520	)		109,356
PolyOne Corp.		(8,135	)		(262,355	)		3,988
Post Holdings, Inc.		(6,855	)		(422,307	)		(646	)
PPL Corp.		(1,696	)		(55,335	)		(2,549	)
Praxair, Inc.		(4,522	)		(487,871	)		24,818
Premier, Inc.		(13,719	)		(468,463	)		(15,406	)
PulteGroup, Inc.		(3,814	)		(77,081	)		9,115
Qorvo, Inc.		(3,734	)		(182,457	)		(7,603	)
Questar Corp.		(64,950	)		(1,287,754	)		22,528
Range Resources Corp.		(29,738	)		(977,621	)		245,769
Regal Beloit Corp.		(1,481	)		(86,616	)		(52	)
Regeneron Pharmaceuticals, Inc.		(2,716	)		(1,350,219	)		(124,216	)
Rice Energy, Inc.		(51,041	)		(769,244	)		212,897
Rockwell Collins, Inc.		(491	)		(43,486	)		(1,834	)
Rollins, Inc.		(12,363	)		(329,338	)		9,137
Roper Technologies, Inc.		(4,237	)		(761,246	)		(42,894	)
Rowan Cos. PLC		(4,911	)		(98,760	)		15,519
Royal Caribbean Cruises Ltd.		(3,138	)		(295,756	)		(21,841	)
RPC, Inc.		(22,509	)		(275,208	)		6,225
RPM International, Inc.		(4,152	)		(181,484	)		(1,453	)
Ryder System, Inc.		(7,747	)		(458,315	)		18,053
Sabre Corp.		(12,447	)		(355,911	)		7,769
salesforce.com, Inc.		(4,108	)		(311,847	)		(10,220	)
SBA Communications Corp.		(17,131	)		(1,897,546	)		97,592
Schlumberger Ltd.		(9,789	)		(751,630	)		68,847
Scripps Networks Interactive, Inc.		(1,264	)		(70,468	)		683
Seattle Genetics, Inc.		(5,582	)		(214,963	)		(35,557	)
Sempra Energy		(11,331	)		(1,146,465	)		81,238
ServiceMaster Global Holdings, Inc.		(15,295	)		(545,242	)		(54,934	)
ServiceNow, Inc.		(11,130	)		(854,649	)		(108,764	)
Signature Bank/New York NY		(2,382	)		(351,981	)		(13,347	)
Signet Jewelers Ltd.		(2,317	)		(302,625	)		16,036
Silgan Holdings, Inc.		(7,220	)		(388,299	)		440
Silicon Laboratories, Inc.		(3,144	)		(138,713	)		(13,896	)
Sirius XM Holdings, Inc.		(251,740	)		(996,052	)		(28,530	)

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

AQR Funds Annual Report December 2015

80

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Six Flags Entertainment Corp.		(3,520	)	$	(177,543	)	$	(15,845	)
SLM Corp.		(24,107	)		(171,106	)		13,928
SM Energy Co.		(15,486	)		(297,608	)		(6,847	)
Sotheby’s		(22,562	)		(766,054	)		184,857
Southern Co./The		(4,702	)		(213,794	)		(6,212	)
Southwestern Energy Co.		(113,247	)		(905,922	)		100,736
Spectra Energy Corp.		(40,959	)		(1,118,319	)		137,761
Spectrum Brands Holdings, Inc.		(19,720	)		(1,887,906	)		(119,590	)
Spirit Airlines, Inc.		(14,303	)		(609,948	)		39,973
Splunk, Inc.		(24,534	)		(1,393,713	)		(49,132	)
Sprint Corp.		(164,739	)		(749,562	)		153,207
Sprouts Farmers Market, Inc.		(79,558	)		(1,863,626	)		(251,821	)
SS&C Technologies Holdings, Inc.		(8,401	)		(591,322	)		17,786
Stericycle, Inc.		(10,692	)		(1,421,518	)		132,062
STERIS PLC		(3,493	)		(269,997	)		6,834
SunPower Corp.		(14,620	)		(444,474	)		5,728
SVB Financial Group		(1,376	)		(169,883	)		6,277
Synaptics, Inc.		(900	)		(76,119	)		3,813
Synovus Financial Corp.		(3,048	)		(91,958	)		(6,736	)
Tableau Software, Inc.		(2,186	)		(201,750	)		(4,215	)
Targa Resources Corp.		(21,679	)		(1,160,501	)		573,867
TEGNA, Inc.		(1,762	)		(46,037	)		1,070
Teleflex, Inc.		(867	)		(116,396	)		2,429
Tempur Sealy International, Inc.		(13,097	)		(1,000,618	)		77,804
Tenet Healthcare Corp.		(56,670	)		(1,736,977	)		19,876
TerraForm Power, Inc.		(45,083	)		(401,311	)		(165,833	)
Tesla Motors, Inc.		(13,706	)		(3,044,776	)		(244,801	)
Tiffany & Co.		(4,746	)		(363,348	)		1,275
Time, Inc.		(7,696	)		(118,926	)		(1,670	)
T-Mobile US, Inc.		(28,256	)		(1,098,360	)		(7,015	)
Toll Brothers, Inc.		(9,359	)		(322,217	)		10,562
TransDigm Group, Inc.		(7,776	)		(1,732,864	)		(43,563	)
TreeHouse Foods, Inc.		(3,987	)		(331,150	)		18,330
TRI Pointe Group, Inc.		(54,817	)		(721,680	)		27,149
Trimble Navigation Ltd.		(18,514	)		(348,897	)		(48,228	)
TripAdvisor, Inc.		(9,814	)		(710,934	)		(125,710	)
Twenty-First Century Fox, Inc.		(4,170	)		(115,260	)		2,003
Twitter, Inc.		(72,451	)		(2,060,893	)		384,377
Tyco International PLC		(4,297	)		(156,517	)		19,485
UGI Corp.		(5,808	)		(206,320	)		10,242
Ulta Salon Cosmetics & Fragrance, Inc.		(694	)		(124,553	)		(3,837	)
Ultimate Software Group, Inc./The		(1,654	)		(316,377	)		(6,996	)
Umpqua Holdings Corp.		(9,961	)		(170,473	)		12,093
Under Armour, Inc.		(23,995	)		(2,233,454	)		299,217
United Natural Foods, Inc.		(4,580	)		(205,378	)		25,109
United Parcel Service, Inc.		(3,746	)		(389,753	)		29,275

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
United Rentals, Inc.		(7,039	)	$	(512,287	)	$	1,678
USG Corp.		(77,024	)		(2,033,700	)		162,787
Valley National Bancorp		(26,705	)		(269,873	)		6,828
Valspar Corp./The		(4,702	)		(374,617	)		(15,414	)
Vantiv, Inc.		(2,100	)		(98,721	)		(861	)
Veeva Systems, Inc.		(12,905	)		(342,390	)		(29,919	)
VeriFone Systems, Inc.		(5,920	)		(176,324	)		10,446
Verisk Analytics, Inc.		(38,734	)		(2,948,525	)		(29,345	)
Vertex Pharmaceuticals, Inc.		(4,476	)		(499,855	)		(63,360	)
Viavi Solutions, Inc.		(7,433	)		(43,719	)		(1,548	)
Visa, Inc.		(20,094	)		(1,560,898	)		2,608
Vista Outdoor, Inc.		(15,570	)		(680,019	)		(13,001	)
Vulcan Materials Co.		(2,653	)		(252,822	)		867
WABCO Holdings, Inc.		(2,636	)		(297,649	)		28,092
Wabtec Corp.		(3,034	)		(220,859	)		5,081
Walgreens Boots Alliance, Inc.		(8,817	)		(735,231	)		(15,580	)
Waste Connections, Inc.		(2,923	)		(150,276	)		(14,347	)
WEC Energy Group, Inc.		(63,469	)		(3,262,050	)		5,455
WestRock Co.		(38,172	)		(1,816,754	)		75,348
WEX, Inc.		(1,148	)		(107,267	)		5,784
WhiteWave Foods Co./The		(38,707	)		(1,516,060	)		9,971
Whiting Petroleum Corp.		(30,033	)		(322,410	)		38,899
Whole Foods Market, Inc.		(10,329	)		(337,884	)		(8,138	)
Williams-Sonoma, Inc.		(3,407	)		(202,919	)		3,916
WisdomTree Investments, Inc.		(81,288	)		(1,366,882	)		92,286
Workday, Inc.		(18,058	)		(1,433,339	)		(5,522	)
WPX Energy, Inc.		(8,693	)		(45,145	)		(4,752	)
WR Grace & Co.		(5,714	)		(562,996	)		(6,062	)
Wynn Resorts Ltd.		(9,859	)		(693,747	)		11,603
Zebra Technologies Corp.		(12,320	)		(951,751	)		93,663
Zimmer Biomet Holdings, Inc.		(17,378	)		(1,720,492	)		(62,318	)
Zions Bancorporation		(13,112	)		(382,260	)		24,302
								6,134,334
Total of Short Equity Positions								6,280,896
Total of Long and Short Equity Positions								3,572,442
Net Cash and Other Receivables/ (Payables) (b)								431,577
Swaps, at Value							$	4,004,019

(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.

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

AQR Funds Annual Report December 2015

81

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Sterling Overnight Index Average plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	10-25 months maturity 10/12/2016		$1,059,005

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton PLC		20,518	$	282,648	$	(53,835	)
Ireland
DCC PLC		10,884		794,189		115,082
Shire PLC		4,586		314,993		(360	)
						114,722
Luxembourg
Regus PLC		72,671		342,276		14,798
South Africa
Mondi PLC		34,356		696,014		(22,611	)
Switzerland
Coca-Cola HBC AG		21,950		468,796		(1,357	)
Glencore PLC		302,507		442,267		(41,406	)
Wolseley PLC		6,542		360,636		(5,321	)
						(48,084	)
United Kingdom
AA PLC		51,695		228,502		10,306
Aggreko PLC		17,957		254,809		(13,077	)
Amec Foster Wheeler PLC		36,612		235,646		(4,527	)
ASOS PLC		11,364		535,181		42,220
AstraZeneca PLC		4,923		328,143		4,392
Barratt Developments PLC		85,588		744,252		44,417
Bellway PLC		15,889		599,145		65,229
Berkeley Group Holdings PLC		21,086		1,059,158		87,151
Britvic PLC		29,410		297,411		17,694
BT Group PLC		20,611		125,407		17,707
Burberry Group PLC		15,738		310,463		(33,569	)
Centrica PLC		390,597		1,240,741		13,455
Close Brothers Group PLC		5,481		114,880		(6,797	)
Compass Group PLC		2,966		44,886		6,509
Direct Line Insurance Group PLC		6,178		33,755		3,276
Direct Line Insurance Group PLC		1,224		7,425		(88	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Dixons Carphone PLC		6,108	$	40,739	$	4,210
DS Smith PLC		86,642		493,031		13,787
GKN PLC		90,329		381,913		27,988
Hays PLC		48,647		104,813		(336	)
Howden Joinery Group PLC		53,715		385,588		30,598
Imperial Tobacco Group PLC		6,603		321,105		27,650
Indivior PLC		105,609		327,431		(35,587	)
Informa PLC		15,864		139,070		4,300
Intermediate Capital Group PLC		29,207		234,697		34,549
John Wood Group PLC		85,725		749,630		22,428
Jupiter Fund Management PLC		6,781		44,228		837
Just Eat PLC		72,350		418,699		106,631
Kingfisher PLC		116,990		596,384		(29,745	)
Man Group PLC		251,946		644,503		3,630
Marks & Spencer Group PLC		85,918		613,626		(41,568	)
Meggitt PLC		120,595		673,235		(7,399	)
National Grid PLC		12,359		164,265		6,185
Pearson PLC		3,958		55,443		(12,655	)
Persimmon PLC		22,231		609,524		53,701
Playtech PLC		6,182		77,798		(2,112	)
Reckitt Benckiser Group PLC		488		45,200		(47	)
Rentokil Initial PLC		224,592		499,897		27,050
Rio Tinto PLC		4,413		158,878		(30,392	)
Royal Mail PLC		182,448		1,258,584		(63,571	)
Severn Trent PLC		1,654		53,659		(786	)
Sky PLC		2,766		41,267		4,075
Smith & Nephew PLC		13,363		230,431		7,725
Smiths Group PLC		74,529		1,081,125		(50,470	)
Stagecoach Group PLC		95,466		470,249		(53,128	)
Tate & Lyle PLC		5,182		45,535		110
Taylor Wimpey PLC		449,375		1,230,722		112,623
Thomas Cook Group PLC		188,138		334,175		1,518
Travis Perkins PLC		1,539		40,303		4,344
UBM PLC		6,875		50,739		2,545
United Utilities Group PLC		3,246		45,979		(1,283	)

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

AQR Funds Annual Report December 2015

82

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Vedanta Resources PLC		29,312		$	182,915		$	(64,840	)
Vodafone Group PLC		97,585			306,750			9,695
William Hill PLC		81,540			430,381			45,494
WPP PLC		8,113			183,570			3,044
								415,096
Total of Long Equity Positions								420,086
Short Positions
Common Stocks
Chile
Antofagasta PLC		(165,908	)		(1,324,352	)		183,103
Luxembourg
B&M European Value Retail SA		(27,390	)		(125,591	)		10,858
United Kingdom
Aberdeen Asset Management PLC		(158,257	)		(736,653	)		62,284
Admiral Group PLC		(38,177	)		(874,319	)		(58,560	)
Anglo American PLC		(53,905	)		(340,450	)		103,958
ARM Holdings PLC		(120,850	)		(1,795,430	)		(46,569	)
Ashtead Group PLC		(20,536	)		(334,311	)		(3,668	)
Associated British Foods PLC		(24,667	)		(1,206,534	)		(7,258	)
Aviva PLC		(57,239	)		(429,950	)		(4,522	)
Babcock International Group PLC		(25,554	)		(372,717	)		(9,703	)
Balfour Beatty PLC		(11,293	)		(43,436	)		(1,544	)
Booker Group PLC		(36,603	)		(97,046	)		(643	)
BP PLC		(134,547	)		(712,753	)		13,554
British American Tobacco PLC		(32,210	)		(1,755,007	)		(33,744	)
BTG PLC		(54,945	)		(523,440	)		(33,313	)
Bunzl PLC		(11,953	)		(330,570	)		(1,058	)
Cable & Wireless Communications PLC		(71,539	)		(65,069	)		(13,196	)
Capita PLC		(31,371	)		(568,844	)		10,675
Cobham PLC		(167,401	)		(699,653	)		607
Croda International PLC		(1,624	)		(73,286	)		522
Diageo PLC		(21,717	)		(592,295	)		(747	)
easyJet PLC		(8,936	)		(230,900	)		1,718
Essentra PLC		(24,790	)		(298,587	)		(3,605	)
G4S PLC		(41,840	)		(164,758	)		25,775
GlaxoSmithKline PLC		(7,074	)		(142,047	)		(819	)
Halma PLC		(13,763	)		(175,316	)		62
Hargreaves Lansdown PLC		(42,822	)		(716,740	)		(233,935	)
HSBC Holdings PLC		(13,550	)		(108,264	)		1,298
IMI PLC		(13,943	)		(180,096	)		3,170
Inmarsat PLC		(28,502	)		(436,797	)		(41,023	)
International Consolidated Airlines Group SA		(14,515	)		(125,133	)		(5,372	)
Intertek Group PLC		(3,759	)		(141,938	)		(11,829	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
ITV PLC		(106,946	)	$	(436,872	)	$	1,457
J Sainsbury PLC		(190,206	)		(718,060	)		(6,283	)
Legal & General Group PLC		(91,582	)		(359,882	)		(1,492	)
Lloyds Banking Group PLC		(568,724	)		(612,555	)		611
Melrose Industries PLC		(16,627	)		(72,148	)		927
Merlin Entertainments PLC		(19,889	)		(132,766	)		(591	)
Micro Focus International PLC		(3,723	)		(75,045	)		(12,387	)
Ocado Group PLC		(128,441	)		(629,688	)		55,848
Old Mutual PLC		(108,675	)		(319,279	)		33,392
Pennon Group PLC		(8,562	)		(110,073	)		1,452
Petrofac Ltd.		(8,066	)		(115,912	)		21,301
Provident Financial PLC		(12,676	)		(636,045	)		7,536
Prudential PLC		(20,504	)		(452,590	)		(9,355	)
Rolls-Royce Holdings PLC (3)		(5,165,522	)		337			(7,952	)
Rolls-Royce Holdings PLC		(109,335	)		(1,099,369	)		173,256
Rotork PLC		(38,372	)		(110,980	)		7,715
Royal Bank of Scotland Group PLC		(45,668	)		(213,305	)		10,308
RSA Insurance Group PLC		(92,863	)		(548,158	)		(34,683	)
Schroders PLC		(2,064	)		(91,186	)		785
Serco Group PLC		(242,148	)		(433,743	)		96,782
Spectris PLC		(5,447	)		(144,579	)		22
Spirax-Sarco Engineering PLC		(1,330	)		(64,589	)		266
Sports Direct International PLC		(5,385	)		(55,576	)		9,814
SSE PLC		(12,237	)		(282,917	)		8,150
St. James’s Place PLC		(61,646	)		(870,476	)		(43,220	)
Standard Chartered PLC		(5,161	)		(57,161	)		14,339
Standard Life PLC		(183,108	)		(1,084,920	)		36,350
Tesco PLC		(911,547	)		(2,327,251	)		324,331
Weir Group PLC/The		(4,873	)		(130,422	)		58,844
								460,038
Total of Short Equity Positions								653,999
Total of Long and Short Equity Positions								1,074,085
Net Cash and Other Receivables/ (Payables) (b)								(15,080	)
Swaps, at Value							$	1,059,005

(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.

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

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

AQR Funds Annual Report December 2015

83

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Reserve Bank of Australia Cash rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap.	10-25 months maturity 10/13/2016		$(328,206	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Amcor Ltd.		18,880	$	179,993	$	3,431
Ansell Ltd.		41,552		616,666		27,274
Aurizon Holdings Ltd.		208,953		689,315		(25,973	)
Boral Ltd.		299,517		1,196,128		84,473
Caltex Australia Ltd.		15,942		387,140		48,614
CIMIC Group Ltd.		37,780		655,777		6,952
Coca-Cola Amatil Ltd.		70,295		471,861		2,134
Cochlear Ltd.		1,375		90,883		4,269
Flight Centre Travel Group Ltd.		6,163		168,293		9,453
Harvey Norman Holdings Ltd.		167,444		478,783		27,389
Iluka Resources Ltd.		80,851		377,603		(19,964	)
Incitec Pivot Ltd.		38,894		106,490		4,647
Macquarie Group Ltd.		782		31,435		15,346
Newcrest Mining Ltd.		37,897		321,122		37,468
Orica Ltd.		9,683		114,965		(6,480	)
Qantas Airways Ltd.		348,811		1,011,656		22,245
Sonic Healthcare Ltd.		3,506		47,458		(2,065	)
Star Entertainment Grp Ltd./The		260,979		908,640		49,007
Tabcorp Holdings Ltd.		122,905		411,003		7,467
Tatts Group Ltd.		87,503		267,158		10,654
Telstra Corp. Ltd.		88,681		348,235		12,138
TPG Telecom Ltd.		30,700		220,832		(1,031	)
Treasury Wine Estates Ltd.		214,417		1,079,234		208,157
Woodside Petroleum Ltd.		83,437		1,841,751		(103,428	)
						422,177
New Zealand
Fletcher Building Ltd.		96,220		442,755		37,029
Spark New Zealand Ltd.		163,550		336,529		32,794
						69,823
Total of Long Equity Positions						492,000

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Australia
ALS Ltd.		(17,050	)	$	(46,983	)	$	582
Alumina Ltd.		(682,151	)		(590,249	)		20,966
AMP Ltd.		(20,461	)		(91,719	)		5,507
APA Group		(232,467	)		(1,450,698	)		(12,069	)
AusNet Services		(379,814	)		(375,976	)		(32,914	)
Bank of Queensland Ltd.		(28,314	)		(282,305	)		(3,316	)
Brambles Ltd.		(62,675	)		(514,497	)		(10,400	)
Commonwealth Bank of Australia		(7,549	)		(430,084	)		(36,629	)
Computershare Ltd.		(43,492	)		(361,788	)		(4,178	)
Crown Resorts Ltd.		(65,967	)		(586,869	)		(9,356	)
CSL Ltd.		(14,806	)		(1,059,165	)		(69,640	)
Healthscope Ltd.		(199,450	)		(378,828	)		(5,520	)
Insurance Australia Group Ltd.		(253,040	)		(969,086	)		(47,125	)
Medibank Pvt Ltd.		(192,825	)		(301,324	)		650
Origin Energy Ltd.		(13,028	)		(51,386	)		7,316
QBE Insurance Group Ltd.		(7,910	)		(69,992	)		(1,951	)
Ramsay Health Care Ltd.		(14,211	)		(653,405	)		(45,382	)
REA Group Ltd.		(13,529	)		(444,113	)		(94,178	)
Santos Ltd.		(32,375	)		(79,440	)		(6,790	)
Seek Ltd.		(295,168	)		(3,019,405	)		(265,862	)
South32 Ltd.		(141,585	)		(123,261	)		14,495
Transurban Group		(21,978	)		(164,960	)		(1,633	)
Westpac Banking Corp.		(15,781	)		(370,175	)		(12,353	)
								(609,780	)
Total of Short Equity Positions								(609,780	)
Total of Long and Short Equity Positions								(117,780	)
Net Cash and Other Receivables/ (Payables) (b)								(210,426	)
Swaps, at Value							$	(328,206	)

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

AQR Funds Annual Report December 2015

84

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

(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.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro 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.	10-25 months maturity 10/12/2016		$580,612

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Accor SA		1,040	$	42,770	$	2,272
Aeroports de Paris		1,937		214,799		10,607
Atos SE		1,902		149,724		9,954
AXA SA		15,028		387,246		23,373
Cap Gemini SA		7,108		615,407		44,113
Christian Dior SE		263		46,204		(1,530	)
Cie Generale des Etablissements Michelin		3,226		308,908		(1,849	)
CNP Assurances		12,956		176,088		(1,320	)
Dassault Systemes		566		38,749		6,492
Eiffage SA		8,934		548,425		28,963
Eutelsat Communications SA		9,918		307,762		(10,813	)
Faurecia		12,337		492,313		2,027
Groupe Eurotunnel SE		3,719		48,203		(1,935	)
Hermes International		236		80,752		(979	)
Imerys SA		1,162		79,936		1,231
Ingenico Group		2,277		262,659		24,747
Ipsen SA		10,337		666,918		17,987
Lagardere SCA		3,556		103,569		2,547
Numericable-SFR SAS		9,292		381,857		(44,297	)
Peugeot SA		134,518		2,141,243		216,712
Safran SA		7,011		512,066		(30,391	)
Sanofi		13,551		1,213,671		(58,831	)
SCOR SE		17,809		652,264		14,109
SEB SA		6,857		635,464		68,484
Societe BIC SA		2,307		362,103		17,526
Societe Generale SA		7,070		339,724		(13,923	)
Societe Television Francaise 1		30,966		401,740		(57,899	)
Sodexo SA		6,600		647,770		(2,970	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Teleperformance		4,535		$	356,583		$	24,754
Thales SA		13,759			932,807			97,050
TOTAL SA		8,219			374,818			(6,349	)
Valeo SA		3,456			482,655			50,172
Veolia Environnement SA		23,825			564,410			857
Vinci SA		7,263			465,488			32
Vivendi SA		35,369			845,750			(86,129	)
								344,794
Luxembourg
SES SA		2,472			87,613			(19,115	)
Total of Long Equity Positions							325,679
Short Positions
Common Stocks
France
Airbus Group SE		(9,100	)		(651,297	)		38,072
Alstom SA		(7,496	)		(227,580	)		(1,384	)
Arkema SA		(645	)		(46,678	)		1,529
Bollore SA		(140,177	)		(704,334	)		51,161
Carrefour SA		(3,023	)		(96,330	)		9,087
Cie de Saint-Gobain		(2,757	)		(120,295	)		819
Credit Agricole SA		(8,372	)		(98,326	)		(331	)
Danone SA		(3,237	)		(220,329	)		1,593
Edenred		(58,309	)		(1,072,007	)		(30,211	)
Electricite de France SA		(76,842	)		(1,182,187	)		50,498
Engie		(36,745	)		(591,481	)		(59,391	)
Essilor International SA		(1,310	)		(140,338	)		(22,935	)
Iliad SA		(1,005	)		(239,903	)		333
Kering		(2,590	)		(454,996	)		12,171
L’Oreal SA		(268	)		(48,090	)		3,011
Natixis SA		(45,700	)		(260,325	)		1,796
Orange SA		(7,246	)		(122,382	)		1,187

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

AQR Funds Annual Report December 2015

85

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Orpea		(1,149	)	$	(91,765	)	$	(231	)
Pernod Ricard SA		(7,707	)		(902,640	)		23,699
Plastic Omnium SA		(16,558	)		(398,495	)		(127,831	)
Remy Cointreau SA		(4,923	)		(308,592	)		(44,020	)
Renault SA		(953	)		(94,994	)		(397	)
Rexel SA		(19,525	)		(260,670	)		679
Schneider Electric SE		(7,085	)		(441,811	)		39,355
Suez Environnement Co.		(13,902	)		(257,766	)		(2,248	)
Technip SA		(18,975	)		(910,993	)		(32,639	)
Vallourec SA		(10,380	)		(100,891	)		4,256
Zodiac Aerospace		(79,101	)		(2,032,587	)		149,167
								66,795
Total of Short Equity Positions								66,795
Total of Long and Short Equity Positions								392,474
Net Cash and Other Receivables/ (Payables) (b)								188,138
Swaps, at Value							$	580,612

(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.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Overnight Index Average plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	10-25 months maturity 10/14/2016		$(48,131	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
CK Hutchison Holdings Ltd.		15,000	$	198,916	$	2,712
CLP Holdings Ltd.		135,500		1,151,647		(3,148	)
Hang Seng Bank Ltd.		2,600		48,778		501
Henderson Land Development Co., Ltd.		7,000		44,697		(1,997	)
Kerry Properties Ltd.		143,500		423,986		(33,470	)
New World Development Co., Ltd.		506,817		538,002		(40,339	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Orient Overseas International Ltd.		85,500	$	414,738	$	(5,494	)
Sino Land Co., Ltd.		386,000		590,801		(28,493	)
Sun Hung Kai Properties Ltd.		31,000		410,731		(38,123	)
Swire Pacific Ltd.		17,500		196,207		(730	)
Techtronic Industries Co., Ltd.		15,000		57,894		2,830
WH Group Ltd.		1,481,000		816,163		8,117
Wheelock & Co., Ltd.		17,000		72,220		(885	)

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

AQR Funds Annual Report December 2015

86

Schedule of Investments December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Yue Yuen Industrial Holdings Ltd.		162,000		$	578,594		$	(29,816	)
								(168,335	)
Total of Long Equity Positions								(168,335	)
Short Positions
Common Stocks
Hong Kong
AIA Group Ltd.		(43,800	)		(260,363	)		(1,345	)
ASM Pacific Technology Ltd.		(54,400	)		(389,465	)		(35,263	)
Bank of East Asia Ltd./The		(29,000	)		(104,543	)		(3,032	)
Cathay Pacific Airways Ltd.		(53,000	)		(91,136	)		(59	)
Cheung Kong Property Holdings Ltd.		(175,000	)		(1,196,139	)		64,067
Esprit Holdings Ltd.		(268,800	)		(266,976	)		(28,915	)
Galaxy Entertainment Group Ltd.		(127,000	)		(361,974	)		(35,958	)
Hang Lung Properties Ltd.		(28,000	)		(64,940	)		1,496
HKT Trust & HKT Ltd.		(193,000	)		(236,600	)		(9,785	)
Hong Kong & China Gas Co., Ltd.		(834,300	)		(1,641,512	)		8,753
Hysan Development Co., Ltd.		(52,000	)		(214,749	)		2,295

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
MGM China Holdings Ltd.		(411,600	)	$	(621,485	)	$	109,919
MTR Corp. Ltd.		(39,500	)		(193,558	)		(1,486	)
Sands China Ltd.		(73,200	)		(243,289	)		(4,873	)
Swire Properties Ltd.		(81,000	)		(240,636	)		7,733
Value Partners Group Ltd.		(373,000	)		(425,664	)		(7,892	)
Wharf Holdings Ltd./The		(24,000	)		(133,680	)		1,357
Wynn Macau Ltd.		(190,000	)		(221,745	)		1,005
								68,017
United States
Samsonite International SA		(139,200	)		(457,448	)		40,268
Total of Short Equity Positions								108,285
Total of Long and Short Equity Positions								(60,050	)
Net Cash and Other Receivables/ (Payables) (b)								11,919
Swaps, at Value							$	(48,131	)

(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 pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$260,000		$—		$260,000
Morgan Stanley Capital Services, Inc.
Money Market Funds		44,640,000		—		44,640,000

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

MONEY MARKET FUNDS - 32.3%	SHARES			VALUE (Note 5)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(a)(b)		16,864,870		$	16,864,870
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(a)(b)		60,001			60,001
TOTAL MONEY MARKET FUNDS (cost $16,924,871)					16,924,871
SHORT-TERM INVESTMENTS - 57.0%		PRINCIPAL AMOUNT (000’s	)
U.S. Treasury Bill, 0.327%, 5/19/2016 ^(c)	$	29,914			29,876,219
TOTAL SHORT-TERM INVESTMENTS (cost $29,876,250)					29,876,219
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 89.3% (cost $46,801,121)					46,801,090
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.7% (d)				5,594,253
NET ASSETS - 100.0%				$52,395,343

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) All or 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 (See Note 2).

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

Forward effective interest rate swap contracts outstanding as of December 31, 2015:

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
Credit Suisse International	2.000%			(1)	AUD		2,890,000		$561			03/08/2018		$6,597
Credit Suisse International	2.000%			(1)	AUD		9,630,000		5,403			03/08/2018		18,451
Credit Suisse International	2.000%			(1)	AUD		6,400,000		(1,015	)		03/08/2018		16,868
Credit Suisse International	2.000%			(1)	AUD		2,900,000		953			03/08/2018		6,230
Credit Suisse International	2.000%			(1)	AUD		10,300,000		(5,420	)		03/08/2018		30,934
Credit Suisse International	2.000%			(1)	AUD		3,090,000		1,697			03/08/2018		5,957
Credit Suisse International	2.000%			(1)	AUD		7,950,000		(2,226	)		03/08/2018		21,919
Credit Suisse International	2.000%			(1)	AUD		2,940,000		(509	)		03/08/2018		7,791
Credit Suisse International	(1)		2.000	%	AUD		3,100,000		(6,699	)		03/08/2018		(980	)
Credit Suisse International	(1)		2.000	%	AUD		2,800,000		(7,691	)		03/08/2018		755
Credit Suisse International	(1)		2.000	%	AUD		8,300,000		(181	)		03/08/2018		(20,378	)
Credit Suisse International	3.000%			(2)	AUD		1,870,000		9,874			03/12/2026		(541	)
Credit Suisse International	3.000%			(2)	AUD		700,000		1,314			03/12/2026		2,179

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	(2)		3.000	%	AUD		2,300,000		$ 5,083			03/12/2026		$ (16,562	)
Credit Suisse International	(2)		3.000	%	AUD		1,800,000		(1,654	)		03/12/2026		(7,329	)
Credit Suisse International	(2)		3.000	%	AUD		2,210,000		(5,417	)		03/12/2026		(5,613	)
Credit Suisse International	(2)		3.000	%	AUD		670,000		(6,594	)		03/12/2026		3,250
Credit Suisse International	(2)		3.000	%	AUD		660,000		2,715			03/12/2026		(6,009	)
Credit Suisse International	(2)		3.000	%	AUD		660,000		(7,008	)		03/12/2026		3,714
Credit Suisse International	(2)		3.000	%	AUD		1,500,000		57			03/12/2026		(7,544	)
Credit Suisse International	1.000%			(4)	CAD		3,090,000		(7,903	)		03/19/2018		1,222
Credit Suisse International	1.000%			(4)	CAD		3,080,000		(7,911	)		03/19/2018		1,252
Credit Suisse International	1.000%			(4)	CAD		2,700,000		(6,939	)		03/19/2018		1,102
Credit Suisse International	2.000%			(4)	CAD		590,000		5,214			03/16/2026		(8,232	)
Credit Suisse International	2.000%			(4)	CAD		600,000		(2,594	)		03/16/2026		(476	)
Credit Suisse International	2.000%			(4)	CAD		160,000		52			03/16/2026		(870	)
Credit Suisse International	2.000%			(4)	CAD		590,000		3,133			03/16/2026		(6,152	)
Credit Suisse International	2.000%			(4)	CAD		600,000		1,135			03/16/2026		(4,205	)
Credit Suisse International	2.000%			(4)	CAD		2,000,000		10,969			03/16/2026		(21,202	)
Credit Suisse International	2.000%			(4)	CAD		600,000		(3,193	)		03/16/2026		122
Credit Suisse International	2.000%			(4)	CAD		600,000		(1,104	)		03/16/2026		(1,966	)
Credit Suisse International	(4)		1.000	%	CAD		700,000		1,296			03/19/2018		217
Credit Suisse International	(4)		1.000	%	CAD		2,670,000		4,411			03/19/2018		1,362
Credit Suisse International	(4)		1.000	%	CAD		2,700,000		5,367			03/19/2018		470
Credit Suisse International	(4)		1.000	%	CAD		2,800,000		5,996			03/19/2018		57
Credit Suisse International	(4)		1.000	%	CAD		2,700,000		4,589			03/19/2018		1,248
Credit Suisse International	(4)		1.000	%	CAD		2,700,000		3,920			03/19/2018		1,917
Credit Suisse International	(4)		1.000	%	CAD		12,100,000		6,125			03/19/2018		20,034
Credit Suisse International	(4)		1.000	%	CAD		2,600,000		4,027			03/19/2018		1,594
Credit Suisse International	(4)		2.000	%	CAD		670,000		(2,337	)		03/16/2026		5,765

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	(4)		2.000	%	CAD		670,000		$ (2,032	)		03/16/2026		$ 5,460
Credit Suisse International	0.250%			(6)	CHF		17,420,000		140,101			03/18/2026		(92,493	)
Credit Suisse International	0.250%			(6)	CHF		11,620,000		91,763			03/18/2026		(60,006	)
Credit Suisse International	0.500%			(6)	CHF		9,300,000		(27,407	)		03/21/2018		2,193
Credit Suisse International	0.500%			(6)	CHF		11,700,000		(47,294	)		03/21/2018		15,572
Credit Suisse International	0.500%			(6)	CHF		2,500,000		(3,677	)		03/21/2018		(3,101	)
Credit Suisse International	0.500%			(6)	CHF		2,290,000		(5,105	)		03/21/2018		(1,104	)
Credit Suisse International	0.500%			(6)	CHF		3,720,000		(6,478	)		03/21/2018		(3,608	)
Credit Suisse International	0.750%			(6)	CHF		3,500,000		(4,532	)		03/21/2018		13,053
Credit Suisse International	0.750%			(6)	CHF		3,300,000		3,847			03/21/2018		4,187
Credit Suisse International	(6)		0.250	%	CHF		1,800,000		(5,884	)		03/18/2026		965
Credit Suisse International	(6)		0.250	%	CHF		470,000		2,175			03/18/2026		(3,460	)
Credit Suisse International	(6)		0.250	%	CHF		400,000		6,212			03/18/2026		(7,305	)
Credit Suisse International	(6)		0.250	%	CHF		620,000		(2,285	)		03/18/2026		591
Credit Suisse International	(6)		0.250	%	CHF		400,000		(8,685	)		03/18/2026		7,592
Credit Suisse International	(6)		0.250	%	CHF		2,600,000		(229	)		03/18/2026		(6,877	)
Credit Suisse International	(6)		0.250	%	CHF		600,000		14,484			03/18/2026		(16,124	)
Credit Suisse International	(6)		0.500	%	CHF		86,290,000		152,099			03/21/2018		81,855
Credit Suisse International	(6)		0.500	%	CHF		57,520,000		99,514			03/21/2018		56,437
Credit Suisse International	0.500%			(5)	EUR		144,030,000		(936,108	)		03/21/2018		(697,939	)
Credit Suisse International	1.000%			(5)	EUR		600,000		(3,437	)		03/18/2026		6,683
Credit Suisse International	1.000%			(5)	EUR		500,000		(6,118	)		03/18/2026		8,823
Credit Suisse International	1.000%			(5)	EUR		400,000		7,950			03/18/2026		(5,786	)
Credit Suisse International	1.000%			(5)	EUR		400,000		2,595			03/18/2026		(431	)
Credit Suisse International	1.000%			(5)	EUR		500,000		1,904			03/18/2026		802
Credit Suisse International	1.000%			(5)	EUR		500,000		3,425			03/18/2026		(720	)
Credit Suisse International	1.000%			(5)	EUR		200,000		(2,139	)		03/18/2026		3,221
Credit Suisse International	1.000%			(5)	EUR		380,000		2,606			03/18/2026		(550	)

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	1.000%			(5)	EUR		2,030,000		$ 12,795			03/18/2026		$ (1,811	)
Credit Suisse International	1.000%			(5)	EUR		370,000		2,978			03/18/2026		(976	)
Credit Suisse International	1.000%			(5)	EUR		200,000		(2,093	)		03/18/2026		3,175
Credit Suisse International	1.000%			(5)	EUR		700,000		4,552			03/18/2026		(765	)
Credit Suisse International	1.000%			(5)	EUR		1,200,000		(4,888	)		03/18/2026		11,381
Credit Suisse International	(5)		0.500	%	EUR		1,860,000		15,808			03/21/2018		5,294
Credit Suisse International	(5)		0.500	%	EUR		1,500,000		15,079			03/21/2018		1,939
Credit Suisse International	(5)		0.500	%	EUR		2,490,000		20,612			03/21/2018		7,637
Credit Suisse International	(5)		0.500	%	EUR		1,300,000		17,251			03/21/2018		(2,502	)
Credit Suisse International	(5)		0.500	%	EUR		8,400,000		75,244			03/21/2018		20,055
Credit Suisse International	(5)		0.500	%	EUR		2,600,000		27,399			03/21/2018		2,099
Credit Suisse International	(5)		0.500	%	EUR		3,410,000		24,761			03/21/2018		13,926
Credit Suisse International	(5)		0.500	%	EUR		1,900,000		15,638			03/21/2018		5,918
Credit Suisse International	(5)		0.500	%	EUR		4,500,000		50,001			03/21/2018		1,052
Credit Suisse International	(5)		0.500	%	EUR		1,800,000		15,304			03/21/2018		5,117
Credit Suisse International	(5)		0.500	%	EUR		1,900,000		24,699			03/21/2018		(3,143	)
Credit Suisse International	(5)		0.500	%	EUR		6,000,000		70,792			03/21/2018		(2,721	)
Credit Suisse International	(5)		0.500	%	EUR		1,000,000		10,118			03/21/2018		1,227
Credit Suisse International	(5)		0.500	%	EUR		1,780,000		12,850			03/21/2018		7,344
Credit Suisse International	(5)		1.000	%	EUR		30,330,000		(482,532	)		03/18/2026		318,433
Credit Suisse International	1.500%			(6)	GBP		2,100,000		(22,779	)		03/21/2018		3,204
Credit Suisse International	1.500%			(6)	GBP		1,700,000		(14,839	)		03/21/2018		(1,008	)
Credit Suisse International	2.000%			(6)	GBP		120,000		(1,489	)		03/18/2026		2,161
Credit Suisse International	2.000%			(6)	GBP		15,090,000		220,329			03/18/2026		(135,861	)
Credit Suisse International	2.000%			(6)	GBP		170,000		(2,127	)		03/18/2026		3,079
Credit Suisse International	2.000%			(6)	GBP		300,000		(2,931	)		03/18/2026		4,610
Credit Suisse International	2.000%			(6)	GBP		440,000		989			03/18/2026		1,474
Credit Suisse International	2.000%			(6)	GBP		370,000		(2,842	)		03/18/2026		4,913

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	2.000%			(6)	GBP		710,000		$ 5,163			03/18/2026		$ (1,189	)
Credit Suisse International	(6)		1.500	%	GBP		1,310,000		9,406			03/21/2018		2,805
Credit Suisse International	(6)		1.500	%	GBP		2,960,000		22,068			03/21/2018		5,524
Credit Suisse International	(6)		1.500	%	GBP		1,300,000		14,224			03/21/2018		(2,106	)
Credit Suisse International	(6)		1.500	%	GBP		1,230,000		13,392			03/21/2018		(1,926	)
Credit Suisse International	(6)		1.500	%	GBP		810,000		8,884			03/21/2018		(1,333	)
Credit Suisse International	(6)		1.500	%	GBP		1,310,000		15,166			03/21/2018		(2,955	)
Credit Suisse International	(6)		1.500	%	GBP		69,190,000		406,719			03/21/2018		238,237
Credit Suisse International	(6)		2.000	%	GBP		500,000		2,719			03/18/2026		(5,518	)
Credit Suisse International	(6)		2.000	%	GBP		400,000		9,022			03/18/2026		(11,261	)
Credit Suisse International	(6)		2.000	%	GBP		300,000		(1,371	)		03/18/2026		(308	)
Credit Suisse International	0.250%			(6)	JPY		30,000,000		(775	)		03/22/2018		51
Credit Suisse International	0.250%			(6)	JPY		16,015,700,000		(268,547	)		03/22/2018		(122,311	)
Credit Suisse International	0.250%			(6)	JPY		329,740,000		(6,370	)		03/22/2018		(1,677	)
Credit Suisse International	0.250%			(6)	JPY		239,670,000		(4,565	)		03/22/2018		(1,284	)
Credit Suisse International	0.250%			(6)	JPY		238,790,000		(5,173	)		03/22/2018		(655	)
Credit Suisse International	0.500%			(6)	JPY		60,000,000		(1,211	)		03/18/2026		(1,530	)
Credit Suisse International	0.500%			(6)	JPY		50,000,000		(128	)		03/18/2026		(2,156	)
Credit Suisse International	0.750%			(6)	JPY		60,000,000		(10,929	)		03/18/2026		(4,885	)
Credit Suisse International	0.750%			(6)	JPY		480,000,000		(91,128	)		03/18/2026		(35,385	)
Credit Suisse International	(6)		0.250	%	JPY		2,340,000,000		54,747			03/22/2018		1,728
Credit Suisse International	(6)		0.250	%	JPY		240,000,000		5,632			03/22/2018		160
Credit Suisse International	(6)		0.250	%	JPY		250,000,000		5,687			03/22/2018		346
Credit Suisse International	(6)		0.250	%	JPY		22,170,000		489			03/22/2018		46
Credit Suisse International	(6)		0.250	%	JPY		240,000,000		5,316			03/22/2018		476
Credit Suisse International	(6)		0.750	%	JPY		49,400,000		6,540			03/18/2026		6,480
Credit Suisse International	(6)		0.750	%	JPY		53,670,000		5,551			03/18/2026		8,595
Credit Suisse International	(6)		0.750	%	JPY		3,310,350,000		303,094			03/18/2026		569,410

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	(6)		0.750	%	JPY		33,250,000		$ 5,324			03/18/2026		$ 3,440
Credit Suisse International	1.000%			(7)	NOK		16,850,000		2,301			03/21/2018		(4,946	)
Credit Suisse International	1.000%			(7)	NOK		16,650,000		2,164			03/21/2018		(4,777	)
Credit Suisse International	1.000%			(7)	NOK		29,000,000		(4,123	)		03/21/2018		(428	)
Credit Suisse International	1.000%			(7)	NOK		50,750,000		3,281			03/21/2018		(11,246	)
Credit Suisse International	1.000%			(7)	NOK		17,510,000		(1,072	)		03/21/2018		(1,676	)
Credit Suisse International	1.000%			(7)	NOK		50,750,000		652			03/21/2018		(8,617	)
Credit Suisse International	1.000%			(7)	NOK		19,100,000		(1,864	)		03/21/2018		(1,134	)
Credit Suisse International	1.000%			(7)	NOK		1,370,000		(252	)		03/21/2018		37
Credit Suisse International	1.000%			(7)	NOK		32,900,000		(276	)		03/21/2018		(4,888	)
Credit Suisse International	1.000%			(7)	NOK		16,500,000		1,857			03/21/2018		(4,447	)
Credit Suisse International	1.000%			(7)	NOK		16,730,000		2,406			03/21/2018		(5,032	)
Credit Suisse International	2.000%			(7)	NOK		4,400,000		(1,551	)		03/18/2026		(2,968	)
Credit Suisse International	2.000%			(7)	NOK		800,000		(1,652	)		03/18/2026		830
Credit Suisse International	(7)		2.000	%	NOK		3,960,000		(5,930	)		03/18/2026		9,997
Credit Suisse International	(7)		2.000	%	NOK		11,060,000		(19,040	)		03/18/2026		30,398
Credit Suisse International	(7)		2.000	%	NOK		11,060,000		(5,863	)		03/18/2026		17,221
Credit Suisse International	(7)		2.000	%	NOK		4,100,000		195			03/18/2026		4,016
Credit Suisse International	(7)		2.000	%	NOK		3,700,000		(6,816	)		03/18/2026		10,616
Credit Suisse International	(7)		2.000	%	NOK		3,700,000		3,335			03/18/2026		465
Credit Suisse International	(7)		2.000	%	NOK		10,000,000		10,460			03/18/2026		(190	)
Credit Suisse International	(7)		2.000	%	NOK		4,110,000		(5,166	)		03/18/2026		9,387
Credit Suisse International	(7)		2.000	%	NOK		4,000,000		878			03/18/2026		3,230
Credit Suisse International	(7)		2.000	%	NOK		3,900,000		(1,251	)		03/18/2026		5,256
Credit Suisse International	(1)		3.000	%	NZD		3,100,000		10,614			03/14/2018		(6,845	)
Credit Suisse International	(1)		3.000	%	NZD		6,720,000		19,984			03/14/2018		(11,813	)
Credit Suisse International	(1)		3.000	%	NZD		3,200,000		7,889			03/14/2018		(3,998	)
Credit Suisse International	(1)		3.000	%	NZD		4,100,000		14,006			03/14/2018		(9,021	)

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	(1)		3.000	%	NZD		49,420,000		$ 71,466			03/14/2018		$ (11,376	)
Credit Suisse International	(1)		3.000	%	NZD		160,000		453			03/14/2018		(258	)
Credit Suisse International	(1)		3.000	%	NZD		4,400,000		12,207			03/14/2018		(6,857	)
Credit Suisse International	(1)		3.000	%	NZD		21,460,000		21,342			03/14/2018		4,752
Credit Suisse International	(1)		3.000	%	NZD		49,420,000		103,842			03/14/2018		(43,752	)
Credit Suisse International	(1)		3.000	%	NZD		3,630,000		11,798			03/14/2018		(7,384	)
Credit Suisse International	(1)		3.500	%	NZD		700,000		(11,760	)		03/11/2026		(383	)
Credit Suisse International	3.500%			(1)	NZD		700,000		2,704			03/11/2026		9,439
Credit Suisse International	3.500%			(1)	NZD		900,000		9,915			03/11/2026		5,698
Credit Suisse International	3.500%			(1)	NZD		5,600,000		73,611			03/11/2026		23,536
Credit Suisse International	3.500%			(1)	NZD		770,000		3,934			03/11/2026		9,424
Credit Suisse International	3.500%			(1)	NZD		1,710,000		18,721			03/11/2026		10,943
Credit Suisse International	3.500%			(1)	NZD		11,340,000		80,896			03/11/2026		115,827
Credit Suisse International	3.500%			(1)	NZD		1,000,000		5,418			03/11/2026		11,930
Credit Suisse International	3.500%			(1)	NZD		900,000		6,952			03/11/2026		8,661
Credit Suisse International	3.500%			(1)	NZD		11,340,000		118,499			03/11/2026		78,224
Credit Suisse International	0.500%			(8)	SEK		15,490,000		(16,764	)		03/21/2018		(3,937	)
Credit Suisse International	0.500%			(8)	SEK		17,730,000		(18,912	)		03/21/2018		(4,783	)
Credit Suisse International	0.500%			(8)	SEK		26,200,000		(36,267	)		03/21/2018		1,253
Credit Suisse International	0.500%			(8)	SEK		16,770,000		(19,000	)		03/21/2018		(3,412	)
Credit Suisse International	0.500%			(8)	SEK		119,900,000		(189,495	)		03/21/2018		29,257
Credit Suisse International	0.500%			(8)	SEK		16,500,000		(18,250	)		03/21/2018		(3,801	)
Credit Suisse International	0.500%			(8)	SEK		17,300,000		(23,312	)		03/21/2018		192
Credit Suisse International	0.500%			(8)	SEK		16,900,000		(23,628	)		03/21/2018		1,042
Credit Suisse International	0.500%			(8)	SEK		34,100,000		(46,415	)		03/21/2018		843
Credit Suisse International	0.500%			(8)	SEK		16,200,000		(18,716	)		03/21/2018		(2,934	)
Credit Suisse International	1.500%			(8)	SEK		7,000,000		(3,024	)		03/18/2026		18,421
Credit Suisse International	(8)		0.500	%	SEK		32,960,000		37,160			03/21/2018		6,888

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	(8)		1.500	%	SEK		26,100,000		$ 15,224			03/18/2026		$ (72,632	)
Credit Suisse International	(8)		1.500	%	SEK		4,800,000		(6,565	)		03/18/2026		(3,993	)
Credit Suisse International	(8)		1.500	%	SEK		3,600,000		415			03/18/2026		(8,334	)
Credit Suisse International	(8)		1.500	%	SEK		3,640,000		2,599			03/18/2026		(10,606	)
Credit Suisse International	(8)		1.500	%	SEK		3,420,000		(1,101	)		03/18/2026		(6,421	)
Credit Suisse International	(8)		1.500	%	SEK		9,700,000		(1,485	)		03/18/2026		(19,851	)
Credit Suisse International	(8)		1.500	%	SEK		3,650,000		1,315			03/18/2026		(9,343	)
Credit Suisse International	(8)		1.500	%	SEK		30,000		14			03/18/2026		(80	)
Credit Suisse International	(8)		1.500	%	SEK		3,800,000		429			03/18/2026		(8,787	)
Credit Suisse International	(8)		1.500	%	SEK		3,700,000		7,657			03/18/2026		(15,795	)
Credit Suisse International	(8)		1.500	%	SEK		3,600,000		(745	)		03/18/2026		(7,173	)
Credit Suisse International	1.000%			(3)	USD		2,000,000		(921	)		03/16/2018		12,236
Credit Suisse International	1.500%			(3)	USD		2,150,000		(12,078	)		03/16/2018		2,995
Credit Suisse International	1.500%			(3)	USD		2,030,000		(15,887	)		03/16/2018		7,311
Credit Suisse International	1.500%			(3)	USD		270,000		(1,375	)		03/16/2018		234
Credit Suisse International	1.500%			(3)	USD		10,000,000		(51,653	)		03/16/2018		9,406
CitiBank	2.000%			(3)	USD		11,560,000		(184,045	)		03/16/2020		31,589
CitiBank	2.000%			(3)	USD		23,270,000		(279,938	)		03/16/2020		(26,953	)
CitiBank	2.000%			(3)	USD		8,900,000		(130,889	)		03/16/2021		45,108
Credit Suisse International	2.500%			(3)	USD		300,000		(9,180	)		03/16/2026		1,813
Credit Suisse International	2.500%			(3)	USD		520,000		(19,335	)		03/16/2026		6,565
Credit Suisse International	2.500%			(3)	USD		10,000		(326	)		03/16/2026		80
Credit Suisse International	2.500%			(3)	USD		510,000		(6,101	)		03/16/2026		(6,423	)
Credit Suisse International	(3)		1.500	%	USD		2,420,000		14,085			03/16/2018		(3,861	)
Credit Suisse International	(3)		1.500	%	USD		2,000,000		12,813			03/16/2018		(4,363	)
Credit Suisse International	(3)		1.500	%	USD		500,000		3,198			03/16/2018		(1,085	)
Credit Suisse International	(3)		1.500	%	USD		800,000		4,814			03/16/2018		(1,434	)
CitiBank	(3)		2.000	%	USD		8,900,000		133,539			03/16/2021		(47,758	)
CitiBank	(3)		2.000	%	USD		11,000,000		200,586			03/16/2020		(55,515	)
CitiBank	(3)		2.000	%	USD		7,400,000		127,069			03/16/2020		(29,475	)
CitiBank	(3)		2.000	%	USD		9,300,000		190,721			03/16/2020		(68,070	)

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

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Consolidated Schedule of Investments December 31, 2015

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)
Credit Suisse International	(3)		2.500	%	USD		450,000		$ 9,017		03/16/2026		$ 2,033
Credit Suisse International	(3)		2.500	%	USD		450,000		4,487		03/16/2026		6,564
Credit Suisse International	(3)		2.500	%	USD		60,000		270		03/16/2026		1,203
Credit Suisse International	(3)		2.500	%	USD		500,000		14,524		03/16/2026		(2,245	)
Credit Suisse International	(3)		2.500	%	USD		2,200,000		53,873		03/16/2026		153
									$337,952				$250,921

(1) 3 Month Australian Bank-Bill Reference Rate

(2) 6 Month Australian Bank-Bill Reference Rate

(3) 3 Month London Interbank Offered Rate

(4) 3 Month Canadian Bankers’ Acceptance Rate

(5) 6 Month Euro Interbank Offered Rate

(6) 6 Month London Interbank Offered Rate

(7) 6 Month Norwegian Interbank Offered Rate

(8) 3 Month Stockholm Interbank Offered Rate

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	BIST 30 February Futures	02/2016	TRY		91,886			$(963	)
Bank of America	Bovespa Index February Futures	02/2016	BRL		(2,528,314	)		29,214
Bank of America	H-SHARES Index January Futures	01/2016	HKD		4,460,451			(12,024	)
Bank of America	KOSPI Index 200 March Futures	03/2016	KRW		119,235,200			835
CitiBank	Soybean March Futures^	02/2016	USD		(440,233	)		8,108
Deutsche Bank	Soybean March Futures^	02/2016	USD		(133,482	)		3,844
Macquarie Capital	Soybean March Futures^	02/2016	USD		(87,901	)		1,476
Bank of America	Swiss Market Index March Futures	03/2016	CHF		2,633,648			78,183
Bank of America	Taiwan Stock Exchange January Futures	01/2016	TWD		(3,184,070	)		(3,843	)
Bank of America	Tel Aviv 25 Index January Futures	01/2016	ILS		753,027			2,922
Bank of America	WIG20 Index March Futures	03/2016	PLN		(106,527	)		(1,270	)
								$106,482

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

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
1	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		$107,932		$106,020		$(1,912	)
4	J.P. Morgan	LME Aluminum Futures^		01/2016		162,597		150,270		(12,327	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		39,611		37,585		(2,026	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,398		37,706		308
3	J.P. Morgan	LME Aluminum Futures^		02/2016		110,640		113,171		2,531
8	J.P. Morgan	LME Aluminum Futures^		02/2016		296,980		301,826		4,846
2	J.P. Morgan	LME Aluminum Futures^		03/2016		73,715		75,569		1,854
1	J.P. Morgan	LME Aluminum Futures^		03/2016		36,852		37,768		916
1	J.P. Morgan	LME Aluminum Futures^		03/2016		37,227		37,756		529
10	J.P. Morgan	LME Aluminum Futures^		03/2016		371,988		376,937		4,949
3	J.P. Morgan	LME Aluminum Futures^		03/2016		113,557		113,031		(526	)
1	J.P. Morgan	LME Copper Futures^		01/2016		131,075		117,745		(13,330	)
1	J.P. Morgan	LME Copper Futures^		02/2016		123,019		117,781		(5,238	)
2	J.P. Morgan	LME Copper Futures^		02/2016		232,051		235,555		3,504
1	J.P. Morgan	LME Copper Futures^		03/2016		113,752		117,743		3,991
1	J.P. Morgan	LME Copper Futures^		03/2016		114,302		117,706		3,404
1	J.P. Morgan	LME Nickel Futures^		02/2016		52,843		52,838		(5	)
2	J.P. Morgan	LME Nickel Futures^		03/2016		103,481		105,768		2,287
7	Barclays Capital	Amsterdam Index Futures		01/2016		657,838		672,253		14,415
37	Barclays Capital	BIST 30 Futures		02/2016		116,731		113,009		(3,722	)
170	Barclays Capital	Euro Stoxx 50 Index		03/2016		5,991,407		6,063,413		72,006
1	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures		01/2016		19,481		19,663		182
2	Barclays Capital	H-SHARES Index Futures		01/2016		127,285		125,225		(2,060	)
9	Barclays Capital	IBEX 35 Index Futures		01/2016		939,179		931,744		(7,435	)
2	Barclays Capital	KOSPI Index 200 Futures		03/2016		203,614		205,066		1,452
127	Barclays Capital	OMXS30 Index Futures		01/2016		2,124,886		2,178,488		53,602
13	Barclays Capital	SET50 Index Futures		03/2016		57,623		57,411		(212	)
7	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		110,955		111,272		317
53	Barclays Capital	SPI 200 Index Futures		03/2016		4,741,035		5,075,778		334,743
431	J.P. Morgan	3-Month Euro Euribor Futures		09/2016		117,282,010		117,313,940		31,930
11	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		2,994,142		2,993,792		(350	)
129	J.P. Morgan	90-Day EURODollar Futures		06/2016		32,009,871		31,959,750		(50,121	)
32	J.P. Morgan	90-Day EURODollar Futures		09/2016		7,921,445		7,914,800		(6,645	)
63	J.P. Morgan	90-Day Sterling Futures		03/2016		11,520,936		11,535,026		14,090
284	J.P. Morgan	90-Day Sterling Futures		06/2016		51,844,081		51,946,827		102,746
383	J.P. Morgan	90-Day Sterling Futures		09/2016		69,934,190		69,963,302		29,112
349	J.P. Morgan	90-Day Sterling Futures		12/2016		63,728,028		63,655,992		(72,036	)
7	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		702,400		713,255		10,855
6	Goldman Sachs	Euro-Bund Futures		03/2016		1,031,282		1,029,717		(1,565	)
27	Goldman Sachs	Long Gilt Futures		03/2016		4,679,888		4,647,843		(32,045	)
279	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		35,255,472		35,127,844		(127,628	)
						416,252,799		416,608,185		355,386

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts:
19	Goldman Sachs	Brent Crude Futures^		01/2016		$(712,486	)		$(715,730	)		$(3,244	)
61	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		(1,136,806	)		(1,094,188	)		42,618
4	J.P. Morgan	LME Aluminum Futures^		01/2016		(162,013	)		(150,270	)		11,743
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(39,687	)		(37,584	)		2,103
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,391	)		(37,705	)		(314	)
3	J.P. Morgan	LME Aluminum Futures^		02/2016		(110,243	)		(113,171	)		(2,928	)
8	J.P. Morgan	LME Aluminum Futures^		02/2016		(297,480	)		(301,826	)		(4,346	)
2	J.P. Morgan	LME Aluminum Futures^		03/2016		(73,994	)		(75,569	)		(1,575	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(37,090	)		(37,769	)		(679	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(37,261	)		(37,756	)		(495	)
16	J.P. Morgan	LME Aluminum Futures^		03/2016		(585,461	)		(603,099	)		(17,638	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		(114,309	)		(113,031	)		1,278
1	J.P. Morgan	LME Copper Futures^		01/2016		(131,804	)		(117,745	)		14,059
1	J.P. Morgan	LME Copper Futures^		02/2016		(123,122	)		(117,781	)		5,341
2	J.P. Morgan	LME Copper Futures^		02/2016		(231,328	)		(235,556	)		(4,228	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(113,952	)		(117,744	)		(3,792	)
2	J.P. Morgan	LME Copper Futures^		03/2016		(228,574	)		(235,412	)		(6,838	)
1	J.P. Morgan	LME Lead Futures^		03/2016		(39,697	)		(44,918	)		(5,221	)
1	J.P. Morgan	LME Nickel Futures^		02/2016		(52,828	)		(52,839	)		(11	)
4	J.P. Morgan	LME Zinc Futures^		03/2016		(157,157	)		(160,900	)		(3,743	)
23	Morgan Stanley and Co., International PLC	Natural Gas Futures^		01/2016		(484,750	)		(537,510	)		(52,760	)
1	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		(70,448	)		(69,015	)		1,433
17	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		(767,032	)		(734,612	)		32,420
31	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		(861,893	)		(823,050	)		38,843
47	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		(907,008	)		(867,150	)		39,858
32	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		(813,468	)		(752,000	)		61,468
15	Morgan Stanley and Co., International PLC	WTI Crude Futures^		01/2016		(580,184	)		(555,600	)		24,584
4	Barclays Capital	DAX Index Futures		03/2016		(1,125,023	)		(1,170,647	)		(45,624	)
58	Barclays Capital	FTSE 100 Index Futures		03/2016		(5,097,704	)		(5,299,513	)		(201,809	)
5	Barclays Capital	FTSE/JSE Top 40 Index Futures		03/2016		(143,013	)		(149,603	)		(6,590	)
3	Barclays Capital	FTSE/MIB Index Futures		03/2016		(343,294	)		(349,532	)		(6,238	)
2	Barclays Capital	Hang Seng Index Futures		01/2016		(283,890	)		(282,708	)		1,182
5	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures		03/2016		(123,845	)		(125,153	)		(1,308	)
19	Barclays Capital	MSCI Singapore Index Futures		01/2016		(432,056	)		(433,627	)		(1,571	)
1	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		(30,506	)		(30,440	)		66

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

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98

Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
6	Barclays Capital	S&P 500 E-Mini Futures		03/2016		$ (621,206	)		$ (610,620	)		$ 10,586
21	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		03/2016		(2,279,130	)		(2,309,590	)		(30,460	)
15	Barclays Capital	TOPIX Index Futures		03/2016		(1,927,937	)		(1,931,237	)		(3,300	)
191	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		(23,637,868	)		(23,686,892	)		(49,024	)
22	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		(27,229,636	)		(27,279,670	)		(50,034	)
447	J.P. Morgan	3-Month Euro Euribor Futures		03/2016		(121,589,508	)		(121,644,693	)		(55,185	)
114	J.P. Morgan	3-Month Euro Euribor Futures		06/2016		(30,981,902	)		(31,028,125	)		(46,223	)
47	J.P. Morgan	90-Day EURODollar Futures		12/2016		(11,612,278	)		(11,605,475	)		6,803
209	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		(19,241,244	)		(19,325,486	)		(84,242	)
41	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		03/2016		(7,355,720	)		(7,348,784	)		6,936
137	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		06/2016		(24,572,110	)		(24,564,357	)		7,753
172	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		09/2016		(30,820,002	)		(30,841,476	)		(21,474	)
132	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		12/2016		(23,636,849	)		(23,660,692	)		(23,843	)
277	Morgan Stanley and Co., International PLC	U.S. Treasury 5-Year Note Futures		03/2016		(32,840,467	)		(32,774,726	)		65,741
						(374,832,654	)		(375,192,576	)		(359,922	)
						$41,420,145			$41,415,609			$(4,536	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		1,024,000		$734,659		$743,525		$8,866
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		1,024,000		734,659		743,525		8,866
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		623,000		155,411		153,822		(1,589	)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		225,000		56,035		55,554		(481	)
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		1,425,500		1,439,550		1,427,637		(11,913	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		1,425,500		1,439,397		1,427,637		(11,760	)
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		40,000,000		56,627		55,989		(638	)
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		40,000,000		56,627		55,989		(638	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Chinese Renminbi, Expiring 03/16/16*	CitiBank	CNY		503,000		$ 77,191		$ 75,775		$ (1,416	)
Chinese Renminbi, Expiring 03/16/16*	Credit Suisse International	CNY		503,000		77,228		75,775		(1,453	)
Czech Republic Koruna, Expiring 03/16/16	CitiBank	CZK		73,350,000		2,969,872		2,956,129		(13,743	)
Czech Republic Koruna, Expiring 03/16/16	Credit Suisse International	CZK		6,450,000		259,456		259,946		490
Euro, Expiring 03/16/16	CitiBank	EUR		2,638,500		2,875,195		2,872,658		(2,537	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		2,638,500		2,875,195		2,872,658		(2,537	)
British Pound, Expiring 03/16/16	CitiBank	GBP		643,500		958,543		948,762		(9,781	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		643,500		958,506		948,762		(9,744	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		11,500		1,485		1,485		—
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		11,500		1,484		1,485		1
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		61,490,000		211,353		211,641		288
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		45,250,000		156,177		155,745		(432	)
Indonesian Rupiah, Expiring 03/16/16*	CitiBank	IDR		655,000,000		46,364		46,675		311
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		655,000,000		46,364		46,675		311
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		910,000		235,330		234,221		(1,109	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		910,000		235,329		234,221		(1,108	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		686,601,500		5,599,040		5,722,222		123,182
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		686,601,500		5,599,040		5,722,222		123,182
Korean Won, Expiring 03/16/16*	CitiBank	KRW		276,229,000		237,865		235,202		(2,663	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		165,774,000		142,647		141,152		(1,495	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		1,206,000		72,120		69,614		(2,506	)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		1,206,000		72,201		69,614		(2,587	)
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		495,000		116,248		114,702		(1,546	)
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		495,000		116,248		114,702		(1,546	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		3,394,000		391,724		383,164		(8,560	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		3,394,000		391,724		383,164		(8,560	)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		1,127,500		757,827		767,760		9,933
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		1,127,500		757,983		767,760		9,777

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		404,000		$ 99,836		$ 102,846		$ 3,010
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		27,730,500		3,199,290		3,291,894		92,604
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		27,730,500		3,199,270		3,291,893		92,623
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		625,000		441,694		439,750		(1,944	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		625,000		441,697		439,750		(1,947	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		1,479,500		495,669		497,135		1,466
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		1,479,500		495,686		497,135		1,449
South African Rand, Expiring 03/16/16	CitiBank	ZAR		1,553,500		106,112		99,119		(6,993	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		1,553,500		106,132		99,119		(7,013	)
						$39,498,090		$39,856,210		$358,120

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		(861,000	)		$(626,815	)		$(625,171	)		$1,644
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		(861,000	)		(626,814	)		(625,171	)		1,643
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(2,091,000	)		(527,466	)		(516,280	)		11,186
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(2,091,000	)		(527,470	)		(516,280	)		11,190
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(1,418,000	)		(1,039,246	)		(1,024,985	)		14,261
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(1,418,000	)		(1,039,075	)		(1,024,986	)		14,089
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(2,068,500	)		(2,059,763	)		(2,071,599	)		(11,836	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(1,922,500	)		(1,912,522	)		(1,925,382	)		(12,860	)
Chinese Renminbi, Expiring 03/16/16*	CitiBank	CNY		(652,000	)		(100,149	)		(98,222	)		1,927
Chinese Renminbi, Expiring 03/16/16*	Credit Suisse International	CNY		(652,000	)		(100,149	)		(98,222	)		1,927
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		(596,000,000	)		(184,883	)		(186,244	)		(1,361	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		(596,000,000	)		(184,883	)		(186,244	)		(1,361	)
Euro, Expiring 03/16/16	CitiBank	EUR		(3,415,500	)		(3,714,511	)		(3,718,615	)		(4,104	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(941,500	)		(1,010,460	)		(1,025,054	)		(14,594	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(2,231,500	)		(3,355,604	)		(3,290,074	)		65,530
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(2,231,500	)		(3,355,619	)		(3,290,074	)		65,545

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		(514,000	)		$ (66,344	)		$ (66,360	)		$ (16	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(10,500,000	)		(36,253	)		(36,140	)		113
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(10,500,000	)		(36,294	)		(36,140	)		154
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		(13,324,000	)		(196,711	)		(199,030	)		(2,319	)
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		(13,324,000	)		(196,711	)		(199,030	)		(2,319	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(81,639,500	)		(675,415	)		(680,394	)		(4,979	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(81,639,500	)		(675,455	)		(680,394	)		(4,939	)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(78,030,500	)		(66,348	)		(66,441	)		(93	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(78,030,500	)		(66,348	)		(66,441	)		(93	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(13,925,000	)		(832,551	)		(803,798	)		28,753
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(13,925,000	)		(832,549	)		(803,798	)		28,751
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		(1,010,000	)		(238,498	)		(234,037	)		4,461
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		(1,010,000	)		(238,499	)		(234,037	)		4,462
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(13,253,500	)		(1,518,149	)		(1,496,246	)		21,903
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(13,253,500	)		(1,518,092	)		(1,496,246	)		21,846
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		(2,115,500	)		(1,399,192	)		(1,440,528	)		(41,336	)
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		(2,115,500	)		(1,399,192	)		(1,440,528	)		(41,336	)
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		(1,300,000	)		(27,321	)		(27,515	)		(194	)
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		(1,300,000	)		(27,321	)		(27,515	)		(194	)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(1,079,000	)		(270,135	)		(274,682	)		(4,547	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(1,079,000	)		(270,136	)		(274,682	)		(4,546	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(19,714,500	)		(2,322,959	)		(2,340,312	)		(17,353	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(19,714,500	)		(2,323,285	)		(2,340,312	)		(17,027	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(331,000	)		(234,498	)		(232,892	)		1,606
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(331,000	)		(234,498	)		(232,892	)		1,606
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(1,218,500	)		(408,984	)		(409,436	)		(452	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(1,218,500	)		(408,952	)		(409,436	)		(484	)
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		(2,400,000	)		(73,439	)		(73,125	)		314

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		(2,400,000	)		$ (73,440	)		$ (73,125	)		$ 315
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(5,230,500	)		(352,133	)		(333,724	)		18,409
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(5,230,500	)		(352,134	)		(333,724	)		18,410
							(37,737,265	)		(37,585,563	)		151,702
							$1,760,825			$2,270,647			$509,822

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

CNY - Chinese Renminbi

COP - Colombian 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

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Cash		$(110,000	)		$—		$(110,000	)
Barclays Capital
Cash		—			1,483,509		1,483,509
CitiBank
Cash		—			271,494		271,494
Money Market Funds		30,001			—		30,001
Credit Suisse International
Cash		(230,000	)		918,817		688,817
Goldman Sachs
Cash		—			412,115		412,115
J.P. Morgan
Cash		—			1,218,901		1,218,901
Morgan Stanley and Co., International PLC
Cash		—			349,732		349,732

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

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Consolidated Schedule of Investments December 31, 2015

AQR GLOBAL MACRO FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$60,001		$—		$60,001
Goldman Sachs
Cash		—		74,846		74,846
J.P. Morgan
Cash		—		107,345		107,345
Morgan Stanley and Co., International PLC
Cash		—		218,903		218,903

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

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104

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

LONG INVESTMENTS - 113.2%	SHARES		VALUE (Note 5)
COMMON STOCKS - 27.7%
Belgium - 1.0%
Ageas (a)		38,649	$	1,793,850
bpost SA (a)		55,921		1,372,155
Colruyt SA (a)		6,894		354,650
KBC Groep NV (a)		22,451		1,403,775
Proximus (a)		23,115		752,184
				5,676,614
Canada - 5.2%
Aimia, Inc. (1)		23,150		157,434
Air Canada (1)†		298,301		2,201,094
Alimentation Couche-Tard, Inc., Class B (1)		22,635		996,385
Atco Ltd., Class I (1)		10,443		269,434
Bank of Montreal (1)		6,027		340,094
Bank of Nova Scotia/The (1)		4,930		199,416
Baytex Energy Corp. (1)		280,965		909,679
BCE, Inc. (1)		6,626		255,999
BlackBerry Ltd. (1)†(a)		53,352		495,078
Bombardier, Inc., Class B (1)†		792,518		767,489
Canadian Imperial Bank of Commerce (1)		6,850		451,436
Canadian Tire Corp. Ltd., Class A (1)		13,228		1,129,595
Canfor Corp. (1)†		61,387		895,717
CCL Industries, Inc., Class B (1)		5,622		911,620
CGI Group, Inc., Class A (1)†		26,305		1,053,189
CI Financial Corp. (1)		21,373		472,656
Constellation Software, Inc. (1)		2,231		930,129
Dollarama, Inc. (1)		14,100		814,594
Empire Co., Ltd., Class A (1)		64,985		1,208,870
Encana Corp. (1)		77,842		395,483
Enerplus Corp. (1)		83,704		287,341
Fairfax Financial Holdings Ltd. (1)		741		351,789
Finning International, Inc. (1)		46,807		631,896
George Weston Ltd. (1)		12,895		996,597
IGM Financial, Inc. (1)		11,936		304,848
Industrial Alliance Insurance & Financial Services, Inc. (1)		6,054		193,079
Intact Financial Corp. (1)		4,449		285,132
Kinross Gold Corp. (1)†		251,123		455,531
Linamar Corp. (1)		28,197		1,522,846
Magna International, Inc. (1)		59,895		2,429,217
MEG Energy Corp. (1)†		23,739		137,593
Metro, Inc. (1)		34,588		968,374
National Bank of Canada (1)		4,353		126,812
Onex Corp. (1)		8,437		517,183
Open Text Corp. (1)(a)		9,380		449,714
Progressive Waste Solutions Ltd. (1)		29,989		706,541
Ritchie Bros Auctioneers, Inc. (1)		37,387		900,833
Royal Bank of Canada (1)		7,702		412,736
Saputo, Inc. (1)		3,861		92,360
Shaw Communications, Inc., Class B (1)		41,956		721,654
SNC-Lavalin Group, Inc. (1)		18,461		548,613
Sun Life Financial, Inc. (1)		4,823		150,403
West Fraser Timber Co., Ltd. (1)		23,559		894,380
				28,940,863

	SHARES		VALUE (Note 5)
China - 0.1%
Yangzijiang Shipbuilding Holdings Ltd.		931,400	$	719,582
Denmark - 2.1%
AP Moeller - Maersk A/S, Class B (a)		73		95,214
Chr Hansen Holding A/S (a)		1,782		111,465
DSV A/S (a)		45,078		1,774,435
Genmab A/S †(a)		8,339		1,108,787
GN Store Nord A/S (a)		5,597		101,577
ISS A/S (a)		25,721		927,158
Novo Nordisk A/S, Class B (a)		55,864		3,234,426
Pandora A/S (a)		18,552		2,339,108
TDC A/S		203,370		1,012,588
Vestas Wind Systems A/S (a)		9,966		696,013
William Demant Holding A/S †		2,074		197,558
				11,598,329
Finland - 1.1%
Amer Sports OYJ (a)		31,869		930,442
Cargotec OYJ, B Shares (a)		24,742		923,000
Elisa OYJ (a)		26,900		1,012,109
Kesko OYJ, B Shares (a)		27,757		972,938
Metso OYJ (a)		37,841		847,646
Neste OYJ (a)		13,913		415,246
Orion OYJ, Class B (a)		23,588		816,104
Stora Enso OYJ, R Shares (a)		20,666		186,865
				6,104,350
Germany - 4.7%
Allianz SE (a)		6,523		1,149,862
Aurubis AG (a)		23,914		1,210,913
Bayer AG (a)		3,773		471,212
Brenntag AG (a)		10,307		537,075
Deutsche Bank AG (a)		15,199		369,103
Deutsche Lufthansa AG †(a)		95,050		1,497,139
Evonik Industries AG (a)		35,381		1,170,297
Freenet AG (a)		89,112		3,007,071
Hannover Rueck SE (a)		6,100		696,556
Hella KGaA Hueck & Co. (a)		7,886		327,492
HOCHTIEF AG (a)		27,773		2,575,877
HUGO BOSS AG (a)		4,226		348,684
K+S AG (a)		8,367		213,284
KION Group AG †(a)		27,953		1,386,125
Krones AG (a)		5,428		646,325
LANXESS AG (a)		6,695		308,085
Merck KGaA (a)		15,057		1,457,832
MTU Aero Engines AG (a)		5,091		496,195
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		5,432		1,082,256
OSRAM Licht AG (a)		27,807		1,161,749
ProSiebenSat.1 Media SE (a)		24,126		1,217,189
Rheinmetall AG (a)		20,855		1,386,271
RHOEN-KLINIKUM AG (a)		4,475		134,244
Salzgitter AG (a)		12,954		316,560
Software AG (a)		21,342		608,284
STADA Arzneimittel AG (a)		15,018		605,607
Symrise AG (a)		2,850		188,666
Talanx AG (a)		14,746		453,506
United Internet AG (a)		9,358		514,495
Zalando SE 144A †(a)(b)		15,133		597,669
				26,135,623

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

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AQR LONG-SHORT EQUITY FUND

	SHARES		VALUE (Note 5)
Hong Kong - 0.2%
Hongkong Land Holdings Ltd. (1)		176,100	$	1,206,285
Italy - 2.3%
A2A SpA (a)		562,627		761,828
Atlantia SpA (a)		9,182		242,941
Autogrill SpA †		24,563		234,093
Azimut Holding SpA (a)		3,770		93,708
Banca Generali SpA		10,739		337,806
Banca Popolare di Milano Scarl		266,291		263,751
Buzzi Unicem SpA		23,850		427,519
Davide Campari-Milano SpA (a)		62,433		539,785
Enel SpA		171,589		719,525
Eni SpA (a)		53,606		796,489
FinecoBank Banca Fineco SpA		69,458		571,147
Finmeccanica SpA †(a)		27,136		377,306
Mediobanca SpA (a)		49,729		476,705
Moncler SpA		28,213		392,610
Prysmian SpA (a)		160,779		3,512,882
Recordati SpA		43,544		1,136,099
Snam SpA (a)		38,193		199,327
Terna Rete Elettrica Nazionale SpA (a)		18,345		94,346
Unipol Gruppo Finanziario SpA		176,821		909,495
UnipolSai SpA		296,091		753,286
				12,840,648
Netherlands - 2.3%
Akzo Nobel NV (a)		7,138		476,952
Boskalis Westminster (a)		30,130		1,229,069
Delta Lloyd NV		59,103		348,408
Fugro NV CVA †		41,216		676,027
Heineken NV (a)		15,766		1,343,531
Koninklijke Ahold NV (a)		73,177		1,543,555
Koninklijke KPN NV		135,482		512,442
Koninklijke Vopak NV (a)		6,667		287,113
NN Group NV (a)		98,557		3,477,378
Randstad Holding NV (a)		29,890		1,861,293
Wolters Kluwer NV (a)		30,306		1,017,783
				12,773,551
Norway - 0.2%
Orkla ASA (a)		13,583		107,155
Telenor ASA (a)		10,537		175,637
Yara International ASA (a)		24,121		1,037,402
				1,320,194
Portugal - 0.3%
Galp Energia SGPS SA (a)		38,825		453,036
Jeronimo Martins SGPS SA (a)		53,443		695,421
NOS SGPS SA		32,855		258,501
				1,406,958
Singapore - 0.5%
ComfortDelGro Corp. Ltd.		265,600		568,722
Genting Singapore PLC		493,100		266,065
Singapore Airlines Ltd.		232,900		1,835,131
Wilmar International Ltd.		56,600		116,785
				2,786,703

	SHARES		VALUE (Note 5)
Spain - 2.2%
Abengoa SA, B Shares		584,599	$	123,509
Abertis Infraestructuras SA (a)		18,914		295,803
ACS Actividades de Construccion y Servicios SA (a)		23,825		697,060
Aena SA 144A †(a)(b)		1,171		134,090
Almirall SA		57,971		1,171,659
Ebro Foods SA		23,589		464,015
Enagas SA (a)		9,547		269,301
Endesa SA (a)		98,726		1,983,370
Ferrovial SA (a)		8,398		189,906
Gamesa Corp. Tecnologica SA (a)		84,170		1,440,987
Gas Natural SDG SA (a)		110,585		2,255,077
Iberdrola SA (a)		138,208		979,753
Industria de Diseno Textil SA (a)		21,969		754,726
Mapfre SA		52,578		131,611
Mediaset Espana Comunicacion SA (a)		96,841		1,053,612
Tecnicas Reunidas SA (a)		15,455		584,351
				12,528,830
Sweden - 2.0%
BillerudKorsnas AB		76,801		1,421,325
Boliden AB (a)		39,055		654,335
Electrolux AB, Series B (a)		81,866		1,975,214
Hexpol AB		19,302		206,961
Husqvarna AB, B Shares		92,252		608,808
ICA Gruppen AB		3,993		145,011
Securitas AB, B Shares (a)		48,012		734,148
SKF AB, B Shares		23,653		382,027
Svenska Cellulosa AB SCA, Class B (a)		23,184		671,875
Swedish Match AB		19,696		696,005
Swedish Orphan Biovitrum AB †		76,835		1,218,754
Tele2 AB, B Shares (a)		114,683		1,143,675
TeliaSonera AB (a)		268,314		1,332,416
				11,190,554
Switzerland - 2.9%
Actelion Ltd. †(a)		24,776		3,442,468
Adecco SA †(a)		24,350		1,666,581
Baloise Holding AG		1,576		199,740
Clariant AG †		12,499		236,993
DKSH Holding AG †		1,482		93,210
Flughafen Zuerich AG		2,422		1,817,256
Galenica AG		468		732,209
GAM Holding AG †		5,719		94,664
Geberit AG (a)		777		263,172
Julius Baer Group Ltd. †(a)		2,017		97,577
Kuehne + Nagel International AG		1,277		174,948
Lonza Group AG †		8,558		1,391,829
Nestle SA (a)		3,032		225,081
Novartis AG (a)		2,106		181,157
Partners Group Holding AG		813		292,382
Roche Holding AG (a)		2,459		681,409
Sika AG		104		375,835
Sonova Holding AG		1,630		207,097
Straumann Holding AG		752		228,238
Sunrise Communications Group AG 144A †(b)		1,902		112,119
Swiss Life Holding AG †		5,419		1,459,607

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

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106

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

	SHARES		VALUE (Note 5)
Switzerland - 2.9% (continued)
Swiss Re AG (a)		17,640	$	1,722,834
Syngenta AG (a)		239		93,545
Zurich Insurance Group AG †(a)		1,879		482,715
				16,272,666
United Kingdom - 0.5%
Dialog Semiconductor PLC †(a)		41,841		1,396,177
Fiat Chrysler Automobiles NV †(a)		40,087		556,723
Subsea 7 SA †		43,065		304,813
Unilever NV CVA (a)		17,068		743,452
				3,001,165
United States - 0.1%
Thomson Reuters Corp. (1)(a)		9,270		351,117
TOTAL COMMON STOCKS (cost $157,121,622)				154,854,032
MONEY MARKET FUNDS - 56.0%
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% (c)(d)		183,355,226		183,355,226
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% (c)(d)		129,420,068		129,420,068
TOTAL MONEY MARKET FUNDS (cost $312,775,294)				312,775,294
SHORT-TERM INVESTMENTS - 29.5%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.113%, 3/24/2016 (e)	$	4,610		4,608,184
U.S. Treasury Bill, 0.238%, 2/18/2016 (e)		4,019		4,018,437
U.S. Treasury Bill, 0.343%, 5/12/2016 (e)		10,634		10,621,675
U.S. Treasury Bill, 0.536%, 6/9/2016 (e)		9,879		9,859,627
U.S. Treasury Bill, 0.327%, 5/19/2016 (e)		46,553		46,494,204
U.S. Treasury Bill, 0.145%, 4/28/2016 (e)		36,237		36,206,633
U.S. Treasury Bill, 0.264%, 3/3/2016 (e)		10,085		10,083,225
U.S. Treasury Bill, 0.345%, 5/26/2016 (e)		7,251		7,239,805
U.S. Treasury Bill, 0.241%, 2/11/2016 (e)		22,675		22,671,848
U.S. Treasury Bill, 0.516%, 6/23/2016 (e)		13,655		13,624,645
TOTAL SHORT-TERM INVESTMENTS (cost $165,427,898)				165,428,283
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $635,324,814)				633,057,609

SECURITIES SOLD SHORT - (22.0)%	SHARES			VALUE (Note 5)
COMMON STOCKS - (21.7)%
Austria - 0.0% (f)
ams AG		(2,804	)	$	(93,734	)
Belgium - (0.6)%
Anheuser-Busch InBev SA/NV		(18,830	)		(2,343,342	)
UCB SA		(8,560	)		(772,652	)
					(3,115,994	)
Canada - (5.8)%
Agnico Eagle Mines Ltd. (1)		(64,273	)		(1,689,390	)
Agrium, Inc. (1)		(8,125	)		(726,182	)
AltaGas Ltd. (1)		(11,962	)		(267,129	)
Barrick Gold Corp. (1)		(66,628	)		(493,077	)
Canadian National Railway Co. (1)		(31,653	)		(1,769,429	)
Canadian Natural Resources Ltd. (1)		(22,531	)		(492,077	)
Canadian Pacific Railway Ltd. (1)		(3,136	)		(400,539	)
Canadian Utilities Ltd., Class A (1)		(60,783	)		(1,403,056	)
Cenovus Energy, Inc. (1)		(15,528	)		(196,386	)
DH Corp. (1)		(4,615	)		(105,461	)
Eldorado Gold Corp. (1)		(144,150	)		(427,127	)
Enbridge, Inc. (1)		(69,682	)		(2,316,522	)
First Quantum Minerals Ltd. (1)		(223,650	)		(837,253	)
Fortis, Inc. (1)		(4,953	)		(133,910	)
Franco-Nevada Corp. (1)		(31,761	)		(1,452,968	)
Gildan Activewear, Inc. (1)		(56,978	)		(1,619,943	)
Goldcorp, Inc. (1)		(71,599	)		(827,396	)
Hudson’s Bay Co. (1)		(20,240	)		(264,757	)
Husky Energy, Inc. (1)		(51,632	)		(533,970	)
Imperial Oil Ltd. (1)		(47,918	)		(1,561,136	)
Inter Pipeline Ltd. (1)		(55,449	)		(890,021	)
Keyera Corp. (1)		(30,654	)		(891,906	)
Manulife Financial Corp. (1)		(24,972	)		(374,300	)
Methanex Corp. (1)		(43,367	)		(1,432,299	)
Pembina Pipeline Corp. (1)		(98,683	)		(2,150,244	)
Potash Corp of Saskatchewan, Inc. (1)		(19,063	)		(326,511	)
PrairieSky Royalty Ltd. (1)		(18,797	)		(297,774	)
Precision Drilling Corp. (1)		(194,823	)		(770,168	)
Restaurant Brands International, Inc. (1)		(35,043	)		(1,310,599	)
Rogers Communications, Inc., Class B (1)		(36,827	)		(1,270,062	)
Silver Wheaton Corp. (1)		(61,369	)		(762,844	)
Suncor Energy, Inc. (1)		(15,260	)		(393,934	)
Teck Resources Ltd., Class B (1)		(23,346	)		(90,097	)
Toronto-Dominion Bank/The (1)		(4,060	)		(159,149	)
Tourmaline Oil Corp. (1)†		(36,229	)		(585,183	)
TransAlta Corp. (1)		(28,069	)		(99,602	)
TransCanada Corp. (1)		(82,005	)		(2,678,186	)
Veresen, Inc. (1)		(14,966	)		(95,829	)
Vermilion Energy, Inc. (1)		(15,357	)		(417,415	)
Yamana Gold, Inc. (1)		(101,127	)		(187,827	)
					(32,701,658	)
Denmark - (0.6)%
Carlsberg A/S, Class B		(12,978	)		(1,149,743	)
Coloplast A/S, Class B		(5,003	)		(403,928	)
Novozymes A/S, B Shares		(20,882	)		(999,807	)
Tryg A/S		(33,892	)		(673,488	)
					(3,226,966	)

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

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107

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

	SHARES			VALUE (Note 5)
Finland - (0.9)%
Kone OYJ, Class B		(5,820	)	$	(246,425	)
Nokia OYJ		(466,695	)		(3,301,644	)
Nokian Renkaat OYJ		(28,221	)		(1,007,526	)
Wartsila OYJ Abp		(11,996	)		(547,712	)
					(5,103,307	)
Germany - (4.0)%
adidas AG		(969	)		(94,050	)
BASF SE		(3,699	)		(281,783	)
Bayerische Motoren Werke AG		(23,136	)		(2,437,413	)
Beiersdorf AG		(12,440	)		(1,130,689	)
Bilfinger SE		(14,229	)		(668,685	)
Commerzbank AG †		(54,493	)		(562,290	)
Continental AG		(4,134	)		(1,000,056	)
Daimler AG		(10,810	)		(903,219	)
Deutsche Post AG		(32,918	)		(920,315	)
Deutsche Telekom AG		(102,109	)		(1,833,944	)
Duerr AG		(6,758	)		(536,330	)
E.ON SE		(141,856	)		(1,362,102	)
Fresenius Medical Care AG & Co. KGaA		(2,951	)		(247,986	)
Infineon Technologies AG		(76,894	)		(1,121,016	)
Rocket Internet SE 144A †(b)		(26,363	)		(803,111	)
RWE AG		(214,350	)		(2,702,393	)
SAP SE		(19,281	)		(1,530,009	)
Siemens AG		(17,417	)		(1,685,023	)
Telefonica Deutschland Holding AG		(134,309	)		(708,437	)
ThyssenKrupp AG		(25,419	)		(503,890	)
Wirecard AG		(29,355	)		(1,467,311	)
					(22,500,052	)
Hong Kong - (0.1)%
Jardine Matheson Holdings Ltd.		(9,300	)		(451,329	)
Italy - (0.3)%
Banco Popolare SC †		(7,635	)		(105,213	)
Mediaset SpA		(109,352	)		(453,143	)
Salvatore Ferragamo SpA		(35,593	)		(834,233	)
UniCredit SpA		(16,889	)		(93,374	)
					(1,485,963	)
Luxembourg - (0.4)%
ArcelorMittal		(198,485	)		(837,449	)
Tenaris SA		(140,719	)		(1,666,303	)
					(2,503,752	)
Netherlands - (1.1)%
Aalberts Industries NV		(6,195	)		(213,453	)
Aegon NV		(37,546	)		(212,340	)
Altice NV, Class A †		(23,967	)		(344,341	)
ASML Holding NV		(24,535	)		(2,179,972	)
Gemalto NV		(14,007	)		(840,449	)
Koninklijke Philips NV		(50,917	)		(1,299,619	)
SBM Offshore NV †		(96,120	)		(1,214,259	)
					(6,304,433	)
Norway - (0.4)%
Gjensidige Forsikring ASA		(34,759	)		(556,323	)
Marine Harvest ASA †		(26,320	)		(354,131	)

	SHARES			VALUE (Note 5)
Norway - (0.4)% (continued)
Norsk Hydro ASA		(24,874	)	$	(92,459	)
Schibsted ASA, Class A		(35,012	)		(1,151,077	)
					(2,153,990	)
Portugal - (0.4)%
Banco Comercial Portugues SA †		(14,433,956	)		(764,901	)
EDP – Energias de Portugal SA		(464,128	)		(1,672,412	)
					(2,437,313	)
Singapore - (1.0)%
CapitaLand Ltd.		(354,600	)		(833,484	)
City Developments Ltd.		(50,100	)		(269,519	)
DBS Group Holdings Ltd.		(10,100	)		(118,367	)
Global Logistic Properties Ltd.		(373,300	)		(563,743	)
Golden Agri-Resources Ltd.		(1,367,800	)		(326,717	)
Hutchison Port Holdings Trust (1)		(770,400	)		(400,608	)
Keppel Corp. Ltd.		(335,400	)		(1,532,166	)
Oversea-Chinese Banking Corp. Ltd.		(118,400	)		(731,999	)
Singapore Post Ltd.		(367,800	)		(424,617	)
Singapore Press Holdings Ltd.		(37,700	)		(104,496	)
Singapore Telecommunications Ltd.		(95,400	)		(245,967	)
					(5,551,683	)
Spain - (1.9)%
Acerinox SA		(8,889	)		(90,669	)
Amadeus IT Holding SA, A Shares		(28,065	)		(1,236,955	)
Atresmedia Corp. de Medios de Comunicacion SA		(40,634	)		(432,839	)
Banco de Sabadell SA		(151,624	)		(268,722	)
Banco Popular Espanol SA		(329,405	)		(1,085,352	)
Banco Santander SA		(352,688	)		(1,735,003	)
Bankia SA		(451,388	)		(525,288	)
Bankinter SA		(32,902	)		(233,319	)
CaixaBank SA		(54,841	)		(190,880	)
Cellnex Telecom SAU 144A (b)		(129,557	)		(2,422,322	)
Distribuidora Internacional de Alimentacion SA †		(39,238	)		(231,429	)
Grifols SA		(9,885	)		(456,903	)
Obrascon Huarte Lain SA		(108,809	)		(620,936	)
Repsol SA		(16,959	)		(186,706	)
Telefonica SA		(64,033	)		(710,377	)
Zardoya Otis SA		(12,950	)		(151,456	)
					(10,579,156	)
Sweden - (1.1)%
Assa Abloy AB, Class B		(8,562	)		(179,226	)
Getinge AB, B Shares		(37,523	)		(982,925	)
Hennes & Mauritz AB, B Shares		(27,980	)		(995,256	)
Hexagon AB, B Shares		(32,695	)		(1,209,481	)
Meda AB, A Shares		(17,935	)		(226,105	)
Nordea Bank AB		(19,133	)		(209,923	)
Skandinaviska Enskilda Banken AB, Class A		(11,478	)		(120,708	)
Svenska Handelsbanken AB, A Shares		(41,444	)		(550,438	)
Swedbank AB, A Shares		(21,587	)		(475,423	)
Telefonaktiebolaget LM Ericsson, B Shares		(56,850	)		(548,108	)

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

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	SHARES			VALUE (Note 5)
Sweden - (1.1)% (continued)
Trelleborg AB, B Shares		(11,422	)	$	(221,676	)
Volvo AB, B Shares		(19,918	)		(184,691	)
					(5,903,960	)
Switzerland - (2.2)%
Aryzta AG †		(17,099	)		(865,018	)
Barry Callebaut AG †		(464	)		(504,006	)
Chocoladefabriken Lindt & Spruengli AG		(33	)		(206,075	)
Cie Financiere Richemont SA		(21,861	)		(1,564,656	)
Credit Suisse Group AG †		(22,097	)		(476,013	)
Dufry AG †		(22,185	)		(2,639,621	)
LafargeHolcim Ltd. †		(46,421	)		(2,324,523	)
OC Oerlikon Corp. AG †		(12,849	)		(114,375	)
SGS SA		(130	)		(247,065	)
Swatch Group AG/The		(6,450	)		(2,239,859	)
Swisscom AG		(1,545	)		(773,125	)
UBS Group AG		(25,303	)		(490,865	)
					(12,445,201	)
United Kingdom - (0.7)%
CNH Industrial NV		(534,783	)		(3,662,699	)
United States - (0.2)%
Valeant Pharmaceuticals International, Inc. (1)†		(12,332	)		(1,252,718	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $131,446,528)					(121,473,908	)
PREFERRED STOCKS - (0.3)%
Germany - (0.3)%
Henkel AG & Co. KGaA		(3,835	)		(427,994	)
Volkswagen AG		(9,210	)		(1,329,734	)
TOTAL PREFERRED STOCKS SOLD SHORT (proceeds $2,098,105)					(1,757,728	)
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $133,544,633)					(123,231,636	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 91.2% (cost $501,780,181)					509,825,973
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.8% (g)				49,182,166
NET ASSETS - 100.0%				$	559,008,139

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(721,643	)		(0.1	)%
Consumer Staples		5,342,702			1.0
Energy		(12,357,978	)		(2.2	)
Financials		11,293,168			2.0
Health Care		14,175,049			2.5
Industrials		23,960,090			4.4
Information Technology		(8,990,184	)		(1.6	)
Materials		(2,589,300	)		(0.5	)
Telecommunication Services		1,352,006			0.2
Utilities		158,486			0.0	(f)
Money Market Funds		312,775,294			56.0
Short-Term Investments		165,428,283			29.5
Total Investments In Securities, At Value	509,825,973			91.2
Other Assets in Excess of Liabilities (g)		49,182,166			8.8
Net Assets	$	559,008,139			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 December 31, 2015, the value of these securities was $92,655,062. In addition, $28,510,055 of cash collateral was pledged.

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

(c) Represents annualized seven-day yield as of the close of the reporting period.

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

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

(f) Represents less than 0.05% of net assets.

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

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:

144A - Restricted Security

CVA - Dutch Certification

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

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Total return swap contract outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE		UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Swiss Market Index March Futures	03/2016	CHF		11,046,131		$414,386

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE	VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
77	Barclays Capital	Amsterdam Index Futures	01/2016		$7,254,448		$7,394,780		$140,332
143	Barclays Capital	CAC40 Index Futures	01/2016		7,162,289		7,208,473		46,184
43	Barclays Capital	DAX Index Futures	03/2016		12,231,478		12,584,456		352,978
254	Barclays Capital	FTSE 100 Index Futures	03/2016		22,268,511		23,208,213		939,702
40	Barclays Capital	FTSE/MIB Index Futures	03/2016		4,619,298		4,660,419		41,121
22	Barclays Capital	Hang Seng Index Futures	01/2016		3,125,379		3,109,786		(15,593	)
41	Barclays Capital	IBEX 35 Index Futures	01/2016		4,275,198		4,244,610		(30,588	)
79	Barclays Capital	MSCI Singapore Index Futures	01/2016		1,797,143		1,802,976		5,833
302	Barclays Capital	OMXS30 Index Futures	01/2016		5,069,268		5,180,342		111,074
1,818	Barclays Capital	S&P 500 E-Mini Futures	03/2016		183,491,587		185,017,860		1,526,273
87	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures	03/2016		9,476,410		9,568,302		91,892
81	Barclays Capital	SPI 200 Index Futures	03/2016		7,272,856		7,757,320		484,464
225	Barclays Capital	TOPIX Index Futures	03/2016		29,365,960		28,968,551		(397,409	)
				$	297,409,825	$	300,706,088	$	3,296,263

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		4,630,000		$3,355,060		$3,361,833		$6,773
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		4,630,000		3,355,118		3,361,833		6,715
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		6,609,206		4,911,907		4,777,393		(134,514	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		12,190,204		8,940,675		8,811,558		(129,117	)
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		4,471,291		4,481,432		4,477,996		(3,436	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		5,405,291		5,417,731		5,413,397		(4,334	)
Danish Krone, Expiring 03/16/16	CitiBank	DKK		2,047,000		297,830		298,742		912

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

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Danish Krone, Expiring 03/16/16	Credit Suisse International	DKK		2,047,000			$ 298,049			$ 298,742			$ 693
Euro, Expiring 03/16/16	CitiBank	EUR		9,751,940			10,429,465			10,617,394			187,929
Euro, Expiring 03/16/16	Credit Suisse International	EUR		9,797,940			10,479,898			10,667,476			187,578
British Pound, Expiring 03/16/16	CitiBank	GBP		6,613,001			9,901,560			9,750,059			(151,501	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		6,613,000			9,901,659			9,750,058			(151,601	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		15,680,500			2,024,117			2,024,436			319
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		15,680,500			2,024,164			2,024,436			272
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		1,408,500			363,765			362,528			(1,237	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		1,593,500			411,624			410,144			(1,480	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		1,374,809,501			11,222,087			11,457,832			235,745
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		1,374,809,500			11,222,040			11,457,832			235,792
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		1,410,257			162,063			159,210			(2,853	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		7,560,258			868,179			853,511			(14,668	)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		132,500			88,261			90,224			1,963
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		132,499			88,263			90,223			1,960
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		1,970,500			230,509			233,919			3,410
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		9,802,500			1,151,285			1,163,657			12,372
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		2,332,858			1,652,262			1,641,400			(10,862	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		4,187,857			2,963,310			2,946,578			(16,732	)
							$106,242,313			$106,502,411			$260,098
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(312,000	)		$(227,871	)		$(225,526	)		$2,345
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(2,685,000	)		(2,714,530	)		(2,689,026	)		25,504
Danish Krone, Expiring 03/16/16	CitiBank	DKK		(15,098,279	)		(2,199,031	)		(2,203,461	)		(4,430	)
Danish Krone, Expiring 03/16/16	Credit Suisse International	DKK		(26,227,278	)		(3,827,917	)		(3,827,640	)		277
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(10,916,000	)		(11,929,042	)		(11,884,760	)		44,282
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		(127,000	)		(16,388	)		(16,396	)		(8	)

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

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(11,815,000	)		$ (1,525,054	)		$ (1,525,380	)		$ (326	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(8,889,500	)		(72,569	)		(74,086	)		(1,517	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(8,889,500	)		(72,569	)		(74,086	)		(1,517	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(1,350,000	)		(155,747	)		(152,407	)		3,340
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(11,668,119	)		(1,345,949	)		(1,385,125	)		(39,176	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(22,351,119	)		(2,623,011	)		(2,653,307	)		(30,296	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(1,149,000	)		(814,910	)		(808,437	)		6,473
							(27,524,588	)		(27,519,637	)		4,951
							$78,717,725			$78,982,774			$265,049

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)

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Total Return Basket Swaps* Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives 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.	38 months maturity 08/22/2016		$833,232

* 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
ABC-Mart, Inc.		1,800	$	103,059	$	(4,530	)
Ajinomoto Co., Inc.		24,000		527,606		40,612
Alfresa Holdings Corp.		11,100		219,739		(511	)
Alps Electric Co., Ltd.		31,300		848,700		94
Amada Holdings Co., Ltd.		113,100		1,109,879		(30,601	)
Aozora Bank Ltd.		113,000		414,517		(20,167	)
Asahi Kasei Corp.		24,000		199,174		(36,883	)
Astellas Pharma, Inc.		44,500		637,051		(3,559	)
Bandai Namco Holdings, Inc.		81,500		1,859,107		(137,246	)
Bank of Yokohama Ltd./The		44,000		267,557		2,146
Bridgestone Corp.		25,400		938,152		(66,896	)
Central Japan Railway Co.		3,000		456,851		75,751
Chiba Bank Ltd./The		16,000		124,278		(10,738	)
Chubu Electric Power Co., Inc.		191,700		2,815,466		(190,377	)
Chugoku Bank Ltd./The		17,900		257,781		(18,928	)
Dai Nippon Printing Co., Ltd.		10,000		86,424		12,463
Daicel Corp.		44,900		562,155		106,042
Dai-ichi Life Insurance Co., Ltd./The		115,700		1,948,470		(23,489	)
Daiichi Sankyo Co., Ltd.		23,800		473,197		18,028
DeNA Co., Ltd.		82,500		1,397,867		(107,869	)
Dentsu, Inc.		3,500		175,604		15,888
Disco Corp.		6,000		546,872		18,157
Don Quijote Holdings Co., Ltd.		12,500		489,075		(50,091	)
Ezaki Glico Co., Ltd.		1,900		99,936		2,709
Fuji Electric Co., Ltd.		61,000		247,324		8,502
Fuji Heavy Industries Ltd.		58,100		1,978,379		415,125
FUJIFILM Holdings Corp.		26,400		1,021,144		80,594
Fujitsu Ltd.		59,000		325,513		(31,037	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Fukuoka Financial Group, Inc.		19,000	$	90,734	$	3,480
Gunma Bank Ltd./The		74,000		489,334		(59,081	)
Hachijuni Bank Ltd./The		43,000		322,271		(59,111	)
Hakuhodo DY Holdings, Inc.		67,100		706,921		19,072
Haseko Corp.		201,200		2,372,810		(148,268	)
Hikari Tsushin, Inc.		1,400		93,454		1,886
Hino Motors Ltd.		17,100		198,683		(1,051	)
Hiroshima Bank Ltd./The		27,000		161,253		(7,791	)
Hitachi Chemical Co., Ltd.		26,500		426,153		(5,739	)
Hitachi High-Technologies Corp.		38,900		968,697		83,279
Hitachi Metals Ltd.		12,200		193,964		(43,437	)
Hokuhoku Financial Group, Inc.		168,000		401,337		(58,862	)
Hoshizaki Electric Co., Ltd.		3,300		218,411		(13,266	)
Hoya Corp.		61,300		2,362,252		144,463
Ibiden Co., Ltd.		10,400		177,760		(28,661	)
Idemitsu Kosan Co., Ltd.		17,300		273,516		2,717
Iida Group Holdings Co., Ltd.		13,800		256,167		(397	)
Inpex Corp.		71,000		706,617		(14,444	)
Isuzu Motors Ltd.		154,100		1,756,480		(96,416	)
ITOCHU Corp.		36,600		460,843		(27,922	)
Itochu Techno-Solutions Corp.		47,500		1,003,536		(57,128	)
Iyo Bank Ltd./The		16,100		197,558		(41,135	)
Izumi Co., Ltd.		13,300		588,670		(72,332	)
Japan Airlines Co., Ltd.		87,800		3,000,781		141,836
Japan Petroleum Exploration Co., Ltd.		37,600		1,084,372		(74,535	)
JSR Corp.		20,200		342,382		(27,578	)
JTEKT Corp.		45,100		736,826		1,375
JX Holdings, Inc.		297,500		1,221,901		26,731

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

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Kaken Pharmaceutical Co., Ltd.		24,500	$	1,943,562	$	(269,400	)
Kamigumi Co., Ltd.		62,000		538,727		(4,919	)
Kaneka Corp.		54,000		556,992		4,298
Kansai Electric Power Co., Inc./The		22,300		265,977		1,396
KDDI Corp.		15,100		384,697		7,453
Keisei Electric Railway Co., Ltd.		7,000		86,256		3,052
Kewpie Corp.		23,500		546,411		34,082
Kobayashi Pharmaceutical Co., Ltd.		1,200		95,243		3,313
Koito Manufacturing Co., Ltd.		17,000		656,728		40,398
Konami Holdings Corp.		84,600		1,921,004		92,860
Konica Minolta, Inc.		157,000		1,689,392		(117,009	)
LIXIL Group Corp.		22,400		469,632		27,866
M3, Inc.		9,700		226,335		(25,213	)
Mazda Motor Corp.		54,700		1,171,747		(43,025	)
Medipal Holdings Corp.		86,400		1,549,140		(76,539	)
MEIJI Holdings Co., Ltd.		4,700		317,801		70,417
Miraca Holdings, Inc.		5,300		234,812		(1,604	)
MISUMI Group, Inc.		38,000		454,936		69,983
Mitsubishi Chemical Holdings Corp.		37,100		219,346		16,043
Mitsubishi Electric Corp.		288,000		3,098,758		(75,667	)
Mitsubishi Materials Corp.		29,000		86,766		4,574
Mitsubishi Motors Corp.		476,100		4,246,461		(218,400	)
Mitsubishi Tanabe Pharma Corp.		123,900		2,144,785		(10,157	)
Mitsubishi UFJ Financial Group, Inc.		47,400		345,566		(51,958	)
Mitsubishi UFJ Lease & Finance Co., Ltd.		50,900		264,129		(2,186	)
Mitsui Chemicals, Inc.		225,000		999,200		(1,324	)
Mixi, Inc.		45,700		1,768,886		(59,550	)
Mizuho Financial Group, Inc.		199,600		423,290		(24,090	)
MS&AD Insurance Group Holdings, Inc.		47,600		1,390,993		4,861
Murata Manufacturing Co., Ltd.		4,500		611,958		35,508
Nexon Co., Ltd.		100,100		1,475,216		153,185
NHK Spring Co., Ltd.		136,300		1,397,846		(31,264	)
Nintendo Co., Ltd.		5,600		1,034,438		(264,381	)
Nippon Express Co., Ltd.		337,000		1,675,309		(91,670	)
Nippon Shokubai Co., Ltd.		10,700		775,004		(30,444	)
Nippon Telegraph & Telephone Corp.		79,600		2,884,966		282,964
Nippon Yusen KK		188,000		518,395		(62,741	)
Nisshin Seifun Group, Inc.		30,300		495,237		(302	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Nissin Foods Holdings Co., Ltd.		1,800	$	86,889	$	8,625
Nitori Holdings Co., Ltd.		2,700		158,127		68,624
Nitto Denko Corp.		9,100		635,525		28,827
NOK Corp.		70,300		2,044,174		(401,906	)
Nomura Research Institute Ltd.		17,140		649,306		8,934
NSK Ltd.		54,800		606,632		(11,179	)
NTN Corp.		156,000		693,280		(35,480	)
NTT Data Corp.		3,200		155,162		(454	)
Obic Co., Ltd.		6,900		319,807		45,442
Oracle Corp. Japan		15,400		703,343		13,682
ORIX Corp.		59,200		859,384		(28,899	)
Osaka Gas Co., Ltd.		36,000		136,026		(5,996	)
Otsuka Corp.		28,400		1,338,607		56,509
Otsuka Holdings Co., Ltd.		38,300		1,306,980		53,779
Panasonic Corp.		130,000		1,494,807		(176,931	)
Park24 Co., Ltd.		12,600		225,456		79,809
Pola Orbis Holdings, Inc.		49,400		3,143,321		112,563
Recruit Holdings Co., Ltd.		16,200		507,352		(31,172	)
Resona Holdings, Inc.		84,400		443,917		(34,051	)
Rohm Co., Ltd.		15,400		802,458		(22,435	)
Ryohin Keikaku Co., Ltd.		1,000		196,483		6,029
Sankyo Co., Ltd.		26,400		1,006,020		(20,567	)
Santen Pharmaceutical Co., Ltd.		69,600		1,006,142		139,712
Sekisui Chemical Co., Ltd.		105,100		1,281,126		91,088
Shimadzu Corp.		67,000		1,010,636		110,938
Shimamura Co., Ltd.		9,900		1,020,321		139,059
Shimizu Corp.		32,000		220,907		40,028
Shinsei Bank Ltd.		52,000		103,493		(7,797	)
Shionogi & Co., Ltd.		19,200		869,430		(1,010	)
Sojitz Corp.		1,057,300		2,342,504		(123,675	)
Sompo Japan Nipponkoa Holdings, Inc.		40,500		1,385,177		(55,372	)
Sony Corp.		27,500		750,354		(74,492	)
Sony Financial Holdings, Inc.		8,100		147,727		(2,841	)
Sugi Holdings Co., Ltd.		8,400		417,519		45,932
Sumitomo Chemical Co., Ltd.		217,000		1,269,160		(22,908	)
Sumitomo Electric Industries Ltd.		6,700		92,457		2,153
Sumitomo Heavy Industries Ltd.		189,000		1,104,802		(257,542	)
Sumitomo Mitsui Financial Group, Inc.		12,900		584,656		(97,796	)
Sumitomo Rubber Industries Ltd.		41,700		699,851		(157,611	)
Sundrug Co., Ltd.		8,000		516,830		(2,456	)
Suruga Bank Ltd.		15,900		332,326		(4,649	)

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

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Schedule of Investments December 31, 2015

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Suzuken Co., Ltd./Aichi Japan		53,700		$	1,999,009		$	41,708
Suzuki Motor Corp.		8,300			229,234			22,952
T&D Holdings, Inc.		85,500			1,127,936			111
Taiheiyo Cement Corp.		158,000			484,609			(23,200	)
TDK Corp.		6,100			422,260			(31,592	)
Teijin Ltd.		327,000			1,152,029			(37,656	)
Toho Gas Co., Ltd.		90,000			575,161			6,080
Tohoku Electric Power Co., Inc.		147,700			1,954,597			(108,153	)
Tokio Marine Holdings, Inc.		23,700			936,588			(21,185	)
Tokyo Electric Power Co., Inc.		464,000			2,723,220			(51,389	)
Tokyo Gas Co., Ltd.		339,000			1,623,428			(30,537	)
Toppan Printing Co., Ltd.		56,000			501,902			14,036
Tosoh Corp.		169,000			866,117			3,222
TOTO Ltd.		9,500			323,222			10,533
Toyo Suisan Kaisha Ltd.		20,300			727,367			(19,860	)
Toyoda Gosei Co., Ltd.		9,900			227,934			(3,036	)
Toyota Boshoku Corp.		38,800			811,101			(30,158	)
Trend Micro, Inc.		2,300			84,005			9,322
Tsuruha Holdings, Inc.		13,400			1,163,138			(2,082	)
West Japan Railway Co.		6,300			338,949			96,526
Yamaguchi Financial Group, Inc.		15,000			196,320			(18,612	)
								(1,657,172	)
Total of Long Equity Positions								(1,657,172	)
Short Positions
Common Stocks
Japan
Acom Co., Ltd.		(450,400	)		(1,871,293	)		(249,647	)
Advantest Corp.		(43,200	)		(366,562	)		8,208
Aeon Co., Ltd.		(82,800	)		(953,412	)		(322,337	)
AEON Financial Service Co., Ltd.		(30,100	)		(620,431	)		(51,964	)
Aisin Seiki Co., Ltd.		(7,300	)		(323,325	)		9,144
ANA Holdings, Inc.		(177,000	)		(505,770	)		(4,894	)
Asahi Glass Co., Ltd.		(147,000	)		(855,685	)		13,544
Asahi Group Holdings Ltd.		(33,200	)		(1,043,012	)		3,706
Asics Corp.		(57,300	)		(1,341,326	)		152,494
Brother Industries Ltd.		(10,800	)		(126,360	)		2,292
Calbee, Inc.		(23,100	)		(967,967	)		(7,524	)
Canon, Inc.		(37,200	)		(1,177,065	)		51,764
Century Tokyo Leasing Corp.		(6,400	)		(225,510	)		(3,109	)
Chiyoda Corp.		(95,000	)		(852,811	)		131,420
Chugai Pharmaceutical Co., Ltd.		(41,700	)		(1,433,241	)		(20,280	)
Chugoku Electric Power Co., Inc./The		(52,800	)		(716,942	)		19,804
Citizen Holdings Co., Ltd.		(34,300	)		(255,534	)		9,011

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Credit Saison Co., Ltd.		(32,000	)	$	(622,135	)	$	(8,335	)
Daihatsu Motor Co., Ltd.		(12,200	)		(166,249	)		1,671
Daikin Industries Ltd.		(22,600	)		(1,541,973	)		(103,797	)
Daiwa Securities Group, Inc.		(30,000	)		(232,190	)		48,780
Denso Corp.		(57,400	)		(2,722,218	)		(20,670	)
Eisai Co., Ltd.		(5,100	)		(284,065	)		(53,304	)
Electric Power Development Co., Ltd.		(11,600	)		(410,837	)		(2,316	)
FamilyMart Co., Ltd.		(5,200	)		(242,285	)		304
Fast Retailing Co., Ltd.		(3,700	)		(1,394,034	)		99,732
Hamamatsu Photonics KK		(41,700	)		(1,139,051	)		(4,164	)
Hirose Electric Co., Ltd.		(2,800	)		(377,079	)		38,077
Hitachi Construction Machinery Co., Ltd.		(40,300	)		(637,108	)		10,350
Hitachi Ltd.		(116,000	)		(718,459	)		61,159
Honda Motor Co., Ltd.		(59,000	)		(1,989,412	)		103,682
IHI Corp.		(798,000	)		(2,798,546	)		595,668
Isetan Mitsukoshi Holdings Ltd.		(52,500	)		(722,219	)		37,564
J Front Retailing Co., Ltd.		(23,200	)		(308,451	)		(28,822	)
Japan Airport Terminal Co., Ltd.		(41,300	)		(1,938,706	)		110,394
Japan Display, Inc.		(112,800	)		(381,567	)		56,561
Japan Tobacco, Inc.		(68,900	)		(2,515,495	)		(14,084	)
JFE Holdings, Inc.		(57,500	)		(930,152	)		27,264
JGC Corp.		(44,000	)		(831,074	)		157,600
Kakaku.com, Inc.		(40,200	)		(718,611	)		(72,107	)
Kao Corp.		(19,200	)		(900,446	)		(86,218	)
Kawasaki Heavy Industries Ltd.		(92,000	)		(349,995	)		9,604
Keihan Electric Railway Co., Ltd.		(23,000	)		(152,201	)		(1,836	)
Keikyu Corp.		(56,000	)		(457,774	)		(4,968	)
Keio Corp.		(151,000	)		(1,201,476	)		(102,518	)
Kikkoman Corp.		(11,000	)		(372,739	)		(8,383	)
Kintetsu Group Holdings Co., Ltd.		(147,000	)		(520,726	)		(76,945	)
Kirin Holdings Co., Ltd.		(86,200	)		(1,199,636	)		29,286
Kobe Steel Ltd.		(189,000	)		(206,240	)		888
Komatsu Ltd.		(34,200	)		(613,348	)		53,753
Kubota Corp.		(64,000	)		(1,037,516	)		48,802
Kyocera Corp.		(3,400	)		(175,299	)		17,402
Kyowa Hakko Kirin Co., Ltd.		(6,000	)		(89,386	)		(5,022	)
Kyushu Electric Power Co., Inc.		(279,100	)		(3,171,620	)		129,680
Mabuchi Motor Co., Ltd.		(3,100	)		(172,294	)		4,289
Makita Corp.		(16,900	)		(964,419	)		(9,472	)
Marubeni Corp.		(127,000	)		(679,799	)		26,880
Marui Group Co., Ltd.		(167,000	)		(1,905,598	)		(811,929	)
Minebea Co., Ltd.		(95,000	)		(1,387,039	)		573,652
Mitsubishi Heavy Industries Ltd.		(204,000	)		(1,001,475	)		109,485

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

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Schedule of Investments December 31, 2015

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsubishi Logistics Corp.		(135,000	)	$	(1,787,248	)	$	8,464
Mitsui OSK Lines Ltd.		(1,326,000	)		(3,735,908	)		391,368
Nagoya Railroad Co., Ltd.		(73,000	)		(303,198	)		(636	)
NGK Insulators Ltd.		(18,000	)		(422,103	)		16,379
NGK Spark Plug Co., Ltd.		(105,900	)		(2,817,099	)		28,914
Nidec Corp.		(34,200	)		(2,512,208	)		32,161
Nippon Electric Glass Co., Ltd.		(126,000	)		(588,709	)		(46,352	)
Nippon Paint Holdings Co., Ltd.		(108,400	)		(2,557,517	)		(65,984	)
Nippon Steel & Sumitomo Metal Corp.		(50,900	)		(1,023,958	)		17,036
Nissan Motor Co., Ltd.		(49,600	)		(475,889	)		(43,460	)
Nomura Holdings, Inc.		(52,300	)		(302,222	)		10,908
Obayashi Corp.		(49,000	)		(292,030	)		(160,103	)
Odakyu Electric Railway Co., Ltd.		(133,000	)		(1,310,862	)		(121,123	)
Olympus Corp.		(29,200	)		(1,090,058	)		(59,507	)
Oriental Land Co., Ltd.		(46,300	)		(2,649,824	)		(151,162	)
Pigeon Corp.		(30,300	)		(725,829	)		(9,252	)
Rakuten, Inc.		(50,200	)		(547,329	)		(30,862	)
Ricoh Co., Ltd.		(338,100	)		(3,444,354	)		(36,995	)
Rinnai Corp.		(6,900	)		(599,114	)		(12,250	)
Secom Co., Ltd.		(6,800	)		(456,967	)		(3,868	)
Sega Sammy Holdings, Inc.		(15,900	)		(224,127	)		75,409
Seibu Holdings, Inc.		(31,900	)		(756,760	)		105,288
Seiko Epson Corp.		(60,000	)		(971,947	)		47,997
Seven & i Holdings Co., Ltd.		(10,300	)		(471,917	)		336
Shikoku Electric Power Co., Inc.		(56,100	)		(888,885	)		12,532
Shimano, Inc.		(15,400	)		(2,334,665	)		(30,137	)
Shiseido Co., Ltd.		(32,900	)		(759,103	)		76,473
SoftBank Group Corp.		(56,700	)		(3,209,861	)		348,189
Sohgo Security Services Co., Ltd.		(10,800	)		(495,362	)		(11,147	)
Stanley Electric Co., Ltd.		(53,500	)		(1,160,262	)		(13,398	)
Sumco Corp.		(289,500	)		(3,417,756	)		1,233,624
Sumitomo Dainippon Pharma Co., Ltd.		(49,300	)		(597,004	)		16,178
Sumitomo Metal Mining Co., Ltd.		(55,000	)		(674,545	)		6,904

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Suntory Beverage & Food Ltd.		(21,900	)	$	(947,914	)	$	(10,783	)
Taisei Corp.		(122,000	)		(808,545	)		4,935
Taiyo Nippon Sanso Corp.		(16,700	)		(154,353	)		3,322
Takashimaya Co., Ltd.		(86,000	)		(766,213	)		(8,260	)
Terumo Corp.		(46,600	)		(1,209,283	)		(235,011	)
THK Co., Ltd.		(14,500	)		(270,058	)		1,314
Tobu Railway Co., Ltd.		(71,000	)		(334,494	)		(15,708	)
Tokyo Electron Ltd.		(4,800	)		(313,693	)		22,885
Toray Industries, Inc.		(12,000	)		(98,503	)		(13,007	)
Toshiba Corp.		(1,768,000	)		(4,389,353	)		755,715
Toyo Seikan Group Holdings Ltd.		(140,900	)		(2,507,932	)		(105,643	)
Toyota Industries Corp.		(21,200	)		(1,194,106	)		60,470
Toyota Motor Corp.		(10,800	)		(647,832	)		(17,221	)
Unicharm Corp.		(202,800	)		(4,334,473	)		192,958
Yahoo Japan Corp.		(175,100	)		(650,317	)		(61,447	)
Yakult Honsha Co., Ltd.		(37,700	)		(2,053,741	)		208,525
Yamaha Motor Co., Ltd.		(15,600	)		(349,514	)		(165	)
Yamato Holdings Co., Ltd.		(170,200	)		(3,493,685	)		(112,535	)
Yaskawa Electric Corp.		(146,600	)		(1,718,109	)		(276,632	)
Yokogawa Electric Corp.		(27,700	)		(336,140	)		3,022
Yokohama Rubber Co., Ltd./The		(34,400	)		(547,031	)		18,722
							2,726,649
Total of Short Equity Positions								2,726,649
Total of Long and Short Equity Positions								1,069,477
Net Cash and Other Receivables/ (Payables) (b)								(236,245	)
Swaps, at Value							$	833,232

(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.

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

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116

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	38 months maturity 08/19/2016		$3,163,937

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton PLC		40,150	$	460,159	$	(12,414	)
Ireland
DCC PLC		22,641		1,668,345		223,129
Shire PLC		7,202		494,810		(699	)
					222,430
Luxembourg
Regus PLC		87,117		418,611		9,445
South Africa
Mondi PLC		70,705		1,489,459		(103,589	)
Switzerland
Coca-Cola HBC AG		36,526		777,396		449
Glencore PLC		526,224		824,921		(127,606	)
Wolseley PLC		12,466		686,673		(9,608	)
					(136,765)
United Kingdom
AA PLC		60,840		275,498		5,555
Aggreko PLC		14,091		201,944		(12,255	)
Amec Foster Wheeler PLC		46,644		307,096		(12,649	)
ASOS PLC		19,763		988,754		15,398
AstraZeneca PLC		8,020		531,672		10,057
BAE Systems PLC		32,463		217,916		21,093
Barratt Developments PLC		139,518		1,051,380		234,239
Bellway PLC		19,914		769,992		62,680
Berkeley Group Holdings PLC		42,684		2,074,739		245,714
Britvic PLC		36,295		379,703		9,169
BT Group PLC		100,569		636,203		62,105
Burberry Group PLC		24,710		486,344		(51,596	)
Centrica PLC		776,882		2,455,923		38,624
Close Brothers Group PLC		8,325		175,464		(11,299	)
Compass Group PLC		8,742		132,332		19,151
Daily Mail & General Trust PLC		12,127		136,188		(11,376	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Direct Line Insurance Group PLC		2	$	11	$	1
Direct Line Insurance Group PLC		22,569		108,155		27,126
Dixons Carphone PLC		12,750		85,506		8,322
DS Smith PLC		276,919		1,587,746		32,110
GKN PLC		150,613		707,452		(23,990	)
Hays PLC		100,709		220,628		(4,340	)
Howden Joinery Group PLC		111,671		815,223		50,009
Imperial Tobacco Group PLC		18,391		876,981		94,388
Indivior PLC		133,754		386,507		(16,886	)
Informa PLC		19,434		175,611		23
Intermediate Capital Group PLC		42,115		339,603		48,636
International Consolidated Airlines Group SA		34,718		280,144		32,008
John Wood Group PLC		131,662		1,180,867		4,911
Just Eat PLC		125,844		751,183		162,565
Kingfisher PLC		241,089		1,236,938		(69,227	)
Man Group PLC		607,608		1,630,332		(67,256	)
Marks & Spencer Group PLC		174,069		1,263,458		(104,473	)
Meggitt PLC		241,935		1,363,078		(27,292	)
National Grid PLC		48,368		654,032		13,040
Next PLC		1,634		157,295		18,148
Pearson PLC		8,263		145,844		(56,517	)
Persimmon PLC		47,400		1,217,994		196,106
Playtech PLC		15,416		204,798		(16,061	)
Rentokil Initial PLC		315,552		719,891		20,470
Rio Tinto PLC		8,491		280,820		(33,602	)
Royal Mail PLC		337,397		2,296,506		(86,597	)
Severn Trent PLC		8,826		286,278		(4,141	)
Sky PLC		5,774		80,448		14,204
Smith & Nephew PLC		9,938		157,702		19,414
Smiths Group PLC		105,643		1,541,119		(80,192	)
Stagecoach Group PLC		160,369		844,955		(144,253	)
Tate & Lyle PLC		13,403		118,002		57
Taylor Wimpey PLC		812,757		2,066,297		363,329

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

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Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Thomas Cook Group PLC		315,666		$	619,042		$	(55,801	)
Vedanta Resources PLC		52,106			382,599			(172,705	)
Vodafone Group PLC		331,815			1,106,764			(30,765	)
Whitbread PLC		1,429			91,632			991
William Hill PLC		122,426			676,378			38,112
WPP PLC		21,843			483,501			18,927
								793,409
Total of Long Equity Positions								772,516
Short Positions
Common Stocks
Chile
Antofagasta PLC		(322,167	)		(2,851,019	)		634,894
Ireland
Experian PLC		(18,534	)		(311,024	)		(16,554	)
United Kingdom
Aberdeen Asset Management PLC		(327,184	)		(1,597,812	)		203,608
Admiral Group PLC		(71,600	)		(1,649,310	)		(100,280	)
Anglo American PLC		(113,087	)		(767,439	)		271,303
ARM Holdings PLC		(241,435	)		(3,545,532	)		(134,427	)
Ashtead Group PLC		(46,599	)		(736,387	)		(30,532	)
Associated British Foods PLC		(41,903	)		(2,063,279	)		1,351
Aviva PLC		(128,516	)		(954,033	)		(21,465	)
Babcock International Group PLC		(34,169	)		(504,543	)		(6,801	)
Balfour Beatty PLC		(23,573	)		(88,838	)		(5,052	)
Booker Group PLC		(123,596	)		(329,372	)		(490	)
BP PLC		(321,268	)		(1,703,733	)		34,205
British American Tobacco PLC		(59,424	)		(3,211,822	)		(88,232	)
BTG PLC		(78,914	)		(705,997	)		(93,631	)
Bunzl PLC		(17,812	)		(495,762	)		1,580
Capita PLC		(64,702	)		(1,178,455	)		27,244
Cobham PLC		(304,114	)		(1,282,369	)		12,426
Croda International PLC		(4,084	)		(173,449	)		(9,535	)
Diageo PLC		(45,035	)		(1,229,096	)		(709	)
easyJet PLC		(16,114	)		(416,216	)		2,941
Essentra PLC		(34,955	)		(438,068	)		11,962
Eurasian Resources Group		(15	)		(50	)		5
G4S PLC		(48,681	)		(188,328	)		26,620
GlaxoSmithKline PLC		(6,790	)		(129,041	)		(8,089	)
Halma PLC		(14,732	)		(190,899	)		3,306
Hargreaves Lansdown PLC		(136,218	)		(2,272,319	)		(751,805	)
HSBC Holdings PLC		(36,268	)		(289,839	)		3,532
IMI PLC		(23,538	)		(304,000	)		5,319
Inmarsat PLC		(56,594	)		(765,585	)		(183,182	)
Intertek Group PLC		(11,865	)		(458,435	)		(26,922	)
ITV PLC		(181,230	)		(740,240	)		2,389

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
J Sainsbury PLC		(55,477	)	$	(216,427	)	$	5,159
Johnson Matthey PLC		(2,348	)		(91,706	)		(142	)
Legal & General Group PLC		(219,122	)		(863,053	)		(1,581	)
Lloyds Banking Group PLC		(1,159,197	)		(1,259,186	)		11,896
Melrose Industries PLC		(23,120	)		(100,312	)		1,279
Merlin Entertainments PLC		(22,810	)		(152,268	)		(674	)
Ocado Group PLC		(102,924	)		(516,791	)		56,954
Old Mutual PLC		(191,789	)		(582,746	)		78,214
Pennon Group PLC		(24,076	)		(309,546	)		4,107
Provident Financial PLC		(24,683	)		(1,259,701	)		35,853
Prudential PLC		(48,021	)		(1,062,042	)		(19,846	)
Rolls-Royce Holdings PLC (3)		(13,381,060	)		872			(20,598	)
Rolls-Royce Holdings PLC (3)		(797,637	)		(59	)		(1,117	)
Rolls-Royce Holdings PLC		(229,833	)		(2,536,348	)		589,566
Rotork PLC		(40,307	)		(109,736	)		1,263
Royal Bank of Scotland Group PLC		(79,128	)		(363,917	)		12,188
RSA Insurance Group PLC		(107,093	)		(638,719	)		(33,434	)
Schroders PLC		(4,702	)		(207,800	)		1,857
Serco Group PLC		(179,271	)		(531,780	)		282,315
Spectris PLC		(11,966	)		(321,244	)		3,680
Sports Direct International PLC		(11,241	)		(103,576	)		8,049
SSE PLC		(11,879	)		(271,507	)		4,779
St. James’s Place PLC		(110,447	)		(1,606,601	)		(30,409	)
Standard Chartered PLC		(10,774	)		(131,596	)		42,202
Standard Life PLC		(361,005	)		(2,217,797	)		150,497
Tesco PLC		(1,817,324	)		(5,086,691	)		1,093,529
Weir Group PLC/The		(21,451	)		(593,574	)		278,485
								1,700,710
Total of Short Equity Positions								2,319,050
Total of Long and Short Equity Positions								3,091,566
Net Cash and Other Receivables/ (Payables) (b)								72,371
Swaps, at Value							$	3,163,937

(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.

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

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

AQR Funds Annual Report December 2015

118

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives 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.	38 months maturity 08/22/2016		$446,640

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Amcor Ltd.		93,544		$	874,071		$	34,732
Ansell Ltd.		73,556			1,130,843			9,070
Aurizon Holdings Ltd.		411,756			1,342,348			(35,189	)
Boral Ltd.		551,595			2,323,960			34,413
Caltex Australia Ltd.		59,969			1,453,184			185,992
Challenger Ltd.		29,190			146,593			37,373
CIMIC Group Ltd.		78,142			1,371,472			(721	)
Coca-Cola Amatil Ltd.		190,093			1,264,458			17,329
Flight Centre Travel Group Ltd.		11,888			331,506			11,352
Harvey Norman Holdings Ltd.		259,687			790,077			(5,060	)
Iluka Resources Ltd.		174,917			819,220			(45,487	)
Incitec Pivot Ltd.		98,922			283,288			(624	)
Macquarie Group Ltd.		7,781			322,086			143,397
Newcrest Mining Ltd.		28,190			251,104			15,636
Orica Ltd.		33,952			399,660			(19,272	)
Qantas Airways Ltd.		734,030			1,819,633			356,084
Sonic Healthcare Ltd.		7,318			100,185			(5,437	)
Star Entertainment Grp Ltd./The		503,113			1,735,952			110,190
Tabcorp Holdings Ltd.		282,123			959,836			744
Tatts Group Ltd.		167,317			508,074			23,138
Telstra Corp. Ltd.		262,389			1,058,162			8,107
TPG Telecom Ltd.		51,793			372,720			(1,900	)
Treasury Wine Estates Ltd.		449,398			2,090,840			607,410
Woodside Petroleum Ltd.		174,989			4,012,314			(366,599	)
								1,114,678
New Zealand
Fletcher Building Ltd.		116,204			565,302			14,128
Spark New Zealand Ltd.		142,377			311,663			9,849
								23,977
Total of Long Equity Positions								1,138,655
Short Positions
Common Stocks
Australia
ALS Ltd.		(82,018	)		(225,841	)		2,630
Alumina Ltd.		(899,406	)		(791,475	)		40,884

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Australia (continued)
AMP Ltd.		(122,816	)	$	(545,748	)	$	28,265
APA Group		(204,371	)		(1,273,910	)		(12,068	)
AusNet Services		(509,255	)		(505,198	)		(43,042	)
Bank of Queensland Ltd.		(51,067	)		(512,227	)		(2,918	)
Brambles Ltd.		(163,840	)		(1,332,165	)		(39,979	)
Commonwealth Bank of Australia		(16,012	)		(946,206	)		(43,728	)
Computershare Ltd.		(67,910	)		(566,433	)		(4,999	)
Crown Resorts Ltd.		(121,986	)		(1,112,537	)		10,000
CSL Ltd.		(27,875	)		(1,991,510	)		(133,671	)
Healthscope Ltd.		(163,991	)		(316,882	)		865
Insurance Australia Group Ltd.		(453,270	)		(1,794,287	)		(26,051	)
Medibank Pvt Ltd.		(473,455	)		(751,976	)		13,711
Origin Energy Ltd.		(27,193	)		(105,832	)		13,845
QBE Insurance Group Ltd.		(49,369	)		(456,935	)		7,915
Ramsay Health Care Ltd.		(27,819	)		(1,274,332	)		(93,590	)
REA Group Ltd.		(25,376	)		(848,340	)		(161,320	)
Santos Ltd.		(258,749	)		(841,168	)		151,998
Seek Ltd.		(678,100	)		(7,263,667	)		(283,695	)
South32 Ltd.		(222,193	)		(175,325	)		4,636
Westpac Banking Corp.		(35,226	)		(851,087	)		(2,783	)
Woolworths Ltd.		(71,084	)		(1,280,786	)		19,577
							(553,518)
Rights
Australia
Westpac Banking Corp.		(613	)		(11,163	)		7,695
Total of Short Equity Positions and Rights								(545,823	)
Total of Long and Short Equity Positions and Rights								592,832
Net Cash and Other Receivables/ (Payables) (b)								(146,192	)
Swaps, at Value							$	446,640

(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.

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

AQR Funds Annual Report December 2015

119

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1Week 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.	37-38 months maturity ranging from 07/20/2016 - 08/22/2016		$964,545

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Hong Kong
BOC Hong Kong Holdings Ltd.		124,500		$	419,703		$	(40,847	)
CK Hutchison Holdings Ltd.		108,000			1,511,031			(59,303	)
CLP Holdings Ltd.		313,000			2,673,729			(20,739	)
Hang Seng Bank Ltd.		7,200			141,616			(5,152	)
Kerry Properties Ltd.		356,500			1,103,635			(133,467	)
MTR Corp. Ltd.		93,500			378,114			83,571
New World Development Co., Ltd.		758,000			869,108			(124,799	)
Orient Overseas International Ltd.		122,500			603,745			(17,400	)
Sino Land Co., Ltd.		790,000			1,239,128			(88,291	)
Sun Hung Kai Properties Ltd.		72,000			957,052			(91,642	)
Swire Pacific Ltd.		31,500			351,835			24
WH Group Ltd.		3,204,000			1,867,834			(84,582	)
Yue Yuen Industrial Holdings Ltd.		323,500			1,159,722			(63,859	)
								(646,486	)
Total of Long Equity Positions								(646,486	)
Short Positions
Common Stocks
Hong Kong
AIA Group Ltd.		(82,000	)		(490,260	)		304
ASM Pacific Technology Ltd.		(102,600	)		(826,722	)		25,672
Bank of East Asia Ltd./The		(60,600	)		(218,454	)		(6,341	)
Cathay Pacific Airways Ltd.		(304,000	)		(613,655	)		90,575
Cheung Kong Property Holdings Ltd.		(350,500	)		(2,391,459	)		124,080
Esprit Holdings Ltd.		(698,600	)		(738,979	)		(30,030	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
Galaxy Entertainment Group Ltd.		(359,000	)	$	(1,292,947	)	$	168,084
Hang Lung Properties Ltd.		(109,000	)		(252,691	)		5,712
HKT Trust & HKT Ltd.		(866,000	)		(1,034,297	)		(71,243	)
Hong Kong & China Gas Co., Ltd.		(1,686,120	)		(3,408,878	)		109,072
Hysan Development Co., Ltd.		(92,000	)		(381,036	)		5,155
MGM China Holdings Ltd.		(994,000	)		(1,710,797	)		475,383
Sands China Ltd.		(100,400	)		(380,774	)		40,398
Swire Properties Ltd.		(194,400	)		(603,167	)		44,202
Techtronic Industries Co., Ltd.		(96,000	)		(340,388	)		(48,244	)
Value Partners Group Ltd.		(314,000	)		(372,291	)		7,314
Wharf Holdings Ltd./The		(34,000	)		(189,323	)		1,864
Wynn Macau Ltd.		(327,600	)		(382,859	)		2,257
								944,214
United States
Samsonite International SA		(208,200	)		(677,054	)		53,084
Total of Short Equity Positions								997,298
Total of Long and Short Equity Positions								350,812
Net Cash and Other Receivables/ (Payables) (b)								613,733
Swaps, at Value							$	964,545

(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.

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

AQR Funds Annual Report December 2015

120

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

Total Return Basket Swaps* Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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.	15-61 months maturity ranging from 02/23/2017 - 12/22/2020		$(5,349,153	)

* 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Canada
Domtar Corp.		35,294	$	1,309,007	$	(4,894	)
Ireland
Accenture PLC		14,408		1,491,571		14,065
Medtronic PLC		7,237		563,762		(7,092	)
XL Group PLC		26,035		1,004,915		15,136
						22,109
Puerto Rico
Popular, Inc.		7,858		211,878		10,818
Singapore
Flextronics International Ltd.		130,674		1,446,576		18,279
Switzerland
ACE Ltd.		3,484		402,750		4,355
Allied World Assurance Co. Holdings AG		18,992		689,170		17,143
Garmin Ltd.		2,567		91,945		3,471
TE Connectivity Ltd.		10,878		706,214		(3,387	)
						21,582
United Kingdom
Michael Kors Holdings Ltd.		26,567		1,047,537		16,737
United States
3M Co.		17,608		2,625,624		26,845
Aaron’s, Inc.		10,465		235,510		(1,198	)
Abbott Laboratories		72,747		3,292,529		(25,461	)
AbbVie, Inc.		32,258		1,855,218		55,746
Activision Blizzard, Inc.		17,700		687,999		(2,832	)
Adobe Systems, Inc.		4,016		381,896		(4,633	)
AES Corp.		9,918		91,747		3,168
Aetna, Inc.		28,601		3,113,505		(21,165	)
Aflac, Inc.		51,794		3,127,322		(24,861	)
AGCO Corp.		15,839		706,103		12,830

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Agilent Technologies, Inc.		89,057	$	3,631,744	$	91,729
Akamai Technologies, Inc.		34,068		1,793,880		(881	)
Alleghany Corp.		1,302		626,286		(4,021	)
Allison Transmission Holdings, Inc.		3,637		92,952		1,210
Allscripts Healthcare Solutions, Inc.		37,237		565,788		6,917
Allstate Corp./The		51,877		3,236,443		(15,400	)
Alphabet, Inc.		4,081		3,141,676		33,383
Altria Group, Inc.		73,699		4,307,162		(17,144	)
Amazon.com, Inc.		2,996		2,009,267		15,699
Amdocs Ltd.		55,957		3,073,581		(20,007	)
AMERCO		976		383,958		(3,806	)
Ameren Corp.		77,129		3,406,367		(72,080	)
American Eagle Outfitters, Inc.		30,821		474,726		3,000
American Electric Power Co., Inc.		12,305		706,553		10,459
American Express Co.		5,479		381,174		(110	)
American Financial Group, Inc.		14,030		1,018,709		(7,427	)
American International Group, Inc.		39,431		2,410,683		32,856
American Water Works Co., Inc.		11,120		676,614		(12,194	)
Ameriprise Financial, Inc.		15,103		1,587,325		19,936
AmerisourceBergen Corp.		41,105		4,208,580		54,419
Amgen, Inc.		24,122		3,894,197		21,527
AmTrust Financial Services, Inc.		3,517		221,741		(5,164	)
Analog Devices, Inc.		22,638		1,282,344		(30,010	)
ANSYS, Inc.		1,330		122,247		778
Anthem, Inc.		25,761		3,581,037		11,077
AO Smith Corp.		36,672		2,806,227		3,215
Apollo Education Group, Inc.		88,605		677,884		1,717

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

AQR Funds Annual Report December 2015

121

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Apple, Inc.		26,672	$	2,902,601	$	(95,106	)
AptarGroup, Inc.		1,608		117,080		(259	)
Archer-Daniels-Midland Co.		53,348		1,829,303		127,502
Armstrong World Industries, Inc.		15,307		707,642		(7,653	)
Arrow Electronics, Inc.		36,102		1,977,008		(21,002	)
Aspen Insurance Holdings Ltd.		12,377		605,702		(7,893	)
Assurant, Inc.		21,559		1,747,767		(11,406	)
Assured Guaranty Ltd.		105,726		2,675,925		118,413
Atwood Oceanics, Inc.		79,066		960,650		(151,805	)
Automatic Data Processing, Inc.		6,928		587,564		(624	)
AutoZone, Inc.		987		744,631		(12,366	)
Avery Dennison Corp.		33,539		2,122,724		(21,170	)
Avnet, Inc.		70,216		3,076,291		(68,238	)
Avon Products, Inc.		323,793		1,304,886		6,476
Axis Capital Holdings Ltd.		24,236		1,364,889		(2,341	)
Bank of America Corp.		35,497		614,098		(16,684	)
Baxalta, Inc.		26,150		1,023,351		(2,717	)
Baxter International, Inc.		71,021		2,673,664		35,787
BB&T Corp.		2,500		94,838		(313	)
Bed Bath & Beyond, Inc.		12,540		641,866		(36,811	)
Bemis Co., Inc.		64,033		2,867,825		(6,190	)
Best Buy Co., Inc.		69,870		2,082,126		45,415
Big Lots, Inc.		39,750		1,512,964		19,001
Biogen, Inc.		10,297		3,059,959		94,526
BioMarin Pharmaceutical, Inc.		2,726		274,345		11,231
Bio-Rad Laboratories, Inc.		6,606		913,708		2,280
BlackRock, Inc.		1,357		454,389		7,697
Boeing Co./The		18,915		2,754,451		(19,531	)
Brinker International, Inc.		18,556		846,903		42,858
Bristol-Myers Squibb Co.		15,194		1,055,567		(10,371	)
Broadridge Financial Solutions, Inc.		31,338		1,691,272		(7,481	)
Brocade Communications Systems, Inc.		500,726		4,416,404		180,261
Bruker Corp.		4,809		118,910		(2,196	)
Brunswick Corp.		25,347		1,262,752		17,525
Bunge Ltd.		28,053		1,796,514		118,945
BWX Technologies, Inc.		55,819		1,735,973		37,396
CA, Inc.		52,663		1,510,162		(6,107	)
Cabot Corp.		8,340		350,082		(9,143	)
Cadence Design Systems, Inc.		78,270		1,666,738		(37,939	)
California Resources Corp.		405,354		840,745		103,729
Campbell Soup Co.		10,127		544,693		(12,519	)
Capital One Financial Corp.		18,315		1,361,463		(39,486	)
Cardinal Health, Inc.		19,400		1,718,156		13,683

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Carlisle Cos., Inc.		29,457	$	2,599,065	$	13,476
Carnival Corp.		30,326		1,539,468		112,693
Carter’s, Inc.		28,324		2,529,859		(8,173	)
CDW Corp.		27,762		1,188,387		(21,273	)
CEB, Inc.		17,111		1,061,249		(10,805	)
Celgene Corp.		4,278		517,173		(4,840	)
CH Robinson Worldwide, Inc.		8,902		561,642		(9,540	)
Charles River Laboratories International, Inc.		33,160		2,632,493		33,239
Cheesecake Factory, Inc./The		28,013		1,300,304		(8,625	)
Chemours Co./The		54,918		259,213		35,148
Chico’s FAS, Inc.		68,886		753,770		(18,757	)
Church & Dwight Co., Inc.		16,922		1,454,654		(18,315	)
Cintas Corp.		19,907		1,820,252		(7,720	)
Cisco Systems, Inc.		147,985		3,954,159		64,373
CIT Group, Inc.		3,200		129,600		(2,560	)
Citigroup, Inc.		45,816		2,420,917		(49,939	)
Citrix Systems, Inc.		25,065		1,946,523		(50,356	)
Clorox Co./The		13,103		1,710,362		(48,509	)
Coach, Inc.		26,049		850,239		2,344
Coca-Cola Co./The		35,704		1,553,955		(20,111	)
Cognizant Technology Solutions Corp.		3,006		181,701		(1,281	)
Colgate-Palmolive Co.		30,810		2,075,982		(23,420	)
Comcast Corp.		19,322		1,109,827		(19,487	)
Commerce Bancshares, Inc.		11,767		512,665		(12,096	)
Commercial Metals Co.		32,947		460,213		(9,168	)
Community Health Systems, Inc.		68,306		1,742,486		69,672
CommVault Systems, Inc.		2,381		95,878		(2,186	)
Computer Sciences Corp.		79,978		2,542,993		70,688
Consolidated Edison, Inc.		38,800		2,514,903		(21,227	)
Convergys Corp.		37,267		957,094		(29,519	)
CoreLogic, Inc.		21,096		750,060		(35,750	)
Corning, Inc.		49,234		890,643		9,354
CR Bard, Inc.		11,586		2,208,753		(13,901	)
Cracker Barrel Old Country Store, Inc.		2,750		343,409		5,373
Crane Co.		20,307		955,627		15,860
Crown Holdings, Inc.		20,100		1,036,716		(17,646	)
CSX Corp.		56,037		1,434,547		19,613
Cummins, Inc.		20,885		1,796,901		41,188
CVR Energy, Inc.		3,323		131,946		(1,186	)
CVS Health Corp.		17,575		1,664,528		53,780
Dana Holding Corp.		25,005		359,382		(14,313	)
Danaher Corp.		16,533		1,519,217		16,368
Darden Restaurants, Inc.		25,176		1,470,051		132,150
Dean Foods Co.		64,411		1,132,359		(27,710	)
Delta Air Lines, Inc.		33,759		1,722,722		(11,478	)
Deluxe Corp.		11,660		637,143		(1,207	)

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

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122

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
DENTSPLY International, Inc.		21,015	$	1,286,057	$	(7,294	)
Dick’s Sporting Goods, Inc.		12,783		462,617		(10,738	)
Dillard’s, Inc.		4,872		330,419		(10,280	)
Discover Financial Services		59,640		3,213,403		(15,506	)
Domino’s Pizza, Inc.		6,673		729,826		12,545
Dover Corp.		3,798		225,829		7,026
Dow Chemical Co./The		15,149		764,953		14,917
DR Horton, Inc.		16,811		547,153		(8,696	)
Dr. Pepper Snapple Group, Inc.		38,582		3,610,622		(14,780	)
DST Systems, Inc.		6,524		757,936		(13,808	)
DTE Energy Co.		20,433		1,640,811		(2,289	)
Dun & Bradstreet Corp./The		12,807		1,343,998		(12,967	)
Eaton Corp PLC		28,307		1,452,636		20,461
eBay, Inc.		117,054		3,283,365		(66,721	)
Edison International		7,699		468,869		(13,011	)
Edwards Lifesciences Corp.		20,038		1,622,878		(40,276	)
Electronic Arts, Inc.		17,948		1,276,462		(43,075	)
Eli Lilly & Co.		19,171		1,652,924		(37,575	)
Emerson Electric Co.		32,441		1,459,845		91,808
Entergy Corp.		15,186		1,020,955		17,160
EP Energy Corp.		171,826		597,954		154,643
Equifax, Inc.		32,574		3,687,377		(59,610	)
Estee Lauder Cos., Inc./The		13,881		1,238,393		(16,032	)
Esterline Technologies Corp.		5,744		479,955		(14,691	)
Exelon Corp.		77,906		2,072,300		91,150
Expedia, Inc.		15,224		1,958,872		(66,529	)
Expeditors International of Washington, Inc.		9,320		430,438		(10,106	)
Express Scripts Holding Co.		7,755		682,410		(4,545	)
F5 Networks, Inc.		15,720		1,555,337		(31,126	)
Facebook, Inc.		2,976		316,111		(4,643	)
FactSet Research Systems, Inc.		10,983		1,784,555		952
Fair Isaac Corp.		991		92,456		877
Fairchild Semiconductor International, Inc.		31,548		632,537		20,822
FedEx Corp.		9,351		1,419,856		(26,650	)
Fifth Third BanCorp.		14,903		303,704		(4,154	)
First American Financial Corp.		2,848		103,709		(1,465	)
First Solar, Inc.		43,526		2,806,556		65,724
Fiserv, Inc.		1,731		161,544		(3,226	)
FLIR Systems, Inc.		10,267		293,925		(5,730	)
Flowers Foods, Inc.		18,768		415,241		(11,917	)
Fluor Corp.		3,740		172,489		4,114
Foot Locker, Inc.		20,634		1,320,782		22,285
Ford Motor Co.		77,447		1,082,709		8,519

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Franklin Resources, Inc.		51,728	$	1,849,105	$	55,520
GameStop Corp.		7,706		223,859		(7,783	)
Gap, Inc./The		29,040		731,808		(14,520	)
Gartner, Inc.		1,043		94,538		62
General Dynamics Corp.		26,564		3,670,082		(21,251	)
General Mills, Inc.		32,935		1,906,597		(7,565	)
General Motors Co.		177,172		6,043,337		(17,717	)
Genpact Ltd.		48,146		1,197,195		5,493
Gilead Sciences, Inc.		34,744		3,556,396		(40,650	)
Global Payments, Inc.		4,690		311,485		(8,934	)
GNC Holdings, Inc.		23,245		714,784		6,276
Goodyear Tire & Rubber Co./The		83,627		2,717,878		14,217
Graham Holdings Co.		2,622		1,300,486		(28,894	)
Groupon, Inc.		422,689		1,339,924		(42,269	)
Guess?, Inc.		12,796		248,148		(6,559	)
H&R Block, Inc.		11,378		383,206		(4,205	)
Hanover Insurance Group, Inc./The		10,411		857,270		(10,439	)
Hartford Financial Services Group, Inc./The		15,989		692,603		2,279
HCA Holdings, Inc.		39,914		2,584,032		115,351
HD Supply Holdings, Inc.		36,317		1,057,834		32,766
Herman Miller, Inc.		51,728		1,560,024		(75,430	)
HNI Corp.		5,192		193,188		(5,965	)
HollyFrontier Corp.		53,004		2,230,539		(116,209	)
Hologic, Inc.		12,075		479,231		(12,050	)
Home Depot, Inc./The		11,143		1,463,633		10,029
Honeywell International, Inc.		7,299		769,115		(13,158	)
Hormel Foods Corp.		8,261		660,398		(7,118	)
HP, Inc.		255,027		3,034,821		(15,302	)
HSN, Inc.		9,590		491,306		(5,381	)
Hubbell, Inc.		3,750		350,100		28,800
Huntington Ingalls Industries, Inc.		37,436		4,763,039		(14,283	)
Huntsman Corp.		8,464		85,103		11,133
IAC/InterActiveCorp.		28,495		1,753,012		(41,888	)
IHS, Inc.		2,200		256,586		3,960
IMS Health Holdings, Inc.		23,106		591,962		(3,452	)
Ingram Micro, Inc.		115,460		3,567,715		(60,040	)
Ingredion, Inc.		16,471		1,605,648		(27,067	)
Integrated Device Technology, Inc.		64,806		1,748,466		(40,828	)
Intel Corp.		58,650		2,047,472		(26,979	)
InterDigital, Inc.		13,120		633,405		10,000
International Business Machines Corp.		19,739		2,699,308		17,173
International Paper Co.		56,381		2,126,691		(1,128	)
Interpublic Group of Cos., Inc./The		65,524		1,473,635		51,764
Intuit, Inc.		13,772		1,347,866		(18,868	)
Invesco Ltd.		26,266		826,409		52,976
ITT Corp.		22,736		807,330		18,442
Jabil Circuit, Inc.		24,635		585,930		(12,181	)

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

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123

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Jack Henry & Associates, Inc.		12,606	$	994,430	$	(10,406	)
Jack in the Box, Inc.		19,086		1,460,614		3,473
Jacobs Engineering Group, Inc.		22,501		936,042		7,875
Janus Capital Group, Inc.		11,489		160,135		1,745
JetBlue Airways Corp.		45,509		1,050,262		(19,483	)
John Wiley & Sons, Inc.		20,427		919,454		374
Johnson & Johnson		26,457		2,744,513		(26,850	)
JPMorgan Chase & Co.		26,346		1,746,213		(6,587	)
Juniper Networks, Inc.		65,060		1,874,910		(79,254	)
Kellogg Co.		9,359		670,198		6,177
KeyCorp.		30,673		399,704		4,873
Keysight Technologies, Inc.		3,299		94,045		(585	)
Kimberly-Clark Corp.		31,487		3,993,776		14,519
Kohl’s Corp.		4,330		192,472		13,765
Kroger Co./The		28,205		1,182,918		(3,103	)
L Brands, Inc.		8,126		784,809		(6,176	)
L-3 Communications Holdings, Inc.		12,258		1,459,048		5,906
Lam Research Corp.		19,289		1,518,044		13,888
Lancaster Colony Corp.		6,397		737,963		635
Landstar System, Inc.		7,702		451,331		392
Lear Corp.		13,587		1,662,472		6,419
Legg Mason, Inc.		29,945		1,170,728		4,014
Leggett & Platt, Inc.		10,824		467,798		(12,974	)
Leidos Holdings, Inc.		39,864		2,287,868		(45,120	)
Lennox International, Inc.		5,499		697,157		(10,332	)
Liberty Interactive Corp. QVC Group		68,142		1,803,136		58,504
LifePoint Health, Inc.		7,704		559,840		5,633
Lincoln Electric Holdings, Inc.		16,283		821,879		23,045
Lincoln National Corp.		45,806		2,301,293		916
Linear Technology Corp.		16,908		743,222		(25,139	)
Lockheed Martin Corp.		2,634		580,377		(8,404	)
Lowe’s Cos., Inc.		29,294		2,194,121		33,395
LyondellBasell Industries NV		21,843		1,916,732		(18,575	)
Macy’s, Inc.		46,932		1,619,154		22,527
Mallinckrodt PLC		16,141		1,174,470		30,133
Manhattan Associates, Inc.		13,479		953,159		(61,254	)
ManpowerGroup, Inc.		33,963		2,857,997		4,744
Marathon Petroleum Corp.		64,806		3,325,844		33,699
Marvell Technology Group Ltd.		346,397		2,933,983		121,239
Masco Corp.		134,687		3,821,070		(9,428	)
Maxim Integrated Products, Inc.		41,525		1,577,669		281
McDonald’s Corp.		16,634		1,954,495		10,646
McGraw Hill Financial, Inc.		5,405		515,205		17,620
McKesson Corp.		21,327		4,052,557		153,768

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Mead Johnson Nutrition Co.		14,757	$	1,144,996	$	20,070
Medivation, Inc.		55,409		2,419,157		259,314
Mentor Graphics Corp.		77,397		1,438,087		(12,435	)
Merck & Co., Inc.		44,061		2,322,395		4,907
MetLife, Inc.		52,928		2,512,492		39,167
Mettler-Toledo International, Inc.		2,537		880,040		(19,667	)
Michaels Cos., Inc./The		4,398		96,616		624
Micron Technology, Inc.		107,591		1,540,703		(17,215	)
Microsoft Corp.		37,876		2,109,693		(8,333	)
Minerals Technologies, Inc.		2,031		95,805		(2,663	)
Molina Healthcare, Inc.		41,698		2,466,038		41,263
Mondelez International, Inc.		45,423		2,018,613		18,155
Moody’s Corp.		5,007		490,085		12,317
Morgan Stanley		33,448		1,083,046		(19,065	)
Mosaic Co./The		20,959		604,458		(26,199	)
Motorola Solutions, Inc.		4,428		308,127		(5,031	)
MSCI, Inc.		45,651		3,236,849		55,958
MSG Networks, Inc.		80,035		1,664,767		(39	)
Murphy USA, Inc.		12,459		778,248		(21,488	)
Nasdaq, Inc.		48,749		2,755,973		79,756
Navient Corp.		69,026		861,444		(71,097	)
NCR Corp.		29,541		756,250		(33,677	)
NetApp, Inc.		64,661		1,769,654		(54,198	)
NeuStar, Inc.		16,505		408,563		(12,938	)
News Corp.		44,470		602,858		(8,739	)
NIKE, Inc.		46,272		3,012,770		(120,770	)
NiSource, Inc.		48,226		929,797		11,092
Nordstrom, Inc.		7,221		370,726		(11,048	)
Northrop Grumman Corp.		17,763		3,344,951		8,882
Nu Skin Enterprises, Inc.		33,541		1,272,965		(2,096	)
Nuance Communications, Inc.		26,210		532,907		(11,590	)
NVIDIA Corp.		30,010		980,427		8,703
NVR, Inc.		261		431,301		(2,478	)
Oil States International, Inc.		61,260		1,729,982		(60,647	)
Old Republic International Corp.		20,920		393,684		(3,944	)
Omnicom Group, Inc.		7,112		534,576		3,518
ON Semiconductor Corp.		155,192		1,558,595		(37,713	)
OneMain Holdings, Inc.		14,503		601,133		1,322
Oracle Corp.		49,073		1,813,059		(20,423	)
Orbital ATK, Inc.		6,546		576,540		8,279
O’Reilly Automotive, Inc.		2,011		518,061		(8,433	)
Owens Corning		94,653		4,437,333		14,198
Panera Bread Co.		2,089		405,855		1,040
Parker-Hannifin Corp.		1,511		143,832		2,705
PepsiCo, Inc.		82,215		8,237,943		(23,020	)
Pfizer, Inc.		110,193		3,562,540		(5,510	)
PG&E Corp.		40,561		2,184,210		(26,770	)

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

AQR Funds Annual Report December 2015

124

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Philip Morris International, Inc.		16,023	$	1,427,329	$	(18,747	)
Phillips 66		15,903		1,305,179		(4,314	)
Pinnacle Foods, Inc.		3,171		133,274		1,366
Pinnacle West Capital Corp.		11,392		733,678		878
Pitney Bowes, Inc.		62,626		1,241,247		51,980
Plantronics, Inc.		15,102		738,133		(21,997	)
PNC Financial Services Group, Inc./The		12,137		1,163,723		(6,946	)
Polycom, Inc.		122,372		1,607,931		(67,267	)
Priceline Group, Inc./The		1,224		1,607,744		(47,205	)
Principal Financial Group, Inc.		10,234		468,101		(7,776	)
ProAssurance Corp.		11,824		582,351		(8,533	)
Procter & Gamble Co./The		50,715		4,071,907		(44,629	)
Progressive Corp./The		8,886		286,833		(4,258	)
Prudential Financial, Inc.		17,017		1,392,841		(7,487	)
PTC, Inc.		8,531		289,542		5,886
Public Service Enterprise Group, Inc.		172,918		6,590,061		100,136
PVH Corp.		10,463		775,892		(5,292	)
QEP Resources, Inc.		52,119		609,271		89,123
QUALCOMM, Inc.		17,190		873,821		(14,579	)
Quanta Services, Inc.		44,766		897,776		8,735
Quest Diagnostics, Inc.		24,911		1,722,157		50,011
Quintiles Transnational Holdings, Inc.		57,482		4,015,693		(68,978	)
Rackspace Hosting, Inc.		87,409		2,185,333		27,862
Ralph Lauren Corp.		10,085		1,139,898		(15,622	)
Raytheon Co.		18,752		2,388,810		(53,624	)
Red Hat, Inc.		7,778		632,575		11,521
Regions Financial Corp.		50,242		489,444		(7,120	)
Reinsurance Group of America, Inc.		23,079		1,999,130		(24,722	)
Reliance Steel & Aluminum Co.		16,049		898,945		30,453
RenaissanceRe Holdings Ltd.		1,091		121,123		2,367
Republic Services, Inc.		13,021		571,118		1,675
ResMed, Inc.		7,457		406,753		(6,386	)
Reynolds American, Inc.		11,584		539,491		(4,890	)
Robert Half International, Inc.		70,396		3,262,950		55,518
Rockwell Automation, Inc.		28,025		2,803,061		72,585
Ross Stores, Inc.		12,200		657,092		(610	)
Rovi Corp.		52,162		574,825		294,194
Sally Beauty Holdings, Inc.		17,574		501,386		(11,247	)
Santander Consumer USA Holdings, Inc.		30,053		464,020		12,320
Seagate Technology PLC		16,218		550,115		44,437
SEI Investments Co.		11,336		596,407		(2,400	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Sensient Technologies Corp.		1,607	$	100,538	$	414
Service Corp. International		18,266		477,894		(2,612	)
Sherwin-Williams Co./The		1,931		509,343		(8,055	)
Skechers U.S.A., Inc.		33,546		1,014,096		(671	)
Skyworks Solutions, Inc.		9,249		720,756		(10,156	)
Snap-on, Inc.		1,660		282,947		1,627
Sonoco Products Co.		35,245		1,440,098		365
Southwest Airlines Co.		45,871		1,995,847		(20,642	)
Spirit AeroSystems Holdings, Inc.		78,835		3,819,573		127,695
SPX Corp.		64,102		590,406		7,665
St. Jude Medical, Inc.		27,607		1,695,665		9,620
Stanley Black & Decker, Inc.		6,516		700,732		(5,279	)
Staples, Inc.		97,695		931,371		(6,199	)
Starbucks Corp.		16,640		995,207		3,692
State Street Corp.		9,647		640,561		(386	)
Steel Dynamics, Inc.		25,238		429,298		21,705
Stryker Corp.		5,105		476,136		(1,678	)
SunTrust Banks, Inc.		15,276		665,507		(11,083	)
Superior Energy Services, Inc.		29,957		392,137		11,384
SUPERVALU, Inc.		301,271		2,030,567		12,051
Synchrony Financial		63,003		1,907,117		8,804
Synopsys, Inc.		22,292		1,008,045		8,693
Sysco Corp.		5,049		209,434		(2,425	)
T Rowe Price Group, Inc.		10,615		770,721		(11,855	)
Talen Energy Corp.		41,761		246,795		13,377
Target Corp.		53,261		3,852,368		14,913
Tech Data Corp.		37,369		2,497,087		(16,533	)
Teekay Corp.		18,402		183,021		(1,393	)
Teledyne Technologies, Inc.		2,980		265,493		(1,167	)
Telephone & Data Systems, Inc.		28,079		738,184		(11,219	)
Teradata Corp.		35,975		966,647		(16,187	)
Teradyne, Inc.		79,204		1,635,131		2,016
Tesoro Corp.		17,644		1,869,382		(10,234	)
Texas Instruments, Inc.		28,569		1,617,870		(52,003	)
Textron, Inc.		13,265		558,720		(1,458	)
Thermo Fisher Scientific, Inc.		4,626		639,128		17,070
Thomson Reuters Corp.		8,769		336,616		(4,709	)
Thor Industries, Inc.		20,544		1,158,752		(5,206	)
Time Warner, Inc.		6,207		402,121		(715	)
Timken Co./The		13,209		360,079		17,567
TJX Cos., Inc./The		16,529		1,167,774		4,298
TopBuild Corp.		3,107		91,201		4,402
Torchmark Corp.		2,363		136,465		(1,396	)
Total System Services, Inc.		41,592		2,160,171		(88,889	)
Tractor Supply Co.		1,553		133,356		(575	)

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

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125

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Travelers Cos., Inc./The		22,265	$	2,521,957	$	(9,129	)
Trinity Industries, Inc.		12,134		288,911		2,548
Triumph Group, Inc.		18,001		611,314		104,226
Tupperware Brands Corp.		6,001		334,007		(51	)
Tyson Foods, Inc.		25,380		1,352,626		889
Union Pacific Corp.		14,272		1,106,760		9,310
United Technologies Corp.		10,231		960,384		22,508
United Therapeutics Corp.		28,937		4,576,097		(44,274	)
UnitedHealth Group, Inc.		22,360		2,665,759		(35,329	)
Universal Health Services, Inc.		8,189		963,122		15,381
Unum Group		40,549		1,341,276		8,600
Urban Outfitters, Inc.		15,162		350,065		(5,130	)
US Bancorp.		23,606		1,029,822		(22,554	)
Valero Energy Corp.		44,401		3,182,664		(43,069	)
Validus Holdings Ltd.		34,248		1,589,143		(3,803	)
Varian Medical Systems, Inc.		12,193		956,734		28,461
VCA, Inc.		2,682		144,138		3,372
Vectren Corp.		12,348		516,270		7,532
VeriSign, Inc.		11,796		1,036,294		(5,796	)
Verizon Communications, Inc.		42,040		1,938,044		5,045
VF Corp.		24,370		1,522,150		(5,118	)
Viacom, Inc.		44,633		1,777,898		59,196
Vishay Intertechnology, Inc.		47,181		565,024		3,507
VMware, Inc.		12,294		701,742		(6,270	)
Voya Financial, Inc.		8,486		311,521		1,697
Waddell & Reed Financial, Inc.		29,624		869,971		(20,948	)
Wal-Mart Stores, Inc.		67,526		3,982,683		156,660
Walt Disney Co./The		4,982		533,893		(10,384	)
Waste Management, Inc.		30,629		1,635,897		(1,228	)
Waters Corp.		4,273		567,831		7,229
Watsco, Inc.		4,182		497,399		(7,562	)
WellCare Health Plans, Inc.		3,683		297,034		(8,987	)
Wells Fargo & Co.		26,014		1,441,439		(27,318	)
Werner Enterprises, Inc.		66,117		1,593,210		(46,733	)
WESCO International, Inc.		8,765		351,882		30,973
Western Digital Corp.		45,429		2,698,483		29,529
Western Refining, Inc.		35,384		1,341,761		(81,383	)
Western Union Co./The		71,125		1,290,689		(16,841	)
Westlake Chemical Corp.		23,412		1,271,376		364
WGL Holdings, Inc.		1,465		92,804		(523	)
Whirlpool Corp.		6,241		917,614		(999	)
World Fuel Services Corp.		32,755		1,282,937		(23,179	)
Worthington Industries, Inc.		11,708		355,283		(2,404	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Wyndham Worldwide Corp.		2,921		$	212,327		$	(116	)
Xerox Corp.		154,362			1,572,949			67,919
Xilinx, Inc.		35,173			1,663,699			(11,624	)
Yelp, Inc.		21,986			602,856			30,341
Yum! Brands, Inc.		25,983			1,878,830			19,229
Zoetis, Inc.		24,964			1,167,634			28,640
Zynga, Inc.		316,857			823,828			25,348
								1,220,785
Total of Long Equity Positions								1,305,416
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(18,785	)		(984,567	)		(1,082	)
Ireland
Alkermes PLC		(6,892	)		(535,439	)		(11,647	)
Allegion PLC		(14,515	)		(957,986	)		1,157
Endo International PLC		(42,891	)		(2,632,650	)		6,863
Perrigo Co PLC		(9,304	)		(1,360,563	)		14,274
								10,647
Netherlands
Chicago Bridge & Iron Co. NV		(32,008	)		(1,278,422	)		30,430
Core Laboratories NV		(30,672	)		(3,389,215	)		53,942
Frank’s International NV		(37,075	)		(590,644	)		(28,137	)
QIAGEN NV		(52,705	)		(1,420,873	)		(36,420	)
Sensata Technologies Holding NV		(110,592	)		(4,939,039	)		(154,829	)
								(135,014	)
Norway
Golar LNG Ltd.		(35,103	)		(495,303	)		(58,973	)
Panama
Copa Holdings SA		(4,643	)		(227,431	)		3,360
Singapore
Avago Technologies Ltd.		(6,190	)		(869,571	)		(28,907	)
Switzerland
Weatherford International PLC		(170,140	)		(1,464,906	)		37,431
United Kingdom
Aon PLC		(20,357	)		(1,899,071	)		21,952
Delphi Automotive PLC		(9,478	)		(791,034	)		(21,515	)
Ensco PLC		(26,949	)		(411,175	)		(3,570	)
Liberty Global PLC		(31,325	)		(1,254,485	)		(72,442	)
Pentair PLC		(44,392	)		(2,208,945	)		10,210
Willis Group Holdings PLC		(7,376	)		(340,255	)		(17,997	)
								(83,362	)

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

AQR Funds Annual Report December 2015

126

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
3D Systems Corp.		(111,445	)	$	(1,013,347	)	$	44,890
Acadia Healthcare Co., Inc.		(52,318	)		(3,224,948	)		(42,835	)
ACI Worldwide, Inc.		(6,823	)		(157,338	)		11,326
Acuity Brands, Inc.		(3,971	)		(937,625	)		9,205
Acxiom Corp.		(49,283	)		(1,077,819	)		46,819
ADT Corp./The		(56,964	)		(1,888,357	)		9,684
Advance Auto Parts, Inc.		(5,343	)		(817,853	)		13,678
AECOM		(68,339	)		(2,002,256	)		(49,964	)
Agios Pharmaceuticals, Inc.		(3,604	)		(200,274	)		(33,697	)
Air Lease Corp.		(28,796	)		(923,045	)		(41,045	)
Air Products & Chemicals, Inc.		(3,224	)		(427,629	)		8,154
Akorn, Inc.		(98,816	)		(3,467,453	)		(219,372	)
Albemarle Corp.		(50,357	)		(2,639,714	)		(180,782	)
Alcoa, Inc.		(101,734	)		(976,047	)		(28,068	)
Alere, Inc.		(17,013	)		(668,573	)		3,535
Alexion Pharmaceuticals, Inc.		(29,102	)		(5,406,861	)		(144,346	)
Align Technology, Inc.		(21,399	)		(1,386,013	)		(23,111	)
Allegheny Technologies, Inc.		(43,668	)		(462,073	)		(29,192	)
Alliance Data Systems Corp.		(12,764	)		(3,435,920	)		(94,219	)
Alliant Energy Corp.		(18,874	)		(1,198,843	)		20,161
Ally Financial, Inc.		(101,157	)		(1,871,832	)		(13,734	)
Alnylam Pharmaceuticals, Inc.		(13,270	)		(1,170,149	)		(79,089	)
AMC Networks, Inc.		(3,344	)		(260,377	)		10,647
American Airlines Group, Inc.		(39,367	)		(1,671,523	)		4,330
AMETEK, Inc.		(43,544	)		(2,331,781	)		(1,742	)
Amphenol Corp.		(41,381	)		(2,182,020	)		20,691
Anadarko Petroleum Corp.		(28,629	)		(1,337,833	)		(52,964	)
Apache Corp.		(45,787	)		(1,966,552	)		(69,596	)
Aqua America, Inc.		(50,771	)		(1,531,060	)		18,084
Arista Networks, Inc.		(41,830	)		(3,149,065	)		(106,983	)
ARRIS Group, Inc.		(125,776	)		(3,755,671	)		(89,301	)
Arthur J Gallagher & Co.		(6,633	)		(273,678	)		2,123
Artisan Partners Asset Management, Inc.		(12,672	)		(451,841	)		(5,111	)
Ascena Retail Group, Inc.		(88,764	)		(919,817	)		45,492
Ashland, Inc.		(5,782	)		(602,085	)		8,273
Associated Banc-Corp.		(4,988	)		(95,520	)		1,995
AT&T, Inc.		(34,277	)		(1,166,803	)		(12,668	)
athenahealth, Inc.		(3,637	)		(572,100	)		(13,348	)
Autodesk, Inc.		(13,555	)		(823,331	)		(2,575	)
AutoNation, Inc.		(2,348	)		(140,318	)		236
Avis Budget Group, Inc.		(123,460	)		(4,346,996	)		(133,367	)
B/E Aerospace, Inc.		(8,614	)		(360,151	)		(4,824	)
Ball Corp.		(33,585	)		(2,384,390	)		(58,247	)
Bank of Hawaii Corp.		(1,485	)		(94,128	)		722
Bank of the Ozarks, Inc.		(17,709	)		(904,894	)		29,006
BankUnited, Inc.		(5,436	)		(199,805	)		3,783

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Becton Dickinson and Co.		(9,328	)	$	(1,454,332	)	$	16,980
Belden, Inc.		(1,960	)		(95,368	)		1,915
Bio-Techne Corp.		(27,409	)		(2,456,399	)		(10,411	)
Black Hills Corp.		(20,312	)		(937,985	)		(5,101	)
Black Knight Financial Services, Inc.		(45,372	)		(1,505,903	)		5,905
Bluebird Bio, Inc.		(18,012	)		(1,116,744	)		(39,987	)
BorgWarner, Inc.		(93,832	)		(3,856,562	)		(199,795	)
Boston Scientific Corp.		(48,940	)		(910,284	)		7,831
Brookdale Senior Living, Inc.		(57,120	)		(1,040,726	)		(13,709	)
Brown & Brown, Inc.		(18,410	)		(590,828	)		(133	)
Brown-Forman Corp.		(22,669	)		(2,302,424	)		51,846
Buffalo Wild Wings, Inc.		(6,512	)		(1,038,459	)		(1,182	)
Cabela’s, Inc.		(51,354	)		(2,382,313	)		(17,460	)
Cable One, Inc.		(1,089	)		(484,371	)		12,116
Cabot Oil & Gas Corp.		(76,019	)		(1,237,620	)		(107,157	)
CalAtlantic Group, Inc.		(24,259	)		(931,105	)		11,204
Calpine Corp.		(6,603	)		(83,423	)		(12,122	)
CarMax, Inc.		(39,610	)		(2,253,360	)		115,608
Casey’s General Stores, Inc.		(2,130	)		(264,759	)		8,201
Catalent, Inc.		(26,929	)		(707,110	)		33,077
Caterpillar, Inc.		(8,166	)		(554,289	)		(672	)
Cathay General Bancorp		(2,975	)		(93,926	)		719
CBOE Holdings, Inc.		(19,086	)		(1,250,413	)		11,732
CBS Corp.		(9,906	)		(461,334	)		(5,536	)
CDK Global, Inc.		(21,851	)		(1,049,941	)		12,674
Celanese Corp.		(4,475	)		(296,102	)		(5,199	)
CenterPoint Energy, Inc.		(5,233	)		(93,497	)		(2,581	)
CenturyLink, Inc.		(13,023	)		(330,784	)		3,126
Cerner Corp.		(17,928	)		(1,082,493	)		3,765
CF Industries Holdings, Inc.		(20,630	)		(878,021	)		36,111
Charles Schwab Corp./The		(111,565	)		(3,705,074	)		31,238
Cheniere Energy, Inc.		(64,436	)		(2,401,010	)		769
Chevron Corp.		(16,371	)		(1,485,496	)		12,761
Chipotle Mexican Grill, Inc.		(2,689	)		(1,492,099	)		201,783
Ciena Corp.		(82,091	)		(1,677,005	)		(21,458	)
Cimarex Energy Co.		(23,115	)		(2,211,939	)		145,920
Cinemark Holdings, Inc.		(2,911	)		(96,814	)		(501	)
Clean Harbors, Inc.		(17,350	)		(708,574	)		(14,054	)
CME Group, Inc.		(15,298	)		(1,431,720	)		45,721
CMS Energy Corp.		(55,880	)		(2,033,394	)		17,243
Cobalt International Energy, Inc.		(104,879	)		(583,127	)		16,781
Cognex Corp.		(14,861	)		(511,647	)		9,791
Colfax Corp.		(35,743	)		(829,338	)		(5,262	)
Columbia Pipeline Group, Inc.		(43,324	)		(852,183	)		(14,297	)
CommScope Holding Co., Inc.		(108,630	)		(2,822,956	)		10,525

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

AQR Funds Annual Report December 2015

127

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Compass Minerals International, Inc.		(10,446	)	$	(788,544	)	$	2,273
ConAgra Foods, Inc.		(6,068	)		(246,543	)		(9,284	)
Concho Resources, Inc.		(18,105	)		(1,725,018	)		43,788
ConocoPhillips		(25,683	)		(1,214,292	)		15,153
CONSOL Energy, Inc.		(99,660	)		(687,654	)		(99,660	)
Constellation Brands, Inc.		(15,500	)		(2,168,295	)		(39,525	)
Cooper Cos., Inc./The		(10,245	)		(1,397,612	)		22,733
Copart, Inc.		(29,398	)		(1,139,246	)		21,828
CoStar Group, Inc.		(7,426	)		(1,528,419	)		(6,461	)
Costco Wholesale Corp.		(9,222	)		(1,481,791	)		(7,562	)
Covanta Holding Corp.		(144,874	)		(2,281,614	)		37,516
CST Brands, Inc.		(25,196	)		(974,329	)		(11,842	)
Cullen/Frost Bankers, Inc.		(5,855	)		(362,366	)		11,066
Cypress Semiconductor Corp.		(167,941	)		(1,612,234	)		(35,268	)
DaVita HealthCare Partners, Inc.		(22,232	)		(1,514,444	)		(35,349	)
Deckers Outdoor Corp.		(4,593	)		(225,365	)		8,576
Deere & Co.		(18,779	)		(1,451,060	)		18,786
Denbury Resources, Inc.		(45,427	)		(95,665	)		3,903
Devon Energy Corp.		(10,964	)		(317,737	)		(33,111	)
DeVry Education Group, Inc.		(37,218	)		(945,475	)		3,488
DexCom, Inc.		(18,015	)		(1,472,366	)		(3,063	)
Diamond Offshore Drilling, Inc.		(4,489	)		(95,178	)		460
Diebold, Inc.		(44,135	)		(1,347,944	)		19,922
Discovery Communications, Inc.		(63,331	)		(1,677,005	)		(12,666	)
DISH Network Corp.		(5,247	)		(304,997	)		4,973
Dolby Laboratories, Inc.		(19,940	)		(680,222	)		9,241
Dollar General Corp.		(7,634	)		(553,789	)		5,133
Dollar Tree, Inc.		(97,322	)		(7,452,919	)		(62,286	)
Dominion Resources, Inc.		(138,622	)		(9,362,530	)		(13,862	)
Donaldson Co., Inc.		(33,015	)		(936,841	)		(9,369	)
DreamWorks Animation SKG, Inc.		(10,892	)		(287,305	)		6,618
DSW, Inc.		(10,053	)		(245,716	)		5,852
Duke Energy Corp.		(13,074	)		(921,717	)		(11,636	)
Dunkin’ Brands Group, Inc.		(22,220	)		(949,436	)		3,086
E*TRADE Financial Corp.		(40,002	)		(1,196,867	)		11,208
Eagle Materials, Inc.		(23,922	)		(1,437,314	)		(8,293	)
Eastman Chemical Co.		(6,756	)		(462,443	)		6,345
Eaton Vance Corp.		(2,899	)		(93,266	)		(749	)
EchoStar Corp.		(6,673	)		(248,974	)		(12,007	)
Ecolab, Inc.		(12,061	)		(1,390,633	)		11,096
Energen Corp.		(21,148	)		(895,408	)		28,552
Envision Healthcare Holdings Inc		(72,664	)		(1,730,130	)		(156,954	)
EOG Resources, Inc.		(24,422	)		(1,774,456	)		45,623
EQT Corp.		(14,756	)		(743,651	)		(25,579	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Eversource Energy		(30,893	)	$	(1,600,384	)	$	22,678
Exxon Mobil Corp.		(23,937	)		(1,866,129	)		239
FEI Co.		(11,038	)		(892,120	)		11,398
FireEye, Inc.		(42,350	)		(894,101	)		15,762
First Horizon National Corp.		(31,970	)		(472,803	)		8,599
First Republic Bank		(12,472	)		(830,489	)		6,589
FirstEnergy Corp.		(4,701	)		(148,223	)		(940	)
FleetCor Technologies, Inc.		(13,434	)		(1,918,241	)		(1,881	)
Flowserve Corp.		(6,250	)		(267,204	)		4,204
FMC Corp.		(56,832	)		(2,147,730	)		(76,107	)
FMC Technologies, Inc.		(5,496	)		(159,872	)		433
FNF Group		(20,163	)		(701,759	)		2,708
Forest City Enterprises, Inc.		(68,310	)		(1,456,394	)		(41,645	)
Fortinet, Inc.		(15,634	)		(494,624	)		7,312
Fortune Brands Home & Security, Inc.		(27,832	)		(1,552,644	)		7,968
Freeport-McMoRan, Inc.		(44,688	)		(273,491	)		(29,047	)
Frontier Communications Corp.		(307,189	)		(1,471,435	)		36,863
GATX Corp.		(4,906	)		(204,559	)		(4,191	)
General Electric Co.		(108,134	)		(3,303,494	)		(64,880	)
Genesee & Wyoming, Inc.		(30,618	)		(1,607,473	)		(36,407	)
Gentex Corp.		(75,756	)		(1,210,375	)		(2,479	)
Genworth Financial, Inc.		(64,080	)		(239,944	)		926
Graco, Inc.		(5,023	)		(368,720	)		6,713
Granite Construction, Inc.		(14,726	)		(639,744	)		7,851
Graphic Packaging Holding Co.		(76,795	)		(972,993	)		(12,287	)
Greif, Inc.		(30,987	)		(961,471	)		6,761
Hain Celestial Group, Inc./The		(18,659	)		(766,708	)		13,071
Halliburton Co.		(95,258	)		(3,255,918	)		13,336
Halyard Health, Inc.		(4,351	)		(146,469	)		1,102
Hanesbrands, Inc.		(41,312	)		(1,212,507	)		(3,305	)
Harley-Davidson, Inc.		(63,857	)		(2,900,385	)		1,916
Harman International Industries, Inc.		(13,861	)		(1,273,415	)		(32,430	)
Harris Corp.		(26,565	)		(2,208,083	)		(100,416	)
Hasbro, Inc.		(2,542	)		(168,763	)		(2,466	)
Helmerich & Payne, Inc.		(35,920	)		(1,883,848	)		(39,668	)
Henry Schein, Inc.		(1,848	)		(291,877	)		(458	)
Hershey Co./The		(1,200	)		(107,796	)		672
Hertz Global Holdings, Inc.		(195,904	)		(2,822,977	)		35,263
Hess Corp.		(5,297	)		(260,612	)		3,814
Hexcel Corp.		(58,190	)		(2,676,158	)		(26,767	)
Hill-Rom Holdings, Inc.		(11,365	)		(560,677	)		14,476
Hilton Worldwide Holdings, Inc.		(18,216	)		(402,527	)		12,705

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

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Howard Hughes Corp./The		(14,425	)	$	(1,632,601	)	$	268
Huntington Bancshares, Inc.		(8,641	)		(96,088	)		518
IDEXX Laboratories, Inc.		(47,856	)		(3,341,784	)		(147,875	)
Illumina, Inc.		(37,760	)		(6,844,000	)		(403,843	)
Incyte Corp.		(12,534	)		(1,439,029	)		79,716
Ingersoll-Rand PLC		(3,654	)		(204,691	)		2,662
Intercontinental Exchange, Inc.		(500	)		(124,185	)		(3,945	)
International Flavors & Fragrances, Inc.		(5,694	)		(685,214	)		3,984
Intersil Corp.		(21,029	)		(274,639	)		6,309
Intuitive Surgical, Inc.		(858	)		(462,522	)		(6,083	)
Ionis Pharmaceuticals, Inc.		(19,132	)		(1,113,482	)		(71,362	)
IPG Photonics Corp.		(3,964	)		(357,236	)		3,805
ITC Holdings Corp.		(86,123	)		(3,289,816	)		(90,512	)
JB Hunt Transport Services, Inc.		(10,540	)		(764,994	)		(8,220	)
JC Penney Co., Inc.		(24,392	)		(167,163	)		4,713
JM Smucker Co./The		(6,940	)		(858,062	)		2,082
Johnson Controls, Inc.		(7,920	)		(308,009	)		(4,752	)
Kansas City Southern		(68,117	)		(4,898,975	)		(187,322	)
KAR Auction Services, Inc.		(18,752	)		(699,933	)		5,547
Kate Spade & Co.		(51,710	)		(932,331	)		13,445
KBR, Inc.		(38,802	)		(659,647	)		3,117
Kinder Morgan, Inc.		(170,874	)		(2,626,333	)		76,893
Kirby Corp.		(4,725	)		(241,731	)		(6,899	)
KLX, Inc.		(39,524	)		(1,244,611	)		27,667
Knowles Corp.		(45,896	)		(630,528	)		18,735
Kosmos Energy Ltd.		(219,290	)		(1,128,203	)		(12,105	)
Laboratory Corp. of America Holdings		(19,806	)		(2,409,994	)		(38,820	)
Las Vegas Sands Corp.		(22,094	)		(923,971	)		(44,630	)
Lennar Corp.		(37,555	)		(1,837,531	)		716
Leucadia National Corp.		(94,475	)		(1,545,611	)		(97,309	)
Level 3 Communications, Inc.		(125,835	)		(6,557,262	)		(283,129	)
Liberty Broadband Corp.		(25,051	)		(1,287,740	)		(11,405	)
LinkedIn Corp.		(4,560	)		(1,054,044	)		27,679
Lions Gate Entertainment Corp.		(47,803	)		(1,567,451	)		19,111
Live Nation Entertainment, Inc.		(51,897	)		(1,295,868	)		20,759
Loews Corp.		(91,692	)		(3,388,936	)		(132,036	)
Louisiana-Pacific Corp.		(192,574	)		(3,272,959	)		(195,299	)
M&T Bank Corp.		(14,331	)		(1,787,649	)		51,018
Macquarie Infrastructure Corp.		(24,878	)		(1,637,968	)		(168,175	)
Manitowoc Co., Inc./The		(79,198	)		(1,188,334	)		(27,355	)
Marathon Oil Corp.		(30,163	)		(385,483	)		5,731
Markel Corp.		(282	)		(248,482	)		(623	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Marriott International, Inc.		(3,148	)	$	(207,862	)	$	(3,179	)
Marsh & McLennan Cos., Inc.		(15,775	)		(882,272	)		7,548
Martin Marietta Materials, Inc.		(22,810	)		(3,255,899	)		140,510
MasterCard, Inc.		(13,784	)		(1,369,165	)		27,154
Mattel, Inc.		(123,351	)		(3,311,974	)		(39,472	)
MAXIMUS, Inc.		(19,941	)		(1,139,141	)		17,460
McCormick & Co., Inc.		(1,090	)		(92,626	)		(634	)
MDC Holdings, Inc.		(11,688	)		(292,591	)		(5,804	)
MDU Resources Group, Inc.		(191,926	)		(3,274,975	)		(241,109	)
MEDNAX, Inc.		(10,404	)		(757,827	)		12,277
Memorial Resource Development Corp.		(106,290	)		(1,499,758	)		(216,826	)
MGM Resorts International		(90,700	)		(1,945,515	)		(115,189	)
Microchip Technology, Inc.		(6,843	)		(329,111	)		10,638
Middleby Corp./The		(22,010	)		(2,409,321	)		35,102
Mohawk Industries, Inc.		(2,700	)		(519,317	)		7,964
Molson Coors Brewing Co.		(25,003	)		(2,360,221	)		11,940
Monsanto Co.		(8,949	)		(862,463	)		(19,192	)
Monster Beverage Corp.		(31,494	)		(4,733,233	)		41,887
MSC Industrial Direct Co., Inc.		(10,398	)		(571,994	)		(13,101	)
Murphy Oil Corp.		(4,242	)		(95,346	)		113
Mylan NV		(38,555	)		(2,042,258	)		(42,411	)
Nabors Industries Ltd.		(22,209	)		(188,015	)		(984	)
National Fuel Gas Co.		(41,844	)		(1,690,520	)		(98,311	)
National Oilwell Varco, Inc.		(45,705	)		(1,549,662	)		19,002
Netflix, Inc.		(8,456	)		(1,035,945	)		68,747
NetScout Systems, Inc.		(54,732	)		(1,665,325	)		(14,948	)
NetSuite, Inc.		(37,543	)		(3,117,463	)		(59,425	)
Newell Rubbermaid, Inc.		(35,047	)		(1,566,818	)		21,947
Newfield Exploration Co.		(31,714	)		(1,030,990	)		(1,617	)
NextEra Energy, Inc.		(913	)		(94,539	)		(312	)
Nielsen Holdings PLC		(64,129	)		(2,972,771	)		(15,640	)
Noble Energy, Inc.		(45,302	)		(1,436,935	)		(54,860	)
Nordson Corp.		(15,535	)		(999,375	)		2,805
Northern Trust Corp.		(8,924	)		(642,260	)		(1,071	)
NorthStar Asset Management Group, Inc.		(123,217	)		(1,436,459	)		(59,396	)
Norwegian Cruise Line Holdings Ltd.		(12,352	)		(705,701	)		(18,126	)
NOW, Inc.		(47,570	)		(753,533	)		975
NRG Energy, Inc.		(133,038	)		(1,266,524	)		(299,334	)
Nucor Corp.		(4,900	)		(188,503	)		(8,967	)
Occidental Petroleum Corp.		(29,193	)		(1,938,999	)		(34,740	)
Oceaneering International, Inc.		(7,900	)		(299,728	)		3,320
OGE Energy Corp.		(33,213	)		(862,191	)		(10,978	)

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

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Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Old Dominion Freight Line, Inc.		(9,741	)	$	(578,119	)	$	2,718
Olin Corp.		(5,110	)		(91,113	)		2,915
ONE Gas, Inc.		(11,670	)		(585,206	)		(277	)
ONEOK, Inc.		(69,780	)		(1,390,636	)		(330,139	)
Oshkosh Corp.		(14,221	)		(554,329	)		(858	)
Owens-Illinois, Inc.		(115,740	)		(1,975,061	)		(41,129	)
Packaging Corp. of America		(6,693	)		(429,383	)		7,389
PacWest Bancorp		(20,700	)		(913,328	)		21,158
Palo Alto Networks, Inc.		(11,802	)		(2,201,899	)		123,095
Pandora Media, Inc.		(63,370	)		(900,860	)		51,069
PAREXEL International Corp.		(17,922	)		(1,159,195	)		(61,652	)
Patterson-UTI Energy, Inc.		(110,365	)		(1,642,699	)		(21,606	)
PayPal Holdings, Inc.		(28,749	)		(1,025,290	)		(15,424	)
PBF Energy, Inc.		(13,473	)		(497,019	)		1,078
Penske Automotive Group, Inc.		(4,453	)		(192,402	)		3,862
People’s United Financial, Inc.		(17,343	)		(281,999	)		1,909
PerkinElmer, Inc.		(29,351	)		(1,524,491	)		(47,842	)
Platform Specialty Products Corp.		(161,432	)		(2,000,142	)		(71,030	)
Polaris Industries, Inc.		(8,235	)		(700,057	)		(7,741	)
PolyOne Corp.		(12,925	)		(419,553	)		9,055
Post Holdings, Inc.		(26,883	)		(1,667,284	)		8,603
PPL Corp.		(6,247	)		(212,030	)		(1,181	)
Praxair, Inc.		(11,037	)		(1,135,928	)		5,739
Premier, Inc.		(31,021	)		(1,072,720	)		(21,391	)
Prosperity Bancshares, Inc.		(1,947	)		(94,570	)		1,387
Qorvo, Inc.		(10,327	)		(544,749	)		19,105
Questar Corp.		(123,543	)		(2,384,988	)		(21,630	)
Range Resources Corp.		(73,005	)		(1,556,852	)		(239,801	)
Regal Beloit Corp.		(7,260	)		(416,783	)		(8,073	)
Regeneron Pharmaceuticals, Inc.		(5,575	)		(3,074,557	)		48,057
Rent-A-Center, Inc.		(6,256	)		(95,607	)		1,955
Rice Energy, Inc.		(92,793	)		(825,588	)		(185,856	)
Rockwell Collins, Inc.		(2,574	)		(230,991	)		(6,589	)
Rollins, Inc.		(25,346	)		(672,997	)		16,536
Roper Technologies, Inc.		(9,177	)		(1,694,074	)		(47,629	)
Rowan Cos. PLC		(11,639	)		(219,861	)		22,580
Royal Caribbean Cruises Ltd.		(6,080	)		(572,455	)		(42,902	)
RPC, Inc.		(57,913	)		(704,784	)		12,723
RPM International, Inc.		(8,066	)		(352,246	)		(3,142	)
Ryder System, Inc.		(15,809	)		(899,704	)		1,279
Sabre Corp.		(30,305	)		(869,456	)		21,825
salesforce.com, Inc.		(10,802	)		(847,201	)		324
SanDisk Corp.		(28,830	)		(2,157,349	)		(33,443	)
SBA Communications Corp.		(43,718	)		(4,415,955	)		(177,495	)
Schlumberger Ltd.		(19,759	)		(1,367,323	)		(10,867	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Scripps Networks Interactive, Inc.		(3,700	)	$	(200,836	)	$	(3,441	)
Seattle Genetics, Inc.		(25,078	)		(1,038,982	)		(86,519	)
Sempra Energy		(33,297	)		(3,194,847	)		64,596
ServiceMaster Global Holdings, Inc.		(28,548	)		(1,105,993	)		(14,231	)
ServiceNow, Inc.		(22,258	)		(1,942,456	)		15,803
Signature Bank/New York NY		(5,495	)		(850,076	)		7,308
Signet Jewelers Ltd.		(5,257	)		(618,272	)		(31,966	)
Silgan Holdings, Inc.		(13,308	)		(715,106	)		200
Silicon Laboratories, Inc.		(6,914	)		(351,784	)		16,179
Sirius XM Holdings, Inc.		(462,860	)		(1,860,697	)		(23,143	)
Six Flags Entertainment Corp.		(5,628	)		(299,747	)		(9,455	)
SLM Corp.		(60,619	)		(392,811	)		(2,425	)
SM Energy Co.		(27,886	)		(526,914	)		(21,324	)
Sotheby’s		(61,616	)		(1,631,592	)		44,364
Southern Co./The		(27,723	)		(1,289,397	)		(7,762	)
Southwestern Energy Co.		(170,545	)		(930,977	)		(281,598	)
Spectra Energy Corp.		(89,969	)		(2,063,889	)		(89,969	)
Spectrum Brands Holdings, Inc.		(40,825	)		(4,045,420	)		(110,565	)
Spirit Airlines, Inc.		(24,739	)		(1,000,198	)		14,349
Splunk, Inc.		(40,224	)		(2,184,615	)		(180,958	)
Sprint Corp.		(145,470	)		(523,692	)		(2,909	)
Sprouts Farmers Market, Inc.		(177,886	)		(4,569,891	)		(160,097	)
SS&C Technologies Holdings, Inc.		(16,295	)		(1,116,160	)		3,701
Stericycle, Inc.		(23,783	)		(2,822,091	)		(46,139	)
STERIS PLC		(23,624	)		(1,795,939	)		16,107
SunPower Corp.		(48,964	)		(1,466,936	)		(2,474	)
SVB Financial Group		(3,665	)		(449,072	)		13,304
Synaptics, Inc.		(1,469	)		(118,447	)		428
Synovus Financial Corp.		(12,297	)		(396,947	)		(1,230	)
Tableau Software, Inc.		(4,732	)		(435,133	)		(10,716	)
Targa Resources Corp.		(41,934	)		(1,103,007	)		(31,727	)
Teleflex, Inc.		(1,721	)		(231,095	)		4,869
Tempur Sealy International, Inc.		(26,143	)		(1,931,445	)		89,409
Tenet Healthcare Corp.		(95,232	)		(2,631,260	)		(254,269	)
TerraForm Power, Inc.		(67,673	)		(838,139	)		(13,187	)
Tesla Motors, Inc.		(28,626	)		(6,681,022	)		(189,504	)
Tiffany & Co.		(9,538	)		(706,211	)		(21,443	)
Time, Inc.		(12,432	)		(193,183	)		(1,626	)
T-Mobile US, Inc.		(54,802	)		(2,148,238	)		4,384
Toll Brothers, Inc.		(23,083	)		(781,143	)		12,479
TransDigm Group, Inc.		(16,932	)		(3,719,622	)		(148,494	)
TreeHouse Foods, Inc.		(13,759	)		(1,108,838	)		29,307
TRI Pointe Group, Inc.		(108,002	)		(1,380,036	)		11,650
Trimble Navigation Ltd.		(42,553	)		(933,187	)		20,425
TripAdvisor, Inc.		(22,206	)		(1,895,948	)		2,887
Twenty-First Century Fox, Inc.		(18,029	)		(496,865	)		7,198

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

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Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Twitter, Inc.		(143,008	)	$	(3,333,516	)	$	24,311
Tyco International PLC		(18,066	)		(565,104	)		(11,020	)
UGI Corp.		(14,170	)		(465,386	)		(12,993	)
Ultimate Software Group, Inc./The		(5,882	)		(1,166,283	)		16,293
Umpqua Holdings Corp.		(37,347	)		(606,142	)		12,325
Under Armour, Inc.		(47,298	)		(3,843,908	)		31,217
United Continental Holdings, Inc.		(3,900	)		(223,548	)		78
United Natural Foods, Inc.		(10,371	)		(417,704	)		9,502
United Parcel Service, Inc.		(5,444	)		(544,400	)		20,524
United Rentals, Inc.		(10,211	)		(683,116	)		(57,590	)
USG Corp.		(141,511	)		(3,458,529	)		21,227
Valley National Bancorp		(38,144	)		(385,146	)		9,427
Valspar Corp./The		(9,468	)		(784,340	)		(1,031	)
Vantiv, Inc.		(10,458	)		(507,631	)		11,713
Veeva Systems, Inc.		(50,674	)		(1,423,064	)		(38,881	)
VeriFone Systems, Inc.		(15,496	)		(419,937	)		(14,261	)
Verisk Analytics, Inc.		(80,252	)		(6,172,181	)		2,408
Vertex Pharmaceuticals, Inc.		(8,791	)		(1,036,811	)		(69,361	)
Viavi Solutions, Inc.		(38,220	)		(226,645	)		(6,115	)
Visa, Inc.		(45,394	)		(3,572,054	)		51,749
Vista Outdoor, Inc.		(29,239	)		(1,273,667	)		(27,760	)
Visteon Corp.		(15,358	)		(1,768,474	)		9,983
Vulcan Materials Co.		(9,215	)		(872,660	)		(2,488	)
VWR Corp.		(3,432	)		(91,722	)		(5,438	)
WABCO Holdings, Inc.		(2,354	)		(234,956	)		(5,764	)
Wabtec Corp.		(7,065	)		(501,014	)		(1,448	)
Walgreens Boots Alliance, Inc.		(18,348	)		(1,529,122	)		(33,302	)
Waste Connections, Inc.		(2,973	)		(164,199	)		(3,241	)
WEC Energy Group, Inc.		(132,715	)		(6,812,613	)		3,006

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Westar Energy, Inc.		(4,472	)	$	(188,004	)	$	(1,654	)
WestRock Co.		(79,982	)		(3,624,804	)		(23,975	)
WEX, Inc.		(3,394	)		(294,718	)		(5,311	)
WhiteWave Foods Co./The		(74,449	)		(2,863,827	)		(32,984	)
Whiting Petroleum Corp.		(57,133	)		(524,301	)		(15,035	)
Whole Foods Market, Inc.		(22,769	)		(769,935	)		7,173
Williams-Sonoma, Inc.		(5,752	)		(342,605	)		6,631
WisdomTree Investments, Inc.		(216,029	)		(3,506,151	)		118,816
Workday, Inc.		(30,093	)		(2,423,066	)		25,256
WR Grace & Co.		(11,804	)		(1,150,876	)		(24,685	)
Wynn Resorts Ltd.		(29,967	)		(1,942,778	)		(130,638	)
Zebra Technologies Corp.		(29,010	)		(1,927,715	)		(92,832	)
Zions Bancorporation		(22,555	)		(626,580	)		10,829
								(6,468,303	)
Total of Short Equity Positions								(6,724,203	)
Total of Long and Short Equity Positions								(5,418,787	)
Net Cash and Other Receivables/ (Payables) (b)								69,634
Swaps, at Value							$	(5,349,153	)

(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.

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

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131

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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.	1-61 months maturity ranging from 01/14/2016 - 12/21/2020		$(105,899	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		2,083	$	242,314	$	82
Atos SE		4,516		384,903		(5,774	)
AXA SA		29,452		803,828		906
Cap Gemini SA		23,667		2,222,647		(26,690	)
Christian Dior SE		1,322		232,223		(7,665	)
Cie Generale des Etablissements Michelin		6,093		584,471		(4,524	)
CNP Assurances		25,848		344,566		4,107
Dassault Systemes		3,585		290,688		(4,136	)
Eiffage SA		17,790		1,131,456		18,279
Eutelsat Communications SA		24,061		739,352		(18,954	)
Faurecia		19,696		794,835		(5,621	)
Hermes International		1,224		424,476		(10,734	)
Imerys SA		2,424		166,700		2,620
Ingenico Group		5,228		673,166		(13,282	)
Ipsen SA		8,565		560,735		6,762
Lagardere SCA		13,330		392,824		4,962
Numericable-SFR SAS		17,488		679,246		(43,942	)
Peugeot SA		325,711		5,713,241		(3,879	)
Safran SA		18,127		1,271,987		(26,612	)
Sanofi		26,135		2,256,601		(29,330	)
SCOR SE		41,301		1,560,275		(14,885	)
SEB SA		13,775		1,429,118		(14,961	)
Societe BIC SA		5,307		887,107		(13,814	)
Societe Generale SA		30,921		1,451,436		(26,530	)
Societe Television Francaise 1		55,968		615,463		5,995
Sodexo SA		13,327		1,322,489		(20,481	)
Teleperformance		10,934		926,431		(7,018	)
Thales SA		32,080		2,473,591		(72,412	)
TOTAL SA		14,760		673,072		(11,361	)
Valeo SA		6,400		978,257		8,461
Veolia Environnement SA		45,538		1,091,279		(10,855	)
Vinci SA		15,101		974,157		(6,262	)
Vivendi SA		97,438		2,056,577		36,104
						(311,444	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
SES SA		7,692		$	209,368		$	3,775
Total of Long Equity Positions								(307,669	)
Short Positions
Common Stocks
France
Airbus Group SE		(16,311	)		(1,149,600	)		50,444
Arkema SA		(3,389	)		(240,599	)		3,373
BNP Paribas SA		(4,515	)		(261,466	)		6,019
Bollore SA		(348,108	)		(1,608,777	)		(13,279	)
Bureau Veritas SA		(24,082	)		(485,181	)		5,193
Carrefour SA		(16,004	)		(473,520	)		11,651
Casino Guichard Perrachon SA		(29,926	)		(1,409,569	)		34,748
Cie de Saint-Gobain		(16,257	)		(704,682	)		180
Credit Agricole SA		(29,984	)		(352,282	)		(1,054	)
Danone SA		(18,253	)		(1,251,955	)		18,536
Edenred		(119,062	)		(2,234,409	)		(16,227	)
Electricite de France SA		(139,583	)		(2,011,413	)		(44,294	)
Engie		(181,390	)		(3,208,932	)		(4,069	)
Essilor International SA		(6,968	)		(881,397	)		12,934
Iliad SA		(1,479	)		(353,038	)		477
Kering		(6,693	)		(1,157,345	)		13,010
L’Oreal SA		(2,052	)		(358,724	)		13,568
LVMH Moet Hennessy Louis Vuitton SE		(6,078	)		(983,463	)		28,790
Natixis SA		(105,927	)		(603,452	)		4,214
Orange SA		(30,414	)		(513,787	)		5,090
Orpea		(2,775	)		(221,559	)		(625	)
Pernod Ricard SA		(21,721	)		(2,500,796	)		23,636
Plastic Omnium SA		(35,648	)		(1,109,073	)		(24,062	)
Remy Cointreau SA		(11,142	)		(783,310	)		(14,740	)
Renault SA		(6,831	)		(678,608	)		(5,145	)
Rexel SA		(41,670	)		(556,633	)		1,764
Schneider Electric SE		(20,858	)		(1,214,269	)		29,453
Suez Environnement Co.		(38,931	)		(737,437	)		9,297
Technip SA		(46,237	)		(2,313,870	)		14,491

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

AQR Funds Annual Report December 2015

132

Schedule of Investments December 31, 2015

AQR LONG-SHORT EQUITY FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Vallourec SA		(84,216	)	$	(736,895	)	$	(47,136	)
Zodiac Aerospace		(163,600	)		(3,973,076	)		77,707
							193,944
Total of Short Equity Positions								193,944
Total of Long and Short Equity Positions								(113,725	)
Net Cash and Other Receivables/ (Payables) (b)								7,826
Swaps, at Value							$	(105,899	)

(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 pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Barclays Capital
Cash		$—			$10,139,209		$10,139,209
CitiBank
Money Market Funds		990,003			—		990,003
Credit Suisse International
Cash		(290,000	)		—		(290,000	)
Deutsche Bank
Money Market Funds		28,300,066			—		28,300,066
Goldman Sachs
Money Market Funds		101,120,000			—		101,120,000

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

AQR Funds Annual Report December 2015

133

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

MONEY MARKET FUNDS - 14.7%	SHARES		VALUE (Note 5)
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% ^(a)		25,273,449	$	25,273,449
Dreyfus Treasury Cash Management, Class I, 0.090% ^(a)		101,093,796		101,093,796
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(a)(b)		1,100,838,261		1,100,838,261
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(a)(b)		58,922,447		58,922,447
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% ^(a)		126,367,245		126,367,245
TOTAL MONEY MARKET FUNDS (cost $1,412,495,198)				1,412,495,198
SHORT-TERM INVESTMENTS - 83.5%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.083%, 01/07/2016 ^(c)	$	489,685		489,683,041
U.S. Treasury Bill, 0.141%, 01/28/2016 ^(c)(d)		987,354		987,268,100
U.S. Treasury Bill, 0.161%, 02/04/2016 ^(c)		685,787		685,727,336
U.S. Treasury Bill, 0.241%, 02/11/2016 ^(c)		131,007		130,988,790
U.S. Treasury Bill, 0.264%, 03/03/2016 ^(c)		577,896		577,794,290
U.S. Treasury Bill, 0.266%, 03/10/2016 (c)		500,000		499,891,500
U.S. Treasury Bill, 0.259%, 03/17/2016 ^(c)		969,276		969,079,237
U.S. Treasury Bill, 0.113%, 03/24/2016 ^(c)		35,081		35,067,178
U.S. Treasury Bill, 0.099%, 03/31/2016 ^(c)		561,732		561,494,949
U.S. Treasury Bill, 0.066%, 04/07/2016 ^(c)(d)		334,630		334,498,825
U.S. Treasury Bill, 0.145%, 04/28/2016 ^(c)		10,573		10,564,140
U.S. Treasury Bill, 0.345%, 05/26/2016 ^(c)		166,146		165,889,471
U.S. Treasury Bill, 0.414%, 06/02/2016 ^(c)(d)		911,563		909,918,540
U.S. Treasury Bill, 0.536%, 06/09/2016 ^(c)		751,051		749,578,189
U.S. Treasury Bill, 0.583%, 06/16/2016 ^(c)		678,847		677,415,312

SHORT-TERM INVESTMENTS - 83.5% (continued)	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Bill, 0.516%, 06/23/2016 ^(c)	$	236,930	$	236,403,305
TOTAL SHORT-TERM INVESTMENTS (cost $8,020,010,749)				8,021,262,203
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 98.2% (cost $9,432,505,947)				9,433,757,401
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.8% (e)			172,510,673
NET ASSETS - 100.0%			$	9,606,268,074

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) All or 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) All or a portion of the security is pledged as collateral to the brokers for futures 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 (See 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 Annual Report December 2015

134

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Bovespa Index February Futures	02/2016	BRL		(306,710,519	)		$3,509,795
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		17,550,335			(338,175	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		(1,191,005,183	)		3,156,209
Morgan Stanley and Co., International PLC	KOSPI Index 200 March Futures	03/2016	KRW		191,151,609,850			1,527,270
Macquarie Capital	Live Cattle February Futures^	02/2016	USD		(95,951,699	)		(1,997,101	)
Merrill Lynch	Live Cattle February Futures^	02/2016	USD		(15,178,770	)		(306,990	)
Societe Generale	Live Cattle February Futures^	02/2016	USD		(34,147,966	)		(708,674	)
Bank of America	MSCI Taiwan Stock Index January Futures	01/2016	USD		(132,146,900	)		1,194,020
Morgan Stanley and Co., International PLC	SGX FTSE China A50 Index January Futures	01/2016	USD		36,777,097			(666,067	)
Bank of America	SGX S&P CNX Nifty Index January Futures	01/2016	USD		(9,781,329	)		(26,503	)
CitiBank	Soybean March Futures^	02/2016	USD		(105,567,925	)		1,942,878
CitiBank	Soybean March Futures^	02/2016	USD		33,953,294			(1,326,851	)
Macquarie Capital	Soybean March Futures^	02/2016	USD		(19,013,027	)		431,652
CitiBank	Soybean Meal March Futures^	02/2016	USD		(77,872,025	)		3,346,175
Deutsche Bank	Soybean Meal March Futures^	02/2016	USD		(40,901,252	)		2,058,602
Societe Generale	Soybean Meal March Futures^	02/2016	USD		(27,265,647	)		1,379,397
Bank of America	Swiss Market Index March Futures	03/2016	CHF		(104,582,094	)		(3,103,694	)
Bank of America	Taiwan Stock Exchange January Futures	01/2016	TWD		(536,909,541	)		(534,623	)
CitiBank	Wheat March Futures^	02/2016	USD		(26,608,064	)		170,564
Deutsche Bank	Wheat March Futures^	02/2016	USD		(9,270,529	)		364,030
								$10,071,914

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
2,085	Goldman Sachs	Cocoa Futures^		03/2016		$70,095,323		$69,527,252		$(568,071	)
1,366	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		45,297,752		43,862,260		(1,435,492	)
482	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		15,204,360		15,250,480		46,120
81	J.P. Morgan	LME Aluminum Futures^		01/2016		3,174,892		3,038,006		(136,886	)
57	J.P. Morgan	LME Aluminum Futures^		01/2016		2,225,990		2,138,355		(87,635	)
33	J.P. Morgan	LME Aluminum Futures^		01/2016		1,303,185		1,238,284		(64,901	)
14	J.P. Morgan	LME Aluminum Futures^		01/2016		568,791		525,455		(43,336	)
6	J.P. Morgan	LME Aluminum Futures^		01/2016		228,015		225,825		(2,190	)
57	J.P. Morgan	LME Aluminum Futures^		01/2016		2,153,699		2,145,337		(8,362	)
15	J.P. Morgan	LME Aluminum Futures^		01/2016		568,162		564,563		(3,599	)
61	J.P. Morgan	LME Aluminum Futures^		01/2016		2,272,552		2,295,888		23,336
32	J.P. Morgan	LME Aluminum Futures^		01/2016		1,193,678		1,204,640		10,962

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

AQR Funds Annual Report December 2015

135

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
115	J.P. Morgan	LME Aluminum Futures^		01/2016		$ 4,234,619		$ 4,330,066		$ 95,447
65	J.P. Morgan	LME Aluminum Futures^		02/2016		2,418,598		2,449,395		30,797
11	J.P. Morgan	LME Aluminum Futures^		02/2016		413,908		414,599		691
61	J.P. Morgan	LME Aluminum Futures^		02/2016		2,281,168		2,300,051		18,883
32	J.P. Morgan	LME Aluminum Futures^		03/2016		1,208,258		1,209,400		1,142
82	J.P. Morgan	LME Aluminum Futures^		03/2016		3,098,562		3,098,062		(500	)
25	J.P. Morgan	LME Aluminum Futures^		03/2016		927,733		944,219		16,486
352	J.P. Morgan	LME Aluminum Futures^		03/2016		13,290,616		13,268,200		(22,416	)
213	J.P. Morgan	LME Aluminum Futures^		03/2016		8,118,126		8,025,201		(92,925	)
12	J.P. Morgan	LME Copper Futures^		01/2016		1,560,440		1,413,114		(147,326	)
24	J.P. Morgan	LME Copper Futures^		01/2016		3,130,764		2,826,000		(304,764	)
35	J.P. Morgan	LME Copper Futures^		01/2016		4,546,897		4,121,337		(425,560	)
8	J.P. Morgan	LME Copper Futures^		01/2016		1,031,354		942,038		(89,316	)
34	J.P. Morgan	LME Copper Futures^		02/2016		4,233,083		4,004,562		(228,521	)
25	J.P. Morgan	LME Copper Futures^		02/2016		3,081,311		2,944,531		(136,780	)
43	J.P. Morgan	LME Copper Futures^		02/2016		5,294,502		5,064,594		(229,908	)
3	J.P. Morgan	LME Copper Futures^		02/2016		362,257		353,343		(8,914	)
10	J.P. Morgan	LME Copper Futures^		02/2016		1,183,587		1,177,812		(5,775	)
59	J.P. Morgan	LME Copper Futures^		02/2016		6,824,453		6,948,887		124,434
106	J.P. Morgan	LME Copper Futures^		02/2016		12,250,447		12,484,097		233,650
48	J.P. Morgan	LME Copper Futures^		02/2016		5,353,318		5,652,840		299,522
16	J.P. Morgan	LME Copper Futures^		03/2016		1,838,039		1,883,900		45,861
22	J.P. Morgan	LME Copper Futures^		03/2016		2,502,554		2,590,363		87,809
17	J.P. Morgan	LME Copper Futures^		03/2016		1,967,367		2,001,559		34,192
7	J.P. Morgan	LME Copper Futures^		03/2016		802,567		824,136		21,569
5	J.P. Morgan	LME Copper Futures^		03/2016		584,137		588,643		4,506
3	J.P. Morgan	LME Nickel Futures^		01/2016		191,032		158,107		(32,925	)
23	J.P. Morgan	LME Nickel Futures^		01/2016		1,453,790		1,212,229		(241,561	)
11	J.P. Morgan	LME Nickel Futures^		01/2016		697,323		579,832		(117,491	)
3	J.P. Morgan	LME Nickel Futures^		02/2016		170,512		158,387		(12,125	)
8	J.P. Morgan	LME Nickel Futures^		02/2016		455,060		422,395		(32,665	)
7	J.P. Morgan	LME Nickel Futures^		03/2016		364,577		370,424		5,847
159	J.P. Morgan	LME Zinc Futures^		01/2016		7,439,594		6,344,617		(1,094,977	)
92	J.P. Morgan	LME Zinc Futures^		01/2016		4,198,784		3,672,226		(526,558	)
24	J.P. Morgan	LME Zinc Futures^		02/2016		994,259		961,458		(32,801	)
92	J.P. Morgan	LME Zinc Futures^		02/2016		3,818,225		3,686,992		(131,233	)
34	J.P. Morgan	LME Zinc Futures^		02/2016		1,370,283		1,362,711		(7,572	)
5	J.P. Morgan	LME Zinc Futures^		02/2016		198,294		200,418		2,124
21	J.P. Morgan	LME Zinc Futures^		03/2016		809,602		843,602		34,000
9	J.P. Morgan	LME Zinc Futures^		03/2016		344,272		361,613		17,341
9	J.P. Morgan	LME Zinc Futures^		03/2016		349,447		361,681		12,234
14	J.P. Morgan	LME Zinc Futures^		03/2016		518,041		563,150		45,109
27	J.P. Morgan	LME Zinc Futures^		03/2016		1,024,055		1,086,075		62,020
814	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		15,110,575		15,018,300		(92,275	)
1,122	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		19,284,076		19,151,194		(132,882	)
418	Barclays Capital	Amsterdam Index Futures		01/2016		39,450,506		40,143,088		692,582
2,505	Barclays Capital	CAC40 Index Futures		01/2016		125,471,032		126,274,289		803,257
562	Barclays Capital	DAX Index Futures		03/2016		159,656,328		164,475,914		4,819,586
1,758	Barclays Capital	E-Mini DJIA CBOT Futures		03/2016		152,268,145		152,427,390		159,245
3,698	Barclays Capital	Euro Stoxx 50 Index Futures		03/2016		131,266,623		131,897,063		630,440
330	Barclays Capital	FTSE/MIB Index Futures		03/2016		38,163,993		38,448,453		284,460
20	J.P. Morgan	KOSPI Index 200 Futures		03/2016		2,060,547		2,050,659		(9,888	)

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

AQR Funds Annual Report December 2015

136

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
6,838	Barclays Capital	NASDAQ 100 E-Mini Futures		03/2016		$ 625,524,414			$ 627,420,690			$ 1,896,276
2,114	J.P. Morgan	Nikkei 225 Futures		03/2016		345,101,811			334,701,277			(10,400,534	)
1,539	Barclays Capital	S&P 500 E-Mini Futures		03/2016		155,435,267			156,624,030			1,188,763
5,280	J.P. Morgan	SGX FTSE China A50 Index Futures		01/2016		56,521,620			55,281,600			(1,240,020	)
3,016	Barclays Capital	TOPIX Index Futures		03/2016		393,252,199			388,307,334			(4,944,865	)
1,891	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		2,341,348,709			2,344,811,681			3,462,972
3,669	J.P. Morgan	3-Month Euro Euribor Futures		06/2016		999,248,944			998,615,698			(633,246	)
3,156	J.P. Morgan	3-Month Euro Euribor Futures		09/2016		859,500,775			859,032,009			(468,766	)
3,910	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		1,064,459,322			1,064,157,128			(302,194	)
4,473	J.P. Morgan	3-Month Euro Euribor Futures		03/2017		1,217,393,210			1,217,141,816			(251,394	)
4,679	J.P. Morgan	3-Month Euro Euribor Futures		06/2017		1,273,056,020			1,272,687,699			(368,321	)
5,087	J.P. Morgan	3-Month Euro Euribor Futures		09/2017		1,384,236,593			1,382,972,635			(1,263,958	)
3,077	J.P. Morgan	3-Month Euro Euribor Futures		12/2017		836,653,624			836,024,221			(629,403	)
416	J.P. Morgan	90-Day Sterling Futures		03/2016		76,147,426			76,167,793			20,367
3,855	J.P. Morgan	90-Day Sterling Futures		06/2016		704,510,241			705,123,303			613,062
1,943	J.P. Morgan	90-Day Sterling Futures		09/2016		355,251,458			354,931,318			(320,140	)
2,200	J.P. Morgan	90-Day Sterling Futures		12/2016		401,849,923			401,269,864			(580,059	)
2,155	J.P. Morgan	90-Day Sterling Futures		03/2017		393,296,648			392,506,114			(790,534	)
1,861	J.P. Morgan	90-Day Sterling Futures		06/2017		339,266,987			338,477,605			(789,382	)
1,042	J.P. Morgan	90-Day Sterling Futures		09/2017		189,793,461			189,307,143			(486,318	)
1,115	J.P. Morgan	90-Day Sterling Futures		12/2017		202,793,376			202,364,097			(429,279	)
1,320	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		132,800,458			134,499,386			1,698,928
1,747	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		06/2016		313,281,170			313,240,370			(40,800	)
3,525	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		09/2016		632,161,828			632,070,942			(90,886	)
3,069	Goldman Sachs	Euro-Bobl Futures		03/2016		439,242,553			435,815,247			(3,427,306	)
776	Goldman Sachs	Euro-OAT Futures		03/2016		128,281,350			126,539,863			(1,741,487	)
6,779	Goldman Sachs	Euro-SCHATZ Futures		03/2016		823,189,553			821,502,881			(1,686,672	)
433	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		06/2016		109,168,088			108,920,078			(248,010	)
500	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		09/2016		126,045,087			125,773,762			(271,325	)
485	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		12/2016		122,208,193			121,988,444			(219,749	)
6,307	Goldman Sachs	Euro-BTP Italian Government Bond Futures		03/2016		950,496,312			945,321,903			(5,174,409	)
1,630	Goldman Sachs	Euro-Bund Futures		03/2016		283,337,292			279,739,878			(3,597,414	)
1,184	Goldman Sachs	Long Gilt Futures		03/2016		204,992,406			203,816,521			(1,175,885	)
						19,423,800,357			19,393,263,891			(30,536,466	)
Short Contracts:
6,157	Goldman Sachs	Brent Crude Futures^		01/2016		$(231,356,360	)		$(231,934,189	)		$(577,829	)
1,164	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		(53,392,087	)		(55,304,550	)		(1,912,463	)
2,704	Morgan Stanley and Co., International PLC	Copper Futures^		03/2016		(140,345,420	)		(144,326,000	)		(3,980,580	)
9,449	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		(173,347,716	)		(169,491,437	)		3,856,279
4,927	Goldman Sachs	Gas Oil Futures^		02/2016		(188,201,003	)		(164,684,974	)		23,516,029
1,504	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		01/2016		(79,115,158	)		(80,286,528	)		(1,171,370	)

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

AQR Funds Annual Report December 2015

137

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
7,379	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		$ (795,186,932	)		$ (782,321,580	)		$ 12,865,352
1,676	Morgan Stanley and Co., International PLC	Hard Red Winter Wheat Futures^		03/2016		(40,809,656	)		(39,260,300	)		1,549,356
2,258	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		01/2016		(120,248,103	)		(106,586,181	)		13,661,922
1,235	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		(28,430,400	)		(29,541,200	)		(1,110,800	)
107	Morgan Stanley and Co., International PLC	Live Cattle Futures^		02/2016		(5,571,208	)		(5,855,040	)		(283,832	)
81	J.P. Morgan	LME Aluminum Futures^		01/2016		(3,166,643	)		(3,038,007	)		128,636
57	J.P. Morgan	LME Aluminum Futures^		01/2016		(2,216,587	)		(2,138,355	)		78,232
33	J.P. Morgan	LME Aluminum Futures^		01/2016		(1,292,993	)		(1,238,284	)		54,709
14	J.P. Morgan	LME Aluminum Futures^		01/2016		(565,686	)		(525,455	)		40,231
6	J.P. Morgan	LME Aluminum Futures^		01/2016		(228,113	)		(225,825	)		2,288
57	J.P. Morgan	LME Aluminum Futures^		01/2016		(2,150,656	)		(2,145,338	)		5,318
15	J.P. Morgan	LME Aluminum Futures^		01/2016		(563,113	)		(564,562	)		(1,449	)
61	J.P. Morgan	LME Aluminum Futures^		01/2016		(2,265,315	)		(2,295,888	)		(30,573	)
32	J.P. Morgan	LME Aluminum Futures^		01/2016		(1,183,361	)		(1,204,640	)		(21,279	)
115	J.P. Morgan	LME Aluminum Futures^		01/2016		(4,239,343	)		(4,330,066	)		(90,723	)
65	J.P. Morgan	LME Aluminum Futures^		02/2016		(2,415,463	)		(2,449,395	)		(33,932	)
11	J.P. Morgan	LME Aluminum Futures^		02/2016		(413,108	)		(414,598	)		(1,490	)
61	J.P. Morgan	LME Aluminum Futures^		02/2016		(2,279,978	)		(2,300,051	)		(20,073	)
32	J.P. Morgan	LME Aluminum Futures^		03/2016		(1,207,922	)		(1,209,400	)		(1,478	)
82	J.P. Morgan	LME Aluminum Futures^		03/2016		(3,091,199	)		(3,098,062	)		(6,863	)
25	J.P. Morgan	LME Aluminum Futures^		03/2016		(921,189	)		(944,219	)		(23,030	)
1,747	J.P. Morgan	LME Aluminum Futures^		03/2016		(63,170,734	)		(65,850,981	)		(2,680,247	)
213	J.P. Morgan	LME Aluminum Futures^		03/2016		(8,061,528	)		(8,025,201	)		36,327
12	J.P. Morgan	LME Copper Futures^		01/2016		(1,567,171	)		(1,413,114	)		154,057
24	J.P. Morgan	LME Copper Futures^		01/2016		(3,128,941	)		(2,826,000	)		302,941
35	J.P. Morgan	LME Copper Futures^		01/2016		(4,567,397	)		(4,121,338	)		446,059
8	J.P. Morgan	LME Copper Futures^		01/2016		(1,031,980	)		(942,038	)		89,942
34	J.P. Morgan	LME Copper Futures^		02/2016		(4,232,541	)		(4,004,562	)		227,979
25	J.P. Morgan	LME Copper Futures^		02/2016		(3,078,641	)		(2,944,532	)		134,109
43	J.P. Morgan	LME Copper Futures^		02/2016		(5,289,290	)		(5,064,594	)		224,696
3	J.P. Morgan	LME Copper Futures^		02/2016		(369,374	)		(353,344	)		16,030
10	J.P. Morgan	LME Copper Futures^		02/2016		(1,186,509	)		(1,177,812	)		8,697
59	J.P. Morgan	LME Copper Futures^		02/2016		(6,844,981	)		(6,948,887	)		(103,906	)
106	J.P. Morgan	LME Copper Futures^		02/2016		(12,245,632	)		(12,484,097	)		(238,465	)
48	J.P. Morgan	LME Copper Futures^		02/2016		(5,367,748	)		(5,652,840	)		(285,092	)
16	J.P. Morgan	LME Copper Futures^		03/2016		(1,836,798	)		(1,883,900	)		(47,102	)
22	J.P. Morgan	LME Copper Futures^		03/2016		(2,506,949	)		(2,590,362	)		(83,413	)
17	J.P. Morgan	LME Copper Futures^		03/2016		(1,961,297	)		(2,001,558	)		(40,261	)
7	J.P. Morgan	LME Copper Futures^		03/2016		(802,482	)		(824,137	)		(21,655	)
5	J.P. Morgan	LME Copper Futures^		03/2016		(585,110	)		(588,644	)		(3,534	)
838	J.P. Morgan	LME Copper Futures^		03/2016		(94,706,143	)		(98,637,837	)		(3,931,694	)
3	J.P. Morgan	LME Nickel Futures^		01/2016		(189,713	)		(158,108	)		31,605
23	J.P. Morgan	LME Nickel Futures^		01/2016		(1,445,494	)		(1,212,230	)		233,264
11	J.P. Morgan	LME Nickel Futures^		01/2016		(699,243	)		(579,832	)		119,411
3	J.P. Morgan	LME Nickel Futures^		02/2016		(171,392	)		(158,387	)		13,005
8	J.P. Morgan	LME Nickel Futures^		02/2016		(455,300	)		(422,395	)		32,905

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

AQR Funds Annual Report December 2015

138

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
540	J.P. Morgan	LME Nickel Futures^		03/2016		$ (27,472,752	)		$ (28,557,360	)		$ (1,084,608	)
7	J.P. Morgan	LME Nickel Futures^		03/2016		(365,360	)		(370,424	)		(5,064	)
159	J.P. Morgan	LME Zinc Futures^		01/2016		(7,321,560	)		(6,344,616	)		976,944
92	J.P. Morgan	LME Zinc Futures^		01/2016		(4,185,775	)		(3,672,226	)		513,549
24	J.P. Morgan	LME Zinc Futures^		02/2016		(995,865	)		(961,458	)		34,407
92	J.P. Morgan	LME Zinc Futures^		02/2016		(3,817,961	)		(3,686,992	)		130,969
34	J.P. Morgan	LME Zinc Futures^		02/2016		(1,365,707	)		(1,362,712	)		2,995
5	J.P. Morgan	LME Zinc Futures^		02/2016		(197,958	)		(200,418	)		(2,460	)
21	J.P. Morgan	LME Zinc Futures^		03/2016		(810,764	)		(843,601	)		(32,837	)
9	J.P. Morgan	LME Zinc Futures^		03/2016		(343,306	)		(361,613	)		(18,307	)
9	J.P. Morgan	LME Zinc Futures^		03/2016		(350,439	)		(361,681	)		(11,242	)
1,007	J.P. Morgan	LME Zinc Futures^		03/2016		(39,461,415	)		(40,506,575	)		(1,045,160	)
14	J.P. Morgan	LME Zinc Futures^		03/2016		(519,719	)		(563,150	)		(43,431	)
27	J.P. Morgan	LME Zinc Futures^		03/2016		(1,019,267	)		(1,086,075	)		(66,808	)
4,386	Morgan Stanley and Co., International PLC	Natural Gas Futures^		01/2016		(92,424,836	)		(102,500,820	)		(10,075,984	)
540	Morgan Stanley and Co., International PLC	Nymex Palladium Futures^		03/2016		(29,439,109	)		(30,348,000	)		(908,891	)
1,044	Morgan Stanley and Co., International PLC	Platinum Futures^		04/2016		(45,426,170	)		(46,625,040	)		(1,198,870	)
1,912	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		(134,433,676	)		(131,956,680	)		2,476,996
3,705	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		(160,919,400	)		(160,102,312	)		817,088
1,339	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		(37,421,262	)		(35,550,450	)		1,870,812
2,538	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		(62,560,791	)		(59,643,000	)		2,917,791
4,175	Morgan Stanley and Co., International PLC	WTI Crude Futures^		01/2016		(161,915,708	)		(154,642,000	)		7,273,708
18	J.P. Morgan	E-Mini MSCI EAFE Index Futures		03/2016		(1,526,492	)		(1,528,380	)		(1,888	)
3,451	J.P. Morgan	E-Mini MSCI Emerging Markets Index Futures		03/2016		(131,523,520	)		(135,883,125	)		(4,359,605	)
593	Barclays Capital	E-Mini Russell 2000 Futures		03/2016		(66,632,278	)		(67,097,950	)		(465,672	)
371	Barclays Capital	FTSE 100 Index Futures		03/2016		(33,065,814	)		(33,898,609	)		(832,795	)
543	J.P. Morgan	FTSE/JSE Top 40 Index Futures		03/2016		(15,931,191	)		(16,246,813	)		(315,622	)
352	Barclays Capital	Hang Seng Index Futures		01/2016		(49,964,634	)		(49,756,582	)		208,052
1,302	Barclays Capital	H-SHARES Index Futures		01/2016		(82,509,680	)		(81,521,474	)		988,206
806	Barclays Capital	IBEX 35 Index Futures		01/2016		(84,191,400	)		(83,442,813	)		748,587
1,625	Barclays Capital	MSCI Singapore Index Futures		01/2016		(36,979,695	)		(37,086,536	)		(106,841	)
512	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		(15,657,635	)		(15,585,280	)		72,355
1,570	J.P. Morgan	OMXS30 Index Futures		01/2016		(26,555,571	)		(26,930,919	)		(375,348	)
362	Barclays Capital	S&P MID 400 E-Mini Futures		03/2016		(50,226,395	)		(50,444,700	)		(218,305	)
2,203	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		03/2016		(239,862,618	)		(242,287,013	)		(2,424,395	)
1,589	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		(25,192,814	)		(25,258,744	)		(65,930	)
796	Barclays Capital	SPI 200 Index Futures		03/2016		(71,884,445	)		(76,232,435	)		(4,347,990	)
9,737	J.P. Morgan	90-Day EURODollar Futures		06/2016		(2,412,788,560	)		(2,412,341,750	)		446,810

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

AQR Funds Annual Report December 2015

139

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
6,443	J.P. Morgan	90-Day EURODollar Futures		09/2016		$ (1,593,813,387	)		$ (1,593,595,513	)		$ 217,874
3,535	J.P. Morgan	90-Day EURODollar Futures		12/2016		(872,803,030	)		(872,879,875	)		(76,845	)
2,401	J.P. Morgan	90-Day EURODollar Futures		03/2017		(591,943,111	)		(591,966,550	)		(23,439	)
2,088	J.P. Morgan	90-Day EURODollar Futures		06/2017		(513,988,131	)		(514,013,400	)		(25,269	)
1,845	J.P. Morgan	90-Day EURODollar Futures		09/2017		(453,526,988	)		(453,616,313	)		(89,325	)
1,678	J.P. Morgan	90-Day EURODollar Futures		12/2017		(411,951,883	)		(412,053,875	)		(101,992	)
364	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		(33,507,508	)		(33,657,784	)		(150,276	)
15,090	J.P. Morgan	Australia 3-Year Bond Futures		03/2016		(1,222,763,928	)		(1,225,702,052	)		(2,938,124	)
56	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		03/2016		(10,034,832	)		(10,037,364	)		(2,532	)
997	Morgan Stanley and Co., International PLC	CME Ultra Long Term U.S. Treasury Bond Futures		03/2016		(157,551,583	)		(158,211,438	)		(659,855	)
477	Goldman Sachs	Euro-Buxl 30-Year Bond Futures		03/2016		(78,697,367	)		(78,482,692	)		214,675
5,759	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		(724,079,100	)		(725,094,094	)		(1,014,994	)
9,743	Morgan Stanley and Co., International PLC	U.S. Treasury 2-Year Note Futures		03/2016		(2,116,291,004	)		(2,116,514,515	)		(223,511	)
3,129	Morgan Stanley and Co., International PLC	U.S. Treasury 5-Year Note Futures		03/2016		(369,862,652	)		(370,224,258	)		(361,606	)
1,114	Morgan Stanley and Co., International PLC	U.S. Treasury Long Bond Futures		03/2016		(170,877,534	)		(171,277,500	)		(399,966	)
						(15,588,660,680	)		(15,561,698,403	)		26,962,277
						$3,835,139,677			$3,831,565,488			$(3,574,189	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		513,598,500		$373,098,550		$372,922,714		$(175,836	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		513,598,500		373,101,902		372,922,714		(179,188	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		201,719,000		51,832,254		49,805,554		(2,026,700	)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		201,719,000		51,832,163		49,805,554		(2,026,609	)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		91,401,500		68,433,756		66,068,598		(2,365,158	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		91,401,500		68,433,756		66,068,598		(2,365,158	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		66,000		65,356		66,099		743

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

AQR Funds Annual Report December 2015

140

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		7,553,093,500		$ 10,750,268		$ 10,572,420		$ (177,848	)
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		7,553,093,500		10,750,268		10,572,420		(177,848	)
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		4,084,886,501		1,292,693		1,276,486		(16,207	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		4,084,886,499		1,292,693		1,276,486		(16,207	)
Czech Republic Koruna, Expiring 03/16/16	CitiBank	CZK		2,943,278,500		118,367,222		118,619,116		251,894
Czech Republic Koruna, Expiring 03/16/16	Credit Suisse International	CZK		2,943,278,500		118,366,504		118,619,116		252,612
Euro, Expiring 03/16/16	CitiBank	EUR		1,539,472,000		1,683,380,402		1,676,095,208		(7,285,194	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		1,539,472,000		1,683,380,405		1,676,095,208		(7,285,197	)
British Pound, Expiring 03/16/16	CitiBank	GBP		105,483,000		158,664,250		155,521,759		(3,142,491	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		105,483,000		158,665,079		155,521,759		(3,143,320	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		11,694,349,501		40,343,181		40,250,792		(92,389	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		11,694,349,501		40,361,829		40,250,792		(111,037	)
Indonesian Rupiah, Expiring 03/16/16*	CitiBank	IDR		521,379,158,000		36,910,264		37,152,956		242,692
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		521,379,158,000		36,910,264		37,152,956		242,692
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		165,257,500		42,885,688		42,534,948		(350,740	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		165,257,500		42,868,023		42,534,948		(333,075	)
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		5,269,402,000		77,875,616		78,712,325		836,709
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		5,269,402,000		77,875,622		78,712,325		836,703
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		137,952,898,500		1,132,723,181		1,149,716,424		16,993,243
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		137,952,898,500		1,132,723,277		1,149,716,424		16,993,147
Korean Won, Expiring 03/16/16*	CitiBank	KRW		70,395,125,000		60,649,353		59,939,619		(709,734	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		70,395,125,000		60,649,343		59,939,619		(709,724	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		745,566,000		44,590,597		43,036,565		(1,554,032	)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		745,566,000		44,590,396		43,036,565		(1,553,831	)
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		117,581,000		27,689,101		27,245,802		(443,299	)
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		121,925,000		28,722,149		28,252,391		(469,758	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		516,781,500		60,113,042		58,341,776		(1,771,266	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		516,781,500		60,113,123		58,341,776		(1,771,347	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		478,525,001			$ 317,678,115			$ 325,846,517			$ 8,168,402
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		478,525,001			317,678,188			325,846,517			8,168,329
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		647,493,000			13,637,936			13,704,218			66,282
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		647,493,000			13,637,936			13,704,219			66,283
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		190,103,000			48,405,663			48,394,544			(11,119	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		190,103,000			48,405,650			48,394,545			(11,105	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		1,495,804,000			175,482,892			177,567,211			2,084,319
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		1,495,804,000			175,482,813			177,567,211			2,084,398
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		85,239,000			60,425,551			59,974,192			(451,359	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		85,239,000			60,425,872			59,974,192			(451,680	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		342,087,500			114,722,707			114,946,610			223,903
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		342,087,500			114,719,192			114,946,609			227,417
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		765,593,000			23,343,434			23,326,743			(16,691	)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		906,975,000			27,704,384			27,634,491			(69,893	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		822,438,000			53,936,719			52,474,657			(1,462,062	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		822,438,000			53,937,092			52,474,658			(1,462,434	)
							$9,599,925,714			$9,613,475,946			$13,550,232
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		(756,292,000	)		$(543,159,218	)		$(549,141,917	)		$(5,982,699	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		(756,292,000	)		(543,158,876	)		(549,141,918	)		(5,983,042	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(222,022,500	)		(55,639,502	)		(54,818,603	)		820,899
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(222,022,500	)		(55,639,933	)		(54,818,603	)		821,330
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(1,327,274,501	)		(974,743,750	)		(959,406,190	)		15,337,560
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(1,327,274,500	)		(974,743,749	)		(959,406,190	)		15,337,559
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(427,000	)		(428,125	)		(427,640	)		485
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(3,704,000	)		(3,752,921	)		(3,709,552	)		43,369
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		(25,042,214,000	)		(35,238,417	)		(35,052,764	)		185,653

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

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142

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		(25,042,214,000	)		$ (35,238,417	)		$ (35,052,764	)		$ 185,653
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		(41,838,027,500	)		(12,757,228	)		(13,073,966	)		(316,738	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		(41,838,027,500	)		(12,757,228	)		(13,073,966	)		(316,738	)
Euro, Expiring 03/16/16	CitiBank	EUR		(2,090,520,014	)		(2,228,076,894	)		(2,276,046,968	)		(47,970,074	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(2,090,520,014	)		(2,228,068,477	)		(2,276,046,967	)		(47,978,490	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(230,327,000	)		(345,470,106	)		(339,588,939	)		5,881,167
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(230,327,000	)		(345,469,606	)		(339,588,939	)		5,880,667
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(73,447,000	)		(9,479,551	)		(9,482,401	)		(2,850	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(13,904,543,001	)		(48,036,314	)		(47,858,061	)		178,253
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(13,904,542,999	)		(48,046,223	)		(47,858,061	)		188,162
Indonesian Rupiah, Expiring 03/16/16*	CitiBank	IDR		(18,485,859,000	)		(1,267,884	)		(1,317,284	)		(49,400	)
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		(18,485,859,000	)		(1,267,884	)		(1,317,284	)		(49,400	)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		(93,172,000	)		(24,035,406	)		(23,981,158	)		54,248
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		(93,171,999	)		(24,031,457	)		(23,981,158	)		50,299
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		(1,339,495,000	)		(19,703,181	)		(20,008,867	)		(305,686	)
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		(1,339,495,000	)		(19,703,179	)		(20,008,867	)		(305,688	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(65,906,975,000	)		(537,620,626	)		(549,276,837	)		(11,656,211	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(65,906,975,000	)		(537,620,627	)		(549,276,837	)		(11,656,210	)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(282,049,931,000	)		(239,045,625	)		(240,158,183	)		(1,112,558	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(282,049,931,000	)		(239,045,753	)		(240,158,183	)		(1,112,430	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(3,294,437,000	)		(193,445,536	)		(190,165,931	)		3,279,605
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(3,294,437,000	)		(193,445,149	)		(190,165,931	)		3,279,218
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		(78,594,500	)		(18,428,771	)		(18,211,872	)		216,899
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		(78,594,500	)		(18,428,779	)		(18,211,871	)		216,908
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(3,516,835,503	)		(404,846,924	)		(397,031,290	)		7,815,634
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(3,516,835,501	)		(404,848,052	)		(397,031,290	)		7,816,762
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		(96,020,000	)		(63,538,336	)		(65,383,800	)		(1,845,464	)
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		(96,020,000	)		(63,538,337	)		(65,383,800	)		(1,845,463	)

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

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143

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		(2,271,967,500	)		$ (47,613,510	)		$ (48,086,292	)		$ (472,782	)
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		(2,271,967,500	)		(47,613,510	)		(48,086,292	)		(472,782	)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(712,910,000	)		(178,786,371	)		(181,485,589	)		(2,699,218	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(712,910,000	)		(178,786,227	)		(181,485,589	)		(2,699,362	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(1,297,359,000	)		(151,776,076	)		(154,009,763	)		(2,233,687	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(1,297,358,999	)		(151,775,705	)		(154,009,763	)		(2,234,058	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(108,934,500	)		(77,041,327	)		(76,646,356	)		394,971
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(108,934,500	)		(77,041,571	)		(76,646,355	)		395,216
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(338,870,000	)		(112,390,767	)		(113,865,480	)		(1,474,713	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(338,870,000	)		(112,385,495	)		(113,865,480	)		(1,479,985	)
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		(2,322,176,001	)		(70,885,157	)		(70,754,050	)		131,107
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		(2,322,176,000	)		(70,885,546	)		(70,754,050	)		131,496
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(3,170,445,000	)		(216,501,061	)		(202,286,387	)		14,214,674
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(3,170,445,000	)		(216,489,781	)		(202,286,388	)		14,203,393
							(13,213,738,145	)		(13,268,932,686	)		(55,194,541	)
							$(3,613,812,431	)		$(3,655,456,740	)		$(41,644,309	)

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian 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

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
Bank of America
Money Market Funds		$8,900,734		$—			$8,900,734
Barclays Capital
Cash		—		158,312,402			158,312,402
CitiBank
Money Market Funds		101,490,246		—			101,490,246
Credit Suisse International
Money Market Funds		22,740,128		—			22,740,128
Goldman Sachs
Cash		—		11,836,880			11,836,880
U.S. Treasury Bills		—		39,159,675			39,159,675
J.P. Morgan
Cash		—		50,906,776			50,906,776
U.S. Treasury Bills		—		82,373,833			82,373,833
Morgan Stanley and Co., International PLC
Cash		—		(1,500,059	)		(1,500,059	)
Money Market Funds		25,810,103		—			25,810,103
U.S. Treasury Bills		—		27,798,572			27,798,572

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CitiBank
Money Market Funds		$6,910,042		$—			$6,910,042
Deutsche Bank
Money Market Funds		130,085		—			130,085
Goldman Sachs
Cash		—		(23,074,031	)		(23,074,031	)
U.S. Treasury Bills		—		48,216,525			48,216,525
J.P. Morgan
Cash		—		22,750,100			22,750,100
U.S. Treasury Bills		—		27,989,024			27,989,024
Macquarie Capital
Money Market Funds		8,070,000		—			8,070,000
Merrill Lynch
Money Market Funds		341,397		—			341,397
Morgan Stanley and Co., International PLC
Cash		—		(36,736,299	)		(36,736,299	)
U.S. Treasury Bills		—		146,196,971			146,196,971
Societe Generale
Money Market Funds		1,860,000		—			1,860,000

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

MONEY MARKET FUNDS - 20.4%	SHARES		VALUE (Note 5)
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(a)(b)		104,569,444	$	104,569,444
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(a)(b)		3,720,046		3,720,046
TOTAL MONEY MARKET FUNDS (cost $108,289,490)				108,289,490
SHORT-TERM INVESTMENTS - 73.7%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.141%, 01/28/2016 (c)	$	102,595		102,586,074
U.S. Treasury Bill, 0.161%, 02/04/2016 (c)		2,838		2,837,753
U.S. Treasury Bill, 0.241%, 02/11/2016 ^(c)(d)		144,384		144,363,930
U.S. Treasury Bill, 0.264%, 03/03/2016 ^(c)		45,929		45,920,917
U.S. Treasury Bill, 0.258%, 03/17/2016 ^(c)		10,213		10,210,927
U.S. Treasury Bill, 0.066%, 04/07/2016 ^(c)		24,989		24,979,204
U.S. Treasury Bill, 0.327%, 05/19/2016 ^(c)		56,763		56,691,309
U.S. Treasury Bill, 0.582%, 06/16/2016 (c)		2,525		2,519,675
TOTAL SHORT-TERM INVESTMENTS (cost $390,075,850)				390,109,789
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 94.1% (cost $498,365,340)				498,399,279
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.9% (e)				31,128,719
NET ASSETS - 100.0%			$	529,527,998

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) All or 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) All or a portion of the security is pledged as collateral to the brokers for futures 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 (See Note 2).

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

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Bank of America	Bovespa Index February Futures	02/2016	BRL		(23,882,679	)		$270,683
CitiBank	Cotton No. 2 March Futures^	03/2016	USD		1,643,345			(29,705	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		(90,662,902	)		240,243
Bank of America	KOSPI Index 200 March Futures	03/2016	KRW		15,060,841,200			73,615
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		(910,585	)		(19,655	)
Macquarie Capital	Live Cattle February Futures^	02/2016	USD		(8,577,231	)		(177,969	)
Societe Generale	Live Cattle February Futures^	02/2016	USD		(3,163,112	)		(65,368	)
Bank of America	MSCI Taiwan Stock Index January Futures	01/2016	USD		(10,136,791	)		91,592
Goldman Sachs	SGX FTSE China A50 Index January Futures	01/2016	USD		3,088,913			(52,613	)
Bank of America	SGX S&P CNX Nifty Index January Futures	01/2016	USD		(760,948	)		(2,060	)
CitiBank	Soybean March Futures^	03/2016	USD		2,608,333			(101,930	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Soybean March Futures^	03/2016	USD		(7,792,158	)		$ 143,436
Macquarie Capital	Soybean March Futures^	03/2016	USD		(1,812,416	)		40,703
CitiBank	Soybean Meal March Futures^	03/2016	USD		(6,130,770	)		263,220
Deutsche Bank	Soybean Meal March Futures^	03/2016	USD		(3,215,032	)		161,782
Societe Generale	Soybean Meal March Futures^	03/2016	USD		(1,951,926	)		93,426
Bank of America	Swiss Market Index March Futures	03/2016	CHF		(8,155,896	)		(242,021	)
Bank of America	Taiwan Stock Exchange January Futures	01/2016	TWD		(41,670,591	)		(41,493	)
CitiBank	Wheat March Futures^	03/2016	USD		(2,081,696	)		13,695
Deutsche Bank	Wheat March Futures^	03/2016	USD		(733,815	)		28,815
								$688,396

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
163	Goldman Sachs	Cocoa Futures^		03/2016		$5,479,285		$5,435,463		$(43,822	)
109	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		3,615,492		3,499,990		(115,502	)
35	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		1,102,837		1,107,400		4,563
6	J.P. Morgan	LME Aluminum Futures^		01/2016		235,177		225,037		(10,140	)
4	J.P. Morgan	LME Aluminum Futures^		01/2016		156,210		150,060		(6,150	)
4	J.P. Morgan	LME Aluminum Futures^		01/2016		157,962		150,095		(7,867	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		40,628		37,533		(3,095	)
5	J.P. Morgan	LME Aluminum Futures^		01/2016		188,902		188,188		(714	)
5	J.P. Morgan	LME Aluminum Futures^		01/2016		186,275		188,188		1,913
3	J.P. Morgan	LME Aluminum Futures^		01/2016		111,907		112,935		1,028
10	J.P. Morgan	LME Aluminum Futures^		01/2016		368,243		376,527		8,284
5	J.P. Morgan	LME Aluminum Futures^		02/2016		186,046		188,415		2,369
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,628		37,691		63
6	J.P. Morgan	LME Aluminum Futures^		02/2016		224,377		226,234		1,857
1	J.P. Morgan	LME Aluminum Futures^		03/2016		36,822		37,789		967
4	J.P. Morgan	LME Aluminum Futures^		03/2016		151,032		151,175		143
7	J.P. Morgan	LME Aluminum Futures^		03/2016		264,511		264,468		(43	)
2	J.P. Morgan	LME Aluminum Futures^		03/2016		74,219		75,538		1,319
29	J.P. Morgan	LME Aluminum Futures^		03/2016		1,094,032		1,093,119		(913	)
15	J.P. Morgan	LME Aluminum Futures^		03/2016		571,699		565,155		(6,544	)
3	J.P. Morgan	LME Copper Futures^		01/2016		391,346		353,250		(38,096	)
2	J.P. Morgan	LME Copper Futures^		01/2016		259,823		235,505		(24,318	)
2	J.P. Morgan	LME Copper Futures^		02/2016		249,005		235,563		(13,442	)
2	J.P. Morgan	LME Copper Futures^		02/2016		246,505		235,563		(10,942	)
3	J.P. Morgan	LME Copper Futures^		02/2016		369,384		353,344		(16,040	)
1	J.P. Morgan	LME Copper Futures^		02/2016		118,359		117,782		(577	)
4	J.P. Morgan	LME Copper Futures^		02/2016		462,675		471,111		8,436
9	J.P. Morgan	LME Copper Futures^		02/2016		1,040,066		1,059,971		19,905
4	J.P. Morgan	LME Copper Futures^		02/2016		446,110		471,070		24,960

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

AQR Funds Annual Report December 2015

147

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
2	J.P. Morgan	LME Copper Futures^		03/2016		$ 227,505		$ 235,488		$ 7,983
2	J.P. Morgan	LME Copper Futures^		03/2016		231,455		235,478		4,023
11	J.P. Morgan	LME Nickel Futures^		02/2016		642,297		580,553		(61,744	)
4	J.P. Morgan	LME Nickel Futures^		02/2016		229,930		211,168		(18,762	)
1	J.P. Morgan	LME Nickel Futures^		03/2016		52,082		52,917		835
4	J.P. Morgan	LME Zinc Futures^		01/2016		187,160		159,613		(27,547	)
8	J.P. Morgan	LME Zinc Futures^		01/2016		365,112		319,324		(45,788	)
3	J.P. Morgan	LME Zinc Futures^		02/2016		124,207		120,182		(4,025	)
7	J.P. Morgan	LME Zinc Futures^		02/2016		290,517		280,532		(9,985	)
3	J.P. Morgan	LME Zinc Futures^		02/2016		120,907		120,239		(668	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		38,552		40,171		1,619
1	J.P. Morgan	LME Zinc Futures^		03/2016		38,252		40,179		1,927
1	J.P. Morgan	LME Zinc Futures^		03/2016		37,003		40,225		3,222
2	J.P. Morgan	LME Zinc Futures^		03/2016		75,856		80,450		4,594
63	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		1,169,533		1,162,350		(7,183	)
89	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		1,528,857		1,519,123		(9,734	)
33	Barclays Capital	Amsterdam Index Futures		01/2016		3,115,989		3,169,191		53,202
197	Barclays Capital	CAC40 Index Futures		01/2016		9,867,467		9,930,553		63,086
45	Barclays Capital	DAX Index Futures		03/2016		12,783,870		13,169,780		385,910
141	Barclays Capital	E-Mini DJIA CBOT Futures		03/2016		12,207,572		12,225,405		17,833
296	Barclays Capital	Euro Stoxx 50 Index Futures		03/2016		10,510,255		10,557,472		47,217
26	Barclays Capital	FTSE/MIB Index Futures		03/2016		3,008,583		3,029,272		20,689
547	Barclays Capital	NASDAQ 100 E-Mini Futures		03/2016		50,031,026		50,189,985		158,959
169	J.P. Morgan	Nikkei 225 Futures		03/2016		27,592,739		26,757,103		(835,636	)
123	Barclays Capital	S&P 500 E-Mini Futures		03/2016		12,419,818		12,517,710		97,892
408	J.P. Morgan	SGX FTSE China A50 Index Futures		01/2016		4,367,028		4,271,760		(95,268	)
241	Barclays Capital	TOPIX Index Futures		03/2016		31,440,849		31,028,537		(412,312	)
149	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		184,487,903		184,757,769		269,866
286	J.P. Morgan	3-Month Euro Euribor Futures		06/2016		77,891,517		77,842,488		(49,029	)
253	J.P. Morgan	3-Month Euro Euribor Futures		09/2016		68,901,107		68,864,100		(37,007	)
311	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		84,664,164		84,642,677		(21,487	)
356	J.P. Morgan	3-Month Euro Euribor Futures		03/2017		96,890,234		96,870,666		(19,568	)
374	J.P. Morgan	3-Month Euro Euribor Futures		06/2017		101,755,938		101,727,976		(27,962	)
407	J.P. Morgan	3-Month Euro Euribor Futures		09/2017		110,747,655		110,648,686		(98,969	)
247	J.P. Morgan	3-Month Euro Euribor Futures		12/2017		67,163,174		67,110,166		(53,008	)
33	J.P. Morgan	90-Day Sterling Futures		03/2016		6,040,464		6,042,157		1,693
310	J.P. Morgan	90-Day Sterling Futures		06/2016		56,649,875		56,702,523		52,648
156	J.P. Morgan	90-Day Sterling Futures		09/2016		28,520,544		28,496,802		(23,742	)
177	J.P. Morgan	90-Day Sterling Futures		12/2016		32,330,588		32,283,984		(46,604	)
173	J.P. Morgan	90-Day Sterling Futures		03/2017		31,572,840		31,509,772		(63,068	)
149	J.P. Morgan	90-Day Sterling Futures		06/2017		27,162,924		27,100,034		(62,890	)
82	J.P. Morgan	90-Day Sterling Futures		09/2017		14,935,710		14,897,491		(38,219	)
88	J.P. Morgan	90-Day Sterling Futures		12/2017		16,005,446		15,971,337		(34,109	)
104	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		10,464,679		10,596,921		132,242
141	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		06/2016		25,284,797		25,281,564		(3,233	)
281	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		09/2016		50,393,569		50,386,364		(7,205	)
247	Goldman Sachs	Euro - Bobl Futures		03/2016		35,351,225		35,075,388		(275,837	)
62	Goldman Sachs	Euro - OAT Futures		03/2016		10,243,549		10,110,143		(133,406	)

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

AQR Funds Annual Report December 2015

148

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
545	Goldman Sachs	Euro - SCHATZ Futures		03/2016		$ 66,180,208			$ 66,045,003			$ (135,205	)
35	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		06/2016		8,823,066			8,804,164			(18,902	)
41	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		09/2016		10,334,147			10,313,448			(20,699	)
39	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		12/2016		9,825,866			9,809,380			(16,486	)
509	Goldman Sachs	Euro - BTP Italian Government Bond Futures		03/2016		76,672,431			76,291,239			(381,192	)
131	Goldman Sachs	Euro - Bund Futures		03/2016		22,765,675			22,482,162			(283,513	)
92	Goldman Sachs	Long Gilt Futures		03/2016		15,928,424			15,837,094			(91,330	)
						1,548,558,697			1,546,190,417			(2,368,280	)
Short Contracts:
479	Goldman Sachs	Brent Crude Futures^		01/2016		$(17,999,008	)		$(18,043,930	)		$(44,922	)
91	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		(4,179,953	)		(4,323,637	)		(143,684	)
211	Morgan Stanley and Co., International PLC	Copper Futures^		03/2016		(10,950,561	)		(11,262,125	)		(311,564	)
745	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		(13,659,654	)		(13,363,438	)		296,216
382	Goldman Sachs	Gas Oil Futures^		02/2016		(14,585,992	)		(12,768,350	)		1,817,642
116	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		01/2016		(6,102,743	)		(6,192,312	)		(89,569	)
580	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		(62,500,587	)		(61,491,600	)		1,008,987
136	Morgan Stanley and Co., International PLC	Hard Red Winter Wheat Futures^		03/2016		(3,307,010	)		(3,185,800	)		121,210
181	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		01/2016		(9,645,894	)		(8,543,888	)		1,102,006
101	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		(2,329,519	)		(2,415,921	)		(86,402	)
6	J.P. Morgan	LME Aluminum Futures^		01/2016		(234,566	)		(225,037	)		9,529
4	J.P. Morgan	LME Aluminum Futures^		01/2016		(155,550	)		(150,060	)		5,490
4	J.P. Morgan	LME Aluminum Futures^		01/2016		(156,726	)		(150,095	)		6,631
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(40,406	)		(37,532	)		2,874
5	J.P. Morgan	LME Aluminum Futures^		01/2016		(188,621	)		(188,188	)		433
5	J.P. Morgan	LME Aluminum Futures^		01/2016		(185,682	)		(188,188	)		(2,506	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(110,940	)		(112,935	)		(1,995	)
10	J.P. Morgan	LME Aluminum Futures^		01/2016		(368,657	)		(376,528	)		(7,871	)
5	J.P. Morgan	LME Aluminum Futures^		02/2016		(185,805	)		(188,415	)		(2,610	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,555	)		(37,691	)		(136	)
6	J.P. Morgan	LME Aluminum Futures^		02/2016		(224,260	)		(226,234	)		(1,974	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(36,997	)		(37,789	)		(792	)
4	J.P. Morgan	LME Aluminum Futures^		03/2016		(150,990	)		(151,175	)		(185	)
7	J.P. Morgan	LME Aluminum Futures^		03/2016		(263,883	)		(264,469	)		(586	)
2	J.P. Morgan	LME Aluminum Futures^		03/2016		(73,695	)		(75,537	)		(1,842	)
139	J.P. Morgan	LME Aluminum Futures^		03/2016		(5,026,177	)		(5,239,431	)		(213,254	)
15	J.P. Morgan	LME Aluminum Futures^		03/2016		(567,713	)		(565,155	)		2,558
3	J.P. Morgan	LME Copper Futures^		01/2016		(391,118	)		(353,250	)		37,868
2	J.P. Morgan	LME Copper Futures^		01/2016		(260,994	)		(235,505	)		25,489

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

AQR Funds Annual Report December 2015

149

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2	J.P. Morgan	LME Copper Futures^		02/2016		$ (248,973	)		$ (235,562	)		$ 13,411
2	J.P. Morgan	LME Copper Futures^		02/2016		(246,291	)		(235,562	)		10,729
3	J.P. Morgan	LME Copper Futures^		02/2016		(369,020	)		(353,344	)		15,676
1	J.P. Morgan	LME Copper Futures^		02/2016		(118,651	)		(117,781	)		870
4	J.P. Morgan	LME Copper Futures^		02/2016		(464,067	)		(471,112	)		(7,045	)
9	J.P. Morgan	LME Copper Futures^		02/2016		(1,039,659	)		(1,059,970	)		(20,311	)
4	J.P. Morgan	LME Copper Futures^		02/2016		(447,312	)		(471,070	)		(23,758	)
2	J.P. Morgan	LME Copper Futures^		03/2016		(227,905	)		(235,488	)		(7,583	)
2	J.P. Morgan	LME Copper Futures^		03/2016		(230,741	)		(235,478	)		(4,737	)
65	J.P. Morgan	LME Copper Futures^		03/2016		(7,343,716	)		(7,650,907	)		(307,191	)
11	J.P. Morgan	LME Nickel Futures^		02/2016		(642,493	)		(580,552	)		61,941
4	J.P. Morgan	LME Nickel Futures^		02/2016		(230,128	)		(211,168	)		18,960
42	J.P. Morgan	LME Nickel Futures^		03/2016		(2,136,965	)		(2,221,128	)		(84,163	)
1	J.P. Morgan	LME Nickel Futures^		03/2016		(52,194	)		(52,917	)		(723	)
4	J.P. Morgan	LME Zinc Futures^		01/2016		(184,190	)		(159,613	)		24,577
8	J.P. Morgan	LME Zinc Futures^		01/2016		(363,980	)		(319,324	)		44,656
3	J.P. Morgan	LME Zinc Futures^		02/2016		(124,480	)		(120,182	)		4,298
7	J.P. Morgan	LME Zinc Futures^		02/2016		(290,497	)		(280,532	)		9,965
3	J.P. Morgan	LME Zinc Futures^		02/2016		(120,504	)		(120,240	)		264
1	J.P. Morgan	LME Zinc Futures^		03/2016		(38,608	)		(40,172	)		(1,564	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		(38,145	)		(40,179	)		(2,034	)
77	J.P. Morgan	LME Zinc Futures^		03/2016		(3,019,686	)		(3,097,325	)		(77,639	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		(37,123	)		(40,225	)		(3,102	)
2	J.P. Morgan	LME Zinc Futures^		03/2016		(75,501	)		(80,450	)		(4,949	)
311	Morgan Stanley and Co., International PLC	Natural Gas Futures^		01/2016		(6,553,035	)		(7,268,070	)		(715,035	)
45	Morgan Stanley and Co., International PLC	Nymex Palladium Futures^		03/2016		(2,454,362	)		(2,529,000	)		(74,638	)
83	Morgan Stanley and Co., International PLC	Platinum Futures^		04/2016		(3,611,310	)		(3,706,780	)		(95,470	)
152	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		(10,686,477	)		(10,490,280	)		196,197
302	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		(13,119,505	)		(13,050,175	)		69,330
102	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		(2,850,705	)		(2,708,100	)		142,605
198	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		(4,878,477	)		(4,653,000	)		225,477
324	Morgan Stanley and Co., International PLC	WTI Crude Futures^		01/2016		(12,566,594	)		(12,000,960	)		565,634
1	J.P. Morgan	E-Mini MSCI EAFE Index Futures		03/2016		(84,805	)		(84,910	)		(105	)
276	J.P. Morgan	E-Mini MSCI Emerging Markets Index Futures		03/2016		(10,516,783	)		(10,867,500	)		(350,717	)
47	Barclays Capital	E-Mini Russell 2000 Futures		03/2016		(5,278,070	)		(5,318,050	)		(39,980	)
30	Barclays Capital	FTSE 100 Index Futures		03/2016		(2,672,327	)		(2,741,128	)		(68,801	)
41	J.P. Morgan	FTSE/JSE Top 40 Index Futures		03/2016		(1,202,908	)		(1,226,740	)		(23,832	)
28	Barclays Capital	Hang Seng Index Futures		01/2016		(3,974,460	)		(3,957,910	)		16,550
113	Barclays Capital	H-SHARES Index Futures		01/2016		(7,162,329	)		(7,075,212	)		87,117

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

AQR Funds Annual Report December 2015

150

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
64	Barclays Capital	IBEX 35 Index Futures		01/2016		$ (6,685,647	)		$ (6,625,732	)		$ 59,915
127	Barclays Capital	MSCI Singapore Index Futures		01/2016		(2,890,021	)		(2,898,456	)		(8,435	)
56	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		(1,715,974	)		(1,704,640	)		11,334
122	J.P. Morgan	OMXS30 Index Futures		01/2016		(2,063,445	)		(2,092,721	)		(29,276	)
28	Barclays Capital	S&P MID 400 E-Mini Futures		03/2016		(3,884,025	)		(3,901,800	)		(17,775	)
176	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		03/2016		(19,164,586	)		(19,356,566	)		(191,980	)
124	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		(1,965,959	)		(1,971,104	)		(5,145	)
61	Barclays Capital	SPI 200 Index Futures		03/2016		(5,508,091	)		(5,841,932	)		(333,841	)
783	J.P. Morgan	90-Day EURODollar Futures		06/2016		(194,022,334	)		(193,988,250	)		34,084
521	J.P. Morgan	90-Day EURODollar Futures		09/2016		(128,879,356	)		(128,862,838	)		16,518
286	J.P. Morgan	90-Day EURODollar Futures		12/2016		(70,614,037	)		(70,620,550	)		(6,513	)
195	J.P. Morgan	90-Day EURODollar Futures		03/2017		(48,075,186	)		(48,077,250	)		(2,064	)
170	J.P. Morgan	90-Day EURODollar Futures		06/2017		(41,847,493	)		(41,849,750	)		(2,257	)
150	J.P. Morgan	90-Day EURODollar Futures		09/2017		(36,872,045	)		(36,879,375	)		(7,330	)
136	J.P. Morgan	90-Day EURODollar Futures		12/2017		(33,388,180	)		(33,396,500	)		(8,320	)
28	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		(2,577,322	)		(2,589,060	)		(11,738	)
1,196	J.P. Morgan	Australia 3-Year Bond Futures		03/2016		(96,922,124	)		(97,146,432	)		(224,308	)
5	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		03/2016		(895,940	)		(896,193	)		(253	)
81	Morgan Stanley and Co., International PLC	CME Ultra Long Term U.S. Treasury Bond Futures		03/2016		(12,799,904	)		(12,853,687	)		(53,783	)
39	Goldman Sachs	Euro-Buxl 30-Year Bond Futures		03/2016		(6,434,073	)		(6,416,824	)		17,249
465	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		(58,463,620	)		(58,546,406	)		(82,786	)
786	Morgan Stanley and Co., International PLC	U.S. Treasury 2-Year Note Futures		03/2016		(170,726,047	)		(170,746,219	)		(20,172	)
253	Morgan Stanley and Co., International PLC	U.S. Treasury 5-Year Note Futures		03/2016		(29,905,630	)		(29,935,039	)		(29,409	)
90	Morgan Stanley and Co., International PLC	U.S. Treasury Long Bond Futures		03/2016		(13,804,701	)		(13,837,500	)		(32,799	)
						(1,249,729,972	)		(1,247,537,135	)		2,192,837
						$298,828,725			$298,653,282			$(175,443	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		40,275,000		$29,252,728		$29,243,587		$(9,141	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		40,275,000		29,252,993		29,243,587		(9,406	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		15,891,500		4,082,056		3,923,701		(158,355	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		15,891,500		$ 4,082,048		$ 3,923,701		$ (158,347	)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		7,350,000		5,503,072		5,312,869		(190,203	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		7,350,000		5,503,072		5,312,869		(190,203	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		5,000		4,951		5,007		56
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		626,766,500		891,395		877,314		(14,081	)
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		636,508,500		905,020		890,950		(14,070	)
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		363,621,000		115,071		113,628		(1,443	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		363,621,000		115,071		113,628		(1,443	)
Czech Republic Koruna, Expiring 03/16/16	CitiBank	CZK		231,376,500		9,305,078		9,324,866		19,788
Czech Republic Koruna, Expiring 03/16/16	Credit Suisse International	CZK		231,376,500		9,305,022		9,324,866		19,844
Euro, Expiring 03/16/16	CitiBank	EUR		121,525,000		132,874,445		132,309,954		(564,491	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		121,525,000		132,874,445		132,309,954		(564,491	)
British Pound, Expiring 03/16/16	CitiBank	GBP		8,284,999		12,461,963		12,215,216		(246,747	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		8,284,999		12,462,027		12,215,216		(246,811	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		916,785,500		3,162,695		3,155,485		(7,210	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		916,785,500		3,164,155		3,155,485		(8,670	)
Indonesian Rupiah, Expiring 03/16/16*	CitiBank	IDR		40,955,607,000		2,899,385		2,918,455		19,070
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		40,955,607,000		2,899,385		2,918,455		19,070
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		12,837,500		3,331,115		3,304,191		(26,924	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		12,837,500		3,329,774		3,304,191		(25,583	)
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		413,756,500		6,114,844		6,180,539		65,695
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		413,756,500		6,114,845		6,180,539		65,694
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		10,739,732,502		88,187,942		89,506,251		1,318,309
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		10,739,732,502		88,187,967		89,506,251		1,318,284
Korean Won, Expiring 03/16/16*	CitiBank	KRW		5,543,052,000		4,775,651		4,719,765		(55,886	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		5,543,052,000		4,775,651		4,719,765		(55,886	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		57,653,000		3,450,059		3,327,924		(122,135	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		57,653,000			$ 3,450,047			$ 3,327,924			$ (122,123	)
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		9,168,500			2,158,988			2,124,519			(34,469	)
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		9,517,500			2,241,984			2,205,389			(36,595	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		42,872,000			4,987,153			4,840,011			(147,142	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		42,872,000			4,987,160			4,840,011			(147,149	)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		37,417,000			24,838,792			25,478,709			639,917
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		37,417,000			24,838,798			25,478,710			639,912
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		51,364,000			1,081,877			1,087,121			5,244
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		51,364,000			1,081,877			1,087,121			5,244
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		15,307,000			3,896,555			3,896,705			150
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		15,307,000			3,896,555			3,896,704			149
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		117,268,500			13,755,991			13,920,969			164,978
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		117,268,500			13,755,985			13,920,969			164,984
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		6,698,000			4,748,105			4,712,717			(35,388	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		6,698,000			4,748,131			4,712,717			(35,414	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		26,842,500			9,001,838			9,019,487			17,649
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		26,842,500			9,001,572			9,019,488			17,916
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		61,346,000			1,870,503			1,869,142			(1,361	)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		72,588,000			2,217,264			2,211,673			(5,591	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		65,819,000			4,320,031			4,199,501			(120,530	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		65,819,000			4,319,964			4,199,501			(120,463	)
							$754,583,095			$755,607,297			$1,024,202
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		(59,103,000	)		$(42,449,706	)		$(42,914,556	)		$(464,850	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		(59,103,000	)		(42,449,679	)		(42,914,555	)		(464,876	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(17,490,500	)		(4,383,172	)		(4,318,503	)		64,669
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(17,490,500	)		(4,383,207	)		(4,318,503	)		64,704

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(103,204,500	)		$ (75,806,410	)		$ (74,600,268	)		$ 1,206,142
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(103,204,500	)		(75,806,346	)		(74,600,269	)		1,206,077
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(30,000	)		(30,079	)		(30,044	)		35
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(279,000	)		(282,691	)		(279,416	)		3,275
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		(1,991,968,000	)		(2,802,883	)		(2,788,252	)		14,631
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		(1,991,968,000	)		(2,802,883	)		(2,788,252	)		14,631
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		(3,291,018,000	)		(1,003,670	)		(1,028,410	)		(24,740	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		(3,291,018,000	)		(1,003,670	)		(1,028,410	)		(24,740	)
Euro, Expiring 03/16/16	CitiBank	EUR		(164,332,002	)		(175,158,071	)		(178,915,940	)		(3,757,869	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(164,332,001	)		(175,157,408	)		(178,915,939	)		(3,758,531	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(17,944,000	)		(26,916,252	)		(26,456,230	)		460,022
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(17,944,000	)		(26,916,213	)		(26,456,230	)		459,983
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(5,666,000	)		(731,283	)		(731,511	)		(228	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(1,089,573,000	)		(3,764,493	)		(3,750,202	)		14,291
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(1,089,573,000	)		(3,765,256	)		(3,750,202	)		15,054
Indonesian Rupiah, Expiring 03/16/16*	CitiBank	IDR		(1,598,920,000	)		(109,665	)		(113,937	)		(4,272	)
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		(1,598,920,000	)		(109,665	)		(113,937	)		(4,272	)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		(7,227,500	)		(1,864,389	)		(1,860,256	)		4,133
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		(7,227,500	)		(1,864,126	)		(1,860,256	)		3,870
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		(108,591,000	)		(1,597,534	)		(1,622,091	)		(24,557	)
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		(108,591,000	)		(1,597,534	)		(1,622,091	)		(24,557	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(5,143,850,500	)		(41,958,498	)		(42,869,483	)		(910,985	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(5,143,850,500	)		(41,958,498	)		(42,869,483	)		(910,985	)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(21,967,355,501	)		(18,618,854	)		(18,704,632	)		(85,778	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(21,967,355,498	)		(18,618,864	)		(18,704,632	)		(85,768	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(255,828,500	)		(15,022,752	)		(14,767,279	)		255,473
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(255,828,500	)		(15,022,722	)		(14,767,279	)		255,443
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		(6,158,500	)		(1,444,190	)		(1,427,044	)		17,146

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

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Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		(6,158,500	)		$ (1,444,192	)		$ (1,427,044	)		$ 17,148
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(275,787,500	)		(31,748,123	)		(31,134,885	)		613,238
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(275,787,500	)		(31,748,056	)		(31,134,883	)		613,173
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		(7,800,000	)		(5,161,519	)		(5,311,327	)		(149,808	)
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		(7,800,000	)		(5,161,519	)		(5,311,327	)		(149,808	)
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		(177,409,000	)		(3,717,975	)		(3,754,871	)		(36,896	)
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		(177,409,000	)		(3,717,975	)		(3,754,871	)		(36,896	)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(55,853,500	)		(14,006,316	)		(14,218,632	)		(212,316	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(55,853,499	)		(14,006,305	)		(14,218,632	)		(212,327	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(102,047,000	)		(11,938,037	)		(12,114,021	)		(175,984	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(102,047,000	)		(11,938,008	)		(12,114,021	)		(176,013	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(8,535,500	)		(6,036,635	)		(6,005,582	)		31,053
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(8,535,500	)		(6,036,656	)		(6,005,582	)		31,074
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(26,608,000	)		(8,827,224	)		(8,940,693	)		(113,469	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(26,608,000	)		(8,826,853	)		(8,940,693	)		(113,840	)
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		(182,337,500	)		(5,565,742	)		(5,555,615	)		10,127
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		(182,337,500	)		(5,565,773	)		(5,555,615	)		10,158
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(248,322,500	)		(16,958,438	)		(15,843,915	)		1,114,523
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(248,322,500	)		(16,957,634	)		(15,843,916	)		1,113,718
							(1,034,763,643	)		(1,039,074,217	)		(4,310,574	)
							$(280,180,548	)		$(283,466,920	)		$(3,286,372	)

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian 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

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

AQR Funds Annual Report December 2015

155

Consolidated Schedule of Investments December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$880,005		$—		$880,005
Barclays Capital
Cash		—		11,114,129		11,114,129
CitiBank
Money Market Funds		7,910,020		—		7,910,020
Credit Suisse International
Money Market Funds		1,800,010		—		1,800,010
Goldman Sachs
Cash		—		3,950,365		3,950,365
Money Market Funds		290,000		—		290,000
J.P. Morgan
Cash		—		7,623,080		7,623,080
Morgan Stanley and Co., International PLC
Cash		—		2,130,236		2,130,236

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CitiBank
Money Market Funds		$560,022		$—			$560,022
Deutsche Bank
Money Market Funds		190,008		—			190,008
Goldman Sachs
Cash		—		1,611,926			1,611,926
J.P. Morgan
Cash		—		2,892,877			2,892,877
Macquarie Capital
Money Market Funds		680,001		—			680,001
Morgan Stanley and Co., International PLC
Cash		—		(2,696,723	)		(2,696,723	)
U.S. Treasury Bills		—		11,164,967			11,164,967
Societe Generale
Money Market Funds		110,000		—			110,000

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

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156

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

LONG INVESTMENTS - 92.0%	SHARES		VALUE (Note 5)
COMMON STOCKS - 4.3%
Canada - 0.0% (a)
Mitel Networks Corp. (1)†		23,602	$	181,499
China - 0.0% (a)
Sihuan Pharmaceutical Holdings Group Ltd. (3)(b)(c)		816,000		408,524
Ireland - 0.6%
Avolon Holdings Ltd. (1)†		71,213		2,204,754
King Digital Entertainment PLC (1)		697,146		12,464,971
				14,669,725
United States - 3.7%
AGL Resources, Inc. (1)		15,373		980,951
Airgas, Inc. (1)		31,102		4,302,029
BioMed Realty Trust, Inc. REIT (1)		400,815		9,495,307
Boulder Brands, Inc. (1)†		269,773		2,962,108
Constant Contact, Inc. (1)†		225,975		6,607,509
Dyax Corp. (1)†		70,075		2,636,222
Fairchild Semiconductor International, Inc. (1)†		78,555		1,626,874
Herbalife Ltd. (1)†(b)		2,771		148,581

	SHARES		VALUE (Note 5)
United States - 3.7% (continued)
Humana, Inc. (1)		8,742	$	1,560,534
Keurig Green Mountain, Inc. (1)		38,299		3,446,144
MedAssets, Inc. (1)†		125,790		3,891,943
PartnerRe Ltd. (1)		9,264		1,294,551
Pep Boys - Manny, Moe & Jack/The (1)†		107,112		1,971,932
Pepco Holdings, Inc. (1)		67,067		1,744,413
Piedmont Natural Gas Co., Inc. (1)		97,997		5,587,789
Precision Castparts Corp. (1)		46,514		10,791,713
Rite Aid Corp. (1)†		1,241,942		9,736,825
SolarWinds, Inc. (1)†		143,087		8,427,824
Solera Holdings, Inc. (1)		14,716		806,878
StanCorp Financial Group, Inc. (1)		13,243		1,508,113
SunEdison, Inc. (1)†		101,808		518,203
Symetra Financial Corp. (1)		166,164		5,279,030
TECO Energy, Inc. (1)		48,528		1,293,271
UTi Worldwide, Inc. (1)†		711,862		5,004,390
				91,623,134
TOTAL COMMON STOCKS (cost $106,491,811)				106,882,882

CONVERTIBLE PREFERRED STOCKS - 11.0%	SHARES		VALUE (Note 5)
Israel - 2.3%
Teva Pharmaceutical Industries Ltd., $1,000.00 par, 7.000% 12/15/18 (1)		55,350	$	56,310,787
Netherlands - 1.2%
Fiat Chrysler Automobiles NV, Series FCAU, $100.00 par, 7.875% 12/15/16		25,012,500		29,061,398
United States - 7.5%
Allergan PLC, Series A, $1,000.00 par, 5.500% 03/01/18 (1)		32,175		33,146,041
Anthem, Inc., $50.00 par, 5.250% 05/01/18 (b)		534,750		24,625,238
Black Hills Corp., $50.00 par, 7.750% 11/01/18		49,266		2,730,814
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1)(d)		30,900		2,874,936
Crown Castle International Corp., Series A, $100.00 par, 4.500% 11/01/16		109,200		11,661,468
Dominion Resources, Inc., $50.00 par, 6.375% 07/01/17 (1)		137,625		6,617,010
Dominion Resources, Inc., Series A, $49.00 par, 6.125% 04/01/16 (1)		167,375		8,884,265
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1)		276,600		14,845,122
Post Holdings, Inc., Perpetual Preferred Stock, $100.00 par, 2.500% 12/31/49 (d)		37,627		4,494,075
Southwestern Energy Co., Series B, $50.00 par, 6.250% 01/15/18 (1)		429,825		7,973,254
Stericycle, Inc., $100.00 par, 5.250% 09/15/18 (1)		103,200		9,448,992
T-Mobile US, Inc., $50.00 par, 5.500% 12/15/17 (1)		329,050		22,279,976
Tyson Foods, Inc., $50.00 par, 4.750% 07/15/17 (1)		310,450		18,838,106
Welltower, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500% 12/31/49 (1)(d)		221,875		13,514,406
Weyerhaeuser Co., Series A, $50.00 par, 6.375% 07/01/16 (1)		95,253		4,789,321
WPX Energy, Inc., Series A, $50.00 par, 6.250% 07/31/18 (1)(b)		65,450		2,057,094
				188,780,118
TOTAL CONVERTIBLE PREFERRED STOCKS (cost $286,665,336)				274,152,303

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

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157

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

CORPORATE BONDS - 0.0% (a)	INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
United States - 0.0% (a)
Sabine Oil & Gas Corp. (e) (cost $3,965,813)		7.250	%		06/15/19	$	3,950,000	$	246,875
CONVERTIBLE BONDS - 22.2%
Canada - 0.3%
Element Financial Corp. 144A (f)		4.250	%		06/30/20		7,675		5,695,929
Element Financial Corp. 144A (b)(f)		5.125	%		06/30/19		3,281		2,769,513
									8,465,442
Mexico - 0.3%
Cemex SAB de CV (b)		3.720	%		03/15/20		7,050		5,529,844
Cemex SAB de CV		3.750	%		03/15/18		350		326,594
Cemex SAB de CV		3.250	%		03/15/16		2,250		2,235,937
									8,092,375
Monaco - 0.2%
Scorpio Tankers, Inc. 144A (f)		2.375	%		07/01/19		4,525		4,182,797
Norway - 0.2%
Ship Finance International Ltd.		3.250	%		02/01/18		5,500		5,847,187
United States - 21.2%
Acorda Therapeutics, Inc.		1.750	%		06/15/21		4,025		4,628,750
Allscripts Healthcare Solutions, Inc.		1.250	%		07/01/20		375		401,250
Alpha Natural Resources, Inc. (e)		4.875	%		12/15/20		200		250
Anthem, Inc.		2.750	%		10/15/42		9,325		17,799,094
Ares Capital Corp. 144A (3)(c)(f)		5.750	%		02/01/16		417		416,739
CalAtlantic Group, Inc. (b)		1.250	%		08/01/32		3,575		3,968,250
Cheniere Energy, Inc. (b)		4.250	%		03/15/45		10,500		5,460,000
Ciena Corp.		4.000	%		12/15/20		1,166		1,514,342
Ciena Corp. 144A (f)		3.750	%		10/15/18		275		341,000
Colony Capital, Inc.		3.875	%		01/15/21		3,150		2,931,469
Dycom Industries, Inc. 144A (b)(f)		0.750	%		09/15/21		3,700		3,635,250
Equinix, Inc.		4.750	%		06/15/16		4,450		17,580,281
General Cable Corp. (b)(g)		4.500	%		11/15/29		1,595		977,934
Herbalife Ltd. (b)		2.000	%		08/15/19		3,000		2,510,625
Hologic, Inc., Series 2010 (g)		2.000	%		12/15/37		1,650		2,792,625
Horizon Pharma Investment Ltd. 144A (b)(f)		2.500	%		03/15/22		2,525		2,520,266
Intel Corp.		3.250	%		08/01/39		19,000		31,599,375
Lam Research Corp.		0.500	%		05/15/16		5,075		6,603,844
Lennar Corp. 144A (f)		2.750	%		12/15/20		2,650		5,857,825
Lennar Corp. 144A (b)(f)		3.250	%		11/15/21		3,325		6,930,547
LinkedIn Corp. (b)		0.500	%		11/01/19		13,425		14,079,469
Medicines Co./The		1.375	%		06/01/17		4,550		6,475,219
Medicines Co./The 144A (f)		2.500	%		01/15/22		5,975		7,573,312
Mentor Graphics Corp.		4.000	%		04/01/31		3,375		3,524,766
Meritor, Inc.		7.875	%		03/01/26		1,600		1,908,000
MGIC Investment Corp. (b)		5.000	%		05/01/17		4,625		4,757,969
MGIC Investment Corp. (b)		2.000	%		04/01/20		13,700		19,043,000
Microchip Technology, Inc.		2.125	%		12/15/37		15,700		29,879,062
Micron Technology, Inc., Series C		2.375	%		05/01/32		7,775		12,201,891
Micron Technology, Inc., Series F		2.125	%		02/15/33		4,400		6,468,000
Molina Healthcare, Inc.		1.125	%		01/15/20		4,500		6,997,500
NorthStar Realty Finance LP 144A (f)		5.375	%		06/15/33		100		124,616
Novellus Systems, Inc.		2.625	%		05/15/41		13,650		32,120,156
NRG Yield, Inc. 144A (b)(f)		3.500	%		02/01/19		4,200		3,848,250
NRG Yield, Inc. 144A (b)(f)		3.250	%		06/01/20		4,575		3,840,141

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

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158

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

	INTEREST RATE			MATURITY DATE		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
United States - 21.2% (continued)
NVIDIA Corp. (b)		1.000	%		12/01/18	$	24,825	$	41,349,141
ON Semiconductor Corp., Series B		2.625	%		12/15/26		3,064		3,416,360
Palo Alto Networks, Inc.		0.000	%		07/01/19		15,225		25,292,531
Pandora Media, Inc. 144A (b)(f)		1.750	%		12/01/20		3,575		3,796,203
Priceline Group, Inc./The (b)		1.000	%		03/15/18		6,100		8,673,437
Prospect Capital Corp. (b)		4.750	%		04/15/20		1,100		952,875
Radian Group, Inc.		2.250	%		03/01/19		2,775		3,574,547
SanDisk Corp. (b)		1.500	%		08/15/17		10,615		16,645,647
SL Green Operating Partnership LP 144A (f)		3.000	%		10/15/17		5,575		7,940,891
Spirit Realty Capital, Inc.		2.875	%		05/15/19		4,025		3,846,390
Spirit Realty Capital, Inc.		3.750	%		05/15/21		4,475		4,234,469
Starwood Property Trust, Inc. (b)		3.750	%		10/15/17		1,650		1,623,188
Starwood Property Trust, Inc. (b)		4.550	%		03/01/18		5,925		6,024,984
Starwood Property Trust, Inc.		4.000	%		01/15/19		4,350		4,515,844
Stillwater Mining Co. (b)		1.750	%		10/15/32		5,725		5,435,172
SunEdison, Inc.		2.750	%		01/01/21		4,925		2,465,578
SunEdison, Inc. (b)		2.000	%		10/01/18		5,950		3,246,469
SunEdison, Inc. 144A (f)		0.250	%		01/15/20		8,325		3,205,125
SunPower Corp. 144A (b)(f)		4.000	%		01/15/23		3,950		4,735,062
Take-Two Interactive Software, Inc.		1.750	%		12/01/16		2,450		4,474,312
Tesla Motors, Inc.		1.500	%		06/01/18		8,500		16,739,688
Trinity Industries, Inc. (b)		3.875	%		06/01/36		5,975		7,151,328
TTM Technologies, Inc.		1.750	%		12/15/20		2,875		2,591,094
UTi Worldwide, Inc.		4.500	%		03/01/19		5,100		5,029,875
Vector Group Ltd. (h)		1.750	%		04/15/20		1,900		2,171,938
VeriSign, Inc.		4.297	%		08/15/37		21,619		55,358,152
Vishay Intertechnology, Inc. (b)		2.250	%		11/15/40		1,875		1,814,063
WebMD Health Corp. (b)		2.500	%		01/31/18		4,775		4,912,281
WebMD Health Corp.		1.500	%		12/01/20		1,675		1,870,766
									524,398,477
TOTAL CONVERTIBLE BONDS (cost $503,995,287)									550,986,278

MONEY MARKET FUNDS - 50.2%	SHARES		VALUE (Note 5)
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% ^(i)		1,000,216	$	1,000,216
Dreyfus Treasury Cash Management, Class I, 0.090% ^(i)		4,000,863		4,000,863
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(i)(j)		764,959,056		764,959,056
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(i)(j)		475,204,153		475,204,153
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% ^(i)		5,001,412		5,001,412
TOTAL MONEY MARKET FUNDS (cost $1,250,165,700)				1,250,165,700

SHORT-TERM INVESTMENTS - 4.3%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Bill, 0.258%, 3/17/2016 ^(k)	$	1,858	$	1,857,623
U.S. Treasury Bill, 0.238%, 2/18/2016 ^(k)		8,096		8,094,867
U.S. Treasury Bill, 0.066%, 4/7/2016 ^(k)		5,000		4,998,040
U.S. Treasury Bill, 0.536%, 6/9/2016 ^(k)		1,853		1,849,366
U.S. Treasury Bill, 0.327%, 5/19/2016 ^(k)		32,518		32,476,930
U.S. Treasury Bill, 0.145%, 4/28/2016 ^(k)		2,481		2,478,921
U.S. Treasury Bill, 0.161%, 2/4/2016 ^(k)		16,427		16,425,571
U.S. Treasury Bill, 0.345%, 5/26/2016 ^(k)		11,300		11,282,553
U.S. Treasury Bill, 0.141%, 1/28/2016 ^(k)		25,758		25,755,759

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

AQR Funds Annual Report December 2015

159

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

SHORT-TERM INVESTMENTS - 4.3% (continued)	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Bill, 0.516%, 6/23/2016 ^(k)	$	1,590		$	1,586,465
TOTAL SHORT-TERM INVESTMENTS (cost $106,804,959)					106,806,095
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $2,258,088,906)					2,289,240,133
SECURITIES SOLD SHORT - (23.7)%		SHARES
COMMON STOCKS - (23.7)%
Canada - (0.1)%
Element Financial Corp. (1)		(267,849	)		(3,232,694	)
Israel - (1.7)%
Teva Pharmaceutical Industries Ltd. ADR (1)		(628,776	)		(41,272,857	)
Italy - 0.0% (a)
Ferrari NV (1)†		(19,413	)		(931,824	)
Mexico - (0.1)%
Cemex SAB de CV ADR (1)†		(244,392	)		(1,361,263	)
Monaco - (0.1)%
Scorpio Tankers, Inc. (1)		(212,674	)		(1,705,645	)
Norway - (0.1)%
Ship Finance International Ltd. (1)		(212,619	)		(3,523,097	)
United Kingdom - (1.0)%
Fiat Chrysler Automobiles NV (1)†		(1,728,135	)		(24,176,609	)
United States - (20.6)%
Acorda Therapeutics, Inc. (1)†		(69,985	)		(2,993,958	)
Allergan PLC (1)†		(83,789	)		(26,184,062	)
Allscripts Healthcare Solutions, Inc. (1)†		(14,619	)		(224,840	)
Anthem, Inc. (1)		(219,124	)		(30,554,651	)
Black Hills Corp. (1)		(42,390	)		(1,968,168	)
Bunge Ltd. (1)		(20,658	)		(1,410,528	)
CalAtlantic Group, Inc. (1)		(51,768	)		(1,963,043	)
Cheniere Energy, Inc. (1)†		(40,974	)		(1,526,281	)
Ciena Corp. (1)†		(44,628	)		(923,353	)
Colony Capital, Inc., Class A REIT (1)		(36,809	)		(717,039	)
Crown Castle International Corp. REIT (1)		(79,484	)		(6,871,392	)
Dominion Resources, Inc. (1)		(296,906	)		(20,082,722	)
Dycom Industries, Inc. (1)†		(25,968	)		(1,816,721	)
Equinix, Inc. REIT (1)		(58,024	)		(17,546,458	)
General Cable Corp. (1)		(40,140	)		(539,080	)
Hologic, Inc. (1)†		(70,929	)		(2,744,243	)
Horizon Pharma PLC (1)†		(69,613	)		(1,508,514	)
Intel Corp. (1)		(752,248	)		(25,914,944	)
Lam Research Corp. (1)		(452,940	)		(35,972,495	)
Lennar Corp., Class A (1)		(238,257	)		(11,653,150	)
LinkedIn Corp., Class A (1)†		(25,980	)		(5,847,578	)
Medicines Co./The (1)†		(279,303	)		(10,429,174	)

	SHARES			VALUE (Note 5)
United States - (20.6)% (continued)
Mentor Graphics Corp. (1)		(61,678	)	$	(1,136,109	)
Meritor, Inc. (1)†		(86,667	)		(723,669	)
MGIC Investment Corp. (1)†		(1,602,932	)		(14,153,890	)
Microchip Technology, Inc. (1)		(608,365	)		(28,313,307	)
Micron Technology, Inc. (1)†		(1,030,765	)		(14,595,632	)
Molina Healthcare, Inc. (1)†		(97,130	)		(5,840,427	)
NorthStar Realty Finance Corp. REIT (1)		(7,317	)		(124,608	)
NRG Yield, Inc., Class A (1)		(51,385	)		(714,765	)
NRG Yield, Inc., Class C (1)		(53,079	)		(783,446	)
NVIDIA Corp. (1)		(1,083,470	)		(35,711,171	)
ON Semiconductor Corp. (1)†		(154,659	)		(1,515,658	)
Palo Alto Networks, Inc. (1)†		(122,183	)		(21,521,314	)
Pandora Media, Inc. (1)†		(99,896	)		(1,339,605	)
Post Holdings, Inc. (1)†		(64,657	)		(3,989,337	)
Priceline Group, Inc./The (1)†		(5,360	)		(6,833,732	)
Prospect Capital Corp. (1)		(1,331	)		(9,290	)
Radian Group, Inc. (1)		(181,946	)		(2,436,257	)
SL Green Realty Corp. REIT (1)		(63,976	)		(7,228,008	)
Southwestern Energy Co. (1)†		(906,369	)		(6,444,284	)
Spirit Realty Capital, Inc. REIT (1)		(163,475	)		(1,638,019	)
Starwood Property Trust, Inc. REIT (1)		(177,634	)		(3,652,155	)
Stericycle, Inc. (1)†		(55,292	)		(6,668,215	)
Stillwater Mining Co. (1)†		(239,443	)		(2,052,027	)
SunEdison, Inc. (1)†		(487,386	)		(2,480,795	)
SunPower Corp. (1)†		(108,692	)		(3,261,847	)
Take-Two Interactive Software, Inc. (1)†		(126,393	)		(4,403,532	)
Tesla Motors, Inc. (1)†		(63,482	)		(15,236,315	)
T-Mobile US, Inc. (1)†		(490,065	)		(19,171,343	)
Trinity Industries, Inc. (1)		(150,850	)		(3,623,417	)
TTM Technologies, Inc. (1)†		(196,669	)		(1,280,315	)
Tyson Foods, Inc., Class A (1)		(275,644	)		(14,700,095	)
Vector Group Ltd. (1)		(31,233	)		(736,787	)
VeriSign, Inc. (1)†		(629,044	)		(54,953,284	)
Vishay Intertechnology, Inc. (1)		(124,670	)		(1,502,274	)
WebMD Health Corp. (1)†		(57,174	)		(2,761,504	)
Welltower, Inc. REIT (1)		(105,864	)		(7,201,928	)
Weyerhaeuser Co. REIT (1)		(81,847	)		(2,453,773	)
WPX Energy, Inc. (1)†		(281,889	)		(1,618,043	)
					(512,202,571	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $589,365,032)					(588,406,560	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $589,365,032)					(588,406,560	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 68.3% (cost $1,668,723,874)					1,700,833,573
OTHER ASSETS IN EXCESS OF LIABILITIES - 31.7% (l)				787,914,161
NET ASSETS - 100.0%				$	2,488,747,734

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

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160

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

SECTOR	VALUE		% OF NET ASSETS
Consumer Discretionary	$	12,408,405		0.5	%
Consumer Staples		26,346,591		1.1
Energy		10,950,106		0.4
Financials		66,309,390		2.7
Health Care		50,014,579		2.0
Industrials		32,781,134		1.3
Information Technology		100,703,729		4.0
Materials		14,416,286		0.6
Telecommunication Services		3,108,633		0.1
Utilities		26,822,925		1.1
Money Market Funds		1,250,165,700		50.2
Other Investments		106,806,095		4.3
Total Investments In Securities, At Value	1,700,833,573		68.3
Other Assets in Excess of Liabilities (l)		787,914,161		31.7
Net Assets	$	2,488,747,734		100.0	%

† Non-income producing security.

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

(b) 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 December 31, 2015, the value of these securities was $180,195,228. In addition, $555,127,262 of cash collateral was pledged.

(c) Security fair valued as of December 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $825,263 or 0.0% of total net assets.

(d) Security is perpetual and, thus, does not have a predetermined maturity date. The date shown, if applicable, reflects the next

call date. The rate shown represents the variable dividend rate in effect as of the close of the reporting period.

(e) Defaulted security.

(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) Represents a step bond. The rate shown reflects the rate as of close of the reporting period.

(h) Indicates a variable rate security. The interest rate shown represents the rate as of the close of the reporting period.

(i) Represents annualized seven-day yield as of the close of the reporting period.

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

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

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

^ All or a portion represents positions held in the respective Subsidiary (See 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

REIT - Real Estate Investment Trust

Credit default swap contracts sell protection as of December 31, 2015:

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 25

5.000%

USD

4.726%

15,125,000

$321,995

12/20/2020

$(127,930

)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley and Co., International PLC	Bovespa Index February Futures	02/2016	BRL		(105,840,502	)		$1,307,377
Goldman Sachs	CNX Nifty Index January Futures	01/2016	INR		(1,200,371,749	)		(38,985	)
CitiBank	Corn March Futures^	02/2016	USD		18,050,297			(794,421	)
Deutsche Bank	Corn March Futures^	02/2016	USD		11,002,532			(490,758	)
Deutsche Bank	Corn March Futures^	02/2016	USD		(5,974,692	)		91,118
Macquarie Capital	Corn March Futures^	02/2016	USD		205,325			(8,013	)
Societe Generale	Corn March Futures^	02/2016	USD		672,699			(26,949	)
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		1,289,630			(24,030	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		205,684,266			(555,470	)
Morgan Stanley and Co., International PLC	KOSPI Index 200 March Futures	03/2016	KRW		36,111,474,943			267,248
Macquarie Capital	Live Cattle February Futures^	02/2016	USD		(5,789,864	)		(119,896	)
Merrill Lynch	Live Cattle February Futures^	02/2016	USD		(965,770	)		(19,190	)
Societe Generale	Live Cattle February Futures^	02/2016	USD		(2,091,003	)		(43,077	)
Morgan Stanley and Co., International PLC	MSCI Taiwan Stock Index January Futures	01/2016	USD		(8,700,839	)		55,879
Morgan Stanley and Co., International PLC	SGX FTSE China A50 Index January Futures	01/2016	USD		2,035,154			(35,384	)
Morgan Stanley and Co., International PLC	SGX S&P CNX Nifty Index January Futures	01/2016	USD		(14,713,525	)		(22,067	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		12,550,978			(321,579	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		(6,274,052	)		94,587
Societe Generale	Soybean March Futures^	02/2016	USD		7,639,653			(207,103	)
CitiBank	Soybean Meal March Futures^	02/2016	USD		(4,993,560	)		214,560
Deutsche Bank	Soybean Meal March Futures^	02/2016	USD		(2,711,684	)		136,334
Societe Generale	Soybean Meal March Futures^	02/2016	USD		(2,467,279	)		130,879
Morgan Stanley and Co., International PLC	Swiss Market Index March Futures	03/2016	CHF		(169,375,953	)		(5,232,380	)
Morgan Stanley and Co., International PLC	Taiwan Stock Exchange January Futures	01/2016	TWD		(108,595,501	)		(120,383	)
Bank of America	Tel Aviv 25 Index January Futures	01/2016	ILS		21,273,893			72,491
Bank of America	U.S. Treasury 2-Year Note March Futures	03/2016	USD		(112,020,742	)		145,039
Bank of America	U.S. Treasury 5-Year Note March Futures	03/2016	USD		(8,774,683	)		18,980
CitiBank	Wheat March Futures^	02/2016	USD		(1,965,477	)		14,977
Deutsche Bank	Wheat March Futures^	02/2016	USD		(538,131	)		21,131
Goldman Sachs	WIG20 Index March Futures	03/2016	PLN		(13,030,866	)		(146,195	)
								$(5,635,280	)

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

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

AQR Funds Annual Report December 2015

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Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
331	Goldman Sachs	Brent Crude Futures^		01/2016		$12,439,962		$12,468,770		$28,808
140	Goldman Sachs	Cocoa Futures^		03/2016		4,709,250		4,668,497		(40,753	)
96	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		3,179,252		3,082,560		(96,692	)
32	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		1,009,141		1,012,480		3,339
5	J.P. Morgan	LME Aluminum Futures^		01/2016		195,981		187,531		(8,450	)
5	J.P. Morgan	LME Aluminum Futures^		01/2016		195,262		187,575		(7,687	)
2	J.P. Morgan	LME Aluminum Futures^		01/2016		78,981		75,048		(3,933	)
2	J.P. Morgan	LME Aluminum Futures^		01/2016		79,905		75,065		(4,840	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		38,765		37,628		(1,137	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		38,002		37,637		(365	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		113,396		112,913		(483	)
2	J.P. Morgan	LME Aluminum Futures^		01/2016		75,755		75,275		(480	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		111,765		112,913		1,148
3	J.P. Morgan	LME Aluminum Futures^		01/2016		111,907		112,935		1,028
9	J.P. Morgan	LME Aluminum Futures^		01/2016		331,391		338,875		7,484
4	J.P. Morgan	LME Aluminum Futures^		02/2016		148,837		150,732		1,895
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,628		37,691		63
3	J.P. Morgan	LME Aluminum Futures^		02/2016		112,189		113,118		929
3	J.P. Morgan	LME Aluminum Futures^		03/2016		113,362		113,344		(18	)
2	J.P. Morgan	LME Aluminum Futures^		03/2016		74,219		75,538		1,319
18	J.P. Morgan	LME Aluminum Futures^		03/2016		679,240		678,487		(753	)
13	J.P. Morgan	LME Aluminum Futures^		03/2016		495,472		489,801		(5,671	)
6	J.P. Morgan	LME Copper Futures^		01/2016		774,018		705,863		(68,155	)
5	J.P. Morgan	LME Copper Futures^		01/2016		648,265		588,275		(59,990	)
4	J.P. Morgan	LME Copper Futures^		01/2016		514,010		470,710		(43,300	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,677		117,778		(12,899	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,449		117,750		(12,699	)
2	J.P. Morgan	LME Copper Futures^		01/2016		259,823		235,505		(24,318	)
2	J.P. Morgan	LME Copper Futures^		02/2016		249,005		235,563		(13,442	)
11	J.P. Morgan	LME Copper Futures^		02/2016		1,354,495		1,295,594		(58,901	)
26	J.P. Morgan	LME Copper Futures^		02/2016		3,198,497		3,062,313		(136,184	)
11	J.P. Morgan	LME Copper Futures^		02/2016		1,329,485		1,295,593		(33,892	)
26	J.P. Morgan	LME Copper Futures^		02/2016		3,031,027		3,062,313		31,286
15	J.P. Morgan	LME Copper Futures^		02/2016		1,735,031		1,766,667		31,636
7	J.P. Morgan	LME Copper Futures^		02/2016		808,842		824,421		15,579
4	J.P. Morgan	LME Copper Futures^		02/2016		446,110		471,070		24,960
2	J.P. Morgan	LME Copper Futures^		02/2016		225,655		235,529		9,874
8	J.P. Morgan	LME Copper Futures^		03/2016		923,224		942,004		18,780
11	J.P. Morgan	LME Copper Futures^		03/2016		1,267,227		1,295,220		27,993
10	J.P. Morgan	LME Copper Futures^		03/2016		1,152,687		1,177,438		24,751
29	J.P. Morgan	LME Copper Futures^		03/2016		3,331,446		3,414,569		83,123
1	J.P. Morgan	LME Copper Futures^		03/2016		113,752		117,743		3,991
1	J.P. Morgan	LME Copper Futures^		03/2016		115,727		117,738		2,011
1	J.P. Morgan	LME Copper Futures^		03/2016		114,652		117,733		3,081
82	J.P. Morgan	LME Copper Futures^		03/2016		9,311,019		9,651,913		340,894
1	J.P. Morgan	LME Nickel Futures^		01/2016		63,393		52,712		(10,681	)
1	J.P. Morgan	LME Nickel Futures^		02/2016		56,882		52,799		(4,083	)
2	J.P. Morgan	LME Nickel Futures^		03/2016		104,165		105,836		1,671

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

AQR Funds Annual Report December 2015

163

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
8	J.P. Morgan	LME Zinc Futures^		01/2016		$ 374,319		$ 319,226		$ (55,093	)
6	J.P. Morgan	LME Zinc Futures^		01/2016		272,751		239,493		(33,258	)
3	J.P. Morgan	LME Zinc Futures^		02/2016		124,207		120,182		(4,025	)
6	J.P. Morgan	LME Zinc Futures^		02/2016		249,015		240,456		(8,559	)
2	J.P. Morgan	LME Zinc Futures^		02/2016		80,605		80,160		(445	)
1	J.P. Morgan	LME Zinc Futures^		02/2016		39,659		40,084		425
1	J.P. Morgan	LME Zinc Futures^		03/2016		38,002		40,164		2,162
2	J.P. Morgan	LME Zinc Futures^		03/2016		77,105		80,343		3,238
2	J.P. Morgan	LME Zinc Futures^		03/2016		74,006		80,450		6,444
2	J.P. Morgan	LME Zinc Futures^		03/2016		75,856		80,450		4,594
206	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		14,509,257		14,217,090		(292,167	)
54	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		1,002,330		996,300		(6,030	)
75	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		1,291,416		1,280,160		(11,256	)
2	Morgan Stanley and Co., International PLC	WTI Crude Futures^		01/2016		73,971		74,080		109
16	Barclays Capital	Amsterdam Index Futures		01/2016		1,518,382		1,536,577		18,195
585	J.P. Morgan	BIST 30 Futures		02/2016		1,847,353		1,786,754		(60,599	)
724	Barclays Capital	CAC40 Index Futures		01/2016		36,263,669		36,496,042		232,373
75	Barclays Capital	DAX Index Futures		03/2016		21,639,699		21,949,632		309,933
100	Barclays Capital	E-Mini DJIA CBOT Futures		03/2016		8,661,658		8,670,500		8,842
2,714	Barclays Capital	Euro Stoxx 50 Index		03/2016		95,701,836		96,800,603		1,098,767
503	J.P. Morgan	FTSE/JSE Top 40 Index Futures		03/2016		14,384,838		15,049,995		665,157
62	Barclays Capital	FTSE/MIB Index Futures		03/2016		7,235,538		7,223,648		(11,890	)
77	J.P. Morgan	KOSPI Index 200 Futures		03/2016		7,803,142		7,895,037		91,895
387	Barclays Capital	NASDAQ 100 E-Mini Futures		03/2016		35,404,693		35,509,185		104,492
120	J.P. Morgan	Nikkei 225 Futures		03/2016		19,601,764		18,999,126		(602,638	)
302	J.P. Morgan	SGX FTSE China A50 Index Futures		01/2016		3,232,574		3,161,940		(70,634	)
1,485	Barclays Capital	TOPIX Index Futures		03/2016		194,065,275		191,192,437		(2,872,838	)
45	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		12,256,312		12,247,333		(8,979	)
254	J.P. Morgan	3-Month Euro Euribor Futures		03/2017		69,132,772		69,115,587		(17,185	)
267	J.P. Morgan	3-Month Euro Euribor Futures		06/2017		72,648,832		72,623,982		(24,850	)
290	J.P. Morgan	3-Month Euro Euribor Futures		09/2017		78,911,900		78,840,586		(71,314	)
175	J.P. Morgan	3-Month Euro Euribor Futures		12/2017		47,583,424		47,547,689		(35,735	)
290	J.P. Morgan	90-Day Sterling Futures		03/2016		52,998,764		53,097,740		98,976
2,600	J.P. Morgan	90-Day Sterling Futures		06/2016		474,484,924		475,569,543		1,084,619
1,705	J.P. Morgan	90-Day Sterling Futures		09/2016		311,370,909		311,455,428		84,519
2,512	J.P. Morgan	90-Day Sterling Futures		12/2016		458,547,433		458,177,227		(370,206	)
125	J.P. Morgan	90-Day Sterling Futures		03/2017		22,812,904		22,767,176		(45,728	)
108	J.P. Morgan	90-Day Sterling Futures		06/2017		19,688,751		19,642,978		(45,773	)
59	J.P. Morgan	90-Day Sterling Futures		09/2017		10,746,522		10,718,926		(27,596	)
63	J.P. Morgan	90-Day Sterling Futures		12/2017		11,458,864		11,434,026		(24,838	)
580	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		57,967,286		59,098,215		1,130,929
373	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		09/2016		66,869,609		66,882,968		13,359
189	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		12/2016		33,858,848		33,877,809		18,961
176	Goldman Sachs	Euro - Bobl Futures		03/2016		25,189,537		24,992,989		(196,548	)
45	Goldman Sachs	Euro - OAT Futures		03/2016		7,441,112		7,338,007		(103,105	)

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

AQR Funds Annual Report December 2015

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Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
389	Goldman Sachs	Euro - SCHATZ Futures		03/2016		$ 47,237,446			$ 47,140,378			$ (97,068	)
25	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		06/2016		6,302,197			6,288,688			(13,509	)
30	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		09/2016		7,561,024			7,546,426			(14,598	)
28	J.P. Morgan	Euro CHF 3-Month LIFFE Futures		12/2016		7,051,951			7,042,632			(9,319	)
362	Goldman Sachs	Euro - BTP Italian Government Bond Futures		03/2016		54,537,305			54,258,210			(279,095	)
179	Goldman Sachs	Euro - Bund Futures		03/2016		30,912,214			30,719,900			(192,314	)
605	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		76,566,583			76,173,281			(393,302	)
						2,585,539,568			2,584,532,900			(1,006,668	)
Short Contracts:
79	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		$(3,625,049	)		$(3,753,488	)		$(128,439	)
180	Morgan Stanley and Co., International PLC	Copper Futures^		03/2016		(9,339,630	)		(9,607,500	)		(267,870	)
649	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		(11,976,151	)		(11,641,438	)		334,713
334	Goldman Sachs	Gas Oil Futures^		02/2016		(12,777,437	)		(11,163,950	)		1,613,487
101	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		01/2016		(5,310,146	)		(5,391,582	)		(81,436	)
398	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		(42,907,144	)		(42,195,960	)		711,184
116	Morgan Stanley and Co., International PLC	Hard Red Winter Wheat Futures^		03/2016		(2,818,125	)		(2,717,300	)		100,825
158	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		01/2016		(8,437,545	)		(7,458,201	)		979,344
86	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		(1,984,992	)		(2,057,120	)		(72,128	)
30	Morgan Stanley and Co., International PLC	Live Cattle Futures^		02/2016		(1,583,184	)		(1,641,600	)		(58,416	)
5	J.P. Morgan	LME Aluminum Futures^		01/2016		(195,472	)		(187,531	)		7,941
5	J.P. Morgan	LME Aluminum Futures^		01/2016		(194,437	)		(187,575	)		6,862
2	J.P. Morgan	LME Aluminum Futures^		01/2016		(78,363	)		(75,047	)		3,316
2	J.P. Morgan	LME Aluminum Futures^		01/2016		(79,626	)		(75,065	)		4,561
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(38,872	)		(37,629	)		1,243
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(38,019	)		(37,638	)		381
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(113,268	)		(112,913	)		355
2	J.P. Morgan	LME Aluminum Futures^		01/2016		(75,082	)		(75,275	)		(193	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(111,409	)		(112,913	)		(1,504	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(110,940	)		(112,935	)		(1,995	)
9	J.P. Morgan	LME Aluminum Futures^		01/2016		(331,758	)		(338,875	)		(7,117	)

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

AQR Funds Annual Report December 2015

165

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
4	J.P. Morgan	LME Aluminum Futures^		02/2016		$ (148,644	)		$ (150,732	)		$ (2,088	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,555	)		(37,691	)		(136	)
3	J.P. Morgan	LME Aluminum Futures^		02/2016		(112,130	)		(113,117	)		(987	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		(113,093	)		(113,344	)		(251	)
2	J.P. Morgan	LME Aluminum Futures^		03/2016		(73,695	)		(75,537	)		(1,842	)
113	J.P. Morgan	LME Aluminum Futures^		03/2016		(4,086,029	)		(4,259,394	)		(173,365	)
13	J.P. Morgan	LME Aluminum Futures^		03/2016		(492,018	)		(489,801	)		2,217
6	J.P. Morgan	LME Copper Futures^		01/2016		(773,820	)		(705,862	)		67,958
5	J.P. Morgan	LME Copper Futures^		01/2016		(643,696	)		(588,275	)		55,421
4	J.P. Morgan	LME Copper Futures^		01/2016		(511,319	)		(470,710	)		40,609
1	J.P. Morgan	LME Copper Futures^		01/2016		(131,272	)		(117,778	)		13,494
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,373	)		(117,750	)		12,623
2	J.P. Morgan	LME Copper Futures^		01/2016		(260,994	)		(235,505	)		25,489
2	J.P. Morgan	LME Copper Futures^		02/2016		(248,973	)		(235,562	)		13,411
11	J.P. Morgan	LME Copper Futures^		02/2016		(1,355,723	)		(1,295,594	)		60,129
26	J.P. Morgan	LME Copper Futures^		02/2016		(3,201,173	)		(3,062,312	)		138,861
11	J.P. Morgan	LME Copper Futures^		02/2016		(1,325,894	)		(1,295,594	)		30,300
26	J.P. Morgan	LME Copper Futures^		02/2016		(3,043,075	)		(3,062,313	)		(19,238	)
15	J.P. Morgan	LME Copper Futures^		02/2016		(1,740,249	)		(1,766,666	)		(26,417	)
7	J.P. Morgan	LME Copper Futures^		02/2016		(808,529	)		(824,422	)		(15,893	)
4	J.P. Morgan	LME Copper Futures^		02/2016		(447,312	)		(471,070	)		(23,758	)
2	J.P. Morgan	LME Copper Futures^		02/2016		(225,375	)		(235,528	)		(10,153	)
8	J.P. Morgan	LME Copper Futures^		03/2016		(920,962	)		(942,004	)		(21,042	)
11	J.P. Morgan	LME Copper Futures^		03/2016		(1,263,335	)		(1,295,220	)		(31,885	)
10	J.P. Morgan	LME Copper Futures^		03/2016		(1,152,311	)		(1,177,437	)		(25,126	)
29	J.P. Morgan	LME Copper Futures^		03/2016		(3,329,197	)		(3,414,569	)		(85,372	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(113,952	)		(117,744	)		(3,792	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(115,370	)		(117,738	)		(2,368	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(114,640	)		(117,734	)		(3,094	)
70	J.P. Morgan	LME Copper Futures^		03/2016		(8,036,751	)		(8,239,438	)		(202,687	)
1	J.P. Morgan	LME Nickel Futures^		01/2016		(63,568	)		(52,712	)		10,856
1	J.P. Morgan	LME Nickel Futures^		02/2016		(56,913	)		(52,800	)		4,113
36	J.P. Morgan	LME Nickel Futures^		03/2016		(1,833,320	)		(1,903,824	)		(70,504	)
2	J.P. Morgan	LME Nickel Futures^		03/2016		(104,389	)		(105,836	)		(1,447	)
8	J.P. Morgan	LME Zinc Futures^		01/2016		(368,380	)		(319,226	)		49,154
6	J.P. Morgan	LME Zinc Futures^		01/2016		(272,985	)		(239,493	)		33,492
3	J.P. Morgan	LME Zinc Futures^		02/2016		(124,480	)		(120,182	)		4,298
6	J.P. Morgan	LME Zinc Futures^		02/2016		(248,997	)		(240,456	)		8,541
2	J.P. Morgan	LME Zinc Futures^		02/2016		(80,336	)		(80,160	)		176
1	J.P. Morgan	LME Zinc Futures^		02/2016		(39,592	)		(40,084	)		(492	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		(38,051	)		(40,164	)		(2,113	)
2	J.P. Morgan	LME Zinc Futures^		03/2016		(77,216	)		(80,343	)		(3,127	)
68	J.P. Morgan	LME Zinc Futures^		03/2016		(2,660,819	)		(2,735,300	)		(74,481	)
2	J.P. Morgan	LME Zinc Futures^		03/2016		(74,246	)		(80,450	)		(6,204	)
2	J.P. Morgan	LME Zinc Futures^		03/2016		(75,501	)		(80,450	)		(4,949	)
371	Morgan Stanley and Co., International PLC	Natural Gas Futures^		01/2016		(7,817,420	)		(8,670,270	)		(852,850	)
38	Morgan Stanley and Co., International PLC	Nymex Palladium Futures^		03/2016		(2,073,722	)		(2,135,600	)		(61,878	)
73	Morgan Stanley and Co., International PLC	Platinum Futures^		04/2016		(3,174,246	)		(3,260,180	)		(85,934	)
210	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		(9,120,792	)		(9,074,625	)		46,167

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

AQR Funds Annual Report December 2015

166

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
82	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		$ (2,291,039	)		$ (2,177,100	)		$ 113,939
171	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		(4,213,366	)		(4,018,500	)		194,866
1	J.P. Morgan	E-Mini MSCI EAFE Index Futures		03/2016		(84,805	)		(84,910	)		(105	)
196	Barclays Capital	E-Mini MSCI Emerging Markets Index Futures		03/2016		(7,524,852	)		(7,717,500	)		(192,648	)
1,003	Barclays Capital	E-Mini Russell 2000 Futures		03/2016		(113,020,734	)		(113,489,450	)		(468,716	)
384	Barclays Capital	FTSE 100 Index Futures		03/2016		(34,329,403	)		(35,086,431	)		(757,028	)
344	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures		01/2016		(6,715,048	)		(6,764,225	)		(49,177	)
20	Barclays Capital	Hang Seng Index Futures		01/2016		(2,838,900	)		(2,827,079	)		11,821
80	Barclays Capital	H-SHARES Index Futures		01/2016		(5,070,587	)		(5,009,000	)		61,587
270	Barclays Capital	IBEX 35 Index Futures		01/2016		(28,083,535	)		(27,952,307	)		131,228
84	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures		03/2016		(2,080,591	)		(2,102,571	)		(21,980	)
41	Barclays Capital	MSCI Singapore Index Futures		01/2016		(933,808	)		(935,722	)		(1,914	)
1,087	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		(33,292,776	)		(33,088,280	)		204,496
86	J.P. Morgan	OMXS30 Index Futures		01/2016		(1,454,836	)		(1,475,196	)		(20,360	)
1,343	Barclays Capital	S&P 500 E-Mini Futures		03/2016		(136,213,940	)		(136,677,110	)		(463,170	)
20	Barclays Capital	S&P MID 400 E-Mini Futures		03/2016		(2,775,198	)		(2,787,000	)		(11,802	)
125	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		03/2016		(13,612,807	)		(13,747,561	)		(134,754	)
2,261	Barclays Capital	SET50 Index Futures		03/2016		(10,013,572	)		(9,985,219	)		28,353
205	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		(3,250,171	)		(3,258,680	)		(8,509	)
217	Barclays Capital	SPI 200 Index Futures		03/2016		(20,093,163	)		(20,781,958	)		(688,795	)
262	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		(324,282,055	)		(324,876,076	)		(594,021	)
61	J.P. Morgan	3-Month Euro Euribor Futures		03/2016		(16,605,465	)		(16,600,282	)		5,183
1,215	J.P. Morgan	3-Month Euro Euribor Futures		06/2016		(330,700,402	)		(330,694,487	)		5,915
378	J.P. Morgan	3-Month Euro Euribor Futures		09/2016		(102,891,714	)		(102,887,864	)		3,850
342	J.P. Morgan	90-Day EURODollar Futures		06/2016		(84,731,557	)		(84,730,500	)		1,057
693	J.P. Morgan	90-Day EURODollar Futures		09/2016		(171,451,288	)		(171,404,887	)		46,401
1,381	J.P. Morgan	90-Day EURODollar Futures		12/2016		(341,121,761	)		(341,003,425	)		118,336
138	J.P. Morgan	90-Day EURODollar Futures		03/2017		(34,022,469	)		(34,023,900	)		(1,431	)
120	J.P. Morgan	90-Day EURODollar Futures		06/2017		(29,539,443	)		(29,541,000	)		(1,557	)
106	J.P. Morgan	90-Day EURODollar Futures		09/2017		(26,056,250	)		(26,061,425	)		(5,175	)
96	J.P. Morgan	90-Day EURODollar Futures		12/2017		(23,568,107	)		(23,574,000	)		(5,893	)
2,825	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		(260,078,720	)		(261,217,697	)		(1,138,977	)
854	J.P. Morgan	Australia 3-Year Bond Futures		03/2016		(69,206,300	)		(69,367,101	)		(160,801	)
106	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		03/2016		(18,993,328	)		(18,999,295	)		(5,967	)
158	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		06/2016		(28,317,526	)		(28,329,695	)		(12,169	)
57	Morgan Stanley and Co., International PLC	CME Ultra Long Term U.S. Treasury Bond Futures		03/2016		(9,007,078	)		(9,045,188	)		(38,110	)
27	Goldman Sachs	Euro-Buxl 30-Year Bond Futures		03/2016		(4,454,938	)		(4,442,417	)		12,521
453	Goldman Sachs	Long Gilt Futures		03/2016		(78,369,151	)		(77,980,476	)		388,675

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

AQR Funds Annual Report December 2015

167

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
562	Morgan Stanley and Co., International PLC	U.S. Treasury 2-Year Note Futures		03/2016		$ (122,072,322	)		$ (122,085,719	)		$ (13,397	)
187	Morgan Stanley and Co., International PLC	U.S. Treasury 5-Year Note Futures		03/2016		(22,104,723	)		(22,125,899	)		(21,176	)
64	Morgan Stanley and Co., International PLC	U.S. Treasury Long Bond Futures		03/2016		(9,817,290	)		(9,840,000	)		(22,710	)
						(2,700,674,099	)		(2,702,237,263	)		(1,563,164	)
						$(115,134,531	)		$(117,704,363	)		$(2,569,832	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		136,350,500		$98,722,942		$99,003,791		$280,849
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		136,350,500		98,723,201		99,003,790		280,589
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		106,992,000		27,174,785		26,416,927		(757,858	)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		106,992,000		27,174,860		26,416,926		(757,934	)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		27,888,500		20,859,883		20,158,904		(700,979	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		27,888,500		20,859,882		20,158,904		(700,978	)
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		29,130,000		29,491,555		29,173,675		(317,880	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		29,130,000		29,492,754		29,173,675		(319,079	)
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		350,847,000		499,909		491,098		(8,811	)
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		350,847,000		499,909		491,097		(8,812	)
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		195,642,500		61,913		61,136		(777	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		195,642,500		61,913		61,136		(777	)
Czech Republic Koruna, Expiring 03/16/16	CitiBank	CZK		398,741,500		16,038,090		16,069,959		31,869
Czech Republic Koruna, Expiring 03/16/16	Credit Suisse International	CZK		398,741,500		16,038,071		16,069,959		31,888
Euro, Expiring 03/16/16	CitiBank	EUR		96,289,500		105,276,143		104,834,884		(441,259	)

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

AQR Funds Annual Report December 2015

168

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		96,289,500		$ 105,276,166		$ 104,834,883		$ (441,283	)
Euro, Expiring 04/05/16	Credit Suisse International	EUR		3,562		3,886		3,880		(6	)
Euro, Expiring 04/05/17	Credit Suisse International	EUR		3,562		3,963		3,941		(22	)
British Pound, Expiring 03/16/16	CitiBank	GBP		9,936,000		14,953,137		14,649,414		(303,723	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		9,936,000		14,953,130		14,649,414		(303,716	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		5,010,000		646,702		646,818		116
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		5,010,000		646,703		646,818		115
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		304,000,000		1,049,740		1,046,339		(3,401	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		304,000,000		1,050,762		1,046,338		(4,424	)
Indonesian Rupiah, Expiring 03/16/16*	CitiBank	IDR		13,192,753,000		934,110		940,102		5,992
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		13,192,753,000		934,110		940,102		5,992
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		9,007,000		2,337,629		2,318,275		(19,354	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		9,007,000		2,336,646		2,318,275		(18,371	)
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		833,374,500		12,308,377		12,448,633		140,256
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		833,374,500		12,308,375		12,448,630		140,255
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		28,722,152,502		234,965,118		239,373,955		4,408,837
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		28,722,152,500		234,965,138		239,373,952		4,408,814
Korean Won, Expiring 03/16/16*	CitiBank	KRW		9,448,731,000		8,139,663		8,045,349		(94,314	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		10,577,899,999		9,095,011		9,006,807		(88,204	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		106,588,000		6,267,828		6,152,617		(115,211	)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		106,588,000		6,267,856		6,152,616		(115,240	)
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		43,249,000		10,039,356		10,021,633		(17,723	)
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		43,466,000		10,090,961		10,071,915		(19,046	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		207,032,500		24,149,351		23,372,825		(776,526	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		207,032,500		24,149,380		23,372,825		(776,555	)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		144,622,000		95,975,777		98,478,814		2,503,037
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		144,621,998		95,975,889		98,478,812		2,502,923
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		33,078,500		696,701		700,108		3,407

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

AQR Funds Annual Report December 2015

169

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		33,078,500		$ 696,700		$ 700,106		$ 3,406
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		7,778,500		1,990,646		1,980,174		(10,472	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		7,778,500		1,990,650		1,980,174		(10,476	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		331,648,502		38,389,298		39,370,065		980,767
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		331,648,500		38,389,049		39,370,064		981,015
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		4,393,500		3,115,366		3,091,268		(24,098	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		4,393,500		3,115,376		3,091,268		(24,108	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		187,794,500		62,965,402		63,101,812		136,410
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		187,794,500		62,965,567		63,101,811		136,244
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		415,260,499		12,702,432		12,652,513		(49,919	)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		422,198,498		12,916,574		12,863,906		(52,668	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		49,577,500		3,244,099		3,163,233		(80,866	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		49,577,500		3,244,120		3,163,232		(80,888	)
						$1,667,222,554		$1,676,759,577		$9,537,023

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		(44,131,000	)		$(31,713,260	)		$(32,043,420	)		$(330,160	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		(44,131,000	)		(31,713,241	)		(32,043,420	)		(330,179	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(2,083,000	)		(520,363	)		(514,304	)		6,059
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(2,746,000	)		(690,535	)		(678,002	)		12,533
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(116,041,000	)		(84,427,295	)		(83,878,998	)		548,297
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(117,801,000	)		(85,693,525	)		(85,151,194	)		542,331
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(97,311,000	)		(96,857,071	)		(97,456,899	)		(599,828	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(103,133,000	)		(102,604,237	)		(103,287,627	)		(683,390	)
Chilean Peso, Expiring 03/16/16*	CitiBank	CLP		(3,809,053,000	)		(5,363,450	)		(5,331,711	)		31,739
Chilean Peso, Expiring 03/16/16*	Credit Suisse International	CLP		(3,809,053,000	)		(5,363,449	)		(5,331,711	)		31,738
Colombian Peso, Expiring 03/16/16*	CitiBank	COP		(2,275,978,000	)		(693,341	)		(711,222	)		(17,881	)
Colombian Peso, Expiring 03/16/16*	Credit Suisse International	COP		(2,275,978,000	)		(693,340	)		(711,221	)		(17,881	)

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

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Consolidated Schedule of Investments December 31, 2015

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/16/16	CitiBank	EUR		(176,375,003	)		$ (187,932,646	)		$ (192,027,720	)		$ (4,095,074	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(176,375,002	)		(187,931,890	)		(192,027,718	)		(4,095,828	)
Euro, Expiring 04/05/16	Credit Suisse International	EUR		(3,562	)		(4,730	)		(3,880	)		850
Euro, Expiring 04/05/17	Credit Suisse International	EUR		(3,562	)		(4,751	)		(3,941	)		810
British Pound, Expiring 03/16/16	CitiBank	GBP		(82,893,499	)		(124,344,046	)		(122,216,307	)		2,127,739
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(82,893,499	)		(124,344,880	)		(122,216,307	)		2,128,573
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(33,274,000	)		(4,294,189	)		(4,295,851	)		(1,662	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(2,854,273,500	)		(9,818,200	)		(9,824,128	)		(5,928	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(2,854,273,500	)		(9,822,196	)		(9,824,126	)		(1,930	)
Indonesian Rupiah, Expiring 03/16/16*	Credit Suisse International	IDR		(435,151,000	)		(30,862	)		(31,008	)		(146	)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		(45,183,001	)		(11,681,418	)		(11,629,467	)		51,951
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		(45,183,000	)		(11,681,164	)		(11,629,466	)		51,698
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		(68,188,000	)		(1,002,965	)		(1,018,567	)		(15,602	)
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		(68,188,000	)		(1,002,965	)		(1,018,567	)		(15,602	)
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(3,942,043,500	)		(32,126,420	)		(32,853,475	)		(727,055	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(3,942,043,500	)		(32,126,419	)		(32,853,475	)		(727,056	)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(40,464,100,500	)		(34,246,894	)		(34,454,130	)		(207,236	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(41,283,716,500	)		(34,941,475	)		(35,152,011	)		(210,536	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(1,588,117,001	)		(94,894,824	)		(91,671,429	)		3,223,395
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(1,588,117,001	)		(94,894,631	)		(91,671,428	)		3,223,203
Malaysian Ringgit, Expiring 03/16/16*	CitiBank	MYR		(64,639,500	)		(15,259,746	)		(14,978,229	)		281,517
Malaysian Ringgit, Expiring 03/16/16*	Credit Suisse International	MYR		(66,483,500	)		(15,689,774	)		(15,405,519	)		284,255
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(1,217,516,000	)		(140,032,170	)		(137,450,828	)		2,581,342
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(1,217,515,998	)		(140,032,579	)		(137,450,828	)		2,581,751
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		(48,280,000	)		(31,675,932	)		(32,875,754	)		(1,199,822	)
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		(48,280,000	)		(31,675,932	)		(32,875,754	)		(1,199,822	)
Philippine Peso, Expiring 03/16/16*	CitiBank	PHP		(123,457,000	)		(2,587,130	)		(2,612,973	)		(25,843	)
Philippine Peso, Expiring 03/16/16*	Credit Suisse International	PHP		(123,457,000	)		(2,587,128	)		(2,612,972	)		(25,844	)

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

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Consolidated Schedule of Investments December 31, 2015

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(45,591,500	)		$ (11,427,146	)		$ (11,606,233	)		$ (179,087	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(45,591,500	)		(11,427,119	)		(11,606,233	)		(179,114	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(218,211,500	)		(25,866,997	)		(25,903,935	)		(36,938	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(218,211,500	)		(25,866,996	)		(25,903,933	)		(36,937	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(12,823,000	)		(9,075,226	)		(9,022,269	)		52,957
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(12,823,000	)		(9,075,257	)		(9,022,268	)		52,989
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(19,763,500	)		(6,582,830	)		(6,640,837	)		(58,007	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(19,763,500	)		(6,582,525	)		(6,640,837	)		(58,312	)
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		(70,457,000	)		(2,146,568	)		(2,146,744	)		(176	)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		(131,873,000	)		(4,010,483	)		(4,018,019	)		(7,536	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(187,162,001	)		(12,667,510	)		(11,941,643	)		725,867
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(187,162,001	)		(12,663,626	)		(11,941,642	)		721,984
							(1,960,393,346	)		(1,956,220,180	)		4,173,166
							$(293,170,792	)		$(279,460,603	)		$13,710,189

* Non-deliverable forward (See Note 4).

AUD - Australian Dollar

BRL - Brazilian Real

CAD - Canadian Dollar

CHF - Swiss Franc

CLP - Chilean Peso

COP - Colombian 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

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Total Return Basket Swaps* Outstanding at December 31, 2015

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Bank of America	The Fund receives 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.	66-67 months maturity 08/12/2019		$25,733

* 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 Swaps

The following table represents the individual short positions and related values within the total return basket swaps as of December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stock
United States
Herbalife Ltd.		(22,591	)	$	(1,270,518	)	$	59,188
Net Cash and Other Receivables/ (Payables) (b)								(33,455	)
Swaps, at Value							$	25,733

(a) Notional value represents the market value (including any fees or commissions) of the 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.

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

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COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	49 months maturity 12/21/2016		$39,465,513

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
BHP Billiton PLC		414,089	$	4,958,860	$	(341,014	)
Germany
TUI AG		46,568		864,419		(32,943	)
Ireland
DCC PLC		69,365		3,550,669		2,244,221
Shire PLC		21,836		1,643,589		(145,478	)
					2,098,743
Luxembourg
Regus PLC		163,195		768,891		32,979
Netherlands
Royal Dutch Shell PLC		38,535		1,178,982		(306,196	)
South Africa
Investec PLC		540,658		3,953,342		(141,162	)
Mondi PLC		119,723		1,969,896		376,763
					235,601
Switzerland
Coca-Cola HBC AG		15,617		354,631		(22,057	)
Glencore PLC		1,839,268		2,675,332		(238,065	)
Wolseley PLC		53,026		3,151,994		(271,999	)
					(532,121)
United Kingdom
3i Group PLC		21,400		165,725		(14,132	)
AA PLC		241,581		1,062,652		53,344
Anglo American PLC		127,349		642,539		(83,832	)
AstraZeneca PLC		90,828		5,918,409		216,782
Auto Trader Group PLC		52,341		261,669		79,587
Aviva PLC		141,924		1,042,443		34,828
BAE Systems PLC		258,708		1,780,603		124,139
Balfour Beatty PLC		33,560		124,804		8,865
Barclays PLC		41,786		158,445		(23,946	)
Barratt Developments PLC		802,832		4,757,431		2,640,436
Bellway PLC		579		22,162		2,048
Berkeley Group Holdings PLC		95,619		3,795,709		1,402,476
Booker Group PLC		444,101		1,166,296		18,953
BP PLC		378,910		2,170,760		(201,684	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Britvic PLC		92,382	$	990,262	$	(461	)
BT Group PLC		1,648,816		10,997,760		450,919
Close Brothers Group PLC		110,140		2,501,684		(329,780	)
Compass Group PLC		15,699		260,436		11,600
Direct Line Insurance Group PLC		865,544		4,219,952		968,216
Dixons Carphone PLC		104,976		667,346		105,181
DS Smith PLC		800,255		3,942,983		738,162
easyJet PLC		16,313		420,380		(2,000	)
G4S PLC		291,563		1,191,037		(222,526	)
GKN PLC		726,008		3,747,589		(453,061	)
Greene King PLC		19,705		238,399		31,363
Halma PLC		24,310		248,652		60,904
Hays PLC		1,462,826		3,074,945		66,697
Howden Joinery Group PLC		375,826		2,631,292		280,625
Imperial Tobacco Group PLC		181,842		8,481,253		1,123,215
Inchcape PLC		651,966		6,033,781		1,488,392
Indivior PLC		41,983		121,196		(5,178	)
Informa PLC		85,972		734,376		42,591
Inmarsat PLC		30,280		410,362		97,265
Intermediate Capital Group PLC		485,085		4,000,696		471,083
International Consolidated Airlines Group SA		212,703		1,858,774		53,654
ITV PLC		610,066		1,860,425		623,368
John Wood Group PLC		39,738		336,940		20,950
Jupiter Fund Management PLC		20,631		135,074		2,036
Just Eat PLC		116,894		714,962		133,800
Kingfisher PLC		1,183,974		6,198,287		(463,728	)
Man Group PLC		1,300,741		3,163,056		183,111
Melrose Industries PLC		134,293		545,342		29,894
Merlin Entertainments PLC		109,890		718,423		18,396
Micro Focus International PLC		4,079		75,456		20,335
National Grid PLC		17,069		231,978		3,430
Next PLC		7,891		792,146		55,117
Persimmon PLC		94,170		2,312,647		496,759
Playtech PLC		99,824		1,195,033		27,103
Premier Oil PLC		312,893		734,951		(511,083	)
Provident Financial PLC		36,199		1,171,449		623,394
Reckitt Benckiser Group PLC		15,090		1,199,079		197,144
Rentokil Initial PLC		1,389,345		2,678,232		581,506

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

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REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Rio Tinto PLC		124,521		$	4,337,967		$	(712,504	)
Royal Mail PLC		61,914			444,062			(38,533	)
Sage Group PLC/The		366,623			2,694,516			562,954
Smith & Nephew PLC		152,160			2,522,553			189,253
Spectris PLC		18,360			561,166			(73,912	)
SSE PLC		56,586			1,295,405			(24,837	)
Stagecoach Group PLC		34,156			179,318			(30,079	)
TalkTalk Telecom Group PLC		27,558			87,931			519
Tate & Lyle PLC		4,656			41,386			(375	)
Taylor Wimpey PLC		2,331,069			5,821,094			1,147,319
Travis Perkins PLC		141,778			3,745,303			367,744
UBM PLC		90,726			708,964			(5,801	)
United Utilities Group PLC		33,980			490,689			(22,808	)
Vedanta Resources PLC		55,166			320,136			(97,916	)
Vodafone Group PLC		1,840,993			6,306,698			(336,787	)
Whitbread PLC		5,159			377,518			(43,130	)
William Hill PLC		288,096			1,414,689			266,668
WPP PLC		166,824			3,145,133			692,116
							13,116,148
Total of Long Equity Positions								14,271,197
Short Positions
Common Stocks
Chile
Antofagasta PLC		(321,312	)		(3,380,245	)		1,170,002
Ireland
Experian PLC		(200,255	)		(3,284,658	)		(254,731	)
United Kingdom
Aberdeen Asset Management PLC		(1,523,465	)		(8,957,188	)		2,465,363
Admiral Group PLC		(520,705	)		(10,637,410	)		(2,086,341	)
Aggreko PLC		(250,931	)		(5,919,350	)		2,541,390
Amec Foster Wheeler PLC		(206,952	)		(2,450,014	)		1,143,596
ARM Holdings PLC		(59,992	)		(842,804	)		(71,596	)
Ashtead Group PLC		(93,641	)		(1,447,749	)		(93,379	)
ASOS PLC		(49,170	)		(2,139,276	)		(359,038	)
Associated British Foods PLC		(6,050	)		(320,339	)		22,635
Babcock International Group PLC		(20,563	)		(296,004	)		(11,725	)
British American Tobacco PLC		(109,787	)		(5,821,727	)		(275,188	)
BTG PLC		(158,867	)		(1,438,492	)		(171,294	)
Bunzl PLC		(6,633	)		(177,423	)		(6,605	)
Burberry Group PLC		(379,675	)		(8,713,162	)		2,033,151
Cable & Wireless Communications PLC		(514,401	)		(448,642	)		(114,123	)
Capita PLC		(70,905	)		(1,154,278	)		(107,300	)
Centrica PLC		(1,885,342	)		(7,155,549	)		1,101,768
Cobham PLC		(19,675	)		(77,128	)		(5,032	)
Croda International PLC		(75,437	)		(2,608,321	)		(771,629	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Daily Mail & General Trust PLC		(16,522	)	$	(231,681	)	$	61,636
Diageo PLC		(338,552	)		(9,048,014	)		(197,082	)
Drax Group PLC		(589,866	)		(3,357,080	)		1,233,336
Essentra PLC		(30,189	)		(410,456	)		42,449
Eurasian Resources Group		(2,433	)		(8,027	)		736
GlaxoSmithKline PLC		(222,257	)		(4,596,704	)		108,037
Hargreaves Lansdown PLC		(655,576	)		(10,053,866	)		(4,500,329	)
Henderson Group PLC		(159,285	)		(634,121	)		(89,833	)
HSBC Holdings PLC		(29,064	)		(223,786	)		(5,652	)
ICAP PLC		(167,812	)		(1,030,294	)		(229,317	)
IMI PLC		(113,300	)		(2,269,973	)		832,278
InterContinental Hotels Group PLC		(3,967	)		(140,625	)		(14,003	)
Intertek Group PLC		(135,283	)		(5,309,916	)		(224,047	)
J Sainsbury PLC		(1,195,336	)		(4,770,788	)		218,705
Johnson Matthey PLC		(38,368	)		(1,769,674	)		268,799
Ladbrokes PLC		(44,349	)		(79,738	)		1,511
Legal & General Group PLC		(95,873	)		(364,866	)		(13,439	)
Lloyds Banking Group PLC		(1,598,853	)		(1,913,064	)		192,706
Marks & Spencer Group PLC		(602,239	)		(4,204,826	)		195,001
Meggitt PLC		(44,063	)		(346,034	)		102,751
Ocado Group PLC		(245,318	)		(1,384,751	)		288,736
Old Mutual PLC		(1,067,740	)		(3,319,876	)		511,014
Pearson PLC		(84,172	)		(1,534,440	)		624,502
Pennon Group PLC		(308	)		(3,483	)		(424	)
Petrofac Ltd.		(509,502	)		(6,861,828	)		885,525
Prudential PLC		(150,148	)		(3,232,218	)		(150,540	)
Rolls-Royce Holdings PLC (3)		(6,390,181	)		416			(9,837	)
Rolls-Royce Holdings PLC		(48,824	)		(600,146	)		186,586
Rolls-Royce Holdings PLC (3)		(7,522,765	)		(554	)		(10,536	)
Rotork PLC		(92,532	)		(311,831	)		62,813
Royal Bank of Scotland Group PLC		(288,689	)		(1,460,689	)		177,449
RSA Insurance Group PLC		(439,502	)		(2,860,555	)		102,087
Schroders PLC		(2,115	)		(94,160	)		1,525
Serco Group PLC		(344,061	)		(621,862	)		143,083
Severn Trent PLC		(17,235	)		(560,679	)		9,735
Sky PLC		(169,808	)		(2,331,634	)		(451,987	)
Smiths Group PLC		(40,937	)		(652,961	)		86,848
Spirax-Sarco Engineering PLC		(11,610	)		(509,502	)		(51,989	)
Sports Direct International PLC		(721,151	)		(7,117,013	)		988,598
St James’s Place PLC		(231,210	)		(3,077,109	)		(349,810	)
Standard Chartered PLC		(494,035	)		(7,755,346	)		3,656,262
Standard Life PLC		(825,297	)		(5,614,128	)		888,054
Tesco PLC		(3,540,076	)		(11,252,565	)		3,474,042
Thomas Cook Group PLC		(247,380	)		(427,116	)		(14,283	)

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

AQR Funds Annual Report December 2015

175

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Weir Group PLC/The		(158,290	)	$	(4,234,655	)	$	1,909,566
WM Morrison Supermarkets PLC		(826,111	)		(2,208,116	)		408,119
								16,584,034
Total of Short Equity Positions								17,499,305
Total of Long and Short Equity Positions								31,770,502
Net Cash and Other Receivables/ (Payables) (b)								7,695,011
Swaps, at Value							$	39,465,513

(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.

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap.	24-49 months maturity ranging from 12/21/2016 - 12/22/2016		$16,837,625

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		10,158	$	1,039,943	$	142,128
Air France-KLM		1,115		7,650		837
Atos SE		93,158		6,452,122		1,368,724
AXA SA		10,811		285,340		10,055
BNP Paribas SA		363		22,182		(1,644	)
Cap Gemini SA		58,276		3,906,083		1,501,091
Christian Dior SE		1,630		326,529		(49,653	)
Cie Generale des Etablissements Michelin		67,784		5,319,689		1,132,168
CNP Assurances		68,778		1,141,356		(213,587	)
Credit Agricole SA		175,993		2,223,942		(150,015	)
Dassault Systemes		5,074		396,960		8,609
Eiffage SA		28,920		1,561,056		307,990
Etablissements Maurel et Prom		10,053		70,394		(37,831	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Groupe Eurotunnel SE		55,815	$	625,523	$	68,876
Havas SA		26,740		216,842		8,153
Iliad SA		25,109		5,515,358		470,082
Imerys SA		11,524		735,717		69,251
Ingenico Group SA		7,812		885,417		100,621
Ipsen SA		9,393		592,088		30,270
Lagardere SCA		250,640		6,871,717		607,741
Natixis SA		73,262		449,055		(34,605	)
Numericable-SFR SAS		3,510		155,215		(27,704	)
Orange SA		245,719		3,913,255		196,575
Orpea		5,902		439,043		33,507
Peugeot SA		895,304		15,278,423		415,291
Rexel SA		180,595		3,270,296		(865,533	)
Safran SA		4,778		363,452		(35,190	)
Sanofi		69,375		6,848,107		(935,846	)
SCOR SE		70,494		2,196,280		441,446
SEB SA		8,620		800,248		84,691
Societe BIC SA		19,204		1,862,356		1,297,758

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

AQR Funds Annual Report December 2015

176

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Societe Generale SA		52,298		$	2,380,188		$	29,816
Societe Television Francaise 1		137,312			2,056,910			(532,223	)
Sodexo SA		418			40,143			694
Suez Environnement Co.		247,528			3,445,400			1,184,199
Teleperformance		5,932			436,537			62,270
Thales SA		32,132			1,819,474			585,598
Valeo SA		46,422			2,445,512			4,711,585
Vinci SA		5,790			364,385			6,723
Vivendi SA		333,191			7,752,715			(596,755	)
							11,396,163
Luxembourg
SES SA		81,611			2,632,362			(370,944	)
Portugal
Galp Energia SGPS SA		67,151			764,205			19,358
NOS SGPS SA		58,438			444,061			15,724
Sonae SGPS SA		83,491			101,609			(6,721	)
							28,361
Total of Long Equity Positions								11,053,580
Short Positions
Common Stocks
France
Accor SA		(38,711	)		(1,269,015	)		(407,557	)
Air Liquide SA		(575	)		(67,773	)		3,220
Airbus Group SE		(18,230	)		(1,245,747	)		17,275
Arkema SA		(28,671	)		(2,018,820	)		11,889
Bollore SA		(579	)		121			(2,783	)
Bollore SA		(350,521	)		(1,898,191	)		264,891
Bureau Veritas SA		(112,648	)		(2,456,754	)		211,522
Carrefour SA		(68,853	)		(2,145,737	)		158,667
Casino Guichard Perrachon SA		(93,879	)		(5,934,056	)		1,621,191
Cie de Saint-Gobain		(35,053	)		(1,266,624	)		(252,407	)
Danone SA		(3	)		(209	)		6
Edenred		(227,876	)		(4,909,546	)		601,993
Electricite de France SA		(232,687	)		(5,068,159	)		1,641,265
Engie		(112,664	)		(1,805,601	)		(190,042	)
Essilor International SA		(28,692	)		(3,045,161	)		(530,895	)
Eutelsat Communications SA		(22,323	)		(449,383	)		(218,978	)
Faurecia		(26,170	)		(1,073,608	)		24,983
Hermes International		(2,849	)		(1,060,732	)		97,699
JCDecaux SA		(22,771	)		(842,055	)		(30,867	)
Kering		(30,464	)		(5,270,059	)		61,477
Legrand SA		(21,389	)		(987,286	)		(222,589	)
L’Oreal SA		(1,224	)		(213,644	)		7,762

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
LVMH Moet Hennessy Louis Vuitton SE		(5,952	)	$	(899,274	)	$	(35,608	)
Pernod Ricard SA		(27,948	)		(2,608,308	)		(579,007	)
Plastic Omnium SA		(14,413	)		(358,458	)		(99,685	)
Publicis Groupe SA		(5,929	)		(487,292	)		93,041
Remy Cointreau SA		(62,159	)		(4,026,866	)		(425,293	)
Renault SA		(51,574	)		(5,282,200	)		119,875
Schneider Electric SE		(37,988	)		(2,614,162	)		456,293
Technip SA		(172,813	)		(10,134,877	)		1,540,839
TOTAL SA		(50,294	)		(2,321,833	)		67,083
Vallourec SA		(53,256	)		(483,116	)		(12,685	)
Veolia Environnement SA		(99,021	)		(2,213,477	)		(135,873	)
Zodiac Aerospace		(141,009	)		(4,162,803	)		805,333
							4,662,035
Luxembourg
Eurofins Scientific SE		(539	)		(195,243	)		7,229
Portugal
Banco Comercial Portugues SA		(13,093,490	)		(812,171	)		118,306
EDP - Energias de Portugal SA		(504,723	)		(1,847,703	)		29,013
Jeronimo Martins SGPS SA		(140,778	)		(1,851,345	)		19,487
								166,806
Total of Short Equity Positions								4,836,070
Total of Long and Short Equity Positions								15,889,650
Net Cash and Other Receivables/ (Payables) (b)								947,975
Swaps, at Value							$	16,837,625

(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.

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

AQR Funds Annual Report December 2015

177

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives 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.	37 months maturity 10/20/2016		$771

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Australia
Asciano Ltd.		331,134	$	2,120,664	$	(15,414	)
Recall Holdings Ltd.		600,909		3,095,887		(72,960	)
Veda Group Ltd.		4,282,690		8,575,759		118,251
					29,877
Total of Long Equity Positions						29,877
Net Cash and Other Receivables/ (Payables) (b)						(29,106	)
Swaps, at Value					$	771

(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.

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

AQR Funds Annual Report December 2015

178

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap.	49 months maturity 12/21/2016		$3,544,798

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United Kingdom
Amlin PLC		614,206		$	5,949,913		$	55,716
BG Group PLC		1,388,765			22,314,544			(2,183,229	)
Cable & Wireless Communications PLC		162,749			177,129			921
Pace PLC		1,016,134			5,946,837			275,791
Rexam PLC		999,434			8,079,699			834,755
SABMiller PLC		393,389			22,730,108			804,008
Telecity Group PLC		358,341			5,823,999			798,227
							586,189
Total of Long Equity Positions								586,189
Short Positions
Common Stocks
Netherlands
Royal Dutch Shell PLC		(629,999	)		(17,179,753	)		2,821,490
Royal Dutch Shell PLC		(5,177	)		1,094			(118,348	)
							2,703,142
Total of Long and Short Equity Positions								3,289,331
Net Cash and Other Receivables/ (Payables) (b)								255,467
Swaps, at Value							$	3,544,798

(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.

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

AQR Funds Annual Report December 2015

179

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives 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.	25 months maturity 11/22/2016		$65,906

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Israel
EZchip Semiconductor Ltd.		140,460		$	3,421,606		$	50,566
United States
National Penn Bancshares, Inc.		27,130			325,422			9,091
Total of Long Equity Positions								59,657
Short Positions
Common Stocks
United Kingdom
Liberty Global PLC		(542	)		(21,156	)		(1,803	)
Liberty Global PLC		(1,314	)		(49,299	)		(4,273	)
							(6,076)
United States
ARRIS Group, Inc.		(150,719	)		(4,852,623	)		245,144
Ball Corp.		(46,020	)		(3,202,407	)		(144,627	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
BB&T Corp.		(5,908	)	$	(215,023	)	$	(8,359	)
Equinix, Inc.		(11,942	)		(3,270,202	)		(341,059	)
Iron Mountain, Inc.		(79,245	)		(2,369,890	)		229,483
							(19,418)
Total of Short Equity Positions								(25,494	)
Total of Long and Short Equity Positions								34,163
Net Cash and Other Receivables/ (Payables) (b)								31,743
Swaps, at Value							$	65,906

(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.

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

AQR Funds Annual Report December 2015

180

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Deutsche Bank	The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap 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 ranging from 04/26/2016 - 11/24/2016		$519,059

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Alcatel-Lucent		2,117,309		$	7,796,087		$	568,823
Italy
Enel Green Power SpA		586,748			1,262,865			(70,260	)
Total of Long Equity Positions								498,563
Short Positions
Common Stocks
Finland
Nokia OYJ		(887,686	)		(6,239,593	)		(40,361	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Italy
Enel SpA		(285,160	)	$	(1,278,960	)	$	83,197
Total of Short Equity Positions								42,836
Total of Long and Short Equity Positions								541,399
Net Cash and Other Receivables/ (Payables) (b)								(22,340	)
Swaps, at Value							$	519,059

(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.

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

AQR Funds Annual Report December 2015

181

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Hong Kong Interbank Offered Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap.	5 - 12 months maturity ranging from 04/25/2016 -12/12/2016		$232,119

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
China
Air China Ltd.		3,816,000	$	4,033,348	$	(1,040,472	)
ANTA Sports Products Ltd.		1,323,000		3,138,537		478,366
AviChina Industry & Technology Co., Ltd.		1,207,000		970,420		(27,295	)
Bank of China Ltd.		3,599,000		2,538,185		(941,261	)
Bank of Communications Co., Ltd.		1,499,000		1,498,657		(447,443	)
Beijing Capital International Airport Co., Ltd.		964,000		1,065,895		(30,507	)
China Cinda Asset Management Co., Ltd.		1,376,000		504,199		2,250
China CITIC Bank Corp. Ltd.		249,000		227,070		(66,586	)
China Communications Construction Co., Ltd.		2,181,000		3,713,711		(1,503,904	)
China Communications Services Corp. Ltd.		44,000		17,487		(1,028	)
China Construction Bank Corp.		3,414,000		3,422,012		(1,093,158	)
China Galaxy Securities Co., Ltd.		732,500		662,114		3,608
China International Marine Containers Group Co., Ltd.		164,300		419,783		(120,702	)
China Longyuan Power Group Corp. Ltd.		1,341,000		1,452,422		(444,018	)
China Medical System Holdings Ltd.		288,000		512,680		(90,597	)
China Mengniu Dairy Co., Ltd.		1,091,000		1,906,548		(135,483	)
China Petroleum & Chemical Corp.		218,000		132,938		(2,024	)
China Shenhua Energy Co., Ltd.		714,000		1,521,179		(406,267	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Southern Airlines Co., Ltd.		946,000	$	592,859	$	136,412
China Telecom Corp. Ltd.		1,918,000		1,422,075		(527,391	)
Chongqing Rural Commercial Bank Co., Ltd.		227,000		135,352		989
CNOOC Ltd.		89,000		100,091		(7,462	)
CSPC Pharmaceutical Group Ltd.		846,000		834,842		27,662
Dongfeng Motor Group Co., Ltd.		2,018,000		3,085,343		(412,061	)
ENN Energy Holdings Ltd.		62,000		322,381		6,505
Geely Automobile Holdings Ltd.		7,845,000		3,811,865		333,492
GOME Electrical Appliances Holding Ltd.		18,743,000		3,568,128		(461,165	)
Great Wall Motor Co., Ltd.		955,500		1,522,059		(418,431	)
Huadian Power International Corp. Ltd.		1,266,000		992,010		(172,812	)
Industrial & Commercial Bank of China Ltd.		469,000		282,266		(1,138	)
Kingsoft Corp. Ltd.		75,000		159,640		22,485
People’s Insurance Co. Group of China Ltd./The		2,832,000		1,847,139		(468,309	)
PICC Property & Casualty Co., Ltd.		1,744,000		3,771,080		(329,268	)
Semiconductor Manufacturing International Corp.		10,725,000		1,089,101		1,579
Shandong Weigao Group Medical Polymer Co., Ltd.		76,000		67,423		(15,455	)

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

AQR Funds Annual Report December 2015

182

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
Sinopec Engineering Group Co., Ltd.		31,000		$	25,408		$	962
Sinopec Shanghai Petrochemical Co., Ltd.		5,211,000			2,572,862			(511,879	)
Sinopharm Group Co., Ltd.		49,200			211,941			(15,524	)
Tencent Holdings Ltd.		3,200			62,583			73
Weichai Power Co., Ltd.		1,251,000			1,438,201			(60,525	)
Zhejiang Expressway Co., Ltd.		1,116,000			1,768,576			(435,131	)
Zhuzhou CSR Times Electric Co., Ltd.		501,000			3,721,825			(832,779	)
ZTE Corp.		11,000			25,322			(351	)
							(10,006,043)
Hong Kong
Beijing Enterprises Holdings Ltd.		12,500			76,567			(1,214	)
China Agri-Industries Holdings Ltd.		305,000			110,915			(6,868	)
China Mobile Ltd.		25,775			317,294			(27,168	)
China Power International Development Ltd.		1,445,000			894,144			(62,353	)
China Resources Cement Holdings Ltd.		968,000			537,060			(241,383	)
China Resources Power Holdings Co., Ltd.		442,000			1,133,384			(278,242	)
China Taiping Insurance Holdings Co., Ltd.		7,200			22,196			(95	)
CITIC Ltd.		610,000			1,113,608			(38,030	)
Guangdong Investment Ltd.		1,342,000			1,931,181			(35,971	)
Sino Biopharmaceutical Ltd.		3,868,999			2,978,063			519,964
							(171,360)
Total of Long Equity Positions								(10,177,403	)
Short Positions
Common Stocks
China
AAC Technologies Holdings, Inc.		(374,094	)		(2,021,196	)		(412,418	)
Aluminum Corp. of China Ltd.		(660,000	)		(319,557	)		102,904
Anhui Conch Cement Co., Ltd.		(499,000	)		(1,655,521	)		321,656
BBMG Corp.		(448,000	)		(414,283	)		111,666
Byd Co., Ltd.		(696,000	)		(3,887,291	)		90,725
CGN Power Co., Ltd.		(5,033,000	)		(2,502,679	)		628,784
China Merchants Bank Co., Ltd.		(1,107,000	)		(3,120,385	)		529,074
China Minsheng Banking Corp. Ltd.		(934,000	)		(891,458	)		(29,932	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
China (continued)
China Oilfield Services Ltd.		(4,040,000	)	$	(6,720,740	)	$	3,249,145
China Pacific Insurance Group Co., Ltd.		(633,400	)		(3,055,406	)		463,298
China Railway Group Ltd.		(270,000	)		(223,702	)		20,071
China Shipping Container Lines Co., Ltd.		(6,029,000	)		(2,871,785	)		1,204,531
CITIC Securities Co., Ltd.		(517,500	)		(1,043,276	)		(155,849	)
CRRC Corp. Ltd.		(2,708,000	)		(3,504,410	)		177,735
Datang International Power Generation Co., Ltd.		(314,000	)		(101,048	)		5,989
Fosun International Ltd.		(241,000	)		(443,111	)		68,623
GF Securities Co., Ltd.		(177,200	)		(447,010	)		5,032
Huaneng Power International, Inc.		(788,000	)		(784,921	)		110,163
Huatai Securities Co., Ltd.		(678,200	)		(1,491,421	)		(76,381	)
Jiangsu Expressway Co., Ltd.		(270,000	)		(346,548	)		(15,822	)
Lenovo Group Ltd.		(1,796,000	)		(2,330,440	)		517,929
New China Life Insurance Co., Ltd.		(170,000	)		(733,715	)		23,305
PetroChina Co., Ltd.		(32,000	)		(25,201	)		4,253
Ping An Insurance Group Co. of China Ltd.		(78,500	)		(437,174	)		4,270
Shanghai Fosun Pharmaceutical Group Co., Ltd.		(523,000	)		(1,998,854	)		485,808
Shenzhou International Group Holdings Ltd.		(45,000	)		(238,776	)		(19,109	)
Sinotrans Ltd.		(1,510,000	)		(862,993	)		59,203
Tingyi Cayman Islands Holding Corp.		(1,336,000	)		(2,377,947	)		479,918
Want Want China Holdings Ltd.		(3,263,000	)		(3,388,659	)		966,904
Zijin Mining Group Co., Ltd.		(8,048,000	)		(2,379,400	)		272,526
							9,194,001
Hong Kong
Beijing Enterprises Water Group Ltd.		(5,376,000	)		(4,566,430	)		816,751
Brilliance China Automotive Holdings Ltd.		(3,202,000	)		(4,113,813	)		108,919
China Gas Holdings Ltd.		(2,620,000	)		(4,469,975	)		705,351
China Resources Beer Holdings Co., Ltd.		(32,000	)		(62,138	)		(6,140	)
China Resources Gas Group Ltd.		(456,000	)		(1,588,352	)		229,333
China State Construction International Holdings Ltd.		(164,000	)		(258,040	)		(25,567	)

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

AQR Funds Annual Report December 2015

183

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Hong Kong (continued)
China Unicom Hong Kong Ltd.		(338,000	)	$	(439,192	)	$	30,886
							1,859,533
Total of Short Equity Positions								11,053,534
Total of Long and Short Equity Positions								876,131
Net Cash and Other Receivables/ (Payables) (b)								(644,012	)
Swaps, at Value							$	232,119

(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.

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread, which is denominated in PLN based on the local currencies of the positions within the swaps.	12 months maturity ranging from 04/25/2016 - 12/09/2016		$(1,429,710	)

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Poland
Energa SA		141,285		$	930,529		$	(475,702	)
KGHM Polska Miedz SA		37,731			808,535			(199,926	)
PGE Polska Grupa Energetyczna SA		644,962			3,534,309			(1,443,296	)
Polskie Gornictwo Naftowe i Gazownictwo SA		616,834			933,510			(128,439	)
							(2,247,363)
Total of Long Equity Positions								(2,247,363	)
Short Positions
Common Stocks
Poland
Bank Pekao SA		(11,136	)		(549,603	)		142,885
Mbank SA		(4,347	)		(514,334	)		167,181
Polski Koncern Naftowy Orlen SA		(4,113	)		(70,601	)		(201	)
Powszechna Kasa Oszczednosci Bank Polski SA		(207,740	)		(1,914,120	)		471,232

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Poland (continued)
Powszechny Zaklad Ubezpieczen SA		(15,828	)	$	(140,836	)	$	4,288
							785,385
Total of Short Equity Positions								785,385
Total of Long and Short Equity Positions								(1,461,978	)
Net Cash and Other Receivables/ (Payables) (b)								32,268
Swaps, at Value							$	(1,429,710	)

(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.

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

AQR Funds Annual Report December 2015

184

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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.	8-12 months maturity ranging from 04/25/2016 - 12/21/2016		$(1,758,504	)

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Brazil
Banco do Brasil SA		18,300	$	85,179	$	(16,998	)
BRF SA		195,320		3,411,713		(676,616	)
Cia Energetica de Minas Gerais		464,261		1,542,543		(846,151	)
EDP - Energias do Brasil SA		186,000		684,721		(118,670	)
JBS SA		986,993		4,620,452		(1,539,412	)
Porto Seguro SA		25,000		297,372		(115,445	)
Qualicorp SA		71,300		322,079		(67,427	)
TOTVS SA		2,700		22,645		(1,468	)
					(3,382,187)
Indonesia
Bank Negara Indonesia Persero Tbk PT		605,600		336,138		(119,322	)
Indofood Sukses Makmur Tbk PT		1,202,600		690,727		(243,096	)
Telekomunikasi Indonesia Persero Tbk PT		1,951,800		386,818		50,340
United Tractors Tbk PT		808,800		1,142,043		(157,238	)
					(469,316)
Korea, Republic of
Amorepacific Corp.		3,777		1,283,427		42,025
BGF retail Co., Ltd.		1,817		280,985		(17,935	)
BNK Financial Group, Inc.		2,269		26,920		(10,756	)
Coway Co., Ltd.		1,516		112,946		(5,004	)
Daewoo International Corp.		6,363		100,681		(13,059	)
Daewoo Securities Co., Ltd.		250,861		2,807,075		(821,283	)
DGB Financial Group, Inc.		14,313		129,126		(7,193	)
Dongbu Insurance Co., Ltd.		22,209		1,060,315		268,482

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
Hana Financial Group, Inc.		7,588	$	170,458	$	(18,828	)
Hanwha Corp.		122,614		4,720,166		(654,826	)
Hanwha Life Insurance Co., Ltd.		212,786		1,468,636		(131,743	)
Hyosung Corp.		18,915		2,141,254		(270,492	)
Hyundai Development Co-Engineering & Construction		21,180		1,179,393		(487,270	)
Hyundai Engineering & Construction Co., Ltd.		15,971		842,138		(458,733	)
Hyundai Marine & Fire Insurance Co., Ltd.		7,842		179,748		60,532
Hyundai Mobis Co., Ltd.		9,431		2,053,445		(80,201	)
Hyundai Wia Corp.		18,184		1,589,874		129,432
Kia Motors Corp.		35,247		1,615,183		(43,520	)
Korea Aerospace Industries Ltd.		1,233		100,374		(18,980	)
Korea Electric Power Corp.		45,027		1,841,281		66,387
Korean Air Lines Co., Ltd.		80,399		3,354,719		(1,467,383	)
LG Chem Ltd.		1,063		279,174		14,302
LG Display Co., Ltd.		52,863		1,100,005		(5,088	)
Lotte Chemical Corp.		14,368		2,970,625		(38,874	)
LS Industrial Systems Co., Ltd.		2,937		119,896		(5,501	)
NCSoft Corp.		21,003		3,910,064		(123,735	)
NH Investment & Securities Co., Ltd.		43,110		380,557		(15,797	)
Orion Corp.		695		565,171		121,323
Samsung Card Co., Ltd.		23,992		913,721		(285,614	)
Samsung Electro-Mechanics Co., Ltd.		2,012		115,246		(8,344	)
Samsung Electronics Co., Ltd.		2,756		3,074,938		(135,438	)
Samsung Securities Co., Ltd.		18,623		738,065		(84,468	)
Shinsegae Co., Ltd.		8,856		1,724,720		(1,692	)

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

AQR Funds Annual Report December 2015

185

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
SK Hynix, Inc.		106,189	$	4,216,357	$	(1,473,181	)
SK Innovation Co., Ltd.		8,304		751,221		159,487
SK Networks Co., Ltd.		69,705		524,127		(200,769	)
S-Oil Corp.		43,383		2,187,159		718,907
Woori Bank		37,688		289,017		(7,138	)
					(5,311,968)
Malaysia
AirAsia Bhd		1,326,400		435,238		(38,428	)
Mexico
America Movil SAB de CV		38,655		847,704		(304,215	)
Taiwan
AU Optronics Corp.		1,120,000		324,850		5,342
Chicony Electronics Co., Ltd.		12,597		33,067		(5,513	)
China Airlines Ltd.		3,184,000		1,458,179		(297,697	)
China Life Insurance Co., Ltd.		311,000		242,968		(5,479	)
Compal Electronics, Inc.		194,000		148,088		(39,526	)
Eva Airways Corp.		2,019,000		1,262,090		(121,904	)
Feng TAY Enterprise Co., Ltd.		99,060		609,049		(105,278	)
Foxconn Technology Co., Ltd.		184,770		580,044		(190,822	)
Fubon Financial Holding Co., Ltd.		1,714,297		3,179,825		(847,988	)
Hon Hai Precision Industry Co., Ltd.		10,000		26,058		(1,585	)
HTC Corp.		318,000		680,366		71,001
Innolux Corp.		7,337,000		2,439,665		(234,383	)
Inotera Memories, Inc.		3,096,842		2,560,238		51,948
Kinsus Interconnect Technology Corp.		228,000		476,827		(15,937	)
Largan Precision Co., Ltd.		18,000		1,773,563		(541,916	)
Pegatron Corp.		786,000		2,224,240		(514,715	)
Pou Chen Corp.		51,000		80,661		(14,110	)
Powertech Technology, Inc.		342,000		680,389		(6,037	)
Siliconware Precision Industries Co., Ltd.		255,000		354,698		47,992
Wan Hai Lines Ltd.		694,000		565,660		(183,216	)
Zhen Ding Technology Holding Ltd.		282,000		809,748		(166,775	)
					(3,116,598)
Total of Long Common Stocks						(12,622,712	)
Preferred Stocks
Brazil
Braskem SA		100,300		368,824		331,407
Cia Energetica de Sao Paulo		252,100		1,787,116		(933,242	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Brazil (continued)
Gerdau SA		40,472		$	59,087		$	(11,518	)
Oi SA		156,000			98,401			(21,510	)
Suzano Papel e Celulose SA		457,900			2,050,516			112,682
							(522,181)
Total of Long Equity Positions								(13,144,893	)
Short Positions
Common Stocks
Brazil
CCR SA		(197,300	)		(667,378	)		41,503
Cia de Saneamento Basico do Estado de Sao Paulo		(238,132	)		(1,394,688	)		299,281
EcoRodovias Infraestrutura e Logistica SA		(281,800	)		(441,124	)		78,568
Kroton Educacional SA		(46,300	)		(127,082	)		15,552
Tim Participacoes SA		(255,603	)		(3,803,090	)		1,635,576
							2,070,480
Chile
Banco Santander Chile		(65,667	)		(1,428,655	)		270,289
Sociedad Quimica y Minera de Chile SA		(96,030	)		(1,700,570	)		(124,961	)
							145,328
Korea, Republic of
Cheil Worldwide, Inc.		(3,344	)		(61,015	)		2,530
Daewoo Engineering & Construction Co., Ltd.		(354,846	)		(2,344,225	)		665,977
Dongsuh Cos., Inc.		(2,787	)		(79,840	)		6,212
Doosan Corp.		(5,712	)		(573,214	)		144,020
Doosan Heavy Industries & Construction Co., Ltd.		(16,178	)		(316,580	)		35,073
E-MART, Inc.		(4,171	)		(723,137	)		53,860
GS Engineering & Construction Corp.		(78,039	)		(1,741,430	)		448,436
GS Holdings Corp.		(33,103	)		(1,407,244	)		(11,179	)
Hankook Tire Co., Ltd.		(11,481	)		(430,447	)		(27,482	)
Hanon Systems		(402	)		(13,961	)		(3,693	)
Hanwha Chemical Corp.		(145,587	)		(2,374,335	)		(942,725	)
Hotel Shilla Co., Ltd.		(22,886	)		(2,312,490	)		813,934
Hyundai Glovis Co., Ltd.		(22,435	)		(4,292,113	)		636,721
Hyundai Heavy Industries Co., Ltd.		(37,661	)		(3,637,445	)		853,792
Hyundai Motor Co.		(25,469	)		(3,125,373	)		(86,875	)
Industrial Bank of Korea		(78,475	)		(888,750	)		68,179
Kangwon Land, Inc.		(15,547	)		(579,286	)		71,856

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

AQR Funds Annual Report December 2015

186

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Korea, Republic of (continued)
KCC Corp.		(3,349	)	$	(1,209,867	)	$	28,442
Korea Investment Holdings Co., Ltd.		(749	)		(33,722	)		2,422
Korea Zinc Co., Ltd.		(77	)		(30,485	)		(184	)
LG Electronics, Inc.		(6,806	)		(301,325	)		(8,107	)
Lotte Confectionery Co., Ltd.		(189	)		(295,804	)		(70,629	)
Lotte Shopping Co.		(4,537	)		(888,164	)		(4,349	)
NAVER Corp.		(1,285	)		(775,519	)		58,952
POSCO		(10,079	)		(1,816,559	)		404,680
Samsung C&T Corp		(30,387	)		(3,882,470	)		295,679
Samsung Fire & Marine Insurance Co., Ltd.		(1,061	)		(249,241	)		(28,111	)
Samsung Heavy Industries Co., Ltd.		(151,337	)		(2,439,921	)		1,061,413
Samsung Life Insurance Co., Ltd.		(2,450	)		(218,650	)		(10,302	)
Samsung SDI Co., Ltd.		(34,797	)		(3,223,140	)		(122,066	)
Samsung SDS Co., Ltd.		(14,308	)		(3,340,318	)		262,855
							4,599,331
Mexico
Grupo Aeroportuario del Sureste SAB de CV		(836	)		(127,183	)		9,583
Grupo Financiero Santander Mexico SAB de CV		(347,101	)		(3,420,625	)		411,259
							420,842
South Africa
Anglogold Ashanti Ltd.		(118,951	)		(1,169,960	)		325,408
Taiwan
Advanced Semiconductor Engineering, Inc.		(1,186,000	)		(1,362,762	)		379
Chang Hwa Commercial Bank Ltd.		(919,130	)		(526,469	)		88,751
Delta Electronics Inc.		(216,000	)		(1,032,168	)		16,194

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Taiwan (continued)
E.Sun Financial Holding Co., Ltd.		(917,435	)	$	(514,948	)	$	(17,698	)
Formosa Chemicals & Fibre Corp.		(799,000	)		(2,077,021	)		284,695
Formosa Petrochemical Corp.		(218,000	)		(580,517	)		59,075
Formosa Plastics Corp.		(103,000	)		(270,055	)		29,609
Hotai Motor Co., Ltd.		(83,000	)		(1,176,298	)		221,739
MediaTek, Inc.		(476,000	)		(4,973,449	)		1,373,223
President Chain Store Corp.		(2,000	)		(13,423	)		941
Quanta Computer, Inc.		(1,629,000	)		(3,968,718	)		1,355,402
SinoPac Financial Holdings Co., Ltd.		(641,135	)		(261,906	)		79,862
Taishin Financial Holding Co., Ltd.		(1,744,000	)		(804,036	)		201,461
Wistron Corp.		(1,007,000	)		(524,545	)		(40,418	)
							3,653,215
Total of Short Common Stocks								11,214,604
Preferred Stocks
Brazil
Vale SA		(276,901	)		(1,031,096	)		313,692
Total of Short Equity Positions								11,528,296
Total of Long and Short Equity Positions								(1,616,597	)
Net Cash and Other Receivables/ (Payables) (b)								(141,907	)
Swaps, at Value							$	(1,758,504	)

(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.

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

AQR Funds Annual Report December 2015

187

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread, which is denominated in ZAR based on the local currencies of the positions within the swaps.	12-13 months maturity ranging from 04/29/2016 - 12/14/2016		$1,786,820

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Malta
Brait SE		75,431		$	660,940		$	152,867
South Africa
Barloworld Ltd.		6,727			31,015			(3,956	)
Foschini Group Ltd./The		92,829			1,133,821			(404,383	)
Investec Ltd.		2,922			22,419			(1,777	)
Kumba Iron Ore Ltd.		11,565			30,301			506
Mondi Ltd.		41,639			829,048			(5,046	)
Netcare Ltd.		68,618			196,805			(46,519	)
RMB Holdings Ltd.		166,344			779,998			(183,598	)
Telkom SA SOC Ltd.		202,962			865,191			(21,939	)
							(666,712)
Total of Long Equity Positions								(513,845	)
Short Positions
Common Stocks
South Africa
Anglo American Platinum Ltd.		(18,526	)		(347,416	)		124,293
Coronation Fund Managers Ltd.		(136,604	)		(541,359	)		73,499
Discovery Ltd.		(66,117	)		(540,676	)		(26,385	)
Impala Platinum Holdings Ltd.		(1,069,672	)		(3,851,278	)		2,120,853

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
South Africa (continued)
Imperial Holdings Ltd.		(45,949	)	$	(579,517	)	$	223,337
Massmart Holdings Ltd.		(46,838	)		(421,128	)		117,911
MR PRICE GROUP LTD		(8,555	)		(105,883	)		(4,754	)
MTN Group Ltd.		(17,378	)		(227,891	)		78,191
Nedbank Group Ltd.		(11,212	)		(176,708	)		39,743
Sanlam Ltd.		(78,008	)		(349,741	)		44,598
Shoprite Holdings Ltd.		(4,808	)		(50,240	)		5,684
SPAR Group Ltd./The		(25,181	)		(308,879	)		9,268
Tiger Brands Ltd.		(32,151	)		(596,606	)		(61,951	)
Tsogo Sun Holdings Ltd.		(40,722	)		(61,560	)		(2,430	)
								2,741,857
Total of Short Equity Positions								2,741,857
Total of Long and Short Equity Positions								2,228,012
Net Cash and Other Receivables/ (Payables) (b)								(441,192	)
Swaps, at Value							$	1,786,820

(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.

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

AQR Funds Annual Report December 2015

188

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread, which is denominated in MXN based on the local currencies of the positions within the swaps.	12 months maturity ranging from 04/26/2016 - 12/13/2016		$327,859

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Mexico
Alfa SAB de CV		158,800		$	325,674		$	(11,474	)
Arca Continental SAB de CV		95,700			538,380			42,889
El Puerto de Liverpool SAB de CV		11,500			154,094			(13,895	)
Gruma SAB de CV		169,100			1,927,066			444,917
Grupo Lala SAB de CV		8,700			20,160			67
Grupo Mexico SAB de CV		568,000			1,377,306			(164,813	)
OHL Mexico SAB de CV		131,700			185,840			(47,984	)
							249,707
Total of Long Equity Positions								249,707
Short Positions
Common Stocks
Mexico
Coca-Cola Femsa SAB de CV		(21,400	)		(145,284	)		(8,562	)
Grupo Financiero Banorte SAB de CV		(490,400	)		(2,332,276	)		(370,622	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Mexico (continued)
Grupo Financiero Inbursa SAB de CV		(678,000	)	$	(1,452,726	)	$	229,261
Industrias Penoles SAB de CV		(56,335	)		(812,019	)		232,734
Mexichem SAB de CV		(58,800	)		(156,526	)		25,173
							107,984
Total of Short Equity Positions								107,984
Total of Long and Short Equity Positions								357,691
Net Cash and Other Receivables/ (Payables) (b)								(29,832	)
Swaps, at Value							$	327,859

(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.

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

AQR Funds Annual Report December 2015

189

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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 EUR based on the local currencies of the positions within the swap.	1-19 months maturity ranging from 01/19/2016 - 02/06/2017		$3,260,757

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Ageas		52,054	$	2,188,976	$	227,052
bpost SA		135,351		3,306,982		14,177
KBC Groep NV		36,255		2,182,444		84,443
Proximus		140,079		4,485,779		72,522
Umicore SA		8,694		365,999		(1,406	)
					396,788
Finland
Amer Sports OYJ		15,110		396,072		45,077
Huhtamaki OYJ		97		2,944		576
Kesko OYJ		96,076		3,320,082		47,571
Metso OYJ		30,971		685,305		8,451
Neste OYJ		9,576		280,004		5,800
Orion Oyj		57,767		1,926,770		71,869
Outokumpu OYJ		144,784		438,439		(14,309	)
Sampo OYJ		28,268		1,414,546		20,966
Stora Enso OYJ		102,392		1,037,465		(111,622	)
UPM-Kymmene OYJ		184,504		3,396,472		28,903
					103,282
Germany
Allianz SE		2,492		429,415		9,870
Aurubis AG		105,208		5,244,966		82,364
Axel Springer SE		6,396		349,587		6,098
Brenntag AG		53,016		2,765,292		(2,747	)
Commerzbank AG		27,685		299,725		(14,055	)
Deutsche Lufthansa AG		234,762		3,665,900		31,852
Deutsche Post AG		97,627		2,718,666		10,771
Duerr AG		1,597		127,688		(947	)
Evonik Industries AG		11,525		386,477		(5,265	)
Freenet AG		91,329		3,076,130		5,754
GEA Group AG		52,627		2,106,351		19,825
Hannover Rueck SE		30,702		3,515,084		(9,237	)
HeidelbergCement AG		43,623		3,476,010		79,158
Hella KGaA Hueck & Co.		10,814		422,153		26,934
HOCHTIEF AG		31,888		2,912,071		45,462

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
KION Group AG		49,142	$	2,178,152	$	258,687
Krones AG		2,865		310,949		30,194
LANXESS AG		15,028		690,104		1,443
Merck KGaA		58,017		5,514,525		102,730
MTU Aero Engines AG		11,005		1,033,785		38,817
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen		23,860		4,739,960		13,839
OSRAM Licht AG		101,533		4,242,278		(331	)
ProSiebenSat.1 Media SE		118,095		5,945,896		12,153
Rheinmetall AG		32,849		1,996,004		187,531
RHOEN-KLINIKUM AG		98,466		2,907,677		46,178
Rocket Internet SE		3,280		97,479		2,442
Salzgitter AG		60,790		1,798,038		(312,497	)
Software AG		19,270		551,656		(2,428	)
Suedzucker AG		60,467		1,053,056		145,423
Symrise AG		19,665		1,284,928		16,864
Talanx AG		19,062		596,633		(10,390	)
TUI AG		12,952		232,807		1,164
United Internet AG		54,753		2,943,741		66,532
Zalando SE		75,145		2,621,294		346,516
					1,230,704
Italy
A2A SpA		1,187,597		1,585,548		22,524
Atlantia SpA		121,779		3,198,528		23,554
Autogrill SpA		145,087		1,263,315		119,411
Banca Generali SpA		14,888		470,179		(1,862	)
Banca Monte dei Paschi di Siena SpA		2,411,688		4,367,565		(1,174,940	)
Banca Popolare di Milano Scarl		10,063,634		10,414,118		(446,474	)
Banco Popolare SC		322,396		5,186,244		(743,523	)
Enel SpA		600,909		2,497,045		22,749
Eni SpA		73,208		1,073,968		13,772
FinecoBank Banca Fineco SpA		144,610		1,064,676		124,439

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

AQR Funds Annual Report December 2015

190

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Italy (continued)
Finmeccanica SpA		514,758	$	6,769,509	$	387,821
Hera SpA		767,761		1,985,407		49,311
Intesa Sanpaolo SpA		1,659,659		5,812,646		(300,918	)
Luxottica Group SpA		5,425		386,594		(33,073	)
Mediobanca SpA		698,693		6,605,186		92,526
Moncler SpA		99,253		1,801,090		(419,894	)
Prysmian SpA		159,047		3,359,460		115,579
Recordati SpA		56,480		1,326,106		147,505
Snam SpA		517,486		2,635,954		64,775
Telecom Italia SpA		46,547		54,196		4,794
Terna Rete Elettrica Nazionale SpA		262,558		1,307,701		42,606
UniCredit SpA		557,861		3,110,187		(25,945	)
Unione di Banche Italiane SpA		265,365		1,799,623		(26,600	)
Unipol Gruppo Finanziario SpA		261,352		1,262,079		82,209
UnipolSai SpA		323,433		789,732		33,115
					(1,826,539)
Netherlands
Aalberts Industries NV		1,840		56,624		6,774
Aegon NV		196,935		1,130,319		(16,561	)
Akzo Nobel NV		10,682		723,843		(10,086	)
ASM International NV		11,848		437,259		27,225
Boskalis Westminster		80,147		3,232,853		36,520
Delta Lloyd NV		75,883		450,514		(3,188	)
Heineken NV		1,976		155,606		12,783
Koninklijke Ahold NV		327,536		7,031,572		(122,709	)
Koninklijke DSM NV		32,940		1,682,963		(31,172	)
Koninklijke Philips NV		57,820		1,490,421		(14,608	)
NN Group NV		89,276		2,683,767		466,151
Randstad Holding NV		41,494		2,692,659		(108,768	)
Wolters Kluwer NV		157,334		5,321,718		(37,886	)
					204,475
Spain
Abengoa SA		3,155,180		3,554,192		(2,887,595	)
Acciona SA		8,016		627,466		58,977
Acerinox SA		64,597		643,659		15,238
ACS Actividades de Construccion y Servicios SA		158,109		4,469,737		156,137
Almirall SA		50,398		941,958		76,642
Applus Services SA		19,377		188,041		(12,697	)
Banco Santander SA		722,668		4,008,863		(453,791	)
Bankinter SA		112,284		837,218		(40,976	)
Distribuidora Internacional de Alimentacion SA		27,121		169,671		(9,709	)
Ebro Foods SA		56,054		1,073,760		28,868
Enagas SA		190,170		5,227,553		136,750
Endesa SA		405,452		7,827,532		317,856
Ferrovial SA		172,710		3,858,803		46,727
Gamesa Corp. Tecnologica SA		232,792		3,450,997		534,393

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Spain (continued)
Iberdrola SA		48,635		$	334,926		$	9,846
Industria de Diseno Textil SA		76,575			2,856,259			(225,591	)
Mapfre SA		183,836			602,331			(142,159	)
Mediaset Espana Comunicacion SA		177,451			2,072,703			(142,069	)
Obrascon Huarte Lain SA		83,103			549,972			(75,731	)
Red Electrica Corp. SA		40,343			3,304,430			65,407
Repsol SA		279,350			3,057,371			18,069
Tecnicas Reunidas SA		10,000			463,191			(85,093	)
							(2,610,501)
United Kingdom
Dialog Semiconductor PLC		44,860			1,755,613			(258,695	)
RELX NV		113,316			1,826,725			81,777
							(176,918)
Total of Long Equity Positions								(2,678,709	)
Rights
Italy
Unione di Banche Italiane SpA		265,870			—			—
Total of Long Equity Positions and Rights								(2,678,709	)
Short Positions
Common Stocks
Belgium
Anheuser-Busch InBev SA/NV		(71,848	)		(7,753,927	)		(1,187,359	)
Colruyt SA		(14,084	)		(683,664	)		(40,863	)
Solvay SA		(6,538	)		(746,254	)		48,458
Telenet Group Holding NV		(1,954	)		(107,907	)		2,305
UCB SA		(13,307	)		(1,174,312	)		(26,819	)
							(1,204,278)
Finland
Cargotec OYJ		(37,936	)		(1,366,309	)		(48,893	)
Elisa OYJ		(23,507	)		(859,452	)		(24,995	)
Kone OYJ		(97,781	)		(4,058,692	)		(81,460	)
Nokia OYJ		(496,996	)		(3,441,903	)		(74,106	)
Nokian Renkaat OYJ		(236,594	)		(8,255,689	)		(191,020	)
Wartsila OYJ Abp		(927	)		(42,879	)		554
YIT OYJ		(7,062	)		(38,939	)		(1,048	)
							(420,968)
Germany
adidas AG		(42,368	)		(4,054,865	)		(57,334	)
BASF SE		(29,682	)		(2,225,179	)		(35,939	)

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

AQR Funds Annual Report December 2015

191

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany (continued)
Bayer AG		(18,166	)	$	(2,731,194	)	$	462,435
Bayerische Motoren Werke AG		(81,567	)		(8,540,698	)		(52,509	)
Beiersdorf AG		(7,623	)		(631,538	)		(61,327	)
Bilfinger SE		(39,733	)		(1,807,176	)		(60,058	)
Continental AG		(84	)		(20,782	)		462
Daimler AG		(22,944	)		(1,904,165	)		(12,899	)
Deutsche Bank AG		(16,553	)		(387,672	)		(14,312	)
Deutsche Telekom AG		(475,973	)		(8,427,133	)		(121,652	)
E.ON SE		(328	)		(3,376	)		227
Fraport AG Frankfurt Airport Services Worldwide		(19,775	)		(1,268,622	)		7,529
Fresenius Medical Care AG & Co. KGaA		(8,266	)		(707,337	)		12,707
HUGO BOSS AG		(23	)		(2,050	)		153
Infineon Technologies AG		(65,034	)		(721,210	)		(226,902	)
K+S AG		(149,428	)		(3,701,692	)		(107,398	)
Linde AG		(1,258	)		(201,438	)		19,709
MAN SE		(12,612	)		(1,254,269	)		(13,134	)
METRO AG		(6,995	)		(219,259	)		(3,583	)
RWE AG		(545,655	)		(6,703,612	)		(175,671	)
SAP SE		(176,737	)		(13,779,288	)		(245,356	)
Siemens AG		(5,822	)		(553,632	)		(9,622	)
STADA Arzneimittel AG		(224	)		(8,622	)		(411	)
Telefonica Deutschland Holding AG		(559,357	)		(3,247,458	)		297,026
ThyssenKrupp AG		(199,344	)		(3,814,717	)		(136,952	)
Wacker Chemie AG		(26,620	)		(2,198,601	)		(27,113	)
Wirecard AG		(33,683	)		(1,635,885	)		(47,762	)
							(609,686)
Italy
Assicurazioni Generali SpA		(101,984	)		(1,855,261	)		(7,650	)
Azimut Holding SpA		(156,349	)		(4,000,394	)		114,152
Banca Mediolanum SpA		(248,092	)		(1,981,106	)		10,228
Banca Popolare dell’Emilia Romagna SC		(658,129	)		(5,731,381	)		739,381
Buzzi Unicem SpA		(77,708	)		(1,161,419	)		(231,521	)
Davide Campari-Milano SpA		(129,658	)		(1,081,933	)		(39,067	)
Enel Green Power SpA		(1,675,826	)		(3,335,784	)		(70,446	)
Mediaset SpA		(553,663	)		(2,264,500	)		(29,820	)
Saipem SpA		(127,782	)		(1,039,509	)		6,676
Salvatore Ferragamo SpA		(261,341	)		(5,979,686	)		(145,658	)
Tod’s SpA		(1,755	)		(136,550	)		(1,961	)
							344,314

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Luxembourg
APERAM SA		(27,772	)	$	(943,797	)	$	(43,634	)
ArcelorMittal		(1,955,732	)		(8,867,250	)		615,619
Tenaris SA		(642,486	)		(7,576,209	)		(31,694	)
							540,291
Netherlands
Altice NV		(363,260	)		(12,346,950	)		7,127,887
Altice NV		(24,966	)		7,570			(371,460	)
ASML Holding NV		(46,615	)		(4,091,284	)		(50,529	)
Fugro NV		(143,920	)		(2,331,116	)		(29,468	)
Gemalto NV		(24,510	)		(1,486,569	)		15,919
Koninklijke KPN NV		(416,557	)		(1,535,050	)		(40,521	)
Koninklijke Vopak NV		(71,818	)		(3,159,113	)		66,283
QIAGEN NV		(62,807	)		(1,667,639	)		(34,694	)
SBM Offshore NV		(369,959	)		(4,702,036	)		28,441
							6,711,858
Spain
Abertis Infraestructuras SA		(37,354	)		(564,573	)		(19,621	)
Aena SA		(34,897	)		(3,767,528	)		(228,500	)
Amadeus IT Holding SA		(46,792	)		(1,942,297	)		(120,044	)
Atresmedia Corp. de Medios de Comunicacion SA		(78,040	)		(1,260,139	)		428,846
Banco Bilbao Vizcaya Argentaria SA		(195,550	)		(1,959,780	)		530,938
Banco de Sabadell SA		(2,154,388	)		(3,792,427	)		(25,776	)
Banco Popular Espanol SA		(1,382,741	)		(4,539,230	)		(16,743	)
Bankia SA		(5,659,811	)		(6,674,480	)		88,062
CaixaBank SA		(424,538	)		(1,725,636	)		247,984
Cellnex Telecom SAU		(136,435	)		(2,392,224	)		(158,696	)
Gas Natural SDG SA		(52,901	)		(1,096,390	)		17,619
Telefonica SA		(414,174	)		(5,190,500	)		595,684
Zardoya Otis SA		(60,201	)		(684,923	)		(19,154	)
							1,320,599
Switzerland
STMicroelectronics NV		(23,869	)		(165,139	)		4,587
United Kingdom
CNH Industrial NV		(685,117	)		(4,630,392	)		(61,936	)
Fiat Chrysler Automobiles NV		(25,643	)		(371,126	)		15,000
Unilever NV		(11,572	)		(477,821	)		(26,235	)
							(73,171)
Total of Short Common Stocks								6,613,546

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

AQR Funds Annual Report December 2015

192

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Preferred Stocks
Germany
FUCHS PETROLUB SE		(39,570	)	$	(1,837,798	)	$	(25,414	)
Henkel AG & Co. KGaA		(1,729	)		(203,263	)		10,303
Volkswagen AG		(22,959	)		(2,398,947	)		(915,860	)
							(930,971)
Rights
Italy
Mediolanum SpA (3)		(238,411	)		—			—
Total of Short Equity Positions and Rights								5,682,575
Total of Long and Short Equity Positions								3,003,866
Net Cash and Other Receivables/ (Payables) (b)								256,891
Swaps, at Value							$	3,260,757

(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.

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

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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.	1-14 months maturity ranging from 01/19/2016 - 01/30/2017		$(642,719	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Austria
ams AG		2,337	$	76,569	$	1,553
Switzerland
Adecco SA		34,214		2,308,878		32,822
Aryzta AG		37,094		1,877,564		(1,022	)
Baloise Holding AG		21,172		2,644,013		39,292
Bucher Industries AG		2,068		462,853		3,225
Clariant AG		49,339		924,858		10,655
DKSH Holding AG		4,669		301,498		(7,843	)
Flughafen Zuerich AG		3,718		2,755,882		33,778
GAM Holding AG		75,079		1,236,662		6,092

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Geberit AG		2,492	$	804,760	$	39,288
Georg Fischer AG		803		506,025		39,133
Givaudan SA		1,689		2,978,787		86,684
Helvetia Holding AG		2,067		1,149,354		15,005
Lonza Group AG		77,565		12,059,094		555,683
Novartis AG		38,034		3,161,938		109,720
OC Oerlikon Corp. AG		339,596		3,044,980		(22,087	)
Partners Group Holding AG		8,786		3,138,017		21,729
Schindler Holding AG		3,754		614,906		13,134
Sika AG		740		2,642,505		31,704
Straumann Holding AG		7,425		2,214,238		39,305

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

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193

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Sunrise Communications Group AG		11,333		$	657,373		$	10,685
Swiss Life Holding AG		49,749			13,029,453			370,433
Swiss Re AG		82,464			8,031,885			22,069
Swisscom AG		3,133			1,520,013			47,754
Transocean Ltd.		15,650			225,517			(29,885	)
UBS Group AG		8,284			165,158			(4,452	)
Zurich Insurance Group AG		4,217			1,076,433			6,914
							1,469,815
Total of Long Equity Positions								1,471,368
Short Positions
Common Stocks
Switzerland
ABB Ltd.		(785	)		(14,103	)		93
Barry Callebaut AG		(1,862	)		(1,949,054	)		(73,489	)
Chocoladefabriken Lindt & Spruengli AG		(48	)		(274,337	)		(25,409	)
Cie Financiere Richemont SA		(129,909	)		(9,174,719	)		(123,251	)
Credit Suisse Group AG		(173,811	)		(3,646,667	)		(97,563	)
Dufry AG		(7,859	)		(893,112	)		(41,970	)
EMS-Chemie Holding AG		(884	)		(379,747	)		(9,299	)
Galenica AG		(1,520	)		(1,577,239	)		(800,876	)
Julius Baer Group Ltd.		(53,921	)		(2,417,638	)		(190,907	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Switzerland (continued)
Kuehne + Nagel International AG		(12,738	)	$	(1,704,857	)	$	(40,239	)
LafargeHolcim Ltd.		(120,077	)		(5,821,946	)		(190,889	)
Nestle SA		(20,000	)		(1,485,746	)		1,041
Roche Holding AG		(8,746	)		(2,374,086	)		(49,504	)
SGS SA		(2,439	)		(4,528,276	)		(107,045	)
Sonova Holding AG		(9,615	)		(1,182,314	)		(39,306	)
Swatch Group AG/The		(41,553	)		(14,088,565	)		(341,338	)
Syngenta AG		(150	)		(54,664	)		(4,046	)
							(2,133,997)
Total of Short Equity Positions								(2,133,997	)
Total of Long and Short Equity Positions								(662,629	)
Net Cash and Other Receivables/ (Payables) (b)								19,910
Swaps, at Value							$	(642,719	)

(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.

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

AQR Funds Annual Report December 2015

194

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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.	1-15 months maturity ranging from 01/19/2016 - 01/30/2017		$(141,705	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Denmark
AP Moeller - Maersk A/S		1,887		$	2,423,916		$	37,307
Danske Bank A/S		42,851			1,119,278			30,513
DSV A/S		105,424			4,064,435			85,441
GN Store Nord A/S		14,421			251,894			9,825
H Lundbeck A/S		20,206			578,171			111,769
ISS A/S		58,086			1,983,656			110,155
Jyske Bank A/S		28,599			1,247,037			46,545
Novo Nordisk A/S		71,592			4,018,980			126,068
Pandora A/S		83,315			9,963,013			541,664
TDC A/S		619,434			2,983,820			100,368
Topdanmark A/S		3,452			95,641			2,439
Vestas Wind Systems A/S		3,963			237,404			39,367
							1,241,461
Total of Long Equity Positions								1,241,461
Short Positions
Common Stocks
Denmark
Carlsberg A/S		(43,068	)		(3,895,838	)		80,371
Chr Hansen Holding A/S		(32,146	)		(1,938,378	)		(72,367	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Denmark (continued)
Coloplast A/S		(3,049	)	$	(250,233	)	$	4,065
FLSmidth & Co. A/S		(20,170	)		(691,970	)		(8,837	)
Novozymes A/S		(36,816	)		(1,720,615	)		(42,094	)
Tryg A/S		(5,755	)		(114,222	)		(139	)
William Demant Holding A/S		(18,109	)		(1,679,643	)		(45,321	)
							(84,322)
Total of Short Equity Positions								(84,322	)
Total of Long and Short Equity Positions								1,157,139
Net Cash and Other Receivables/ (Payables) (b)								(1,298,844	)
Swaps, at Value							$	(141,705	)

(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.

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

AQR Funds Annual Report December 2015

195

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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 JPY based on the local currencies of the positions within the swap	1-18 months maturity ranging from 01/19/2016 - 01/30/2017		$(1,140,261	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Japan
Air Water, Inc.		20,000	$	317,838	$	3,827
Ajinomoto Co., Inc.		186,000		4,295,449		108,236
Alfresa Holdings Corp.		172,900		3,454,097		(39,271	)
Amada Holdings Co., Ltd.		182,300		1,860,037		(120,405	)
ANA Holdings, Inc.		345,000		1,006,098		(10,737	)
Asahi Group Holdings Ltd.		9,100		290,732		(5,862	)
Asahi Kasei Corp.		471,000		3,054,846		130,106
Astellas Pharma, Inc.		278,300		3,897,143		64,670
Bandai Namco Holdings, Inc.		371,700		8,049,852		(196,897	)
Bank of Kyoto Ltd./The		160,000		1,453,774		30,012
Bank of Yokohama Ltd./The		563,000		3,393,905		57,061
Benesse Holdings, Inc.		39,200		1,110,577		18,305
Bridgestone Corp.		40,200		1,429,139		(50,222	)
Brother Industries Ltd.		162,600		1,887,241		(19,331	)
Central Japan Railway Co.		7,600		1,348,178		1,080
Chiba Bank Ltd./The		527,000		3,661,423		78,291
Chubu Electric Power Co., Inc.		294,000		4,036,209		(10,251	)
Chugai Pharmaceutical Co., Ltd.		6,800		246,387		(9,362	)
Chugoku Bank Ltd./The		75,800		990,828		20,628
Citizen Holdings Co., Ltd.		52,200		372,650		2,525
COLOPL, Inc.		5,100		104,476		(3,915	)
Dai Nippon Printing Co., Ltd.		280,000		2,795,626		(26,807	)
Daicel Corp.		335,900		5,069,685		(70,853	)
Don Quijote Holdings Co., Ltd.		151,900		5,655,129		(320,592	)
East Japan Railway Co.		25,300		2,427,076		(44,678	)
Ezaki Glico Co., Ltd.		21,400		967,853		188,257
FamilyMart Co., Ltd.		21,700		1,034,513		(24,707	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
FANUC Corp.		14,100	$	2,443,820	$	(14,533	)
Fuji Electric Co., Ltd.		721,000		3,101,306		(77,526	)
Fuji Heavy Industries Ltd.		70,900		2,935,979		(15,163	)
FUJIFILM Holdings Corp.		121,800		4,943,829		139,189
Fujitsu Ltd.		1,580,000		7,982,087		(96,116	)
Fukuoka Financial Group, Inc.		1,097,000		5,275,817		163,790
Gree, Inc.		150,900		715,653		830
GungHo Online Entertainment, Inc.		661,900		2,323,996		(525,858	)
Gunma Bank Ltd./The		124,000		847,142		(126,177	)
Hachijuni Bank Ltd./The		204,000		1,508,616		(260,138	)
Hakuhodo DY Holdings, Inc.		162,600		1,800,665		(41,405	)
Haseko Corp.		87,900		993,017		(21,162	)
Hikari Tsushin, Inc.		12,100		827,560		(3,552	)
Hiroshima Bank Ltd./The		26,000		146,525		1,254
Hisamitsu Pharmaceutical Co., Inc.		5,400		227,791		(1,084	)
Hitachi High-Technologies Corp.		180,200		4,805,357		67,811
Hitachi Metals Ltd.		54,700		644,768		30,132
Hokuhoku Financial Group, Inc.		832,000		1,904,951		(208,883	)
Hokuriku Electric Power Co.		27,900		430,825		(18,506	)
Hoshizaki Electric Co., Ltd.		18,900		1,235,913		(60,988	)
Hoya Corp.		226,500		9,266,366		(4,196	)
Idemitsu Kosan Co., Ltd.		20,400		324,535		1,196
Isetan Mitsukoshi Holdings Ltd.		143,400		2,635,939		(765,854	)
Isuzu Motors Ltd.		127,100		1,547,191		(177,989	)
ITOCHU Corp.		210,400		2,453,487		35,219

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

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196

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Itochu Techno-Solutions Corp.		38,000	$	873,621	$	(116,495	)
Iyo Bank Ltd./The		34,900		375,306		(36,228	)
Izumi Co., Ltd.		14,200		572,237		(20,960	)
J Front Retailing Co., Ltd.		261,100		3,970,929		(175,157	)
Japan Airlines Co., Ltd.		404,200		14,602,452		(134,961	)
Japan Petroleum Exploration Co., Ltd.		39,800		1,046,523		22,401
Japan Tobacco, Inc.		191,500		6,470,626		560,061
Joyo Bank Ltd./The		116,000		627,947		(79,400	)
JSR Corp.		80,700		1,373,301		(115,644	)
JTEKT Corp.		327,500		5,490,632		(130,083	)
Kajima Corp.		1,076,000		6,544,232		(140,474	)
Kaken Pharmaceutical Co., Ltd.		41,200		2,984,515		(169,190	)
Kamigumi Co., Ltd.		195,000		1,643,610		35,303
Kaneka Corp.		105,000		1,089,427		1,970
Kansai Electric Power Co., Inc./The		131,000		1,634,902		(64,238	)
Kao Corp.		20,300		1,025,111		18,081
Kawasaki Heavy Industries Ltd.		749,000		2,791,919		(20,698	)
KDDI Corp.		45,100		1,175,252		(3,997	)
Keihan Electric Railway Co., Ltd.		10,000		62,394		4,578
Keio Corp.		23,000		199,023		(401	)
Keisei Electric Railway Co., Ltd.		109,000		1,371,283		19,368
Kewpie Corp.		9,000		197,503		24,813
Keyence Corp.		2,000		950,345		148,865
Kobe Steel Ltd.		4,055,000		4,284,959		120,863
Koito Manufacturing Co., Ltd.		59,200		2,340,921		86,719
Konami Corp.		94,700		2,308,633		(54,342	)
Konica Minolta, Inc.		1,001,400		9,923,544		105,659
Kurita Water Industries Ltd.		97,300		2,059,441		(21,840	)
Mabuchi Motor Co., Ltd.		30,000		1,679,819		(53,972	)
Marubeni Corp.		32,900		189,798		(20,656	)
Medipal Holdings Corp.		277,100		4,777,197		(54,305	)
MEIJI Holdings Co., Ltd.		91,800		7,569,576		13,071
Miraca Holdings, Inc.		39,900		1,772,787		(17,126	)
Mitsubishi Chemical Holdings Corp.		610,900		3,879,204		(3,215	)
Mitsubishi Corp.		2,800		50,736		(4,164	)
Mitsubishi Electric Corp.		607,000		6,328,224		43,361
Mitsubishi Motors Corp.		245,100		2,114,707		(41,029	)
Mitsubishi Tanabe Pharma Corp.		265,300		4,617,862		(47,106	)
Mitsubishi UFJ Lease & Finance Co., Ltd.		240,500		1,242,643		(4,972	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsui & Co., Ltd.		139,100	$	1,637,650	$	15,142
Mixi, Inc.		60,700		2,118,654		151,732
MS&AD Insurance Group Holdings, Inc.		68,500		2,050,245		(41,505	)
Murata Manufacturing Co., Ltd.		4,500		619,605		27,861
Nagoya Railroad Co., Ltd.		98,000		401,183		6,703
Nankai Electric Railway Co., Ltd.		71,000		353,600		66,612
Nexon Co., Ltd.		265,900		4,340,813		(15,222	)
NHK Spring Co., Ltd.		466,400		4,660,696		15,563
Nintendo Co., Ltd.		38,400		6,635,980		(1,355,592	)
Nippon Express Co., Ltd.		812,000		3,763,225		52,547
Nippon Shokubai Co., Ltd.		25,800		1,875,979		(80,685	)
Nippon Yusen KK		798,000		2,100,670		(166,564	)
Nitto Denko Corp.		53,000		4,029,202		(159,901	)
NOK Corp.		145,200		3,463,622		(71,626	)
NSK Ltd.		128,100		1,429,222		(37,297	)
NTN Corp.		215,000		1,025,579		(118,996	)
Obayashi Corp.		292,000		2,349,822		344,522
Obic Co., Ltd.		18,100		880,645		77,472
Omron Corp.		53,200		1,836,826		(62,770	)
Oracle Corp. Japan		12,300		586,397		(13,709	)
ORIX Corp.		382,000		5,759,139		(400,265	)
Osaka Gas Co., Ltd.		951,000		3,397,712		37,243
Otsuka Corp.		83,800		4,253,009		(136,437	)
Otsuka Holdings Co., Ltd.		82,200		3,016,680		(96,201	)
Panasonic Corp.		405,300		4,068,651		40,083
Park24 Co., Ltd.		5,900		124,316		18,626
Pigeon Corp.		600		16,668		(2,112	)
Pola Orbis Holdings, Inc.		13,500		825,694		64,072
Renesas Electronics Corp.		300		1,642		242
Resona Holdings, Inc.		1,857,500		9,018,030		2,429
Rohm Co., Ltd.		108,200		5,590,433		(110,009	)
Sankyo Co., Ltd.		79,700		3,133,096		(158,072	)
Sanrio Co., Ltd.		15,600		437,021		(70,524	)
Santen Pharmaceutical Co., Ltd.		336,700		5,496,554		46,679
Secom Co., Ltd.		20,200		1,366,748		2,201
Sega Sammy Holdings, Inc.		235,800		2,240,492		(34,973	)
Seiko Epson Corp.		21,100		320,399		4,523
Sekisui Chemical Co., Ltd.		390,000		5,156,191		(64,247	)
Seven & i Holdings Co., Ltd.		98,300		4,440,392		60,230
Sharp Corp.		1,433,000		1,554,368		(76,379	)
Shimadzu Corp.		174,000		2,595,794		316,952
Shimamura Co., Ltd.		39,300		4,486,553		115,836
Shimizu Corp.		403,000		3,373,060		(86,903	)

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

AQR Funds Annual Report December 2015

197

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Shin-Etsu Chemical Co., Ltd.		43,600	$	2,395,262	$	(24,910	)
Shionogi & Co., Ltd.		123,900		5,505,106		98,919
Showa Shell Sekiyu KK		55,600		479,686		(25,981	)
SMC Corp.		700		167,367		14,446
Sohgo Security Services Co., Ltd.		11,300		518,350		11,608
Sojitz Corp.		1,227,100		2,816,123		(240,955	)
Sompo Japan Nipponkoa Holdings, Inc.		19,000		636,121		(12,262	)
Sony Corp.		69,300		1,900,726		(197,554	)
Sugi Holdings Co., Ltd.		8,800		394,715		90,805
Sumitomo Chemical Co., Ltd.		837,590		4,911,617		(101,258	)
Sumitomo Corp.		46,200		469,921		1,104
Sumitomo Electric Industries Ltd.		129,000		1,818,761		2,826
Sumitomo Heavy Industries Ltd.		1,845,000		8,212,628		58,246
Sumitomo Rubber Industries Ltd.		89,700		1,211,219		(44,817	)
Sundrug Co., Ltd.		3,400		187,403		31,206
Suntory Beverage & Food Ltd.		29,200		1,132,967		145,296
Suzuken Co., Ltd./Aichi Japan		47,120		1,809,389		(18,726	)
Suzuki Motor Corp.		45,000		1,368,846		(1,574	)
Taiheiyo Cement Corp.		330,923		1,056,496		(90,098	)
Taisei Corp.		919,000		6,262,097		(208,673	)
Takashimaya Co., Ltd.		411,000		3,624,983		76,273
Takeda Pharmaceutical Co., Ltd.		40,800		1,994,295		39,971
TDK Corp.		24,000		1,535,648		1,407
Teijin Ltd.		1,087,000		3,762,233		(57,881	)
THK Co., Ltd.		130,100		2,364,208		47,077
Toho Co., Ltd.		11,600		327,180		(6,182	)
Toho Gas Co., Ltd.		89,000		572,430		2,352
Tohoku Electric Power Co., Inc.		226,700		2,850,069		(16,021	)
Tokio Marine Holdings, Inc.		3,800		161,976		(15,202	)
Tokyo Electric Power Co., Inc.		339,300		2,069,168		(115,391	)
Tokyo Gas Co., Ltd.		663,000		3,040,745		74,555
Tokyu Corp.		129,000		1,026,087		(6,678	)
Toppan Printing Co., Ltd.		301,000		2,772,334		829
Tosoh Corp.		147,000		807,128		(50,958	)
Toyo Seikan Group Holdings Ltd.		170,800		3,250,011		(81,816	)
Toyo Suisan Kaisha Ltd.		67,600		2,356,635		(603	)
Toyoda Gosei Co., Ltd.		58,700		1,374,303		(40,820	)
Toyota Boshoku Corp.		96,200		1,991,376		(55,119	)
Toyota Industries Corp.		5,900		300,107		15,386

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
USS Co., Ltd.		278,600		$	4,302,170		$	(115,975	)
West Japan Railway Co.		67,000			4,611,440			19,804
Yamaguchi Financial Group, Inc.		175,000			2,250,788			(177,527	)
Yamaha Corp.		80,400			1,926,659			15,353
Yamazaki Baking Co., Ltd.		227,000			4,836,006			268,269
							(5,140,109)
Total of Long Equity Positions							(5,140,109)
Short Positions
Common Stocks
Japan
ABC-Mart, Inc.		(32,449	)		(1,765,772	)		(10,425	)
Acom Co., Ltd.		(750,830	)		(3,710,608	)		174,941
Advantest Corp.		(194,600	)		(1,666,003	)		51,753
Aeon Co., Ltd.		(243,400	)		(3,727,333	)		(22,877	)
AEON Financial Service Co., Ltd.		(308,800	)		(6,875,539	)		(22,659	)
Aisin Seiki Co., Ltd.		(25,600	)		(1,056,400	)		(45,383	)
Alps Electric Co., Ltd.		(33,500	)		(1,015,357	)		106,903
Aozora Bank Ltd.		(368,000	)		(1,276,736	)		(7,520	)
Asahi Glass Co., Ltd.		(165,000	)		(962,313	)		17,052
Asics Corp.		(225,500	)		(4,786,167	)		107,604
Calbee, Inc.		(2,900	)		(123,388	)		923
Canon, Inc.		(96,500	)		(3,012,603	)		93,475
Casio Computer Co., Ltd.		(100	)		(2,052	)		(285	)
Century Tokyo Leasing Corp.		(100	)		(3,567	)		(5	)
Chiyoda Corp.		(185,000	)		(1,622,348	)		217,534
Chugoku Electric Power Co., Inc./The		(33,400	)		(436,028	)		(4,965	)
Credit Saison Co., Ltd.		(127,913	)		(2,547,904	)		27,735
Daido Steel Co., Ltd.		(137,000	)		(544,850	)		(2,731	)
Daihatsu Motor Co., Ltd.		(171,600	)		(2,361,436	)		46,548
Dai-ichi Life Insurance Co., Ltd./The		(22,500	)		(448,406	)		74,058
Daiichi Sankyo Co., Ltd.		(158,000	)		(3,321,193	)		60,119
Daikin Industries Ltd.		(135,900	)		(9,743,711	)		(152,756	)
Daiwa Securities Group, Inc.		(236,000	)		(1,590,634	)		147,802
DeNA Co., Ltd.		(131,900	)		(2,039,118	)		(23,315	)
Denso Corp.		(129,300	)		(6,208,401	)		29,736
Dentsu, Inc.		(100	)		(5,396	)		(75	)
Disco Corp.		(13,600	)		(1,288,866	)		8,134
Eisai Co., Ltd.		(18,300	)		(1,070,977	)		(139,583	)
Electric Power Development Co., Ltd.		(10,500	)		(368,242	)		(5,733	)
Fast Retailing Co., Ltd.		(29,200	)		(10,502,499	)		288,004
GS Yuasa Corp.		(52,853	)		(196,569	)		146

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

AQR Funds Annual Report December 2015

198

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Hamamatsu Photonics KK		(6,300	)	$	(166,781	)	$	(5,935	)
Hino Motors Ltd.		(52,700	)		(578,085	)		(30,993	)
Hirose Electric Co., Ltd.		(3,000	)		(374,001	)		10,785
Hitachi Capital Corp.		(40,200	)		(1,085,380	)		5,294
Hitachi Chemical Co., Ltd.		(15,400	)		(266,504	)		22,188
Hitachi Construction Machinery Co., Ltd.		(154,095	)		(2,320,722	)		(75,811	)
Hitachi Ltd.		(1,470,000	)		(8,440,439	)		110,867
Hokkaido Electric Power Co., Inc.		(4,600	)		(45,472	)		(1,790	)
Honda Motor Co., Ltd.		(169,800	)		(5,481,418	)		54,348
Ibiden Co., Ltd.		(2,000	)		(28,047	)		(626	)
IHI Corp.		(383,000	)		(1,556,438	)		499,167
Iida Group Holdings Co., Ltd.		(17,300	)		(349,500	)		28,861
Inpex Corp.		(517,300	)		(5,495,228	)		452,116
Japan Airport Terminal Co., Ltd.		(13,900	)		(735,358	)		120,018
Japan Display, Inc.		(625,100	)		(1,747,630	)		(53,446	)
JFE Holdings, Inc.		(33,300	)		(538,723	)		15,833
JGC Corp.		(49,000	)		(783,533	)		33,528
JX Holdings, Inc.		(354,800	)		(1,536,642	)		47,518
Kakaku.com, Inc.		(453,900	)		(8,913,151	)		(14,882	)
Kansai Paint Co., Ltd.		(146,400	)		(2,240,018	)		20,922
Keikyu Corp.		(146,000	)		(1,214,751	)		8,317
Kikkoman Corp.		(117,000	)		(4,025,424	)		(28,326	)
Kintetsu Group Holdings Co., Ltd.		(366,000	)		(1,467,836	)		(20,242	)
Kirin Holdings Co., Ltd.		(60,300	)		(868,061	)		49,359
Komatsu Ltd.		(50,100	)		(800,985	)		(18,774	)
Kose Corp.		(6,300	)		(656,161	)		73,658
Kubota Corp.		(654,000	)		(10,439,228	)		335,812
Kuraray Co., Ltd.		(144,000	)		(1,821,005	)		76,761
Kyocera Corp.		(100,600	)		(4,660,575	)		(11,342	)
Kyowa Hakko Kirin Co., Ltd.		(11,000	)		(202,103	)		29,022
Kyushu Electric Power Co., Inc.		(846,600	)		(9,143,471	)		(83,713	)
Kyushu Financial Group, Inc.		(6,000	)		(44,632	)		2,350
Lawson, Inc.		(2,200	)		(156,849	)		(21,727	)
LIXIL Group Corp.		(139,600	)		(3,158,099	)		57,624
M3, Inc.		(379,700	)		(8,093,727	)		220,957
Makita Corp.		(70,700	)		(3,959,091	)		(115,113	)
Marui Group Co., Ltd.		(161,700	)		(2,627,618	)		(3,663	)
Maruichi Steel Tube Ltd.		(13,900	)		(360,573	)		(49,776	)
Mazda Motor Corp.		(386,900	)		(7,944,804	)		(38,784	)
Minebea Co., Ltd.		(697,000	)		(9,712,743	)		3,745,050
MISUMI Group, Inc.		(37,900	)		(524,197	)		659
Mitsubishi Gas Chemical Co., Inc.		(41,000	)		(226,757	)		17,103
Mitsubishi Heavy Industries Ltd.		(8,000	)		(42,895	)		7,915

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Mitsubishi Logistics Corp.		(131,000	)	$	(1,728,651	)	$	2,572
Mitsubishi Materials Corp.		(254,000	)		(959,323	)		159,312
Mitsubishi UFJ Financial Group, Inc.		(220,400	)		(1,601,022	)		235,809
Mitsui Chemicals, Inc.		(1,175,025	)		(5,093,854	)		(117,391	)
Mitsui OSK Lines Ltd.		(2,967,000	)		(7,405,924	)		(77,674	)
Mizuho Financial Group, Inc.		(2,511,500	)		(5,051,598	)		28,597
Nabtesco Corp.		(5,600	)		(114,153	)		388
NGK Insulators Ltd.		(167,000	)		(3,796,104	)		31,892
NGK Spark Plug Co., Ltd.		(175,900	)		(4,687,838	)		56,661
NH Foods Ltd.		(13,000	)		(275,821	)		21,023
Nidec Corp.		(150,100	)		(10,642,230	)		(242,420	)
Nikon Corp.		(484,795	)		(6,473,956	)		(19,134	)
Nippon Electric Glass Co., Ltd.		(128,000	)		(654,947	)		9,805
Nippon Paint Holdings Co., Ltd.		(282,300	)		(6,661,445	)		(170,789	)
Nippon Steel & Sumitomo Metal Corp.		(69,300	)		(1,449,682	)		78,764
Nissan Chemical Industries Ltd.		(29,000	)		(663,257	)		4,924
Nissan Motor Co., Ltd.		(672,500	)		(7,058,629	)		17,055
Nisshin Seifun Group, Inc.		(17,400	)		(264,884	)		(19,336	)
Nissin Foods Holdings Co., Ltd.		(8,900	)		(421,907	)		(50,360	)
Nitori Holdings Co., Ltd.		(3,000	)		(253,922	)		1,976
Nomura Research Institute Ltd.		(4,700	)		(185,343	)		4,845
Odakyu Electric Railway Co., Ltd.		(93,000	)		(988,158	)		(13,155	)
Oji Holdings Corp.		(216,000	)		(949,435	)		81,333
Olympus Corp.		(39,200	)		(1,513,452	)		(29,800	)
Ono Pharmaceutical Co., Ltd.		(66,645	)		(12,074,351	)		190,768
Oriental Land Co., Ltd.		(17,100	)		(1,033,781	)		(709	)
Rakuten, Inc.		(392,200	)		(4,531,041	)		13,778
Recruit Holdings Co., Ltd.		(14,200	)		(448,300	)		30,908
Ricoh Co., Ltd.		(992,100	)		(9,913,978	)		(301,482	)
Rinnai Corp.		(23,100	)		(2,056,530	)		9,790
Ryohin Keikaku Co., Ltd.		(32,400	)		(6,624,170	)		62,800
Seibu Holdings, Inc.		(14,400	)		(305,850	)		11,769
Sekisui House Ltd.		(13,900	)		(233,565	)		(146	)
Seven Bank Ltd.		(266,300	)		(1,203,938	)		36,080
Shikoku Electric Power Co., Inc.		(305,973	)		(4,697,129	)		(82,556	)
Shimano, Inc.		(27,100	)		(4,283,999	)		122,562
Shinsei Bank Ltd.		(3,223,000	)		(5,819,293	)		(111,963	)
Shiseido Co., Ltd.		(7,100	)		(166,256	)		18,941

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

AQR Funds Annual Report December 2015

199

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
SoftBank Group Corp.		(96,200	)	$	(4,877,587	)	$	22,334
Sony Financial Holdings, Inc.		(6,500	)		(117,190	)		923
Stanley Electric Co., Ltd.		(40,900	)		(854,153	)		(43,094	)
Sumco Corp.		(277,200	)		(2,117,107	)		25,772
Sumitomo Dainippon Pharma Co., Ltd.		(55,800	)		(675,447	)		18,042
Sumitomo Metal Mining Co., Ltd.		(308,000	)		(4,518,522	)		779,735
Sumitomo Mitsui Financial Group, Inc.		(63,200	)		(2,383,657	)		(1,577	)
Sumitomo Mitsui Trust Holdings, Inc.		(1,380,000	)		(5,247,312	)		20,794
Suruga Bank Ltd.		(33,700	)		(695,332	)		822
Sysmex Corp.		(25,200	)		(1,587,291	)		(29,155	)
Taisho Pharmaceutical Holdings Co., Ltd.		(2,300	)		(155,441	)		(6,998	)
Taiyo Nippon Sanso Corp.		(292,116	)		(2,547,144	)		(94,683	)
Terumo Corp.		(227,900	)		(7,073,013	)		9,611
Tobu Railway Co., Ltd.		(90,000	)		(403,559	)		(40,359	)
Tokyo Electron Ltd.		(26,000	)		(1,365,636	)		(209,570	)
TonenGeneral Sekiyu KK		(13,000	)		(116,374	)		6,628
Toray Industries, Inc.		(203,000	)		(1,766,767	)		(119,615	)
Toshiba Corp.		(847,000	)		(1,575,502	)		(165,273	)
TOTO Ltd.		(36,700	)		(1,258,993	)		(30,353	)
Toyota Motor Corp.		(9,900	)		(628,869	)		19,237
Trend Micro, Inc.		(2,300	)		(80,814	)		(12,513	)
Tsumura & Co.		(3,400	)		(95,049	)		636
Tsuruha Holdings, Inc.		(200	)		(16,076	)		(1,253	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Japan (continued)
Unicharm Corp.		(167,700	)	$	(3,312,584	)	$	(112,131	)
Yahoo Japan Corp.		(3,806,100	)		(15,833,483	)		362,049
Yakult Honsha Co., Ltd.		(73,568	)		(3,593,139	)		(7,625	)
Yamada Denki Co., Ltd.		(1,320,570	)		(5,724,492	)		20,252
Yamaha Motor Co., Ltd.		(51,100	)		(1,222,103	)		76,681
Yamato Holdings Co., Ltd.		(86,800	)		(1,839,083	)		(47	)
Yaskawa Electric Corp.		(1,094,700	)		(15,310,175	)		414,932
Yokogawa Electric Corp.		(169,300	)		(2,012,941	)		(23,051	)
Yokohama Rubber Co., Ltd./The		(56,900	)		(1,143,797	)		269,937
							7,631,769
Total of Short Equity Positions								7,631,769
Total of Long and Short Equity Positions								2,491,660
Net Cash and Other Receivables/ (Payables) (b)								(3,631,921	)
Swaps, at Value							$(1,140,261)

(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.

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

AQR Funds Annual Report December 2015

200

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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.	1-14 months maturity ranging from 01/19/2016 - 01/30/2017		$493,416

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Norway
DNB ASA		252,529		$	3,031,058		$	80,408
Gjensidige Forsikring ASA		18,579			290,801			6,559
Norsk Hydro ASA		541,299			1,945,504			66,559
Orkla ASA		218,381			1,676,872			45,919
Yara International ASA		54,351			2,292,421			45,121
							244,566
United Kingdom
Subsea 7 SA		223,972			1,898,033			(312,763	)
Total of Long Equity Positions								(68,197	)
Short Positions
Common Stocks
Norway
Marine Harvest ASA		(73,046	)		(903,039	)		(79,783	)
Schibsted ASA		(100,157	)		(3,191,755	)		(101,071	)
Schibsted ASA		(38,450	)		(1,058,266	)		(165,511	)
Seadrill Ltd.		(190,883	)		(708,465	)		49,268

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Norway (continued)
Statoil ASA		(149,917	)	$	(2,234,393	)	$	143,534
Telenor ASA		(20,149	)		(375,578	)		39,723
TGS Nopec Geophysical Co. ASA		(79,428	)		(1,253,409	)		(10,844	)
							(124,684)
Total of Short Equity Positions								(124,684	)
Total of Long and Short Equity Positions								(192,881	)
Net Cash and Other Receivables/ (Payables) (b)								686,297
Swaps, at Value							$	493,416

(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.

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

AQR Funds Annual Report December 2015

201

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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.	10 months maturity 05/16/2016		$(148,574	)

** 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 positions and related values within the total return basket swaps as of December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
United States
International Game Technology PLC		77,280	$	1,398,768	$	(148,378	)
Net Cash and Other Receivables/ (Payables) (b)						(196	)
Swaps, at Value					$	(148,574	)

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

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

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

AQR Funds Annual Report December 2015

202

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
J.P. Morgan	The Fund receives 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.	1-19 months maturity ranging from 01/19/2016 - 01/30/2017		$(441,865	)

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Sweden
BillerudKorsnas AB		28,206		$	457,986		$	64,011
Boliden AB		442,497			7,209,078			204,603
Electrolux AB		464,831			10,929,197			285,971
Hexpol AB		17,970			193,205			(526	)
Husqvarna AB		492,878			3,786,430			(533,732	)
Meda AB		110,291			1,331,174			59,253
NCC AB		5,524			179,268			(7,897	)
Securitas AB		188,888			2,816,922			71,349
Skandinaviska Enskilda Banken AB		189,003			1,950,053			37,598
Skanska AB		186,278			3,546,069			66,533
SKF AB		13,059			229,689			(18,769	)
SSAB AB		76,875			191,582			12,660
Svenska Cellulosa AB SCA		199,379			5,634,689			143,338
Swedbank AB		10,825			235,819			2,586
Swedish Match AB		68,541			2,351,917			70,144
Tele2 AB		147,049			1,416,058			50,387
Telefonaktiebolaget LM Ericsson		421,898			4,006,918			60,730
Trelleborg AB		44,881			850,635			20,407
							588,646
Total of Long Equity Positions								588,646
Short Positions
Common Stocks
Luxembourg
Millicom International Cellular SA		(18,966	)		(1,340,647	)		252,376

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Sweden
Alfa Laval AB		(143,044	)	$	(2,555,285	)	$	(56,135	)
Assa Abloy AB		(53,791	)		(1,105,423	)		(20,569	)
Atlas Copco AB		(228,195	)		(5,543,977	)		(52,461	)
Elekta AB		(62,802	)		(520,311	)		(13,309	)
Getinge AB		(80,239	)		(2,028,182	)		(73,700	)
Hennes & Mauritz AB		(118,917	)		(4,414,265	)		184,353
Hexagon AB		(92,131	)		(3,380,954	)		(27,233	)
Modern Times Group MTG AB		(56,922	)		(1,506,121	)		52,688
Sandvik AB		(677,276	)		(5,860,616	)		(43,204	)
Svenska Handelsbanken AB		(37,733	)		(498,360	)		(2,790	)
TeliaSonera AB		(180,215	)		(949,375	)		54,448
Volvo AB		(543,661	)		(7,033,252	)		1,992,123
							1,994,211
Total of Short Equity Positions								2,246,587
Total of Long and Short Equity Positions								2,835,233
Net Cash and Other Receivables/ (Payables) (b)								(3,277,098	)
Swaps, at Value							$	(441,865	)

(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.

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

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203

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives 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.	1-25 months maturity ranging from 01/13/2016 - 11/09/2017		$79,136,935

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
Accenture PLC		7,845	$	848,202	$	(28,400	)
Alkermes PLC		55,566		3,853,459		557,370
Allegion PLC		16,753		1,077,326		27,032
XL Group PLC		114,090		4,160,563		309,483
						865,485
Norway
Seadrill Ltd.		50,838		194,331		(21,991	)
Puerto Rico
Popular, Inc.		20,953		615,919		(22,111	)
Singapore
Flextronics International Ltd.		1,558,968		17,057,022		419,009
Switzerland
Allied World Assurance Co. Holdings AG		131,454		5,441,867		(553,093	)
TE Connectivity Ltd.		130,729		8,141,202		305,199
Transocean Ltd.		407,897		5,668,057		(618,292	)
						(866,186	)
United Kingdom
Delphi Automotive PLC		98,097		7,688,416		721,440
Liberty Global PLC		182,822		8,111,812		(367,472	)
Michael Kors Holdings Ltd.		45,403		1,844,353		(25,509	)
Noble Corp. PLC		463,036		5,927,549		(1,042,519	)
Willis Group Holdings PLC		27,135		1,263,017		54,930
						(659,130	)
United States
3M Co.		4,198		654,247		(21,860	)
Aaron’s, Inc.		40,712		1,150,433		(238,892	)
Abbott Laboratories		555,241		25,384,866		(448,993	)
AbbVie, Inc.		3,168		183,199		4,473
Acuity Brands, Inc.		19,803		3,864,389		765,552

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Adobe Systems, Inc.		26,065	$	2,268,730	$	179,816
Advance Auto Parts, Inc.		13,859		2,201,030		(115,112	)
Advanced Micro Devices, Inc.		2,734		5,835		2,012
Aetna, Inc.		141,389		15,843,798		(556,819	)
Aflac, Inc.		85,520		5,179,736		(57,088	)
AGCO Corp.		104,274		5,009,084		(276,087	)
Agilent Technologies, Inc.		266,080		9,971,918		1,152,887
Air Products & Chemicals, Inc.		15,463		2,087,458		(75,567	)
Akamai Technologies, Inc.		118,088		8,186,491		(1,971,520	)
Alaska Air Group, Inc.		11,482		861,241		63,175
Alleghany Corp.		7,312		3,537,074		(42,450	)
Alliant Energy Corp.		84,991		4,998,863		308,825
Allison Transmission Holdings, Inc.		36,304		1,023,921		(84,010	)
Allstate Corp./The		196,991		12,894,375		(663,203	)
Alnylam Pharmaceuticals, Inc.		16,902		1,491,766		99,388
Alphabet, Inc.		6,242		4,719,029		137,309
Amazon.com, Inc.		7,190		3,872,277		987,373
Amdocs Ltd.		243,667		13,949,710		(652,801	)
AMERCO		10,967		3,970,143		301,503
Ameren Corp.		57,586		2,348,511		140,932
American Eagle Outfitters, Inc.		337,714		5,431,292		(196,725	)
American Electric Power Co., Inc.		248,316		13,673,092		796,281
American Financial Group, Inc.		78,118		5,359,429		271,317
American International Group, Inc.		22,320		1,402,990		(19,819	)
Ameriprise Financial, Inc.		7,564		901,974		(97,013	)
AmerisourceBergen Corp.		187,748		19,944,822		(473,477	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Amgen, Inc.		64,200	$	10,421,275	$	311
Anadarko Petroleum Corp.		87,182		6,315,435		(2,080,133	)
Analog Devices, Inc.		41,805		2,418,173		(105,520	)
ANSYS, Inc.		2,958		277,559		(3,944	)
Antero Resources Corp.		8,721		187,477		2,641
Anthem, Inc.		100,824		15,648,648		(1,589,750	)
AO Smith Corp.		65,436		4,490,191		522,861
Apollo Education Group, Inc.		182,858		2,103,474		(700,953	)
Applied Materials, Inc.		6,042		115,000		(2,196	)
AptarGroup, Inc.		185		13,637		(197	)
Aramark		1,711		54,489		691
Archer-Daniels-Midland Co.		335,900		15,730,390		(3,409,578	)
Arrow Electronics, Inc.		59,616		3,292,564		(62,569	)
Arthur J Gallagher & Co.		56,956		2,599,884		(268,105	)
Ascena Retail Group, Inc.		120,818		1,458,134		(268,077	)
Ashland, Inc.		91,825		10,314,133		(883,705	)
Aspen Insurance Holdings Ltd.		76,697		3,723,737		(19,272	)
Associated Banc-Corp.		19,237		375,075		(14,381	)
Assurant, Inc.		158,608		11,823,359		950,929
Atmel Corp.		222,562		1,932,491		(16,232	)
Atmos Energy Corp.		5,300		284,080		50,032
AutoNation, Inc.		6,330		409,582		(31,934	)
Avery Dennison Corp.		90,126		5,440,516		206,780
Avnet, Inc.		153,955		6,519,204		76,228
Axis Capital Holdings Ltd.		51,270		2,769,336		113,063
Bank of America Corp.		29,689		525,813		(26,147	)
Bank of New York Mellon Corp./The		37,646		1,645,846		(94,078	)
Baxter International, Inc.		72,047		2,711,161		37,432
Bemis Co., Inc.		75,631		3,251,658		128,291
Best Buy Co., Inc.		196,025		6,427,853		(458,892	)
Big Lots, Inc.		126,562		5,511,531		(633,831	)
Biogen, Inc.		30,388		10,518,286		(1,208,922	)
BioMarin Pharmaceutical, Inc.		5,859		683,939		(70,150	)
Bio-Rad Laboratories, Inc.		8,769		1,234,494		(18,585	)
Boeing Co./The		27,279		3,733,559		210,712
BOK Financial Corp.		2,370		158,711		(17,008	)
Booz Allen Hamilton Holding Corp.		24,438		649,220		104,692
Boston Scientific Corp.		353,463		6,175,950		341,908
Brinker International, Inc.		58,838		3,051,412		(230,130	)
Broadridge Financial Solutions, Inc.		78,538		4,219,580		267

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Brocade Communications Systems, Inc.		1,648,240	$	16,980,312	$	(1,849,469	)
Brown & Brown, Inc.		6,008		198,264		(5,407	)
Bunge Ltd.		225,969		17,531,187		(2,102,024	)
BWX Technologies, Inc.		134,361		3,743,377		525,272
CA, Inc.		264,574		7,933,034		(376,800	)
Cable One, Inc.		863		384,267		(10,019	)
Cabot Corp.		82,976		3,003,669		388,390
Cabot Oil & Gas Corp.		71,922		1,331,852		(59,552	)
California Resources Corp.		835,322		3,221,285		(1,274,984	)
Capital One Financial Corp.		153,944		13,316,926		(2,205,248	)
Cardinal Health, Inc.		87,660		7,458,676		366,732
Carlisle Cos., Inc.		45,673		4,510,649		(459,911	)
Carnival Corp.		382,885		19,720,372		1,139,202
Carter’s, Inc.		82,288		8,189,679		(863,578	)
Casey’s General Stores, Inc.		8,225		866,396		124,305
Catalent, Inc.		3,905		98,045		(303	)
CDK Global, Inc.		38,676		1,907,620		(71,670	)
CDW Corp.		52,337		1,967,258		232,989
CEB, Inc.		23,324		1,873,988		(442,128	)
CenterPoint Energy, Inc.		119,427		2,191,668		1,011
CenturyLink, Inc.		39,614		1,083,541		(86,853	)
CF Industries Holdings, Inc.		184,193		11,138,929		(3,622,013	)
Charles River Laboratories International, Inc.		61,282		4,455,688		470,772
Charter Communications, Inc.		9,458		1,752,284		(20,524	)
Cheesecake Factory, Inc./The		21,208		1,107,943		(130,043	)
Chesapeake Energy Corp.		57,445		234,702		23,801
Chico’s FAS, Inc.		319,644		4,718,771		(1,308,170	)
Cinemark Holdings, Inc.		69,627		2,739,390		(411,759	)
Cintas Corp.		49,494		4,223,773		282,655
Cisco Systems, Inc.		439,734		12,202,220		(261,244	)
Citigroup, Inc.		81,963		4,772,721		(531,136	)
Citizens Financial Group, Inc.		415,258		10,534,188		341,419
Citrix Systems, Inc.		134,592		9,658,207		523,678
Cleco Corp.		32,096		1,719,627		(43,895	)
Columbia Pipeline Group, Inc.		17,450		335,005		13,995
Comcast Corp.		51,505		3,156,020		(249,593	)
Comerica, Inc.		20,464		934,884		(78,875	)
Commercial Metals Co.		311,083		4,745,149		(486,422	)
Community Health Systems, Inc.		71,645		2,756,447		(855,705	)
Computer Sciences Corp.		322,189		11,385,127		(855,990	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ConAgra Foods, Inc.		292,010	$	12,229,768	$	81,373
ConocoPhillips		10,963		582,859		(70,996	)
Consolidated Edison, Inc.		170,371		10,659,067		290,678
Constellation Brands, Inc.		4,631		657,887		1,753
Convergys Corp.		57,302		1,409,449		16,797
CoreLogic, Inc.		94,278		3,763,440		(571,187	)
Costco Wholesale Corp.		26,446		3,838,017		433,012
Coty, Inc.		46,487		1,290,879		(99,418	)
CR Bard, Inc.		109,732		20,384,864		402,766
Cracker Barrel Old Country Store, Inc.		10,618		1,468,686		(122,005	)
Crane Co.		99,136		5,345,803		(603,136	)
Credit Acceptance Corp.		2,561		571,557		(23,452	)
Crown Holdings, Inc.		204,031		10,444,577		(100,205	)
CSRA, Inc.		200,990		5,643,907		385,793
CSX Corp.		703,806		21,494,108		(3,230,342	)
Cummins, Inc.		44,125		5,266,047		(1,382,606	)
CVS Health Corp.		20,705		2,278,792		(254,464	)
Darden Restaurants, Inc.		216,380		13,260,325		510,099
Dean Foods Co.		114,188		2,078,061		(119,737	)
Deckers Outdoor Corp.		56,147		3,522,943		(872,804	)
Delta Air Lines, Inc.		7,973		365,001		39,151
Deluxe Corp.		3,678		210,609		(10,011	)
DENTSPLY International, Inc.		21,841		1,232,156		96,869
Devon Energy Corp.		220,330		10,505,378		(3,454,818	)
Dick’s Sporting Goods, Inc.		99,047		4,859,315		(1,358,004	)
Dillard’s, Inc.		27,202		2,675,797		(888,353	)
Discover Financial Services		207,062		11,938,175		(835,510	)
DISH Network Corp.		94,536		6,167,058		(761,490	)
Dollar General Corp.		55,796		4,473,115		(463,056	)
Domino’s Pizza, Inc.		23,089		2,566,723		1,928
Dow Chemical Co./The		215,297		10,976,195		107,295
DR Horton, Inc.		94,695		2,869,243		163,838
Dr Pepper Snapple Group, Inc.		67,566		5,339,791		957,360
DST Systems, Inc.		73,606		9,157,149		(761,648	)
DTE Energy Co.		64,726		4,962,259		228,119
Eagle Materials, Inc.		1,677		100,115		1,226
East West Bancorp, Inc.		47,777		1,958,401		27,211
Eaton Corp. PLC		54,865		3,084,934		(229,759	)
eBay, Inc.		186,823		4,818,016		315,880
EchoStar Corp.		20,524		947,605		(144,912	)
Edgewell Personal Care Co.		5,419		475,050		(50,363	)
Edison International		67,128		4,032,749		(58,100	)
Edwards Lifesciences Corp.		225,394		17,565,940		235,678

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Electronic Arts, Inc.		157,156	$	11,566,706	$	(766,945	)
Eli Lilly & Co.		40,191		3,359,886		26,608
Emerson Electric Co.		44,822		2,164,744		(20,908	)
Endurance Specialty Holdings Ltd.		22,867		1,463,850		(591	)
Energen Corp.		23,486		1,331,272		(368,581	)
Entergy Corp.		115,411		8,109,679		(220,183	)
EP Energy Corp.		680,593		4,607,186		(1,626,188	)
EQT Corp.		13,659		751,574		(39,531	)
Equifax, Inc.		51,781		5,232,264		534,586
Estee Lauder Cos., Inc./The		10,831		878,743		75,035
Everest Re Group Ltd.		46,994		8,727,874		(123,743	)
Exelon Corp.		108,830		3,017,737		4,473
Expedia, Inc.		52,419		6,206,270		309,412
Fair Isaac Corp.		23,543		2,140,506		76,773
Fairchild Semiconductor International, Inc.		43,804		661,631		245,550
Fidelity National Information Services, Inc.		68,554		4,373,745		(219,373	)
Fifth Third Bancorp		7,530		151,769		(416	)
FireEye, Inc.		141,202		4,241,692		(1,313,163	)
First Niagara Financial Group, Inc.		89,120		926,465		40,487
First Solar, Inc.		152,611		7,516,684		2,554,116
FirstEnergy Corp.		175,358		5,771,172		(207,063	)
Fiserv, Inc.		30,889		2,698,154		126,954
FMC Technologies, Inc.		10,892		363,782		(47,805	)
Foot Locker, Inc.		95,727		6,662,894		(432,024	)
Fortinet, Inc.		65,539		2,785,644		(742,793	)
Four Corners Property Trust, Inc.		71,934		1,545,731		192,194
Fulton Financial Corp.		55,802		730,516		(4,532	)
GameStop Corp.		228,271		9,976,920		(3,576,201	)
Gartner, Inc.		22,498		1,945,560		95,008
General Dynamics Corp.		147,331		21,479,725		(1,242,339	)
General Motors Co.		208,971		6,949,582		157,522
Genpact Ltd.		143,740		3,339,242		251,383
Genuine Parts Co.		3,128		267,384		1,280
Gilead Sciences, Inc.		83,904		9,892,539		(1,402,294	)
GNC Holdings, Inc.		163,585		6,307,080		(1,232,673	)
Goldman Sachs Group, Inc./The		76,291		16,100,740		(2,350,814	)
Goodyear Tire & Rubber Co./The		287,914		8,732,624		673,526
GoPro, Inc.		12,027		221,361		(4,754	)
Graham Holdings Co.		10,052		6,645,747		(1,770,829	)
Graphic Packaging Holding Co.		18,370		247,967		(12,280	)
Great Plains Energy, Inc.		63,325		1,627,921		101,484
Groupon, Inc.		1,169,950		5,185,856		(1,594,110	)
Guess?, Inc.		99,566		2,198,686		(318,880	)

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

AQR Funds Annual Report December 2015

206

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
H&R Block, Inc.		9,279	$	305,340	$	3,744
Hanover Insurance Group, Inc./The		53,296		4,221,864		113,233
Harman International Industries, Inc.		119,360		12,536,516		(1,291,611	)
Harsco Corp.		99,831		1,398,044		(611,376	)
Hartford Financial Services Group, Inc./The		62,125		2,901,203		(201,251	)
Hasbro, Inc.		50,711		3,949,552		(533,659	)
HCA Holdings, Inc.		200,900		17,363,175		(3,776,308	)
HD Supply Holdings, Inc.		267,284		8,960,661		(934,123	)
Helix Energy Solutions Group, Inc.		128,781		1,018,082		(340,694	)
Herman Miller, Inc.		40,333		1,249,872		(92,315	)
Hertz Global Holdings, Inc.		112,491		1,707,137		(106,390	)
Hess Corp.		67,997		3,992,299		(695,805	)
Hill-Rom Holdings, Inc.		33,643		1,863,781		(246,899	)
Hilton Worldwide Holdings, Inc.		329,835		8,738,789		(1,680,320	)
HNI Corp.		15,183		693,574		(146,075	)
HollyFrontier Corp.		380,154		18,620,888		(3,456,545	)
Hologic, Inc.		244,646		9,431,063		34,290
Home Depot, Inc./The		17,448		1,986,629		320,869
Hormel Foods Corp.		11,251		692,700		197,029
Howard Hughes Corp./The		2,585		287,227		5,292
HP, Inc.		754,824		9,875,119		(938,002	)
Hubbell, Inc.		16,551		1,685,341		(13,028	)
Huntington Bancshares, Inc.		183,130		2,126,327		(100,909	)
Huntington Ingalls Industries, Inc.		129,491		14,994,783		1,431,150
Hyatt Hotels Corp.		13,364		724,172		(95,796	)
IAC/InterActiveCorp.		168,792		13,108,891		(2,972,932	)
IDACORP, Inc.		13,348		823,983		83,681
IDEX Corp.		2,058		156,861		803
Illinois Tool Works, Inc.		10,508		968,392		5,489
IMS Health Holdings, Inc.		83,629		2,424,921		(294,891	)
Ingersoll-Rand PLC		105,219		6,858,691		(1,041,133	)
Ingram Micro, Inc.		344,312		9,332,853		1,127,345
Ingredion, Inc.		47,236		3,995,992		531,106
Integrated Device Technology, Inc.		383,930		7,911,687		2,204,868
International Game Technology PLC		220,269		3,945,480		(381,527	)
International Paper Co.		549		20,691		7
Interpublic Group of Cos., Inc./The		227,685		4,509,490		791,017
Intersil Corp.		108,550		1,297,288		87,810
Invesco Ltd.		154,157		5,831,193		(670,016	)
Ionis Pharmaceuticals, Inc.		111,556		4,930,258		1,978,405

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ITT Corp.		225,406	$	8,440,877	$	(254,131	)
Jabil Circuit, Inc.		525,561		10,526,376		1,713,940
Jack Henry & Associates, Inc.		5,886		416,598		42,863
Jack in the Box, Inc.		23,832		1,796,027		32,126
John Wiley & Sons, Inc.		55,024		2,827,952		(350,221	)
Johnson Controls, Inc.		104,075		4,870,485		(760,564	)
JPMorgan Chase & Co.		46,012		3,178,808		(140,635	)
Juniper Networks, Inc.		259,097		7,886,716		(735,638	)
KAR Auction Services, Inc.		50,912		1,948,118		(62,847	)
Kate Spade & Co.		21,786		417,647		(30,510	)
KBR, Inc.		455,890		8,270,961		(557,302	)
KeyCorp.		277,793		4,078,571		(414,481	)
Keysight Technologies, Inc.		83,542		2,624,939		(258,194	)
Kimberly-Clark Corp.		79,406		8,945,051		1,163,333
Kirby Corp.		3,864		207,071		(3,747	)
Kroger Co./The		120,895		4,710,069		346,969
L Brands, Inc.		40,792		3,395,205		513,484
L-3 Communications Holdings, Inc.		60,115		7,198,123		(13,779	)
Lancaster Colony Corp.		3,729		386,425		44,126
Laredo Petroleum, Inc.		14,858		116,152		2,563
Lear Corp.		75,091		7,558,221		1,665,207
Leggett & Platt, Inc.		113,098		4,956,196		(203,818	)
Leidos Holdings, Inc.		115,790		5,182,759		1,331,587
Lennox International, Inc.		9,742		1,166,362		50,414
Liberty Broadband Corp.		24,402		1,324,567		(59,079	)
Liberty Interactive Corp. QVC Group		79,367		2,201,301		(32,995	)
LifePoint Health, Inc.		18,124		1,369,096		(38,795	)
Lincoln Electric Holdings, Inc.		78,537		4,590,934		(515,649	)
Lincoln National Corp.		70,255		3,704,319		(173,303	)
LinkedIn Corp.		1,544		375,586		(28,063	)
Live Nation Entertainment, Inc.		133,458		3,480,076		(201,013	)
Lockheed Martin Corp.		20,346		4,133,290		284,844
Lowe’s Cos., Inc.		164,671		11,106,301		1,415,282
Lumentum Holdings, Inc.		3,483		61,711		14,985
LyondellBasell Industries NV		160,777		15,397,329		(1,425,808	)
M&T Bank Corp.		14,198		1,677,239		43,274
Macy’s, Inc.		214,358		12,797,880		(5,299,637	)
Mallinckrodt PLC		166,624		14,218,992		(1,783,843	)
Manhattan Associates, Inc.		36,144		2,365,377		26,272
ManpowerGroup, Inc.		90,070		8,049,142		(457,142	)
Marathon Oil Corp.		362,085		6,880,666		(2,322,016	)
Marathon Petroleum Corp.		477,006		26,348,842		(1,620,851	)

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

AQR Funds Annual Report December 2015

207

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Marvell Technology Group Ltd.		1,900,989	$	20,263,800	$	(3,497,077	)
Masco Corp.		536,871		13,168,642		2,024,808
Maxim Integrated Products, Inc.		184,900		6,643,063		383,137
MAXIMUS, Inc.		2,938		178,988		(13,726	)
McGraw Hill Financial, Inc.		66,114		6,640,228		(122,710	)
McKesson Corp.		106,024		22,960,630		(2,049,517	)
Medivation, Inc.		178,315		7,831,141		788,606
Mentor Graphics Corp.		31,450		571,756		7,553
Merck & Co., Inc.		80,910		4,734,662		(460,996	)
MetLife, Inc.		95,353		4,975,304		(378,336	)
Michaels Cos., Inc./The		43,692		1,074,915		(108,885	)
Micron Technology, Inc.		155,985		2,720,774		(512,027	)
Microsoft Corp.		108,792		5,179,414		856,366
Minerals Technologies, Inc.		39,770		2,116,068		(292,216	)
Mohawk Industries, Inc.		69,613		13,651,000		(466,994	)
Molina Healthcare, Inc.		18,222		1,144,552		(48,863	)
Molson Coors Brewing Co.		32,867		2,882,996		203,872
Mondelez International, Inc.		305,126		12,952,392		729,457
Monster Beverage Corp.		39,365		5,670,528		193,282
Mosaic Co./The		177,454		5,746,060		(850,104	)
MSCI, Inc.		25,768		1,599,587		259,059
MSG Networks, Inc.		76,319		1,590,369		(2,933	)
Murphy Oil Corp.		175,886		4,900,893		(952,253	)
Murphy USA, Inc.		100,676		5,637,772		477,288
Nabors Industries Ltd.		1,257,311		14,309,102		(3,609,385	)
Nasdaq, Inc.		109,826		5,848,784		539,794
NCR Corp.		270,306		6,962,285		(350,600	)
NetApp, Inc.		9,877		273,110		(11,073	)
NeuStar, Inc.		13,593		348,916		(23,092	)
New York Times Co./The		6,639		87,615		1,480
News Corp.		480,926		6,812,121		(386,949	)
NIKE, Inc.		184,050		10,471,343		1,031,782
NiSource, Inc.		211,408		4,060,939		63,631
Nordstrom, Inc.		17,735		998,357		(114,977	)
Northern Trust Corp.		2,779		207,233		(6,894	)
Northrop Grumman Corp.		84,302		14,122,900		1,794,161
NorthStar Asset Management Group, Inc.		274,851		4,485,487		(1,148,796	)
NOW, Inc.		15,344		254,305		(11,563	)
Nucor Corp.		84,963		3,552,408		(128,400	)
NVR, Inc.		686		1,115,090		12,008
Oil States International, Inc.		206,225		6,275,681		(656,050	)
Old Dominion Freight Line, Inc.		14,281		975,206		(131,627	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Old Republic International Corp.		69,495	$	1,202,329	$	92,363
Omnicom Group, Inc.		57,444		4,131,609		214,604
ON Semiconductor Corp.		349,880		3,790,390		(361,566	)
OPKO Health, Inc.		217,135		1,978,999		203,208
Orbital ATK, Inc.		118,646		8,790,372		1,809,462
Owens Corning		168,208		7,412,366		498,456
Owens-Illinois, Inc.		80,101		1,658,540		(263,181	)
PACCAR, Inc.		55,329		3,310,271		(687,676	)
Packaging Corp. of America		32,690		2,139,335		(78,230	)
Parker-Hannifin Corp.		22,951		2,506,440		(280,652	)
Patterson-UTI Energy, Inc.		23,770		367,514		(9,062	)
PBF Energy, Inc.		78,280		2,580,804		300,683
People’s United Financial, Inc.		337,765		5,403,597		51,307
PepsiCo, Inc.		126,415		12,319,351		312,036
Pfizer, Inc.		395,737		13,912,431		(1,138,040	)
PG&E Corp.		166,695		8,607,149		259,358
Phillips 66		60,233		5,054,023		(126,964	)
Pilgrim’s Pride Corp.		277,965		5,766,384		373,863
Pinnacle Foods, Inc.		60,890		2,681,820		(96,431	)
Pinnacle West Capital Corp.		168,577		10,357,732		512,113
Pitney Bowes, Inc.		57,264		1,174,575		7,927
Plantronics, Inc.		7,914		419,203		(43,921	)
PNC Financial Services Group, Inc./The		133,404		12,918,088		(203,353	)
PNM Resources, Inc.		103,219		2,751,063		404,342
Polycom, Inc.		301,262		3,400,528		392,361
PPG Industries, Inc.		73,373		7,934,131		(683,412	)
ProAssurance Corp.		23,143		1,145,686		(22,557	)
Procter & Gamble Co./The		101,124		8,078,485		(48,228	)
Prudential Financial, Inc.		26,683		2,334,945		(162,682	)
PTC, Inc.		46,595		1,706,289		(92,704	)
Public Service Enterprise Group, Inc.		435,465		17,805,589		(957,448	)
PulteGroup, Inc.		109,315		2,098,080		(150,087	)
PVH Corp.		36,294		3,365,746		(692,693	)
QEP Resources, Inc.		316,328		4,713,138		(474,342	)
Quintiles Transnational Holdings, Inc.		54,187		3,708,879		11,600
Rackspace Hosting, Inc.		124,378		3,646,844		(497,593	)
Raymond James Financial, Inc.		30,710		1,565,039		215,220
Raytheon Co.		53,619		5,904,576		772,598
Red Hat, Inc.		25,404		1,970,183		133,522
Regal Beloit Corp.		10,630		691,494		(69,426	)
Regions Financial Corp.		73,110		745,825		(43,969	)
Reinsurance Group of America, Inc.		60,342		5,784,503		(622,245	)

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

AQR Funds Annual Report December 2015

208

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Reliance Steel & Aluminum Co.		108,599	$	6,328,072	$	(39,103	)
Republic Services, Inc.		138,939		5,737,689		374,237
Robert Half International, Inc.		38,761		2,028,715		(201,522	)
Rockwell Automation, Inc.		52,369		5,652,649		(279,066	)
Ross Stores, Inc.		93,861		4,943,628		107,032
Rowan Cos. PLC		294,253		5,757,119		(769,531	)
RPC, Inc.		48,716		598,224		(16,068	)
Ryder System, Inc.		25,521		2,294,865		(844,506	)
Sabre Corp.		68,799		1,973,577		(49,269	)
Scotts Miracle-Gro Co./The		4,420		292,874		(7,739	)
Sealed Air Corp.		1,957		88,903		(1,621	)
Sears Holdings Corp.		18,059		415,257		(43,964	)
SEI Investments Co.		126,567		6,306,290		325,821
Sempra Energy		28,840		2,891,288		(180,040	)
Sensient Technologies Corp.		20,704		1,339,752		(39,126	)
Service Corp. International		38,831		1,086,801		(76,418	)
ServiceMaster Global Holdings, Inc.		8,148		287,687		32,040
Sherwin-Williams Co./The		8,170		2,231,760		(110,828	)
Signature Bank		28,291		4,042,399		296,592
Signet Jewelers Ltd.		15,098		2,057,385		(189,913	)
Skechers U.S.A., Inc.		210,311		7,461,066		(1,107,571	)
Snap-on, Inc.		24,932		4,003,815		270,278
Sonoco Products Co.		14,451		591,639		(1,026	)
Spirit AeroSystems Holdings, Inc.		289,982		15,417,981		(898,583	)
Spirit Airlines, Inc.		12,795		494,204		15,677
Sprint Corp.		74,889		275,962		(4,864	)
SPX Corp.		116,035		1,460,457		(377,851	)
SPX FLOW, Inc.		9,852		470,357		(195,388	)
SS&C Technologies Holdings, Inc.		35,311		2,507,534		(96,852	)
St Jude Medical, Inc.		83,579		5,497,524		(334,849	)
Stanley Black & Decker, Inc.		7,532		768,587		35,303
Staples, Inc.		643,386		9,203,787		(3,110,921	)
Starbucks Corp.		63,384		3,576,638		228,304
Starwood Hotels & Resorts Worldwide, Inc.		147,523		11,213,012		(992,619	)
Steel Dynamics, Inc.		435,808		8,370,486		(582,597	)
Stifel Financial Corp.		50,232		2,304,324		(176,496	)
Stryker Corp.		37,016		3,626,034		(185,767	)
SunTrust Banks, Inc.		134,670		5,836,088		(66,825	)
Superior Energy Services, Inc.		576,219		10,448,376		(2,686,707	)
SUPERVALU, Inc.		833,343		6,184,700		(534,635	)
SVB Financial Group		21,525		2,622,678		(63,355	)
Synopsys, Inc.		80,605		4,058,768		(382,374	)
Sysco Corp.		39,661		1,538,078		88,023

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Talen Energy Corp.		99,598	$	1,033,126	$	(412,630	)
Targa Resources Corp.		52,394		2,327,744		(909,962	)
Target Corp.		127,088		10,152,691		(924,831	)
TCF Financial Corp.		86,192		1,320,194		(103,163	)
Tech Data Corp.		109,195		6,999,506		248,858
TEGNA, Inc.		105,735		3,060,242		(361,884	)
Teleflex, Inc.		36,315		4,813,996		(40,389	)
Telephone & Data Systems, Inc.		88,533		2,502,425		(210,305	)
Teradyne, Inc.		311,080		5,954,895		475,128
TerraForm Power, Inc.		74,623		870,260		68,498
Tesoro Corp.		13,193		1,418,947		(28,800	)
Textron, Inc.		36,096		1,560,439		(44,046	)
Thermo Fisher Scientific, Inc.		37,928		5,182,953		197,133
Thomson Reuters Corp.		19,442		775,392		(39,513	)
Thor Industries, Inc.		8,020		442,626		7,697
Time, Inc.		67,340		1,293,009		(237,791	)
Timken Co./The		175,135		5,768,053		(760,944	)
TJX Cos., Inc./The		129,943		8,907,883		306,375
Toll Brothers, Inc.		216,247		7,976,505		(775,480	)
TopBuild Corp.		40,104		1,175,745		58,255
Torchmark Corp.		40,872		2,398,324		(62,081	)
Toro Co./The		9,646		651,715		53,119
Total System Services, Inc.		74,517		3,481,037		229,910
Travelers Cos., Inc./The		113,342		11,701,264		1,090,514
Trinity Industries, Inc.		8,922		222,468		(8,161	)
Trustmark Corp.		17,704		421,242		(13,342	)
Tyco International PLC		125,456		4,765,467		(764,675	)
Tyler Technologies, Inc.		14,608		2,136,670		409,797
UGI Corp.		72,204		2,576,580		(138,973	)
Ulta Salon Cosmetics & Fragrance, Inc.		8,115		1,353,709		147,566
United Continental Holdings, Inc.		292,140		16,113,413		626,209
United States Steel Corp.		134,867		1,087,551		(11,312	)
United Therapeutics Corp.		51,966		8,077,709		60,686
UnitedHealth Group, Inc.		77,043		9,364,635		(301,297	)
Universal Health Services, Inc.		91,001		12,330,927		(1,457,218	)
Unum Group		209,672		7,517,290		(537,309	)
US Bancorp		128,673		5,804,464		(313,987	)
Valero Energy Corp.		221,953		14,719,923		974,374
Validus Holdings Ltd.		99,081		4,462,836		123,624
Valmont Industries, Inc.		5,625		629,257		(32,894	)
VCA, Inc.		23,821		1,314,220		(4,065	)
Vectren Corp.		22,663		925,649		35,716
VeriFone Systems, Inc.		15,427		449,954		(17,689	)
Verizon Communications, Inc.		17,432		818,781		(13,074	)
VF Corp.		47,636		3,528,093		(562,752	)
Viacom, Inc.		13,269		572,133		(25,981	)

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

AQR Funds Annual Report December 2015

209

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Viavi Solutions, Inc.		153,713		$	891,560		$	44,552
Vista Outdoor, Inc.		4,424			200,426			(3,514	)
Visteon Corp.		47,835			5,261,985			215,122
VMware, Inc.		2,886			164,459			(1,198	)
Voya Financial, Inc.		118,141			5,015,669			(655,084	)
VWR Corp.		430			11,411			762
WABCO Holdings, Inc.		37,602			4,491,167			(645,987	)
Wal-Mart Stores, Inc.		190,273			12,439,497			(775,762	)
Waste Management, Inc.		333,194			16,872,740			909,824
Watsco, Inc.		5,043			628,025			(37,338	)
Wells Fargo & Co.		264,931			15,060,163			(658,514	)
Werner Enterprises, Inc.		46,019			1,210,387			(134,003	)
WESCO International, Inc.		26,347			1,262,837			(112,000	)
Western Digital Corp.		114,550			8,361,304			(1,482,576	)
Western Refining, Inc.		84,389			3,841,837			(835,901	)
Westlake Chemical Corp.		84,432			5,004,604			(418,258	)
WGL Holdings, Inc.		32,042			1,796,240			222,086
Whirlpool Corp.		124,630			20,424,229			(2,119,821	)
White Mountains Insurance Group Ltd.		840			666,986			(56,465	)
Worthington Industries, Inc.		79,721			2,265,693			137,098
WPX Energy, Inc.		433,178			3,991,538			(1,505,097	)
WW Grainger, Inc.		8,657			1,924,317			(170,495	)
Wyndham Worldwide Corp.		17,799			1,347,984			(54,887	)
Xerox Corp.		812,465			8,540,874			95,629
Xilinx, Inc.		187,584			8,400,136			410,685
Xylem, Inc.		38,536			1,338,228			68,336
Yelp, Inc.		72,202			1,698,135			381,283
Yum! Brands, Inc.		213,285			16,399,758			(819,289	)
Zoetis, Inc.		364,005			17,427,512			15,607
Zynga, Inc.		1,797,650			4,444,881			372,821
								(104,276,927	)
Total of Long Equity Positions								(104,561,851	)
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(174,428	)		(10,248,906	)		1,096,669
Ireland
Endo International PLC		(86,176	)		(6,732,350	)		1,456,656
Jazz Pharmaceuticals PLC		(49,797	)		(8,983,522	)		1,984,055
Medtronic PLC		(67,993	)		(4,755,202	)		(474,820	)
Perrigo Co. PLC		(7,807	)		(1,162,307	)		32,634
								2,998,525

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Netherlands
Core Laboratories NV		(69,167	)	$	(7,170,931	)	$	(350,288	)
Frank’s International NV		(25,460	)		(427,645	)		2,717
QIAGEN NV		(78,202	)		(2,062,832	)		(99,454	)
Sensata Technologies Holding NV		(320,324	)		(15,539,310	)		785,187
								338,162
Norway
Golar LNG Ltd.		(250,881	)		(9,632,665	)		5,671,254
Panama
Copa Holdings SA		(21,504	)		(1,515,798	)		478,015
Singapore
Avago Technologies Ltd.		(72,550	)		(8,964,456	)		(1,566,176	)
Sweden
Autoliv, Inc.		(4,312	)		(523,409	)		(14,599	)
Switzerland
ACE Ltd.		(22,212	)		(2,426,027	)		(169,445	)
Garmin Ltd.		(63,350	)		(2,496,009	)		141,290
Weatherford International PLC		(361,408	)		(3,603,393	)		571,180
								543,025
United Kingdom
Aon PLC		(70,864	)		(6,484,047	)		(50,322	)
Ensco PLC		(137,493	)		(2,443,332	)		327,315
Pentair PLC		(110,622	)		(6,253,759	)		774,652
STERIS PLC		(82,261	)		(5,985,639	)		(211,905	)
								839,740
United States
3D Systems Corp.		(30,704	)		(315,953	)		49,136
Abercrombie & Fitch Co.		(121,416	)		(2,533,496	)		(744,736	)
Acadia Healthcare Co., Inc.		(97,972	)		(6,787,240	)		667,909
ACI Worldwide, Inc.		(131,063	)		(3,115,040	)		310,292
Activision Blizzard, Inc.		(14,399	)		(499,293	)		(58,093	)
Acxiom Corp.		(8,368	)		(187,063	)		12,005
ADT Corp./The		(390,715	)		(12,751,160	)		(134,620	)
ADTRAN, Inc.		(43,630	)		(714,223	)		(37,086	)
AECOM		(3,635	)		(106,741	)		(2,418	)
AES Corp.		(75,477	)		(774,708	)		52,393
Agios Pharmaceuticals, Inc.		(39,919	)		(3,166,886	)		575,344
Air Lease Corp.		(15,902	)		(542,538	)		10,139
Akorn, Inc.		(422,149	)		(15,705,503	)		(44,876	)
Albemarle Corp.		(377,637	)		(18,642,265	)		(2,509,184	)
Alcoa, Inc.		(318,857	)		(2,940,191	)		(206,928	)
Alere, Inc.		(11,955	)		(495,900	)		28,579
Alexion Pharmaceuticals, Inc.		(143,926	)		(25,614,816	)		(1,839,069	)
Align Technology, Inc.		(164,003	)		(10,292,226	)		(507,371	)

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

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210

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Allegheny Technologies, Inc.		(98,084	)	$	(2,122,064	)	$	1,018,619
Alliance Data Systems Corp.		(77,726	)		(22,706,303	)		1,209,623
Allscripts Healthcare Solutions, Inc.		(75,620	)		(1,117,094	)		(45,941	)
Ally Financial, Inc.		(251,503	)		(5,245,408	)		557,392
AMC Networks, Inc.		(34,488	)		(2,886,726	)		311,162
American Airlines Group, Inc.		(79,707	)		(3,522,748	)		147,157
American Express Co.		(88,333	)		(6,874,290	)		730,729
AMETEK, Inc.		(60,776	)		(3,334,095	)		77,109
Amphenol Corp.		(174,170	)		(9,205,988	)		109,089
AmTrust Financial Services, Inc.		(10,266	)		(639,613	)		7,433
Apache Corp.		(53,392	)		(2,473,866	)		99,524
Apple, Inc.		(7,060	)		(792,349	)		49,214
Arch Capital Group Ltd.		(33,727	)		(2,353,708	)		1,250
Arista Networks, Inc.		(53,477	)		(3,754,812	)		(407,838	)
Armstrong World Industries, Inc.		(4,204	)		(221,146	)		28,897
ARRIS Group, Inc.		(267,817	)		(7,822,085	)		(365,080	)
Artisan Partners Asset Management, Inc.		(7,376	)		(281,519	)		15,540
Assured Guaranty Ltd.		(38,599	)		(960,796	)		(59,375	)
AT&T, Inc.		(140,290	)		(4,797,669	)		(29,710	)
athenahealth, Inc.		(27,603	)		(3,200,568	)		(1,242,687	)
Atwood Oceanics, Inc.		(97,241	)		(2,070,345	)		1,075,570
Autodesk, Inc.		(58,917	)		(3,133,189	)		(456,624	)
Automatic Data Processing, Inc.		(3,413	)		(299,012	)		9,862
AutoZone, Inc.		(7,344	)		(5,008,604	)		(439,983	)
Avis Budget Group, Inc.		(257,850	)		(11,158,501	)		1,801,124
Avon Products, Inc.		(220,979	)		(829,481	)		(65,484	)
B/E Aerospace, Inc.		(241,336	)		(12,462,689	)		2,237,283
Ball Corp.		(3,925	)		(269,952	)		(15,513	)
BancorpSouth, Inc.		(70,721	)		(1,835,161	)		138,564
Bank of Hawaii Corp.		(11,087	)		(746,044	)		48,672
Bank of the Ozarks, Inc.		(22,532	)		(1,167,774	)		53,341
BankUnited, Inc.		(27,295	)		(1,000,089	)		15,831
BB&T Corp.		(9,755	)		(376,489	)		7,653
Becton Dickinson and Co.		(40,361	)		(5,539,567	)		(679,659	)
Bed Bath & Beyond, Inc.		(55,224	)		(3,638,738	)		974,180
Belden, Inc.		(31,439	)		(2,086,607	)		587,595
Bio-Techne Corp.		(67,940	)		(6,701,807	)		587,207
Black Hills Corp.		(30,629	)		(1,265,164	)		(156,941	)
Black Knight Financial Services, Inc.		(30,927	)		(1,055,088	)		32,641
BlackRock, Inc.		(10,458	)		(3,265,491	)		(295,667	)
Bluebird Bio, Inc.		(44,528	)		(4,369,267	)		1,509,679
BorgWarner, Inc.		(369,196	)		(17,478,160	)		1,517,816
Boston Beer Co., Inc./The		(15,422	)		(3,398,640	)		284,784

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Bristol-Myers Squibb Co.		(10,162	)	$	(676,801	)	$	(22,243	)
Brookdale Senior Living, Inc.		(295,991	)		(9,285,273	)		3,821,279
Brown-Forman Corp.		(95,727	)		(9,735,004	)		231,227
Bruker Corp.		(47,634	)		(990,275	)		(165,802	)
Brunswick Corp.		(615	)		(32,626	)		1,562
Buffalo Wild Wings, Inc.		(18,928	)		(3,290,884	)		269,029
Cabela’s, Inc.		(436,199	)		(20,135,502	)		(248,077	)
Cadence Design Systems, Inc.		(316,038	)		(6,257,552	)		(319,198	)
CalAtlantic Group, Inc.		(97,469	)		(3,824,391	)		128,367
Calpine Corp.		(303,083	)		(4,733,498	)		347,887
Campbell Soup Co.		(86,766	)		(4,117,914	)		(441,639	)
CarMax, Inc.		(295,629	)		(19,268,663	)		3,313,566
Carpenter Technology Corp.		(82,275	)		(3,060,062	)		569,598
Caterpillar, Inc.		(17,463	)		(1,266,534	)		79,748
Cathay General Bancorp		(6,591	)		(208,189	)		1,693
CBOE Holdings, Inc.		(9,984	)		(688,929	)		40,967
CBS Corp.		(131,733	)		(5,652,986	)		(555,590	)
Celanese Corp.		(57,428	)		(3,767,336	)		(99,291	)
Celgene Corp.		(28,541	)		(3,308,953	)		(109,117	)
Centene Corp.		(1,066	)		(63,239	)		(6,914	)
Cerner Corp.		(82,415	)		(5,152,193	)		193,283
CH Robinson Worldwide, Inc.		(47,413	)		(3,100,336	)		159,782
Charles Schwab Corp./The		(170,847	)		(5,935,338	)		309,347
Chemours Co./The		(6,671	)		(45,768	)		10,012
Cheniere Energy, Inc.		(346,488	)		(21,718,150	)		8,811,472
Chevron Corp.		(32,760	)		(2,838,518	)		(108,572	)
Chipotle Mexican Grill, Inc.		(20,791	)		(14,613,603	)		4,637,041
Church & Dwight Co., Inc.		(15,109	)		(1,282,466	)		15
Ciena Corp.		(466,572	)		(11,893,394	)		2,240,019
Cimarex Energy Co.		(61,832	)		(6,814,545	)		1,288,001
Cincinnati Financial Corp.		(82,692	)		(4,613,132	)		(279,754	)
CIT Group, Inc.		(201,735	)		(8,856,863	)		847,984
CLARCOR, Inc.		(1,104	)		(66,163	)		11,316
Clean Harbors, Inc.		(6,722	)		(339,327	)		59,355
Clorox Co./The		(1,634	)		(207,226	)		(15	)
CME Group, Inc.		(85,782	)		(8,342,332	)		570,483
CMS Energy Corp.		(66,762	)		(2,266,521	)		(142,252	)
CNO Financial Group, Inc.		(34,260	)		(665,910	)		11,887
Coach, Inc.		(165,267	)		(5,181,069	)		(228,120	)
Cobalt International Energy, Inc.		(100,828	)		(793,528	)		249,057
Coca-Cola Co./The		(90,124	)		(3,689,897	)		(181,830	)
Cognex Corp.		(29,782	)		(1,354,672	)		348,933
Cognizant Technology Solutions Corp.		(62,159	)		(4,131,853	)		401,070

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

AQR Funds Annual Report December 2015

211

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Colfax Corp.		(158,715	)	$	(6,389,131	)	$	2,683,136
Colgate-Palmolive Co.		(103,427	)		(6,823,232	)		(67,074	)
Commerce Bancshares, Inc.		(28,077	)		(1,270,725	)		76,329
CommScope Holding Co., Inc.		(44,234	)		(1,239,260	)		94,041
CommVault Systems, Inc.		(58,001	)		(2,253,161	)		(29,178	)
Compass Minerals International, Inc.		(38,623	)		(3,181,049	)		273,896
Concho Resources, Inc.		(81,354	)		(8,496,425	)		941,893
CONSOL Energy, Inc.		(760,119	)		(12,008,036	)		6,003,096
Cooper Cos., Inc./The		(22,461	)		(3,593,490	)		579,224
Copart, Inc.		(2,137	)		(83,872	)		2,644
Corning, Inc.		(40,244	)		(757,762	)		22,102
CoStar Group, Inc.		(28,821	)		(6,230,003	)		272,990
Covanta Holding Corp.		(176,022	)		(3,312,892	)		586,312
Cree, Inc.		(83,931	)		(2,074,774	)		(163,665	)
CST Brands, Inc.		(4,571	)		(170,962	)		(7,947	)
Cullen/Frost Bankers, Inc.		(84,584	)		(5,897,578	)		822,538
CVR Energy, Inc.		(39,619	)		(1,604,152	)		45,145
Cypress Semiconductor Corp		(1,061,988	)		(11,275,526	)		857,424
Dana Holding Corp.		(43,317	)		(820,447	)		222,672
Danaher Corp.		(33,580	)		(3,020,885	)		(98,025	)
DaVita HealthCare Partners, Inc.		(92,272	)		(6,875,073	)		442,792
Deere & Co.		(24,326	)		(1,930,300	)		74,956
Denbury Resources, Inc.		(98,076	)		(321,264	)		123,151
DeVry Education Group, Inc.		(61,864	)		(1,553,821	)		(11,957	)
DexCom, Inc.		(14,805	)		(1,266,227	)		53,698
Diamond Offshore Drilling, Inc.		(55,525	)		(1,087,346	)		(84,231	)
Diebold, Inc.		(108,143	)		(3,647,441	)		393,418
Discovery Communications, Inc.		(526,455	)		(16,239,456	)		2,193,637
Dolby Laboratories, Inc.		(99,682	)		(3,428,273	)		73,974
Dollar Tree, Inc.		(148,741	)		(10,556,713	)		(929,067	)
Dominion Resources, Inc.		(258,486	)		(17,778,732	)		294,739
Donaldson Co., Inc.		(124,058	)		(3,815,298	)		259,796
Dover Corp.		(914	)		(58,811	)		2,774
DreamWorks Animation SKG, Inc.		(104,092	)		(2,662,673	)		(19,777	)
Dril-Quip, Inc.		(24,366	)		(1,532,594	)		89,396
DSW, Inc.		(36,001	)		(829,899	)		(29,085	)
Duke Energy Corp.		(62,273	)		(4,405,236	)		(40,434	)
Dun & Bradstreet Corp./The		(5,151	)		(624,247	)		88,904
Dunkin’ Brands Group, Inc.		(277,209	)		(13,743,466	)		1,937,134
E*TRADE Financial Corp.		(255,859	)		(7,598,944	)		15,283

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Eastman Chemical Co.		(46,436	)	$	(3,552,675	)	$	417,780
Eaton Vance Corp.		(45,322	)		(1,600,870	)		131,078
Ecolab, Inc.		(101,239	)		(11,487,556	)		(92,161	)
EI du Pont de Nemours & Co.		(18,306	)		(998,477	)		(220,702	)
Envision Healthcare Holdings Inc		(183,698	)		(6,963,184	)		2,192,547
EOG Resources, Inc.		(383	)		(32,862	)		5,749
Esterline Technologies Corp.		(30,460	)		(2,513,370	)		46,110
Eversource Energy		(62,692	)		(3,028,935	)		(172,745	)
Expeditors International of Washington, Inc.		(86,783	)		(4,072,077	)		158,163
Express Scripts Holding Co.		(374	)		(34,939	)		2,248
Exxon Mobil Corp.		(118,407	)		(9,393,517	)		163,691
F5 Networks, Inc.		(4,564	)		(539,784	)		97,259
Facebook, Inc.		(17,885	)		(1,627,989	)		(243,855	)
FactSet Research Systems, Inc.		(9,576	)		(1,580,232	)		23,461
Fastenal Co.		(26,976	)		(1,117,885	)		16,725
Federated Investors, Inc.		(134,979	)		(4,347,115	)		479,967
FedEx Corp.		(1,737	)		(275,681	)		16,885
FEI Co.		(65,358	)		(5,203,200	)		(11,714	)
First American Financial Corp.		(38,625	)		(1,502,031	)		115,394
First Horizon National Corp.		(498,423	)		(7,924,744	)		687,642
First Republic Bank		(61,328	)		(3,885,849	)		(165,478	)
FirstMerit Corp.		(34,289	)		(704,296	)		64,806
FleetCor Technologies, Inc.		(64,829	)		(9,484,443	)		218,434
FLIR Systems, Inc.		(51,264	)		(1,485,191	)		46,210
Flowers Foods, Inc.		(48,961	)		(1,024,264	)		(27,908	)
Flowserve Corp.		(168,664	)		(7,782,145	)		684,764
Fluor Corp.		(22,208	)		(1,034,513	)		(14,149	)
FMC Corp.		(305,533	)		(13,480,172	)		1,524,665
FNF Group		(24,638	)		(911,812	)		57,613
Ford Motor Co.		(482,375	)		(6,863,075	)		66,411
Fortune Brands Home & Security, Inc.		(23,602	)		(1,056,867	)		(253,044	)
Fossil Group, Inc.		(92,710	)		(6,292,767	)		2,903,289
Franklin Resources, Inc.		(218,202	)		(9,378,452	)		1,344,254
Freeport-McMoRan, Inc.		(1,109,462	)		(14,949,017	)		7,437,959
Frontier Communications Corp.		(815,642	)		(4,068,662	)		259,614
FTI Consulting, Inc.		(89,688	)		(3,744,260	)		635,674
Gap, Inc./The		(73,481	)		(1,960,680	)		145,699
GATX Corp.		(39,645	)		(2,100,789	)		413,894
General Electric Co.		(117,833	)		(3,539,856	)		(130,641	)
General Mills, Inc.		(39,667	)		(2,269,349	)		(17,850	)
Genesee & Wyoming, Inc.		(85,977	)		(6,005,400	)		1,389,295

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

AQR Funds Annual Report December 2015

212

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Gentex Corp.		(345,411	)	$	(5,610,170	)	$	80,139
Genworth Financial, Inc.		(788,765	)		(4,154,957	)		1,212,863
Global Payments, Inc.		(28,061	)		(1,575,198	)		(235,017	)
Graco, Inc.		(55,381	)		(3,884,365	)		(106,944	)
Granite Construction, Inc.		(334	)		(13,315	)		(1,017	)
Greif, Inc.		(20,305	)		(694,436	)		68,839
Hain Celestial Group, Inc./The		(138,049	)		(8,259,751	)		2,683,952
Halliburton Co.		(43,247	)		(1,801,931	)		329,803
Halyard Health, Inc.		(78,104	)		(2,531,338	)		(78,117	)
Hancock Holding Co.		(106,146	)		(3,027,728	)		356,033
Hanesbrands, Inc.		(126,627	)		(3,710,864	)		(15,769	)
Harley-Davidson, Inc.		(35,093	)		(1,999,965	)		407,094
Harris Corp.		(63,110	)		(4,841,200	)		(643,059	)
Helmerich & Payne, Inc.		(85,650	)		(5,064,600	)		478,042
Henry Schein, Inc.		(12,354	)		(1,821,350	)		(132,929	)
Hershey Co./The		(51,774	)		(4,699,368	)		77,503
Hexcel Corp.		(222,508	)		(10,795,833	)		460,336
HMS Holdings Corp.		(56,530	)		(661,401	)		(36,179	)
Honeywell International, Inc.		(19,895	)		(1,972,407	)		(88,118	)
HSN, Inc.		(184	)		(11,409	)		2,086
Huntsman Corp.		(47,926	)		(947,839	)		402,920
IDEXX Laboratories, Inc.		(216,426	)		(14,979,481	)		(802,303	)
IHS, Inc.		(3,758	)		(443,860	)		(1,200	)
Illumina, Inc.		(161,084	)		(31,835,086	)		915,818
Incyte Corp.		(32,833	)		(3,742,188	)		181,449
Intel Corp.		(139,659	)		(4,504,205	)		(307,047	)
Intercontinental Exchange, Inc.		(739	)		(188,238	)		(1,138	)
InterDigital, Inc.		(60,987	)		(3,473,820	)		483,017
International Business Machines Corp.		(40,871	)		(6,344,767	)		720,100
International Flavors & Fragrances, Inc.		(9,163	)		(1,082,578	)		(13,683	)
Intrexon Corp.		(15,931	)		(561,235	)		80,915
Intuit, Inc.		(28	)		(2,740	)		38
Intuitive Surgical, Inc.		(13,040	)		(6,586,430	)		(535,497	)
IPG Photonics Corp.		(105,207	)		(8,540,313	)		(839,943	)
ITC Holdings Corp.		(248,904	)		(8,227,576	)		(1,541,906	)
Itron, Inc.		(1,895	)		(67,471	)		(1,090	)
Jacobs Engineering Group, Inc.		(17,830	)		(794,436	)		46,467
Janus Capital Group, Inc.		(14,252	)		(245,134	)		44,324
Jarden Corp.		(41,204	)		(1,972,489	)		(381,083	)
JB Hunt Transport Services, Inc.		(85,967	)		(7,247,878	)		941,339
JC Penney Co., Inc.		(103,082	)		(1,012,327	)		325,801
JetBlue Airways Corp.		(105,795	)		(2,460,174	)		63,917
JM Smucker Co./The		(40,118	)		(4,337,352	)		(610,802	)
Johnson & Johnson		(79,210	)		(7,547,997	)		(588,454	)
Joy Global, Inc.		(302,952	)		(7,308,818	)		3,488,593

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Kansas City Southern		(188,343	)	$	(17,879,405	)	$	3,815,834
KB Home		(64,419	)		(1,032,408	)		238,122
Kellogg Co.		(768	)		(49,167	)		(6,336	)
Kennametal, Inc.		(55,044	)		(1,778,472	)		721,627
Keurig Green Mountain, Inc.		(224,132	)		(14,163,383	)		(6,004,014	)
Kinder Morgan, Inc.		(539,999	)		(16,986,170	)		8,929,385
KLX, Inc.		(96,879	)		(3,750,432	)		767,527
Knowles Corp.		(65,772	)		(1,160,499	)		283,758
Kohl’s Corp.		(142,354	)		(7,917,438	)		1,137,116
Kosmos Energy Ltd.		(63,343	)		(424,662	)		95,278
Laboratory Corp. of America Holdings		(65,620	)		(7,988,127	)		(125,130	)
Lam Research Corp.		(14,687	)		(1,135,405	)		(31,036	)
Landstar System, Inc.		(35,057	)		(2,374,197	)		318,104
Las Vegas Sands Corp.		(239,705	)		(12,553,625	)		2,044,958
Legg Mason, Inc.		(52,941	)		(2,467,294	)		390,418
Lennar Corp.		(238,803	)		(12,399,379	)		719,524
Leucadia National Corp.		(46,669	)		(918,343	)		106,769
Level 3 Communications, Inc.		(80,004	)		(3,828,045	)		(520,972	)
Lexmark International, Inc.		(14,287	)		(466,436	)		2,823
Linear Technology Corp.		(98,228	)		(4,219,690	)		47,946
Lions Gate Entertainment Corp.		(301,659	)		(11,321,956	)		1,551,221
Loews Corp.		(27,574	)		(1,013,689	)		(45,152	)
LPL Financial Holdings, Inc.		(41,483	)		(1,908,612	)		139,363
Manitowoc Co., Inc./The		(30,120	)		(532,842	)		70,500
Markel Corp.		(378	)		(330,104	)		(3,803	)
Marriott International, Inc.		(110,889	)		(8,284,894	)		850,895
Marsh & McLennan Cos., Inc.		(295,196	)		(16,291,672	)		(76,946	)
MasterCard, Inc.		(103,950	)		(10,008,857	)		(111,715	)
Mattel, Inc.		(461,567	)		(10,763,373	)		(1,777,403	)
McCormick & Co., Inc.		(40,830	)		(3,304,235	)		(189,180	)
McDonald’s Corp.		(832	)		(84,839	)		(13,453	)
MDC Holdings, Inc.		(107,630	)		(3,179,743	)		431,949
MDU Resources Group, Inc.		(44,053	)		(766,674	)		(40,377	)
Mead Johnson Nutrition Co.		(68,203	)		(5,515,144	)		130,518
MEDNAX, Inc.		(102,842	)		(7,999,051	)		629,393
Memorial Resource Development Corp.		(88,287	)		(1,651,038	)		225,203
Mercury General Corp.		(6,237	)		(348,156	)		57,698
Mettler-Toledo International, Inc.		(16,365	)		(5,191,027	)		(358,836	)
MGM Resorts International		(249,298	)		(5,030,501	)		(633,550	)

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

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213

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Microchip Technology, Inc.		(104,623	)	$	(4,612,633	)	$	(256,521	)
Middleby Corp./The		(40,570	)		(4,646,150	)		269,864
Monsanto Co.		(72,697	)		(7,149,627	)		(12,481	)
Moody’s Corp.		(38,614	)		(4,037,872	)		163,343
Motorola Solutions, Inc.		(3,978	)		(279,281	)		6,987
MSC Industrial Direct Co., Inc.		(83,866	)		(5,825,780	)		1,106,641
Mylan NV		(307,042	)		(14,416,983	)		(2,184,778	)
National Fuel Gas Co.		(31,110	)		(1,698,386	)		368,433
National Instruments Corp.		(49,433	)		(1,431,314	)		13,081
National Oilwell Varco, Inc.		(224,066	)		(8,885,541	)		1,381,571
Navient Corp.		(268,391	)		(3,378,770	)		305,693
Netflix, Inc.		(65,166	)		(7,208,573	)		(245,114	)
NetScout Systems, Inc.		(20,136	)		(692,728	)		74,553
NetSuite, Inc.		(189,243	)		(17,198,172	)		1,184,430
Newell Rubbermaid, Inc.		(84,864	)		(3,648,784	)		(92,021	)
Newfield Exploration Co.		(48,530	)		(1,847,093	)		266,956
NewMarket Corp.		(3,011	)		(1,343,997	)		197,619
NextEra Energy, Inc.		(50	)		(4,973	)		(222	)
Nielsen Holdings PLC		(191,365	)		(8,758,530	)		(159,079	)
Noble Energy, Inc.		(107,675	)		(3,994,742	)		449,005
Nordson Corp.		(61,039	)		(4,313,984	)		398,332
Norfolk Southern Corp.		(33,073	)		(2,640,252	)		(157,393	)
Norwegian Cruise Line Holdings Ltd.		(6,343	)		(368,381	)		(3,319	)
NRG Energy, Inc.		(271,940	)		(3,344,526	)		143,793
Nu Skin Enterprises, Inc.		(45,397	)		(1,816,432	)		96,339
Nuance Communications, Inc.		(53,427	)		(902,916	)		(159,747	)
NVIDIA Corp.		(77,394	)		(1,531,629	)		(1,019,278	)
Occidental Petroleum Corp.		(5,027	)		(375,110	)		35,235
Oceaneering International, Inc.		(28,407	)		(1,216,138	)		150,308
OGE Energy Corp.		(156,131	)		(4,315,880	)		211,196
Olin Corp.		(29,375	)		(562,270	)		55,257
ONE Gas, Inc.		(17,118	)		(769,052	)		(89,758	)
ONEOK, Inc.		(265,863	)		(9,612,903	)		3,056,721
Oracle Corp.		(136,925	)		(5,179,200	)		177,330
O’Reilly Automotive, Inc.		(12,800	)		(3,178,729	)		(65,047	)
Oshkosh Corp.		(77,170	)		(3,171,269	)		158,552
Owens & Minor, Inc.		(106,384	)		(3,676,933	)		(150,764	)
PacWest Bancorp		(28,330	)		(1,324,227	)		103,204
Palo Alto Networks, Inc.		(7,633	)		(1,466,070	)		121,594
Pandora Media, Inc.		(115,974	)		(2,159,696	)		604,484
Panera Bread Co.		(12,205	)		(2,214,475	)		(162,815	)
PAREXEL International Corp.		(23,324	)		(1,514,017	)		(74,814	)
Patterson Cos., Inc.		(14,074	)		(641,897	)		5,612

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Paychex, Inc.		(59,250	)	$	(2,927,072	)	$	(206,661	)
PayPal Holdings, Inc.		(3,261	)		(115,757	)		(2,291	)
Penske Automotive Group, Inc.		(6,564	)		(336,113	)		58,193
PerkinElmer, Inc.		(18,718	)		(971,496	)		(31,227	)
Platform Specialty Products Corp.		(659,970	)		(9,145,351	)		677,936
Polaris Industries, Inc.		(15,131	)		(1,800,951	)		500,441
PolyOne Corp.		(11,506	)		(408,218	)		42,788
Post Holdings, Inc.		(197,283	)		(10,525,048	)		(1,647,313	)
PPL Corp.		(220,421	)		(7,329,992	)		(192,977	)
Praxair, Inc.		(43,113	)		(4,855,757	)		440,986
Premier, Inc.		(12,526	)		(428,227	)		(13,565	)
Priceline Group, Inc./The		(2,921	)		(3,716,898	)		(7,231	)
Primerica, Inc.		(1,654	)		(75,301	)		(2,818	)
Principal Financial Group, Inc.		(193,176	)		(9,820,453	)		1,131,396
Progressive Corp./The		(105,333	)		(3,214,763	)		(134,826	)
Prosperity Bancshares, Inc.		(39,567	)		(2,160,484	)		266,807
Qorvo, Inc.		(104,427	)		(5,612,647	)		297,313
QUALCOMM, Inc.		(330,870	)		(21,298,509	)		4,759,972
Quanta Services, Inc.		(69,400	)		(1,784,746	)		379,396
Quest Diagnostics, Inc.		(73,837	)		(5,322,909	)		70,145
Questar Corp.		(58,793	)		(1,116,458	)		(28,830	)
Ralph Lauren Corp.		(12,813	)		(1,527,585	)		99,192
Range Resources Corp.		(410,430	)		(16,087,224	)		5,986,542
Regal Entertainment Group		(72,058	)		(1,397,937	)		38,203
Regeneron Pharmaceuticals, Inc.		(35,366	)		(18,884,930	)		(314,211	)
RenaissanceRe Holdings Ltd.		(11,489	)		(1,227,179	)		(73,261	)
Rent-A-Center, Inc.		(211,410	)		(5,518,171	)		2,353,363
ResMed, Inc.		(93,993	)		(5,107,169	)		60,685
Rice Energy, Inc.		(268,779	)		(5,033,739	)		2,104,047
Rockwell Collins, Inc.		(111,548	)		(9,839,481	)		(456,400	)
Rollins, Inc.		(1,608	)		(44,146	)		2,499
Roper Technologies, Inc.		(22,503	)		(3,889,605	)		(381,240	)
Rovi Corp.		(162,283	)		(1,714,266	)		(989,369	)
Royal Caribbean Cruises Ltd.		(54,339	)		(5,298,377	)		(201,273	)
RPM International, Inc.		(6,225	)		(282,217	)		7,944
RR Donnelley & Sons Co.		(43,653	)		(746,027	)		103,455
salesforce.com, Inc.		(100,336	)		(7,407,807	)		(458,536	)
Sally Beauty Holdings, Inc.		(109,754	)		(2,960,411	)		(100,628	)
Santander Consumer USA Holdings, Inc.		(67,523	)		(1,335,479	)		265,239
SBA Communications Corp.		(77,277	)		(8,839,930	)		720,436
SCANA Corp.		(56,722	)		(3,007,321	)		(423,793	)
Schlumberger Ltd.		(74,899	)		(5,982,962	)		758,756

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

AQR Funds Annual Report December 2015

214

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Scripps Networks Interactive, Inc.		(190,928	)	$	(11,329,697	)	$	788,562
Seagate Technology PLC		(58,983	)		(2,756,355	)		594,038
Seattle Genetics, Inc.		(160,735	)		(7,838,857	)		625,070
Semtech Corp.		(78,549	)		(1,340,598	)		(145,549	)
ServiceNow, Inc.		(95,140	)		(7,649,006	)		(586,313	)
Silgan Holdings, Inc.		(13,935	)		(735,070	)		(13,518	)
Silicon Laboratories, Inc.		(32,594	)		(1,612,101	)		29,988
Sirius XM Holdings, Inc.		(4,534,245	)		(17,664,058	)		(790,319	)
Six Flags Entertainment Corp.		(146,320	)		(6,882,995	)		(1,155,826	)
Skyworks Solutions, Inc.		(22,138	)		(1,868,928	)		168,065
SLM Corp.		(32,014	)		(222,503	)		13,772
SM Energy Co.		(42,399	)		(1,430,022	)		596,457
SolarWinds, Inc.		(4,902	)		(220,487	)		(68,241	)
Sotheby’s		(314,205	)		(12,646,642	)		4,552,721
Southern Co./The		(391,497	)		(17,076,479	)		(1,241,666	)
Southwest Airlines Co.		(36,503	)		(1,747,322	)		175,503
Southwestern Energy Co.		(763,570	)		(14,326,940	)		8,897,957
Spectra Energy Corp.		(446,005	)		(13,107,383	)		2,430,024
Spectrum Brands Holdings, Inc.		(26,218	)		(2,586,181	)		(82,811	)
Splunk, Inc.		(247,123	)		(16,405,445	)		1,872,142
Sprouts Farmers Market, Inc.		(558,730	)		(13,043,282	)		(1,813,349	)
State Street Corp.		(19,899	)		(1,395,429	)		74,932
Stericycle, Inc.		(57,183	)		(7,285,335	)		389,066
SunEdison, Inc.		(1,600,392	)		(15,236,582	)		7,090,587
SunPower Corp.		(60,780	)		(1,588,602	)		(235,406	)
Synaptics, Inc.		(22,354	)		(1,912,239	)		116,318
Synchrony Financial		(126,124	)		(4,050,550	)		215,119
Synovus Financial Corp.		(68,548	)		(2,142,810	)		(76,774	)
T Rowe Price Group, Inc.		(72,332	)		(5,449,976	)		278,961
Tableau Software, Inc.		(14,777	)		(1,414,348	)		22,059
Teekay Corp.		(20,234	)		(589,939	)		390,230
Teledyne Technologies, Inc.		(722	)		(68,543	)		4,502
Tempur Sealy International, Inc.		(8,993	)		(682,566	)		48,919
Tenet Healthcare Corp.		(484,422	)		(22,539,793	)		7,861,806
Teradata Corp.		(114,535	)		(3,971,086	)		945,072
Tesla Motors, Inc.		(26,027	)		(6,938,705	)		691,965
Tiffany & Co.		(87,089	)		(7,928,453	)		1,284,433
Time Warner, Inc.		(33,747	)		(2,464,743	)		282,324
TimkenSteel Corp.		(3,659	)		(69,817	)		39,154
T-Mobile US, Inc.		(146,470	)		(5,511,666	)		(218,240	)
Tractor Supply Co.		(26,227	)		(2,453,011	)		210,603
TransDigm Group, Inc.		(113,689	)		(25,696,178	)		(276,074	)
TreeHouse Foods, Inc.		(62,900	)		(5,077,970	)		142,836
TRI Pointe Group, Inc.		(59,778	)		(790,881	)		33,494

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Trimble Navigation Ltd.		(245,122	)	$	(5,386,728	)	$	128,861
TripAdvisor, Inc.		(171,400	)		(15,316,072	)		704,222
Triumph Group, Inc.		(89,614	)		(5,143,394	)		1,581,238
Tupperware Brands Corp.		(31,691	)		(1,936,736	)		173,132
Twenty-First Century Fox, Inc.		(184,967	)		(5,101,393	)		77,689
Twitter, Inc.		(268,791	)		(7,681,409	)		1,461,585
Tyson Foods, Inc.		(122,823	)		(5,431,918	)		(1,118,232	)
Ultimate Software Group, Inc./The		(32,968	)		(5,911,872	)		(533,702	)
Umpqua Holdings Corp.		(183,042	)		(3,301,929	)		391,561
Under Armour, Inc.		(291,239	)		(26,849,826	)		3,373,050
Union Pacific Corp.		(28,683	)		(2,458,311	)		215,300
Unit Corp.		(3,582	)		(63,070	)		19,369
United Natural Foods, Inc.		(149,728	)		(7,628,463	)		1,735,169
United Parcel Service, Inc.		(35,676	)		(3,494,821	)		61,719
United Rentals, Inc.		(111,965	)		(8,179,387	)		57,446
United Technologies Corp.		(66,063	)		(6,107,734	)		(238,938	)
Urban Outfitters, Inc.		(36,510	)		(1,164,092	)		333,490
USG Corp.		(496,853	)		(13,266,805	)		1,198,245
Valley National Bancorp		(286,566	)		(2,958,603	)		135,928
Valspar Corp./The		(32,629	)		(2,571,570	)		(135,006	)
Vantiv, Inc.		(26,701	)		(1,084,595	)		(181,567	)
Varian Medical Systems, Inc.		(49,716	)		(4,338,218	)		321,165
Veeva Systems, Inc.		(90,027	)		(2,422,205	)		(175,074	)
VeriSign, Inc.		(16,030	)		(1,043,232	)		(357,148	)
Verisk Analytics, Inc.		(129,789	)		(9,719,711	)		(258,467	)
Vertex Pharmaceuticals, Inc.		(53,381	)		(6,728,289	)		11,357
Visa, Inc.		(105,281	)		(7,841,597	)		(322,944	)
Vishay Intertechnology, Inc.		(25,981	)		(279,331	)		(33,740	)
Wabtec Corp.		(46,670	)		(3,796,356	)		477,186
Waddell & Reed Financial, Inc.		(16,203	)		(699,576	)		235,198
Walgreens Boots Alliance, Inc.		(35,629	)		(2,978,513	)		(55,474	)
Walt Disney Co./The		(54,951	)		(5,744,828	)		(29,423	)
Waste Connections, Inc.		(11,938	)		(582,663	)		(89,685	)
Waters Corp.		(24,086	)		(3,106,969	)		(134,525	)
Webster Financial Corp.		(27,124	)		(1,056,480	)		47,738
WEC Energy Group, Inc.		(275,274	)		(13,774,178	)		(350,131	)
WellCare Health Plans, Inc.		(14,520	)		(1,193,108	)		57,499
Wendy’s Co./The		(123,048	)		(1,197,574	)		(127,653	)
West Pharmaceutical Services, Inc.		(558	)		(33,459	)		(144	)

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

AQR Funds Annual Report December 2015

215

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Westar Energy, Inc.		(80,274	)	$	(3,046,177	)	$	(358,244	)
Western Union Co./The		(481,251	)		(9,182,869	)		563,663
WestRock Co.		(23,136	)		(1,173,687	)		118,223
WEX, Inc.		(9,066	)		(933,469	)		132,035
WhiteWave Foods Co./The		(13,992	)		(554,019	)		9,590
Whiting Petroleum Corp.		(198,712	)		(3,450,375	)		1,574,534
Whole Foods Market, Inc.		(187,563	)		(5,698,331	)		(585,030	)
Williams-Sonoma, Inc.		(2,131	)		(135,792	)		11,320
WisdomTree Investments, Inc.		(585,838	)		(11,060,410	)		1,874,470
Woodward, Inc.		(68,227	)		(3,242,862	)		(145,291	)
Workday, Inc.		(189,847	)		(15,490,885	)		363,876
World Fuel Services Corp.		(16,752	)		(820,345	)		176,064
WR Berkley Corp.		(9,152	)		(508,028	)		6,956
WR Grace & Co.		(52,291	)		(5,211,474	)		3,813
Wynn Resorts Ltd.		(5,391	)		(361,076	)		(11,928	)
Xcel Energy, Inc.		(190,170	)		(6,662,471	)		(166,533	)
Yahoo!, Inc.		(178,849	)		(5,922,142	)		(26,376	)
Zebra Technologies Corp.		(78,848	)		(7,200,143	)		1,708,379
Zillow Group, Inc.		(70,316	)		(1,990,930	)		339,911
Zimmer Biomet Holdings, Inc.		(132,318	)		(13,066,217	)		(508,287	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Zions Bancorporation		(306,522	)	$	(9,635,738	)	$	1,267,687
								162,652,811
Total of Short Equity Positions								173,037,426
Rights
United States
Leap Wireless International, Inc. (3)		(110,787	)		(279,183	)		(198,256	)
Total of Short Equity Positions and Rights								172,839,170
Total of Long and Short Equity Positions and Rights								68,277,319
Net Cash and Other Receivables/ (Payables) (b)								10,859,616
Swaps, at Value							$	79,136,935

(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.

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

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

AQR Funds Annual Report December 2015

216

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives the total return on a portfolio of long and short positions and pays or receives the Euro 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.	4-16 months maturity 04/05/2016		$799,857

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Belgium
Delhaize Group		82,024		$	7,274,110		$	709,005
France
Alcatel-Lucent		20,082			72,982			6,357
Germany
Deutsche Wohnen AG		68,214			1,840,027			46,214
Wincor Nixdorf AG		80,263			4,182,920			(158,819	)
								(112,605	)
Italy
Ansaldo STS SpA		842,829			8,616,046			414,734
Enel Green Power SpA		6,001			12,211			(14	)
Italcementi SpA		372,119			4,043,950			97,842
								512,562
Netherlands
TNT Express NV		2,382,726			19,739,274			415,812
USG People NV		88,295			1,649,933			(7,298	)
								408,514
Total of Long Equity Positions								1,523,833
Short Positions
Common Stocks
Finland
Nokia OYJ		(287,504	)		(1,870,973	)		(162,980	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Germany
Vonovia SE		(43,385	)	$	(1,288,252	)	$	(52,045	)
Italy
Enel SpA		(3,001	)		(12,677	)		93
Netherlands
Koninklijke Ahold NV		(415,752	)		(8,172,757	)		(596,886	)
United Kingdom
Dialog Semiconductor PLC		(17,584	)		(705,929	)		119,175
Total of Short Equity Positions								(692,643	)
Total of Long and Short Equity Positions								831,190
Net Cash and Other Receivables/ (Payables) (b)								(31,333	)
Swaps, at Value							$	799,857

(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.

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

AQR Funds Annual Report December 2015

217

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives 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.	1-25 months maturity ranging from 01/13/2016 - 11/09/2017		$1,533,636

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Alcatel-Lucent		534,818	$	1,919,997	$	128,356
Ireland
Avolon Holdings Ltd.		99,215		2,974,013		97,684
King Digital Entertainment PLC		20,821		370,799		1,481
						99,165
Israel
EZchip Semiconductor Ltd.		34,114		855,318		(12,020	)
Netherlands
NXP Semiconductors NV		1,021		91,255		(5,235	)
United States
AGL Resources, Inc.		217,703		13,396,606		495,023
Airgas, Inc.		75,073		10,327,796		56,301
Allergan PLC		71,333		22,067,661		223,901
American Residential Properties, Inc.		139,255		2,525,157		106,763
Astoria Financial Corp.		449,750		7,181,384		(52,847	)
Atmel Corp.		157,004		1,316,209		35,596
Avangrid, Inc.		2,442		89,304		4,469
Baker Hughes, Inc.		447,986		26,575,851		(5,901,297	)
Baxalta, Inc.		52,956		2,018,948		47,925
BioMed Realty Trust, Inc.		132,303		3,105,883		28,375
Boulder Brands, Inc.		156,416		1,713,498		3,950
Broadcom Corp.		479,126		25,233,618		2,469,447
Cablevision Systems Corp.		648,715		20,914,777		(220,769	)
Cameron International Corp.		237,478		14,838,088		170,522
Chubb Corp./The		260,036		32,085,478		2,405,697
Cigna Corp.		208,910		29,542,918		1,026,883
Cleco Corp.		319,778		17,228,039		(532,429	)
Constant Contact, Inc.		60,454		1,889,198		(121,523	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Diamond Foods, Inc.		53,927	$	2,142,200	$	(63,314	)
EMC Corp.		135,653		3,854,051		(370,482	)
Expedia, Inc.		100		12,580		(150	)
Fairchild Semiconductor International, Inc.		215,414		4,193,186		268,038
First Niagara Financial Group, Inc.		1,295,959		13,744,759		316,397
Hawaiian Electric Industries, Inc.		472,595		14,123,449		(441,824	)
Health Net, Inc.		344,400		22,141,637		1,435,987
Heartland Payment Systems, Inc.		53,700		5,056,995		34,839
Humana, Inc.		157,267		28,536,657		(462,925	)
Inland Real Estate Corp.		384,868		4,108,844		(21,546	)
Jarden Corp.		302,482		16,748,315		529,457
Keurig Green Mountain, Inc.		131,846		11,783,835		79,668
KLA-Tencor Corp.		267,901		17,843,835		735,099
MedAssets, Inc.		27,799		857,474		2,627
Media General, Inc.		599,734		8,704,147		981,557
National Penn Bancshares, Inc.		623,953		7,681,914		11,427
Norfolk Southern Corp.		21,730		2,075,884		(237,744	)
Office Depot, Inc.		2,567,530		20,477,881		(5,997,012	)
PartnerRe Ltd.		51,812		7,137,950		102,259
Pep Boys-Manny, Moe & Jack/The		162,446		2,433,733		556,897
Pepco Holdings, Inc.		956,553		25,364,665		(484,722	)
Piedmont Natural Gas Co., Inc.		105,611		6,141,661		(119,721	)
Pinnacle Entertainment, Inc.		43,189		1,727,992		(383,950	)
Plum Creek Timber Co., Inc.		184,406		8,709,045		90,809
PMC-Sierra, Inc.		1,321,661		15,331,268		26,433
Precision Castparts Corp.		121,727		28,049,306		192,575

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

AQR Funds Annual Report December 2015

218

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Rentrak Corp.		4,537		$	219,143		$	(3,500	)
Rite Aid Corp.		898,793			7,084,915			(38,378	)
SanDisk Corp.		132,512			10,003,196			66,391
Sirona Dental Systems, Inc.		6,059			670,589			(6,704	)
SolarWinds, Inc.		42,613			2,475,487			34,418
Solera Holdings, Inc.		215,383			11,638,651			170,799
StanCorp Financial Group, Inc.		76,301			8,676,281			12,877
Starwood Hotels & Resorts Worldwide, Inc.		28,935			2,050,979			(46,363	)
Symetra Financial Corp.		295,549			9,315,567			74,025
TECO Energy, Inc.		387,477			10,246,526			79,736
Time Warner Cable, Inc.		129,030			24,292,961			(346,283	)
Wilshire Bancorp, Inc.		172,327			2,097,061			(106,684	)
								(3,083,000	)
Total Common Stocks							(2,872,734)
Rights
United States
Furiex Pharmaceuticals, Inc. (3)		44,784			447,840			(447,840	)
Total of Long Equity Positions and Rights								(3,320,574	)
Short Positions
Common Stocks
Canada
Mitel Networks Corp.		(23,159	)		(214,221	)		36,128
Finland
Nokia OYJ		(294,483	)		(1,987,760	)		(79,510	)
Ireland
Shire PLC		(8,949	)		(2,242,303	)		407,759
Singapore
Avago Technologies Ltd.		(81,516	)		(10,863,816	)		(968,232	)
Switzerland
ACE Ltd.		(153,345	)		(16,237,888	)		(1,680,475	)
United Kingdom
STERIS PLC		(129	)		(8,883	)		(836	)
Willis Group Holdings PLC		(3	)		(147	)		2
								(834	)
United States
Aetna, Inc.		(131,712	)		(14,492,940	)		252,238
American Homes 4 Rent		(154,336	)		(2,493,419	)		(77,819	)
Anthem, Inc.		(105,525	)		(15,243,109	)		528,703

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ball Corp.		(15,289	)	$	(1,013,815	)	$	(98,154	)
BB&T Corp.		(134,843	)		(5,125,473	)		27,059
Centene Corp.		(212,522	)		(13,003,650	)		(982,423	)
Charter Communications, Inc.		(64,867	)		(12,054,968	)		177,820
comScore, Inc.		(4,546	)		(191,558	)		4,490
DENTSPLY International, Inc.		(11,882	)		(729,861	)		6,841
Diebold, Inc.		(34,853	)		(1,184,752	)		136,026
Gaming and Leisure Properties, Inc.		(36,711	)		(1,290,759	)		270,193
Global Payments, Inc.		(37,081	)		(2,387,018	)		(5,078	)
Gramercy Property Trust		(1,865	)		(13,956	)		(442	)
Halliburton Co.		(495,614	)		(20,511,255	)		3,640,555
Iron Mountain, Inc.		(24,232	)		(759,916	)		105,409
KeyCorp.		(889,794	)		(11,432,728	)		(303,655	)
Lam Research Corp.		(133,834	)		(10,147,719	)		(481,377	)
Microsemi Corp.		(101,900	)		(3,635,783	)		314,862
New York Community Bancorp., Inc.		(449,750	)		(7,367,298	)		27,378
Newell Rubbermaid, Inc.		(261,400	)		(11,220,603	)		(301,909	)
Nexstar Broadcasting Group, Inc.		(61,413	)		(3,168,564	)		(436,379	)
NextEra Energy, Inc.		(116,703	)		(11,897,036	)		(227,239	)
Pandora Media, Inc.		(54,696	)		(689,170	)		(44,304	)
Pfizer, Inc.		(801,989	)		(25,720,743	)		(167,462	)
Schlumberger Ltd.		(175,254	)		(12,548,474	)		324,507
Snyder’s-Lance, Inc.		(41,900	)		(1,503,861	)		66,691
Staples, Inc.		(547,049	)		(7,656,256	)		2,475,702
Towers Watson & Co.		(4,402	)		(564,438	)		(1,043	)
Western Digital Corp.		(2,333	)		(147,037	)		6,941
Weyerhaeuser Co.		(302,392	)		(9,051,781	)		(13,931	)
								5,224,200
Total of Short Equity Positions								2,939,036
Total of Long and Short Equity Positions and Rights								(381,538	)
Net Cash and Other Receivables/ (Payables) (b)								1,915,174
Swaps, at Value							$	1,533,636

(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.

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

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

AQR Funds Annual Report December 2015

219

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Morgan Stanley Capital Services, Inc.	The Fund receives 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.	14 months maturity 01/12/2017		$38,016

** 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 December 31, 2015.

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
Canadian Pacific Railway Ltd.		(9,801	)	$	(1,362,577	)	$	110,766
Net Cash and Other Receivables/ (Payables) (b)								(72,750	)
Swaps, at Value							$	38,016

(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 pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$2,340,210			$—		$2,340,210
Barclays Capital
Cash		—			54,972,394		54,972,394
CitiBank
Cash		—			1,494,021		1,494,021
Money Market Funds		8,380,198			—		8,380,198
Credit Suisse International
Cash		(4,170,000	)		—		(4,170,000	)
Deutsche Bank
Cash		(600,000	)		—		(600,000	)
Goldman Sachs
Cash		—			4,551,365		4,551,365
Money Market Funds		30,190,000			—		30,190,000
J.P. Morgan
Cash		—			14,859,719		14,859,719
Money Market Funds		110,700,000			—		110,700,000
Morgan Stanley Capital Services, Inc.
Cash		—			915,704		915,704
Money Market Funds		322,453,137			—		322,453,137

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

AQR Funds Annual Report December 2015

220

Consolidated Schedule of Investments December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED			TOTAL
CitiBank
Money Market Funds		$2,630,008		$—			$2,630,008
Deutsche Bank
Money Market Funds		830,045		—			830,045
Goldman Sachs
Cash		—		(400,814	)		(400,814	)
J.P. Morgan
Cash		—		1,422,383			1,422,383
Macquarie Capital
Money Market Funds		480,002		—			480,002
Morgan Stanley Capital Services, Inc.
Cash		—		9,910,814			9,910,814
Societe Generale
Money Market Funds		670,000		—			670,000

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

AQR Funds Annual Report December 2015

221

Consolidated Schedule of Investments December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

MONEY MARKET FUNDS - 38.9%	SHARES		VALUE (Note 5)
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% ^(a)		2,245,052	$	2,245,052
Dreyfus Treasury Cash Management, Class I, 0.090% ^(a)		8,980,208		8,980,208
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(a)(b)		15,983,784		15,983,784
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(a)(b)		1,470,129		1,470,129
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% ^(a)		11,225,261		11,225,261
TOTAL MONEY MARKET FUNDS (cost $39,904,434)				39,904,434
SHORT-TERM INVESTMENTS -51.3%	PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
U.S. Treasury Bill, 0.327%, 5/19/2016 ^(c)	$	30,723		30,684,197
U.S. Treasury Bill, 0.536%, 6/9/2016 (c)		2,641		2,635,821
U.S. Treasury Bill, 0.415%, 6/2/2016 ^(c)		910		908,359
U.S. Treasury Bill, 0.144%, 4/28/2016 (c)		1,125		1,124,057
U.S. Treasury Bill, 0.241%, 2/11/2016 ^(c)		16,071		16,068,766
U.S. Treasury Bill, 0.238%, 2/18/2016 (c)		1,162		1,161,837
TOTAL SHORT-TERM INVESTMENTS (cost $52,580,034)				52,583,037
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 90.2% (cost $92,484,468)				92,487,471
OTHER ASSETS IN EXCESS OF LIABILITIES - 9.8% (d)			10,038,917
NET ASSETS - 100.0%			$	102,526,388

(a) Represents annualized seven-day yield as of the close of the reporting period.

(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 (See Note 2).

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

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Societe Generale	Cocoa March Futures^	02/2016	USD		(161,910	)		$1,360
Societe Generale	Cocoa March Futures^	02/2016	USD		166,936			(6,386	)
CitiBank	Corn March Futures^	02/2016	USD		615,744			(41,744	)
Deutsche Bank	Corn March Futures^	02/2016	USD		2,663,502			(224,002	)
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		1,441,928			13,511
Deutsche Bank	Cotton No. 2 March Futures^	02/2016	USD		927,940			21,260
Macquarie Capital	Cotton No. 2 March Futures^	02/2016	USD		(155,263	)		(800	)
Macquarie Capital	Cotton No. 2 March Futures^	02/2016	USD		310,538			5,862
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		(222,279	)		(5,475	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		222,279			(6,999	)
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		2,386,924			(88,684	)
Societe Generale	Live Cattle February Futures^	02/2016	USD		1,183,744			(34,624	)
Societe Generale	Natural Gas January Futures^	01/2016	USD		601,132			53,228
Societe Generale	Natural Gas January Futures^	01/2016	USD		(697,683	)		43,323
Societe Generale	Natural Gas February Futures^	02/2016	USD		(611,744	)		(49,896	)

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

AQR Funds Annual Report December 2015

222

Consolidated Schedule of Investments December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
CitiBank	Soybean March Futures^	02/2016	USD		3,868,020			$ (22,107	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		647,375			812
Deutsche Bank	Soybean March Futures^	02/2016	USD		(441,360	)		9,228
Macquarie Capital	Soybean March Futures^	02/2016	USD		735,257			(644	)
Societe Generale	Soybean March Futures^	02/2016	USD		561,411			352
Societe Generale	Soybean Meal March Futures^	02/2016	USD		(432,790	)		34,540
Macquarie Capital	Soybean Oil March Futures^	02/2016	USD		2,724,480			6,120
CitiBank	Wheat March Futures^	02/2016	USD		781,464			(76,406	)
CitiBank	Wheat March Futures^	02/2016	USD		(1,864,600	)		78,541
Deutsche Bank	Wheat March Futures^	02/2016	USD		(1,418,708	)		55,708
								$(233,922	)

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
25	Goldman Sachs	Brent Crude Futures^		02/2016		$981,427		$963,250		$(18,177	)
67	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		3,211,244		3,183,338		(27,906	)
247	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		4,869,823		4,430,562		(439,261	)
14	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		440,821		442,960		2,139
64	Goldman Sachs	Gas Oil Futures^		03/2016		2,378,147		2,190,400		(187,747	)
43	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		02/2016		2,300,319		2,344,550		44,231
133	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		14,766,173		14,100,660		(665,513	)
5	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		02/2016		245,733		241,269		(4,464	)
78	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		1,820,221		1,865,760		45,539
24	J.P. Morgan	LME Aluminum Futures^		01/2016		942,059		900,780		(41,279	)
15	J.P. Morgan	LME Aluminum Futures^		01/2016		597,206		563,906		(33,300	)
15	J.P. Morgan	LME Aluminum Futures^		01/2016		563,041		564,563		1,522
2	J.P. Morgan	LME Aluminum Futures^		02/2016		74,955		75,412		457
24	J.P. Morgan	LME Aluminum Futures^		02/2016		893,559		905,850		12,291
29	J.P. Morgan	LME Aluminum Futures^		02/2016		1,061,117		1,094,119		33,002
29	J.P. Morgan	LME Aluminum Futures^		03/2016		1,076,334		1,094,569		18,235
224	J.P. Morgan	LME Aluminum Futures^		03/2016		8,797,141		8,443,400		(353,741	)
30	J.P. Morgan	LME Aluminum Futures^		03/2016		1,107,881		1,130,752		22,871
4	J.P. Morgan	LME Aluminum Futures^		03/2016		152,210		150,733		(1,477	)

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

AQR Funds Annual Report December 2015

223

Consolidated Schedule of Investments December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
9	J.P. Morgan	LME Copper Futures^		01/2016		$ 1,154,513		$ 1,059,098		$ (95,415	)
4	J.P. Morgan	LME Copper Futures^		01/2016		533,510		471,025		(62,485	)
15	J.P. Morgan	LME Copper Futures^		01/2016		1,950,550		1,766,392		(184,158	)
2	J.P. Morgan	LME Copper Futures^		01/2016		257,839		235,510		(22,329	)
6	J.P. Morgan	LME Copper Futures^		02/2016		756,502		706,630		(49,872	)
5	J.P. Morgan	LME Copper Futures^		02/2016		600,387		588,906		(11,481	)
5	J.P. Morgan	LME Copper Futures^		02/2016		577,012		588,872		11,860
1	J.P. Morgan	LME Copper Futures^		03/2016		115,202		117,747		2,545
2	J.P. Morgan	LME Copper Futures^		03/2016		229,664		235,467		5,803
91	J.P. Morgan	LME Copper Futures^		03/2016		11,725,599		10,711,269		(1,014,330	)
5	J.P. Morgan	LME Copper Futures^		03/2016		576,990		588,594		11,604
8	J.P. Morgan	LME Copper Futures^		03/2016		937,274		940,970		3,696
7	J.P. Morgan	LME Lead Futures^		01/2016		291,217		314,463		23,246
4	J.P. Morgan	LME Lead Futures^		01/2016		180,095		179,680		(415	)
2	J.P. Morgan	LME Lead Futures^		01/2016		87,092		89,834		2,742
2	J.P. Morgan	LME Lead Futures^		01/2016		87,555		89,832		2,277
5	J.P. Morgan	LME Lead Futures^		01/2016		215,637		224,570		8,933
2	J.P. Morgan	LME Lead Futures^		02/2016		83,083		89,835		6,752
3	J.P. Morgan	LME Lead Futures^		02/2016		121,446		134,787		13,341
4	J.P. Morgan	LME Lead Futures^		03/2016		163,899		179,716		15,817
8	J.P. Morgan	LME Lead Futures^		03/2016		330,655		359,425		28,770
1	J.P. Morgan	LME Lead Futures^		03/2016		41,002		44,927		3,925
56	J.P. Morgan	LME Lead Futures^		03/2016		2,445,345		2,515,450		70,105
3	J.P. Morgan	LME Lead Futures^		03/2016		129,178		134,760		5,582
10	J.P. Morgan	LME Lead Futures^		03/2016		404,308		448,937		44,629
5	J.P. Morgan	LME Lead Futures^		03/2016		215,365		224,188		8,823
2	J.P. Morgan	LME Nickel Futures^		01/2016		127,146		105,424		(21,722	)
4	J.P. Morgan	LME Nickel Futures^		01/2016		250,465		210,934		(39,531	)
2	J.P. Morgan	LME Nickel Futures^		01/2016		125,540		105,504		(20,036	)
1	J.P. Morgan	LME Nickel Futures^		02/2016		58,394		52,778		(5,616	)
3	J.P. Morgan	LME Nickel Futures^		02/2016		169,081		158,409		(10,672	)
6	J.P. Morgan	LME Nickel Futures^		02/2016		325,458		316,898		(8,560	)
6	J.P. Morgan	LME Nickel Futures^		03/2016		318,640		317,137		(1,503	)
1	J.P. Morgan	LME Nickel Futures^		03/2016		53,991		52,860		(1,131	)
2	J.P. Morgan	LME Nickel Futures^		03/2016		105,906		105,727		(179	)
4	J.P. Morgan	LME Nickel Futures^		03/2016		206,308		211,533		5,225
34	J.P. Morgan	LME Nickel Futures^		03/2016		2,011,613		1,798,056		(213,557	)
8	J.P. Morgan	LME Nickel Futures^		03/2016		416,708		423,096		6,388
3	J.P. Morgan	LME Nickel Futures^		03/2016		155,539		158,661		3,122
3	J.P. Morgan	LME Nickel Futures^		03/2016		156,337		158,704		2,367
11	J.P. Morgan	LME Zinc Futures^		01/2016		461,202		438,405		(22,797	)
7	J.P. Morgan	LME Zinc Futures^		01/2016		319,442		279,577		(39,865	)
5	J.P. Morgan	LME Zinc Futures^		01/2016		215,012		200,037		(14,975	)
2	J.P. Morgan	LME Zinc Futures^		01/2016		87,505		80,046		(7,459	)
5	J.P. Morgan	LME Zinc Futures^		01/2016		215,012		200,171		(14,841	)
2	J.P. Morgan	LME Zinc Futures^		02/2016		83,255		80,122		(3,133	)
1	J.P. Morgan	LME Zinc Futures^		02/2016		40,352		40,087		(265	)
5	J.P. Morgan	LME Zinc Futures^		02/2016		189,012		200,531		11,519
9	J.P. Morgan	LME Zinc Futures^		03/2016		349,683		361,247		11,564
2	J.P. Morgan	LME Zinc Futures^		03/2016		76,756		80,289		3,533
5	J.P. Morgan	LME Zinc Futures^		03/2016		191,262		200,896		9,634
57	J.P. Morgan	LME Zinc Futures^		03/2016		2,469,581		2,292,825		(176,756	)
11	J.P. Morgan	LME Zinc Futures^		03/2016		409,104		442,475		33,371
5	J.P. Morgan	LME Zinc Futures^		03/2016		192,887		201,125		8,238

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

AQR Funds Annual Report December 2015

224

Consolidated Schedule of Investments December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
69	Morgan Stanley and Co., International PLC	Natural Gas Futures^		02/2016		$ 1,391,050			$ 1,630,470			$ 239,420
134	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		10,264,037			9,248,010			(1,016,027	)
78	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		3,401,483			3,370,575			(30,908	)
108	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		3,088,828			2,867,400			(221,428	)
150	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		2,760,597			2,767,500			6,903
240	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		3,617,718			4,096,512			478,794
175	Morgan Stanley and Co., International PLC	WTI Crude Futures^		02/2016		6,786,441			6,679,750			(106,691	)
						111,581,675			107,661,488			(3,920,187	)
Short Contracts:
14	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		$(465,995	)		$(449,540	)		$16,455
1	Morgan Stanley and Co., International PLC	Live Cattle Futures^		02/2016		(49,281	)		(54,720	)		(5,439	)
24	J.P. Morgan	LME Aluminum Futures^		01/2016		(941,278	)		(900,780	)		40,498
15	J.P. Morgan	LME Aluminum Futures^		01/2016		(596,963	)		(563,906	)		33,057
15	J.P. Morgan	LME Aluminum Futures^		01/2016		(566,206	)		(564,563	)		1,643
2	J.P. Morgan	LME Aluminum Futures^		02/2016		(74,753	)		(75,411	)		(658	)
24	J.P. Morgan	LME Aluminum Futures^		02/2016		(897,241	)		(905,850	)		(8,609	)
29	J.P. Morgan	LME Aluminum Futures^		02/2016		(1,061,329	)		(1,094,119	)		(32,790	)
29	J.P. Morgan	LME Aluminum Futures^		03/2016		(1,072,912	)		(1,094,569	)		(21,657	)
92	J.P. Morgan	LME Aluminum Futures^		03/2016		(3,476,186	)		(3,467,825	)		8,361
30	J.P. Morgan	LME Aluminum Futures^		03/2016		(1,104,344	)		(1,130,753	)		(26,409	)
4	J.P. Morgan	LME Aluminum Futures^		03/2016		(152,288	)		(150,733	)		1,555
9	J.P. Morgan	LME Copper Futures^		01/2016		(1,153,323	)		(1,059,097	)		94,226
4	J.P. Morgan	LME Copper Futures^		01/2016		(531,501	)		(471,025	)		60,476
15	J.P. Morgan	LME Copper Futures^		01/2016		(1,951,838	)		(1,766,392	)		185,446
2	J.P. Morgan	LME Copper Futures^		01/2016		(257,495	)		(235,509	)		21,986
6	J.P. Morgan	LME Copper Futures^		02/2016		(759,442	)		(706,631	)		52,811
5	J.P. Morgan	LME Copper Futures^		02/2016		(601,408	)		(588,906	)		12,502
5	J.P. Morgan	LME Copper Futures^		02/2016		(575,693	)		(588,872	)		(13,179	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(114,849	)		(117,748	)		(2,899	)
2	J.P. Morgan	LME Copper Futures^		03/2016		(229,295	)		(235,467	)		(6,172	)
25	J.P. Morgan	LME Copper Futures^		03/2016		(3,089,189	)		(2,942,656	)		146,533
5	J.P. Morgan	LME Copper Futures^		03/2016		(579,363	)		(588,594	)		(9,231	)
8	J.P. Morgan	LME Copper Futures^		03/2016		(939,980	)		(940,970	)		(990	)
7	J.P. Morgan	LME Lead Futures^		01/2016		(291,876	)		(314,463	)		(22,587	)
4	J.P. Morgan	LME Lead Futures^		01/2016		(182,988	)		(179,680	)		3,308
2	J.P. Morgan	LME Lead Futures^		01/2016		(87,834	)		(89,834	)		(2,000	)
2	J.P. Morgan	LME Lead Futures^		01/2016		(87,919	)		(89,832	)		(1,913	)

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

AQR Funds Annual Report December 2015

225

Consolidated Schedule of Investments December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
5	J.P. Morgan	LME Lead Futures^		01/2016		$ (215,260	)		$ (224,570	)		$ (9,310	)
2	J.P. Morgan	LME Lead Futures^		02/2016		(82,994	)		(89,835	)		(6,841	)
3	J.P. Morgan	LME Lead Futures^		02/2016		(121,493	)		(134,788	)		(13,295	)
4	J.P. Morgan	LME Lead Futures^		03/2016		(164,488	)		(179,716	)		(15,228	)
8	J.P. Morgan	LME Lead Futures^		03/2016		(332,580	)		(359,426	)		(26,846	)
1	J.P. Morgan	LME Lead Futures^		03/2016		(40,885	)		(44,928	)		(4,043	)
27	J.P. Morgan	LME Lead Futures^		03/2016		(1,131,998	)		(1,212,806	)		(80,808	)
3	J.P. Morgan	LME Lead Futures^		03/2016		(129,011	)		(134,759	)		(5,748	)
10	J.P. Morgan	LME Lead Futures^		03/2016		(405,554	)		(448,938	)		(43,384	)
5	J.P. Morgan	LME Lead Futures^		03/2016		(215,613	)		(224,188	)		(8,575	)
2	J.P. Morgan	LME Nickel Futures^		01/2016		(127,675	)		(105,424	)		22,251
4	J.P. Morgan	LME Nickel Futures^		01/2016		(249,830	)		(210,933	)		38,897
2	J.P. Morgan	LME Nickel Futures^		01/2016		(125,995	)		(105,504	)		20,491
1	J.P. Morgan	LME Nickel Futures^		02/2016		(58,197	)		(52,777	)		5,420
3	J.P. Morgan	LME Nickel Futures^		02/2016		(169,433	)		(158,409	)		11,024
6	J.P. Morgan	LME Nickel Futures^		02/2016		(322,664	)		(316,897	)		5,767
6	J.P. Morgan	LME Nickel Futures^		03/2016		(322,185	)		(317,137	)		5,048
1	J.P. Morgan	LME Nickel Futures^		03/2016		(54,148	)		(52,860	)		1,288
2	J.P. Morgan	LME Nickel Futures^		03/2016		(105,024	)		(105,727	)		(703	)
4	J.P. Morgan	LME Nickel Futures^		03/2016		(206,498	)		(211,532	)		(5,034	)
23	J.P. Morgan	LME Nickel Futures^		03/2016		(1,225,907	)		(1,216,332	)		9,575
8	J.P. Morgan	LME Nickel Futures^		03/2016		(417,174	)		(423,096	)		(5,922	)
3	J.P. Morgan	LME Nickel Futures^		03/2016		(155,599	)		(158,661	)		(3,062	)
3	J.P. Morgan	LME Nickel Futures^		03/2016		(156,209	)		(158,705	)		(2,496	)
11	J.P. Morgan	LME Zinc Futures^		01/2016		(461,088	)		(438,405	)		22,683
7	J.P. Morgan	LME Zinc Futures^		01/2016		(321,108	)		(279,577	)		41,531
5	J.P. Morgan	LME Zinc Futures^		01/2016		(218,320	)		(200,037	)		18,283
2	J.P. Morgan	LME Zinc Futures^		01/2016		(87,553	)		(80,046	)		7,507
5	J.P. Morgan	LME Zinc Futures^		01/2016		(214,656	)		(200,172	)		14,484
2	J.P. Morgan	LME Zinc Futures^		02/2016		(83,022	)		(80,122	)		2,900
1	J.P. Morgan	LME Zinc Futures^		02/2016		(40,381	)		(40,087	)		294
5	J.P. Morgan	LME Zinc Futures^		02/2016		(188,182	)		(200,531	)		(12,349	)
9	J.P. Morgan	LME Zinc Futures^		03/2016		(350,978	)		(361,247	)		(10,269	)
2	J.P. Morgan	LME Zinc Futures^		03/2016		(76,673	)		(80,289	)		(3,616	)
5	J.P. Morgan	LME Zinc Futures^		03/2016		(190,726	)		(200,897	)		(10,171	)
53	J.P. Morgan	LME Zinc Futures^		03/2016		(2,218,529	)		(2,131,925	)		86,604
11	J.P. Morgan	LME Zinc Futures^		03/2016		(407,843	)		(442,475	)		(34,632	)
5	J.P. Morgan	LME Zinc Futures^		03/2016		(192,360	)		(201,125	)		(8,765	)
44	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		(1,071,791	)		(1,034,000	)		37,791
						(34,552,393	)		(33,987,328	)		565,065
						$77,029,282			$73,674,160			$(3,355,122	)

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

USD - United States Dollar

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

AQR Funds Annual Report December 2015

226

Consolidated Schedule of Investments December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$700,103		$—		$700,103
Deutsche Bank
Money Market Funds		900,025		—		900,025
Goldman Sachs
Cash		—		500,912		500,912
Macquarie Capital
Money Market Funds		260,000		—		260,000
J.P. Morgan
Cash		—		3,084,407		3,084,407
Morgan Stanley and Co., International PLC
Cash		—		5,890,407		5,890,407
Societe Generale
Money Market Funds		100,000		—		100,000

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

AQR Funds Annual Report December 2015

227

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

GOVERNMENT RELATED OBLIGATIONS - 12.0%	INTEREST RATE			MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Sovereign Debt - 12.0%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23		EUR		4,354	$	4,953,207
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/26		EUR		10,190		11,633,565
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20		EUR		7,238		8,660,852
France Government Bond OAT (France)		0.100	%		07/25/21		EUR		2,322		2,621,013
France Government Bond OAT (France)		0.100	%		03/01/25		EUR		2,803		3,119,674
France Government Bond OAT (France)		0.250	%		07/25/24		EUR		2,847		3,251,132
France Government Bond OAT (France)		1.198	%		07/25/22		EUR		2,823		3,417,492
France Government Bond OAT (France)		2.250	%		07/25/20		EUR		6,597		8,185,969
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24		GBP		5,781		9,035,943
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/26		GBP		4,723		7,422,680
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $65,849,677)											62,301,527
U.S. TREASURY OBLIGATIONS - 18.2%
U.S. Treasury Inflation Protected Securities - 18.2%
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/19		USD		28,100		28,354,581
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/20		USD		32,600		32,687,169
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/24		USD		9,200		8,751,905
U.S. Treasury Inflation Protected Securities		0.250	%		01/15/25		USD		12,200		11,693,128
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/25		USD		13,100		12,720,280
TOTAL U.S. TREASURY OBLIGATIONS (cost $94,995,814)											94,207,063
MONEY MARKET FUNDS - 43.6%								SHARES
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% ^(a)									13,574,800		13,574,800
Dreyfus Treasury Cash Management, Class I, 0.090% ^(a)									54,299,200		54,299,200
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(a)(b)									84,457,775		84,457,775
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(a)(b)									5,484,376		5,484,376
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% ^(a)									67,874,845		67,874,845
TOTAL MONEY MARKET FUNDS (cost $225,690,996)											225,690,996
SHORT-TERM INVESTMENTS - 20.8%								PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.066%, 04/07/2016 (c)								$	6,369		6,367,503
U.S. Treasury Bill, 0.099%, 03/31/2016 (c)									4,774		4,772,985
U.S. Treasury Bill, 0.141%, 01/28/2016 ^(c)									9,656		9,656,160
U.S. Treasury Bill, 0.161%, 02/04/2016 ^(c)									55,425		55,428,177
U.S. Treasury Bill, 0.238%, 02/18/2016 ^(c)									3,162		3,162,557
U.S. Treasury Bill, 0.264%, 03/03/2016 (c)(d)									23,352		23,358,888
U.S. Treasury Bill, 0.345%, 05/26/2016 ^(c)									1,686		1,685,394
U.S. Treasury Bill, 0.414%, 06/02/2016 ^(c)									2,924		2,923,716
TOTAL SHORT-TERM INVESTMENTS (cost $107,347,160)											107,355,380
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 94.6% (cost $493,883,647)											489,554,966
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.4% (e)										28,223,000
NET ASSETS - 100.0%										$517,777,966

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

AQR Funds Annual Report December 2015

228

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

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

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) All or 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) All or a portion of the security is pledged as collateral to the brokers for futures 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 (See 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

Credit default swap contracts sell protection as of December 31, 2015:

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 24.V1		5.000	%	EUR		3.146	%		50,475,000		$3,920,495			12/20/2020		$655,761
CitiBank	iTraxx Europe Series 24.V1		1.000	%	EUR		0.771	%		117,750,000		1,144,309			12/20/2020		319,774
CitiBank	Markit CDX Emerging Market Index Series 24.V2		1.000	%	USD		3.575	%		20,500,000		(2,333,705	)		12/20/2020		102,278
CitiBank	Markit CDX North America High Yield Index Series 25.V1		5.000	%	USD		4.726	%		44,300,000		95,571			12/20/2020		472,831
CitiBank	Markit CDX North America Investment Grade Index Series 25.V1		1.000	%	USD		0.885	%		129,375,000		939,812			12/20/2020		(202,989	)
												$3,766,482					$1,347,655

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

AQR Funds Annual Report December 2015

229

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

Forward effective interest rate swap contracts outstanding as of December 31, 2015:

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	0.500%		(	1)	CZK		10,000,000		$235			03/17/2021		$3,505
CitiBank	0.500%		(	1)	CZK		10,000,000		1,399			03/17/2021		2,341
CitiBank	0.500%		(	1)	CZK		10,000,000		(580	)		03/17/2021		4,321
CitiBank	0.500%		(	1)	CZK		50,000,000		13,593			03/17/2021		5,109
CitiBank	0.500%		(	1)	CZK		20,000,000		2,577			03/17/2021		4,904
CitiBank	(1)		0.500	%	CZK		186,000,000		(46,592	)		03/17/2021		(22,978	)
CitiBank	(1)		0.500	%	CZK		10,000,000		2,935			03/17/2021		(6,675	)
CitiBank	(1)		0.500	%	CZK		30,000,000		2,703			03/17/2021		(13,924	)
CitiBank	(1)		0.500	%	CZK		10,000,000		574			03/17/2021		(4,314	)
CitiBank	(1)		0.500	%	CZK		30,000,000		1,568			03/17/2021		(12,789	)
CitiBank	(1)		0.500	%	CZK		10,000,000		2,892			03/17/2021		(6,632	)
CitiBank	(1)		0.500	%	CZK		50,000,000		(24,476	)		03/17/2021		5,774
CitiBank	1.500%		(	2)	HKD		35,000,000		15,659			03/17/2021		8,614
CitiBank	1.500%		(	2)	HKD		6,000,000		12,093			03/17/2021		(7,932	)
CitiBank	1.500%		(	2)	HKD		8,000,000		13,250			03/17/2021		(7,702	)
CitiBank	1.500%		(	2)	HKD		5,000,000		2,885			03/17/2021		582
CitiBank	1.500%		(	2)	HKD		5,000,000		3,506			03/17/2021		(39	)
CitiBank	1.500%		(	2)	HKD		11,000,000		1,507			03/17/2021		6,122
CitiBank	(2)		1.500	%	HKD		7,000,000		2,810			03/17/2021		(7,665	)
CitiBank	(2)		1.500	%	HKD		7,000,000		(3,276	)		03/17/2021		(1,579	)
CitiBank	(2)		2.000	%	HKD		128,000,000		143,374			03/17/2021		168,974
CitiBank	(2)		2.000	%	HKD		27,000,000		21,743			03/17/2021		44,143
CitiBank	(2)		2.000	%	HKD		21,000,000		58,945			03/17/2021		(7,700	)
CitiBank	(2)		2.000	%	HKD		25,000,000		65,396			03/17/2021		(4,391	)
CitiBank	2.000%		(	3)	HUF		200,000,000		6,361			03/17/2021		(4,169	)
CitiBank	2.000%		(	3)	HUF		100,000,000		(573	)		03/17/2021		1,669
CitiBank	2.000%		(	3)	HUF		100,000,000		1,084			03/17/2021		12
CitiBank	2.000%		(	3)	HUF		100,000,000		4,160			03/17/2021		(3,064	)
CitiBank	2.000%		(	3)	HUF		600,000,000		33,612			03/17/2021		(27,038	)
CitiBank	(3)		2.000	%	HUF		300,000,000		2,827			03/17/2021		(6,114	)
CitiBank	(3)		2.000	%	HUF		100,000,000		(1,762	)		03/17/2021		666
CitiBank	(3)		2.000	%	HUF		100,000,000		966			03/17/2021		(2,062	)
CitiBank	(3)		2.000	%	HUF		100,000,000		1,222			03/17/2021		(2,318	)
CitiBank	(3)		2.500	%	HUF		300,000,000		21,257			03/17/2021		250
CitiBank	(3)		2.500	%	HUF		100,000,000		6,738			03/17/2021		431
CitiBank	(3)		2.500	%	HUF		2,330,000,000		10,100			03/17/2021		156,938
CitiBank	(3)		2.500	%	HUF		600,000,000		(37	)		03/17/2021		43,051
CitiBank	2.000%		(	4)	PLN		4,000,000		(6,641	)		03/17/2021		7,897
CitiBank	2.000%		(	4)	PLN		5,000,000		6,672			03/17/2021		(5,101	)
CitiBank	2.000%		(	4)	PLN		18,000,000		66,119			03/17/2021		(60,465	)
CitiBank	2.000%		(	4)	PLN		2,000,000		1,516			03/17/2021		(888	)
CitiBank	2.000%		(	4)	PLN		3,000,000		5,780			03/17/2021		(4,838	)
CitiBank	2.000%		(	4)	PLN		2,000,000		(235	)		03/17/2021		863
CitiBank	2.000%		(	4)	PLN		1,000,000		409			03/17/2021		(95	)
CitiBank	(4)		2.000	%	PLN		1,000,000		891			03/17/2021		(1,206	)
CitiBank	(4)		2.000	%	PLN		6,000,000		15,400			03/17/2021		(17,284	)
CitiBank	(4)		2.000	%	PLN		9,000,000		9,905			03/17/2021		(12,732	)
CitiBank	(4)		2.000	%	PLN		4,000,000		3,697			03/17/2021		(4,953	)
CitiBank	(4)		2.500	%	PLN		10,000,000		58,312			03/17/2021		(879	)
CitiBank	(4)		2.500	%	PLN		2,000,000		10,140			03/17/2021		1,347
CitiBank	(4)		2.500	%	PLN		15,000,000		27,945			03/17/2021		58,204
CitiBank	(4)		2.500	%	PLN		63,800,000		193,367			03/17/2021		173,053

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

AQR Funds Annual Report December 2015

230

Consolidated Schedule of Investments December 31, 2015

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)
Exchange Cleared (continued)
CitiBank	2.500%		(	5)	SGD		2,000,000		$ (670	)		03/17/2021		$ 10,606
CitiBank	2.500%		(	5)	SGD		3,000,000		15,236			03/17/2021		(331	)
CitiBank	2.500%		(	5)	SGD		6,000,000		15,003			03/17/2021		14,806
CitiBank	2.500%		(	5)	SGD		1,000,000		5,060			03/17/2021		(92	)
CitiBank	2.500%		(	5)	SGD		4,000,000		5,086			03/17/2021		14,786
CitiBank	2.500%		(	5)	SGD		2,000,000		(1,336	)		03/17/2021		11,272
CitiBank	2.500%		(	5)	SGD		6,000,000		15,762			03/17/2021		14,046
CitiBank	(5)		2.500	%	SGD		14,300,000		(142,803	)		03/17/2021		71,759
CitiBank	(5)		2.500	%	SGD		14,300,000		(108,010	)		03/17/2021		36,966
CitiBank	(5)		2.500	%	SGD		200,000		(1,378	)		03/17/2021		384
CitiBank	(5)		2.500	%	SGD		7,000,000		27,518			03/17/2021		(62,295	)
CitiBank	(5)		2.500	%	SGD		2,000,000		2,118			03/17/2021		(12,054	)
CitiBank	(5)		2.500	%	SGD		10,000,000		(47,026	)		03/17/2021		(2,656	)
CitiBank	(5)		2.500	%	SGD		1,000,000		4,984			03/17/2021		(9,952	)
CitiBank	(5)		2.500	%	SGD		7,000,000		19,263			03/17/2021		(54,040	)
CitiBank	(5)		2.500	%	SGD		5,000,000		(13,014	)		03/17/2021		(11,826	)
CitiBank	(5)		2.500	%	SGD		19,000,000		(212,435	)		03/17/2021		118,041
CitiBank	(6)		8.000	%	ZAR		40,000,000		21,513			03/17/2021		(138,601	)
CitiBank	(6)		8.000	%	ZAR		260,300,000		(250,230	)		03/17/2021		(511,721	)
CitiBank	(6)		8.000	%	ZAR		30,000,000		(7,464	)		03/17/2021		(80,352	)
CitiBank	(6)		8.000	%	ZAR		40,000,000		(1,775	)		03/17/2021		(115,313	)
CitiBank	(6)		8.000	%	ZAR		10,000,000		7,212			03/17/2021		(36,484	)
CitiBank	(6)		8.000	%	ZAR		30,000,000		(3,849	)		03/17/2021		(83,967	)
CitiBank	(6)		8.000	%	ZAR		30,000,000		(7,938	)		03/17/2021		(79,878	)
CitiBank	(6)		8.000	%	ZAR		20,000,000		(3,377	)		03/17/2021		(55,167	)
CitiBank	8.000%		(	6)	ZAR		10,000,000		3,463			03/17/2021		25,809
CitiBank	8.000%		(	6)	ZAR		10,000,000		5,248			03/17/2021		24,024
CitiBank	9.000%		(	6)	ZAR		10,000,000		(7,010	)		03/17/2021		10,726
CitiBank	9.000%		(	6)	ZAR		20,000,000		(5,022	)		03/17/2021		12,455
CitiBank	9.000%		(	6)	ZAR		10,000,000		(6,564	)		03/17/2021		10,281
CitiBank	9.000%		(	6)	ZAR		20,000,000		(7,780	)		03/17/2021		15,212
CitiBank	9.000%		(	6)	ZAR		10,000,000		(2,063	)		03/17/2021		5,779
									$91,674					$(416,533	)

Interest rate swap contracts outstanding as of December 31, 2015:

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
CitiBank	1.845%		(	7)	KRW*		3,000,000,000		$—		03/17/2021		$(12,329	)
CitiBank	1.855%		(	7)	KRW*		1,000,000,000		—		03/17/2021		(4,516	)
CitiBank	1.868%		(	7)	KRW*		10,000,000,000		—		03/17/2021		(50,453	)
CitiBank	1.935%		(	7)	KRW*		2,000,000,000		—		03/17/2021		(15,543	)
CitiBank	1.935%		(	7)	KRW*		1,000,000,000		—		03/17/2021		(7,771	)
CitiBank	1.960%		(	7)	KRW*		3,000,000,000		—		03/17/2021		(26,366	)
CitiBank	(7)		1.713	%	KRW*		6,000,000,000		—		03/17/2021		(7,690	)
CitiBank	(7)		1.739	%	KRW*		4,000,000,000		—		03/17/2021		(814	)
CitiBank	(7)		1.740	%	KRW*		5,000,000,000		—		03/17/2021		(814	)
CitiBank	(7)		1.765	%	KRW*		1,000,000,000		—		03/17/2021		854
CitiBank	(7)		1.843	%	KRW*		11,400,000,000		—		03/17/2021		45,689

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

AQR Funds Annual Report December 2015

231

Consolidated Schedule of Investments December 31, 2015

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	(7)		1.860	%	KRW*		15,200,000,000		$ —		03/17/2021		$ 71,742
CitiBank	(7)		1.860	%	KRW*		11,400,000,000		—		03/17/2021		53,806
CitiBank	(7)		1.888	%	KRW*		3,000,000,000		—		03/17/2021		17,516
CitiBank	(7)		1.920	%	KRW*		9,000,000,000		—		03/17/2021		64,450
									$—				$127,761

* Non-deliverable swap (See Note 4).

(1) 6 Month Prague Interbank Offered Rate

(2) 3 Month Hong Kong Interbank Offered Rate

(3) 6 Month Budapest Interbank Offered Rate

(4) 6 Month Warsaw Interbank Offered Rate

(5) 6 Month Singapore Interbank Offered Rate

(6) 3 Month Johannesburg Interbank Agreed Rate

(7) 3 Month Korean Certificate of Deposit

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Morgan Stanley and Co., International PLC	Bovespa Index February Futures	02/2016	BRL		3,691,445			$(46,084	)
CitiBank	Corn March Futures^	02/2016	USD		636,172			(44,234	)
Deutsche Bank	Corn March Futures^	02/2016	USD		3,593,587			(328,962	)
Macquarie Capital	Corn March Futures^	02/2016	USD		219,079			(21,767	)
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		1,123,910			15,130
Deutsche Bank	Cotton No. 2 March Futures^	02/2016	USD		61,982			1,298
Macquarie Capital	Cotton No. 2 March Futures^	02/2016	USD		248,854			4,266
Bank of America	Hang Seng Index January Futures	01/2016	HKD		8,831,389			(8,693	)
Societe Generale	Hard Red Winter Wheat March Futures^	02/2016	USD		73,587			(3,312	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		56,005,665			(151,257	)
Goldman Sachs	H-SHARES Index January Futures	01/2016	HKD		3,952,043			(9,037	)
Morgan Stanley and Co., International PLC	KOSPI Index 200 March Futures	03/2016	KRW		4,413,097,479			29,692
Deutsche Bank	Lean Hogs February Futures^	02/2016	USD		371,902			(13,102	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		(177,716	)		(2,473	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		836,907			(23,627	)
Merrill Lynch	Lean Hogs February Futures^	02/2016	USD		388,720			(6,000	)
Societe Generale	Lean Hogs February Futures^	02/2016	USD		24,199			(279	)
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		2,841,560			(105,560	)
Merrill Lynch	Live Cattle February Futures^	02/2016	USD		564,610			(17,410	)
Morgan Stanley and Co., International PLC	MSCI Taiwan Stock Index January Futures	01/2016	USD		2,452,183			(16,983	)
Morgan Stanley and Co., International PLC	SGX S&P CNX Nifty Index January Futures	01/2016	USD		190,582			170
CitiBank	Soybean March Futures^	02/2016	USD		1,868,801			(10,664	)

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

AQR Funds Annual Report December 2015

232

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Deutsche Bank	Soybean March Futures^	02/2016	USD		301,962			$ 525
Macquarie Capital	Soybean March Futures^	02/2016	USD		821,019			19
Societe Generale	Soybean March Futures^	02/2016	USD		2,071,432			2,768
Macquarie Capital	Soybean Oil March Futures^	02/2016	USD		111,433			(733	)
Morgan Stanley and Co., International PLC	Swiss Market Index March Futures	03/2016	CHF		2,738,947			60,218
CitiBank	Wheat March Futures^	02/2016	USD		599,575			(59,030	)
CitiBank	Wheat March Futures^	02/2016	USD		(596,419	)		55,876
Merrill Lynch	Wheat March Futures^	03/2016	USD		(155,700	)		14,688
Merrill Lynch	Wheat March Futures^	03/2016	USD		156,000			(14,988	)
								$(699,545	)

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
4	Barclays Capital	KOSPI Index 200 Futures		03/2016		$405,201		$410,132		$4,931
154	Goldman Sachs	Brent Crude Futures^		02/2016		6,397,347		5,933,620		(463,727	)
7	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		214,777		224,770		9,993
42	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		2,122,353		1,995,525		(126,828	)
172	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		3,419,577		3,085,250		(334,327	)
34	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		1,058,225		1,075,760		17,535
5	Morgan Stanley and Co., International PLC	Feeder Cattle Futures^		03/2016		425,334		409,125		(16,209	)
80	Goldman Sachs	Gas Oil Futures^		03/2016		3,087,614		2,738,000		(349,614	)
36	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		02/2016		1,927,427		1,962,879		35,452
83	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		9,467,424		8,799,660		(667,764	)
5	Morgan Stanley and Co., International PLC	Hard Red Winter Wheat Futures^		03/2016		121,903		117,125		(4,778	)
30	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		02/2016		1,670,718		1,447,614		(223,104	)

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

AQR Funds Annual Report December 2015

233

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
8	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		$ 195,810		$ 191,360		$ (4,450	)
13	Morgan Stanley and Co., International PLC	Live Cattle Futures^		02/2016		738,008		711,360		(26,648	)
10	J.P. Morgan	LME Aluminum Futures^		01/2016		390,484		375,150		(15,334	)
11	J.P. Morgan	LME Aluminum Futures^		01/2016		434,406		413,532		(20,874	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		116,376		112,886		(3,490	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		115,621		112,913		(2,708	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		38,023		37,637		(386	)
2	J.P. Morgan	LME Aluminum Futures^		01/2016		75,854		75,275		(579	)
4	J.P. Morgan	LME Aluminum Futures^		01/2016		148,552		150,550		1,998
3	J.P. Morgan	LME Aluminum Futures^		01/2016		111,102		112,935		1,833
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,477		37,705		228
7	J.P. Morgan	LME Aluminum Futures^		02/2016		262,517		264,206		1,689
13	J.P. Morgan	LME Aluminum Futures^		02/2016		475,673		490,467		14,794
9	J.P. Morgan	LME Aluminum Futures^		03/2016		334,035		339,694		5,659
160	J.P. Morgan	LME Aluminum Futures^		03/2016		6,348,334		6,030,999		(317,335	)
17	J.P. Morgan	LME Aluminum Futures^		03/2016		631,167		641,007		9,840
1	J.P. Morgan	LME Aluminum Futures^		03/2016		36,752		37,691		939
1	J.P. Morgan	LME Copper Futures^		01/2016		128,752		117,655		(11,097	)
13	J.P. Morgan	LME Copper Futures^		01/2016		1,667,630		1,529,808		(137,822	)
7	J.P. Morgan	LME Copper Futures^		01/2016		930,323		824,294		(106,029	)
1	J.P. Morgan	LME Copper Futures^		01/2016		131,432		117,801		(13,631	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,656		117,813		(12,843	)
1	J.P. Morgan	LME Copper Futures^		01/2016		129,177		117,787		(11,390	)
2	J.P. Morgan	LME Copper Futures^		01/2016		262,583		235,556		(27,027	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,037		117,760		(12,277	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,449		117,750		(12,699	)
2	J.P. Morgan	LME Copper Futures^		01/2016		259,823		235,505		(24,318	)
2	J.P. Morgan	LME Copper Futures^		01/2016		257,839		235,510		(22,329	)
1	J.P. Morgan	LME Copper Futures^		02/2016		126,176		117,772		(8,404	)
1	J.P. Morgan	LME Copper Futures^		02/2016		121,579		117,781		(3,798	)
2	J.P. Morgan	LME Copper Futures^		02/2016		230,805		235,549		4,744
3	J.P. Morgan	LME Copper Futures^		03/2016		342,009		353,231		11,222
1	J.P. Morgan	LME Copper Futures^		03/2016		114,652		117,733		3,081
67	J.P. Morgan	LME Copper Futures^		03/2016		8,712,452		7,886,319		(826,133	)
7	J.P. Morgan	LME Copper Futures^		03/2016		811,142		824,031		12,889
5	J.P. Morgan	LME Lead Futures^		01/2016		202,833		224,623		21,790
4	J.P. Morgan	LME Lead Futures^		01/2016		166,410		179,693		13,283
4	J.P. Morgan	LME Lead Futures^		01/2016		182,511		179,680		(2,831	)
2	J.P. Morgan	LME Lead Futures^		02/2016		83,006		89,835		6,829
1	J.P. Morgan	LME Lead Futures^		02/2016		40,502		44,929		4,427
2	J.P. Morgan	LME Lead Futures^		03/2016		81,941		89,855		7,914
37	J.P. Morgan	LME Lead Futures^		03/2016		1,660,265		1,661,994		1,729
6	J.P. Morgan	LME Lead Futures^		03/2016		258,052		269,518		11,466
3	J.P. Morgan	LME Nickel Futures^		01/2016		177,802		158,050		(19,752	)
2	J.P. Morgan	LME Nickel Futures^		01/2016		121,205		105,379		(15,826	)
1	J.P. Morgan	LME Nickel Futures^		01/2016		61,853		52,731		(9,122	)
1	J.P. Morgan	LME Nickel Futures^		01/2016		62,616		52,733		(9,883	)
2	J.P. Morgan	LME Nickel Futures^		01/2016		126,008		105,488		(20,520	)
2	J.P. Morgan	LME Nickel Futures^		02/2016		108,486		105,633		(2,853	)
1	J.P. Morgan	LME Nickel Futures^		03/2016		51,577		52,883		1,306
23	J.P. Morgan	LME Nickel Futures^		03/2016		1,444,518		1,216,332		(228,186	)
10	J.P. Morgan	LME Nickel Futures^		03/2016		520,885		528,870		7,985

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

AQR Funds Annual Report December 2015

234

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
6	J.P. Morgan	LME Zinc Futures^		01/2016		$ 248,450		$ 238,984		$ (9,466	)
6	J.P. Morgan	LME Zinc Futures^		01/2016		251,565		239,130		(12,435	)
3	J.P. Morgan	LME Zinc Futures^		01/2016		136,401		119,819		(16,582	)
1	J.P. Morgan	LME Zinc Futures^		01/2016		43,628		40,027		(3,601	)
1	J.P. Morgan	LME Zinc Futures^		01/2016		43,603		40,030		(3,573	)
1	J.P. Morgan	LME Zinc Futures^		01/2016		43,002		40,034		(2,968	)
5	J.P. Morgan	LME Zinc Futures^		02/2016		208,137		200,303		(7,834	)
2	J.P. Morgan	LME Zinc Futures^		02/2016		80,855		80,175		(680	)
2	J.P. Morgan	LME Zinc Futures^		02/2016		75,605		80,213		4,608
60	J.P. Morgan	LME Zinc Futures^		03/2016		2,666,196		2,413,500		(252,696	)
47	Morgan Stanley and Co., International PLC	Natural Gas Futures^		02/2016		1,029,224		1,110,610		81,386
93	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		7,145,227		6,418,395		(726,832	)
35	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		1,535,857		1,512,438		(23,419	)
27	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		790,216		716,850		(73,366	)
153	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		2,795,920		2,822,850		26,930
196	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		2,880,088		3,345,485		465,397
59	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		1,528,199		1,386,500		(141,699	)
220	Morgan Stanley and Co., International PLC	WTI Crude Futures^		02/2016		8,859,693		8,397,400		(462,293	)
8	Barclays Capital	Amsterdam Index Futures		01/2016		757,716		768,289		10,573
41	Barclays Capital	CAC40 Index Futures		01/2016		2,058,599		2,066,765		8,166
9	Barclays Capital	DAX Index Futures		03/2016		2,589,025		2,633,956		44,931
46	Barclays Capital	E-Mini Russell 2000 Futures		03/2016		5,156,795		5,204,900		48,105
277	Barclays Capital	Euro Stoxx 50 Index Futures		03/2016		9,786,695		9,879,796		93,101
51	Barclays Capital	FTSE 100 Index Futures		03/2016		4,549,859		4,659,917		110,058
34	J.P. Morgan	FTSE/JSE Top 40 Index Futures		03/2016		974,975		1,017,296		42,321
7	Barclays Capital	FTSE/MIB Index Futures		03/2016		820,704		815,574		(5,130	)
14	Barclays Capital	Hang Seng Index Futures		01/2016		1,989,458		1,978,955		(10,503	)
7	Barclays Capital	H-SHARES Index Futures		01/2016		444,607		438,287		(6,320	)
2	Barclays Capital	IBEX 35 Index Futures		01/2016		214,046		207,054		(6,992	)
4	J.P. Morgan	KOSPI Index 200 Futures		03/2016		410,666		410,132		(534	)
16	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		488,928		487,040		(1,888	)
485	Barclays Capital	S&P 500 E-Mini Futures		03/2016		48,749,212		49,358,450		609,238
42	Barclays Capital	S&P MID 400 E-Mini Futures		03/2016		5,816,172		5,852,700		36,528
38	Barclays Capital	SPI 200 Index Futures		03/2016		3,418,790		3,639,237		220,447
71	Barclays Capital	TOPIX Index Futures		03/2016		9,276,610		9,141,188		(135,422	)
13	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		16,092,391		16,119,806		27,415
125	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		11,508,297		11,558,305		50,008
112	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		11,184,589		11,412,069		227,480
643	Goldman Sachs	Euro-Bund Futures		03/2016		111,828,495		110,351,375		(1,477,120	)

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

AQR Funds Annual Report December 2015

235

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
20	Goldman Sachs	Long Gilt Futures		03/2016		$ 3,457,209			$ 3,442,847			$ (14,362	)
1,648	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		208,094,217			207,493,500			(600,717	)
						550,805,998			545,012,889			(5,793,109	)
Short Contracts:
10	J.P. Morgan	LME Aluminum Futures^		01/2016		$(390,476	)		$(375,151	)		$15,325
11	J.P. Morgan	LME Aluminum Futures^		01/2016		(434,211	)		(413,532	)		20,679
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(115,866	)		(112,886	)		2,980
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(115,343	)		(112,913	)		2,430
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(37,922	)		(37,637	)		285
2	J.P. Morgan	LME Aluminum Futures^		01/2016		(75,545	)		(75,275	)		270
4	J.P. Morgan	LME Aluminum Futures^		01/2016		(148,490	)		(150,550	)		(2,060	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(111,368	)		(112,935	)		(1,567	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,377	)		(37,706	)		(329	)
7	J.P. Morgan	LME Aluminum Futures^		02/2016		(263,328	)		(264,207	)		(879	)
13	J.P. Morgan	LME Aluminum Futures^		02/2016		(475,768	)		(490,467	)		(14,699	)
9	J.P. Morgan	LME Aluminum Futures^		03/2016		(332,973	)		(339,694	)		(6,721	)
35	J.P. Morgan	LME Aluminum Futures^		03/2016		(1,301,953	)		(1,319,281	)		(17,328	)
17	J.P. Morgan	LME Aluminum Futures^		03/2016		(628,976	)		(641,006	)		(12,030	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(36,888	)		(37,692	)		(804	)
1	J.P. Morgan	LME Copper Futures^		01/2016		(129,647	)		(117,655	)		11,992
13	J.P. Morgan	LME Copper Futures^		01/2016		(1,665,912	)		(1,529,808	)		136,104
7	J.P. Morgan	LME Copper Futures^		01/2016		(930,008	)		(824,294	)		105,714
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,310	)		(117,801	)		12,509
1	J.P. Morgan	LME Copper Futures^		01/2016		(129,623	)		(117,813	)		11,810
1	J.P. Morgan	LME Copper Futures^		01/2016		(128,485	)		(117,787	)		10,698
2	J.P. Morgan	LME Copper Futures^		01/2016		(261,033	)		(235,557	)		25,476
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,123	)		(117,760	)		12,363
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,128	)		(117,750	)		12,378
2	J.P. Morgan	LME Copper Futures^		01/2016		(260,745	)		(235,505	)		25,240
2	J.P. Morgan	LME Copper Futures^		01/2016		(257,495	)		(235,509	)		21,986
1	J.P. Morgan	LME Copper Futures^		02/2016		(126,079	)		(117,772	)		8,307
1	J.P. Morgan	LME Copper Futures^		02/2016		(120,947	)		(117,781	)		3,166
2	J.P. Morgan	LME Copper Futures^		02/2016		(230,277	)		(235,549	)		(5,272	)
3	J.P. Morgan	LME Copper Futures^		03/2016		(340,203	)		(353,231	)		(13,028	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(114,640	)		(117,734	)		(3,094	)
19	J.P. Morgan	LME Copper Futures^		03/2016		(2,261,942	)		(2,236,419	)		25,523
7	J.P. Morgan	LME Copper Futures^		03/2016		(804,023	)		(824,031	)		(20,008	)
5	J.P. Morgan	LME Lead Futures^		01/2016		(203,738	)		(224,623	)		(20,885	)
4	J.P. Morgan	LME Lead Futures^		01/2016		(166,786	)		(179,693	)		(12,907	)
4	J.P. Morgan	LME Lead Futures^		01/2016		(180,901	)		(179,680	)		1,221
2	J.P. Morgan	LME Lead Futures^		02/2016		(83,010	)		(89,835	)		(6,825	)
1	J.P. Morgan	LME Lead Futures^		02/2016		(40,422	)		(44,929	)		(4,507	)
2	J.P. Morgan	LME Lead Futures^		03/2016		(81,995	)		(89,854	)		(7,859	)
17	J.P. Morgan	LME Lead Futures^		03/2016		(732,218	)		(763,618	)		(31,400	)
6	J.P. Morgan	LME Lead Futures^		03/2016		(257,957	)		(269,519	)		(11,562	)
3	J.P. Morgan	LME Nickel Futures^		01/2016		(179,253	)		(158,049	)		21,204
2	J.P. Morgan	LME Nickel Futures^		01/2016		(121,451	)		(105,379	)		16,072
1	J.P. Morgan	LME Nickel Futures^		01/2016		(61,497	)		(52,731	)		8,766
1	J.P. Morgan	LME Nickel Futures^		01/2016		(62,458	)		(52,734	)		9,724
2	J.P. Morgan	LME Nickel Futures^		01/2016		(125,563	)		(105,488	)		20,075
2	J.P. Morgan	LME Nickel Futures^		02/2016		(107,555	)		(105,633	)		1,922
1	J.P. Morgan	LME Nickel Futures^		03/2016		(51,625	)		(52,884	)		(1,259	)
14	J.P. Morgan	LME Nickel Futures^		03/2016		(750,685	)		(740,376	)		10,309

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

AQR Funds Annual Report December 2015

236

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
10	J.P. Morgan	LME Nickel Futures^		03/2016		$ (521,468	)		$ (528,870	)		$ (7,402	)
6	J.P. Morgan	LME Zinc Futures^		01/2016		(250,782	)		(238,984	)		11,798
6	J.P. Morgan	LME Zinc Futures^		01/2016		(251,503	)		(239,130	)		12,373
3	J.P. Morgan	LME Zinc Futures^		01/2016		(136,943	)		(119,819	)		17,124
1	J.P. Morgan	LME Zinc Futures^		01/2016		(43,681	)		(40,026	)		3,655
1	J.P. Morgan	LME Zinc Futures^		01/2016		(43,414	)		(40,031	)		3,383
1	J.P. Morgan	LME Zinc Futures^		01/2016		(42,931	)		(40,034	)		2,897
5	J.P. Morgan	LME Zinc Futures^		02/2016		(207,554	)		(200,304	)		7,250
2	J.P. Morgan	LME Zinc Futures^		02/2016		(80,511	)		(80,174	)		337
2	J.P. Morgan	LME Zinc Futures^		02/2016		(75,273	)		(80,213	)		(4,940	)
50	J.P. Morgan	LME Zinc Futures^		03/2016		(2,222,679	)		(2,011,250	)		211,429
						(19,741,957	)		(19,124,548	)		617,409
						$531,064,041			$525,888,341			$(5,175,700	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		19,237,000		$4,833,335		$4,749,723		$(83,612	)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		19,237,000		4,833,388		4,749,723		(83,665	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		109,000		110,373		109,163		(1,210	)
Chinese Renminbi, Expiring 03/16/16*	CitiBank	CNY		56,202,000		8,632,642		8,466,642		(166,000	)
Chinese Renminbi, Expiring 03/16/16*	Credit Suisse International	CNY		56,202,000		8,632,796		8,466,642		(166,154	)
Euro, Expiring 03/16/16	CitiBank	EUR		15,130,500		16,595,382		16,473,284		(122,098	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		22,232,266		24,370,975		24,205,309		(165,666	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		1,906,644		2,870,838		2,811,113		(59,725	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		2,804,500		362,011		362,076		65
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		2,804,500		362,012		362,076		64
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		2,034,208,500		7,018,717		7,001,544		(17,173	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		2,034,208,500		7,018,943		7,001,544		(17,399	)
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		319,595,500		4,718,269		4,773,997		55,728
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		319,595,500		4,718,269		4,773,997		55,728

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

AQR Funds Annual Report December 2015

237

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		9,072,046,000		$ 7,809,648		$ 7,724,611		$ (85,037	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		9,072,045,999		7,809,745		7,724,611		(85,134	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		92,965,500		5,584,851		5,366,280		(218,571	)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		92,965,500		5,584,841		5,366,280		(218,561	)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		20,480,000		5,124,820		5,213,596		88,776
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		20,480,000		5,124,830		5,213,596		88,766
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		34,397,000		11,533,704		11,557,915		24,211
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		34,397,000		11,533,456		11,557,916		24,460
South African Rand, Expiring 03/16/16	CitiBank	ZAR		47,854,501		3,278,931		3,053,300		(225,631	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		47,854,501		3,278,972		3,053,300		(225,672	)
						$161,741,748		$160,138,238		$(1,603,510	)

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(3,683,000	)		$(922,989	)		$(909,353	)		$13,636
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(3,683,000	)		(922,989	)		(909,353	)		13,636
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(436,500	)		(437,650	)		(437,155	)		495
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(710,500	)		(716,281	)		(711,565	)		4,716
Chinese Renminbi, Expiring 03/16/16*	CitiBank	CNY		(14,240,000	)		(2,157,755	)		(2,145,207	)		12,548
Chinese Renminbi, Expiring 03/16/16*	Credit Suisse International	CNY		(14,240,000	)		(2,154,492	)		(2,145,207	)		9,285
Euro, Expiring 03/16/16	CitiBank	EUR		(55,186,330	)		(58,747,412	)		(60,083,940	)		(1,336,528	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(56,932,702	)		(60,656,977	)		(61,985,297	)		(1,328,320	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(6,616,728	)		(9,927,103	)		(9,755,555	)		171,548
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(6,960,200	)		(10,445,387	)		(10,261,962	)		183,425
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(5,659,000	)		(730,238	)		(730,608	)		(370	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(1,084,004,500	)		(3,757,657	)		(3,731,036	)		26,621
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(1,084,004,500	)		(3,756,467	)		(3,731,036	)		25,431
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		(124,057,000	)		(1,825,474	)		(1,853,116	)		(27,642	)
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		(124,057,000	)		(1,825,473	)		(1,853,116	)		(27,643	)

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

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Consolidated Schedule of Investments December 31, 2015

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(3,669,960,000	)		$ (3,104,908	)		$ (3,124,874	)		$ (19,966	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(3,669,960,000	)		(3,104,906	)		(3,124,874	)		(19,968	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(52,731,000	)		(3,063,234	)		(3,043,810	)		19,424
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(52,731,000	)		(3,063,229	)		(3,043,810	)		19,419
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(12,588,500	)		(3,165,133	)		(3,204,657	)		(39,524	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(12,588,500	)		(3,164,892	)		(3,204,657	)		(39,765	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(12,995,000	)		(4,301,062	)		(4,366,518	)		(65,456	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(12,995,000	)		(4,300,895	)		(4,366,518	)		(65,623	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(24,720,500	)		(1,654,254	)		(1,577,262	)		76,992
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(24,720,500	)		(1,653,711	)		(1,577,262	)		76,449
							(189,560,568	)		(191,877,748	)		(2,317,180	)
							$(27,818,820	)		$(31,739,510	)		$(3,920,690	)

* Non-deliverable forward (See Note 4).

BRL - Brazilian Real

CHF - Swiss Franc

CNY - Chinese Renminbi

CZK - Czech Republic Koruna

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

HUF - Hungarian Forint

INR - Indian Rupee

KRW - Korean Won

MXN - Mexican Peso

PLN - Poland Zloty

SGD - Singapore Dollar

TRY - Turkish Lira

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2015

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Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$212,082		$—		$212,082
Barclays Capital
Cash		—		4,715,270		4,715,270
CitiBank
Cash		—		10,642,183		10,642,183
Money Market Funds		3,980,004		—		3,980,004
Credit Suisse International
Money Market Funds		2,200,015		—		2,200,015
Goldman Sachs
Cash		—		1,245,723		1,245,723
Money Market Funds		60,000		—		60,000
U.S. Treasury Bills		—		2,469,555		2,469,555
J.P. Morgan
Cash		—		182,023		182,023
Morgan Stanley and Co., International PLC
Cash		—		3,538,779		3,538,779
Money Market Funds		1,601,663		—		1,601,663

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$200,139		$—		$200,139
Deutsche Bank
Money Market Funds		920,037		—		920,037
Goldman Sachs
Cash		—		1,835,671		1,835,671
J.P. Morgan
Cash		—		2,720,760		2,720,760
Macquarie Capital
Money Market Funds		190,001		—		190,001
Merrill Lynch
Money Market Funds		290,363		—		290,363
Morgan Stanley and Co., International PLC
Cash		—		9,153,692		9,153,692
Societe Generale
Money Market Funds		120,000		—		120,000

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II HV FUND

GOVERNMENT RELATED OBLIGATIONS - 13.9%	INTEREST RATE			MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Sovereign Debt - 13.9%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23		EUR		518	$	589,667
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.101	%		04/15/26		EUR		1,110		1,267,022
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20		EUR		724		866,085
France Government Bond OAT (France)		0.100	%		07/25/21		EUR		202		227,914
France Government Bond OAT (France)		0.100	%		03/01/25		EUR		300		334,251
France Government Bond OAT (France)		0.250	%		07/25/24		EUR		305		348,336
France Government Bond OAT (France)		1.198	%		07/25/22		EUR		326		394,326
France Government Bond OAT (France)		2.250	%		07/25/20		EUR		733		909,552
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24		GBP		685		1,070,927
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/26		GBP		502		789,647
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $7,101,375)											6,797,727
U.S. TREASURY OBLIGATIONS - 21.2%
U.S. Treasury Inflation Protected Securities - 21.2%
U.S. Treasury Inflation Protected Securities (a)		0.125	%		04/15/19		USD		3,140		3,168,448
U.S. Treasury Inflation Protected Securities (a)		0.125	%		04/15/20		USD		3,600		3,609,626
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/24		USD		970		922,755
U.S. Treasury Inflation Protected Securities		0.250	%		01/15/25		USD		1,300		1,245,989
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/25		USD		1,430		1,388,550
TOTAL U.S. TREASURY OBLIGATIONS (cost $10,385,753)											10,335,368

MONEY MARKET FUNDS - 51.9%	SHARES
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% ^(b)		240,036		240,036
Dreyfus Treasury Cash Management, Class I, 0.090% ^(b)		960,143		960,143
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(b)(c)		22,193,796		22,193,796
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(b)(c)		740,031		740,031
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% ^(b)		1,200,179		1,200,179
TOTAL MONEY MARKET FUNDS (cost $25,334,185)				25,334,185
SHORT-TERM INVESTMENTS - 20.9%	PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.067%, 04/07/2016 (d)	$	815		814,680
U.S. Treasury Bill, 0.141%, 01/28/2016 ^(d)		3,143		3,142,727
U.S. Treasury Bill, 0.160%, 02/04/2016 (d)		941		940,918
U.S. Treasury Bill, 0.264%, 03/03/2016 (d)		1,557		1,557,726
U.S. Treasury Bill, 0.327%, 05/19/2016 ^(d)		3,481		3,480,598
U.S. Treasury Bill, 0.342%, 05/26/2016 ^(d)		250		249,614
TOTAL SHORT-TERM INVESTMENTS (cost $10,185,928)				10,186,263
REPURCHASE AGREEMENTS - 5.2%
CitiBank, 0.25%, dated 12/30/15, due 01/06/16, repurchase price $1,303,524, collateralized by U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/20		1,303		1,303,461
J.P. Morgan Securities, Inc., 0.40%, dated 12/30/15, due 01/06/16, repurchase price $1,222,595, collateralized by U.S. Treasury Inflation Indexed Note, 0.125%, due 04/15/19		1,223		1,222,500
TOTAL REPURCHASE AGREEMENTS (cost $2,525,961)				2,525,961
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 113.1% (cost $55,533,202)				55,179,504
LIABILITIES IN EXCESS OF OTHER ASSETS - (13.1%) (e)				(6,383,573	)
NET ASSETS - 100.0%			$	48,795,931

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II HV FUND

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

(a) On December 31, 2015, securities valued at $6,778,074 were pledged as collateral for repurchase agreements and reverse repurchase agreements outstanding.

(b) Represents annualized seven-day yield as of the close of the reporting period.

(c) All or 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 and swap contracts.

^ All or a portion represents positions held in the respective Subsidiary (See 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 December 31, 2015:

Over the Counter

COUNTERPARTY	TRADE DATE		RATE			DUE DATE		PRINCIPAL AMOUNT AND VALUE OF REVERSE REPURCHASE AGREEMENT
CitiBank		12/23/2015		0.52	%		1/20/2016		$299,246
CitiBank		11/16/2015		0.52	%		1/20/2016		4,594,164
J.P. Morgan Securities, Inc.		11/16/2015		0.52	%		1/20/2016		4,040,000
J.P. Morgan Securities, Inc.		12/23/2015		0.60	%		1/20/2016		299,625
									$9,233,035

The weighted average daily balance of the reverse repurchase agreements during the period ended December 31, 2015 was $12,723,419 at a net weighted average interest rate of 0.315%.

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Bovespa Index February Futures	02/2016	BRL		686,045			$(7,066	)
CitiBank	Corn March Futures^	02/2016	USD		96,501			(6,814	)
Deutsche Bank	Corn March Futures^	02/2016	USD		417,177			(40,490	)
Macquarie Capital	Corn March Futures^	02/2016	USD		39,560			(3,685	)
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		185,931			3,910
Deutsche Bank	Cotton No. 2 March Futures^	02/2016	USD		31,135			505
Macquarie Capital	Cotton No. 2 March Futures^	02/2016	USD		30,894			746
Bank of America	Hang Seng Index January Futures	01/2016	HKD		1,103,929			(1,087	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		8,425,467			(22,734	)
Goldman Sachs	H-SHARES Index January Futures	01/2016	HKD		497,340			(1,560	)
Bank of America	KOSPI Index 200 March Futures	03/2016	KRW		239,090,500			1,143
Deutsche Bank	Lean Hogs February Futures^	02/2016	USD		99,667			(3,987	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		123,022			(3,422	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		(25,388	)		(339	)
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		(148,968	)		(15,183	)
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		623,637			(21,704	)

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

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Consolidated Schedule of Investments December 31, 2015

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COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	MSCI Taiwan Stock Index January Futures	01/2016	USD		215,024			$ (1,944	)
Goldman Sachs	SGX S&P CNX Nifty Index January Futures	01/2016	USD		63,506			78
CitiBank	Soybean March Futures^	02/2016	USD		347,690			(1,990	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		(42,787	)		(425	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		129,713			(75	)
Macquarie Capital	Soybean March Futures^	02/2016	USD		302,260			227
Macquarie Capital	Soybean Oil March Futures^	02/2016	USD		37,020			(120	)
Societe Generale	Soybean March Futures^	02/2016	USD		43,118			95
Goldman Sachs	Swiss Market Index March Futures	03/2016	CHF		595,367			16,982
Goldman Sachs	Taiwan Stock Exchange January Futures	01/2016	TWD		6,442,582			5,416
CitiBank	Wheat March Futures^	02/2016	USD		(77,794	)		7,288
CitiBank	Wheat March Futures^	02/2016	USD		78,599			(8,093	)
								$(104,328	)

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
26	Goldman Sachs	Brent Crude Futures^		02/2016		$1,057,033		$1,001,781		$(55,252	)
1	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		30,682		32,110		1,428
6	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		310,264		285,075		(25,189	)
20	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		393,666		358,750		(34,916	)
2	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		62,414		63,280		866
1	Morgan Stanley and Co., International PLC	Feeder Cattle Futures^		03/2016		85,067		81,825		(3,242	)
11	Goldman Sachs	Gas Oil Futures^		03/2016		418,017		376,475		(41,542	)
7	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		02/2016		373,528		381,671		8,143
13	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		1,461,857		1,378,260		(83,597	)
1	Morgan Stanley and Co., International PLC	Hard Red Winter Wheat Futures^		03/2016		23,942		23,425		(517	)
6	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		02/2016		329,781		289,523		(40,258	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
4	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		$ 95,196		$ 95,680		$ 484
2	Morgan Stanley and Co., International PLC	Live Cattle Futures^		02/2016		111,230		109,440		(1,790	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		39,253		37,533		(1,720	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		37,138		37,638		500
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,502		37,743		241
1	J.P. Morgan	LME Aluminum Futures^		02/2016		36,590		37,728		1,138
1	J.P. Morgan	LME Aluminum Futures^		03/2016		37,115		37,744		629
27	J.P. Morgan	LME Aluminum Futures^		03/2016		1,079,176		1,017,731		(61,445	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		111,382		113,118		1,736
3	J.P. Morgan	LME Aluminum Futures^		03/2016		110,257		113,075		2,818
1	J.P. Morgan	LME Aluminum Futures^		03/2016		38,165		37,683		(482	)
2	J.P. Morgan	LME Copper Futures^		01/2016		256,558		235,355		(21,203	)
1	J.P. Morgan	LME Copper Futures^		01/2016		133,213		117,756		(15,457	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,449		117,750		(12,699	)
10	J.P. Morgan	LME Copper Futures^		03/2016		1,304,057		1,177,062		(126,995	)
1	J.P. Morgan	LME Copper Futures^		03/2016		115,877		117,718		1,841
1	J.P. Morgan	LME Lead Futures^		01/2016		41,603		44,924		3,321
1	J.P. Morgan	LME Lead Futures^		02/2016		41,503		44,918		3,415
6	J.P. Morgan	LME Lead Futures^		03/2016		270,567		269,513		(1,054	)
1	J.P. Morgan	LME Lead Futures^		03/2016		43,009		44,920		1,911
1	J.P. Morgan	LME Nickel Futures^		01/2016		63,004		52,744		(10,260	)
3	J.P. Morgan	LME Nickel Futures^		03/2016		190,529		158,652		(31,877	)
2	J.P. Morgan	LME Nickel Futures^		03/2016		104,177		105,774		1,597
1	J.P. Morgan	LME Zinc Futures^		01/2016		41,927		39,855		(2,072	)
1	J.P. Morgan	LME Zinc Futures^		02/2016		41,627		40,060		(1,567	)
12	J.P. Morgan	LME Zinc Futures^		03/2016		528,659		482,700		(45,959	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		38,153		40,217		2,064
1	J.P. Morgan	LME Zinc Futures^		03/2016		40,359		40,225		(134	)
8	Morgan Stanley and Co., International PLC	Natural Gas Futures^		02/2016		173,709		189,040		15,331
13	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		998,886		897,195		(101,691	)
5	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		220,359		216,063		(4,296	)
4	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		117,490		106,200		(11,290	)
20	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		367,068		369,000		1,932
27	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		380,538		460,858		80,320
8	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		206,991		188,000		(18,991	)
29	Morgan Stanley and Co., International PLC	WTI Crude Futures^		02/2016		1,166,423		1,106,930		(59,493	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II HV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
1	Barclays Capital	Amsterdam Index Futures		01/2016		$ 93,977			$ 96,036			$ 2,059
7	Barclays Capital	CAC40 Index Futures		01/2016		351,368			352,862			1,494
1	Barclays Capital	DAX Index Futures		03/2016		284,086			292,662			8,576
7	Barclays Capital	E-Mini Russell 2000 Futures		03/2016		784,015			792,050			8,035
41	Barclays Capital	Euro Stoxx 50 Index Futures		03/2016		1,450,797			1,462,352			11,555
9	Barclays Capital	FTSE 100 Index Futures		03/2016		798,096			822,338			24,242
8	J.P. Morgan	FTSE/JSE Top 40 Index Futures		03/2016		231,168			239,364			8,196
1	Barclays Capital	FTSE/MIB Index Futures		03/2016		117,528			116,511			(1,017	)
3	Barclays Capital	Hang Seng Index Futures		01/2016		426,236			424,061			(2,175	)
3	Barclays Capital	H-SHARES Index Futures		01/2016		191,874			187,838			(4,036	)
1	Barclays Capital	IBEX 35 Index Futures		01/2016		107,023			103,527			(3,496	)
5	Barclays Capital	KOSPI Index 200 Futures		03/2016		506,937			512,665			5,728
4	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		122,955			121,760			(1,195	)
79	Barclays Capital	S&P 500 E-Mini Futures		03/2016		7,938,618			8,039,830			101,212
7	Barclays Capital	S&P MID 400 E-Mini Futures		03/2016		967,762			975,450			7,688
1	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		15,886			15,896			10
5	Barclays Capital	SPI 200 Index Futures		03/2016		450,057			478,847			28,790
11	Barclays Capital	TOPIX Index Futures		03/2016		1,433,879			1,416,240			(17,639	)
28	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		3,466,854			3,472,424			5,570
22	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		2,025,479			2,034,262			8,783
15	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		1,497,584			1,528,402			30,818
102	Goldman Sachs	Euro-Bund Futures		03/2016		17,716,896			17,505,194			(211,702	)
3	Goldman Sachs	Long Gilt Futures		03/2016		518,581			516,427			(2,154	)
267	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		33,718,306			33,616,968			(101,338	)
						88,511,952			87,734,683			(777,269	)
Short Contracts:
1	J.P. Morgan	LME Aluminum Futures^		01/2016		$(39,220	)		$(37,533	)		$1,687
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(37,122	)		(37,637	)		(515	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,618	)		(37,743	)		(125	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(36,598	)		(37,729	)		(1,131	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(36,997	)		(37,744	)		(747	)
10	J.P. Morgan	LME Aluminum Futures^		03/2016		(372,675	)		(376,937	)		(4,262	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		(110,996	)		(113,119	)		(2,123	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		(110,663	)		(113,075	)		(2,412	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(38,198	)		(37,684	)		514
2	J.P. Morgan	LME Copper Futures^		01/2016		(256,294	)		(235,355	)		20,939
1	J.P. Morgan	LME Copper Futures^		01/2016		(133,372	)		(117,756	)		15,616
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,128	)		(117,750	)		12,378
3	J.P. Morgan	LME Copper Futures^		03/2016		(357,976	)		(353,119	)		4,857
1	J.P. Morgan	LME Copper Futures^		03/2016		(114,860	)		(117,718	)		(2,858	)
1	J.P. Morgan	LME Lead Futures^		01/2016		(41,697	)		(44,924	)		(3,227	)
1	J.P. Morgan	LME Lead Futures^		02/2016		(41,505	)		(44,917	)		(3,412	)
3	J.P. Morgan	LME Lead Futures^		03/2016		(126,367	)		(134,756	)		(8,389	)
1	J.P. Morgan	LME Lead Futures^		03/2016		(42,993	)		(44,920	)		(1,927	)
1	J.P. Morgan	LME Nickel Futures^		01/2016		(62,782	)		(52,744	)		10,038
2	J.P. Morgan	LME Nickel Futures^		03/2016		(104,155	)		(105,768	)		(1,613	)
2	J.P. Morgan	LME Nickel Futures^		03/2016		(104,293	)		(105,773	)		(1,480	)
1	J.P. Morgan	LME Zinc Futures^		01/2016		(41,917	)		(39,855	)		2,062
1	J.P. Morgan	LME Zinc Futures^		02/2016		(41,511	)		(40,061	)		1,450
9	J.P. Morgan	LME Zinc Futures^		03/2016		(395,487	)		(362,025	)		33,462
1	J.P. Morgan	LME Zinc Futures^		03/2016		(37,972	)		(40,217	)		(2,245	)

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

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Consolidated Schedule of Investments December 31, 2015

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NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
1	J.P. Morgan	LME Zinc Futures^		03/2016		$(40,323	)		$(40,225	)		$98
						(2,893,719	)		(2,827,084	)		66,635
						$85,618,233			$84,907,599			$(710,634	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		1,865,280			$2,038,188			$2,030,817			$(7,371	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		337,914			506,610			498,213			(8,397	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		624,500			80,613			80,626			13
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		624,500			80,618			80,626			8
							$2,706,029			$2,690,282			$(15,747	)
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(15,000	)		$(3,762	)		$(3,704	)		$58
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(15,000	)		(3,762	)		(3,704	)		58
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(26,498	)		(26,567	)		(26,538	)		29
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(63,502	)		(64,048	)		(63,597	)		451
Euro, Expiring 03/16/16	CitiBank	EUR		(2,974,569	)		(3,166,292	)		(3,238,552	)		(72,260	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(3,547,701	)		(3,792,598	)		(3,862,547	)		(69,949	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(750,145	)		(1,125,446	)		(1,105,997	)		19,449
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(864,163	)		(1,295,189	)		(1,274,103	)		21,086
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(887,000	)		(114,474	)		(114,516	)		(42	)
							(9,592,138	)		(9,693,258	)		(101,120	)
							$(6,886,109	)		$(7,002,976	)		$(116,867	)

* Non-deliverable forward (See Note 4).

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II HV FUND

BRL - Brazilian Real

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$120,000		$—		$120,000
Barclays Capital
Cash		—		632,528		632,528
CitiBank
Money Market Funds		280,000		—		280,000
U.S. Treasury Inflation Protected Securities		3,609,626		—		3,609,626
Credit Suisse International
Money Market Funds		120,003		—		120,003
Goldman Sachs
Cash		—		576,027		576,027
Money Market Funds		140,000		—		140,000
J.P. Morgan
Cash		—		28,716		28,716
U.S. Treasury Inflation Protected Securities		3,168,448		—		3,168,448
Morgan Stanley and Co., International PLC
Cash		—		577,673		577,673

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$150,009		$—		$150,009
Deutsche Bank
Money Market Funds		210,019		—		210,019
Goldman Sachs
Cash		—		263,390		263,390
J.P. Morgan
Cash		—		430,667		430,667
Morgan Stanley and Co., International PLC
Cash		—		802,985		802,985

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

GOVERNMENT RELATED OBLIGATIONS - 11.3%	INTEREST RATE			MATURITY DATE		CURRENCY		PRINCIPAL AMOUNT (000’s)		VALUE (Note 5)
Sovereign Debt - 11.3%
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/23		EUR		726	$	825,535
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		0.100	%		04/15/26		EUR		1,715		1,958,125
Deutsche Bundesrepublik Inflation Linked Bond (Germany)		1.750	%		04/15/20		EUR		1,206		1,443,475
France Government Bond OAT (France)		0.100	%		07/25/21		EUR		404		455,828
France Government Bond OAT (France)		0.100	%		03/01/25		EUR		400		445,668
France Government Bond OAT (France)		0.250	%		07/25/24		EUR		407		464,447
France Government Bond OAT (France)		1.198	%		07/25/22		EUR		434		525,768
France Government Bond OAT (France)		2.250	%		07/25/20		EUR		1,099		1,364,328
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/24		GBP		964		1,505,990
United Kingdom Index Linked Treasury Gilt (United Kingdom)		0.125	%		03/22/26		GBP		804		1,263,435
TOTAL GOVERNMENT RELATED OBLIGATIONS (cost $10,803,334)											10,252,599
U.S. TREASURY OBLIGATIONS - 17.0%
U.S. Treasury Inflation Protected Securities - 17.0%
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/19		USD		4,600		4,641,675
U.S. Treasury Inflation Protected Securities		0.125	%		04/15/20		USD		5,400		5,414,439
U.S. Treasury Inflation Protected Securities		0.125	%		07/15/24		USD		1,500		1,426,941
U.S. Treasury Inflation Protected Securities		0.250	%		01/15/25		USD		1,900		1,821,061
U.S. Treasury Inflation Protected Securities		0.375	%		07/15/25		USD		2,100		2,039,129
TOTAL U.S. TREASURY OBLIGATIONS (cost $15,465,262)											15,343,245

MONEY MARKET FUNDS - 47.7%	SHARES
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% ^(a)		657,712		657,712
Dreyfus Treasury Cash Management, Class I, 0.090% ^(a)		2,630,847		2,630,847
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(a)		35,548,297		35,548,297
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(a)(b)		900,039		900,039
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% ^(a)		3,288,559		3,288,559
TOTAL MONEY MARKET FUNDS (cost $43,025,454)				43,025,454
SHORT-TERM INVESTMENTS - 20.9%		PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.066%, 04/07/2016 (c)	$	2,940		2,939,847
U.S. Treasury Bill, 0.098%, 03/31/2016 (c)		1,569		1,568,338
U.S. Treasury Bill, 0.141%, 01/28/2016 (c)^		7,269		7,269,367
U.S. Treasury Bill, 0.161%, 02/04/2016 (c)^		3,512		3,512,695
U.S. Treasury Bill, 0.263%, 03/03/2016 (c)(d)^		3,578		3,579,370
TOTAL SHORT-TERM INVESTMENTS (cost $18,869,167)				18,869,617
TOTAL INVESTMENTS IN SECURITIES, AT VALUE - 96.9% (cost $88,163,217)				87,490,915
OTHER ASSETS IN EXCESS OF LIABILITIES - 3.1% (e)			2,767,802
NET ASSETS - 100.0%			$	90,258,717

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

(a) Represents annualized seven-day yield as of the close of the reporting period.

(b) All or 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) All or a portion of the security is pledged as collateral to the brokers for futures 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 (See Note 2).

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV 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

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	Bovespa Index February Futures	02/2016	BRL		1,145,426			$(12,297	)
Macquarie Capital	Brent Crude January Futures^	01/2016	USD		(54,035	)		11,960
Macquarie Capital	Brent Crude January Futures^	01/2016	USD		54,035			(16,755	)
Macquarie Capital	Brent Crude January Futures^	02/2016	USD		49,860			(12,190	)
Macquarie Capital	Brent Crude January Futures^	02/2016	USD		(49,860	)		4,830
Macquarie Capital	Brent Crude February Futures^	03/2016	USD		43,365			(4,835	)
Bank of America	CNX Nifty Index January Futures	01/2016	INR		595,286			17
Macquarie Capital	Coffee ‘C’ March Futures^	02/2016	USD		48,534			(1,022	)
CitiBank	Corn March Futures^	02/2016	USD		115,639			(8,014	)
Deutsche Bank	Corn March Futures^	02/2016	USD		555,856			(53,606	)
Macquarie Capital	Corn March Futures^	02/2016	USD		99,691			(10,003	)
Societe Generale	Corn March Futures^	02/2016	USD		19,682			(1,744	)
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		(30,820	)		(819	)
CitiBank	Cotton No. 2 March Futures^	02/2016	USD		250,147			2,971
Deutsche Bank	Cotton No. 2 March Futures^	02/2016	USD		92,837			2,083
Macquarie Capital	Cotton No. 2 March Futures^	02/2016	USD		62,152			1,128
Macquarie Capital	Gas Oil January Futures^	01/2016	USD		(50,188	)		16,725
Macquarie Capital	Gas Oil January Futures^	01/2016	USD		50,188			(17,562	)
Macquarie Capital	Gasoline RBOB December Futures^	01/2016	USD		(59,459	)		3,858
Macquarie Capital	Gasoline RBOB December Futures^	01/2016	USD		59,459			(6,241	)
Macquarie Capital	Gasoline RBOB January Futures^	02/2016	USD		57,483			(4,101	)
Macquarie Capital	Gasoline RBOB January Futures^	02/2016	USD		(57,483	)		(1,012	)
Macquarie Capital	Gasoline RBOB February Futures^	03/2016	USD		53,640			884
Macquarie Capital	Gold 100 OZ February Futures^	02/2016	USD		114,370			(8,350	)
Societe Generale	Gold 100 OZ February Futures^	01/2016	USD		114,170			(8,150	)
Bank of America	Hang Seng Index January Futures	01/2016	HKD		3,311,776			(3,261	)
Societe Generale	Hard Red Winter Wheat March Futures^	02/2016	USD		24,385			(960	)
Macquarie Capital	Heating Oil ULSD December Futures^	01/2016	USD		69,804			(23,575	)
Macquarie Capital	Heating Oil ULSD December Futures^	01/2016	USD		(69,804	)		17,394
Macquarie Capital	Heating Oil ULSD January Futures^	02/2016	USD		(64,367	)		8,408
Macquarie Capital	Heating Oil ULSD January Futures^	02/2016	USD		64,367			(17,163	)
Macquarie Capital	Heating Oil ULSD February Futures^	03/2016	USD		56,505			(8,251	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		8,921,287			(24,098	)
Goldman Sachs	H-SHARES Index January Futures	01/2016	HKD		4,939,407			(11,212	)
Bank of America	KOSPI Index 200 March Futures	03/2016	KRW		598,036,300			2,595
Deutsche Bank	Lean Hogs February Futures^	02/2016	USD		223,677			(8,397	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		(25,388	)		(615	)
Macquarie Capital	Lean Hogs February Futures^	02/2016	USD		98,777			(3,097	)
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		852,468			(31,650	)
Deutsche Bank	Live Cattle February Futures^	02/2016	USD		(149,620	)		(14,532	)
Goldman Sachs	MSCI Taiwan Stock Index January Futures	01/2016	USD		368,518			(3,238	)
Goldman Sachs	SGX S&P CNX Nifty Index January Futures	01/2016	USD		127,012			156
Macquarie Capital	Silver March Futures^	03/2016	USD		77,900			(8,885	)
CitiBank	Soybean March Futures^	02/2016	USD		434,613			(2,488	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		172,486			365
Macquarie Capital	Soybean March Futures^	02/2016	USD		216,498			(436	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Societe Generale	Soybean March Futures^	02/2016	USD		215,803			$ 260
CitiBank	Soybean Meal March Futures^	02/2016	USD		28,545			(1,995	)
Macquarie Capital	Soybean Oil March Futures^	02/2016	USD		54,882			468
CitiBank	Sugar #11 (World Markets) February Futures^	02/2016	USD		16,828			241
Goldman Sachs	Swiss Market Index March Futures	03/2016	CHF		678,713			21,130
Goldman Sachs	Taiwan Stock Exchange January Futures	01/2016	TWD		4,841,092			3,783
CitiBank	Wheat March Futures^	02/2016	USD		156,597			(15,585	)
CitiBank	Wheat March Futures^	02/2016	USD		(155,588	)		14,576
Macquarie Capital	WTI Crude January Futures^	01/2016	USD		(46,600	)		7,415
Macquarie Capital	WTI Crude January Futures^	01/2016	USD		46,600			(9,560	)
								$(234,452	)

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
36	Goldman Sachs	Brent Crude Futures^		02/2016		$1,476,511		$1,387,080		$(89,431	)
2	Morgan Stanley and Co., International PLC	Cocoa Futures^		03/2016		61,365		64,220		2,855
8	Morgan Stanley and Co., International PLC	Coffee ‘C’ Futures^		03/2016		406,181		380,100		(26,081	)
36	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		712,513		645,750		(66,763	)
3	Morgan Stanley and Co., International PLC	Cotton No. 2 Futures^		03/2016		93,613		94,920		1,307
1	Morgan Stanley and Co., International PLC	Feeder Cattle Futures^		03/2016		85,067		81,825		(3,242	)
17	Goldman Sachs	Gas Oil Futures^		03/2016		646,936		581,825		(65,111	)
8	Morgan Stanley and Co., International PLC	Gasoline RBOB Futures^		02/2016		428,411		436,195		7,784
16	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		1,818,635		1,696,320		(122,315	)
1	Morgan Stanley and Co., International PLC	Hard Red Winter Wheat Futures^		03/2016		25,182		23,425		(1,757	)
7	Morgan Stanley and Co., International PLC	Heating Oil ULSD Futures^		02/2016		385,374		337,777		(47,597	)
4	Morgan Stanley and Co., International PLC	Lean Hogs Futures^		02/2016		98,624		95,680		(2,944	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
3	Morgan Stanley and Co., International PLC	Live Cattle Futures^		02/2016		$ 172,373		$ 164,160		$ (8,213	)
5	J.P. Morgan	LME Aluminum Futures^		01/2016		200,387		187,662		(12,725	)
3	J.P. Morgan	LME Aluminum Futures^		01/2016		119,107		112,728		(6,379	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		39,792		37,593		(2,199	)
2	J.P. Morgan	LME Aluminum Futures^		01/2016		76,047		75,275		(772	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		37,927		37,637		(290	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		37,034		37,645		611
1	J.P. Morgan	LME Aluminum Futures^		01/2016		36,828		37,653		825
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,477		37,705		228
1	J.P. Morgan	LME Aluminum Futures^		02/2016		37,502		37,743		241
3	J.P. Morgan	LME Aluminum Futures^		02/2016		109,771		113,185		3,414
3	J.P. Morgan	LME Aluminum Futures^		03/2016		111,345		113,231		1,886
43	J.P. Morgan	LME Aluminum Futures^		03/2016		1,707,468		1,620,831		(86,637	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		111,382		113,118		1,736
1	J.P. Morgan	LME Aluminum Futures^		03/2016		36,752		37,691		939
3	J.P. Morgan	LME Copper Futures^		01/2016		389,516		353,033		(36,483	)
1	J.P. Morgan	LME Copper Futures^		01/2016		130,037		117,760		(12,277	)
1	J.P. Morgan	LME Copper Futures^		02/2016		126,176		117,772		(8,404	)
2	J.P. Morgan	LME Copper Futures^		03/2016		228,006		235,488		7,482
14	J.P. Morgan	LME Copper Futures^		03/2016		1,826,667		1,647,888		(178,779	)
1	J.P. Morgan	LME Lead Futures^		01/2016		41,373		44,925		3,552
1	J.P. Morgan	LME Lead Futures^		01/2016		41,602		44,923		3,321
1	J.P. Morgan	LME Lead Futures^		01/2016		44,627		44,921		294
7	J.P. Morgan	LME Lead Futures^		03/2016		315,595		314,431		(1,164	)
1	J.P. Morgan	LME Lead Futures^		03/2016		43,009		44,920		1,911
1	J.P. Morgan	LME Nickel Futures^		01/2016		60,692		52,681		(8,011	)
1	J.P. Morgan	LME Nickel Futures^		01/2016		63,842		52,712		(11,130	)
5	J.P. Morgan	LME Nickel Futures^		03/2016		318,121		264,420		(53,701	)
1	J.P. Morgan	LME Nickel Futures^		03/2016		52,088		52,887		799
2	J.P. Morgan	LME Zinc Futures^		01/2016		88,230		79,710		(8,520	)
1	J.P. Morgan	LME Zinc Futures^		01/2016		45,536		39,939		(5,597	)
1	J.P. Morgan	LME Zinc Futures^		02/2016		41,627		40,060		(1,567	)
10	J.P. Morgan	LME Zinc Futures^		03/2016		449,802		402,250		(47,552	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		38,153		40,217		2,064
1	J.P. Morgan	LME Zinc Futures^		03/2016		40,359		40,225		(134	)
11	Morgan Stanley and Co., International PLC	Natural Gas Futures^		02/2016		239,022		259,930		20,908
17	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		1,313,360		1,173,255		(140,105	)
7	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		304,432		302,488		(1,944	)
6	Morgan Stanley and Co., International PLC	Soybean Meal Futures^		03/2016		176,235		159,300		(16,935	)
29	Morgan Stanley and Co., International PLC	Soybean Oil Futures^		03/2016		528,984		535,050		6,066
40	Morgan Stanley and Co., International PLC	Sugar #11 (World Markets) Futures^		02/2016		563,366		682,752		119,386

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

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251

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
12	Morgan Stanley and Co., International PLC	Wheat Futures^		03/2016		$ 309,387			$ 282,000			$ (27,387	)
40	Morgan Stanley and Co., International PLC	WTI Crude Futures^		02/2016		1,611,371			1,526,800			(84,571	)
2	Barclays Capital	Amsterdam Index Futures		01/2016		187,954			192,072			4,118
10	Barclays Capital	CAC40 Index Futures		01/2016		501,020			504,089			3,069
2	Barclays Capital	DAX Index Futures		03/2016		575,798			585,324			9,526
11	Barclays Capital	E-Mini Russell 2000 Futures		03/2016		1,236,094			1,244,650			8,556
61	Barclays Capital	Euro Stoxx 50 Index Futures		03/2016		2,153,465			2,175,695			22,230
12	Barclays Capital	FTSE 100 Index Futures		03/2016		1,063,195			1,096,451			33,256
11	J.P. Morgan	FTSE/JSE Top 40 Index Futures		03/2016		313,154			329,125			15,971
2	Barclays Capital	FTSE/MIB Index Futures		03/2016		232,990			233,021			31
2	Barclays Capital	Hang Seng Index Futures		01/2016		284,512			282,708			(1,804	)
2	Barclays Capital	H-SHARES Index Futures		01/2016		126,688			125,225			(1,463	)
1	Barclays Capital	IBEX 35 Index Futures		01/2016		104,186			103,527			(659	)
5	Barclays Capital	KOSPI Index 200 Futures		03/2016		506,937			512,665			5,728
5	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		152,608			152,200			(408	)
116	Barclays Capital	S&P 500 E-Mini Futures		03/2016		11,670,316			11,805,320			135,004
10	Barclays Capital	S&P MID 400 E-Mini Futures		03/2016		1,384,621			1,393,500			8,879
1	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		15,886			15,896			10
9	Barclays Capital	SPI 200 Index Futures		03/2016		807,876			861,925			54,049
16	Barclays Capital	TOPIX Index Futures		03/2016		2,088,970			2,059,985			(28,985	)
7	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		867,045			868,106			1,061
4	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		4,950,319			4,959,940			9,621
30	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		2,762,064			2,773,994			11,930
26	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		2,595,812			2,649,231			53,419
149	Goldman Sachs	Euro - Bund Futures		03/2016		25,900,257			25,571,314			(328,943	)
20	Goldman Sachs	Long Gilt Futures		03/2016		3,468,296			3,442,847			(25,449	)
378	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		47,714,741			47,592,563			(122,178	)
						130,205,623			129,073,084			(1,132,539	)
Short Contracts:
5	J.P. Morgan	LME Aluminum Futures^		01/2016		$(199,658	)		$(187,662	)		$11,996
3	J.P. Morgan	LME Aluminum Futures^		01/2016		(118,922	)		(112,728	)		6,194
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(39,797	)		(37,593	)		2,204
2	J.P. Morgan	LME Aluminum Futures^		01/2016		(75,844	)		(75,275	)		569
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(37,772	)		(37,637	)		135
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(37,122	)		(37,644	)		(522	)
1	J.P. Morgan	LME Aluminum Futures^		01/2016		(36,754	)		(37,653	)		(899	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,377	)		(37,706	)		(329	)
1	J.P. Morgan	LME Aluminum Futures^		02/2016		(37,618	)		(37,744	)		(126	)
3	J.P. Morgan	LME Aluminum Futures^		02/2016		(109,793	)		(113,185	)		(3,392	)
3	J.P. Morgan	LME Aluminum Futures^		03/2016		(110,991	)		(113,231	)		(2,240	)
18	J.P. Morgan	LME Aluminum Futures^		03/2016		(692,072	)		(678,488	)		13,584
3	J.P. Morgan	LME Aluminum Futures^		03/2016		(110,996	)		(113,119	)		(2,123	)
1	J.P. Morgan	LME Aluminum Futures^		03/2016		(36,888	)		(37,692	)		(804	)
3	J.P. Morgan	LME Copper Futures^		01/2016		(388,967	)		(353,033	)		35,934
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,122	)		(117,759	)		12,363
1	J.P. Morgan	LME Copper Futures^		02/2016		(126,079	)		(117,772	)		8,307

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

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252

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
2	J.P. Morgan	LME Copper Futures^		03/2016		$(226,802	)		$(235,487	)		$(8,685	)
3	J.P. Morgan	LME Copper Futures^		03/2016		(355,229	)		(353,119	)		2,110
1	J.P. Morgan	LME Lead Futures^		01/2016		(40,903	)		(44,925	)		(4,022	)
1	J.P. Morgan	LME Lead Futures^		01/2016		(41,697	)		(44,924	)		(3,227	)
1	J.P. Morgan	LME Lead Futures^		01/2016		(44,708	)		(44,921	)		(213	)
3	J.P. Morgan	LME Lead Futures^		03/2016		(129,575	)		(134,756	)		(5,181	)
1	J.P. Morgan	LME Lead Futures^		03/2016		(42,993	)		(44,920	)		(1,927	)
1	J.P. Morgan	LME Nickel Futures^		01/2016		(59,878	)		(52,680	)		7,198
1	J.P. Morgan	LME Nickel Futures^		01/2016		(63,417	)		(52,712	)		10,705
2	J.P. Morgan	LME Nickel Futures^		03/2016		(115,990	)		(105,768	)		10,222
1	J.P. Morgan	LME Nickel Futures^		03/2016		(52,147	)		(52,887	)		(740	)
2	J.P. Morgan	LME Zinc Futures^		01/2016		(86,239	)		(79,710	)		6,529
1	J.P. Morgan	LME Zinc Futures^		01/2016		(45,873	)		(39,940	)		5,933
1	J.P. Morgan	LME Zinc Futures^		02/2016		(41,511	)		(40,061	)		1,450
6	J.P. Morgan	LME Zinc Futures^		03/2016		(260,596	)		(241,350	)		19,246
1	J.P. Morgan	LME Zinc Futures^		03/2016		(37,972	)		(40,217	)		(2,245	)
1	J.P. Morgan	LME Zinc Futures^		03/2016		(40,323	)		(40,225	)		98
						(4,012,625	)		(3,894,523	)		118,102
						$126,192,998			$125,178,561			$(1,014,437	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		1,309,283		$1,435,277		$1,425,477		$(9,800	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		114,464		171,896		168,763		(3,133	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		885,500		114,304		114,323		19
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		885,500		114,309		114,323		14
						$1,835,786		$1,822,886		$(12,900	)

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

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253

Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(25,000	)		$(6,270	)		$(6,173	)		$97
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(25,000	)		(6,270	)		(6,173	)		97
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(50,000	)		(50,132	)		(50,075	)		57
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(91,000	)		(91,670	)		(91,136	)		534
Euro, Expiring 03/16/16	CitiBank	EUR		(4,056,923	)		(4,318,408	)		(4,416,961	)		(98,553	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(4,274,771	)		(4,556,626	)		(4,654,143	)		(97,517	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(1,045,024	)		(1,567,854	)		(1,540,760	)		27,094
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(1,045,024	)		(1,567,866	)		(1,540,760	)		27,106
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(1,230,000	)		(158,738	)		(158,800	)		(62	)
							(12,323,834	)		(12,464,981	)		(141,147	)
							$(10,488,048	)		$(10,642,095	)		$(154,047	)

* Non-deliverable forward (See Note 4).

BRL - Brazilian Real

CHF - Swiss Franc

EUR - Euro

GBP - British Pound

HKD - Hong Kong Dollar

INR - Indian Rupee

KRW - Korean Won

TWD - New Taiwan Dollar

USD - United States Dollar

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$130,000		$—		$130,000
Barclays Capital
Cash		—		891,327		891,327
CitiBank
Money Market Funds		360,000		—		360,000
Credit Suisse International
Money Market Funds		160,000		—		160,000
Goldman Sachs
Cash		—		298,719		298,719
Money Market Funds		250,000		—		250,000
U.S. Treasury Bills		—		646,634		646,634
J.P. Morgan
Cash		—		35,125		35,125
Morgan Stanley and Co., International PLC
Cash		—		796,632		796,632

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

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Consolidated Schedule of Investments December 31, 2015

AQR RISK PARITY II MV FUND

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$160,013		$—		$160,013
Deutsche Bank
Money Market Funds		200,026		—		200,026
Goldman Sachs
Cash		—		389,444		389,444
J.P. Morgan
Cash		—		630,422		630,422
Macquarie Capital
Money Market Funds		110,000		—		110,000
Morgan Stanley and Co., International PLC
Cash		—		1,098,233		1,098,233

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

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255

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

LONG INVESTMENTS - 118.1%	SHARES		VALUE (Note 5)
COMMON STOCKS - 36.7%
Belgium - 1.0%
Ageas (a)		64,253	$	2,982,231
bpost SA (a)		170,934		4,194,273
Colruyt SA (a)		12,592		647,774
KBC Groep NV (a)		95,905		5,996,573
Proximus (a)		108,210		3,521,254
Umicore SA (a)		5,328		223,436
				17,565,541
Denmark - 1.1%
AP Moeller - Maersk A/S, Class B (a)		827		1,078,660
Chr Hansen Holding A/S (a)		6,783		424,279
Danske Bank A/S (a)		47,752		1,281,296
DSV A/S (a)		27,480		1,081,714
FLSmidth & Co. A/S		6,360		220,978
GN Store Nord A/S (a)		11,747		213,190
H Lundbeck A/S †		23,002		785,410
ISS A/S (a)		62,335		2,246,974
Jyske Bank A/S †(a)		31,038		1,403,902
Novo Nordisk A/S, Class B (a)		125,605		7,272,305
Pandora A/S (a)		11,143		1,404,952
TDC A/S		119,306		594,030
Tryg A/S (a)		19,815		393,756
Vestas Wind Systems A/S (a)		19,304		1,348,168
William Demant Holding A/S †(a)		9,756		929,303
				20,678,917
Finland - 0.6%
Amer Sports OYJ		9,238		269,711
Cargotec OYJ, B Shares		9,540		355,890
Elisa OYJ (a)		37,470		1,409,804
Huhtamaki OYJ		7,516		272,737
Kesko OYJ, B Shares (a)		20,595		721,895
Metso OYJ (a)		10,655		238,674
Neste OYJ (a)		73,330		2,188,600
Orion OYJ, Class B (a)		54,787		1,895,536
Sampo OYJ, A Shares (a)		12,928		656,513
Stora Enso OYJ, R Shares (a)		115,885		1,047,849
UPM-Kymmene OYJ (a)		141,443		2,625,934
				11,683,143
Germany - 4.1%
Allianz SE (a)		54,153		9,545,985
Aurubis AG (a)		67,542		3,420,068
Axel Springer SE (a)		7,343		408,348
Brenntag AG (a)		29,669		1,545,985
Daimler AG (a)		80,032		6,686,995
Deutsche Lufthansa AG †(a)		225,568		3,552,936
Deutsche Post AG (a)		41,046		1,147,556
Duerr AG		5,583		443,079
Evonik Industries AG (a)		64,029		2,117,887
Fraport AG Frankfurt Airport Services Worldwide		3,325		212,042
Freenet AG (a)		97,491		3,289,819
Fresenius Medical Care AG & Co. KGaA (a)		75,740		6,364,779
GEA Group AG (a)		7,761		313,551
Hannover Rueck SE (a)		74,002		8,450,254

	SHARES		VALUE (Note 5)
Germany - 4.1% (continued)
HeidelbergCement AG (a)		15,206	$	1,239,252
Hella KGaA Hueck & Co.		17,764		737,709
HOCHTIEF AG (a)		16,196		1,502,139
K+S AG (a)		44,723		1,140,040
KION Group AG †(a)		43,732		2,168,569
Krones AG		5,572		663,472
Linde AG (a)		7,774		1,123,020
Merck KGaA (a)		37,190		3,600,768
MTU Aero Engines AG (a)		7,182		699,994
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		31,828		6,341,320
OSRAM Licht AG (a)		29,128		1,216,939
ProSiebenSat.1 Media SE (a)		31,168		1,572,467
RHOEN-KLINIKUM AG (a)		38,225		1,146,702
Software AG		22,236		633,764
Suedzucker AG (a)		44,301		878,063
Symrise AG (a)		29,670		1,964,108
Talanx AG (a)		33,413		1,027,601
United Internet AG		3,868		212,659
				75,367,870
Italy - 1.6%
A2A SpA		1,229,733		1,665,127
Atlantia SpA		26,831		709,906
Autogrill SpA †		58,093		553,645
Banca Generali SpA		22,841		718,487
Banca Popolare di Milano Scarl		2,172,212		2,151,493
Buzzi Unicem SpA		25,838		463,154
Davide Campari-Milano SpA		71,046		614,251
Enel SpA		133,452		559,605
Eni SpA (a)		133,741		1,987,151
FinecoBank Banca Fineco SpA		451,643		3,713,820
Finmeccanica SpA †		89,406		1,243,124
Hera SpA		308,144		816,642
Intesa Sanpaolo SpA		878,786		2,918,449
Luxottica Group SpA		13,167		858,029
Mediobanca SpA		344,388		3,301,324
Prysmian SpA		47,588		1,039,756
Recordati SpA		72,426		1,889,655
Snam SpA		292,120		1,524,557
Telecom Italia SpA †		224,383		284,364
Terna Rete Elettrica Nazionale SpA		523,517		2,692,390
UnipolSai SpA		83,115		211,453
				29,916,382
Japan - 19.5%
ABC-Mart, Inc. (a)		58,300		3,191,233
Air Water, Inc. (a)		107,000		1,720,908
Aisin Seiki Co., Ltd. (a)		36,400		1,566,598
Ajinomoto Co., Inc. (a)		23,000		544,542
Alfresa Holdings Corp. (a)		169,600		3,349,650
Alps Electric Co., Ltd.		48,800		1,323,360
ANA Holdings, Inc. (a)		2,820,000		8,135,998
Aozora Bank Ltd. (a)		1,695,000		5,915,252
Asahi Group Holdings Ltd. (a)		8,100		253,566
Asahi Kasei Corp. (a)		376,000		2,542,552
Astellas Pharma, Inc. (a)		209,000		2,975,275
Bandai Namco Holdings, Inc. (a)		189,900		4,012,042

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

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	SHARES		VALUE (Note 5)
Japan - 19.5% (continued)
Bank of Yokohama Ltd./The (a)		155,000	$	950,088
Benesse Holdings, Inc. (a)		57,500		1,655,885
Bridgestone Corp. (a)		55,000		1,886,578
Brother Industries Ltd. (a)		183,900		2,112,599
Canon, Inc. (a)		46,000		1,391,501
Central Japan Railway Co. (a)		38,400		6,817,304
Century Tokyo Leasing Corp.		9,300		332,211
Chiba Bank Ltd./The (a)		99,000		702,527
Chubu Electric Power Co., Inc. (a)		175,700		2,405,989
Chugoku Bank Ltd./The (a)		108,500		1,447,797
Dai Nippon Printing Co., Ltd. (a)		109,000		1,077,862
Daicel Corp. (a)		184,600		2,747,200
Daihatsu Motor Co., Ltd. (a)		44,300		597,608
Daiichi Sankyo Co., Ltd. (a)		205,300		4,237,332
Don Quijote Holdings Co., Ltd. (a)		31,500		1,106,240
East Japan Railway Co. (a)		38,700		3,644,222
Electric Power Development Co., Ltd. (a)		55,000		1,958,916
Ezaki Glico Co., Ltd. (a)		28,700		1,550,484
FamilyMart Co., Ltd. (a)		82,600		3,843,781
Fuji Electric Co., Ltd. (a)		138,000		578,754
Fuji Heavy Industries Ltd. (a)		64,900		2,673,638
FUJIFILM Holdings Corp. (a)		77,300		3,225,922
Fujitsu Ltd. (a)		138,000		688,775
Fukuoka Financial Group, Inc. (a)		275,000		1,363,621
Gunma Bank Ltd./The (a)		282,000		1,639,615
Hachijuni Bank Ltd./The (a)		35,000		214,200
Hakuhodo DY Holdings, Inc. (a)		240,300		2,599,939
Hankyu Hanshin Holdings, Inc.		41,000		266,495
Haseko Corp. (a)		196,400		2,171,471
Hikari Tsushin, Inc. (a)		13,800		939,777
Hino Motors Ltd. (a)		17,500		202,256
Hisamitsu Pharmaceutical Co., Inc.		5,000		209,914
Hitachi Chemical Co., Ltd. (a)		44,900		712,323
Hitachi High-Technologies Corp. (a)		86,100		2,328,411
Hitachi Metals Ltd. (a)		93,900		1,158,557
Hokuhoku Financial Group, Inc.		1,370,000		2,792,805
Hokuriku Electric Power Co. (a)		27,100		400,496
Hoya Corp. (a)		76,200		3,116,015
Ibiden Co., Ltd. (a)		38,100		546,217
Idemitsu Kosan Co., Ltd. (a)		111,400		1,778,744
ITOCHU Corp. (a)		376,600		4,454,594
Itochu Techno-Solutions Corp. (a)		147,500		2,938,846
Izumi Co., Ltd. (a)		24,700		958,912
Japan Airlines Co., Ltd. (a)		408,600		14,624,980
Japan Petroleum Exploration Co., Ltd. (a)		12,400		333,031
JSR Corp. (a)		49,800		776,101
JTEKT Corp. (a)		21,600		353,551
Kaken Pharmaceutical Co., Ltd.		18,900		1,291,496
Kamigumi Co., Ltd. (a)		93,000		800,712
Kaneka Corp. (a)		356,000		3,700,356
Kao Corp. (a)		17,700		909,581
KDDI Corp. (a)		272,800		7,084,669
Keihan Electric Railway Co., Ltd.		44,000		294,679
Kewpie Corp. (a)		129,100		3,189,005
Kobayashi Pharmaceutical Co., Ltd. (a)		4,900		402,435

	SHARES		VALUE (Note 5)
Japan - 19.5% (continued)
Konami Holdings Corp.		40,400	$	961,704
Konica Minolta, Inc. (a)		64,400		644,978
Kose Corp. (a)		15,400		1,423,898
Kuraray Co., Ltd.		17,000		205,918
Kurita Water Industries Ltd. (a)		36,800		770,645
Lawson, Inc. (a)		16,600		1,347,438
Mabuchi Motor Co., Ltd. (a)		26,100		1,414,487
Makita Corp. (a)		17,800		1,025,754
Marubeni Corp. (a)		202,600		1,041,586
Maruichi Steel Tube Ltd. (a)		14,300		422,158
McDonald’s Holdings Co., Japan Ltd.		9,800		213,116
Medipal Holdings Corp. (a)		131,500		2,241,286
MEIJI Holdings Co., Ltd. (a)		39,200		3,237,906
Miraca Holdings, Inc. (a)		24,500		1,078,038
Mitsubishi Chemical Holdings Corp. (a)		266,200		1,688,965
Mitsubishi Corp. (a)		148,800		2,475,008
Mitsubishi Electric Corp. (a)		149,000		1,564,030
Mitsubishi Gas Chemical Co., Inc. (a)		57,000		291,471
Mitsubishi Tanabe Pharma Corp. (a)		327,200		5,637,209
Mitsubishi UFJ Financial Group, Inc. (a)		322,300		1,996,406
Mitsubishi UFJ Lease & Finance Co., Ltd. (a)		197,300		1,015,353
Mitsui & Co., Ltd. (a)		282,500		3,356,676
Mixi, Inc.		45,700		1,709,336
Mizuho Financial Group, Inc.		2,483,000		4,966,001
MS&AD Insurance Group Holdings, Inc. (a)		82,100		2,407,556
Murata Manufacturing Co., Ltd. (a)		7,800		1,122,274
Nagoya Railroad Co., Ltd. (a)		408,000		1,698,141
Nexon Co., Ltd. (a)		127,300		2,070,883
NH Foods Ltd. (a)		77,000		1,509,190
NHK Spring Co., Ltd. (a)		249,200		2,498,550
Nippon Express Co., Ltd. (a)		195,000		916,349
Nippon Shokubai Co., Ltd. (a)		20,100		1,398,660
Nippon Telegraph & Telephone Corp. (a)		205,300		8,170,553
Nippon Yusen KK (a)		831,000		2,014,088
Nisshin Seifun Group, Inc. (a)		86,500		1,412,935
Nissin Foods Holdings Co., Ltd. (a)		26,900		1,427,413
Nitori Holdings Co., Ltd. (a)		76,400		6,416,215
NOK Corp. (a)		106,600		2,490,267
Nomura Research Institute Ltd. (a)		38,350		1,472,785
NTT Data Corp. (a)		39,900		1,929,010
Obayashi Corp. (a)		204,000		1,882,349
Obic Co., Ltd.		4,300		227,619
Oracle Corp. Japan (a)		23,600		1,098,817
ORIX Corp. (a)		262,600		3,683,875
Osaka Gas Co., Ltd. (a)		878,000		3,171,283
Otsuka Corp. (a)		64,100		3,148,834
Otsuka Holdings Co., Ltd. (a)		233,700		8,303,113
Park24 Co., Ltd. (a)		104,000		2,519,653
Pola Orbis Holdings, Inc. (a)		26,500		1,746,578
Resona Holdings, Inc. (a)		1,453,600		7,059,025
Rohm Co., Ltd. (a)		32,600		1,651,218
Sankyo Co., Ltd. (a)		71,000		2,650,273
Santen Pharmaceutical Co., Ltd. (a)		215,600		3,549,513
Secom Co., Ltd. (a)		24,200		1,640,028
Seibu Holdings, Inc. (a)		38,000		776,048

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

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AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Japan - 19.5% (continued)
Seiko Epson Corp. (a)		96,200	$	1,481,399
Sekisui Chemical Co., Ltd. (a)		208,000		2,715,704
Sekisui House Ltd.		30,200		507,775
Seven & i Holdings Co., Ltd. (a)		61,600		2,820,329
Seven Bank Ltd. (a)		253,500		1,111,724
Shimadzu Corp. (a)		50,000		836,996
Shimamura Co., Ltd. (a)		53,000		6,206,784
Shimano, Inc. (a)		9,600		1,474,162
Shimizu Corp. (a)		238,000		1,940,708
Shinsei Bank Ltd.		703,000		1,293,724
Sojitz Corp. (a)		951,000		1,995,750
Sugi Holdings Co., Ltd. (a)		16,100		888,281
Sumitomo Chemical Co., Ltd. (a)		248,000		1,424,288
Sumitomo Corp. (a)		119,600		1,219,362
Sumitomo Heavy Industries Ltd. (a)		650,000		2,913,858
Sumitomo Rubber Industries Ltd. (a)		416,100		5,410,703
Sundrug Co., Ltd.		5,100		327,913
Suntory Beverage & Food Ltd.		4,900		214,503
Suzuken Co., Ltd. (a)		42,910		1,630,673
Sysmex Corp. (a)		13,800		885,197
Taisei Corp. (a)		391,000		2,575,505
Taisho Pharmaceutical Holdings Co., Ltd. (a)		9,100		642,692
Takashimaya Co., Ltd. (a)		49,000		441,269
Teijin Ltd. (a)		279,000		950,795
THK Co., Ltd. (a)		23,500		435,551
Toho Gas Co., Ltd. (a)		491,000		3,170,993
Tohoku Electric Power Co., Inc. (a)		260,600		3,257,843
Tokio Marine Holdings, Inc. (a)		64,000		2,471,976
Tokyo Electric Power Co., Inc. †(a)		679,500		3,912,736
Tokyo Gas Co., Ltd. (a)		623,000		2,927,347
TonenGeneral Sekiyu KK (a)		12,000		101,304
Toppan Printing Co., Ltd. (a)		93,000		856,824
Tosoh Corp.		152,000		781,890
Toyo Suisan Kaisha Ltd. (a)		88,600		3,087,936
Toyoda Gosei Co., Ltd. (a)		68,600		1,558,381
Toyota Industries Corp. (a)		6,400		342,230
Tsuruha Holdings, Inc.		3,000		259,938
USS Co., Ltd. (a)		85,100		1,278,698
West Japan Railway Co. (a)		121,000		8,363,888
Yamada Denki Co., Ltd. (a)		291,000		1,256,983
Yamaguchi Financial Group, Inc. (a)		292,000		3,459,385
Yamaha Corp. (a)		26,000		628,014
Yamazaki Baking Co., Ltd. (a)		272,000		6,116,136
Yokohama Rubber Co., Ltd./The (a)		35,700		548,274
				357,236,876
Netherlands - 1.2%
Aalberts Industries NV (a)		10,551		363,542
Boskalis Westminster (a)		54,361		2,217,505
Heineken NV (a)		23,925		2,038,816
Koninklijke Ahold NV (a)		268,461		5,662,768
NN Group NV (a)		163,499		5,768,720
QIAGEN NV †(a)		8,021		217,403
SBM Offshore NV †(a)		98,080		1,239,019
Wolters Kluwer NV (a)		134,773		4,526,153
				22,033,926

	SHARES		VALUE (Note 5)
Norway - 0.5%
DNB ASA (a)		188,255	$	2,319,532
Gjensidige Forsikring ASA (a)		18,849		301,681
Marine Harvest ASA †(a)		37,880		509,669
Orkla ASA (a)		88,996		702,082
Telenor ASA (a)		54,568		909,571
Yara International ASA (a)		114,456		4,922,554
				9,665,089
Portugal - 0.1%
EDP - Energias de Portugal SA		228,929		824,909
NOS SGPS SA		33,262		261,703
				1,086,612
Spain - 1.5%
ACS Actividades de Construccion y Servicios SA (a)		18,021		527,249
Almirall SA		49,209		994,569
Amadeus IT Holding SA, A Shares (a)		25,681		1,131,881
Banco de Sabadell SA		229,123		406,073
Bankinter SA (a)		28,770		204,017
Ebro Foods SA		131,042		2,577,703
Enagas SA (a)		55,874		1,576,090
Endesa SA (a)		250,123		5,024,883
Ferrovial SA (a)		125,283		2,833,052
Gamesa Corp. Tecnologica SA		51,821		887,174
Gas Natural SDG SA (a)		45,323		924,238
Iberdrola SA (a)		801,747		5,683,563
Industria de Diseno Textil SA		17,879		614,218
Mediaset Espana Comunicacion SA		28,082		305,527
Red Electrica Corp. SA (a)		16,280		1,359,863
Tecnicas Reunidas SA (a)		60,426		2,284,695
				27,334,795
Sweden - 1.1%
Assa Abloy AB, Class B (a)		28,559		597,817
BillerudKorsnas AB		11,434		211,605
Boliden AB (a)		176,330		2,954,267
Electrolux AB, Series B (a)		40,891		986,594
Husqvarna AB, B Shares		111,921		738,611
ICA Gruppen AB		96,540		3,505,981
Securitas AB, B Shares (a)		210,826		3,223,724
Skandinaviska Enskilda Banken AB, Class A (a)		129,781		1,364,842
Skanska AB, B Shares (a)		26,986		523,356
SKF AB, B Shares		21,993		355,216
Svenska Cellulosa AB SCA, Class B (a)		99,007		2,869,234
Swedbank AB, A Shares (a)		9,873		217,439
Swedish Match AB (a)		10,825		382,527
Tele2 AB, B Shares (a)		98,009		977,393
TeliaSonera AB		223,665		1,110,695
			20,019,301
Switzerland - 3.6%
Adecco SA †(a)		19,680		1,346,953
Baloise Holding AG (a)		7,134		904,152
Barry Callebaut AG †(a)		443		481,196
Bucher Industries AG (a)		2,384		537,297
Chocoladefabriken Lindt & Spruengli AG (a)		81		505,821

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES		VALUE (Note 5)
Switzerland - 3.6% (continued)
DKSH Holding AG †(a)		3,291	$	206,986
Flughafen Zuerich AG (a)		1,328		996,414
Galenica AG (a)		4,122		6,449,075
GAM Holding AG †(a)		15,042		248,984
Geberit AG (a)		613		207,625
Georg Fischer AG (a)		608		412,773
Givaudan SA †(a)		1,489		2,702,479
Helvetia Holding AG (a)		1,429		804,968
Kuehne + Nagel International AG		2,099		287,561
Lonza Group AG †(a)		22,102		3,594,557
Nestle SA (a)		83,587		6,205,102
Novartis AG (a)		101,682		8,746,612
Partners Group Holding AG (a)		2,498		898,366
Roche Holding AG (a)		12,408		3,438,361
Schindler Holding AG (a)		3,884		649,789
Sonova Holding AG (a)		1,671		212,306
Straumann Holding AG (a)		2,557		776,069
Swiss Life Holding AG †(a)		13,611		3,666,121
Swiss Re AG (a)		154,114		15,051,745
Swisscom AG (a)		6,652		3,328,689
Zurich Insurance Group AG †(a)		9,781		2,512,739
				65,172,740
United Kingdom - 0.8%
CNH Industrial NV		29,033		198,845
Fiat Chrysler Automobiles NV †(a)		262,613		3,647,132
RELX NV (a)		75,276		1,267,821
Unilever NV CVA (a)		196,657		8,566,036
				13,679,834
TOTAL COMMON STOCKS (cost $655,719,614)				671,441,026
PREFERRED STOCKS - 0.4%
Germany - 0.4%
Henkel AG & Co. KGaA (a) (cost $7,476,249)		65,266		7,283,817
MONEY MARKET FUNDS - 60.8%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% (b)		3,833,739		3,833,739
Dreyfus Treasury Cash Management, Class I, 0.090% (b)		15,334,957		15,334,957
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(b)(c)		786,442,101		786,442,101
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% ^(b)(c)		286,480,085		286,480,085
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% (b)		19,168,697		19,168,697
TOTAL MONEY MARKET FUNDS (cost $1,111,259,579)				1,111,259,579

SHORT-TERM INVESTMENTS - 20.2%	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Bill, 0.536%, 6/9/2016 ^(d)	$	23,325		$	23,279,260
U.S. Treasury Bill, 0.327%, 5/19/2016 ^(d)		201,548			201,293,445
U.S. Treasury Bill, 0.342%, 5/12/2016 ^(d)		12,411			12,396,616
U.S. Treasury Bill, 0.258%, 3/17/2016 ^(d)		2,160			2,159,562
U.S. Treasury Bill, 0.145%, 4/28/2016 ^(d)		3,645			3,641,945
U.S. Treasury Bill, 0.582%, 6/16/2016 ^(d)		8,916			8,897,196
U.S. Treasury Bill, 0.066%, 4/7/2016 ^(d)		45,478			45,460,172
U.S. Treasury Bill, 0.516%, 6/23/2016 ^(d)		10,201			10,178,323
U.S. Treasury Bill, 0.345%, 5/26/2016 (d)		2,056			2,052,826
U.S. Treasury Bill, 0.263%, 3/3/2016 ^(d)		8,549			8,547,496
U.S. Treasury Bill, 0.113%, 3/24/2016 ^(d)		7,888			7,884,892
U.S. Treasury Bill, 0.238%, 2/18/2016 ^(d)		10,330			10,328,554
U.S. Treasury Bill, 0.241%, 2/11/2016 ^(d)		33,609			33,604,328
TOTAL SHORT-TERM INVESTMENTS (cost $369,708,983)					369,724,615
TOTAL INVESTMENTS IN SECURITIES, AT VALUE (cost $2,144,164,425)					2,159,709,037
SECURITIES SOLD SHORT - (26.7)%		SHARES
COMMON STOCKS - (26.5)%
Austria - (0.1)%
ams AG		(40,628	)		(1,358,137	)
Belgium - (0.4)%
Anheuser-Busch InBev SA/NV		(16,635	)		(2,070,180	)
Telenet Group Holding NV †		(25,308	)		(1,367,755	)
UCB SA		(42,199	)		(3,809,013	)
					(7,246,948	)
Denmark - (0.1)%
Carlsberg A/S, Class B		(2,460	)		(217,936	)
Novozymes A/S, B Shares		(18,111	)		(867,134	)
					(1,085,070	)
Finland - (0.8)%
Kone OYJ, Class B		(15,001	)		(635,158	)
Nokia OYJ		(1,188,350	)		(8,407,008	)
Nokian Renkaat OYJ		(173,207	)		(6,183,711	)
Wartsila OYJ Abp		(5,392	)		(246,188	)
					(15,472,065	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
Germany - (3.9)%
adidas AG		(42,959	)	$	(4,169,561	)
BASF SE		(34,405	)		(2,620,906	)
Bayer AG		(46,664	)		(5,827,885	)
Bayerische Motoren Werke AG		(61,276	)		(6,455,520	)
Beiersdorf AG		(29,160	)		(2,650,393	)
Bilfinger SE		(70,691	)		(3,322,090	)
Commerzbank AG †		(282,484	)		(2,914,834	)
Continental AG		(4,465	)		(1,080,128	)
Deutsche Bank AG		(56,326	)		(1,367,859	)
Deutsche Telekom AG		(173,618	)		(3,118,292	)
E.ON SE		(894,471	)		(8,588,717	)
HUGO BOSS AG		(2,979	)		(245,795	)
Infineon Technologies AG		(89,165	)		(1,299,911	)
LANXESS AG		(48,807	)		(2,245,963	)
METRO AG		(43,236	)		(1,377,384	)
Rheinmetall AG		(18,323	)		(1,217,964	)
Rocket Internet SE 144A †(e)		(36,539	)		(1,113,108	)
RWE AG		(753,341	)		(9,497,660	)
Salzgitter AG		(48,555	)		(1,186,551	)
SAP SE		(14,836	)		(1,177,284	)
Siemens AG		(18,882	)		(1,826,756	)
STADA Arzneimittel AG		(27,526	)		(1,109,997	)
Telefonica Deutschland Holding AG		(221,563	)		(1,168,675	)
ThyssenKrupp AG		(156,315	)		(3,098,690	)
Wacker Chemie AG		(3,819	)		(319,309	)
Wirecard AG		(40,939	)		(2,046,338	)
Zalando SE 144A †(e)		(16,455	)		(649,881	)
					(71,697,451	)
Italy - (0.5)%
Azimut Holding SpA		(59,055	)		(1,467,883	)
Banca Mediolanum SpA		(297,936	)		(2,366,846	)
Banca Popolare dell’Emilia Romagna SC		(434,681	)		(3,297,116	)
Banco Popolare SC †		(31,927	)		(439,964	)
Mediaset SpA		(354,200	)		(1,467,767	)
				(9,039,576)
Japan - (14.4)%
Acom Co., Ltd. †		(514,900	)		(2,424,670	)
Advantest Corp.		(169,000	)		(1,401,892	)
Aeon Co., Ltd.		(240,800	)		(3,710,151	)
AEON Financial Service Co., Ltd.		(84,800	)		(1,894,324	)
Amada Holdings Co., Ltd.		(111,400	)		(1,063,056	)
Asahi Glass Co., Ltd.		(157,000	)		(899,430	)
Asics Corp.		(61,900	)		(1,284,271	)
Calbee, Inc.		(10,400	)		(439,182	)
Chiyoda Corp.		(191,000	)		(1,450,375	)
Chugai Pharmaceutical Co., Ltd.		(93,200	)		(3,248,637	)
Citizen Holdings Co., Ltd.		(60,500	)		(434,830	)
Credit Saison Co., Ltd.		(125,100	)		(2,464,746	)
Dai-ichi Life Insurance Co., Ltd./The		(178,200	)		(2,964,836	)
Daikin Industries Ltd.		(44,100	)		(3,211,436	)
Daiwa Securities Group, Inc.		(220,000	)		(1,345,013	)
Denso Corp.		(117,300	)		(5,605,239	)
Dentsu, Inc.		(32,600	)		(1,783,618	)
Eisai Co., Ltd.		(3,300	)		(218,298	)
FANUC Corp.		(19,100	)		(3,290,736	)

	SHARES			VALUE (Note 5)
Japan - (14.4)% (continued)
Fast Retailing Co., Ltd.		(19,000	)	$	(6,646,418	)
Hamamatsu Photonics KK		(34,000	)		(932,117	)
Hirose Electric Co., Ltd.		(7,400	)		(895,934	)
Hitachi Construction Machinery Co., Ltd.		(75,100	)		(1,167,978	)
Hitachi Ltd.		(624,000	)		(3,535,818	)
Honda Motor Co., Ltd.		(49,700	)		(1,588,488	)
IHI Corp.		(2,775,000	)		(7,660,384	)
Inpex Corp.		(412,600	)		(4,022,401	)
Isetan Mitsukoshi Holdings Ltd.		(50,200	)		(654,660	)
Japan Airport Terminal Co., Ltd.		(55,500	)		(2,456,933	)
Japan Display, Inc. †		(1,558,200	)		(4,489,580	)
Japan Tobacco, Inc.		(57,700	)		(2,118,385	)
JFE Holdings, Inc.		(133,400	)		(2,094,700	)
JGC Corp.		(128,000	)		(1,959,197	)
Kajima Corp.		(110,000	)		(654,659	)
Kakaku.com, Inc.		(266,900	)		(5,249,817	)
Kansai Electric Power Co., Inc./The †		(168,600	)		(2,021,480	)
Kansai Paint Co., Ltd.		(68,300	)		(1,035,275	)
Kawasaki Heavy Industries Ltd.		(342,000	)		(1,265,364	)
Keikyu Corp.		(96,000	)		(793,272	)
Keio Corp.		(37,000	)		(319,522	)
Kikkoman Corp.		(138,000	)		(4,781,346	)
Kintetsu Group Holdings Co., Ltd.		(346,000	)		(1,406,762	)
Kobe Steel Ltd.		(1,207,000	)		(1,311,425	)
Koito Manufacturing Co., Ltd.		(25,300	)		(1,037,488	)
Komatsu Ltd.		(123,700	)		(2,024,035	)
Kubota Corp.		(99,000	)		(1,529,416	)
Kyocera Corp.		(16,200	)		(752,337	)
Kyowa Hakko Kirin Co., Ltd.		(81,000	)		(1,274,507	)
Kyushu Electric Power Co., Inc. †		(717,400	)		(7,819,019	)
LIXIL Group Corp.		(34,600	)		(768,456	)
M3, Inc.		(39,400	)		(816,927	)
Marui Group Co., Ltd.		(130,600	)		(2,125,203	)
Mazda Motor Corp.		(314,200	)		(6,483,441	)
Minebea Co., Ltd.		(174,000	)		(1,489,783	)
MISUMI Group, Inc.		(36,400	)		(502,817	)
Mitsubishi Heavy Industries Ltd.		(697,000	)		(3,047,634	)
Mitsubishi Logistics Corp.		(212,000	)		(2,793,349	)
Mitsubishi Materials Corp.		(581,000	)		(1,829,946	)
Mitsubishi Motors Corp.		(83,400	)		(705,609	)
Mitsui Chemicals, Inc.		(127,000	)		(563,246	)
Mitsui OSK Lines Ltd.		(1,844,000	)		(4,651,080	)
Nabtesco Corp.		(10,800	)		(219,403	)
NGK Insulators Ltd.		(65,000	)		(1,465,113	)
NGK Spark Plug Co., Ltd.		(221,600	)		(5,834,388	)
Nidec Corp.		(28,200	)		(2,044,951	)
Nintendo Co., Ltd.		(23,200	)		(3,190,235	)
Nippon Electric Glass Co., Ltd.		(423,000	)		(2,131,993	)
Nippon Paint Holdings Co., Ltd.		(183,600	)		(4,443,494	)
Nippon Steel & Sumitomo Metal Corp.		(85,900	)		(1,699,305	)
Nissan Motor Co., Ltd.		(219,400	)		(2,297,281	)
Nitto Denko Corp.		(29,900	)		(2,182,870	)
Nomura Holdings, Inc.		(390,400	)		(2,174,550	)
NSK Ltd.		(43,200	)		(469,408	)
Odakyu Electric Railway Co., Ltd.		(144,000	)		(1,550,420	)

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

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260

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
Japan - (14.4)% (continued)
Olympus Corp.		(85,200	)	$	(3,354,211	)
Omron Corp.		(27,300	)		(910,371	)
Ono Pharmaceutical Co., Ltd.		(27,700	)		(4,939,234	)
Oriental Land Co., Ltd.		(46,700	)		(2,825,185	)
Panasonic Corp.		(163,300	)		(1,655,456	)
Pigeon Corp.		(31,400	)		(761,767	)
Rakuten, Inc.		(495,300	)		(5,704,744	)
Recruit Holdings Co., Ltd.		(71,400	)		(2,098,716	)
Ricoh Co., Ltd.		(41,200	)		(424,228	)
Sega Sammy Holdings, Inc.		(20,600	)		(192,679	)
Shikoku Electric Power Co., Inc.		(124,800	)		(1,949,534	)
Shin-Etsu Chemical Co., Ltd.		(35,200	)		(1,913,678	)
Shionogi & Co., Ltd.		(12,300	)		(556,332	)
Shiseido Co., Ltd.		(20,400	)		(423,272	)
Shizuoka Bank Ltd./The		(177,000	)		(1,716,552	)
SoftBank Group Corp.		(76,600	)		(3,866,033	)
Sompo Japan Nipponkoa Holdings, Inc.		(14,700	)		(482,670	)
Sony Corp.		(81,400	)		(2,000,551	)
Sony Financial Holdings, Inc.		(33,500	)		(599,223	)
Stanley Electric Co., Ltd.		(60,400	)		(1,325,030	)
Sumco Corp.		(371,900	)		(2,805,798	)
Sumitomo Mitsui Trust Holdings, Inc.		(721,000	)		(2,730,666	)
Suruga Bank Ltd.		(17,900	)		(368,894	)
Suzuki Motor Corp.		(68,900	)		(2,093,445	)
T&D Holdings, Inc.		(55,000	)		(725,644	)
Taiheiyo Cement Corp.		(167,000	)		(487,692	)
Taiyo Nippon Sanso Corp.		(170,500	)		(1,541,961	)
TDK Corp.		(3,000	)		(192,132	)
Terumo Corp.		(81,400	)		(2,522,865	)
Tobu Railway Co., Ltd.		(199,000	)		(981,552	)
Toho Co., Ltd.		(7,700	)		(213,076	)
Tokyo Electron Ltd.		(32,300	)		(1,956,890	)
Tokyu Corp.		(205,000	)		(1,619,991	)
Toray Industries, Inc.		(83,000	)		(771,279	)
Toshiba Corp. †		(2,782,000	)		(5,717,635	)
TOTO Ltd.		(15,000	)		(526,980	)
Toyo Seikan Group Holdings Ltd.		(181,800	)		(3,372,235	)
Toyota Boshoku Corp.		(18,200	)		(366,319	)
Toyota Motor Corp.		(33,200	)		(2,044,423	)
Toyota Tsusho Corp.		(19,900	)		(465,517	)
Trend Micro, Inc.		(10,400	)		(422,002	)
Yahoo Japan Corp.		(1,350,800	)		(5,490,873	)
Yakult Honsha Co., Ltd.		(89,400	)		(4,375,656	)
Yamaha Motor Co., Ltd.		(101,300	)		(2,270,671	)
Yamato Holdings Co., Ltd.		(198,100	)		(4,197,369	)
Yaskawa Electric Corp.		(383,900	)		(5,223,608	)
Yokogawa Electric Corp.		(380,700	)		(4,578,276	)
					(263,877,274	)
Luxembourg - (0.7)%
APERAM SA †		(14,991	)		(533,004	)
ArcelorMittal		(1,979,044	)		(8,349,990	)
Millicom International Cellular SA SDR		(21,006	)		(1,205,326	)
Tenaris SA		(205,187	)		(2,429,691	)
					(12,518,011	)

	SHARES			VALUE (Note 5)
Netherlands - (1.3)%
Aegon NV		(96,087	)	$	(543,416	)
ASML Holding NV		(120,649	)		(10,719,846	)
Delta Lloyd NV		(266,926	)		(1,573,512	)
Fugro NV CVA †		(230,231	)		(3,776,263	)
Koninklijke DSM NV		(8,891	)		(445,843	)
Koninklijke KPN NV		(992,138	)		(3,752,628	)
Koninklijke Philips NV		(35,064	)		(894,983	)
Koninklijke Vopak NV		(7,597	)		(327,163	)
Randstad Holding NV		(17,385	)		(1,082,589	)
					(23,116,243	)
Norway - (0.3)%
DNO ASA †		(372,542	)		(251,446	)
Norsk Hydro ASA		(195,814	)		(727,860	)
Schibsted ASA, B Shares †		(13,231	)		(421,113	)
Schibsted ASA, Class A		(90,961	)		(2,990,492	)
Statoil ASA		(75,255	)		(1,049,565	)
					(5,440,476	)
Portugal - (0.1)%
Banco Espirito Santo SA (3)†(f)		(216,618	)		(2	)
Jeronimo Martins SGPS SA		(156,031	)		(2,030,336	)
Sonae SGPS SA		(184,377	)		(209,544	)
					(2,239,882	)
Spain - (1.7)%
Abertis Infraestructuras SA		(60,787	)		(950,671	)
Acciona SA		(8,461	)		(724,550	)
Aena SA 144A †(e)		(35,798	)		(4,099,200	)
Atresmedia Corp. de Medios de Comunicacion SA		(30,293	)		(322,685	)
Banco Bilbao Vizcaya Argentaria SA		(403,034	)		(2,944,884	)
Banco Popular Espanol SA		(471,434	)		(1,553,321	)
Banco Santander SA		(1,837,157	)		(9,037,658	)
Bankia SA		(2,203,903	)		(2,564,719	)
CaixaBank SA		(645,678	)		(2,247,355	)
Cellnex Telecom SAU 144A (e)		(52,366	)		(979,085	)
Distribuidora Internacional de Alimentacion SA †		(112,575	)		(663,978	)
Mapfre SA		(149,933	)		(375,307	)
Telefonica SA		(289,402	)		(3,210,605	)
Zardoya Otis SA		(119,240	)		(1,394,564	)
					(31,068,582	)
Sweden - (0.5)%
Alfa Laval AB		(30,307	)		(553,287	)
Atlas Copco AB, A Shares		(46,283	)		(1,135,082	)
Elekta AB, B Shares		(98,648	)		(838,198	)
Getinge AB, B Shares		(32,957	)		(863,317	)
Hennes & Mauritz AB, B Shares		(11,824	)		(420,583	)
Hexagon AB, B Shares		(13,424	)		(496,592	)
Sandvik AB		(126,186	)		(1,099,964	)
Telefonaktiebolaget LM Ericsson, B Shares		(443,503	)		(4,275,948	)
Volvo AB, B Shares		(22,854	)		(211,915	)
					(9,894,886	)

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

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261

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

	SHARES			VALUE (Note 5)
Switzerland - (1.7)%
Aryzta AG †		(46,502	)	$	(2,352,481	)
Cie Financiere Richemont SA		(97,891	)		(7,006,347	)
Clariant AG †		(11,341	)		(215,036	)
Credit Suisse Group AG †		(154,861	)		(3,336,010	)
Dufry AG †		(8,173	)		(972,442	)
EMS-Chemie Holding AG		(509	)		(224,009	)
LafargeHolcim Ltd. †		(126,171	)		(6,317,991	)
SGS SA		(844	)		(1,604,022	)
Sika AG		(280	)		(1,011,863	)
STMicroelectronics NV		(198,828	)		(1,337,390	)
Sunrise Communications Group AG 144A †(e)		(5,402	)		(318,437	)
Swatch Group AG/The		(9,485	)		(3,293,809	)
Syngenta AG		(2,115	)		(827,818	)
UBS Group AG		(113,746	)		(2,206,612	)
					(31,024,267	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $504,968,615)					(485,078,868	)
PREFERRED STOCKS - (0.2)%
Germany - (0.2)%
Volkswagen AG (proceeds $2,989,371)		(22,583	)		(3,260,520	)
TOTAL SECURITIES SOLD SHORT, AT VALUE (proceeds $507,957,986)					(488,339,388	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 91.4% (cost $1,636,206,439)					1,671,369,649
OTHER ASSETS IN EXCESS OF LIABILITIES - 8.6% (g)				157,377,770
NET ASSETS - 100.0%				$	1,828,747,419

† 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 December 31, 2015, the value of these securities was $542,453,737.

(b) Represents annualized seven-day yield as of the close of the reporting period.

(c) All or 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) 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.

(f) Security fair valued as of December 31, 2015 using procedures approved by the Board of Trustees. The total value of positions fair valued was $(2) or 0.0% of total net assets.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

CVA - Dutch Certification

SDR - Special Drawing Rights

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(12,208,856	)		(0.7	)%
Consumer Staples		52,484,534			2.9
Energy		(1,943,984	)		(0.1	)
Financials		72,457,887			4.0
Health Care		58,294,580			3.2
Industrials		42,207,794			2.3
Information Technology		(42,360,507	)		(2.3	)
Materials		(4,864,265	)		(0.3	)
Telecommunication Services		13,061,760			0.7
Utilities		13,256,512			0.7
Money Market Funds		1,111,259,579			60.8
Short-Term Investments		369,724,615			20.2
Total Investments In Securities, At Value		1,671,369,649			91.4
Other Assets in Excess of Liabilities (g)		157,377,770			8.6
Net Assets	$	1,828,747,419			100.0	%

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

AQR Funds Annual Report December 2015

262

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	BIST 30 January Futures	02/2016	TRY		4,300,298			$(45,096	)
Bank of America	Bovespa Index January Futures	02/2016	BRL		(154,095,271	)		1,770,687
Bank of America	CNX Nifty Index January Futures	01/2016	INR		(297,326,513	)		(13,236	)
CitiBank	Corn March Futures^	02/2016	USD		10,409,392			(418,205	)
Deutsche Bank	Corn March Futures^	02/2016	USD		21,461,513			(958,951	)
Macquarie Capital	Corn March Futures^	02/2016	USD		5,157,696			(206,945	)
Societe Generale	Corn March Futures^	02/2016	USD		16,654,088			(671,775	)
Bank of America	Hang Seng Index January Futures	01/2016	HKD		496,765,869			(489,034	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		(78,277,373	)		207,437
Bank of America	KOSPI Index 200 January Futures	03/2016	KRW		42,749,195,472			143,121
Bank of America	MSCI Taiwan Stock Index January Futures	01/2016	USD		8,392,601			(82,481	)
Bank of America	SGX S&P CNX Nifty Index January Futures	01/2016	USD		(4,137,656	)		(11,200	)
Deutsche Bank	Soybean March Futures^	02/2016	USD		(3,870,010	)		24,098
Deutsche Bank	Soybean March Futures^	02/2016	USD		23,416,485			(600,285	)
Macquarie Capital	Soybean March Futures^	02/2016	USD		14,502,597			(328,897	)
Societe Generale	Soybean March Futures^	02/2016	USD		10,206,076			(223,989	)
Bank of America	Swiss Market Index January Futures	03/2016	CHF		(104,502,412	)		(3,095,851	)
Bank of America	Taiwan Stock Exchange January Futures	01/2016	TWD		66,878,204			80,314
Bank of America	Tel Aviv 25 Index January Futures	01/2016	ILS		33,055,029			109,327
Goldman Sachs	WIG20 Index January Futures	03/2016	PLN		4,978,754			57,380
								$(4,753,581	)

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

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
71	J.P. Morgan	KOSPI Index 200 Futures		03/2016		$7,236,080		$7,279,838		$43,758
456	Goldman Sachs	Brent Crude Futures^		01/2016		17,019,864		17,177,520		157,656
81	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		1,496,500		1,452,938		(43,562	)
264	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		28,475,309		27,989,280		(486,029	)
4	J.P. Morgan	LME Copper Futures^		01/2016		515,918		470,575		(45,343	)
2	J.P. Morgan	LME Copper Futures^		01/2016		257,503		235,310		(22,193	)
30	J.P. Morgan	LME Copper Futures^		01/2016		4,004,707		3,531,675		(473,032	)
10	J.P. Morgan	LME Copper Futures^		01/2016		1,317,940		1,177,338		(140,602	)
5	J.P. Morgan	LME Copper Futures^		01/2016		657,984		588,725		(69,259	)
1	J.P. Morgan	LME Copper Futures^		01/2016		131,292		117,779		(13,513	)
16	J.P. Morgan	LME Copper Futures^		02/2016		1,999,021		1,884,348		(114,673	)
76	J.P. Morgan	LME Copper Futures^		02/2016		9,460,911		8,951,375		(509,536	)
64	J.P. Morgan	LME Copper Futures^		02/2016		7,880,699		7,538,000		(342,699	)
45	J.P. Morgan	LME Copper Futures^		02/2016		5,535,860		5,300,156		(235,704	)
18	J.P. Morgan	LME Copper Futures^		02/2016		2,188,419		2,120,062		(68,357	)

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

AQR Funds Annual Report December 2015

263

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
10	J.P. Morgan	LME Copper Futures^		02/2016		$ 1,183,587			$ 1,177,813			$ (5,774	)
52	J.P. Morgan	LME Copper Futures^		02/2016		6,062,053			6,124,625			62,572
20	J.P. Morgan	LME Copper Futures^		02/2016		2,313,374			2,355,555			42,181
464	J.P. Morgan	LME Copper Futures^		03/2016		52,690,767			54,615,700			1,924,933
1,015	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		71,493,920			70,050,225			(1,443,695	)
384	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		16,661,760			16,593,600			(68,160	)
147	Morgan Stanley and Co., International PLC	WTI Crude Futures^		01/2016		5,450,430			5,444,880			(5,550	)
2,358	J.P. Morgan	BIST 30 Futures		02/2016		7,446,252			7,201,991			(244,261	)
2,294	Barclays Capital	CAC40 Index Futures		01/2016		114,901,550			115,638,012			736,462
63	Barclays Capital	FTSE Bursa Malaysia KLCI Index Futures		01/2016		1,230,357			1,238,797			8,440
514	Barclays Capital	FTSE/JSE Top 40 Index Futures		03/2016		14,618,637			15,379,119			760,482
507	Barclays Capital	Hang Seng Index Futures		01/2016		72,033,947			71,666,441			(367,506	)
423	Barclays Capital	IBEX 35 Index Futures		01/2016		44,226,887			43,791,948			(434,939	)
275	Barclays Capital	KOSPI Index 200 Futures		03/2016		27,953,099			28,196,559			243,460
60	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures		03/2016		1,492,863			1,501,836			8,973
261	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		7,994,507			7,944,840			(49,667	)
435	Barclays Capital	S&P 500 E-Mini Futures		03/2016		43,868,600			44,269,950			401,350
127	Barclays Capital	SET50 Index Futures		03/2016		562,740			560,868			(1,872	)
2,078	Barclays Capital	TOPIX Index Futures		03/2016		271,596,129			267,540,663			(4,055,466	)
313	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		387,870,752			388,115,313			244,561
3,897	J.P. Morgan	90-Day EURODollar Futures		06/2016		966,282,854			965,481,750			(801,104	)
5,077	J.P. Morgan	90-Day EURODollar Futures		09/2016		1,258,223,239			1,255,732,487			(2,490,752	)
2,221	J.P. Morgan	90-Day EURODollar Futures		12/2016		548,881,034			548,420,425			(460,609	)
813	J.P. Morgan	Australia 3-Year Bond Futures		03/2016		65,737,505			66,036,830			299,325
2,427	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		243,148,888			247,295,461			4,146,573
74	Goldman Sachs	Euro - Bobl Futures		03/2016		10,592,684			10,508,416			(84,268	)
5,183	Goldman Sachs	Euro - SCHATZ Futures		03/2016		629,401,016			628,094,030			(1,306,986	)
1,174	Goldman Sachs	Long Gilt Futures		03/2016		203,325,299			202,095,097			(1,230,202	)
111	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		13,973,764			13,975,593			1,829
6,776	Morgan Stanley and Co., International PLC	U.S. Treasury 2-Year Note Futures		03/2016		1,474,238,196			1,471,980,125			(2,258,071	)
30	Morgan Stanley and Co., International PLC	U.S. Treasury 5-Year Note Futures		03/2016		3,557,166			3,549,610			(7,556	)
						6,657,191,863			6,648,393,478			(8,798,385	)
Short Contracts:
4	J.P. Morgan	LME Copper Futures^		01/2016		$(515,988	)		$(470,575	)		$45,413
2	J.P. Morgan	LME Copper Futures^		01/2016		(259,294	)		(235,310	)		23,984
30	J.P. Morgan	LME Copper Futures^		01/2016		(3,989,927	)		(3,531,675	)		458,252
10	J.P. Morgan	LME Copper Futures^		01/2016		(1,315,701	)		(1,177,338	)		138,363
5	J.P. Morgan	LME Copper Futures^		01/2016		(659,019	)		(588,725	)		70,294
1	J.P. Morgan	LME Copper Futures^		01/2016		(130,673	)		(117,779	)		12,894

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

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264

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
16	J.P. Morgan	LME Copper Futures^		02/2016		$ (2,000,761	)		$ (1,884,348	)		$ 116,413
76	J.P. Morgan	LME Copper Futures^		02/2016		(9,461,814	)		(8,951,375	)		510,439
64	J.P. Morgan	LME Copper Futures^		02/2016		(7,887,843	)		(7,538,000	)		349,843
45	J.P. Morgan	LME Copper Futures^		02/2016		(5,540,492	)		(5,300,156	)		240,336
18	J.P. Morgan	LME Copper Futures^		02/2016		(2,173,456	)		(2,120,063	)		53,393
10	J.P. Morgan	LME Copper Futures^		02/2016		(1,186,509	)		(1,177,812	)		8,697
52	J.P. Morgan	LME Copper Futures^		02/2016		(6,086,150	)		(6,124,625	)		(38,475	)
20	J.P. Morgan	LME Copper Futures^		02/2016		(2,320,333	)		(2,355,555	)		(35,222	)
2,328	Morgan Stanley and Co., International PLC	Natural Gas Futures^		01/2016		(49,057,182	)		(54,405,360	)		(5,348,178	)
761	Barclays Capital	Amsterdam Index Futures		01/2016		(71,676,609	)		(73,083,469	)		(1,406,860	)
215	Barclays Capital	DAX Index Futures		03/2016		(60,651,022	)		(62,922,281	)		(2,271,259	)
19	Barclays Capital	Euro Stoxx 50 Index		03/2016		(672,935	)		(677,675	)		(4,740	)
1,077	Barclays Capital	FTSE 100 Index Futures		03/2016		(95,815,205	)		(98,406,475	)		(2,591,270	)
293	Barclays Capital	FTSE/MIB Index Futures		03/2016		(33,604,329	)		(34,137,566	)		(533,237	)
419	Barclays Capital	H-SHARES Index Futures		01/2016		(26,652,741	)		(26,234,637	)		418,104
211	Barclays Capital	MSCI Singapore Index Futures		01/2016		(4,797,720	)		(4,815,544	)		(17,824	)
5,405	Barclays Capital	OMXS30 Index Futures		01/2016		(91,594,167	)		(92,714,404	)		(1,120,237	)
892	Barclays Capital	S&P/Toronto Stock Exchange 60 Index Futures		03/2016		(97,181,522	)		(98,102,594	)		(921,072	)
794	Barclays Capital	SGX S&P CNX Nifty Index Futures		01/2016		(12,588,481	)		(12,621,424	)		(32,943	)
80	Barclays Capital	SPI 200 Index Futures		03/2016		(7,481,742	)		(7,661,551	)		(179,809	)
2,855	J.P. Morgan	3-Month Euro Euribor Futures		06/2016		(775,966,661	)		(777,064,001	)		(1,097,340	)
2,817	J.P. Morgan	3-Month Euro Euribor Futures		09/2016		(766,118,531	)		(766,759,559	)		(641,028	)
1,765	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		(480,469,459	)		(480,367,603	)		101,856
2,120	J.P. Morgan	90-Day Sterling Futures		06/2016		(387,908,758	)		(387,772,089	)		136,669
3,920	J.P. Morgan	90-Day Sterling Futures		09/2016		(716,480,324	)		(716,073,477	)		406,847
1,308	J.P. Morgan	90-Day Sterling Futures		12/2016		(238,864,201	)		(238,573,173	)		291,028
4,350	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		(400,519,234	)		(402,229,019	)		(1,709,785	)
110	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		03/2016		(19,687,819	)		(19,716,250	)		(28,431	)
266	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		06/2016		(47,590,451	)		(47,694,298	)		(103,847	)
107	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		09/2016		(19,195,382	)		(19,186,267	)		9,115
2,229	Goldman Sachs	Euro - Bund Futures		03/2016		(384,907,705	)		(382,539,993	)		2,367,712
344	Goldman Sachs	Euro - Buxl 30-Year Bond Futures		03/2016		(57,779,997	)		(56,599,678	)		1,180,319
570	Morgan Stanley and Co., International PLC	U.S. Treasury Long Bond Futures		03/2016		(87,545,843	)		(87,637,500	)		(91,657	)
						(4,978,335,980	)		(4,989,569,223	)		(11,233,243	)
						$1,678,855,883			$1,658,824,255			$(20,031,628	)

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

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

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265

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		35,764,995		$25,776,380		$25,968,881		$192,501
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		35,764,994		25,776,380		25,968,881		192,501
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		36,000,000		9,014,997		8,888,602		(126,395	)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		36,000,000		9,015,020		8,888,602		(126,418	)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		72,079,175		53,893,266		52,101,662		(1,791,604	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		72,079,175		53,893,265		52,101,661		(1,791,604	)
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		11,765,000		11,872,756		11,782,639		(90,117	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		5,957,000		6,021,277		5,965,931		(55,346	)
Euro, Expiring 03/16/16	CitiBank	EUR		18,264,814		19,447,569		19,885,758		438,189
Euro, Expiring 03/16/16	Credit Suisse International	EUR		18,264,814		19,447,489		19,885,758		438,269
British Pound, Expiring 03/16/16	CitiBank	GBP		22,416,500		33,641,774		33,050,383		(591,391	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		22,416,500		33,641,774		33,050,382		(591,392	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		5,506,500		710,792		710,919		127
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		5,506,500		710,792		710,919		127
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		990,500,000		3,418,624		3,409,204		(9,420	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		990,500,000		3,418,630		3,409,204		(9,426	)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		10,500,000		2,736,263		2,702,552		(33,711	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		10,500,000		2,733,717		2,702,552		(31,165	)
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		1,385,124,345		20,447,893		20,690,460		242,567
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		1,385,124,345		20,447,894		20,690,460		242,566
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		14,821,973,178		121,022,167		123,528,147		2,505,980
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		14,821,973,178		121,022,166		123,528,147		2,505,981
Korean Won, Expiring 03/16/16*	CitiBank	KRW		3,850,000,000		3,289,082		3,278,175		(10,907	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		3,850,000,000		3,289,077		3,278,175		(10,902	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		17,500,000		1,040,491		1,010,159		(30,332	)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		17,500,000		1,040,257		1,010,159		(30,098	)
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		2,880,000		331,863		325,136		(6,727	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		69,943,929			$ 46,239,730			$ 47,627,575			$ 1,387,845
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		69,943,928			46,239,730			47,627,575			1,387,845
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		50,495,225			12,661,943			12,854,575			192,632
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		50,495,225			12,662,081			12,854,575			192,494
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		51,375,500			6,053,673			6,098,797			45,124
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		51,375,500			6,053,673			6,098,797			45,124
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		9,050,000			6,433,821			6,367,584			(66,237	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		9,050,000			6,433,834			6,367,584			(66,250	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		142,456,475			47,764,902			47,867,547			102,645
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		142,456,475			47,763,630			47,867,546			103,916
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		175,368,158			5,366,190			5,343,267			(22,923	)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		175,368,158			5,366,255			5,343,267			(22,988	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		71,161,496			4,762,058			4,540,373			(221,685	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		71,161,496			4,762,073			4,540,373			(221,700	)
							$865,665,248			$869,922,943			$4,257,695
SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		(2,950,000	)		$(2,116,572	)		$(2,141,988	)		$(25,416	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		(2,950,000	)		(2,116,589	)		(2,141,988	)		(25,399	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(54,164,715	)		(13,658,243	)		(13,373,572	)		284,671
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(54,164,715	)		(13,658,368	)		(13,373,572	)		284,796
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(444,500	)		(333,677	)		(321,302	)		12,375
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(444,500	)		(333,677	)		(321,302	)		12,375
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(150,429,612	)		(150,752,538	)		(150,655,150	)		97,388
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(139,876,610	)		(140,031,371	)		(140,086,327	)		(54,956	)
Danish Krone, Expiring 03/16/16	CitiBank	DKK		(81,387,212	)		(11,939,483	)		(11,877,749	)		61,734
Danish Krone, Expiring 03/16/16	Credit Suisse International	DKK		(49,471,211	)		(7,205,373	)		(7,219,889	)		(14,516	)
Euro, Expiring 03/16/16	CitiBank	EUR		(10,952,500	)		(11,741,226	)		(11,924,499	)		(183,273	)

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

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267

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(10,364,500	)		$ (11,101,679	)		$ (11,284,316	)		$ (182,637	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(32,762,376	)		(49,153,524	)		(48,304,109	)		849,415
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(32,762,375	)		(49,153,915	)		(48,304,108	)		849,807
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		(23,099,000	)		(2,981,622	)		(2,982,205	)		(583	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(60,000,000	)		(205,909	)		(206,514	)		(605	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(60,000,000	)		(205,908	)		(206,514	)		(606	)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		(52,879,546	)		(13,670,832	)		(13,610,449	)		60,383
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		(52,879,545	)		(13,670,869	)		(13,610,449	)		60,420
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(1,525,824,500	)		(12,589,261	)		(12,716,409	)		(127,148	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(177,593,500	)		(1,448,306	)		(1,480,086	)		(31,780	)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(46,039,834,480	)		(39,485,060	)		(39,201,722	)		283,338
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(46,039,834,480	)		(39,485,427	)		(39,201,722	)		283,705
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(747,932,830	)		(44,624,918	)		(43,173,186	)		1,451,732
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(747,932,829	)		(44,624,828	)		(43,173,186	)		1,451,642
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(629,819,700	)		(72,555,300	)		(71,103,164	)		1,452,136
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(629,819,698	)		(72,555,372	)		(71,103,164	)		1,452,208
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		(46,250,000	)		(30,630,057	)		(31,493,448	)		(863,391	)
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		(46,250,000	)		(30,630,057	)		(31,493,448	)		(863,391	)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(2,000,000	)		(499,475	)		(509,140	)		(9,665	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(2,000,000	)		(499,470	)		(509,140	)		(9,670	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(539,536,135	)		(62,333,088	)		(64,048,448	)		(1,715,360	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(530,209,133	)		(61,231,946	)		(62,941,239	)		(1,709,293	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(12,422,250	)		(8,777,950	)		(8,740,299	)		37,651
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(12,422,249	)		(8,777,954	)		(8,740,300	)		37,654
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(2,950,000	)		(961,362	)		(991,245	)		(29,883	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(2,950,000	)		(961,360	)		(991,245	)		(29,885	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(26,500,000	)		(1,805,822	)		(1,690,801	)		115,021
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(26,500,000	)		(1,804,405	)		(1,690,801	)		113,604
							(1,030,312,793	)		(1,026,938,195	)		3,374,598
							$(164,647,545	)		$(157,015,252	)		$7,632,293

* Non-deliverable forward (See Note 4).

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

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

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Total Return Basket Swaps* Outstanding at December 31, 2015

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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 swaps.	15-61 months maturity ranging from 02/23/2017 - 12/22/2020		$(17,382,794	)

* 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 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
Accenture PLC		49,754	$	5,137,598	$	61,695
Alkermes PLC		12,866		999,560		21,744
King Digital Entertainment PLC		23,823		425,955		—
XL Group PLC		28,560		1,096,418		22,562
						106,001
Netherlands
Frank’s International NV		26,688		420,870		24,553
Panama
Copa Holdings SA		16,869		820,339		(6,242	)
Puerto Rico
Popular, Inc.		48,425		1,305,538		66,826
Singapore
Avago Technologies Ltd.		23,667		3,324,740		110,525

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Singapore (continued)
Flextronics International Ltd.		320,563	$	3,531,001	$	62,510
						173,035
Sweden
Autoliv, Inc.		9,648		1,198,185		5,596
Switzerland
ACE Ltd.		30,403		3,514,587		38,004
Allied World Assurance Co. Holdings AG		85,936		3,045,572		150,388
TE Connectivity Ltd.		35,882		2,274,560		43,776
					232,168
United Kingdom
Delphi Automotive PLC		76,856		6,414,402		174,463
Noble Corp. PLC		181,530		2,171,099		(255,957	)
Willis Group Holdings PLC		4,430		204,356		10,809
					(70,685)

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

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States
3M Co.		13,878	$	2,065,740	$	24,842
Aaron’s, Inc.		70,065		1,555,443		13,312
Abbott Laboratories		113,677		5,145,021		(39,787	)
AbbVie, Inc.		40,406		2,278,090		115,561
Activision Blizzard, Inc.		209,574		8,146,141		(33,532	)
Acuity Brands, Inc.		6,067		1,411,791		6,674
Advance Auto Parts, Inc.		6,315		966,637		(16,166	)
Aetna, Inc.		117,886		12,833,070		(87,236	)
Aflac, Inc.		119,528		7,217,101		(57,373	)
AGCO Corp.		147,417		6,571,850		119,408
Air Lease Corp.		29,941		943,740		58,684
Air Products & Chemicals, Inc.		4,266		556,116		(1,067	)
Akamai Technologies, Inc.		35,527		1,868,365		1,421
Alaska Air Group, Inc.		106,824		8,666,631		(66,231	)
Alleghany Corp.		1,767		846,163		(1,661	)
Allstate Corp./The		95,604		5,962,821		(26,769	)
Alphabet, Inc.		6,613		5,090,886		54,094
Amazon.com, Inc.		3,333		2,235,276		17,465
AMC Networks, Inc.		24,436		1,904,542		(79,661	)
Amdocs Ltd.		175,310		9,617,507		(50,840	)
AMERCO		8,484		3,337,606		(33,088	)
Ameren Corp.		64,782		2,852,351		(51,826	)
American Airlines Group, Inc.		130,666		5,548,078		(14,373	)
American Eagle Outfitters, Inc.		301,424		4,590,688		81,384
American Electric Power Co., Inc.		267,199		15,342,567		227,119
American Financial Group, Inc.		38,386		2,722,335		44,528
Ameriprise Financial, Inc.		56,318		5,919,022		74,340
AmerisourceBergen Corp.		105,650		10,812,221		144,741
Amgen, Inc.		24,089		3,888,687		21,680
AmTrust Financial Services, Inc.		95,944		5,937,974		(29,743	)
Analog Devices, Inc.		11,536		647,400		(9,229	)
ANSYS, Inc.		4,954		452,597		5,648
Anthem, Inc.		117,825		16,378,853		50,665
AO Smith Corp.		59,341		4,540,180		5,934
Apple, Inc.		49,420		5,385,792		(183,842	)
Arch Capital Group Ltd.		49,436		3,457,059		(8,898	)
Archer-Daniels-Midland Co.		143,512		4,921,026		342,994
Arrow Electronics, Inc.		29,849		1,633,337		(16,118	)
Ashland, Inc.		13,136		1,357,343		(8,276	)
Aspen Insurance Holdings Ltd.		62,706		3,037,479		(8,779	)
Associated Banc-Corp.		10,986		210,272		(4,285	)
Assurant, Inc.		42,104		3,405,793		(14,736	)
Assured Guaranty Ltd.		164,001		4,150,865		183,681
AT&T, Inc.		98,948		3,367,200		37,600

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Atmos Energy Corp.		39,226	$	2,476,730	$	(3,923	)
Atwood Oceanics, Inc.		188,673		2,292,377		(362,252	)
AutoNation, Inc.		22,811		1,363,185		(2,281	)
AutoZone, Inc.		5,454		4,119,461		(73,084	)
Avery Dennison Corp.		49,739		3,137,039		(20,393	)
Avis Budget Group, Inc.		21,885		763,568		30,639
Avnet, Inc.		92,707		4,061,494		(89,926	)
Axis Capital Holdings Ltd.		75,521		4,210,296		35,495
Bank of Hawaii Corp.		10,042		634,253		(2,611	)
Bank of New York Mellon Corp./The		57,306		2,364,446		(2,292	)
Bank of the Ozarks, Inc.		9,281		474,909		(15,871	)
BankUnited, Inc.		6,412		237,244		(6,027	)
Baxter International, Inc.		46,998		1,764,305		28,669
BB&T Corp.		85,368		3,229,471		(1,707	)
Becton Dickinson and Co.		28,584		4,456,531		(52,023	)
Bed Bath & Beyond, Inc.		26,631		1,377,089		(92,143	)
Bemis Co., Inc.		59,934		2,668,262		10,189
Best Buy Co., Inc.		130,509		3,889,168		84,831
Big Lots, Inc.		64,354		2,422,928		57,275
Biogen, Inc.		4,617		1,372,034		42,384
BioMarin Pharmaceutical, Inc.		4,829		485,991		19,895
Bio-Rad Laboratories, Inc.		11,291		1,555,222		10,388
BlackRock, Inc.		6,573		2,170,470		67,768
Boeing Co./The		63,786		9,284,690		(61,872	)
BOK Financial Corp.		8,057		492,927		(11,199	)
Booz Allen Hamilton Holding Corp.		55,508		1,630,825		81,597
Boston Scientific Corp.		128,851		2,396,629		(20,616	)
Brinker International, Inc.		129,724		5,860,930		359,335
Broadridge Financial Solutions, Inc.		77,383		4,168,622		(10,834	)
Brocade Communications Systems, Inc.		561,464		4,952,112		202,127
Buffalo Wild Wings, Inc.		3,342		524,193		9,358
Bunge Ltd.		109,443		7,008,730		464,038
BWX Technologies, Inc.		9,833		305,315		7,080
CA, Inc.		114,143		3,253,075		6,849
Cadence Design Systems, Inc.		101,557		2,167,226		(53,825	)
California Resources Corp.		211,166		422,332		69,685
Campbell Soup Co.		15,510		824,201		(9,151	)
Capital One Financial Corp.		122,812		9,134,757		(270,186	)
Cardinal Health, Inc.		69,232		6,089,647		90,694
Carlisle Cos., Inc.		24,892		2,190,994		16,678
Carnival Corp.		164,615		8,306,473		661,752
Carter’s, Inc.		23,292		2,080,209		(6,522	)

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

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Consolidated Schedule of Investments December 31, 2015

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Casey’s General Stores, Inc.		29,233	$	3,633,662	$	(112,547	)
Catalent, Inc.		7,937		209,219		(10,556	)
CDW Corp.		83,642		3,570,677		(54,367	)
Celanese Corp.		95,107		6,269,453		134,101
Celgene Corp.		12,096		1,356,808		91,809
Centene Corp.		134,184		8,300,622		530,027
CenturyLink, Inc.		17,227		437,566		(4,134	)
CF Industries Holdings, Inc.		121,341		5,004,103		(52,177	)
Charles River Laboratories International, Inc.		53,353		4,235,161		53,887
Cheesecake Factory, Inc./The		56,327		2,604,560		(7,323	)
Chevron Corp.		41,875		3,791,363		(24,288	)
Church & Dwight Co., Inc.		19,283		1,643,683		(6,942	)
Cimarex Energy Co.		3,626		347,153		(23,061	)
Cinemark Holdings, Inc.		25,997		867,000		2,080
Cintas Corp.		59,392		5,376,164		31,478
Cisco Systems, Inc.		381,818		10,202,177		166,091
Citigroup, Inc.		42,927		2,268,263		(46,790	)
Cleco Corp.		4,448		231,474		756
Clorox Co./The		45,897		6,028,112		(206,995	)
CME Group, Inc.		28,725		2,728,013		(125,528	)
CMS Energy Corp.		80,295		2,906,679		(9,635	)
Cognizant Technology Solutions Corp.		32,833		1,983,770		(13,133	)
Comcast Corp.		113,338		6,506,168		(110,505	)
Commerce Bancshares, Inc.		12,065		518,192		(4,947	)
Commercial Metals Co.		252,360		3,457,332		(2,524	)
Community Health Systems, Inc.		34,105		870,019		34,787
Computer Sciences Corp.		57,844		1,815,145		75,197
ConAgra Foods, Inc.		29,467		1,197,244		45,085
ConocoPhillips		105,579		4,991,775		(62,292	)
Consolidated Edison, Inc.		257,690		16,548,852		12,885
Constellation Brands, Inc.		40,807		5,708,491		104,058
Convergys Corp.		152,888		3,927,693		(122,310	)
Cooper Cos., Inc./The		6,790		926,428		(15,210	)
CoreLogic, Inc.		36,743		1,319,441		(75,323	)
Corning, Inc.		82,545		1,493,239		15,684
Costco Wholesale Corp.		21,999		3,534,799		18,039
Coty, Inc.		17,181		473,337		(32,988	)
CR Bard, Inc.		22,517		4,292,191		(26,570	)
Cracker Barrel Old Country Store, Inc.		10,562		1,316,131		23,448
Crane Co.		4,893		223,708		10,373
Credit Acceptance Corp.		15,541		3,289,719		36,366
Crown Holdings, Inc.		42,393		2,073,018		76,307

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CST Brands, Inc.		61,221	$	2,367,416	$	28,774
CSX Corp.		149,790		3,834,624		52,426
Cummins, Inc.		52,383		4,502,843		107,385
CVR Energy, Inc.		6,056		239,151		(848	)
CVS Health Corp.		57,343		5,430,956		175,470
Danaher Corp.		47,620		4,375,802		47,144
Darden Restaurants, Inc.		109,471		6,392,012		574,723
Dean Foods Co.		68,584		1,205,021		(28,805	)
Deckers Outdoor Corp.		33,748		1,663,776		(70,871	)
Deere & Co.		43,801		3,368,735		(28,033	)
Delta Air Lines, Inc.		159,082		8,117,954		(54,088	)
Deluxe Corp.		84,509		4,595,599		13,521
DENTSPLY International, Inc.		23,120		1,393,211		13,641
Devon Energy Corp.		47,574		1,378,695		143,673
DeVry Education Group, Inc.		22,774		567,756		8,654
Dick’s Sporting Goods, Inc.		15,043		544,406		(12,636	)
Dillard’s, Inc.		18,325		1,242,801		(38,666	)
Discover Financial Services		50,206		2,705,099		(13,054	)
Dollar General Corp.		17,424		1,246,513		5,750
Domino’s Pizza, Inc.		15,007		1,641,316		28,213
Dover Corp.		8,954		532,405		16,565
Dow Chemical Co./The		153,758		7,726,339		189,122
DR Horton, Inc.		184,743		5,823,099		94,219
Dr. Pepper Snapple Group, Inc.		120,834		11,241,187		20,542
Dril-Quip, Inc.		18,032		1,046,217		21,819
DST Systems, Inc.		46,024		5,345,227		(95,730	)
DTE Energy Co.		79,047		6,319,808		18,971
Dun & Bradstreet Corp./The		8,938		930,267		(1,341	)
East West Bancorp, Inc.		33,269		1,406,946		(24,286	)
Eastman Chemical Co.		18,226		1,217,497		12,940
eBay, Inc.		255,250		7,159,763		(145,493	)
Edison International		142,533		8,680,260		(240,881	)
Edwards Lifesciences Corp.		64,038		5,186,438		(128,716	)
Electronic Arts, Inc.		107,720		7,661,046		(258,528	)
Eli Lilly & Co.		83,795		7,224,805		(164,238	)
Endurance Specialty Holdings Ltd.		55,586		3,516,370		40,578
Energen Corp.		19,109		853,599		(70,321	)
Entergy Corp.		87,613		5,890,222		99,003
EOG Resources, Inc.		35,935		2,634,036		(90,197	)
EP Energy Corp.		261,365		909,550		235,228
Equifax, Inc.		68,678		7,774,350		(125,681	)
Everest Re Group Ltd.		8,020		1,458,918		9,464
Eversource Energy		32,615		1,686,848		(21,200	)
Exelon Corp.		125,114		3,328,032		146,383
Expedia, Inc.		25,817		3,321,873		(112,820	)
Express Scripts Holding Co.		6,113		529,691		4,646

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

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Consolidated Schedule of Investments December 31, 2015

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Exxon Mobil Corp.		47,857	$	3,730,932	$	(479	)
FactSet Research Systems, Inc.		18,774		3,033,878		18,211
Fair Isaac Corp.		22,991		2,135,864		29,428
FedEx Corp.		30,674		4,657,540		(87,421	)
Fidelity National Information Services, Inc.		19,230		1,151,492		13,846
Fifth Third BanCorp.		74,723		1,515,756		(13,824	)
First American Financial Corp.		100,050		3,519,759		72,036
First Solar, Inc.		92,786		5,982,841		140,107
Fiserv, Inc.		54,899		5,100,666		(79,604	)
Flowers Foods, Inc.		30,052		666,854		(21,036	)
FNF Group		72,049		2,382,660		115,278
Foot Locker, Inc.		102,252		6,545,151		110,432
Fulton Financial Corp.		35,389		469,258		(8,847	)
GameStop Corp.		213,974		6,215,945		(216,114	)
Gartner, Inc.		3,701		334,903		777
GATX Corp.		11,626		469,690		24,996
General Dynamics Corp.		65,499		9,049,342		(52,399	)
General Mills, Inc.		45,186		2,585,995		19,430
General Motors Co.		105,988		3,615,251		(10,599	)
Genpact Ltd.		135,908		3,321,592		73,390
Gilead Sciences, Inc.		69,585		7,122,721		(81,414	)
Global Payments, Inc.		45,106		2,894,903		14,885
Goodyear Tire & Rubber Co./The		251,103		8,160,848		42,688
Graham Holdings Co.		10,535		5,225,255		(116,096	)
Graphic Packaging Holding Co.		20,503		259,773		3,280
H&R Block, Inc.		33,835		1,139,563		(12,519	)
Halyard Health, Inc.		17,869		597,539		(536	)
Hanesbrands, Inc.		85,473		2,508,633		6,838
Hanover Insurance Group, Inc./The		41,569		3,351,293		29,930
Harman International Industries, Inc.		23,444		2,140,437		68,222
Harris Corp.		13,684		1,137,414		51,726
Hartford Financial Services Group, Inc./The		109,511		4,742,921		16,427
Hasbro, Inc.		13,693		909,078		13,282
HCA Holdings, Inc.		70,988		4,595,763		205,155
Helmerich & Payne, Inc.		48,714		2,523,385		85,250
Hess Corp.		37,160		1,828,272		(26,755	)
Hill-Rom Holdings, Inc.		24,310		1,184,383		(16,045	)
HollyFrontier Corp.		105,729		4,468,108		(250,578	)
Home Depot, Inc./The		28,468		3,739,272		25,621
Honeywell International, Inc.		15,766		1,613,019		19,865
Hormel Foods Corp.		92,074		7,318,962		(37,750	)
HP, Inc.		272,884		3,247,320		(16,373	)
HSN, Inc.		21,809		1,101,354		3,708
Hubbell, Inc.		2,171		202,685		16,673

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Huntington Ingalls Industries, Inc.		73,119	$	9,285,382	$	(10,237	)
IAC/InterActiveCorp.		30,980		1,905,890		(45,541	)
IDACORP, Inc.		27,666		1,909,231		(27,943	)
IDEX Corp.		2,712		206,627		1,139
Illinois Tool Works, Inc.		5,844		540,862		760
Ingersoll-Rand PLC		7,877		420,789		14,730
Ingram Micro, Inc.		157,339		4,861,775		(81,816	)
Ingredion, Inc.		63,640		6,213,173		(113,916	)
Integrated Device Technology, Inc.		7,494		202,188		(4,721	)
Intel Corp.		164,753		5,751,527		(75,786	)
Intercontinental Exchange, Inc.		14,072		3,495,063		111,028
InterDigital, Inc.		43,863		2,081,299		69,742
International Business Machines Corp.		15,329		2,096,241		13,336
International Flavors & Fragrances, Inc.		10,979		1,296,510		17,017
International Game Technology PLC		183,619		2,757,957		212,998
Interpublic Group of Cos., Inc./The		90,228		2,029,228		71,280
Intrexon Corp.		89,211		2,838,694		(148,982	)
Intuit, Inc.		11,758		1,150,755		(16,108	)
IPG Photonics Corp.		2,529		227,913		(2,428	)
ITT Corp.		39,362		1,365,861		63,766
Jabil Circuit, Inc.		240,122		5,676,484		(84,043	)
Jack Henry & Associates, Inc.		21,113		1,630,346		17,735
Jarden Corp.		40,403		2,308,223		(404	)
JetBlue Airways Corp.		369,129		8,397,685		(36,913	)
JM Smucker Co./The		9,925		1,227,127		(2,978	)
John Wiley & Sons, Inc.		9,566		427,026		3,731
Johnson & Johnson		4,394		455,394		(4,042	)
JPMorgan Chase & Co.		145,289		9,629,755		(36,322	)
Juniper Networks, Inc.		137,708		4,008,680		(207,939	)
KeyCorp.		94,973		1,234,649		18,045
Kimberly-Clark Corp.		35,088		4,415,474		51,228
Kohl’s Corp.		60,747		2,700,204		193,175
Kroger Co./The		255,328		10,708,456		(28,086	)
L Brands, Inc.		31,985		3,089,111		(24,309	)
L-3 Communications Holdings, Inc.		16,403		1,929,813		30,510
Lam Research Corp.		46,646		3,671,040		33,585
Lancaster Colony Corp.		5,957		666,171		21,624
Landstar System, Inc.		4,400		251,900		6,160
Lear Corp.		122,447		14,947,105		93,060
Leggett & Platt, Inc.		48,448		2,096,829		(61,044	)
Leidos Holdings, Inc.		35,722		2,042,584		(32,864	)
Lennar Corp.		27,942		1,360,217		6,427
Lennox International, Inc.		8,483		1,071,742		(12,216	)
Lexmark International, Inc.		52,490		1,656,584		46,716

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

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272

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Liberty Interactive Corp. QVC Group		32,665	$	862,356	$	30,052
LifePoint Health, Inc.		11,591		807,545		43,234
Lincoln Electric Holdings, Inc.		11,814		595,426		17,603
Lincoln National Corp.		72,499		3,642,350		1,450
Lockheed Martin Corp.		28,750		6,187,575		55,488
Lowe’s Cos., Inc.		59,276		4,439,772		67,575
LyondellBasell Industries NV		167,908		14,723,853		(132,647	)
M&T Bank Corp.		16,295		2,032,638		(58,010	)
Mallinckrodt PLC		61,609		4,412,437		185,443
Manhattan Associates, Inc.		33,700		2,416,964		(187,035	)
ManpowerGroup, Inc.		28,528		2,400,631		3,994
Marathon Oil Corp.		105,816		1,352,328		(20,105	)
Marathon Petroleum Corp.		174,989		8,980,435		90,994
Marriott International, Inc.		28,485		1,880,865		28,770
Marvell Technology Group Ltd.		184,927		1,566,332		64,724
Maxim Integrated Products, Inc.		5,426		203,963		2,225
MAXIMUS, Inc.		26,031		1,443,159		21,085
McCormick & Co., Inc.		21,419		1,816,117		16,493
McGraw Hill Financial, Inc.		28,259		2,693,648		92,124
McKesson Corp.		12,306		2,338,386		88,726
Medivation, Inc.		18,895		824,956		88,429
Mentor Graphics Corp.		162,293		2,909,913		79,524
Merck & Co., Inc.		45,830		2,413,408		7,333
MetLife, Inc.		196,401		9,323,155		145,337
Michaels Cos., Inc./The		21,151		463,841		3,807
Micron Technology, Inc.		79,922		1,144,483		(12,788	)
Microsoft Corp.		83,162		4,632,123		(18,296	)
Minerals Technologies, Inc.		24,387		1,159,114		(40,726	)
Mohawk Industries, Inc.		17,739		3,429,658		(70,069	)
Molina Healthcare, Inc.		61,716		3,640,010		70,973
Monster Beverage Corp.		9,962		1,497,189		(13,249	)
Moody’s Corp.		9,180		898,538		22,583
Mosaic Co./The		140,098		4,040,426		(175,123	)
MSCI, Inc.		36,733		2,604,002		45,549
MSG Networks, Inc.		57,471		1,187,926		7,471
Murphy Oil Corp.		134,044		2,922,159		87,129
Murphy USA, Inc.		88,207		5,509,409		(151,716	)
Mylan NV		31,161		1,650,598		34,277
Nasdaq, Inc.		115,944		6,502,140		242,323
Navient Corp.		164,965		2,058,763		(169,914	)
NeuStar, Inc.		51,541		1,256,054		(20,616	)
Newell Rubbermaid, Inc.		4,534		203,214		(3,355	)
Newfield Exploration Co.		101,248		3,301,697		(5,062	)
NewMarket Corp.		1,544		575,912		11,935

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NextEra Energy, Inc.		30,134	$	3,116,157	$	14,464
NIKE, Inc.		80,466		5,239,141		(210,016	)
NiSource, Inc.		120,577		2,324,725		27,733
Northern Trust Corp.		47,305		3,404,541		5,677
Northrop Grumman Corp.		74,263		13,984,466		37,132
Norwegian Cruise Line Holdings Ltd.		59,159		3,378,570		88,147
Nu Skin Enterprises, Inc.		6,566		248,851		(66	)
NVIDIA Corp.		59,929		1,957,880		17,379
NVR, Inc.		2,223		3,676,820		(24,431	)
Old Republic International Corp.		41,043		756,422		8,209
Omnicom Group, Inc.		20,182		1,486,808		40,162
ON Semiconductor Corp.		127,856		1,273,446		(20,457	)
ONE Gas, Inc.		15,101		741,157		16,460
OneMain Holdings, Inc.		18,245		758,810		(912	)
OPKO Health, Inc.		36,663		368,097		367
Oracle Corp.		67,732		2,501,343		(27,093	)
Orbital ATK, Inc.		39,779		3,502,939		50,917
O’Reilly Automotive, Inc.		16,112		4,098,087		(14,984	)
Oshkosh Corp.		10,773		414,114		6,464
Owens Corning		109,682		5,141,892		16,452
PACCAR, Inc.		75,902		3,448,987		148,768
Packaging Corp. of America		15,354		951,334		16,736
Panera Bread Co.		1,614		312,067		2,308
PAREXEL International Corp.		5,545		358,651		19,075
Parker-Hannifin Corp.		23,848		2,270,091		42,688
Paychex, Inc.		6,770		361,180		(3,114	)
Penske Automotive Group, Inc.		10,345		447,318		(9,311	)
People’s United Financial, Inc.		245,011		3,983,879		(26,951	)
PepsiCo, Inc.		79,405		7,956,381		(22,233	)
Pfizer, Inc.		233,331		7,543,591		(11,667	)
PG&E Corp.		235,032		12,656,473		(155,121	)
Phillips 66		77,322		6,323,393		1,546
Pilgrim’s Pride Corp.		185,493		3,925,032		172,508
Pinnacle Foods, Inc.		125,284		5,196,780		122,778
Pinnacle West Capital Corp.		134,771		8,570,088		119,946
Plantronics, Inc.		20,762		1,019,414		(34,880	)
PNC Financial Services Group, Inc./The		136,305		13,041,662		(50,433	)
Polycom, Inc.		34,017		447,324		(19,050	)
PPG Industries, Inc.		12,582		1,236,056		7,298
Primerica, Inc.		4,606		219,015		(1,474	)
Progressive Corp./The		86,000		2,707,280		27,520
Prosperity Bancshares, Inc.		4,250		205,573		(2,168	)
Public Service Enterprise Group, Inc.		466,754		17,787,995		270,717

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

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273

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
PulteGroup, Inc.		64,346	$	1,142,142	$	4,504
Quest Diagnostics, Inc.		17,242		1,187,112		39,484
Quintiles Transnational Holdings, Inc.		108,477		7,578,203		(130,172	)
Rackspace Hosting, Inc.		110,199		2,741,751		48,488
Raytheon Co.		55,463		7,069,869		(163,061	)
Regal Beloit Corp.		3,518		201,828		4,046
Regal Entertainment Group		17,764		331,476		3,730
Reinsurance Group of America, Inc.		85,887		7,431,802		(84,169	)
Reliance Steel & Aluminum Co.		88,103		4,932,006		170,039
RenaissanceRe Holdings Ltd.		20,887		2,318,875		45,325
Republic Services, Inc.		208,920		9,159,053		31,338
ResMed, Inc.		4,567		252,053		(6,851	)
Robert Half International, Inc.		12,113		554,897		16,110
Rockwell Automation, Inc.		11,375		1,137,728		29,461
Ross Stores, Inc.		63,892		3,441,223		(3,195	)
Rowan Cos. PLC		258,607		4,885,086		(501,698	)
Royal Caribbean Cruises Ltd.		79,414		7,460,945		576,546
RPM International, Inc.		4,587		200,314		1,789
RR Donnelley & Sons Co.		26,987		396,979		270
Ryder System, Inc.		71,724		4,064,599		11,476
Sabre Corp.		27,357		787,061		(21,886	)
SCANA Corp.		85,463		5,249,992		(80,335	)
Scotts Miracle-Gro Co./The		9,405		612,266		(5,549	)
Seagate Technology PLC		56,263		1,908,441		154,161
SEI Investments Co.		33,104		1,736,967		(2,317	)
Sensient Technologies Corp.		29,355		1,820,597		23,484
ServiceMaster Global Holdings, Inc.		24,799		949,058		24,055
Sherwin-Williams Co./The		11,904		3,133,133		(42,854	)
Signature Bank/New York NY		5,666		876,530		(7,536	)
Skechers U.S.A., Inc.		204,123		6,170,638		(4,082	)
Skyworks Solutions, Inc.		47,859		3,723,430		(46,423	)
SM Energy Co.		39,665		796,870		(17,056	)
Snap-on, Inc.		26,618		4,537,038		26,086
Sonoco Products Co.		37,184		1,510,786		8,924
Southwest Airlines Co.		120,323		5,235,254		(54,145	)
Spectrum Brands Holdings, Inc.		15,518		1,536,592		43,140
Spirit AeroSystems Holdings, Inc.		226,739		10,983,237		369,585

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SS&C Technologies Holdings, Inc.		17,098	$	1,175,487	$	(8,207	)
Stanley Black & Decker, Inc.		18,940		2,036,808		(15,341	)
State Street Corp.		57,066		3,789,182		(2,283	)
Steel Dynamics, Inc.		152,353		2,591,525		131,024
STERIS PLC		58,284		4,287,954		103,163
Stryker Corp.		25,723		2,384,779		5,916
SunTrust Banks, Inc.		167,569		7,245,684		(67,028	)
Superior Energy Services, Inc.		181,358		2,373,976		68,916
SUPERVALU, Inc.		226,035		1,523,476		9,041
Synaptics, Inc.		9,844		785,847		5,020
Synchrony Financial		103,296		3,099,913		41,318
Synopsys, Inc.		83,213		3,762,892		32,453
Sysco Corp.		21,036		867,735		(5,259	)
Talen Energy Corp.		110,779		649,165		40,988
Target Corp.		121,165		8,763,864		33,926
Tech Data Corp.		72,647		4,840,470		(18,162	)
TEGNA, Inc.		282,046		7,333,196		(135,382	)
Teleflex, Inc.		35,038		4,620,111		(14,366	)
Telephone & Data Systems, Inc.		26,017		679,044		(5,464	)
Teradyne, Inc.		10,179		209,891		509
Tesoro Corp.		97,622		10,343,051		(56,621	)
Thermo Fisher Scientific, Inc.		5,487		758,084		20,247
Thomson Reuters Corp.		31,342		1,186,608		(313	)
Thor Industries, Inc.		11,055		618,417		2,322
Time Warner, Inc.		25,761		1,670,858		(4,895	)
Time, Inc.		154,838		2,378,312		48,000
TJX Cos., Inc./The		10,657		752,917		2,771
TopBuild Corp.		11,161		325,343		18,081
Torchmark Corp.		70,667		4,027,312		12,013
Toro Co./The		8,737		675,370		(36,958	)
Total System Services, Inc.		132,944		7,018,114		(397,503	)
Tractor Supply Co.		5,120		439,654		(1,894	)
Travelers Cos., Inc./The		119,464		13,531,687		(48,980	)
Trinity Industries, Inc.		138,741		3,303,423		29,136
Trustmark Corp.		22,289		525,352		(11,813	)
Tupperware Brands Corp.		17,011		945,641		1,021
Tyler Technologies, Inc.		8,822		1,568,728		(30,877	)
Tyson Foods, Inc.		183,154		9,685,184		82,419
UGI Corp.		63,244		2,074,403		60,714
United Parcel Service, Inc.		17,214		1,721,400		(64,897	)
United Therapeutics Corp.		40,438		6,394,865		(61,870	)
UnitedHealth Group, Inc.		117,260		13,979,737		(185,271	)
Universal Health Services, Inc.		11,880		1,379,506		40,036
Unum Group		51,437		1,701,022		11,316
US Bancorp.		126,148		5,529,067		(146,332	)

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

AQR Funds Annual Report December 2015

274

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Valero Energy Corp.		212,056		$	15,200,174		$	(205,694	)
Validus Holdings Ltd.		122,491			5,646,835			23,273
Valmont Industries, Inc.		3,084			316,357			10,609
Vectren Corp.		21,182			885,619			12,921
VeriSign, Inc.		62,451			5,486,320			(30,601	)
Verizon Communications, Inc.		69,398			3,199,248			8,328
VF Corp.		14,970			935,026			(3,144	)
Visa, Inc.		34,191			2,690,490			(38,978	)
Voya Financial, Inc.		160,868			5,905,464			32,174
Wabtec Corp.		4,942			347,521			3,954
Wal-Mart Stores, Inc.		107,054			6,314,045			248,365
Walt Disney Co./The		23,427			2,624,058			(162,349	)
Waste Connections, Inc.		15,322			846,234			16,701
Waste Management, Inc.		256,455			13,663,922			23,081
Waters Corp.		19,144			2,513,607			62,792
Wells Fargo & Co.		171,730			9,525,863			(190,620	)
Wendy’s Co./The		171,054			1,796,067			46,185
Werner Enterprises, Inc.		144,687			3,570,875			(186,646	)
West Pharmaceutical Services, Inc.		3,330			206,627			(6,094	)
Westar Energy, Inc.		20,566			864,595			7,609
Western Digital Corp.		31,115			1,848,231			20,225
Western Refining, Inc.		99,793			3,784,151			(229,524	)
Western Union Co./The		63,805			1,156,785			(14,037	)
Westlake Chemical Corp.		12,148			652,226			7,653
WestRock Co.		82,177			3,687,282			61,633
WGL Holdings, Inc.		66,316			4,189,845			(12,600	)
Whirlpool Corp.		41,471			6,097,481			(6,635	)
White Mountains Insurance Group Ltd.		597			459,965			(26,059	)
Williams-Sonoma, Inc.		3,364			201,605			(5,113	)
World Fuel Services Corp.		60,466			2,368,453			(42,931	)
WR Berkley Corp.		18,358			985,641			19,459
Wyndham Worldwide Corp.		38,537			2,785,069			14,644
Xcel Energy, Inc.		352,388			12,826,923			(172,670	)
Xerox Corp.		68,992			703,028			30,356
Xilinx, Inc.		4,395			207,005			(571	)
Zebra Technologies Corp.		2,797			185,861			8,950
								3,374,248
Total of Long Equity Positions								3,905,500
Short Positions
Common Stocks
Ireland
Allegion PLC		(11,978	)		(785,996	)		(3,593	)
Endo International PLC		(136,507	)		(8,378,800	)		21,841
Jazz Pharmaceuticals PLC		(15,996	)		(2,221,684	)		(26,713	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Ireland (continued)
Medtronic PLC		(61,567	)	$	(4,796,069	)	$	60,336
								51,871
Netherlands
Core Laboratories NV		(16,834	)		(1,879,853	)		49,324
QIAGEN NV		(92,415	)		(2,483,191	)		(72,084	)
Sensata Technologies Holding NV		(121,911	)		(5,444,545	)		(170,675	)
								(193,435	)
Norway
Golar LNG Ltd.		(167,264	)		(2,360,095	)		(281,004	)
Switzerland
Weatherford International PLC		(897,665	)		(7,728,896	)		197,486
United Kingdom
Aon PLC		(88,797	)		(8,282,096	)		94,125
Ensco PLC		(197,499	)		(3,039,510	)		—
Liberty Global PLC		(30,876	)		(1,236,584	)		(71,324	)
Michael Kors Holdings Ltd.		(74,505	)		(2,937,732	)		(46,938	)
Pentair PLC		(52,958	)		(2,625,658	)		2,648
								(21,489	)
United States
Abercrombie & Fitch Co.		(176,359	)		(4,567,698	)		(193,995	)
Acadia Healthcare Co., Inc.		(15,874	)		(976,410	)		(15,080	)
ACI Worldwide, Inc.		(9,477	)		(218,540	)		15,732
Acxiom Corp.		(108,758	)		(2,378,537	)		103,320
Adobe Systems, Inc.		(30,580	)		(2,880,636	)		7,951
ADT Corp./The		(92,129	)		(3,054,076	)		15,662
AECOM		(44,669	)		(1,306,122	)		(35,289	)
AES Corp.		(196,286	)		(1,805,831	)		(72,626	)
Agilent Technologies, Inc.		(102,316	)		(4,172,446	)		(105,385	)
Agios Pharmaceuticals, Inc.		(33,508	)		(1,862,040	)		(313,300	)
Akorn, Inc.		(224,280	)		(7,869,985	)		(497,902	)
Albemarle Corp.		(189,366	)		(9,926,566	)		(679,824	)
Alcoa, Inc.		(681,836	)		(6,238,799	)		(490,922	)
Alere, Inc.		(64,574	)		(2,519,032	)		(5,166	)
Alexion Pharmaceuticals, Inc.		(31,739	)		(5,896,789	)		(157,425	)
Align Technology, Inc.		(92,191	)		(5,971,211	)		(99,566	)
Allegheny Technologies, Inc.		(258,186	)		(2,703,207	)		(201,385	)
Alliance Data Systems Corp.		(17,769	)		(4,780,927	)		(133,445	)
Alliant Energy Corp.		(6,133	)		(390,733	)		7,728
Allison Transmission Holdings, Inc.		(21,343	)		(542,966	)		(9,604	)
Allscripts Healthcare Solutions, Inc.		(211,007	)		(3,137,674	)		(107,614	)

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

AQR Funds Annual Report December 2015

275

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Ally Financial, Inc.		(63,508	)	$	(1,170,452	)	$	(13,337	)
Alnylam Pharmaceuticals, Inc.		(56,311	)		(4,965,504	)		(335,614	)
American Express Co.		(71,684	)		(4,987,056	)		1,434
American International Group, Inc.		(53,842	)		(3,237,519	)		(99,069	)
AMETEK, Inc.		(21,049	)		(1,127,174	)		(842	)
Amphenol Corp.		(33,134	)		(1,747,156	)		16,567
Anadarko Petroleum Corp.		(101,637	)		(4,749,497	)		(188,028	)
Apache Corp.		(67,792	)		(2,911,666	)		(103,044	)
Apollo Education Group, Inc.		(53,502	)		(406,615	)		(3,745	)
Applied Materials, Inc.		(353,309	)		(6,380,761	)		(215,518	)
Arista Networks, Inc.		(15,947	)		(1,161,898	)		(79,416	)
Armstrong World Industries, Inc.		(33,413	)		(1,545,351	)		17,375
ARRIS Group, Inc.		(49,067	)		(1,465,141	)		(34,838	)
Arthur J Gallagher & Co.		(62,742	)		(2,588,735	)		20,077
Artisan Partners Asset Management, Inc.		(69,025	)		(2,443,485	)		(45,557	)
Ascena Retail Group, Inc.		(115,265	)		(1,126,139	)		(9,221	)
Autodesk, Inc.		(122,322	)		(7,429,838	)		(23,241	)
Automatic Data Processing, Inc.		(29,318	)		(2,486,460	)		2,639
Avon Products, Inc.		(844,780	)		(3,404,463	)		(16,896	)
B/E Aerospace, Inc.		(314,119	)		(13,133,315	)		(175,907	)
Ball Corp.		(15,055	)		(1,061,679	)		(33,272	)
BancorpSouth, Inc.		(31,891	)		(774,951	)		9,886
Bank of America Corp.		(605,840	)		(10,481,032	)		284,745
Belden, Inc.		(26,863	)		(1,307,154	)		26,326
Bio-Techne Corp.		(29,919	)		(2,681,341	)		(11,369	)
Black Hills Corp.		(40,103	)		(1,741,673	)		(120,309	)
Black Knight Financial Services, Inc.		(74,730	)		(2,479,541	)		8,968
Bluebird Bio, Inc.		(39,591	)		(2,454,642	)		(87,892	)
BorgWarner, Inc.		(243,191	)		(9,987,854	)		(525,293	)
Bristol-Myers Squibb Co.		(32,032	)		(2,219,177	)		15,696
Brookdale Senior Living, Inc.		(329,692	)		(6,006,988	)		(79,126	)
Brown & Brown, Inc.		(66,522	)		(2,106,087	)		(29,270	)
Brown-Forman Corp.		(3,393	)		(344,356	)		7,499
Bruker Corp.		(178,770	)		(4,195,732	)		(143,016	)
Brunswick Corp.		(14,270	)		(698,659	)		(22,119	)
Cabela’s, Inc.		(76,407	)		(3,544,521	)		(25,978	)
Cabot Oil & Gas Corp.		(149,372	)		(2,292,860	)		(349,530	)
CalAtlantic Group, Inc.		(51,815	)		(1,968,970	)		4,145
Calpine Corp.		(183,652	)		(2,295,650	)		(361,794	)
CarMax, Inc.		(72,158	)		(4,123,830	)		229,462
Carpenter Technology Corp.		(84,147	)		(2,349,384	)		(197,745	)
Caterpillar, Inc.		(137,196	)		(8,904,020	)		(419,820	)
Cathay General Bancorp		(7,201	)		(227,336	)		1,728

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
CBOE Holdings, Inc.		(26,282	)	$	(1,709,381	)	$	3,679
CBS Corp.		(87,454	)		(4,068,360	)		(53,347	)
CDK Global, Inc.		(7,696	)		(369,793	)		4,464
CEB, Inc.		(10,905	)		(673,820	)		4,362
CenterPoint Energy, Inc.		(245,530	)		(4,380,255	)		(127,676	)
Cerner Corp.		(55,673	)		(3,361,536	)		11,691
CH Robinson Worldwide, Inc.		(32,996	)		(2,118,343	)		71,931
Charles Schwab Corp./The		(291,740	)		(9,688,685	)		81,687
Cheniere Energy, Inc.		(189,093	)		(7,049,387	)		5,673
Chico’s FAS, Inc.		(117,365	)		(1,288,668	)		36,383
Chipotle Mexican Grill, Inc.		(16,251	)		(9,017,517	)		1,219,475
Ciena Corp.		(158,840	)		(3,135,502	)		(150,898	)
Cincinnati Financial Corp.		(18,006	)		(1,074,058	)		8,643
CIT Group, Inc.		(25,399	)		(1,028,660	)		20,319
Citrix Systems, Inc.		(12,870	)		(999,484	)		25,869
CLARCOR, Inc.		(4,358	)		(211,624	)		(4,881	)
Clean Harbors, Inc.		(23,335	)		(953,001	)		(18,901	)
CNO Financial Group, Inc.		(24,512	)		(462,051	)		(5,883	)
Coach, Inc.		(109,208	)		(3,564,549	)		(9,829	)
Cobalt International Energy, Inc.		(767,575	)		(4,267,717	)		122,812
Coca-Cola Co./The		(142,493	)		(6,197,021	)		75,521
Cognex Corp.		(80,725	)		(2,771,289	)		45,206
Colfax Corp.		(187,240	)		(4,347,713	)		(24,341	)
Colgate-Palmolive Co.		(224,167	)		(15,093,164	)		159,159
Columbia Pipeline Group, Inc.		(89,985	)		(1,770,005	)		(29,695	)
Comerica, Inc.		(54,924	)		(2,323,834	)		26,364
CommScope Holding Co., Inc.		(20,329	)		(525,301	)		(1,016	)
CommVault Systems, Inc.		(73,501	)		(2,956,210	)		63,946
Compass Minerals International, Inc.		(6,166	)		(455,914	)		(8,201	)
Concho Resources, Inc.		(7,588	)		(724,426	)		19,805
CONSOL Energy, Inc.		(179,309	)		(1,237,232	)		(179,309	)
Copart, Inc.		(8,425	)		(323,352	)		3,117
CoStar Group, Inc.		(12,615	)		(2,596,419	)		(10,975	)
Covanta Holding Corp.		(221,889	)		(3,503,627	)		66,567
Cypress Semiconductor Corp.		(543,946	)		(5,221,882	)		(114,229	)
Dana Holding Corp.		(89,886	)		(1,201,776	)		(38,651	)
DaVita HealthCare Partners, Inc.		(93,628	)		(6,377,939	)		(148,869	)
Denbury Resources, Inc.		(282,906	)		(543,180	)		(28,291	)
DexCom, Inc.		(16,825	)		(1,375,107	)		(2,860	)
Diebold, Inc.		(69,509	)		(2,120,720	)		29,194
Discovery Communications, Inc.		(363,271	)		(9,619,416	)		(72,654	)
DISH Network Corp.		(24,320	)		(1,413,965	)		23,347

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

AQR Funds Annual Report December 2015

276

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dolby Laboratories, Inc.		(12,554	)	$	(427,966	)	$	5,524
Dollar Tree, Inc.		(73,487	)		(5,627,634	)		(47,032	)
Dominion Resources, Inc.		(199,475	)		(13,472,542	)		(19,948	)
Donaldson Co., Inc.		(88,003	)		(2,464,084	)		(58,082	)
DSW, Inc.		(92,487	)		(2,174,369	)		(32,370	)
Duke Energy Corp.		(124,801	)		(8,798,471	)		(111,073	)
Dunkin’ Brands Group, Inc.		(85,452	)		(3,669,309	)		29,908
E*TRADE Financial Corp.		(91,496	)		(2,740,305	)		28,364
Eaton Corp. PLC		(47,693	)		(2,390,850	)		(91,094	)
Eaton Vance Corp.		(31,636	)		(1,008,872	)		(17,083	)
Ecolab, Inc.		(36,471	)		(4,205,106	)		33,553
EI du Pont de Nemours & Co.		(94,925	)		(6,191,958	)		(130,047	)
Emerson Electric Co.		(149,834	)		(6,742,530	)		(424,030	)
Envision Healthcare Holdings Inc		(290,062	)		(6,906,376	)		(626,534	)
EQT Corp.		(6,872	)		(328,138	)		(30,099	)
Estee Lauder Cos., Inc./The		(33,430	)		(2,982,290	)		38,445
Esterline Technologies Corp.		(52,497	)		(4,339,402	)		87,145
Expeditors International of Washington, Inc.		(67,528	)		(3,127,222	)		81,709
F5 Networks, Inc.		(16,870	)		(1,669,118	)		33,403
Facebook, Inc.		(31,953	)		(3,394,048	)		49,847
Fairchild Semiconductor International, Inc.		(23,805	)		(477,290	)		(15,711	)
Fastenal Co.		(109,988	)		(4,398,420	)		(91,290	)
Federated Investors, Inc.		(17,058	)		(492,123	)		3,412
FEI Co.		(40,892	)		(3,304,074	)		41,301
FireEye, Inc.		(254,310	)		(5,378,657	)		104,267
First Horizon National Corp.		(109,628	)		(1,620,302	)		28,503
First Republic Bank		(21,071	)		(1,401,643	)		9,693
FirstEnergy Corp.		(93,912	)		(2,961,045	)		(18,782	)
FirstMerit Corp.		(24,200	)		(458,348	)		7,018
FleetCor Technologies, Inc.		(32,080	)		(4,580,703	)		(4,491	)
FLIR Systems, Inc.		(12,966	)		(368,883	)		4,927
Flowserve Corp.		(117,554	)		(4,796,203	)		(150,469	)
Fluor Corp.		(67,368	)		(3,107,012	)		(74,105	)
FMC Corp.		(228,330	)		(8,571,508	)		(363,045	)
FMC Technologies, Inc.		(67,169	)		(1,950,588	)		2,015
Ford Motor Co.		(433,693	)		(6,063,028	)		(47,706	)
Fortinet, Inc.		(47,134	)		(1,480,950	)		11,783
Fortune Brands Home & Security, Inc.		(14,010	)		(774,753	)		(2,802	)
Fossil Group, Inc.		(16,337	)		(617,539	)		20,258
Franklin Resources, Inc.		(63,989	)		(2,268,410	)		(87,665	)
Freeport-McMoRan, Inc.		(1,206,652	)		(7,384,710	)		(784,324	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Frontier Communications Corp.		(395,748	)	$	(1,895,633	)	$	47,490
FTI Consulting, Inc.		(13,857	)		(482,916	)		2,633
Gap, Inc./The		(56,978	)		(1,435,846	)		28,489
General Electric Co.		(540,881	)		(16,523,915	)		(324,529	)
Genesee & Wyoming, Inc.		(97,207	)		(5,076,150	)		(142,894	)
Genworth Financial, Inc.		(1,906,388	)		(6,939,252	)		(171,575	)
GNC Holdings, Inc.		(105,109	)		(3,232,102	)		(28,379	)
Graco, Inc.		(19,574	)		(1,359,414	)		(51,284	)
Greif, Inc.		(16,798	)		(517,042	)		(504	)
Groupon, Inc.		(94,512	)		(299,603	)		9,451
Guess?, Inc.		(55,761	)		(1,114,662	)		61,895
Hain Celestial Group, Inc./The		(72,200	)		(2,967,420	)		51,262
Halliburton Co.		(136,247	)		(4,656,922	)		19,075
Harley-Davidson, Inc.		(30,306	)		(1,376,499	)		909
Harsco Corp.		(226,780	)		(1,884,542	)		97,515
HD Supply Holdings, Inc.		(50,880	)		(1,480,608	)		(47,318	)
Henry Schein, Inc.		(12,945	)		(2,009,064	)		(38,706	)
Hershey Co./The		(43,579	)		(3,914,702	)		24,404
Hertz Global Holdings, Inc.		(321,042	)		(4,626,215	)		57,788
Hexcel Corp.		(33,311	)		(1,531,973	)		(15,323	)
Hilton Worldwide Holdings, Inc.		(301,139	)		(6,661,195	)		216,820
HMS Holdings Corp.		(36,991	)		(462,757	)		6,288
Hologic, Inc.		(46,075	)		(1,769,280	)		(13,362	)
Huntington Bancshares, Inc.		(42,502	)		(472,622	)		2,550
Huntsman Corp.		(207,734	)		(2,044,103	)		(317,833	)
IDEXX Laboratories, Inc.		(87,461	)		(6,107,402	)		(270,254	)
IHS, Inc.		(14,001	)		(1,632,937	)		(25,202	)
Illumina, Inc.		(61,697	)		(11,182,581	)		(659,849	)
IMS Health Holdings, Inc.		(15,441	)		(393,900	)		618
Incyte Corp.		(32,818	)		(3,767,835	)		208,722
Intersil Corp.		(43,612	)		(569,573	)		13,084
Intuitive Surgical, Inc.		(11,096	)		(5,981,521	)		(78,671	)
Invesco Ltd.		(27,965	)		(872,228	)		(64,040	)
Ionis Pharmaceuticals, Inc.		(10,624	)		(618,317	)		(39,628	)
ITC Holdings Corp.		(436,861	)		(16,460,922	)		(685,872	)
Itron, Inc.		(63,198	)		(2,262,488	)		(24,015	)
Jacobs Engineering Group, Inc.		(29,871	)		(1,242,634	)		(10,455	)
Janus Capital Group, Inc.		(49,472	)		(681,724	)		(15,336	)
JB Hunt Transport Services, Inc.		(20,190	)		(1,465,390	)		(15,748	)
Johnson Controls, Inc.		(25,135	)		(977,500	)		(15,081	)
Joy Global, Inc.		(176,542	)		(2,095,554	)		(130,641	)
Kansas City Southern		(142,743	)		(10,266,077	)		(392,543	)
Kate Spade & Co.		(388,558	)		(7,005,701	)		101,025

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

AQR Funds Annual Report December 2015

277

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
KBR, Inc.		(352,821	)	$	(5,997,957	)	$	28,226
Kellogg Co.		(73,969	)		(5,296,920	)		(48,820	)
Kennametal, Inc.		(53,755	)		(964,365	)		(67,731	)
Keysight Technologies, Inc.		(10,570	)		(300,822	)		1,374
Kinder Morgan, Inc.		(572,227	)		(8,795,129	)		257,502
KLX, Inc.		(66,408	)		(2,091,188	)		46,486
Kosmos Energy Ltd.		(145,709	)		(747,487	)		(10,200	)
Laboratory Corp. of America Holdings		(20,460	)		(2,489,573	)		(40,102	)
Las Vegas Sands Corp.		(81,322	)		(3,400,886	)		(164,270	)
Legg Mason, Inc.		(25,478	)		(995,425	)		(4,076	)
Leucadia National Corp.		(211,018	)		(3,452,254	)		(217,349	)
Level 3 Communications, Inc.		(98,507	)		(5,133,200	)		(221,641	)
Liberty Broadband Corp.		(21,933	)		(1,123,847	)		(13,598	)
Linear Technology Corp.		(83,686	)		(3,623,604	)		69,459
LinkedIn Corp.		(32,441	)		(7,498,737	)		196,917
Lions Gate Entertainment Corp.		(62,729	)		(2,073,193	)		41,401
Live Nation Entertainment, Inc.		(103,206	)		(2,577,054	)		41,282
Loews Corp.		(163,717	)		(6,050,980	)		(235,752	)
Macy’s, Inc.		(59,914	)		(2,067,033	)		(28,759	)
Manitowoc Co., Inc./The		(309,579	)		(4,457,938	)		(294,100	)
Marsh & McLennan Cos., Inc.		(190,969	)		(10,652,251	)		63,020
Masco Corp.		(35,636	)		(1,010,993	)		2,495
MasterCard, Inc.		(73,069	)		(7,257,944	)		143,946
Mattel, Inc.		(188,000	)		(5,047,800	)		(60,160	)
McDonald’s Corp.		(31,554	)		(3,707,595	)		(20,195	)
MDC Holdings, Inc.		(18,543	)		(461,350	)		(12,053	)
MDU Resources Group, Inc.		(269,181	)		(4,506,090	)		(425,306	)
Mead Johnson Nutrition Co.		(112,079	)		(8,696,210	)		(152,427	)
MEDNAX, Inc.		(3,384	)		(246,491	)		3,993
Memorial Resource Development Corp.		(109,497	)		(1,514,344	)		(254,033	)
MGM Resorts International		(410,517	)		(8,805,590	)		(521,357	)
Middleby Corp./The		(5,304	)		(584,713	)		12,570
Molson Coors Brewing Co.		(42,395	)		(3,973,259	)		(8,479	)
Mondelez International, Inc.		(29,954	)		(1,328,759	)		(14,378	)
Monsanto Co.		(87,807	)		(8,406,642	)		(244,103	)
Morgan Stanley		(40,656	)		(1,316,441	)		23,174
Motorola Solutions, Inc.		(20,013	)		(1,372,091	)		2,201
MSC Industrial Direct Co., Inc.		(9,645	)		(530,571	)		(12,153	)
Nabors Industries Ltd.		(60,237	)		(505,991	)		(6,626	)
National Fuel Gas Co.		(14,448	)		(580,087	)		(37,565	)
National Instruments Corp.		(19,099	)		(563,421	)		15,470

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
National Oilwell Varco, Inc.		(23,696	)	$	(797,844	)	$	4,265
NCR Corp.		(61,445	)		(1,572,992	)		70,047
NetApp, Inc.		(68,420	)		(1,936,286	)		121,103
Netflix, Inc.		(6,604	)		(809,056	)		53,691
NetScout Systems, Inc.		(21,692	)		(652,495	)		(13,449	)
NetSuite, Inc.		(57,223	)		(4,730,053	)		(112,157	)
New York Times Co./The		(75,538	)		(1,010,698	)		(3,022	)
News Corp.		(19,640	)		(262,390	)		—
Nielsen Holdings PLC		(93,720	)		(4,334,550	)		(32,802	)
Noble Energy, Inc.		(101,172	)		(3,158,590	)		(173,004	)
Nordson Corp.		(18,783	)		(1,206,244	)		1,315
Nordstrom, Inc.		(74,767	)		(3,838,538	)		114,394
NorthStar Asset Management Group, Inc.		(377,291	)		(4,346,392	)		(233,920	)
NRG Energy, Inc.		(477,481	)		(4,545,619	)		(1,074,332	)
Nuance Communications, Inc.		(34,788	)		(712,632	)		20,699
Nucor Corp.		(69,439	)		(2,671,318	)		(127,073	)
Occidental Petroleum Corp.		(113,597	)		(7,545,113	)		(135,180	)
Oceaneering International, Inc.		(7,458	)		(281,017	)		1,193
Ocwen Financial Corp.		(60,158	)		(400,652	)		(18,649	)
OGE Energy Corp.		(364,122	)		(9,292,393	)		(280,374	)
Oil States International, Inc.		(35,350	)		(998,284	)		34,997
Old Dominion Freight Line, Inc.		(11,159	)		(670,767	)		11,605
Olin Corp.		(114,760	)		(2,036,990	)		56,232
ONEOK, Inc.		(226,825	)		(4,504,745	)		(1,088,760	)
Owens & Minor, Inc.		(23,085	)		(835,215	)		4,617
Owens-Illinois, Inc.		(207,451	)		(3,514,220	)		(99,576	)
PacWest Bancorp		(15,947	)		(703,582	)		16,266
Palo Alto Networks, Inc.		(15,182	)		(2,832,506	)		158,348
Pandora Media, Inc.		(137,782	)		(2,102,553	)		254,897
Patterson Cos., Inc.		(15,221	)		(675,812	)		(12,329	)
Patterson-UTI Energy, Inc.		(89,467	)		(1,330,374	)		(18,788	)
PayPal Holdings, Inc.		(127,883	)		(4,544,962	)		(84,403	)
PBF Energy, Inc.		(13,930	)		(513,878	)		1,114
PerkinElmer, Inc.		(13,240	)		(687,686	)		(21,581	)
Pitney Bowes, Inc.		(67,519	)		(1,338,227	)		(56,041	)
Platform Specialty Products Corp.		(644,673	)		(7,987,498	)		(283,656	)
PNM Resources, Inc.		(26,385	)		(782,051	)		(24,538	)
Polaris Industries, Inc.		(7,954	)		(676,170	)		(7,477	)
PolyOne Corp.		(19,007	)		(593,969	)		(9,694	)
Post Holdings, Inc.		(55,330	)		(3,431,567	)		17,706
PPL Corp.		(33,762	)		(1,145,207	)		(7,090	)
Praxair, Inc.		(71,099	)		(7,317,509	)		36,971
Premier, Inc.		(15,194	)		(522,977	)		(12,915	)
Priceline Group, Inc./The		(2,694	)		(3,539,216	)		104,500

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Principal Financial Group, Inc.		(80,712	)	$	(3,650,604	)	$	20,178
Procter & Gamble Co./The		(79,472	)		(6,380,807	)		69,935
Prudential Financial, Inc.		(102,542	)		(8,393,063	)		45,118
PTC, Inc.		(9,756	)		(331,119	)		(6,732	)
PVH Corp.		(13,889	)		(1,029,036	)		6,111
QEP Resources, Inc.		(28,134	)		(328,886	)		(48,109	)
Qorvo, Inc.		(12,195	)		(643,286	)		22,561
QUALCOMM, Inc.		(151,919	)		(7,222,229	)		(371,442	)
Quanta Services, Inc.		(107,889	)		(2,142,676	)		(42,077	)
Questar Corp.		(88,284	)		(1,676,513	)		(43,259	)
Ralph Lauren Corp.		(6,560	)		(739,640	)		8,331
Range Resources Corp.		(108,096	)		(2,288,392	)		(371,850	)
Red Hat, Inc.		(10,817	)		(853,029	)		(42,727	)
Regeneron Pharmaceuticals, Inc.		(1,428	)		(787,528	)		12,309
Regions Financial Corp.		(532,981	)		(5,185,905	)		69,288
Rice Energy, Inc.		(160,591	)		(1,369,841	)		(380,601	)
Rockwell Collins, Inc.		(11,760	)		(1,055,342	)		(30,106	)
Roper Technologies, Inc.		(26,661	)		(4,921,621	)		(138,371	)
Rovi Corp.		(29,711	)		(327,415	)		(167,570	)
RPC, Inc.		(61,783	)		(769,198	)		30,892
salesforce.com, Inc.		(65,518	)		(5,138,577	)		1,966
Sally Beauty Holdings, Inc.		(97,063	)		(2,769,207	)		62,120
SanDisk Corp.		(106,148	)		(7,943,055	)		(123,132	)
Santander Consumer USA Holdings, Inc.		(12,681	)		(195,795	)		(5,199	)
SBA Communications Corp.		(58,196	)		(5,878,378	)		(236,276	)
Schlumberger Ltd.		(67,249	)		(4,653,631	)		(36,987	)
Scripps Networks Interactive, Inc.		(35,980	)		(1,952,994	)		(33,461	)
Sealed Air Corp.		(29,314	)		(1,262,554	)		(44,850	)
Seattle Genetics, Inc.		(95,517	)		(3,957,269	)		(329,534	)
Sempra Energy		(94,860	)		(9,101,817	)		184,028
Semtech Corp.		(79,518	)		(1,549,011	)		44,530
Service Corp. International		(31,819	)		(821,567	)		(6,364	)
ServiceNow, Inc.		(24,556	)		(2,143,002	)		17,435
Signet Jewelers Ltd.		(13,847	)		(1,612,068	)		(100,668	)
Silicon Laboratories, Inc.		(11,406	)		(580,337	)		26,690
Sirius XM Holdings, Inc.		(1,892,673	)		(7,608,545	)		(94,634	)
Six Flags Entertainment Corp.		(69,759	)		(3,715,364	)		(117,195	)
SLM Corp.		(428,958	)		(2,779,648	)		(17,158	)
Sotheby’s		(81,586	)		(2,160,397	)		58,742
Southern Co./The		(43,070	)		(2,003,186	)		(12,060	)
Southwestern Energy Co.		(579,686	)		(2,985,383	)		(1,136,185	)
Spectra Energy Corp.		(207,834	)		(4,767,712	)		(207,834	)
Spirit Airlines, Inc.		(62,079	)		(2,509,854	)		36,006

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Splunk, Inc.		(141,923	)	$	(7,706,419	)	$	(640,073	)
Sprint Corp.		(213,822	)		(769,759	)		(4,276	)
Sprouts Farmers Market, Inc.		(413,586	)		(10,625,024	)		(372,227	)
SPX Corp.		(23,366	)		(213,098	)		(4,907	)
Starbucks Corp.		(26,945	)		(1,603,632	)		(13,877	)
Stericycle, Inc.		(9,975	)		(1,183,634	)		(19,352	)
Stifel Financial Corp.		(6,127	)		(261,929	)		2,390
SunEdison, Inc.		(736,290	)		(4,601,813	)		854,096
SunPower Corp.		(45,304	)		(1,253,109	)		(106,464	)
SVB Financial Group		(11,473	)		(1,405,787	)		41,647
Synovus Financial Corp.		(93,381	)		(3,014,339	)		(9,338	)
T Rowe Price Group, Inc.		(12,244	)		(869,446	)		(5,877	)
Tableau Software, Inc.		(39,759	)		(3,586,659	)		(159,434	)
Targa Resources Corp.		(124,632	)		(3,292,777	)		(79,764	)
TCF Financial Corp.		(31,329	)		(446,438	)		4,073
Teekay Corp.		(113,180	)		(822,819	)		(294,268	)
Tempur Sealy International, Inc.		(75,389	)		(5,569,739	)		257,830
Tenet Healthcare Corp.		(272,686	)		(7,534,314	)		(728,072	)
Teradata Corp.		(138,242	)		(3,707,650	)		55,297
TerraForm Power, Inc.		(160,448	)		(1,987,951	)		(30,485	)
Texas Instruments, Inc.		(30,077	)		(1,700,253	)		51,732
Tiffany & Co.		(102,876	)		(7,533,609	)		(314,801	)
T-Mobile US, Inc.		(47,874	)		(1,876,661	)		3,830
Toll Brothers, Inc.		(28,044	)		(950,131	)		16,266
TransDigm Group, Inc.		(15,548	)		(3,415,585	)		(136,356	)
TreeHouse Foods, Inc.		(23,735	)		(1,912,804	)		50,556
TRI Pointe Group, Inc.		(16,207	)		(206,315	)		972
Trimble Navigation Ltd.		(440,808	)		(9,666,919	)		211,588
TripAdvisor, Inc.		(58,793	)		(5,019,746	)		7,643
Triumph Group, Inc.		(15,871	)		(538,979	)		(91,893	)
Twenty-First Century Fox, Inc.		(82,780	)		(2,275,622	)		27,317
Twitter, Inc.		(253,360	)		(5,905,822	)		43,071
Tyco International PLC		(128,109	)		(4,007,250	)		(78,146	)
Ulta Salon Cosmetics & Fragrance, Inc.		(8,246	)		(1,529,056	)		3,546
Ultimate Software Group, Inc./The		(1,836	)		(364,042	)		5,086
Umpqua Holdings Corp.		(124,033	)		(2,013,056	)		40,931
Under Armour, Inc.		(26,720	)		(2,171,534	)		17,635
Union Pacific Corp.		(137,738	)		(10,651,280	)		(119,832	)
United Continental Holdings, Inc.		(12,968	)		(743,326	)		259
United Natural Foods, Inc.		(20,382	)		(822,618	)		20,382
United Rentals, Inc.		(73,169	)		(4,895,006	)		(412,673	)
United Technologies Corp.		(72,911	)		(6,844,156	)		(160,404	)
Urban Outfitters, Inc.		(108,381	)		(2,496,014	)		30,347
USG Corp.		(311,555	)		(7,614,404	)		46,733
Vantiv, Inc.		(7,038	)		(341,625	)		7,883
Varian Medical Systems, Inc.		(2,666	)		(209,148	)		(6,265	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
VCA, Inc.		(4,050	)	$	(217,607	)	$	(5,144	)
Veeva Systems, Inc.		(104,230	)		(2,905,932	)		(101,103	)
VeriFone Systems, Inc.		(170,283	)		(4,590,830	)		(180,500	)
Verisk Analytics, Inc.		(11,194	)		(860,931	)		336
Vertex Pharmaceuticals, Inc.		(82,303	)		(9,706,816	)		(649,371	)
Viacom, Inc.		(77,329	)		(3,077,694	)		(105,167	)
Viavi Solutions, Inc.		(569,147	)		(3,375,042	)		(91,064	)
Vista Outdoor, Inc.		(4,858	)		(208,165	)		(8,064	)
Visteon Corp.		(55,901	)		(6,437,000	)		36,336
Waddell & Reed Financial, Inc.		(62,384	)		(1,829,723	)		41,797
Walgreens Boots Alliance, Inc.		(13,274	)		(1,106,255	)		(24,092	)
Watsco, Inc.		(1,704	)		(202,554	)		2,965
Webster Financial Corp.		(7,157	)		(271,179	)		5,010
WEC Energy Group, Inc.		(131,797	)		(6,755,914	)		(6,590	)
WellCare Health Plans, Inc.		(17,463	)		(1,408,391	)		42,610
WESCO International, Inc.		(15,695	)		(628,428	)		(57,130	)
WEX, Inc.		(22,046	)		(1,906,759	)		(42,108	)
WhiteWave Foods Co./The		(218,537	)		(8,341,557	)		(161,717	)
Whiting Petroleum Corp.		(481,388	)		(4,679,091	)		134,789
Whole Foods Market, Inc.		(83,046	)		(2,772,075	)		(9,966	)
WisdomTree Investments, Inc.		(388,209	)		(6,300,632	)		213,515
Workday, Inc.		(75,105	)		(6,047,455	)		63,088

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Worthington Industries, Inc.		(23,226	)	$	(683,773	)	$	(16,258	)
WPX Energy, Inc.		(44,166	)		(251,746	)		(1,767	)
WR Grace & Co.		(64,641	)		(6,260,481	)		(177,116	)
WW Grainger, Inc.		(3,431	)		(668,530	)		(26,556	)
Xylem, Inc.		(35,855	)		(1,307,273	)		(1,434	)
Yahoo!, Inc.		(268,461	)		(8,920,959	)		(8,054	)
Yelp, Inc.		(47,242	)		(1,295,376	)		(65,194	)
Yum! Brands, Inc.		(75,376	)		(5,442,147	)		(64,070	)
Zions Bancorporation		(264,635	)		(7,346,268	)		121,732
Zoetis, Inc.		(75,413	)		(3,524,049	)		(89,741	)
Zynga, Inc.		(1,320,446	)		(3,433,160	)		(105,636	)
								(21,973,463	)
Total of Short Equity Positions								(22,220,034	)
Total of Long and Short Equity Positions								(18,314,534	)
Net Cash and Other Receivables/ (Payables) (b)								931,740
Swaps, at Value							$	(17,382,794	)

(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.

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

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280

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

Total Return Basket Swaps Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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 swaps.	2-61 months maturity ranging from 01/20/2016 - 12/21/2020		$(262,903	)

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		45,486	$	819,422	$	(7,266	)
Ireland
DCC PLC		29,009		2,390,513		32,956
Shire PLC		53,568		3,512,996		162,166
						195,122
Luxembourg
Regus PLC		59,982		290,887		3,839
South Africa
Investec PLC		139,932		968,316		18,344
Mondi PLC		142,685		2,828,977		(32,246	)
						(13,902	)
Switzerland
Glencore PLC		926,264		1,103,135		124,284
Wolseley PLC		23,556		1,284,959		(5,565	)
						118,719
United Kingdom
AA PLC		64,467		281,682		16,127
Amlin PLC		80,877		789,294		1,512
Ashtead Group PLC		121,369		2,016,813		(19,341	)
Associated British Foods PLC		60,848		3,054,154		(59,997	)
Aviva PLC		423,396		3,157,804		55,973
Babcock International Group PLC		74,445		1,090,738		23,343
BAE Systems PLC		356,845		2,610,704		16,573
Barclays PLC		169,596		546,938		(1,048	)
Barratt Developments PLC		601,029		5,449,046		89,264
Berkeley Group Holdings PLC		58,020		3,066,453		87,718
Betfair Group PLC		6,456		363,990		7,211
Britvic PLC		47,309		492,939		13,940
BT Group PLC		904,372		6,276,850		2,725

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Bunzl PLC		67,602	$	1,846,449	$	29,124
Close Brothers Group PLC		80,590		1,600,414		(11,220	)
Cobham PLC		78,656		331,790		(3,332	)
Compass Group PLC		106,732		1,813,908		35,568
Direct Line Insurance Group PLC		665,306		4,000,475		(12,557	)
Dixons Carphone PLC		200,889		1,445,131		33,228
easyJet PLC		147,029		3,717,111		53,739
G4S PLC		227,726		723,412		33,046
GKN PLC		371,822		1,641,959		45,320
Greene King PLC		70,061		960,037		(900	)
Hays PLC		98,138		204,489		6,277
Henderson Group PLC		75,682		335,787		8,189
Howden Joinery Group PLC		196,250		1,517,485		3,069
HSBC Holdings PLC		521,718		4,089,254		29,300
ICAP PLC		45,512		337,422		4,195
Imperial Tobacco Group PLC		131,144		6,798,956		127,762
Inchcape PLC		187,366		2,118,297		43,471
Indivior PLC		669,688		1,875,979		(25,334	)
Inmarsat PLC		100,039		1,666,477		10,621
Intermediate Capital Group PLC		387,240		3,447,529		122,262
International Consolidated Airlines Group SA		782,035		6,899,084		132,247
ITV PLC		677,357		2,670,418		87,340
J Sainsbury PLC		135,075		509,237		5,156
Just Eat PLC		107,764		743,647		38,822
Kingfisher PLC		458,252		2,225,333		(5,797	)
Legal & General Group PLC		197,621		767,230		12,563
Man Group PLC		1,843,419		4,594,344		147,867
Marks & Spencer Group PLC		276,489		1,866,866		(25,948	)
Meggitt PLC		62,684		335,170		10,925

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Merlin Entertainments PLC		54,844		$	359,079		$	8,654
Micro Focus International PLC		32,940			744,670			28,897
National Grid PLC		417,070			5,691,953			60,104
Next PLC		17,096			1,866,810			(31,198	)
Pennon Group PLC		16,419			205,218			3,081
Persimmon PLC		181,068			5,215,014			186,850
Playtech PLC		135,760			1,619,937			42,160
Provident Financial PLC		68,199			3,383,823			(2,335	)
Rentokil Initial PLC		568,184			1,318,266			14,830
Rexam PLC		47,938			421,150			6,433
Rightmove PLC		53,681			3,189,186			73,009
Royal Mail PLC		279,708			1,830,673			1,381
Sage Group PLC/The		135,013			1,172,098			27,501
Sky PLC		332,835			5,407,078			49,003
Smith & Nephew PLC		36,077			595,270			47,697
SSE PLC		160,986			3,518,400			96,340
Standard Chartered PLC		84,252			682,755			16,297
Taylor Wimpey PLC		2,373,633			6,924,801			170,851
Telecity Group PLC		13,168			238,388			4,960
Travis Perkins PLC		40,450			1,153,624			19,850
United Utilities Group PLC		73,969			1,009,086			9,416
Vodafone Group PLC		2,664,655			8,435,937			204,917
Whitbread PLC		24,650			1,622,263			(24,536	)
WPP PLC		173,381			3,910,445			77,627
								2,260,792
Total of Long Equity Positions								2,557,304
Short Positions
Common Stocks
Australia
BHP Billiton PLC		(133,123	)		(1,372,623	)		(111,941	)
Chile
Antofagasta PLC		(183,447	)		(1,121,286	)		(140,610	)
Ireland
Experian PLC		(202,440	)		(3,484,736	)		(93,272	)
Netherlands
Royal Dutch Shell PLC		(183,367	)		(3,917,109	)		(235,999	)
Switzerland
Coca-Cola HBC AG		(22,660	)		(503,240	)		20,680
United Kingdom
Aberdeen Asset Management PLC		(234,068	)		(997,370	)		(46	)
Admiral Group PLC		(86,740	)		(2,142,251	)		22,705
Aggreko PLC		(14,692	)		(197,941	)		162
Amec Foster Wheeler PLC		(97,052	)		(561,212	)		(51,444	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Anglo American PLC		(384,507	)	$	(1,491,516	)	$	(195,398	)
ARM Holdings PLC		(199,083	)		(3,052,657	)		18,229
ASOS PLC		(74,134	)		(3,563,789	)		(202,939	)
AstraZeneca PLC		(83,589	)		(5,462,630	)		(183,585	)
Balfour Beatty PLC		(51,134	)		(198,968	)		(4,698	)
Booker Group PLC		(243,742	)		(640,257	)		(10,260	)
BP PLC		(1,052,016	)		(5,277,013	)		(189,983	)
British American Tobacco PLC		(130,602	)		(7,185,773	)		(67,082	)
BTG PLC		(46,436	)		(451,357	)		(19,175	)
Burberry Group PLC		(136,391	)		(2,414,874	)		15,207
Capita PLC		(109,779	)		(1,958,286	)		5,042
Centrica PLC		(1,891,572	)		(5,951,917	)		(121,869	)
Croda International PLC		(16,265	)		(722,146	)		(6,606	)
Diageo PLC		(409,732	)		(11,074,223	)		(114,639	)
Drax Group PLC		(840,877	)		(2,793,172	)		(234,308	)
DS Smith PLC		(77,472	)		(457,156	)		3,978
GlaxoSmithKline PLC		(341,175	)		(6,745,857	)		(144,459	)
Hargreaves Lansdown PLC		(329,982	)		(7,169,743	)		(156,062	)
IMI PLC		(157,284	)		(1,978,718	)		(17,102	)
InterContinental Hotels Group PLC		(9,243	)		(350,689	)		(9,589	)
Intertek Group PLC		(42,095	)		(1,698,926	)		(23,036	)
John Wood Group PLC		(42,573	)		(373,373	)		(10,049	)
Johnson Matthey PLC		(13,057	)		(503,457	)		(7,305	)
Lloyds Banking Group PLC		(4,800,885	)		(5,047,211	)		(118,517	)
Melrose Industries PLC		(198,049	)		(832,501	)		(15,830	)
Ocado Group PLC		(280,450	)		(1,399,054	)		146,079
Old Mutual PLC		(1,248,798	)		(3,161,284	)		(123,881	)
Pearson PLC		(38,829	)		(430,207	)		10,448
Petrofac Ltd.		(233,579	)		(2,717,311	)		(22,500	)
Prudential PLC		(208,744	)		(4,626,172	)		(76,724	)
Reckitt Benckiser Group PLC		(29,734	)		(2,706,377	)		(44,801	)
Rio Tinto PLC		(82,870	)		(2,270,080	)		(142,703	)
Rolls-Royce Holdings PLC (3)		(16,642,338	)		1,084			(25,618	)
Rolls-Royce Holdings PLC		(200,281	)		(1,692,892	)		(3,573	)
Rotork PLC		(90,699	)		(234,530	)		(9,556	)
Royal Bank of Scotland Group PLC		(878,157	)		(3,814,321	)		(89,141	)
RSA Insurance Group PLC		(335,705	)		(2,099,036	)		(7,965	)
SABMiller PLC		(131,262	)		(7,836,841	)		(15,781	)
Serco Group PLC		(2,286,840	)		(3,161,179	)		(21,078	)
Severn Trent PLC		(20,770	)		(661,930	)		(2,016	)
Smiths Group PLC		(17,401	)		(237,752	)		(2,885	)
Spectris PLC		(7,836	)		(202,097	)		(5,861	)
Spirax-Sarco Engineering PLC		(6,624	)		(301,716	)		(18,639	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Sports Direct International PLC		(108,334	)	$	(920,876	)	$	242
St. James’s Place PLC		(195,697	)		(2,851,593	)		(48,964	)
Standard Life PLC		(491,023	)		(2,730,218	)		(81,631	)
Tate & Lyle PLC		(37,934	)		(329,345	)		(4,791	)
Tesco PLC		(6,798,938	)		(14,514,226	)		(424,917	)
Thomas Cook Group PLC		(907,718	)		(1,585,514	)		(34,121	)
Weir Group PLC/The		(117,801	)		(1,646,063	)		(84,292	)
William Hill PLC		(129,126	)		(723,131	)		(30,461	)
WM Morrison Supermarkets PLC		(583,959	)		(1,276,398	)		4,022
								(2,999,766	)
Total of Short Equity Positions								(3,560,908	)
Total of Long and Short Equity Positions								(1,003,604	)
Net Cash and Other Receivables/ (Payables) (b)								740,701
Swaps, at Value							$	(262,903	)

(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.

(3) Level 3 security (See Note 5)

Total Return Basket Swaps Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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 swaps.	1-61 months maturity ranging from 01/14/2016 - 12/21/2020		$(524,571	)

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		6,125	$	712,478	$	280
Air Liquide SA		19,385		2,231,966		(55,678	)
Atos SE		16,853		1,445,799		(30,948	)
AXA SA		76,381		2,084,653		2,349

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
BNP Paribas SA		52,948	$	3,066,245	$	(70,589	)
Cap Gemini SA		56,685		5,323,478		(63,925	)
Christian Dior SE		9,140		1,605,535		(52,992	)
Cie Generale des Etablissements Michelin		50,507		4,832,328		(24,941	)
CNP Assurances		15,830		208,143		5,393

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Credit Agricole SA		103,348	$	1,195,943	$	21,924
Danone SA		6,562		450,081		(6,664	)
Dassault Systemes		13,349		1,084,200		(17,203	)
Eiffage SA		11,609		737,825		12,443
Electricite de France SA		141,987		1,991,075		100,036
Eutelsat Communications SA		59,858		1,826,569		(34,394	)
Imerys SA		11,998		805,810		32,266
Ingenico Group		1,667		214,646		(4,235	)
Ipsen SA		6,671		433,901		8,104
Lagardere SCA		37,991		1,119,379		14,327
L’Oreal SA		41,700		7,289,859		(275,716	)
Orpea		5,960		481,792		(4,598	)
Peugeot SA		243,647		4,273,771		(2,901	)
Publicis Groupe SA		5,237		343,479		4,757
Rexel SA		27,364		352,443		11,930
Safran SA		19,162		1,344,614		(28,131	)
Sanofi		63,314		5,463,136		(67,405	)
SCOR SE		95,412		3,618,260		(48,159	)
SEB SA		14,282		1,480,282		(14,075	)
Societe BIC SA		12,134		2,028,533		(31,823	)
Societe Generale SA		99,620		4,676,177		(85,473	)
Societe Television Francaise 1		17,819		197,584		274
Sodexo SA		3,778		377,298		(8,199	)
Suez Environnement Co.		107,667		2,059,741		(46,009	)
Teleperformance		28,215		2,394,850		(22,323	)
Thales SA		50,371		3,883,954		(113,698	)
Valeo SA		10,734		1,626,561		28,351
Veolia Environnement SA		68,235		1,637,895		(18,967	)
Vinci SA		54,301		3,490,888		(10,478	)
Vivendi SA		123,269		2,601,779		45,675
						(851,415	)
Luxembourg
SES SA		20,614		561,092		10,116
Total of Long Equity Positions						(841,299	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
France
Accor SA		(6,449	)	$	(282,368	)	$	3,062
Airbus Group SE		(48,017	)		(3,398,845	)		163,105
Arkema SA		(12,221	)		(867,617	)		12,164
Bollore SA		(564,491	)		(2,605,636	)		(24,686	)
Bureau Veritas SA		(48,872	)		(984,640	)		10,553
Carrefour SA		(64,030	)		(1,894,717	)		46,837
Casino Guichard Perrachon SA		(82,369	)		(3,879,729	)		95,642
Cie de Saint-Gobain		(50,148	)		(2,163,398	)		(9,780	)
Edenred		(60,853	)		(1,137,280	)		(13,028	)
Engie		(178,462	)		(3,157,134	)		(4,003	)
Essilor International SA		(3,664	)		(463,467	)		6,801
Faurecia		(6,451	)		(254,526	)		(3,964	)
Hermes International		(8,370	)		(2,902,670	)		73,400
Iliad SA		(15,338	)		(3,603,408	)		(52,838	)
Kering		(3,637	)		(625,811	)		3,975
Legrand SA		(5,705	)		(325,769	)		3,064
LVMH Moet Hennessy Louis Vuitton SE		(13,464	)		(2,178,570	)		63,776
Orange SA		(108,062	)		(1,837,756	)		30,340
Plastic Omnium SA		(66,130	)		(2,048,129	)		(53,930	)
Remy Cointreau SA		(50,412	)		(3,544,087	)		(66,689	)
Renault SA		(15,417	)		(1,531,561	)		(11,611	)
Schneider Electric SE		(57,325	)		(3,330,045	)		73,758
Technip SA		(117,578	)		(5,884,036	)		36,850
TOTAL SA		(154,818	)		(7,050,468	)		109,761
Vallourec SA		(264,308	)		(2,312,711	)		(147,935	)
Zodiac Aerospace		(38,831	)		(943,023	)		18,444
								363,068
Total of Short Equity Positions								363,068
Total of Long and Short Equity Positions								(478,231	)
Net Cash and Other Receivables/ (Payables) (b)								(46,340	)
Swaps, at Value							$	(524,571	)

(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.

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER			EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$5,850,068			$—		$5,850,068
Barclays Capital
Cash		—			83,202,953		83,202,953
CitiBank
Money Market Funds		7,030,000			—		7,030,000
Credit Suisse International
Cash		(1,120,000	)		—		(1,120,000	)
Goldman Sachs
Cash		—			12,884,794		12,884,794
Money Market Funds		280,630,000			—		280,630,000
J.P. Morgan
Cash		—			28,058,870		28,058,870
Morgan Stanley and Co., International PLC
Cash		—			7,042,216		7,042,216

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Cash		$1,270,000		$—		$1,270,000
Goldman Sachs
Cash		—		2,227,018		2,227,018
J.P. Morgan
Cash		—		4,186,681		4,186,681
Macquarie Capital
Money Market Funds		1,910,004		—		1,910,004
Morgan Stanley and Co., International PLC
Cash		—		18,753,556		18,753,556
Societe Generale
Cash		3,040,000		—		3,040,000

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

LONG INVESTMENTS - 109.2%	SHARES		VALUE (Note 5)
COMMON STOCKS - 19.7%
Belgium - 0.5%
Ageas (a)		4,951	$	229,795
bpost SA (a)		7,864		192,962
Colruyt SA (a)		1,961		100,880
KBC Groep NV (a)		5,308		331,889
Proximus (a)		3,054		99,380
				954,906
Denmark - 0.6%
AP Moeller - Maersk A/S, Class B (a)		21		27,390
Danske Bank A/S (a)		2,992		80,282
DSV A/S (a)		2,648		104,235
FLSmidth & Co. A/S (a)		420		14,593
GN Store Nord A/S (a)		666		12,087
H Lundbeck A/S †		2,875		98,168
ISS A/S (a)		5,399		194,616
Jyske Bank A/S †(a)		2,451		110,863
Novo Nordisk A/S, Class B (a)		4,581		265,232
TDC A/S		14,944		74,407
Vestas Wind Systems A/S		1,461		102,034
William Demant Holding A/S †(a)		997		94,969
				1,178,876
Finland - 0.4%
Amer Sports OYJ (a)		1,884		55,005
Cargotec OYJ, B Shares		1,316		49,093
Elisa OYJ (a)		4,006		150,725
Huhtamaki OYJ (a)		1,096		39,771
Kesko OYJ, B Shares (a)		2,659		93,203
Metso OYJ (a)		531		11,895
Neste OYJ (a)		6,266		187,015
Orion OYJ, Class B (a)		2,265		78,365
Stora Enso OYJ, R Shares (a)		6,075		54,931
UPM-Kymmene OYJ (a)		3,985		73,983
				793,986
Germany - 2.1%
adidas AG		577		56,003
Allianz SE (a)		1,665		293,503
Aurubis AG (a)		4,248		215,102
Axel Springer SE (a)		487		27,082
Brenntag AG (a)		1,374		71,596
Daimler AG (a)		1,315		109,874
Deutsche Lufthansa AG †(a)		11,387		179,357
Duerr AG (a)		265		21,031
Evonik Industries AG (a)		5,394		178,417
Freenet AG (a)		6,926		233,717
Fresenius Medical Care AG & Co. KGaA (a)		1,735		145,800
Hannover Rueck SE (a)		3,680		420,217
HeidelbergCement AG (a)		147		11,980
Hella KGaA Hueck & Co. (a)		3,077		127,783
HOCHTIEF AG (a)		1,705		158,135
K+S AG (a)		8,298		211,526
KION Group AG †(a)		3,224		159,871
Krones AG (a)		528		62,870
MAN SE (a)		119		11,959
Merck KGaA (a)		1,078		104,373

	SHARES		VALUE (Note 5)
Germany - 2.1% (continued)
MTU Aero Engines AG (a)		348	$	33,918
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a)		1,527		304,235
OSRAM Licht AG (a)		2,690		112,386
ProSiebenSat.1 Media SE (a)		1,700		85,767
Rheinmetall AG		587		39,019
RHOEN-KLINIKUM AG (a)		2,769		83,066
Software AG (a)		3,807		108,506
STADA Arzneimittel AG (a)		1,912		77,102
Suedzucker AG (a)		4,514		89,469
Symrise AG (a)		499		33,033
Talanx AG (a)		1,972		60,648
United Internet AG (a)		542		29,799
Zalando SE 144A †(a)(b)		603		23,815
				3,880,959
Italy - 1.0%
A2A SpA		142,743		193,282
Assicurazioni Generali SpA (a)		761		13,901
Autogrill SpA †		2,903		27,667
Banca Generali SpA		1,355		42,623
Banca Popolare di Milano Scarl		97,782		96,849
Buzzi Unicem SpA		5,313		95,237
Davide Campari-Milano SpA (a)		9,089		78,582
Enel SpA		3,257		13,658
Eni SpA (a)		4,869		72,345
FinecoBank Banca Fineco SpA		22,177		182,359
Finmeccanica SpA †(a)		2,736		38,042
Intesa Sanpaolo SpA		12,873		42,751
Mediobanca SpA (a)		29,864		286,278
Prysmian SpA (a)		4,287		93,667
Recordati SpA		8,361		218,146
Snam SpA (a)		14,914		77,835
Terna Rete Elettrica Nazionale SpA (a)		34,054		175,136
UnipolSai SpA		22,779		57,952
				1,806,310
Japan - 11.2%
ABC-Mart, Inc. (a)		1,500		82,107
Air Water, Inc. (a)		2,000		32,167
Aisin Seiki Co., Ltd. (a)		1,000		43,038
Ajinomoto Co., Inc. (a)		1,000		23,676
Alfresa Holdings Corp. (a)		12,700		250,829
Alps Electric Co., Ltd.		2,200		59,660
Amada Holdings Co., Ltd.		7,100		67,753
ANA Holdings, Inc. (a)		146,000		421,225
Aozora Bank Ltd. (a)		102,000		355,962
Asahi Group Holdings Ltd. (a)		1,800		56,348
Asahi Kasei Corp. (a)		19,000		128,480
Astellas Pharma, Inc. (a)		6,700		95,380
Bandai Namco Holdings, Inc. (a)		10,700		226,060
Bank of Yokohama Ltd./The (a)		4,000		24,518
Benesse Holdings, Inc. (a)		800		23,038
Bridgestone Corp. (a)		9,500		325,863
Brother Industries Ltd. (a)		6,300		72,373
Canon, Inc. (a)		2,700		81,675
Central Japan Railway Co. (a)		1,300		230,794
Century Tokyo Leasing Corp. (a)		1,500		53,582

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

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Consolidated Schedule of Investments December 31, 2015

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	SHARES		VALUE (Note 5)
Japan - 11.2% (continued)
Chubu Electric Power Co., Inc. (a)		16,300	$	223,208
Chugoku Bank Ltd./The (a)		7,000		93,406
Citizen Holdings Co., Ltd. (a)		7,500		53,905
Dai Nippon Printing Co., Ltd. (a)		1,000		9,889
Daicel Corp. (a)		4,400		65,480
Daihatsu Motor Co., Ltd. (a)		4,000		53,960
Daiichi Sankyo Co., Ltd. (a)		14,300		295,148
Dentsu, Inc. (a)		500		27,356
Don Quijote Holdings Co., Ltd. (a)		1,500		52,678
East Japan Railway Co. (a)		2,000		188,332
Electric Power Development Co., Ltd. (a)		900		32,055
Ezaki Glico Co., Ltd. (a)		4,200		226,900
FamilyMart Co., Ltd. (a)		6,800		316,437
Fuji Heavy Industries Ltd. (a)		3,100		127,708
FUJIFILM Holdings Corp. (a)		3,600		150,237
Fujitsu Ltd. (a)		4,000		19,965
Fukuoka Financial Group, Inc. (a)		12,000		59,503
Gunma Bank Ltd./The (a)		12,000		69,771
Hakuhodo DY Holdings, Inc. (a)		9,600		103,868
Hankyu Hanshin Holdings, Inc. (a)		5,000		32,499
Haseko Corp. (a)		20,300		224,444
Hikari Tsushin, Inc. (a)		500		34,050
Hiroshima Bank Ltd./The		4,000		22,735
Hisamitsu Pharmaceutical Co., Inc.		1,200		50,379
Hitachi High-Technologies Corp. (a)		2,900		78,425
Hitachi Metals Ltd. (a)		3,000		37,015
Hokuhoku Financial Group, Inc.		77,000		156,968
Hoshizaki Electric Co., Ltd. (a)		400		24,866
Hoya Corp. (a)		2,000		81,785
Ibiden Co., Ltd. (a)		6,400		91,753
Idemitsu Kosan Co., Ltd. (a)		4,200		67,062
Iida Group Holdings Co., Ltd.		1,500		27,801
Isetan Mitsukoshi Holdings Ltd.		5,400		70,422
ITOCHU Corp. (a)		24,500		289,797
Itochu Techno-Solutions Corp. (a)		8,800		175,335
Izumi Co., Ltd. (a)		2,800		108,703
J Front Retailing Co., Ltd.		1,800		26,168
Japan Airlines Co., Ltd. (a)		23,200		830,395
Japan Petroleum Exploration Co., Ltd. (a)		2,000		53,715
JSR Corp. (a)		2,300		35,844
JTEKT Corp. (a)		2,200		36,010
JX Holdings, Inc.		2,900		12,172
Kajima Corp.		8,000		47,612
Kaken Pharmaceutical Co., Ltd. (a)		2,200		150,333
Kamigumi Co., Ltd. (a)		5,000		43,049
Kaneka Corp. (a)		25,000		259,856
Kao Corp. (a)		400		20,556
KDDI Corp. (a)		14,800		384,359
Keihan Electric Railway Co., Ltd. (a)		13,000		87,064
Kewpie Corp. (a)		12,300		303,832
Kobayashi Pharmaceutical Co., Ltd. (a)		300		24,639
Konami Holdings Corp. (a)		10,000		238,045
Konica Minolta, Inc.		3,500		35,053
Kose Corp.		1,100		101,707
Kuraray Co., Ltd. (a)		6,600		79,945
Kurita Water Industries Ltd. (a)		1,700		35,600
Lawson, Inc.		900		73,054
Mabuchi Motor Co., Ltd. (a)		600		32,517

	SHARES		VALUE (Note 5)
Japan - 11.2% (continued)
Marubeni Corp. (a)		11,300	$	58,094
Maruichi Steel Tube Ltd. (a)		1,000		29,522
Medipal Holdings Corp. (a)		12,500		213,050
MEIJI Holdings Co., Ltd. (a)		2,000		165,199
Miraca Holdings, Inc. (a)		1,300		57,202
Mitsubishi Chemical Holdings Corp. (a)		14,600		92,633
Mitsubishi Corp. (a)		2,600		43,246
Mitsubishi Electric Corp. (a)		7,000		73,478
Mitsubishi Gas Chemical Co., Inc. (a)		15,000		76,703
Mitsubishi Tanabe Pharma Corp. (a)		19,600		337,681
Mitsubishi UFJ Financial Group, Inc. (a)		14,500		89,817
Mitsubishi UFJ Lease & Finance Co., Ltd.		11,400		58,667
Mitsui & Co., Ltd. (a)		10,200		121,197
Mitsui Chemicals, Inc.		7,000		31,045
Mixi, Inc.		900		33,663
Mizuho Financial Group, Inc.		78,900		157,800
MS&AD Insurance Group Holdings, Inc. (a)		13,000		381,221
Nagoya Railroad Co., Ltd. (a)		10,000		41,621
Nankai Electric Railway Co., Ltd.		4,000		23,674
Nexon Co., Ltd. (a)		9,000		146,410
NH Foods Ltd. (a)		2,000		39,200
NHK Spring Co., Ltd. (a)		20,000		200,526
Nippon Express Co., Ltd. (a)		20,000		93,985
Nippon Shokubai Co., Ltd. (a)		2,600		180,921
Nippon Telegraph & Telephone Corp. (a)		8,500		338,284
Nippon Yusen KK (a)		68,000		164,811
Nisshin Seifun Group, Inc. (a)		9,800		160,078
Nissin Foods Holdings Co., Ltd. (a)		700		37,145
Nitori Holdings Co., Ltd. (a)		2,900		243,547
NOK Corp. (a)		5,300		123,813
Nomura Research Institute Ltd. (a)		3,100		119,052
NTN Corp.		4,000		16,867
NTT Data Corp. (a)		2,800		135,369
Obayashi Corp. (a)		21,000		193,771
Obic Co., Ltd. (a)		500		26,467
Oji Holdings Corp.		3,000		12,057
Oracle Corp. Japan (a)		2,200		102,432
ORIX Corp. (a)		9,100		127,659
Osaka Gas Co., Ltd. (a)		41,000		148,090
Otsuka Corp. (a)		3,700		181,758
Otsuka Holdings Co., Ltd. (a)		8,400		298,443
Park24 Co., Ltd. (a)		7,000		169,592
Pola Orbis Holdings, Inc. (a)		4,000		263,634
Renesas Electronics Corp. †		2,800		17,584
Resona Holdings, Inc. (a)		61,700		299,630
Rohm Co., Ltd. (a)		1,300		65,846
Sankyo Co., Ltd. (a)		4,300		160,510
Santen Pharmaceutical Co., Ltd. (a)		10,500		172,866
Secom Co., Ltd. (a)		400		27,108
Sekisui Chemical Co., Ltd. (a)		7,600		99,228
Sekisui House Ltd. (a)		5,000		84,069
Seven & i Holdings Co., Ltd. (a)		5,300		242,658
Shimadzu Corp. (a)		7,000		117,179
Shimamura Co., Ltd. (a)		3,100		363,038
Shimizu Corp. (a)		24,000		195,702
Shinsei Bank Ltd.		145,000		266,842

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
Japan - 11.2% (continued)
Sojitz Corp. (a)		95,800	$	201,044
Sompo Japan Nipponkoa Holdings, Inc.		1,400		45,969
Sugi Holdings Co., Ltd. (a)		1,900		104,828
Sumitomo Chemical Co., Ltd. (a)		31,000		178,036
Sumitomo Corp. (a)		8,700		88,699
Sumitomo Heavy Industries Ltd.		16,000		71,726
Sumitomo Rubber Industries Ltd. (a)		22,400		291,276
Sundrug Co., Ltd. (a)		1,000		64,297
Suzuken Co., Ltd. (a)		4,270		162,269
Taisei Corp. (a)		21,000		138,326
Taisho Pharmaceutical Holdings Co., Ltd. (a)		200		14,125
Takashimaya Co., Ltd. (a)		5,000		45,027
TDK Corp. (a)		200		12,809
Teijin Ltd. (a)		21,000		71,565
Toho Gas Co., Ltd. (a)		39,000		251,871
Tohoku Electric Power Co., Inc. (a)		7,100		88,759
Tokyo Electric Power Co., Inc. †(a)		41,800		240,695
Tokyo Gas Co., Ltd. (a)		19,000		89,277
Tokyu Corp.		3,000		23,707
Toppan Printing Co., Ltd. (a)		4,000		36,853
Tosoh Corp.		29,000		149,176
Toyo Suisan Kaisha Ltd. (a)		3,700		128,954
Toyoda Gosei Co., Ltd. (a)		5,500		124,943
Toyota Boshoku Corp.		1,300		26,166
Toyota Industries Corp. (a)		200		10,695
Tsuruha Holdings, Inc. (a)		800		69,317
USS Co., Ltd. (a)		2,100		31,554
West Japan Railway Co. (a)		5,700		394,001
Yamada Denki Co., Ltd. (a)		37,500		161,982
Yamaguchi Financial Group, Inc. (a)		21,000		248,791
Yamazaki Baking Co., Ltd. (a)		12,000		269,830
Yokohama Rubber Co., Ltd./The (a)		6,700		102,897
				20,971,046
Netherlands - 0.8%
Aalberts Industries NV (a)		541		18,641
ASM International NV (a)		1,405		55,081
Boskalis Westminster (a)		2,334		95,209
Heineken NV (a)		2,251		191,823
Koninklijke Ahold NV (a)		16,679		351,818
NN Group NV (a)		12,550		442,800
Randstad Holding NV (a)		1,566		97,517
SBM Offshore NV †(a)		10,791		136,320
Wolters Kluwer NV (a)		4,660		156,499
				1,545,708
Norway - 0.2%
DNB ASA (a)		5,780		71,217
Gjensidige Forsikring ASA (a)		745		11,924
Marine Harvest ASA †(a)		1,311		17,639
Orkla ASA (a)		10,217		80,601
Telenor ASA (a)		1,627		27,120
Yara International ASA (a)		5,560		239,126
				447,627

	SHARES		VALUE (Note 5)
Portugal - 0.0% (c)
EDP - Energias de Portugal SA		5,599	$	20,175
NOS SGPS SA		1,511		11,889
				32,064
Spain - 0.6%
Almirall SA		5,666		114,516
Amadeus IT Holding SA, A Shares (a)		273		12,032
Banco de Sabadell SA		6,642		11,772
Ebro Foods SA		10,738		211,225
Enagas SA (a)		1,371		38,673
Endesa SA (a)		11,296		226,933
Ferrovial SA (a)		2,727		61,666
Iberdrola SA (a)		25,260		179,068
Red Electrica Corp. SA (a)		471		39,342
Repsol SA (a)		1,579		17,384
Tecnicas Reunidas SA		4,793		181,222
				1,093,833
Sweden - 0.6%
BillerudKorsnas AB		1,528		28,278
Boliden AB (a)		4,298		72,010
Electrolux AB, Series B (a)		3,476		83,867
ICA Gruppen AB		4,887		177,478
Modern Times Group MTG, B Shares		852		21,755
Securitas AB, B Shares (a)		10,405		159,102
Skandinaviska Enskilda Banken AB, Class A (a)		2,812		29,572
SKF AB, B Shares (a)		734		11,855
Svenska Cellulosa AB SCA, Class B (a)		9,861		285,773
Swedish Match AB (a)		1,101		38,906
Tele2 AB, B Shares (a)		8,039		80,169
TeliaSonera AB		15,662		77,776
				1,066,541
Switzerland - 1.5%
Adecco SA †(a)		1,020		69,812
Baloise Holding AG (a)		413		52,343
Barry Callebaut AG †(a)		53		57,570
Bucher Industries AG (a)		270		60,852
Credit Suisse Group AG †(a)		3,352		72,209
Flughafen Zuerich AG (a)		109		81,784
Galenica AG (a)		231		361,411
Georg Fischer AG (a)		18		12,220
Givaudan SA †(a)		21		38,114
Helvetia Holding AG (a)		108		60,837
Kuehne + Nagel International AG (a)		87		11,919
Lonza Group AG †(a)		1,233		200,529
Nestle SA (a)		3,903		289,740
Novartis AG (a)		3,470		298,487
Partners Group Holding AG (a)		177		63,655
Roche Holding AG (a)		315		87,289
Straumann Holding AG (a)		39		11,837
Swiss Life Holding AG †(a)		815		219,520
Swiss Re AG (a)		6,478		632,682
Swisscom AG (a)		326		163,132
UBS Group AG		4,216		81,788
				2,927,730

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES		VALUE (Note 5)
United Kingdom - 0.2%
Fiat Chrysler Automobiles NV †(a)		13,944	$	193,652
Subsea 7 SA †		4,277		30,273
Unilever NV CVA (a)		3,965		172,708
				396,633
TOTAL COMMON STOCKS
(cost $36,206,438)				37,096,219
PREFERRED STOCKS - 0.1%
Germany - 0.1%
FUCHS PETROLUB SE (a)		253		11,913
Henkel AG & Co. KGaA (a)		1,700		189,723
TOTAL PREFERRED STOCKS (cost $199,266)				201,636
MONEY MARKET FUNDS - 62.2%
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.100% (d)		58,644		58,644
Dreyfus Treasury Cash Management, Class I, 0.090% (d)		234,578		234,578
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.129% ^(d)(e)		101,443,362		101,443,362
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.070% (d)(e)		14,800,003		14,800,003
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.140% (d)		293,222		293,222
TOTAL MONEY MARKET FUNDS (cost $116,829,809)				116,829,809
SHORT-TERM INVESTMENTS - 27.2%		PRINCIPAL AMOUNT (000’s)
U.S. Treasury Bill, 0.343%, 5/12/2016 ^(f)	$	17,661		17,640,531
U.S. Treasury Bill, 0.066%, 4/7/2016 ^(f)		8,423		8,419,699
U.S. Treasury Bill, 0.327%, 5/19/2016 ^(f)		12,610		12,594,073
U.S. Treasury Bill, 0.583%, 6/16/2016 ^(f)		1,205		1,202,459
U.S. Treasury Bill, 0.264%, 3/3/2016 ^(f)		1,100		1,099,806
U.S. Treasury Bill, 0.516%, 6/23/2016 (f)		1,037		1,034,695
U.S. Treasury Bill, 0.345%, 5/26/2016 (f)		1,312		1,309,974
U.S. Treasury Bill, 0.241%, 2/11/2016 (f)		2,382		2,381,669
U.S. Treasury Bill, 0.113%, 3/24/2016 ^(f)		2,478		2,477,024

SHORT-TERM INVESTMENTS - 27.2% (continued)	PRINCIPAL AMOUNT (000’s)			VALUE (Note 5)
U.S. Treasury Bill, 0.259%, 3/17/2016 (f)	$	2,914		$	2,913,408
TOTAL SHORT-TERM INVESTMENTS (cost $51,071,385)					51,073,338
TOTAL INVESTMENTS IN SECURITIES, AT VALUE
(cost $204,306,898)					205,201,002
SECURITIES SOLD SHORT - (14.7)%		SHARES
COMMON STOCKS - (14.6)%
Austria - (0.1)%
ams AG		(3,880	)		(129,703	)
Belgium - (0.3)%
Anheuser-Busch InBev SA/NV		(1,702	)		(211,809	)
Solvay SA		(354	)		(37,782	)
Telenet Group Holding NV †		(1,740	)		(94,037	)
UCB SA		(1,594	)		(143,880	)
					(487,508	)
Denmark - (0.1)%
Novozymes A/S, B Shares		(3,115	)		(149,143	)
Pandora A/S		(541	)		(68,211	)
					(217,354	)
Finland - (0.4)%
Kone OYJ, Class B		(734	)		(31,078	)
Nokia OYJ		(46,142	)		(326,433	)
Nokian Renkaat OYJ		(6,823	)		(243,590	)
Wartsila OYJ Abp		(1,482	)		(67,665	)
					(668,766	)
Germany - (1.8)%
BASF SE		(1,078	)		(82,120	)
Bayer AG		(2,119	)		(264,643	)
Bayerische Motoren Werke AG		(3,131	)		(329,855	)
Beiersdorf AG		(986	)		(89,619	)
Bilfinger SE		(1,273	)		(59,824	)
Commerzbank AG †		(13,867	)		(143,088	)
Deutsche Bank AG		(11,716	)		(284,519	)
Deutsche Post AG		(3,151	)		(88,095	)
Deutsche Telekom AG		(9,017	)		(161,951	)
E.ON SE		(47,450	)		(455,615	)
HUGO BOSS AG		(1,532	)		(126,404	)
Infineon Technologies AG		(15,680	)		(228,594	)
LANXESS AG		(2,131	)		(98,063	)
Linde AG		(218	)		(31,492	)
METRO AG		(1,505	)		(47,945	)
Rocket Internet SE 144A †(b)		(4,553	)		(138,701	)
RWE AG		(32,223	)		(406,248	)
Salzgitter AG		(1,260	)		(30,791	)
Siemens AG		(461	)		(44,600	)
Telefonica Deutschland Holding AG		(4,143	)		(21,853	)
ThyssenKrupp AG		(6,040	)		(119,733	)
Wirecard AG		(2,414	)		(120,664	)
					(3,374,417	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Italy - (0.3)%
Azimut Holding SpA		(8,347	)	$	(207,475	)
Banca Mediolanum SpA		(6,396	)		(50,811	)
Banca Popolare dell’Emilia Romagna SC		(12,842	)		(97,408	)
Banco Popolare SC †		(2,313	)		(31,874	)
Mediaset SpA		(19,641	)		(81,390	)
					(468,958	)
Japan - (8.5)%
Acom Co., Ltd. †		(15,400	)		(72,519	)
Advantest Corp.		(4,200	)		(34,840	)
Aeon Co., Ltd.		(6,800	)		(104,772	)
AEON Financial Service Co., Ltd.		(1,800	)		(40,210	)
Asics Corp.		(8,700	)		(180,503	)
Calbee, Inc.		(7,600	)		(320,941	)
Chiyoda Corp.		(7,000	)		(53,155	)
Chugai Pharmaceutical Co., Ltd.		(8,900	)		(310,224	)
Chugoku Electric Power Co., Inc./The		(4,400	)		(58,095	)
Credit Saison Co., Ltd.		(4,500	)		(88,660	)
Dai-ichi Life Insurance Co., Ltd./The		(15,300	)		(254,557	)
Daikin Industries Ltd.		(1,100	)		(80,104	)
Daiwa Securities Group, Inc.		(4,000	)		(24,455	)
DeNA Co., Ltd.		(2,800	)		(43,782	)
Denso Corp.		(7,100	)		(339,277	)
Disco Corp.		(400	)		(37,669	)
Eisai Co., Ltd.		(1,100	)		(72,766	)
FANUC Corp.		(1,200	)		(206,748	)
Fast Retailing Co., Ltd.		(1,100	)		(384,793	)
Hachijuni Bank Ltd./The		(4,000	)		(24,480	)
Hamamatsu Photonics KK		(7,000	)		(191,907	)
Hirose Electric Co., Ltd.		(200	)		(24,214	)
Hitachi Capital Corp.		(400	)		(10,747	)
Hitachi Chemical Co., Ltd.		(700	)		(11,105	)
Hitachi Construction Machinery Co., Ltd.		(12,500	)		(194,404	)
Hitachi Ltd.		(31,000	)		(175,658	)
Honda Motor Co., Ltd.		(4,300	)		(137,435	)
IHI Corp.		(146,000	)		(403,033	)
Inpex Corp.		(25,000	)		(243,723	)
Isuzu Motors Ltd.		(1,600	)		(17,236	)
Iyo Bank Ltd./The		(3,000	)		(29,147	)
Japan Airport Terminal Co., Ltd.		(4,900	)		(216,918	)
Japan Display, Inc. †		(63,200	)		(182,096	)
JFE Holdings, Inc.		(8,100	)		(127,189	)
JGC Corp.		(8,000	)		(122,450	)
Kakaku.com, Inc.		(9,400	)		(184,894	)
Kansai Electric Power Co., Inc./The †		(7,400	)		(88,724	)
Kansai Paint Co., Ltd.		(8,700	)		(131,872	)
Kawasaki Heavy Industries Ltd.		(24,000	)		(88,797	)
Keikyu Corp.		(10,000	)		(82,632	)
Keio Corp.		(6,000	)		(51,814	)
Keisei Electric Railway Co., Ltd.		(5,000	)		(63,791	)
Keyence Corp.		(100	)		(54,960	)
Kikkoman Corp.		(9,000	)		(311,827	)
Kintetsu Group Holdings Co., Ltd.		(4,000	)		(16,263	)
Kobe Steel Ltd.		(201,000	)		(218,390	)
Koito Manufacturing Co., Ltd.		(1,800	)		(73,813	)
Komatsu Ltd.		(8,500	)		(139,081	)
Kubota Corp.		(8,000	)		(123,589	)
Kyocera Corp.		(1,500	)		(69,661	)

	SHARES			VALUE (Note 5)
Japan - (8.5)% (continued)
Kyowa Hakko Kirin Co., Ltd.		(4,000	)	$	(62,939	)
Kyushu Electric Power Co., Inc. †		(31,200	)		(340,052	)
LIXIL Group Corp.		(2,000	)		(44,419	)
M3, Inc.		(5,700	)		(118,185	)
Mazda Motor Corp.		(12,300	)		(253,808	)
Minebea Co., Ltd.		(16,000	)		(136,991	)
MISUMI Group, Inc.		(7,500	)		(103,602	)
Mitsubishi Heavy Industries Ltd.		(38,000	)		(166,155	)
Mitsubishi Logistics Corp.		(17,000	)		(223,995	)
Mitsubishi Materials Corp.		(25,000	)		(78,741	)
Mitsubishi Motors Corp.		(5,700	)		(48,225	)
Mitsui OSK Lines Ltd.		(41,000	)		(103,413	)
Murata Manufacturing Co., Ltd.		(200	)		(28,776	)
Nabtesco Corp.		(4,200	)		(85,324	)
NGK Insulators Ltd.		(5,000	)		(112,701	)
NGK Spark Plug Co., Ltd.		(15,200	)		(400,193	)
Nidec Corp.		(2,300	)		(166,787	)
Nintendo Co., Ltd.		(700	)		(96,257	)
Nippon Electric Glass Co., Ltd.		(7,000	)		(35,281	)
Nippon Paint Holdings Co., Ltd.		(16,500	)		(399,334	)
Nippon Steel & Sumitomo Metal Corp.		(6,800	)		(134,520	)
Nitto Denko Corp.		(1,200	)		(87,607	)
Nomura Holdings, Inc.		(15,800	)		(88,007	)
NSK Ltd.		(5,500	)		(59,763	)
Odakyu Electric Railway Co., Ltd.		(8,000	)		(86,134	)
Olympus Corp.		(6,100	)		(240,149	)
Omron Corp.		(6,200	)		(206,751	)
Ono Pharmaceutical Co., Ltd.		(1,400	)		(249,636	)
Oriental Land Co., Ltd.		(4,900	)		(296,433	)
Panasonic Corp.		(8,000	)		(81,100	)
Pigeon Corp.		(9,200	)		(223,193	)
Rakuten, Inc.		(29,300	)		(337,470	)
Recruit Holdings Co., Ltd.		(5,300	)		(155,787	)
Ricoh Co., Ltd.		(1,700	)		(17,505	)
Rinnai Corp.		(300	)		(26,581	)
Sega Sammy Holdings, Inc.		(3,800	)		(35,543	)
Seiko Epson Corp.		(4,800	)		(73,916	)
Seven Bank Ltd.		(27,800	)		(121,917	)
Shikoku Electric Power Co., Inc.		(7,600	)		(118,722	)
Shin-Etsu Chemical Co., Ltd.		(2,400	)		(130,478	)
Shionogi & Co., Ltd.		(900	)		(40,707	)
Shizuoka Bank Ltd./The		(15,000	)		(145,471	)
SMC Corp.		(100	)		(25,973	)
SoftBank Group Corp.		(2,500	)		(126,176	)
Sony Corp.		(5,700	)		(140,088	)
Stanley Electric Co., Ltd.		(6,500	)		(142,594	)
Sumco Corp.		(27,300	)		(205,965	)
Sumitomo Dainippon Pharma Co., Ltd.		(3,600	)		(42,413	)
Sumitomo Metal Mining Co., Ltd.		(6,000	)		(72,833	)
Sumitomo Mitsui Financial Group, Inc.		(3,000	)		(113,223	)
Sumitomo Mitsui Trust Holdings, Inc.		(26,000	)		(98,471	)
Suruga Bank Ltd.		(3,000	)		(61,826	)
Suzuki Motor Corp.		(2,600	)		(78,998	)
Sysmex Corp.		(800	)		(51,316	)
T&D Holdings, Inc.		(9,500	)		(125,339	)
Taiyo Nippon Sanso Corp.		(10,100	)		(91,342	)
Terumo Corp.		(3,400	)		(105,378	)
Tobu Railway Co., Ltd.		(4,000	)		(19,730	)

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

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290

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

	SHARES			VALUE (Note 5)
Japan - (8.5)% (continued)
Tokio Marine Holdings, Inc.		(1,400	)	$	(54,074	)
Tokyo Electron Ltd.		(1,700	)		(102,994	)
Toray Industries, Inc.		(1,000	)		(9,293	)
Toshiba Corp. †		(130,000	)		(267,179	)
Toyo Seikan Group Holdings Ltd.		(4,300	)		(79,761	)
Unicharm Corp.		(4,400	)		(89,855	)
Yahoo Japan Corp.		(54,500	)		(221,537	)
Yakult Honsha Co., Ltd.		(7,100	)		(347,507	)
Yamaha Corp.		(500	)		(12,077	)
Yamaha Motor Co., Ltd.		(7,800	)		(174,839	)
Yamato Holdings Co., Ltd.		(9,500	)		(201,287	)
Yaskawa Electric Corp.		(22,200	)		(302,069	)
Yokogawa Electric Corp.		(10,100	)		(121,462	)
					(15,968,087	)
Luxembourg - (0.4)%
APERAM SA †		(2,591	)		(92,123	)
ArcelorMittal		(73,962	)		(312,060	)
Millicom International Cellular SA SDR		(1,157	)		(66,389	)
Tenaris SA		(25,630	)		(303,494	)
					(774,066	)
Netherlands - (0.7)%
Aegon NV		(17,693	)		(100,062	)
Altice NV, Class A †		(8,772	)		(126,030	)
ASML Holding NV		(6,666	)		(592,284	)
Delta Lloyd NV		(18,323	)		(108,013	)
Fugro NV CVA †		(6,584	)		(107,991	)
Koninklijke DSM NV		(1,164	)		(58,370	)
Koninklijke KPN NV		(34,249	)		(129,542	)
Koninklijke Vopak NV		(4,260	)		(183,456	)
					(1,405,748	)
Norway - (0.2)%
Norsk Hydro ASA		(34,841	)		(129,508	)
Schibsted ASA, Class A		(4,739	)		(155,802	)
Statoil ASA		(8,852	)		(123,457	)
					(408,767	)
Portugal - 0.0% (c)
Banco Comercial Portugues SA †		(715,150	)		(37,898	)
Galp Energia SGPS SA		(2,434	)		(28,402	)
					(66,300	)
Spain - (0.8)%
Abertis Infraestructuras SA		(9,966	)		(155,862	)
Aena SA 144A †(b)		(995	)		(113,937	)
Atresmedia Corp. de Medios de Comunicacion SA		(4,842	)		(51,578	)
Banco Bilbao Vizcaya Argentaria SA		(24,794	)		(181,165	)
Banco Popular Espanol SA		(30,369	)		(100,062	)
Banco Santander SA		(29,457	)		(144,910	)
Bankia SA		(119,061	)		(138,553	)
CaixaBank SA		(10,534	)		(36,665	)
Cellnex Telecom SAU 144A (b)		(10,585	)		(197,907	)
Distribuidora Internacional de Alimentacion SA †		(1,981	)		(11,684	)

	SHARES			VALUE (Note 5)
Spain - (0.8)% (continued)
Mapfre SA		(31,612	)	$	(79,130	)
Obrascon Huarte Lain SA		(9,067	)		(51,742	)
Telefonica SA		(24,300	)		(269,582	)
Zardoya Otis SA		(2,900	)		(33,917	)
					(1,566,694	)
Sweden - (0.2)%
Alfa Laval AB		(2,008	)		(36,658	)
Atlas Copco AB, A Shares		(3,671	)		(90,031	)
Hexagon AB, B Shares		(1,338	)		(49,496	)
Sandvik AB		(3,186	)		(27,772	)
Telefonaktiebolaget LM Ericsson, B Shares		(22,619	)		(218,077	)
Trelleborg AB, B Shares		(1,569	)		(30,451	)
					(452,485	)
Switzerland - (0.7)%
Aryzta AG †		(4,092	)		(207,009	)
Cie Financiere Richemont SA		(4,378	)		(313,346	)
Dufry AG †		(588	)		(69,962	)
Julius Baer Group Ltd. †		(488	)		(23,608	)
LafargeHolcim Ltd. †		(6,274	)		(314,169	)
OC Oerlikon Corp. AG †		(5,303	)		(47,204	)
SGS SA		(55	)		(104,528	)
STMicroelectronics NV		(14,813	)		(99,638	)
Sunrise Communications Group AG 144A †(b)		(935	)		(55,116	)
Zurich Insurance Group AG †		(92	)		(23,635	)
					(1,258,215	)
United Kingdom - (0.1)%
CNH Industrial NV		(5,865	)		(40,169	)
RELX NV		(11,529	)		(194,175	)
					(234,344	)
TOTAL COMMON STOCKS SOLD SHORT (proceeds $28,129,612)					(27,481,412	)
PREFERRED STOCKS - (0.1)%
Germany - (0.1)%
Volkswagen AG (proceeds $206,240)		(1,776	)		(256,418	)
TOTAL SECURITIES SOLD SHORT, AT VALUE
(proceeds $28,335,852)					(27,737,830	)
TOTAL INVESTMENTS, NET OF SECURITIES SOLD SHORT - 94.5%
(cost $175,971,046)					177,463,172
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.5% (g)				10,329,281
NET ASSETS - 100.0%				$187,792,453

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

SECTOR	VALUE			% OF NET ASSETS
Consumer Discretionary	$	(664,612	)		(0.4	)%
Consumer Staples		3,153,267			1.7
Energy		(233,017	)		(0.1	)
Financials		3,675,333			2.0
Health Care		2,728,632			1.4
Industrials		2,088,595			1.1
Information Technology		(2,095,370	)		(1.1	)
Materials		(263,954	)		(0.1	)
Telecommunication Services		600,550			0.3
Utilities		570,601			0.3
Money Market Funds		116,829,809			62.2
Short-Term Investments		51,073,338			27.2
Total Investments In Securities, At Value		177,463,172			94.5
Other Assets in Excess of Liabilities (g)		10,329,281			5.5
Net Assets	$	187,792,453			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 December 31, 2015, the value of these securities was $28,102,034.

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

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

(d) Represents annualized seven-day yield as of the close of the reporting period.

(e) All or a portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts.

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

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

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

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

The following abbreviations are used in portfolio descriptions:

144A - Restricted Security

CVA - Dutch Certification

SDR - Special Drawing Rights

Total return swap contracts outstanding as of December 31, 2015:

Over the Counter

COUNTERPARTY	UNDERLYING REFERENCE INSTRUMENT	TERMINATION DATE	CURRENCY	NOTIONAL VALUE			UNREALIZED APPRECIATION (DEPRECIATION)
Goldman Sachs	BIST 30 February Futures	02/2016	TRY		220,528			$(2,312	)
Bank of America	Bovespa Index February Futures	02/2016	BRL		(8,271,798	)		94,917
CitiBank	Corn March Futures^	02/2016	USD		(259,578	)		8,446
CitiBank	Corn March Futures^	02/2016	USD		635,537			(25,643	)
Macquarie Capital	Corn March Futures^	02/2016	USD		1,962,240			(78,803	)
Societe Generale	Corn March Futures^	02/2016	USD		747,669			(30,169	)
Bank of America	Hang Seng Index January Futures	01/2016	HKD		16,558,859			(16,301	)
Bank of America	H-SHARES Index January Futures	01/2016	HKD		(4,458,667	)		11,794
Morgan Stanley and Co., International PLC	KOSPI Index 200 March Futures	03/2016	KRW		2,863,404,316			18,530
Bank of America	MSCI Taiwan Stock Index January Futures	01/2016	USD		799,295			(7,855	)
CitiBank	Soybean March Futures^	02/2016	USD		264,198			(4,923	)
Macquarie Capital	Soybean March Futures^	02/2016	USD		442,139			(10,014	)
Societe Generale	Soybean March Futures^	02/2016	USD		1,148,668			(25,143	)
Bank of America	Swiss Market Index March Futures	03/2016	CHF		(5,607,739	)		(165,823	)
Bank of America	Taiwan Stock Exchange January Futures	01/2016	TWD		4,777,015			5,737
Bank of America	Tel Aviv 25 Index January Futures	01/2016	ILS		1,809,825			6,354
Goldman Sachs	WIG20 Index March Futures	03/2016	PLN		177,813			2,049
								$(219,159	)

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

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

Open futures contracts outstanding at December 31, 2015:

Exchange Traded

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts:
6	J.P. Morgan	KOSPI Index 200 Futures		03/2016		$610,270		$615,198		$4,928
25	Goldman Sachs	Brent Crude Futures^		01/2016		932,269		941,750		9,481
1	Morgan Stanley and Co., International PLC	Corn Futures^		03/2016		18,327		17,938		(389	)
16	Morgan Stanley and Co., International PLC	Gold 100 OZ Futures^		02/2016		1,726,917		1,696,320		(30,597	)
2	J.P. Morgan	LME Copper Futures^		01/2016		266,980		235,445		(31,535	)
1	J.P. Morgan	LME Copper Futures^		01/2016		131,993		117,734		(14,259	)
1	J.P. Morgan	LME Copper Futures^		02/2016		124,939		117,772		(7,167	)
7	J.P. Morgan	LME Copper Futures^		02/2016		871,400		824,469		(46,931	)
6	J.P. Morgan	LME Copper Futures^		02/2016		738,816		706,688		(32,128	)
6	J.P. Morgan	LME Copper Futures^		02/2016		738,115		706,688		(31,427	)
1	J.P. Morgan	LME Copper Futures^		02/2016		121,579		117,781		(3,798	)
1	J.P. Morgan	LME Copper Futures^		02/2016		118,359		117,782		(577	)
2	J.P. Morgan	LME Copper Futures^		02/2016		233,156		235,563		2,407
1	J.P. Morgan	LME Copper Futures^		02/2016		115,669		117,778		2,109
1	J.P. Morgan	LME Copper Futures^		03/2016		116,640		117,724		1,084
27	J.P. Morgan	LME Copper Futures^		03/2016		3,066,606		3,178,069		111,463
51	Morgan Stanley and Co., International PLC	Silver Futures^		03/2016		3,592,305		3,519,765		(72,540	)
24	Morgan Stanley and Co., International PLC	Soybean Futures^		03/2016		1,041,360		1,037,100		(4,260	)
8	Morgan Stanley and Co., International PLC	WTI Crude Futures^		01/2016		295,185		296,320		1,135
235	J.P. Morgan	BIST 30 Futures		02/2016		742,099		717,756		(24,343	)
128	Barclays Capital	CAC40 Index Futures		01/2016		6,411,577		6,452,338		40,761
2	J.P. Morgan	FTSE Bursa Malaysia KLCI Index Futures		01/2016		39,068		39,327		259
26	Barclays Capital	FTSE/JSE Top 40 Index Futures		03/2016		739,464		777,932		38,468
39	Barclays Capital	Hang Seng Index Futures		01/2016		5,541,073		5,512,803		(28,270	)
22	Barclays Capital	IBEX 35 Index Futures		01/2016		2,301,615		2,277,596		(24,019	)
7	Barclays Capital	KOSPI Index 200 Futures		03/2016		711,273		717,730		6,457
1	J.P. Morgan	Mexican Stock Exchange Price and Quotation Index Futures		03/2016		25,279		25,030		(249	)
2	Barclays Capital	MSCI Taiwan Stock Index Futures		01/2016		61,439		60,880		(559	)
22	J.P. Morgan	S&P 500 E-Mini Futures		03/2016		2,268,866		2,238,940		(29,926	)
110	Barclays Capital	TOPIX Index Futures		03/2016		14,377,815		14,162,403		(215,412	)
33	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		4,087,700		4,092,500		4,800
14	Goldman Sachs	10-Year Japanese Government Bond Futures		03/2016		17,350,360		17,359,791		9,431
269	J.P. Morgan	90-Day EURODollar Futures		06/2016		66,788,993		66,644,750		(144,243	)
287	J.P. Morgan	90-Day EURODollar Futures		09/2016		71,171,518		70,985,862		(185,656	)
115	J.P. Morgan	90-Day EURODollar Futures		12/2016		28,420,139		28,396,375		(23,764	)

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Long Contracts: (continued)
130	J.P. Morgan	Australia 3-Year Bond Futures		03/2016		$ 10,511,521			$ 10,559,394			$ 47,873
134	Goldman Sachs	Canadian 10-Year Bond Futures		03/2016		13,421,660			13,653,725			232,065
3	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		06/2016		537,506			537,905			399
18	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		09/2016		3,224,712			3,227,596			2,884
9	Goldman Sachs	Euro - Bobl Futures		03/2016		1,288,337			1,278,051			(10,286	)
307	Goldman Sachs	Euro - SCHATZ Futures		03/2016		37,280,823			37,203,331			(77,492	)
63	Goldman Sachs	Long Gilt Futures		03/2016		10,911,192			10,844,967			(66,225	)
7	Morgan Stanley and Co., International PLC	U.S. Treasury 10-Year Note Futures		03/2016		881,228			881,343			115
351	Morgan Stanley and Co., International PLC	U.S. Treasury 2-Year Note Futures		03/2016		76,366,006			76,249,266			(116,740	)
5	Morgan Stanley and Co., International PLC	U.S. Treasury 5-Year Note Futures		03/2016		592,883			591,601			(1,282	)
						390,915,031			390,207,076			(707,955	)
Short Contracts:
2	J.P. Morgan	LME Copper Futures^		01/2016		$(265,995	)		$(235,445	)		$30,550
1	J.P. Morgan	LME Copper Futures^		01/2016		(131,570	)		(117,734	)		13,836
1	J.P. Morgan	LME Copper Futures^		02/2016		(125,048	)		(117,772	)		7,276
7	J.P. Morgan	LME Copper Futures^		02/2016		(871,483	)		(824,469	)		47,014
6	J.P. Morgan	LME Copper Futures^		02/2016		(739,485	)		(706,687	)		32,798
6	J.P. Morgan	LME Copper Futures^		02/2016		(738,732	)		(706,687	)		32,045
1	J.P. Morgan	LME Copper Futures^		02/2016		(120,748	)		(117,782	)		2,966
1	J.P. Morgan	LME Copper Futures^		02/2016		(118,651	)		(117,781	)		870
2	J.P. Morgan	LME Copper Futures^		02/2016		(234,083	)		(235,563	)		(1,480	)
1	J.P. Morgan	LME Copper Futures^		02/2016		(116,017	)		(117,778	)		(1,761	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(116,760	)		(117,723	)		(963	)
1	J.P. Morgan	LME Copper Futures^		03/2016		(116,623	)		(117,707	)		(1,084	)
61	Morgan Stanley and Co., International PLC	Natural Gas Futures^		01/2016		(1,284,762	)		(1,425,569	)		(140,807	)
40	Barclays Capital	Amsterdam Index Futures		01/2016		(3,767,834	)		(3,841,444	)		(73,610	)
12	Barclays Capital	DAX Index Futures		03/2016		(3,388,000	)		(3,511,942	)		(123,942	)
4	Barclays Capital	Euro Stoxx 50 Index Futures		03/2016		(141,671	)		(142,669	)		(998	)
59	Barclays Capital	FTSE 100 Index Futures		03/2016		(5,293,040	)		(5,390,884	)		(97,844	)
16	Barclays Capital	FTSE/MIB Index Futures		03/2016		(1,835,489	)		(1,864,168	)		(28,679	)
22	Barclays Capital	H-SHARES Index Futures		01/2016		(1,399,157	)		(1,377,475	)		21,682
16	J.P. Morgan	MSCI Singapore Index Futures		01/2016		(363,649	)		(365,160	)		(1,511	)
288	Barclays Capital	OMXS30 Index Futures		01/2016		(4,879,536	)		(4,940,193	)		(60,657	)
48	J.P. Morgan	S&P/Toronto Stock Exchange 60 Index Futures		03/2016		(5,225,957	)		(5,279,063	)		(53,106	)
7	J.P. Morgan	SET50 Index Futures		03/2016		(31,032	)		(30,914	)		118
71	J.P. Morgan	SGX S&P CNX Nifty Index Futures		01/2016		(1,126,662	)		(1,128,616	)		(1,954	)
5	J.P. Morgan	SPI 200 Index Futures		03/2016		(460,868	)		(478,847	)		(17,979	)
113	J.P. Morgan	3-Month Euro Euribor Futures		06/2016		(30,732,738	)		(30,755,949	)		(23,211	)
181	J.P. Morgan	3-Month Euro Euribor Futures		09/2016		(49,230,774	)		(49,266,411	)		(35,637	)
87	J.P. Morgan	3-Month Euro Euribor Futures		12/2016		(23,683,546	)		(23,678,176	)		5,370
281	J.P. Morgan	90-Day Sterling Futures		06/2016		(51,418,180	)		(51,398,093	)		20,087
222	J.P. Morgan	90-Day Sterling Futures		09/2016		(40,582,739	)		(40,553,140	)		29,599
70	J.P. Morgan	90-Day Sterling Futures		12/2016		(12,783,310	)		(12,767,677	)		15,633

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

AQR Funds Annual Report December 2015

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

NUMBER OF CONTRACTS	COUNTERPARTY	DESCRIPTION	EXPIRATION DATE		VALUE AT TRADE DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Short Contracts: (continued)
265	J.P. Morgan	Australia 10-Year Bond Futures		03/2016		$(24,399,294	)		$(24,503,607	)		$(104,313	)
3	J.P. Morgan	Canadian 3-Month Bank Acceptance Futures		03/2016		(536,921	)		(537,716	)		(795	)
123	Goldman Sachs	Euro - Bund Futures		03/2016		(21,248,576	)		(21,109,206	)		139,370
19	Goldman Sachs	Euro-Buxl 30-Year Bond Futures		03/2016		(3,191,541	)		(3,126,145	)		65,396
31	Morgan Stanley and Co., International PLC	U.S. Treasury Long Bond Futures		03/2016		(4,759,622	)		(4,766,250	)		(6,628	)
						(295,460,093	)		(295,772,442	)		(312,349	)
						$95,454,938			$94,434,634			$(1,020,304	)

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

Forward foreign currency exchange contracts outstanding as of December 31, 2015:

Over the Counter

PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		2,046,500		$1,474,905		$1,485,960		$11,055
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		2,046,500		1,474,905		1,485,960		11,055
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		2,050,000		513,449		506,157		(7,292	)
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		2,050,000		513,450		506,157		(7,293	)
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		4,029,000		3,012,465		2,912,319		(100,146	)
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		4,029,000		3,012,465		2,912,319		(100,146	)
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		467,000		472,041		467,700		(4,341	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		892,000		900,737		893,337		(7,400	)
Euro, Expiring 03/16/16	CitiBank	EUR		1,081,500		1,151,437		1,177,480		26,043
Euro, Expiring 03/16/16	Credit Suisse International	EUR		1,187,500		1,267,384		1,292,887		25,503
British Pound, Expiring 03/16/16	CitiBank	GBP		1,302,000		1,953,811		1,919,640		(34,171	)
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		1,302,000		1,953,811		1,919,640		(34,171	)
Hong Kong Dollar, Expiring 03/16/16	CitiBank	HKD		33,000		4,260		4,260		—
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		55,000		7,097		7,101		4
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		57,000,000		196,730		196,188		(542	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		57,000,000		196,730		196,188		(542	)

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

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Consolidated Schedule of Investments December 31, 2015

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PURCHASE CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT PURCHASED		VALUE AT SETTLEMENT DATE		VALUE AT DECEMBER 31, 2015		UNREALIZED APPRECIATION (DEPRECIATION)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		800,000		$ 209,113		$ 205,909		$ (3,204	)
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		800,000		208,872		205,909		(2,963	)
Indian Rupee, Expiring 03/16/16*	CitiBank	INR		75,150,000		1,109,460		1,122,562		13,102
Indian Rupee, Expiring 03/16/16*	Credit Suisse International	INR		75,150,000		1,109,460		1,122,562		13,102
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		780,862,500		6,374,469		6,507,804		133,335
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		780,862,500		6,374,469		6,507,804		133,335
Korean Won, Expiring 03/16/16*	CitiBank	KRW		230,000,000		196,148		195,838		(310	)
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		230,000,000		196,147		195,838		(309	)
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		2,800,000		167,318		161,625		(5,693	)
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		2,800,000		167,302		161,625		(5,677	)
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		796,000		91,391		89,864		(1,527	)
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		3,914,500		2,587,866		2,665,537		77,671
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		3,914,500		2,587,865		2,665,537		77,672
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		2,690,000		674,180		684,794		10,614
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		2,690,000		674,181		684,794		10,613
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		3,118,500		367,459		370,198		2,739
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		3,118,500		367,459		370,198		2,739
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		465,000		330,596		327,174		(3,422	)
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		465,000		330,597		327,174		(3,423	)
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		7,640,000		2,561,577		2,567,158		5,581
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		7,640,000		2,561,508		2,567,158		5,650
New Taiwan Dollar, Expiring 03/16/16*	CitiBank	TWD		9,450,000		289,166		287,931		(1,235	)
New Taiwan Dollar, Expiring 03/16/16*	Credit Suisse International	TWD		9,450,000		289,169		287,931		(1,238	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		3,930,000		263,372		250,749		(12,623	)
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		3,930,000		263,373		250,749		(12,624	)
						$48,458,194		$48,667,715		$209,521

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

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Consolidated Schedule of Investments December 31, 2015

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
Australian Dollar, Expiring 03/16/16	CitiBank	AUD		(275,500	)		$(197,666	)		$(200,040	)		$(2,374	)
Australian Dollar, Expiring 03/16/16	Credit Suisse International	AUD		(275,500	)		(197,668	)		(200,040	)		(2,372	)
Brazilian Real, Expiring 03/16/16*	CitiBank	BRL		(2,985,000	)		(752,586	)		(737,013	)		15,573
Brazilian Real, Expiring 03/16/16*	Credit Suisse International	BRL		(2,985,000	)		(752,593	)		(737,013	)		15,580
Canadian Dollar, Expiring 03/16/16	CitiBank	CAD		(72,500	)		(53,345	)		(52,406	)		939
Canadian Dollar, Expiring 03/16/16	Credit Suisse International	CAD		(72,500	)		(53,346	)		(52,406	)		940
Swiss Franc, Expiring 03/16/16	CitiBank	CHF		(7,797,000	)		(7,808,542	)		(7,808,690	)		(148	)
Swiss Franc, Expiring 03/16/16	Credit Suisse International	CHF		(7,811,000	)		(7,822,665	)		(7,822,711	)		(46	)
Danish Krone, Expiring 03/16/16	CitiBank	DKK		(2,728,000	)		(397,327	)		(398,127	)		(800	)
Danish Krone, Expiring 03/16/16	Credit Suisse International	DKK		(3,788,000	)		(552,592	)		(552,824	)		(232	)
Euro, Expiring 03/16/16	CitiBank	EUR		(577,500	)		(619,019	)		(628,752	)		(9,733	)
Euro, Expiring 03/16/16	Credit Suisse International	EUR		(602,500	)		(646,038	)		(655,970	)		(9,932	)
British Pound, Expiring 03/16/16	CitiBank	GBP		(1,839,000	)		(2,759,059	)		(2,711,380	)		47,679
British Pound, Expiring 03/16/16	Credit Suisse International	GBP		(1,839,000	)		(2,759,081	)		(2,711,380	)		47,701
Hong Kong Dollar, Expiring 03/16/16	Credit Suisse International	HKD		(726,000	)		(93,704	)		(93,730	)		(26	)
Hungarian Forint, Expiring 03/16/16	CitiBank	HUF		(5,000,000	)		(17,159	)		(17,209	)		(50	)
Hungarian Forint, Expiring 03/16/16	Credit Suisse International	HUF		(5,000,000	)		(17,159	)		(17,209	)		(50	)
Israeli Shekel, Expiring 03/16/16	CitiBank	ILS		(3,045,000	)		(787,298	)		(783,740	)		3,558
Israeli Shekel, Expiring 03/16/16	Credit Suisse International	ILS		(3,045,000	)		(787,299	)		(783,740	)		3,559
Japanese Yen, Expiring 03/16/16	CitiBank	JPY		(22,334,000	)		(182,138	)		(186,134	)		(3,996	)
Japanese Yen, Expiring 03/16/16	Credit Suisse International	JPY		(50,864,000	)		(416,486	)		(423,906	)		(7,420	)
Korean Won, Expiring 03/16/16*	CitiBank	KRW		(2,458,500,000	)		(2,109,469	)		(2,093,349	)		16,120
Korean Won, Expiring 03/16/16*	Credit Suisse International	KRW		(2,458,500,000	)		(2,109,490	)		(2,093,349	)		16,141
Mexican Peso, Expiring 03/16/16	CitiBank	MXN		(41,495,000	)		(2,477,856	)		(2,395,232	)		82,624
Mexican Peso, Expiring 03/16/16	Credit Suisse International	MXN		(41,495,000	)		(2,477,851	)		(2,395,230	)		82,621
Norwegian Krone, Expiring 03/16/16	CitiBank	NOK		(34,200,500	)		(3,940,302	)		(3,861,047	)		79,255
Norwegian Krone, Expiring 03/16/16	Credit Suisse International	NOK		(34,200,500	)		(3,940,307	)		(3,861,048	)		79,259
New Zealand Dollar, Expiring 03/16/16	CitiBank	NZD		(2,645,000	)		(1,752,657	)		(1,801,085	)		(48,428	)

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

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Consolidated Schedule of Investments December 31, 2015

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SALES CONTRACTS	COUNTERPARTY	CURRENCY	CURRENCY AMOUNT SOLD			VALUE AT SETTLEMENT DATE			VALUE AT DECEMBER 31, 2015			UNREALIZED APPRECIATION (DEPRECIATION)
New Zealand Dollar, Expiring 03/16/16	Credit Suisse International	NZD		(2,645,000	)		$ (1,752,657	)		$ (1,801,085	)		$ (48,428	)
Poland Zloty, Expiring 03/16/16	CitiBank	PLN		(150,000	)		(37,461	)		(38,186	)		(725	)
Poland Zloty, Expiring 03/16/16	Credit Suisse International	PLN		(150,000	)		(37,460	)		(38,185	)		(725	)
Swedish Krona, Expiring 03/16/16	CitiBank	SEK		(28,871,000	)		(3,332,266	)		(3,427,283	)		(95,017	)
Swedish Krona, Expiring 03/16/16	Credit Suisse International	SEK		(29,513,000	)		(3,408,975	)		(3,503,495	)		(94,520	)
Singapore Dollar, Expiring 03/16/16	CitiBank	SGD		(640,500	)		(452,596	)		(450,656	)		1,940
Singapore Dollar, Expiring 03/16/16	Credit Suisse International	SGD		(640,500	)		(452,598	)		(450,657	)		1,941
Turkish Lira, Expiring 03/16/16	CitiBank	TRY		(300,000	)		(98,704	)		(100,805	)		(2,101	)
Turkish Lira, Expiring 03/16/16	Credit Suisse International	TRY		(300,000	)		(98,703	)		(100,805	)		(2,102	)
South African Rand, Expiring 03/16/16	CitiBank	ZAR		(1,600,000	)		(109,292	)		(102,086	)		7,206
South African Rand, Expiring 03/16/16	Credit Suisse International	ZAR		(1,600,000	)		(109,188	)		(102,086	)		7,102
							(56,370,602	)		(56,190,089	)		180,513
							$(7,912,408	)		$(7,522,374	)		$390,034

* Non-deliverable forward (See Note 4).

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

SEK - Swedish Krona

SGD - Singapore Dollar

TRY - Turkish Lira

TWD - New Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

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

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Consolidated Schedule of Investments December 31, 2015

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Total Return Basket Swaps* Outstanding at December 31, 2015

Over the Counter

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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.	9 - 12 months maturity ranging from 01/11/2016 - 10/03/2016		$1,155,438

* 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 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Ireland
Accenture PLC		2,392	$	242,336	$	7,628
Alkermes PLC		1,348		81,670		25,335
King Digital Entertainment PLC		4,592		63,258		18,847
XL Group PLC		1,345		48,409		4,288
						56,098
Netherlands
Frank’s International NV		2,487		39,884		1,624
Panama
Copa Holdings SA		1,290		52,152		10,104
Puerto Rico
Popular, Inc.		6,364		189,123		(8,767	)
Singapore
Avago Technologies Ltd.		1,118		139,195		23,082
Flextronics International Ltd.		17,921		191,785		9,109
						32,191
Sweden
Autoliv, Inc.		283		31,210		4,100
Switzerland
ACE Ltd.		200		20,684		2,686
Allied World Assurance Co. Holdings AG		3,347		127,127		(2,653	)
TE Connectivity Ltd.		1,300		75,946		8,047
						8,080

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom
Delphi Automotive PLC		2,595	$	201,397	$	21,073
Noble Corp. PLC		9,576		116,686		(15,659	)
						5,414
United States
3M Co.		475		67,526		4,028
Aaron’s, Inc.		7,868		257,793		(81,628	)
Abbott Laboratories		5,781		239,929		19,695
AbbVie, Inc.		1,972		106,661		10,160
ACI Worldwide, Inc.		729		16,335		(734	)
Activision Blizzard, Inc.		9,589		315,475		55,716
Acuity Brands, Inc.		200		35,232		11,528
Advance Auto Parts, Inc.		200		35,368		(5,266	)
Aetna, Inc.		5,910		651,379		(12,390	)
Aflac, Inc.		8,684		534,997		(14,825	)
AGCO Corp.		10,479		476,713		(1,071	)
Air Lease Corp.		3,806		126,337		1,088
Air Products & Chemicals, Inc.		221		29,453		(699	)
Akamai Technologies, Inc.		1,195		86,812		(23,919	)
Alaska Air Group, Inc.		5,234		414,827		6,562
Alleghany Corp.		54		25,658		150
Allstate Corp./The		2,544		152,863		5,094
Alphabet, Inc.		248		179,965		12,981
Amazon.com, Inc.		130		67,004		20,862
AMC Networks, Inc.		3,468		249,326		9,664
Amdocs Ltd.		9,812		566,671		(31,230	)
AMERCO		531		213,974		(7,149	)
Ameren Corp.		6,608		289,200		(3,536	)
American Airlines Group, Inc.		8,663		360,476		6,402
American Eagle Outfitters, Inc.		19,273		298,488		243
American Electric Power Co., Inc.		18,062		1,024,342		28,131

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

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Consolidated Schedule of Investments December 31, 2015

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
American Financial Group, Inc.		2,767	$	195,993	$	3,453
American International Group, Inc.		2,115		125,053		6,013
Ameriprise Financial, Inc.		2,307		254,023		(8,513	)
AmerisourceBergen Corp.		5,795		563,144		37,856
Amgen, Inc.		1,702		245,492		30,794
AmTrust Financial Services, Inc.		6,624		418,768		(10,862	)
Analog Devices, Inc.		739		42,921		(2,039	)
Anthem, Inc.		5,923		838,589		(12,686	)
AO Smith Corp.		3,753		262,502		25,016
Apple, Inc.		2,282		260,843		(20,639	)
AptarGroup, Inc.		164		11,105		809
Arch Capital Group Ltd.		2,493		186,221		(12,334	)
Archer-Daniels-Midland Co.		7,204		315,032		(50,789	)
Arrow Electronics, Inc.		3,000		168,014		(5,474	)
Ashland, Inc.		480		50,549		(1,253	)
Aspen Insurance Holdings Ltd.		3,756		179,660		1,754
Associated Banc-Corp.		635		11,741		166
Assurant, Inc.		3,812		302,163		4,856
Assured Guaranty Ltd.		14,490		377,842		5,129
Atmos Energy Corp.		1,080		63,029		5,054
Atwood Oceanics, Inc.		11,448		176,733		(59,620	)
AutoNation, Inc.		1,937		115,663		(102	)
AutoZone, Inc.		295		222,033		(3,170	)
Avery Dennison Corp.		3,651		213,100		15,672
Avnet, Inc.		7,700		337,545		(7,677	)
Axis Capital Holdings Ltd.		5,289		286,907		10,441
Bank of Hawaii Corp.		306		19,243		5
Bank of New York Mellon Corp./The		9,196		382,732		(3,673	)
Bank of the Ozarks, Inc.		516		26,246		(725	)
Baxalta, Inc.		6,514		254,871		(630	)
Baxter International, Inc.		1,514		52,675		5,084
BB&T Corp.		1,617		58,417		2,721
Becton Dickinson and Co.		597		80,701		11,291
Bed Bath & Beyond, Inc.		791		45,625		(7,460	)
Bemis Co., Inc.		7,053		304,458		10,740
Best Buy Co., Inc.		9,251		321,758		(40,065	)
Big Lots, Inc.		2,968		136,587		(22,200	)
Biogen, Inc.		229		65,038		5,116
BioMarin Pharmaceutical, Inc.		179		19,455		(703	)
Bio-Rad Laboratories, Inc.		1,549		212,517		2,267
Boeing Co./The		4,692		674,431		3,985
BOK Financial Corp.		991		61,025		(1,773	)
Booz Allen Hamilton Holding Corp.		2,000		54,340		7,360
Boston Scientific Corp.		6,332		105,272		11,490

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Brinker International, Inc.		7,215	$	366,362	$	(20,402	)
Bristol-Myers Squibb Co.		758		52,921		(778	)
Broadridge Financial Solutions, Inc.		4,305		243,578		(12,270	)
Brocade Communications Systems, Inc.		33,439		343,386		(36,416	)
Bunge Ltd.		5,761		421,487		(28,126	)
CA, Inc.		6,672		183,285		7,267
Cabot Corp.		1,432		57,087		1,453
Cadence Design Systems, Inc.		7,835		167,255		(4,209	)
California Resources Corp.		17,031		60,358		(20,676	)
Campbell Soup Co.		350		17,979		413
Capital One Financial Corp.		6,622		503,464		(25,488	)
Cardinal Health, Inc.		2,205		180,309		16,531
Carlisle Cos., Inc.		3,124		277,851		(783	)
Carnival Corp.		9,245		472,131		31,537
Carter’s, Inc.		1,646		150,520		(3,977	)
Casey’s General Stores, Inc.		2,574		274,939		35,100
Catalent, Inc.		2,732		69,845		(1,463	)
CDK Global, Inc.		720		35,570		(1,392	)
CDW Corp.		3,648		156,193		(2,831	)
Celanese Corp.		5,599		361,270		15,710
Celgene Corp.		731		83,736		3,809
Centene Corp.		6,750		384,173		60,045
CenturyLink, Inc.		1,463		37,549		(739	)
CF Industries Holdings, Inc.		4,874		221,886		(22,978	)
Charles River Laboratories International, Inc.		5,250		355,949		66,098
Cheesecake Factory, Inc./The		5,141		265,823		(28,771	)
Church & Dwight Co., Inc.		2,028		174,475		(2,339	)
Cinemark Holdings, Inc.		3,843		125,738		2,733
Cintas Corp.		2,913		263,646		1,582
Cisco Systems, Inc.		20,348		553,580		(1,030	)
Citigroup, Inc.		2,156		108,237		3,336
Citrix Systems, Inc.		1,364		103,524		(338	)
Clorox Co./The		2,707		321,164		22,164
CME Group, Inc.		139		12,493		100
CMS Energy Corp.		2,941		105,938		174
Cognizant Technology Solutions Corp.		2,047		127,170		(4,309	)
Comcast Corp.		4,635		272,125		(10,572	)
Commerce Bancshares, Inc.		295		12,863		(314	)
Commercial Metals Co.		21,515		305,078		(10,538	)
Computer Sciences Corp.		3,571		116,469		231
ConAgra Foods, Inc.		2,139		87,809		2,371

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

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Consolidated Schedule of Investments December 31, 2015

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REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
ConocoPhillips		4,882	$	238,494	$	(10,553	)
Consolidated Edison, Inc.		10,739		713,102		(22,906	)
Constellation Brands, Inc.		2,257		299,720		21,767
Convergys Corp.		12,892		304,858		16,024
CoreLogic, Inc.		3,794		143,247		(14,783	)
Corning, Inc.		4,300		71,251		7,353
Costco Wholesale Corp.		508		73,939		8,103
Coty, Inc.		4,215		117,590		(9,559	)
CR Bard, Inc.		1,729		326,187		1,355
Cracker Barrel Old Country Store, Inc.		2,033		280,874		(23,029	)
Credit Acceptance Corp.		1,058		220,591		5,843
Crown Holdings, Inc.		5,285		263,617		4,332
CST Brands, Inc.		2,968		101,859		14,308
CSX Corp.		6,368		169,069		(3,820	)
Cummins, Inc.		3,276		351,244		(62,923	)
CVR Energy, Inc.		302		12,414		(530	)
CVS Health Corp.		1,465		144,629		(1,396	)
Danaher Corp.		3,070		266,049		19,093
Darden Restaurants, Inc.		7,235		392,954		67,482
Dean Foods Co.		17,660		310,554		(7,685	)
Deckers Outdoor Corp.		1,669		96,799		(18,022	)
Delta Air Lines, Inc.		7,617		359,369		26,736
Deluxe Corp.		5,395		299,721		(5,477	)
DENTSPLY International, Inc.		3,882		226,045		10,175
Devon Energy Corp.		3,414		125,370		(16,122	)
DeVry Education Group, Inc.		658		18,312		(1,658	)
Dick’s Sporting Goods, Inc.		5,117		223,823		(42,937	)
Dillard’s, Inc.		908		75,159		(15,494	)
Discover Financial Services		981		51,160		1,441
Dollar General Corp.		488		33,988		1,085
Dow Chemical Co./The		8,071		415,093		402
DR Horton, Inc.		12,163		369,889		19,692
Dr. Pepper Snapple Group, Inc.		5,858		491,581		54,385
Dril-Quip, Inc.		2,112		129,134		(4,040	)
DST Systems, Inc.		2,292		252,310		9,116
DTE Energy Co.		6,193		501,501		(4,884	)
Dun & Bradstreet Corp./The		398		42,033		(669	)
East West Bancorp, Inc.		1,102		43,166		2,633
Eastman Chemical Co.		1,703		114,895		74
eBay, Inc.		13,218		331,605		31,626
EchoStar Corp.		317		13,280		(882	)
Edison International		9,054		573,787		(37,699	)
Edwards Lifesciences Corp.		1,198		82,279		12,339
Electronic Arts, Inc.		3,914		275,758		(6,788	)
Eli Lilly & Co.		3,707		309,118		3,234
Endurance Specialty Holdings Ltd.		1,821		112,119		4,407

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Energen Corp.		2,552	$	132,844	$	(28,237	)
Entergy Corp.		2,025		130,893		7,536
EOG Resources, Inc.		2,667		202,324		(13,528	)
EP Energy Corp.		12,721		67,505		(11,787	)
Equifax, Inc.		4,980		515,374		39,248
Everest Re Group Ltd.		500		86,915		4,630
Eversource Energy		1,645		82,617		1,393
Exelon Corp.		9,807		289,310		(16,970	)
Expedia, Inc.		661		82,876		(714	)
FactSet Research Systems, Inc.		1,335		224,811		(7,780	)
Fair Isaac Corp.		1,074		90,294		10,855
Fidelity National Information Services, Inc.		1,133		78,063		(9,403	)
Fifth Third BanCorp.		3,117		58,326		4,326
First American Financial Corp.		6,650		259,701		(20,966	)
First Solar, Inc.		5,947		316,035		76,408
FirstMerit Corp.		1,281		22,958		933
Fiserv, Inc.		1,814		164,828		1,081
Flowers Foods, Inc.		11,250		275,846		(34,083	)
FNF Group		9,667		341,927		(6,772	)
Foot Locker, Inc.		6,452		461,032		(41,071	)
FTI Consulting, Inc.		1,517		64,725		(12,146	)
Fulton Financial Corp.		4,577		61,103		(1,556	)
GameStop Corp.		12,263		484,376		(140,521	)
GATX Corp.		1,140		51,456		(2,949	)
General Dynamics Corp.		3,261		454,508		(6,577	)
General Mills, Inc.		2,305		134,432		(1,526	)
General Motors Co.		9,356		318,928		(731	)
Genpact Ltd.		12,265		292,987		13,393
Gilead Sciences, Inc.		3,179		326,884		(5,201	)
Global Payments, Inc.		4,272		271,721		3,866
Goodyear Tire & Rubber Co./The		14,548		454,044		21,239
Graham Holdings Co.		597		342,928		(53,401	)
Graphic Packaging Holding Co.		7,839		102,793		(2,219	)
H&R Block, Inc.		2,631		96,408		(8,769	)
Hanover Insurance Group, Inc./The		3,462		278,154		3,445
Harman International Industries, Inc.		891		83,891		50
Harris Corp.		138		10,143		1,849
Hartford Financial Services Group, Inc./The		6,872		310,643		(11,985	)
Hasbro, Inc.		584		42,086		(2,748	)
HCA Holdings, Inc.		3,196		240,724		(24,579	)
Helmerich & Payne, Inc.		2,542		137,706		(1,582	)
Herman Miller, Inc.		3,449		102,069		(3,083	)
Hess Corp.		1,798		92,734		(5,567	)
Hill-Rom Holdings, Inc.		2,466		129,892		(11,376	)
HNI Corp.		1,039		41,089		(3,623	)
HollyFrontier Corp.		6,785		321,469		(50,815	)
Home Depot, Inc./The		628		77,855		5,198

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

AQR Funds Annual Report December 2015

301

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Hormel Foods Corp.		4,598	$	290,402	$	73,208
HP, Inc.		18,313		247,115		(30,289	)
HSN, Inc.		416		24,565		(3,486	)
Huntington Bancshares, Inc.		10,077		105,033		6,418
Huntington Ingalls Industries, Inc.		4,592		508,439		74,056
IAC/InterActiveCorp.		1,124		74,809		(7,313	)
IDACORP, Inc.		1,928		123,562		7,542
Illinois Tool Works, Inc.		400		32,972		4,100
Ingram Micro, Inc.		12,386		355,422		20,865
Ingredion, Inc.		4,996		454,076		24,741
Integrated Device Technology, Inc.		1,870		42,371		6,904
Intel Corp.		4,100		118,121		23,124
Intercontinental Exchange, Inc.		1,152		278,509		16,702
InterDigital, Inc.		2,317		111,594		2,032
International Business Machines Corp.		1,177		163,643		(1,664	)
International Flavors & Fragrances, Inc.		721		78,235		8,025
International Game Technology PLC		10,465		172,811		(3,487	)
Interpublic Group of Cos., Inc./The		5,012		98,257		18,422
Intrexon Corp.		9,395		310,852		(27,592	)
IPG Photonics Corp.		598		45,364		7,953
ITT Corp.		4,485		166,890		(3,995	)
Jabil Circuit, Inc.		20,591		475,179		4,385
Jack Henry & Associates, Inc.		2,388		181,733		4,674
Jack in the Box, Inc.		212		16,018		244
Janus Capital Group, Inc.		5,396		75,604		426
JetBlue Airways Corp.		17,302		433,187		(41,297	)
JM Smucker Co./The		480		58,709		494
John Wiley & Sons, Inc.		2,036		97,995		(6,314	)
Johnson & Johnson		1,261		123,308		6,222
Johnson Controls, Inc.		3,294		144,595		(14,515	)
JPMorgan Chase & Co.		5,531		341,183		24,029
Juniper Networks, Inc.		7,887		238,487		(20,806	)
KAR Auction Services, Inc.		326		12,314		(242	)
KeyCorp.		5,146		68,337		(461	)
Kimberly-Clark Corp.		603		69,314		7,448
Kohl’s Corp.		1,066		50,848		(75	)
Kroger Co./The		11,514		419,160		62,471
L Brands, Inc.		926		86,402		2,328
L-3 Communications Holdings, Inc.		1,580		167,047		21,779
Lam Research Corp.		2,686		178,738		34,584
Lancaster Colony Corp.		468		52,966		1,069
Landstar System, Inc.		500		33,690		(4,365	)
Lear Corp.		6,577		736,464		71,389
Leggett & Platt, Inc.		1,897		79,407		305
Leidos Holdings, Inc.		4,327		209,476		33,961

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Lennar Corp.		450	$	22,120	$	(110	)
Lennox International, Inc.		916		111,346		3,062
Lexmark International, Inc.		1,000		28,540		3,910
LifePoint Health, Inc.		807		56,535		2,699
Lincoln Electric Holdings, Inc.		410		21,942		(667	)
Lincoln National Corp.		2,029		97,372		4,606
Lockheed Martin Corp.		949		198,321		7,754
Lowe’s Cos., Inc.		1,592		109,343		11,713
LyondellBasell Industries NV		7,523		686,403		(32,654	)
M&T Bank Corp.		104		12,610		(8	)
Mallinckrodt PLC		4,163		279,064		31,620
Manhattan Associates, Inc.		2,357		156,063		(101	)
ManpowerGroup, Inc.		2,150		185,817		(4,594	)
Marathon Oil Corp.		2,711		42,776		(8,645	)
Marathon Petroleum Corp.		8,409		401,199		34,723
Marriott International, Inc.		550		37,770		(898	)
Marvell Technology Group Ltd.		11,445		100,360		585
Masco Corp.		3,861		108,321		945
MAXIMUS, Inc.		2,415		149,137		(13,294	)
McCormick & Co., Inc.		351		29,270		761
McGraw Hill Financial, Inc.		619		54,636		6,385
McKesson Corp.		484		92,697		2,762
MEDNAX, Inc.		1,225		89,101		(1,317	)
Mentor Graphics Corp.		12,367		280,814		(53,014	)
Merck & Co., Inc.		2,166		109,415		4,993
MetLife, Inc.		10,530		504,791		2,860
Mettler-Toledo International, Inc.		35		10,075		1,795
Michaels Cos., Inc./The		2,902		66,988		(2,825	)
Microsoft Corp.		4,300		188,942		49,622
Minerals Technologies, Inc.		2,923		143,395		(9,346	)
Mohawk Industries, Inc.		556		103,996		1,305
Molina Healthcare, Inc.		8,367		528,556		(25,448	)
Mosaic Co./The		10,014		316,824		(40,537	)
MSCI, Inc.		2,427		151,241		23,818
MSG Networks, Inc.		9,202		186,917		4,484
Murphy Oil Corp.		8,600		213,747		(20,677	)
Murphy USA, Inc.		3,587		207,096		10,778
Mylan NV		2,820		143,840		8,638
Nasdaq, Inc.		6,333		352,192		16,199
NCR Corp.		918		22,876		(422	)
NeuStar, Inc.		6,804		178,404		(15,312	)
Newfield Exploration Co.		3,824		133,037		(8,528	)
NewMarket Corp.		62		22,952		653
News Corp.		4,706		68,513		(5,641	)
NextEra Energy, Inc.		2,860		280,214		16,912
NIKE, Inc.		2,286		142,416		459

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

AQR Funds Annual Report December 2015

302

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
NiSource, Inc.		22,670	$	444,288	$	(1,996	)
Northern Trust Corp.		1,672		114,838		5,697
Northrop Grumman Corp.		3,563		609,154		63,576
Norwegian Cruise Line Holdings Ltd.		1,499		90,959		(3,118	)
Nu Skin Enterprises, Inc.		1,335		54,825		(4,242	)
Nuance Communications, Inc.		6,752		136,725		(2,427	)
NVIDIA Corp.		3,470		87,502		26,869
NVR, Inc.		187		302,210		5,031
Old Republic International Corp.		8,998		168,032		(400	)
Omnicom Group, Inc.		1,667		112,877		13,248
ON Semiconductor Corp.		6,840		66,546		486
ONE Gas, Inc.		808		40,177		361
OneMain Holdings, Inc.		2,978		130,124		(6,418	)
OPKO Health, Inc.		11,110		117,348		(5,693	)
Oracle Corp.		2,300		82,915		1,104
Orbital ATK, Inc.		1,249		95,233		16,353
O’Reilly Automotive, Inc.		744		189,547		(1,003	)
Oshkosh Corp.		2,433		94,045		940
Owens Corning		9,360		418,604		21,596
PACCAR, Inc.		4,708		244,554		(21,395	)
Packaging Corp. of America		188		11,512		341
Panera Bread Co.		126		24,029		513
PAREXEL International Corp.		1,106		74,058		1,283
Parker-Hannifin Corp.		728		70,204		398
Patterson-UTI Energy, Inc.		16,621		253,561		(2,917	)
Penske Automotive Group, Inc.		2,226		107,446		(13,197	)
People’s United Financial, Inc.		14,514		233,028		1,373
PepsiCo, Inc.		2,037		190,157		13,380
Pfizer, Inc.		12,026		386,942		1,258
PG&E Corp.		11,977		632,149		4,908
Phillips 66		2,837		227,288		4,779
Pilgrim’s Pride Corp.		8,097		165,653		13,210
Pinnacle Foods, Inc.		6,767		297,232		(9,905	)
Pinnacle West Capital Corp.		7,158		458,171		3,377
Plantronics, Inc.		1,985		100,707		(6,578	)
PNC Financial Services Group, Inc./The		7,588		674,944		48,269
PNM Resources, Inc.		1,057		32,897		(585	)
Polycom, Inc.		5,787		66,887		5,972
Post Holdings, Inc.		1,185		73,779		(665	)
PPG Industries, Inc.		400		35,336		4,192
PPL Corp.		2,678		92,143		(743	)
Procter & Gamble Co./The		920		66,856		6,201
Progressive Corp./The		3,121		96,263		2,985
Prudential Financial, Inc.		1,022		84,892		(1,691	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Public Service Enterprise Group, Inc.		25,816	$	1,056,997	$	(58,176	)
PVH Corp.		950		86,339		(16,372	)
QEP Resources, Inc.		7,438		103,974		(4,305	)
Quest Diagnostics, Inc.		704		44,802		5,281
Quintiles Transnational Holdings, Inc.		7,211		504,633		(9,526	)
Rackspace Hosting, Inc.		6,306		168,013		(8,345	)
Raytheon Co.		3,373		389,864		30,176
Regal Entertainment Group		1,885		34,278		1,292
Regeneron Pharmaceuticals, Inc.		150		82,517		(1,086	)
Reinsurance Group of America, Inc.		3,858		352,332		(22,280	)
Reliance Steel & Aluminum Co.		7,747		440,637		7,992
RenaissanceRe Holdings Ltd.		552		60,155		2,326
Republic Services, Inc.		10,392		435,833		21,311
ResMed, Inc.		677		36,915		(567	)
Robert Half International, Inc.		2,222		112,623		(7,878	)
Rockwell Automation, Inc.		1,080		110,671		148
Ross Stores, Inc.		1,600		78,528		7,568
Rowan Cos. PLC		14,751		262,950		(12,921	)
Royal Caribbean Cruises Ltd.		3,207		293,203		31,378
Ryder System, Inc.		6,146		440,031		(90,754	)
Sabre Corp.		1,430		41,461		(1,464	)
SCANA Corp.		8,089		461,645		27,658
Scotts Miracle-Gro Co./The		1,393		85,653		4,210
SEI Investments Co.		1,014		48,783		4,350
Sensient Technologies Corp.		2,581		159,876		2,262
Service Corp. International		4,774		134,941		(10,722	)
ServiceMaster Global Holdings, Inc.		800		26,978		4,414
Sherwin-Williams Co./The		236		53,869		7,396
Skechers U.S.A., Inc.		10,778		377,065		(51,462	)
Skyworks Solutions, Inc.		4,101		329,195		(14,115	)
SM Energy Co.		3,680		95,870		(23,521	)
Snap-on, Inc.		1,068		165,414		17,673
Sonoco Products Co.		4,415		174,796		5,645
Southwest Airlines Co.		4,274		165,295		18,744
Spectrum Brands Holdings, Inc.		900		83,754		7,866
Spirit AeroSystems Holdings, Inc.		15,482		781,365		(6,181	)
Spirit Airlines, Inc.		965		35,457		2,998
Sprint Corp.		7,721		29,650		(1,700	)

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

AQR Funds Annual Report December 2015

303

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
SS&C Technologies Holdings, Inc.		1,513	$	107,969	$	(4,676	)
St. Jude Medical, Inc.		590		37,225		(781	)
Stanley Black & Decker, Inc.		1,325		138,706		2,711
Starbucks Corp.		611		35,290		1,388
State Street Corp.		2,004		133,328		(343	)
STERIS PLC		3,731		250,000		31,093
Stryker Corp.		1,917		182,498		(4,332	)
SunTrust Banks, Inc.		9,768		380,981		37,481
Superior Energy Services, Inc.		4,209		57,327		(631	)
SUPERVALU, Inc.		23,858		162,638		(881	)
Synaptics, Inc.		1,213		102,061		(4,608	)
Synchrony Financial		5,896		184,243		(4,945	)
Synopsys, Inc.		5,538		260,617		(8,029	)
Sysco Corp.		400		15,892		508
Talen Energy Corp.		10,429		105,530		(40,557	)
Target Corp.		6,807		525,118		(30,862	)
Tech Data Corp.		6,742		470,661		(23,127	)
TEGNA, Inc.		12,818		296,291		30,824
Teledyne Technologies, Inc.		651		57,537		206
Teleflex, Inc.		2,520		322,716		8,538
Telephone & Data Systems, Inc.		3,919		101,494		(32	)
Teradyne, Inc.		2,213		42,378		3,365
Tesoro Corp.		4,198		428,546		13,797
Texas Instruments, Inc.		215		10,294		1,490
Textron, Inc.		1,793		77,193		(1,869	)
Thomson Reuters Corp.		3,084		124,388		(7,658	)
Thor Industries, Inc.		2,412		125,898		9,535
Time Warner, Inc.		451		30,582		(1,416	)
Time, Inc.		10,567		189,967		(24,382	)
TJX Cos., Inc./The		425		30,483		(346	)
T-Mobile US, Inc.		4,411		174,138		(1,580	)
TopBuild Corp.		2,745		81,145		3,329
Torchmark Corp.		5,189		294,558		2,046
Toro Co./The		1,001		74,577		(1,434	)
Total System Services, Inc.		8,956		428,682		17,327
Transocean Ltd.		2,076		26,877		(1,176	)
Travelers Cos., Inc./The		5,294		546,487		50,994
Trinity Industries, Inc.		13,384		335,675		(14,192	)
Trustmark Corp.		3,201		75,477		(1,726	)
Tupperware Brands Corp.		2,058		108,765		5,762
Tyler Technologies, Inc.		498		86,295		517
Tyson Foods, Inc.		9,981		445,194		87,093
UGI Corp.		2,001		68,695		(1,141	)
Ulta Salon Cosmetics & Fragrance, Inc.		67		11,172		1,223
United Parcel Service, Inc.		1,205		123,208		(7,250	)
United Therapeutics Corp.		2,752		399,680		31,310

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
UnitedHealth Group, Inc.		4,610	$	535,775	$	6,545
Universal Health Services, Inc.		1,218		146,171		(633	)
Unum Group		1,721		56,941		351
US Bancorp.		4,438		182,374		6,995
Valero Energy Corp.		11,013		677,940		100,789
Validus Holdings Ltd.		6,089		272,162		9,698
Valmont Industries, Inc.		572		59,123		1,521
Valspar Corp./The		300		21,861		3,024
Vantiv, Inc.		2,235		103,847		2,137
Varian Medical Systems, Inc.		394		29,673		2,163
Vectren Corp.		900		36,792		1,386
VeriSign, Inc.		3,586		278,158		35,115
Verizon Communications, Inc.		2,485		111,389		3,468
VF Corp.		194		13,574		(1,498	)
Visa, Inc.		643		44,540		5,325
Vishay Intertechnology, Inc.		1,018		9,969		2,298
Voya Financial, Inc.		3,300		131,344		(9,541	)
VWR Corp.		1,999		55,209		1,382
Wabtec Corp.		547		47,558		(8,656	)
Wal-Mart Stores, Inc.		4,788		299,198		(5,694	)
Walt Disney Co./The		1,030		110,428		(2,196	)
Waste Connections, Inc.		1,715		98,144		(1,556	)
Waste Management, Inc.		12,562		633,414		37,020
Waters Corp.		1,469		172,911		24,787
WellCare Health Plans, Inc.		1,949		160,657		(8,226	)
Wells Fargo & Co.		6,055		311,370		17,779
Werner Enterprises, Inc.		14,562		371,121		(30,516	)
West Pharmaceutical Services, Inc.		963		58,876		(884	)
Western Digital Corp.		3,870		260,130		(27,737	)
Western Refining, Inc.		5,996		256,114		(42,536	)
Western Union Co./The		2,631		47,910		(789	)
Westlake Chemical Corp.		3,426		195,783		(9,683	)
WGL Holdings, Inc.		5,748		325,898		36,168
Whirlpool Corp.		2,568		392,715		(15,552	)
White Mountains Insurance Group Ltd.		80		59,953		(1,808	)
Woodward, Inc.		1,485		62,728		11,017
World Fuel Services Corp.		4,877		178,628		8,942
WR Berkley Corp.		400		21,760		140
Wyndham Worldwide Corp.		970		75,399		(4,929	)
Xcel Energy, Inc.		22,228		788,981		9,226
Xilinx, Inc.		1,242		60,310		(1,973	)
						432,265
Total of Long Equity Positions						541,109

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

AQR Funds Annual Report December 2015

304

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
Short Positions
Common Stocks
Canada
lululemon athletica, Inc.		(2,085	)	$	(109,259	)	$	(141	)
Ireland
Allegion PLC		(3,675	)		(240,975	)		(1,281	)
Endo International PLC		(5,841	)		(376,759	)		19,173
Jazz Pharmaceuticals PLC		(1,315	)		(174,915	)		(9,922	)
Medtronic PLC		(2,837	)		(201,055	)		(17,167	)
								(9,197	)
Netherlands
Chicago Bridge & Iron Co. NV		(993	)		(39,636	)		919
Core Laboratories NV		(1,174	)		(127,762	)		102
QIAGEN NV		(5,471	)		(140,415	)		(10,858	)
Sensata Technologies Holding NV		(8,290	)		(370,910	)		(10,928	)
								(20,765	)
Norway
Golar LNG Ltd.		(20,031	)		(458,295	)		142,005
Switzerland
Weatherford International PLC		(53,493	)		(477,786	)		28,980
United Kingdom
Aon PLC		(6,600	)		(600,066	)		(8,520	)
Ensco PLC		(16,106	)		(234,377	)		(13,495	)
Liberty Global PLC		(3,170	)		(130,337	)		(3,944	)
Michael Kors Holdings Ltd.		(2,891	)		(118,714	)		2,901
Pentair PLC		(3,878	)		(209,464	)		17,387
								(5,671	)
United States
3D Systems Corp.		(4,948	)		(44,965	)		1,967
Abercrombie & Fitch Co.		(6,534	)		(143,552	)		(32,866	)
Acadia Healthcare Co., Inc.		(2,811	)		(191,289	)		15,714
Acxiom Corp.		(4,659	)		(91,875	)		(5,591	)
Adobe Systems, Inc.		(1,051	)		(88,138	)		(10,593	)
ADT Corp./The		(5,213	)		(162,279	)		(9,645	)
AECOM		(4,378	)		(117,469	)		(14,003	)
AES Corp.		(14,037	)		(145,001	)		10,667
Agilent Technologies, Inc.		(5,311	)		(192,347	)		(29,706	)
Agios Pharmaceuticals, Inc.		(3,603	)		(235,777	)		1,870
Akorn, Inc.		(14,535	)		(407,200	)		(135,100	)
Albemarle Corp.		(8,636	)		(388,662	)		(95,041	)
Alcoa, Inc.		(24,367	)		(227,961	)		(12,541	)
Alere, Inc.		(5,809	)		(256,616	)		29,542
Alexion Pharmaceuticals, Inc.		(1,478	)		(254,112	)		(27,816	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Align Technology, Inc.		(6,122	)	$	(369,553	)	$	(33,581	)
Allegheny Technologies, Inc.		(11,541	)		(170,816	)		40,979
Alliance Data Systems Corp.		(959	)		(257,423	)		(7,807	)
Alliant Energy Corp.		(350	)		(21,653	)		(204	)
Allison Transmission Holdings, Inc.		(3,141	)		(82,172	)		851
Allscripts Healthcare Solutions, Inc.		(5,668	)		(72,214	)		(14,960	)
Ally Financial, Inc.		(652	)		(13,517	)		1,364
Alnylam Pharmaceuticals, Inc.		(3,667	)		(300,344	)		(44,868	)
American Express Co.		(1,292	)		(94,060	)		4,202
AMETEK, Inc.		(466	)		(25,064	)		91
Amphenol Corp.		(4,421	)		(236,532	)		5,623
Anadarko Petroleum Corp.		(4,235	)		(246,207	)		40,471
Apache Corp.		(2,470	)		(101,205	)		(8,636	)
Apollo Education Group, Inc.		(5,071	)		(44,468	)		5,574
Applied Materials, Inc.		(14,048	)		(229,959	)		(32,317	)
Arista Networks, Inc.		(2,673	)		(192,465	)		(15,601	)
Armstrong World Industries, Inc.		(1,700	)		(86,207	)		8,466
ARRIS Group, Inc.		(2,546	)		(67,247	)		(10,584	)
Arthur J Gallagher & Co.		(7,043	)		(297,452	)		9,112
Artisan Partners Asset Management, Inc.		(4,409	)		(159,363	)		374
Ascena Retail Group, Inc.		(3,151	)		(32,577	)		1,539
Autodesk, Inc.		(6,463	)		(307,031	)		(86,759	)
Automatic Data Processing, Inc.		(2,280	)		(194,135	)		974
Avis Budget Group, Inc.		(333	)		(12,203	)		118
Avon Products, Inc.		(47,941	)		(162,872	)		(31,289	)
B/E Aerospace, Inc.		(17,748	)		(792,170	)		40,188
Ball Corp.		(5,102	)		(345,270	)		(25,798	)
BancorpSouth, Inc.		(2,300	)		(54,648	)		(529	)
Bank of America Corp.		(16,859	)		(259,162	)		(24,575	)
BankUnited, Inc.		(1,788	)		(64,779	)		304
Belden, Inc.		(3,503	)		(168,491	)		1,467
Bio-Techne Corp.		(2,888	)		(266,047	)		6,127
Black Hills Corp.		(2,772	)		(117,382	)		(11,322	)
Black Knight Financial Services, Inc.		(7,955	)		(258,408	)		(4,585	)
BlackRock, Inc.		(88	)		(29,578	)		(388	)
Bluebird Bio, Inc.		(2,182	)		(202,964	)		62,836
BorgWarner, Inc.		(12,848	)		(532,458	)		(22,962	)
Brookdale Senior Living, Inc.		(17,853	)		(396,387	)		66,820
Brown & Brown, Inc.		(5,377	)		(168,432	)		(4,170	)
Brown-Forman Corp.		(851	)		(86,058	)		1,570
Bruker Corp.		(11,185	)		(198,244	)		(73,216	)
Brunswick Corp.		(923	)		(43,950	)		(2,671	)
Buffalo Wild Wings, Inc.		(512	)		(82,547	)		806
BWX Technologies, Inc.		(5,079	)		(142,381	)		(18,978	)

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

AQR Funds Annual Report December 2015

305

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Cabela’s, Inc.		(10,440	)	$	(402,883	)	$	(84,979	)
Cable One, Inc.		(124	)		(55,033	)		1,259
Cabot Oil & Gas Corp.		(17,682	)		(332,086	)		19,291
CalAtlantic Group, Inc.		(8,732	)		(347,893	)		16,775
Calpine Corp.		(18,688	)		(271,831	)		1,416
CarMax, Inc.		(3,545	)		(207,878	)		16,554
Carpenter Technology Corp.		(7,758	)		(240,030	)		5,196
Caterpillar, Inc.		(5,272	)		(360,067	)		1,782
CBOE Holdings, Inc.		(1,946	)		(134,558	)		8,263
CBS Corp.		(3,457	)		(140,848	)		(22,080	)
CEB, Inc.		(772	)		(54,285	)		6,892
CenterPoint Energy, Inc.		(8,833	)		(161,194	)		(980	)
Cerner Corp.		(3,446	)		(219,529	)		12,183
CH Robinson Worldwide, Inc.		(3,761	)		(252,147	)		18,890
Charles Schwab Corp./The		(12,807	)		(366,880	)		(54,854	)
Chemours Co./The		(9,409	)		(52,078	)		1,646
Cheniere Energy, Inc.		(9,098	)		(437,356	)		98,456
Chevron Corp.		(1,186	)		(108,363	)		1,670
Chico’s FAS, Inc.		(4,734	)		(76,328	)		25,816
Chipotle Mexican Grill, Inc.		(742	)		(498,556	)		142,507
Ciena Corp.		(5,749	)		(118,947	)		—
Cimarex Energy Co.		(925	)		(87,664	)		4,988
Cincinnati Financial Corp.		(1,300	)		(69,498	)		(7,423	)
Clean Harbors, Inc.		(831	)		(37,548	)		2,937
Cleco Corp.		(1,000	)		(53,090	)		880
CNO Financial Group, Inc.		(4,694	)		(90,760	)		1,151
Coach, Inc.		(3,000	)		(85,440	)		(12,750	)
Cobalt International Energy, Inc.		(42,471	)		(302,304	)		72,961
Coca-Cola Co./The		(3,737	)		(154,343	)		(6,199	)
Cognex Corp.		(8,662	)		(300,270	)		7,754
Colfax Corp.		(11,536	)		(324,441	)		55,075
Colgate-Palmolive Co.		(10,024	)		(644,815	)		(22,984	)
Columbia Pipeline Group, Inc.		(14,364	)		(281,975	)		(5,305	)
Comerica, Inc.		(2,469	)		(101,201	)		(2,077	)
CommScope Holding Co., Inc.		(8,344	)		(239,900	)		23,874
CommVault Systems, Inc.		(5,715	)		(205,092	)		(19,793	)
Compass Minerals International, Inc.		(1,093	)		(84,968	)		2,698
Concho Resources, Inc.		(578	)		(55,965	)		2,292
Copart, Inc.		(1,557	)		(59,052	)		(129	)
CoStar Group, Inc.		(1,014	)		(180,297	)		(29,287	)
Covanta Holding Corp.		(22,244	)		(380,597	)		36,037
Cree, Inc.		(2,448	)		(67,600	)		2,312
Cypress Semiconductor Corp.		(39,325	)		(372,822	)		(12,956	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Dana Holding Corp.		(6,493	)	$	(102,626	)	$	13,022
DaVita HealthCare Partners, Inc.		(5,293	)		(384,999	)		16,024
Deere & Co.		(2,084	)		(161,801	)		2,854
Denbury Resources, Inc.		(35,155	)		(103,376	)		32,363
DexCom, Inc.		(2,245	)		(191,167	)		7,301
Diamond Offshore Drilling, Inc.		(1,586	)		(33,635	)		170
Diebold, Inc.		(2,400	)		(71,673	)		(543	)
Discovery Communications, Inc.		(18,497	)		(511,055	)		17,555
DISH Network Corp.		(1,222	)		(71,607	)		1,733
Dolby Laboratories, Inc.		(3,683	)		(122,619	)		(1,314	)
Dollar Tree, Inc.		(6,316	)		(406,550	)		(81,171	)
Dominion Resources, Inc.		(9,838	)		(694,305	)		28,863
Donaldson Co., Inc.		(10,690	)		(308,409	)		2,034
Dover Corp.		(750	)		(44,926	)		(1,057	)
DreamWorks Animation SKG, Inc.		(2,483	)		(58,439	)		(5,548	)
DSW, Inc.		(5,758	)		(145,242	)		7,856
Duke Energy Corp.		(3,967	)		(283,055	)		(149	)
Dunkin’ Brands Group, Inc.		(6,724	)		(294,605	)		8,230
E*TRADE Financial Corp.		(3,200	)		(84,704	)		(10,144	)
Eaton Corp PLC		(766	)		(38,942	)		(921	)
Eaton Vance Corp.		(3,436	)		(117,837	)		6,408
Ecolab, Inc.		(1,339	)		(148,980	)		(4,174	)
Emerson Electric Co.		(5,904	)		(265,806	)		(16,583	)
Envision Healthcare Holdings Inc		(16,998	)		(540,525	)		99,087
EQT Corp.		(646	)		(34,178	)		502
Estee Lauder Cos., Inc./The		(900	)		(71,793	)		(7,461	)
Esterline Technologies Corp.		(3,703	)		(270,622	)		(29,321	)
Expeditors International of Washington, Inc.		(1,168	)		(54,686	)		2,009
Express Scripts Holding Co.		(453	)		(38,771	)		(826	)
Exxon Mobil Corp.		(1,438	)		(108,594	)		(3,498	)
F5 Networks, Inc.		(693	)		(67,413	)		220
Facebook, Inc.		(1,277	)		(117,068	)		(16,583	)
Fairchild Semiconductor International, Inc.		(2,193	)		(37,750	)		(7,667	)
Fastenal Co.		(4,271	)		(152,813	)		(21,529	)
FedEx Corp.		(1,056	)		(172,914	)		15,581
FEI Co.		(2,351	)		(177,534	)		(10,052	)
FireEye, Inc.		(15,102	)		(351,812	)		38,597
First Horizon National Corp.		(17,956	)		(257,132	)		(3,589	)
First Republic Bank		(800	)		(50,208	)		(2,640	)
FirstEnergy Corp.		(1,871	)		(58,072	)		(1,295	)
FleetCor Technologies, Inc.		(2,436	)		(353,440	)		5,263
FLIR Systems, Inc.		(2,912	)		(83,500	)		1,761
Flowserve Corp.		(7,459	)		(312,558	)		(1,317	)

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

AQR Funds Annual Report December 2015

306

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Fluor Corp.		(3,826	)	$	(166,914	)	$	(13,750	)
FMC Corp.		(14,493	)		(516,634	)		(50,477	)
FMC Technologies, Inc.		(3,351	)		(107,012	)		9,800
Ford Motor Co.		(13,513	)		(186,038	)		(4,361	)
Fortinet, Inc.		(2,544	)		(90,140	)		10,843
Fortune Brands Home & Security, Inc.		(1,200	)		(59,172	)		(7,428	)
Fossil Group, Inc.		(1,492	)		(70,218	)		15,670
Franklin Resources, Inc.		(4,845	)		(188,950	)		10,557
Freeport-McMoRan, Inc.		(53,493	)		(526,304	)		164,156
Frontier Communications Corp.		(14,318	)		(70,486	)		3,621
Gap, Inc./The		(5,333	)		(139,448	)		7,723
Gartner, Inc.		(1,645	)		(149,284	)		82
General Electric Co.		(12,960	)		(324,438	)		(79,266	)
Genesee & Wyoming, Inc.		(5,195	)		(324,094	)		45,174
Gentex Corp.		(1,922	)		(32,264	)		1,493
Genworth Financial, Inc.		(93,301	)		(448,131	)		100,118
GNC Holdings, Inc.		(7,693	)		(249,853	)		11,216
Graco, Inc.		(1,554	)		(109,050	)		(2,946	)
Granite Construction, Inc.		(610	)		(26,945	)		770
Great Plains Energy, Inc.		(436	)		(12,116	)		209
Greif, Inc.		(3,556	)		(114,842	)		5,282
Groupon, Inc.		(12,133	)		(38,385	)		1,137
Guess?, Inc.		(1,946	)		(42,520	)		5,780
Hain Celestial Group, Inc./The		(9,052	)		(398,746	)		33,136
Halliburton Co.		(9,164	)		(343,181	)		31,239
Halyard Health, Inc.		(1,123	)		(32,036	)		(5,483	)
Hanesbrands, Inc.		(1,676	)		(48,035	)		(1,290	)
Harley-Davidson, Inc.		(642	)		(34,603	)		5,463
Harsco Corp.		(14,055	)		(126,812	)		16,059
HD Supply Holdings, Inc.		(4,735	)		(144,426	)		2,234
Henry Schein, Inc.		(370	)		(48,511	)		(10,020	)
Hershey Co./The		(2,771	)		(249,833	)		2,466
Hertz Global Holdings, Inc.		(10,198	)		(181,863	)		36,746
Hexcel Corp.		(2,013	)		(90,644	)		(2,860	)
Hilton Worldwide Holdings, Inc.		(11,945	)		(280,947	)		25,324
Hologic, Inc.		(509	)		(19,841	)		148
Honeywell International, Inc.		(518	)		(53,099	)		(550	)
Hubbell, Inc.		(433	)		(40,657	)		(3,093	)
Huntsman Corp.		(11,394	)		(137,782	)		8,232
IDEX Corp.		(186	)		(12,934	)		(1,315	)
IDEXX Laboratories, Inc.		(5,348	)		(392,788	)		2,812
IHS, Inc.		(1,104	)		(125,852	)		(4,895	)
Illumina, Inc.		(3,632	)		(542,763	)		(154,382	)
IMS Health Holdings, Inc.		(932	)		(25,616	)		1,878
Incyte Corp.		(1,820	)		(201,093	)		3,714
Intersil Corp.		(6,997	)		(82,298	)		(6,984	)
Intuit, Inc.		(988	)		(93,591	)		(1,751	)
Intuitive Surgical, Inc.		(369	)		(177,020	)		(24,513	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Invesco Ltd.		(555	)	$	(16,981	)	$	(1,600	)
Ionis Pharmaceuticals, Inc.		(199	)		(12,322	)		(2	)
ITC Holdings Corp.		(27,100	)		(905,093	)		(158,582	)
Itron, Inc.		(2,926	)		(93,404	)		(12,459	)
Jacobs Engineering Group, Inc.		(430	)		(16,238	)		(1,801	)
JB Hunt Transport Services, Inc.		(881	)		(65,827	)		1,197
Joy Global, Inc.		(19,953	)		(279,802	)		28,195
Kansas City Southern		(8,695	)		(757,648	)		108,393
Kate Spade & Co.		(21,370	)		(416,331	)		36,586
KBR, Inc.		(16,446	)		(275,250	)		(3,016	)
Kellogg Co.		(3,679	)		(251,003	)		(14,878	)
Kennametal, Inc.		(4,826	)		(120,378	)		27,719
Keysight Technologies, Inc.		(420	)		(12,858	)		959
Kinder Morgan, Inc.		(20,574	)		(517,917	)		210,953
KLX, Inc.		(3,795	)		(136,126	)		19,278
Knowles Corp.		(3,825	)		(52,551	)		1,564
Kosmos Energy Ltd.		(14,589	)		(84,723	)		8,860
Las Vegas Sands Corp.		(1,300	)		(54,145	)		(2,847	)
Legg Mason, Inc.		(1,007	)		(41,851	)		2,346
Leucadia National Corp.		(16,498	)		(316,115	)		29,215
Level 3 Communications, Inc.		(6,029	)		(282,577	)		(45,160	)
Liberty Broadband Corp.		(2,486	)		(130,144	)		1,220
Linear Technology Corp.		(1,953	)		(77,413	)		(5,530	)
LinkedIn Corp.		(1,794	)		(359,609	)		(44,184	)
Lions Gate Entertainment Corp.		(4,448	)		(165,463	)		21,392
Live Nation Entertainment, Inc.		(6,103	)		(155,124	)		5,173
Loews Corp.		(8,387	)		(306,159	)		(15,901	)
Macy’s, Inc.		(3,714	)		(151,113	)		21,197
Manitowoc Co., Inc./The		(16,809	)		(252,978	)		(5,040	)
Marsh & McLennan Cos., Inc.		(13,071	)		(697,645	)		(27,142	)
MasterCard, Inc.		(3,529	)		(332,661	)		(10,922	)
Mattel, Inc.		(14,011	)		(333,287	)		(47,392	)
McDonald’s Corp.		(2,522	)		(275,792	)		(22,157	)
MDC Holdings, Inc.		(469	)		(12,691	)		718
MDU Resources Group, Inc.		(17,995	)		(314,477	)		(15,191	)
Mead Johnson Nutrition Co.		(6,588	)		(516,424	)		(3,699	)
Memorial Resource Development Corp.		(6,966	)		(118,996	)		6,495
Mercury General Corp.		(1,789	)		(89,487	)		6,173
MGM Resorts International		(16,120	)		(316,108	)		(50,138	)
Micron Technology, Inc.		(3,879	)		(55,685	)		758
Middleby Corp./The		(1,320	)		(143,238	)		850
Molson Coors Brewing Co.		(1,392	)		(115,028	)		(15,708	)
Monsanto Co.		(3,395	)		(302,586	)		(31,890	)

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

AQR Funds Annual Report December 2015

307

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Monster Beverage Corp.		(443	)	$	(62,213	)	$	(3,776	)
Morgan Stanley		(2,593	)		(84,353	)		1,870
Motorola Solutions, Inc.		(1,015	)		(69,777	)		300
MSC Industrial Direct Co., Inc.		(210	)		(12,648	)		831
Nabors Industries Ltd.		(4,848	)		(47,674	)		6,417
National Fuel Gas Co.		(300	)		(14,937	)		2,112
National Instruments Corp.		(4,339	)		(122,670	)		(1,816	)
National Oilwell Varco, Inc.		(5,342	)		(183,040	)		4,137
Navient Corp.		(11,785	)		(136,914	)		1,976
NetApp, Inc.		(5,034	)		(161,563	)		28,011
Netflix, Inc.		(506	)		(56,794	)		(1,082	)
NetScout Systems, Inc.		(4,770	)		(163,273	)		16,834
NetSuite, Inc.		(5,069	)		(431,008	)		2,070
New York Times Co./The		(3,000	)		(34,950	)		(5,310	)
Nielsen Holdings PLC		(4,090	)		(190,876	)		282
Noble Energy, Inc.		(3,994	)		(125,339	)		(6,183	)
Nordson Corp.		(2,032	)		(130,780	)		427
Nordstrom, Inc.		(4,918	)		(277,743	)		32,777
NorthStar Asset Management Group, Inc.		(22,843	)		(327,519	)		50,205
NRG Energy, Inc.		(17,018	)		(223,539	)		23,237
Nucor Corp.		(7,321	)		(297,984	)		2,948
Occidental Petroleum Corp.		(5,146	)		(352,382	)		4,461
Ocwen Financial Corp.		(5,500	)		(38,060	)		(275	)
OGE Energy Corp.		(19,276	)		(523,322	)		16,556
Oil States International, Inc.		(6,520	)		(179,707	)		2,037
Old Dominion Freight Line, Inc.		(1,730	)		(105,763	)		3,572
Olin Corp.		(13,576	)		(257,347	)		23,025
ONEOK, Inc.		(11,583	)		(377,231	)		91,594
Owens & Minor, Inc.		(807	)		(26,542	)		(2,494	)
Owens-Illinois, Inc.		(14,598	)		(282,188	)		27,891
PacWest Bancorp		(2,726	)		(120,034	)		2,544
Palo Alto Networks, Inc.		(389	)		(68,150	)		(368	)
Pandora Media, Inc.		(5,947	)		(100,383	)		20,634
Patterson Cos., Inc.		(2,795	)		(128,085	)		1,723
Paychex, Inc.		(550	)		(27,854	)		(1,236	)
PayPal Holdings, Inc.		(7,337	)		(262,502	)		(3,097	)
PerkinElmer, Inc.		(704	)		(32,776	)		(4,938	)
Pitney Bowes, Inc.		(4,202	)		(83,591	)		(3,180	)
Platform Specialty Products Corp.		(39,420	)		(496,415	)		(9,344	)
Polaris Industries, Inc.		(341	)		(40,025	)		10,716
PolyOne Corp.		(610	)		(18,672	)		(701	)
Praxair, Inc.		(3,253	)		(344,681	)		11,574
Premier, Inc.		(2,777	)		(95,346	)		(2,599	)
Priceline Group, Inc./The		(62	)		(76,745	)		(2,301	)
Principal Financial Group, Inc.		(4,466	)		(213,650	)		12,769
PTC, Inc.		(3,158	)		(106,850	)		(2,512	)
PulteGroup, Inc.		(2,588	)		(46,820	)		702

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Qorvo, Inc.		(2,198	)	$	(120,508	)	$	8,630
QUALCOMM, Inc.		(4,468	)		(242,429	)		19,096
Quanta Services, Inc.		(17,015	)		(362,877	)		18,323
Questar Corp.		(10,946	)		(217,473	)		4,245
Ralph Lauren Corp.		(315	)		(35,816	)		700
Range Resources Corp.		(8,614	)		(244,626	)		32,636
Regions Financial Corp.		(28,412	)		(257,094	)		(15,661	)
Rent-A-Center, Inc.		(2,608	)		(40,674	)		1,632
Rice Energy, Inc.		(18,618	)		(232,762	)		29,825
Rockwell Collins, Inc.		(1,487	)		(130,124	)		(7,126	)
Rollins, Inc.		(2,243	)		(60,589	)		2,496
Roper Technologies, Inc.		(1,472	)		(230,473	)		(48,897	)
Rovi Corp.		(3,316	)		(55,387	)		143
RPC, Inc.		(6,142	)		(74,713	)		1,316
RR Donnelley & Sons Co.		(3,637	)		(53,906	)		370
salesforce.com, Inc.		(2,175	)		(159,574	)		(10,946	)
Sally Beauty Holdings, Inc.		(8,379	)		(204,226	)		(29,465	)
SanDisk Corp.		(2,938	)		(153,498	)		(69,761	)
Santander Consumer USA Holdings, Inc.		(2,200	)		(46,926	)		12,056
SBA Communications Corp.		(3,181	)		(343,732	)		9,504
Schlumberger Ltd.		(3,347	)		(250,560	)		17,107
Scripps Networks Interactive, Inc.		(961	)		(51,047	)		(2,010	)
Seagate Technology PLC		(2,556	)		(95,117	)		1,414
Sealed Air Corp.		(1,352	)		(63,158	)		2,859
Seattle Genetics, Inc.		(4,019	)		(155,868	)		(24,505	)
Sempra Energy		(6,547	)		(647,188	)		31,704
Semtech Corp.		(4,387	)		(64,413	)		(18,589	)
ServiceNow, Inc.		(1,343	)		(96,921	)		(19,329	)
Signet Jewelers Ltd.		(1,077	)		(149,873	)		16,659
Silicon Laboratories, Inc.		(1,469	)		(64,390	)		(6,915	)
Sirius XM Holdings, Inc.		(80,496	)		(311,883	)		(15,736	)
Six Flags Entertainment Corp.		(5,272	)		(248,496	)		(41,147	)
SLM Corp.		(46,325	)		(324,285	)		22,246
Sotheby’s		(3,324	)		(106,776	)		21,150
Southern Co./The		(3,928	)		(177,078	)		(6,714	)
Southwestern Energy Co.		(18,565	)		(205,608	)		73,611
Spectra Energy Corp.		(10,663	)		(286,112	)		30,840
Splunk, Inc.		(7,861	)		(435,739	)		(26,567	)
Sprouts Farmers Market, Inc.		(21,476	)		(467,152	)		(103,895	)
Staples, Inc.		(7,621	)		(97,462	)		25,291
Steel Dynamics, Inc.		(5,976	)		(107,309	)		518
Stericycle, Inc.		(1,899	)		(233,828	)		4,808
Stifel Financial Corp.		(2,344	)		(103,200	)		3,908
SunEdison, Inc.		(43,999	)		(339,195	)		115,240
SunPower Corp.		(6,616	)		(192,320	)		(6,227	)
SVB Financial Group		(1,340	)		(159,672	)		346
Synovus Financial Corp.		(2,581	)		(77,893	)		(5,680	)
T Rowe Price Group, Inc.		(356	)		(26,180	)		730
Tableau Software, Inc.		(2,947	)		(251,648	)		(26,018	)

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

AQR Funds Annual Report December 2015

308

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Targa Resources Corp.		(6,154	)	$	(318,811	)	$	152,284
TCF Financial Corp.		(3,302	)		(47,680	)		1,055
Teekay Corp.		(7,822	)		(233,683	)		156,480
Tempur Sealy International, Inc.		(3,275	)		(247,194	)		16,438
Tenet Healthcare Corp.		(17,648	)		(615,690	)		80,955
Teradata Corp.		(8,057	)		(229,053	)		16,187
TerraForm Power, Inc.		(15,366	)		(147,888	)		(45,416	)
Tesla Motors, Inc.		(323	)		(75,511	)		(2,012	)
Thermo Fisher Scientific, Inc.		(386	)		(51,012	)		(3,742	)
Tiffany & Co.		(5,914	)		(461,046	)		9,867
Timken Co./The		(2,482	)		(70,908	)		(53	)
Toll Brothers, Inc.		(1,016	)		(36,631	)		2,798
TransDigm Group, Inc.		(1,435	)		(329,539	)		1,713
TreeHouse Foods, Inc.		(2,402	)		(197,853	)		9,392
TRI Pointe Group, Inc.		(2,956	)		(39,039	)		1,586
Trimble Navigation Ltd.		(22,640	)		(384,321	)		(101,307	)
TripAdvisor, Inc.		(3,050	)		(211,502	)		(48,511	)
Triumph Group, Inc.		(619	)		(24,339	)		(266	)
Twenty-First Century Fox, Inc.		(1,909	)		(54,395	)		2,546
Twitter, Inc.		(12,348	)		(346,953	)		61,220
Tyco International PLC		(11,385	)		(394,369	)		31,301
Ultimate Software Group, Inc./The		(168	)		(31,416	)		(1,430	)
Umpqua Holdings Corp.		(5,100	)		(83,895	)		2,805
Under Armour, Inc.		(1,682	)		(161,770	)		26,184
Union Pacific Corp.		(4,703	)		(424,417	)		56,642
United Continental Holdings, Inc.		(800	)		(44,336	)		(1,504	)
United Natural Foods, Inc.		(2,365	)		(98,814	)		5,727
United Rentals, Inc.		(3,400	)		(219,870	)		(26,766	)
United Technologies Corp.		(3,575	)		(348,388	)		4,938
Urban Outfitters, Inc.		(6,189	)		(179,894	)		39,094
USG Corp.		(19,118	)		(491,256	)		26,880
VCA, Inc.		(216	)		(11,734	)		(146	)
Veeva Systems, Inc.		(11,198	)		(269,835	)		(53,228	)
VeriFone Systems, Inc.		(7,407	)		(199,518	)		(8,026	)
Verisk Analytics, Inc.		(951	)		(71,457	)		(1,656	)
Vertex Pharmaceuticals, Inc.		(4,194	)		(464,422	)		(63,309	)
Viacom, Inc.		(2,119	)		(96,923	)		9,705
Viavi Solutions, Inc.		(35,767	)		(204,115	)		(13,706	)
Vista Outdoor, Inc.		(1,421	)		(63,067	)		(181	)
Visteon Corp.		(2,025	)		(204,039	)		(27,824	)
WABCO Holdings, Inc.		(723	)		(77,246	)		3,312
Waddell & Reed Financial, Inc.		(2,875	)		(99,072	)		16,674

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United States (continued)
Walgreens Boots Alliance, Inc.		(532	)	$	(48,145	)	$	2,842
WEC Energy Group, Inc.		(10,773	)		(560,995	)		8,232
Wendy’s Co./The		(9,404	)		(102,421	)		1,140
WESCO International, Inc.		(2,566	)		(114,099	)		2,016
Westar Energy, Inc.		(896	)		(38,055	)		56
WestRock Co.		(4,427	)		(203,311	)		1,352
WEX, Inc.		(2,425	)		(218,522	)		4,152
WhiteWave Foods Co./The		(17,026	)		(693,719	)		31,237
Whiting Petroleum Corp.		(20,576	)		(310,448	)		116,211
Whole Foods Market, Inc.		(5,318	)		(168,406	)		(9,747	)
Williams-Sonoma, Inc.		(852	)		(50,776	)		1,010
WisdomTree Investments, Inc.		(23,425	)		(391,908	)		24,604
Workday, Inc.		(4,169	)		(308,545	)		(23,641	)
Worthington Industries, Inc.		(4,693	)		(127,558	)		(13,889	)
WPX Energy, Inc.		(2,309	)		(19,061	)		5,807
WR Grace & Co.		(3,170	)		(305,183	)		(10,518	)
Wynn Resorts Ltd.		(3,438	)		(242,062	)		4,187
Xerox Corp.		(3,160	)		(32,700	)		(891	)
Xylem, Inc.		(1,850	)		(60,481	)		(7,044	)
Yahoo!, Inc.		(11,406	)		(367,814	)		(11,549	)
Yelp, Inc.		(2,512	)		(64,108	)		(8,238	)
Yum! Brands, Inc.		(3,666	)		(281,683	)		13,882
Zebra Technologies Corp.		(583	)		(40,900	)		294
Zions Bancorporation		(13,326	)		(369,185	)		5,385
Zoetis, Inc.		(4,920	)		(214,638	)		(21,128	)
Zynga, Inc.		(62,196	)		(145,231	)		(21,455	)
								900,686
Total of Short Equity Positions								1,035,897
Total of Long and Short Equity Positions								1,577,006
Net Cash and Other Receivables/ (Payables) (b)								(421,568	)
Swaps, at Value							$	1,155,438

(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.

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

AQR Funds Annual Report December 2015

309

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

Total Return Basket Swaps Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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 swaps.	2-12 months maturity ranging from 01/20/2016 - 09/30/2016		$329,732

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
Germany
TUI AG		7,284	$	132,266	$	(2,209	)
Ireland
DCC PLC		1,671		127,175		12,423
Shire PLC		1,920		132,922		(1,196	)
						11,227
Luxembourg
Regus PLC		9,442		44,772		1,622
South Africa
Investec PLC		4,222		32,074		(2,304	)
Mondi PLC		6,405		133,137		(7,594	)
						(9,898	)
Switzerland
Coca-Cola HBC AG		853		18,588		(423	)
Glencore PLC		78,754		105,222		(863	)
Wolseley PLC		962		57,437		(5,188	)
						(6,474	)
United Kingdom
AA PLC		5,636		23,694		2,342
Aggreko PLC		7,414		102,479		(2,674	)
Amlin PLC		2,220		21,462		245
Ashtead Group PLC		726		10,115		1,834
Aviva PLC		13,329		88,733		12,441
Babcock International Group PLC		4,155		60,392		1,788
Barclays PLC		31,773		117,393		(15,123	)
Barratt Developments PLC		25,750		248,301		(11,022	)
Bellway PLC		1,323		52,289		3,030
Berkeley Group Holdings PLC		3,755		187,124		17,011
Betfair Group PLC		300		14,289		2,960

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Britvic PLC		4,087	$	42,772	$	1,017
BT Group PLC		43,812		279,002		25,210
Bunzl PLC		1,811		47,578		2,667
Close Brothers Group PLC		7,321		160,070		(15,704	)
Compass Group PLC		4,266		65,367		8,556
Direct Line Insurance Group PLC		36,155		204,757		11,960
Dixons Carphone PLC		11,778		73,026		13,650
DS Smith PLC		13,982		81,138		651
easyJet PLC		9,819		258,928		(7,100	)
G4S PLC		9,663		33,345		(1,246	)
Greene King PLC		4,514		57,187		4,610
Howden Joinery Group PLC		13,956		97,407		10,725
HSBC Holdings PLC		6,665		49,444		3,171
Imperial Tobacco Group PLC		4,233		218,026		5,552
Inchcape PLC		12,321		131,074		11,082
Indivior PLC		55,146		183,572		(31,180	)
Inmarsat PLC		3,988		60,171		6,685
Intermediate Capital Group PLC		27,716		220,717		34,785
International Consolidated Airlines Group SA		40,097		354,082		6,432
ITV PLC		24,961		91,697		9,928
J Sainsbury PLC		20,304		79,232		(1,910	)
John Wood Group PLC		6,035		50,940		3,412
Jupiter Fund Management PLC		6,319		41,563		432
Just Eat PLC		7,041		42,264		8,861
Kingfisher PLC		35,231		184,573		(13,933	)
Legal & General Group PLC		8,137		29,241		2,866
Man Group PLC		81,564		193,391		16,433
Marks & Spencer Group PLC		18,675		138,326		(13,984	)

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

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310

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Meggitt PLC		6,966		$	43,551		$	(5,090	)
Merlin Entertainments PLC		1,933			10,662			2,299
Micro Focus International PLC		3,705			71,561			15,448
National Grid PLC		11,353			149,149			7,427
Next PLC		113			12,655			(522	)
Persimmon PLC		5,676			174,511			(5,177	)
Playtech PLC		10,346			123,619			3,046
Provident Financial PLC		3,460			162,952			8,604
Rentokil Initial PLC		49,065			107,258			7,861
Rexam PLC		1,142			8,784			1,402
Rightmove PLC		3,493			195,468			16,801
Royal Mail PLC		30,081			202,261			(5,234	)
Sage Group PLC/The		14,915			120,956			11,565
Sky PLC		25,503			399,863			18,202
Smith & Nephew PLC		689			11,889			390
SSE PLC		5,755			124,295			4,926
Stagecoach Group PLC		6,329			30,366			(2,713	)
Taylor Wimpey PLC		90,030			266,665			2,467
Telecity Group PLC		40			649			90
Travis Perkins PLC		1,727			51,524			(1,423	)
United Utilities Group PLC		5,302			71,694			1,311
Vodafone Group PLC		75,638			236,411			8,866
Whitbread PLC		329			23,601			(2,276	)
William Hill PLC		35,162			183,375			21,833
WPP PLC		10,382			216,081			22,724
								249,287
Total of Long Equity Positions								243,555
Short Positions
Common Stocks
Australia
BHP Billiton PLC		(5,150	)		(77,765	)		20,333
Chile
Antofagasta PLC		(12,946	)		(95,481	)		6,428
Ireland
Experian PLC		(12,580	)		(205,425	)		(16,919	)
Netherlands
Royal Dutch Shell PLC		(5,770	)		(139,536	)		8,850
United Kingdom
Aberdeen Asset Management PLC		(29,637	)		(142,422	)		16,132
Admiral Group PLC		(3,246	)		(71,823	)		(7,495	)
Amec Foster Wheeler PLC		(11,619	)		(123,661	)		50,314
Anglo American PLC		(11,524	)		(102,016	)		51,458
ARM Holdings PLC		(7,578	)		(106,884	)		(8,620	)
ASOS PLC		(2,939	)		(120,413	)		(28,917	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Associated British Foods PLC		(4,254	)	$	(213,911	)	$	4,583
AstraZeneca PLC		(3,733	)		(239,483	)		(12,671	)
Auto Trader Group PLC		(6,912	)		(44,066	)		(1,000	)
Booker Group PLC		(12,448	)		(33,121	)		(101	)
BP PLC		(43,727	)		(233,557	)		6,321
British American Tobacco PLC		(6,797	)		(373,659	)		(3,806	)
BTG PLC		(10,030	)		(93,048	)		(8,585	)
Burberry Group PLC		(6,119	)		(123,041	)		15,384
Cable & Wireless Communications PLC		(22,682	)		(18,863	)		(5,951	)
Capita PLC		(8,992	)		(163,022	)		3,032
Centrica PLC		(89,089	)		(288,514	)		2,452
Croda International PLC		(763	)		(30,838	)		(3,348	)
Diageo PLC		(17,094	)		(447,547	)		(19,252	)
Drax Group PLC		(28,982	)		(103,623	)		(724	)
GlaxoSmithKline PLC		(13,010	)		(253,369	)		(9,379	)
Hargreaves Lansdown PLC		(13,880	)		(248,981	)		(59,164	)
ICAP PLC		(4,123	)		(29,871	)		(1,076	)
IMI PLC		(5,036	)		(71,382	)		7,478
Informa PLC		(1,326	)		(11,194	)		(790	)
InterContinental Hotels Group PLC		(7,495	)		(274,903	)		(17,241	)
Intertek Group PLC		(2,207	)		(80,655	)		(9,625	)
Johnson Matthey PLC		(299	)		(11,219	)		(477	)
Lloyds Banking Group PLC		(160,136	)		(181,658	)		9,352
Melrose Industries PLC		(18,713	)		(75,337	)		(4,819	)
Ocado Group PLC		(18,524	)		(88,199	)		5,438
Old Mutual PLC		(48,588	)		(137,935	)		10,116
Pearson PLC		(1,490	)		(20,297	)		4,189
Pennon Group PLC		(5,899	)		(72,913	)		(1,924	)
Petrofac Ltd.		(22,003	)		(253,631	)		(4,457	)
Prudential PLC		(7,031	)		(145,264	)		(13,141	)
Reckitt Benckiser Group PLC		(752	)		(69,979	)		399
Rio Tinto PLC		(1,230	)		(35,906	)		94
Rolls-Royce Holdings PLC (3)		(231,379	)		15			(356	)
Rolls-Royce Holdings PLC		(4,926	)		(49,805	)		8,080
Rotork PLC		(13,065	)		(33,994	)		(1,166	)
Royal Bank of Scotland Group PLC		(62,527	)		(292,546	)		14,609
RSA Insurance Group PLC		(18,183	)		(110,197	)		(3,926	)
SABMiller PLC		(5,484	)		(288,836	)		(39,239	)
Serco Group PLC		(193,522	)		(287,427	)		18,131
Severn Trent PLC		(2,224	)		(73,601	)		2,508
Smiths Group PLC		(910	)		(13,276	)		692
Spectris PLC		(445	)		(11,175	)		(634	)
Spirax-Sarco Engineering PLC		(813	)		(34,523	)		(4,796	)

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

AQR Funds Annual Report December 2015

311

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
United Kingdom (continued)
Sports Direct International PLC		(3,741	)	$	(42,017	)	$	10,225
St. James’s Place PLC		(6,530	)		(83,744	)		(13,041	)
Standard Chartered PLC		(8,813	)		(75,503	)		2,380
Standard Life PLC		(48,405	)		(284,797	)		7,605
Tate & Lyle PLC		(8,781	)		(76,835	)		(511	)
Tesco PLC		(316,750	)		(784,637	)		88,649
Thomas Cook Group PLC		(49,914	)		(87,079	)		(1,982	)
UBM PLC		(3,309	)		(23,850	)		(1,796	)
Weir Group PLC/The		(3,600	)		(60,300	)		7,421
								57,032
Total of Short Equity Positions								75,724
Total of Long and Short Equity Positions								319,279
Net Cash and Other Receivables/ (Payables) (b)								10,453
Swaps, at Value							$	329,732

(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.

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

Total Return Basket Swaps Outstanding at December 31, 2015

COUNTERPARTY	DESCRIPTION	TERMINATION DATE**	VALUE (Note 5)
Goldman Sachs	The Fund receives 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 swaps.	1-12 months maturity ranging from 01/14/2016 - 09/30/2016		$43,730

** The maturity dates are measured from the commencement of investment in each underlying 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 December 31, 2015.

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
Long Positions
Common Stocks
France
Aeroports de Paris		659	$	71,132	$	5,555
Atos SE		1,473		116,886		6,776
AXA SA		3,978		101,087		7,607
BNP Paribas SA		3,712		220,025		(10,010	)
Cap Gemini SA		3,283		287,502		17,113
Christian Dior SE		833		149,268		(7,773	)
Cie Generale des Etablissements Michelin		3,503		336,094		(2,669	)

REFERENCE ENTITY	SHARES		NOTIONAL (a)		NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Credit Agricole SA		2,267	$	25,841	$	874
Dassault Systemes		352		25,331		2,805
Eiffage SA		1,684		103,181		5,653
Electricite de France SA		10,800		183,205		(24,148	)
Eutelsat Communications SA		3,246		100,668		(3,481	)
Imerys SA		1,156		73,746		7,002
Ipsen SA		1,519		97,456		3,190
Lagardere SCA		3,412		97,379		4,440
L’Oreal SA		1,160		191,139		3,979

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

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Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Orpea		624		$	49,255		$	706
Peugeot SA		15,478			238,811			32,502
Publicis Groupe SA		182			11,911			192
Safran SA		607			45,619			(3,916	)
Sanofi		2,060			194,237			(18,680	)
SCOR SE		8,111			290,994			12,501
SEB SA		1,892			172,518			21,716
Societe BIC SA		513			77,312			7,104
Societe Generale SA		5,435			252,376			(1,919	)
Societe Television Francaise 1		1,143			15,603			(2,911	)
Sodexo SA		614			60,865			(879	)
Suez Environnement Co.		3,530			66,622			(599	)
Teleperformance		1,964			150,109			15,038
Thales SA		3,442			239,497			18,136
Veolia Environnement SA		15,357			362,310			2,047
Vinci SA		3,140			202,654			(1,397	)
Vivendi SA		3,852			89,079			(6,350	)
								90,204
Total of Long Equity Positions								90,204
Short Positions
Common Stocks
France
Accor SA		(518	)		(23,135	)		700
Airbus Group SE		(785	)		(46,318	)		(6,581	)
Arkema SA		(626	)		(39,591	)		(4,228	)
Bollore SA		(23,820	)		(115,600	)		4,608
Bureau Veritas SA		(1,302	)		(27,252	)		1,301
Carrefour SA		(411	)		(12,210	)		349
Casino Guichard Perrachon SA		(6,438	)		(347,217	)		51,451
Cie de Saint-Gobain		(1,688	)		(71,636	)		(1,514	)
Edenred		(8,279	)		(157,586	)		1,088
Engie		(8,422	)		(140,673	)		(8,507	)
Hermes International		(954	)		(336,980	)		14,505
Iliad SA		(499	)		(103,158	)		(15,792	)

REFERENCE ENTITY	SHARES			NOTIONAL (a)			NET UNREALIZED APPRECIATION (DEPRECIATION)
France (continued)
Ingenico Group		(543	)	$	(68,657	)	$	119
Kering		(341	)		(61,851	)		3,548
LVMH Moet Hennessy Louis Vuitton SE		(76	)		(13,572	)		1,634
Natixis SA		(21,205	)		(124,902	)		4,944
Orange SA		(4,623	)		(67,655	)		(9,668	)
Pernod Ricard SA		(606	)		(69,728	)		617
Plastic Omnium SA		(6,262	)		(148,958	)		(50,091	)
Remy Cointreau SA		(2,762	)		(169,354	)		(28,475	)
Renault SA		(636	)		(44,179	)		(19,482	)
Rexel SA		(2,148	)		(28,659	)		56
Schneider Electric SE		(2,157	)		(126,374	)		3,848
Technip SA		(7,402	)		(344,241	)		(23,862	)
TOTAL SA		(4,470	)		(204,764	)		4,368
Valeo SA		(430	)		(56,727	)		(9,569	)
Vallourec SA		(16,643	)		(172,365	)		17,422
Zodiac Aerospace		(7,757	)		(197,838	)		13,142
								(54,069	)
Luxembourg
SES SA		(2,756	)		(78,507	)		2,139
Total of Short Equity Positions								(51,930	)
Total of Long and Short Equity Positions								38,274
Net Cash and Other Receivables/ (Payables) (b)								5,456
Swaps, at Value							$	43,730

(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.

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

AQR Funds Annual Report December 2015

313

Consolidated Schedule of Investments December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND

Collateral pledged to, or (received from), each counterparty at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
Bank of America
Money Market Funds		$140,000		$ —		$140,000
Barclays Capital
Cash		—		3,989,848		3,989,848
CitiBank
Money Market Funds		370,002		—		370,002
Goldman Sachs
Cash		—		683,496		683,496
Money Market Funds		13,700,000		—		13,700,000
J.P. Morgan
Cash		—		2,311,649		2,311,649
Morgan Stanley and Co., International PLC
Cash		—		371,502		371,502
Money Market Funds		370,000		—		370,000

Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2015 was as follows:

COUNTERPARTY	OVER THE COUNTER		EXCHANGE TRADED/ CENTRALLY CLEARED		TOTAL
CitiBank
Money Market Funds		$100,000		$ —		$100,000
Goldman Sachs
Cash		—		112,269		112,269
J.P. Morgan
Cash		—		236,297		236,297
Macquarie Capital
Money Market Funds		270,000		—		270,000
Morgan Stanley and Co., International PLC
Cash		—		757,900		757,900
Societe Generale
Money Market Funds		110,000		—		110,000

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

AQR Funds Annual Report December 2015

314

Statements of Assets and Liabilities December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
ASSETS:
Investments in securities, at cost	$	1,522,832,066		$	304,169,426		$	46,801,121		$	635,324,814
Investments in securities, at value	$	1,300,405,223		$	304,396,044		$	46,801,090		$	633,057,609
Cash		—			8,160,579			—			—
Foreign currency, at value‡		14,051,942			75,190			9,025			1,639,410
Due from brokers		—			10,693,408			—			28,510,055
Unrealized appreciation on forward foreign currency exchange contracts		1,467,728			54,341			816,404			964,654
OTC swaps, at value		4,438,467			6,076,500			124,582			5,822,740
Deposits with brokers for exchange-traded and centrally cleared derivatives		7,468,949			803			5,513,779			15,595,156
Variation margin on exchange-traded and centrally cleared derivatives		377,552			—			185,825			—
Receivables:
Securities sold		19,336,872			10,919,937			7,332			27,016,296
Foreign tax reclaim		62,954			9,494			—			32,324
Dividends and interest		4,480,253			18,507			1,095			35,480
Capital shares sold		651,077			3,662,707			112,244			9,428,875
Prepaid expenses		73,660			47,560			26,576			56,167
Total Assets		1,352,814,677			344,115,070			53,597,952			722,158,766
LIABILITIES:
Securities sold short, at value (proceeds $440,499,377, $65,907,566, $— and $133,544,633, respectively)		346,044,320			63,604,605			—			123,231,636
Options written, at value (proceeds $2,388,431, $—, $— and $—, respectively)		201,436			—			—			—
Due to custodian		2,330,779			—			833			7,108,051
Due to brokers		21,215,234			—			357,150			290,000
Unrealized depreciation on forward foreign currency exchange contracts		364,388			124,079			306,582			699,605
OTC swaps, at value		3,110,613			376,337			18,100			5,455,052
Variation margin on exchange-traded and centrally cleared derivatives		45,775			—			59,605			2,159,684
Payables:
Securities purchased		14,468,570			10,414,011			6,785			22,388,434
Accrued investment advisory fees		675,705			162,237			2,640			392,026
Accrued distribution fees—Class N		40,287			16,849			5,585			18,087
Accrued Trustee fees		848			129			46			259
Capital shares redeemed		6,034,334			20,396			351,458			1,083,989
Dividends and interest payable on securities sold short		1,152,681			88,005			—			149,062
Other accrued expenses and liabilities		840,462			93,147			93,825			174,742
Total Liabilities		396,525,432			74,899,795			1,202,609			163,150,627
Net Assets	$	956,289,245		$	269,215,275		$	52,395,343		$	559,008,139
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	1,281,360,982		$	264,413,937		$	52,382,146		$	549,447,650
Undistributed accumulated net investment income (loss)		10,112,228			(3,291,781	)		74,854			4,505,240
Undistributed accumulated net realized gain (loss)		(209,622,795	)		(13,863	)		(933,701	)		(6,781,370	)
Net unrealized appreciation (depreciation)		(125,561,170	)		8,106,982			872,044			11,836,619
Net Assets	$	956,289,245		$	269,215,275		$	52,395,343		$	559,008,139
NET ASSETS:
Class I	$	772,394,365		$	179,312,297		$	31,452,943		$	452,667,319
Class N		183,028,595			89,755,173			20,838,180			90,140,983
Class R6		866,285			147,805			104,220			16,199,837
SHARES OUTSTANDING:
Class I		83,828,615			15,613,151			3,276,016			37,352,680
Class N		19,881,331			7,826,988			2,181,378			7,468,130
Class R6		94,204			12,859			10,855			1,335,480
NET ASSET VALUE:
Class I	$	9.21		$	11.48		$	9.60		$	12.12
Class N	$	9.21		$	11.47		$	9.55		$	12.07
Class R6	$	9.20		$	11.49		$	9.60		$	12.13
‡  Foreign currency at cost	$	14,234,162		$	75,105		$	9,029		$	1,638,674

** 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 Annual Report December 2015

315

Statements of Assets and Liabilities December 31, 2015

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
ASSETS:
Investments in securities, at cost	$	9,432,505,947		$	498,365,340		$	2,258,088,906		$	92,484,468
Investments in securities, at value	$	9,433,757,401		$	498,399,279		$	2,289,240,133		$	92,487,471
Cash		32,458,700			—			—			—
Foreign currency, at value‡		6,660,275			397,903			43,999,912			—
Due from brokers		6,739,685			525,553			555,856,015			—
Unrealized appreciation on forward foreign currency exchange contracts		154,800,955			12,115,744			36,246,359			—
OTC swaps, at value		19,080,592			1,421,210			150,639,420			323,845
Deposits with brokers for exchange-traded and centrally cleared derivatives		183,363,263			28,223,657			75,974,987			6,025,704
Variation margin on exchange-traded and centrally cleared derivatives		15,649,652			288,312			10,452,406			207,417
Receivables:
Securities sold		4,902,679			376,990			22,303,294			—
Foreign tax reclaim		—			—			1,137,954			—
Dividends and interest		77,042			5,298			3,460,479			2,462
Capital shares sold		37,023,864			8,396,542			39,170,855			4,517,681
Prepaid expenses		467,362			66,879			101,718			21,226
Total Assets		9,894,981,470			550,217,367			3,228,583,532			103,585,806
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $589,365,032 and $—, respectively)		—			—			588,406,560			—
Due to custodian		—			22,396			68,691,851			393
Due to brokers		9,970,434			732,397			6,971,517			209,968
Unrealized depreciation on forward foreign currency exchange contracts		196,445,264			15,402,116			22,536,170			—
OTC swaps, at value		9,008,678			732,814			13,909,218			557,767
Deposits from brokers for exchange-traded and centrally cleared derivatives		916,506			—			—			—
Variation margin on exchange-traded and centrally cleared derivatives		19,174,829			2,061,522			1,077,575			112,518
Payables:
Securities purchased		4,922,703			378,504			26,877,161			—
Accrued investment advisory fees		8,638,430			521,411			3,476,742			21,574
Accrued distribution fees—Class N		332,208			28,744			20,597			511
Accrued Trustee fees		555			183			265			22
Capital shares redeemed		36,328,292			607,592			6,392,514			30,330
Dividends and interest payable on securities sold short		—			—			474,485			—
Other accrued expenses and liabilities		2,975,497			201,690			1,001,143			126,335
Total Liabilities		288,713,396			20,689,369			739,835,798			1,059,418
Net Assets	$	9,606,268,074		$	529,527,998		$	2,488,747,734		$	102,526,388
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	9,785,961,957		$	542,782,280		$	2,535,288,815		$	114,755,156
Undistributed accumulated net investment income (loss)		71,429,074			6,500,488			(135,227,340	)		(8,630,097	)
Undistributed accumulated net realized gain (loss)		(217,765,086	)		(17,062,698	)		(87,864,258	)		(12,630	)
Net unrealized appreciation (depreciation)		(33,357,871	)		(2,692,072	)		176,550,517			(3,586,041	)
Net Assets	$	9,606,268,074		$	529,527,998		$	2,488,747,734		$	102,526,388
NET ASSETS:
Class I	$	7,778,072,372		$	258,690,940		$	2,284,284,742		$	71,321,022
Class N		1,588,010,689			137,114,766			103,503,675			2,082,770
Class R6		240,185,013			133,722,292			100,959,317			29,122,596
SHARES OUTSTANDING:
Class I		763,949,205			24,165,693			234,044,091			12,690,552
Class N		157,339,524			12,859,668			10,628,943			374,027
Class R6		23,597,686			12,494,290			10,345,164			5,175,399
NET ASSET VALUE:
Class I	$	10.18		$	10.70		$	9.76		$	5.62
Class N	$	10.09		$	10.66		$	9.74		$	5.57
Class R6	$	10.18		$	10.70		$	9.76		$	5.63
‡  Foreign currency at cost	$	6,666,152		$	397,604		$	44,409,449		$	—

** 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.

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Statements of Assets and Liabilities December 31, 2015

	AQR RISK PARITY FUND**			AQR RISK PARITY II HV FUND**			AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**
ASSETS:
Investments in securities, at cost	$	493,883,647		$	55,533,202		$	88,163,217		$	2,144,164,425
Investments in securities, at value	$	489,554,966		$	55,179,504		$	87,490,915		$	2,159,709,037
Cash		96,276			—			—			1,662,461
Foreign currency, at value‡		1,506,539			33,224			120,501			4,560,601
Due from brokers		28,536			8,060			12,572			4,546,472
Unrealized appreciation on forward foreign currency exchange contracts		991,423			41,152			55,018			19,468,488
OTC swaps, at value		438,707			36,390			121,247			2,392,364
Deposits with brokers for exchange-traded and centrally cleared derivatives		32,390,982			2,593,664			3,126,288			135,536,497
Variation margin on exchange-traded and centrally cleared derivatives		1,450,286			137,468			213,756			4,265,113
Receivables:
Securities sold		290,532			11,829			17,555			775,021
Foreign tax reclaim		—			—			—			543,452
Dividends and interest		280,448			30,128			46,400			495,626
Capital shares sold		144,238			654,549			239,259			33,354,373
Due from Investment Adviser		—			5,604			—			—
Prepaid expenses		42,909			29,911			38,998			98,350
Total Assets		527,215,842			58,761,483			91,482,509			2,367,407,855
LIABILITIES:
Securities sold short, at value (proceeds $—, $—, $— and $507,957,986, respectively)		—			—			—			488,339,388
Reverse repurchase agreements, at value		—			9,233,035			—			—
Due to custodian		—			13,813			23,795			—
Due to brokers		522,677			67,128			78,924			2,936,832
Unrealized depreciation on forward foreign currency exchange contracts		4,912,113			158,019			209,065			11,836,195
OTC swaps, at value		1,010,491			140,718			355,699			25,316,213
Deposits from brokers for exchange-traded and centrally cleared derivatives		25,366			—			25,071			—
Variation margin on exchange-traded and centrally cleared derivatives		168,222			129,781			189,507			3,477,149
Payables:
Securities purchased		402,541			11,828			17,554			769,413
Accrued investment advisory fees		274,376			—			27,090			1,619,627
Accrued distribution fees—Class N		5,089			1,212			911			16,530
Accrued Trustee fees		339			31			65			524
Capital shares redeemed		1,841,462			103,805			181,208			3,298,199
Dividends and interest payable on securities sold short		—			—			—			523,529
Interest payable for reverse repurchase agreements		—			5,562			—			—
Other accrued expenses and liabilities		275,200			100,620			114,903			526,837
Total Liabilities		9,437,876			9,965,552			1,223,792			538,660,436
Net Assets	$	517,777,966		$	48,795,931		$	90,258,717		$	1,828,747,419
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	549,689,907		$	54,285,687		$	97,259,781		$	1,824,131,241
Undistributed accumulated net investment income (loss)		(11,483,741	)		(2,528,445	)		(2,860,613	)		36,181,849
Undistributed accumulated net realized gain (loss)		(8,717,711	)		(1,732,875	)		(2,214,645	)		(31,450,825	)
Net unrealized appreciation (depreciation)		(11,710,489	)		(1,228,436	)		(1,925,806	)		(114,846	)
Net Assets	$	517,777,966		$	48,795,931		$	90,258,717		$	1,828,747,419
NET ASSETS:
Class I	$	492,976,807		$	40,889,441		$	85,917,605		$	1,341,231,769
Class N		22,004,769			5,493,253			4,241,790			92,947,603
Class R6		2,796,390			2,413,237			99,322			394,568,047
SHARES OUTSTANDING:
Class I		54,203,404			5,250,810			10,090,660			132,222,963
Class N		2,424,293			704,394			499,865			9,168,045
Class R6		307,370			310,087			11,671			38,861,071
NET ASSET VALUE:
Class I	$	9.09		$	7.79		$	8.51		$	10.14
Class N	$	9.08		$	7.80		$	8.49		$	10.14
Class R6	$	9.10		$	7.78		$	8.51		$	10.15
‡  Foreign currency at cost	$	1,309,229		$	34,118		$	122,221		$	4,546,926

** 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.

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317

Statements of Assets and Liabilities December 31, 2015

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
ASSETS:
Investments in securities, at cost	$	204,306,898
Investments in securities, at value	$	205,201,002
Cash		99,077
Foreign currency, at value‡		128,940
Due from brokers		15,523
Unrealized appreciation on forward foreign currency exchange contracts		1,069,551
OTC swaps, at value		1,676,727
Deposits with brokers for exchange-traded and centrally cleared derivatives		7,334,701
Variation margin on exchange-traded and centrally cleared derivatives		249,243
Receivables:
Securities sold		4,048,560
Foreign tax reclaim		6,754
Dividends and interest		37,194
Capital shares sold		776,060
Prepaid expenses		36,832
Total Assets		220,680,164
LIABILITIES:
Securities sold short, at value (proceeds $28,335,852)		27,737,830
Due to brokers		89,691
Unrealized depreciation on forward foreign currency exchange contracts		679,517
OTC swaps, at value		366,986
Variation margin on exchange-traded and centrally cleared derivatives		141,289
Payables:
Securities purchased		3,650,333
Accrued investment advisory fees		43,277
Accrued distribution fees—Class N		2,606
Accrued Trustee fees		103
Capital shares redeemed		2,474
Dividends and interest payable on securities sold short		28,140
Other accrued expenses and liabilities		145,465
Total Liabilities		32,887,711
Net Assets	$	187,792,453
NET ASSETS CONSIST OF:
Paid-in capital ($0.001 par value common stock, unlimited authorized shares)	$	187,737,223
Undistributed accumulated net investment income (loss)		(822,566	)
Undistributed accumulated net realized gain (loss)		(1,290,191	)
Net unrealized appreciation (depreciation)		2,167,987
Net Assets	$	187,792,453
NET ASSETS:
Class I	$	152,172,386
Class N		13,444,266
Class R6		22,175,801
SHARES OUTSTANDING:
Class I		14,645,410
Class N		1,294,548
Class R6		2,132,230
NET ASSET VALUE:
Class I	$	10.39
Class N	$	10.39
Class R6	$	10.40
‡  Foreign currency at cost	$	127,689

** 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.

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318

Statements of Operations December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR GLOBAL MACRO FUND**			AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015
INVESTMENT INCOME:
Dividend income†		$21,355,053			$318,508			$1,124			$916,690
Interest income		28,373,263			22,797			32,145			80,241
Total Income		49,728,316			341,305			33,269			996,931
EXPENSES:
Investment advisory fees		16,045,390			716,461			891,411			2,130,776
Custody fees		120,608			1,986			13,211			13,156
Administration & accounting fees		404,073			21,040			22,170			65,652
Legal fees		165,499			14,244			14,378			2,789
Audit & tax fees		291,499			51,668			61,079			38,824
Shareholder reporting fees		199,947			15,575			8,165			37,222
Transfer agent fees		1,509,659			48,436			66,337			149,274
Trustee fees		77,407			1,465			2,800			5,549
Offering costs		—			33,729			23,348			—
Distribution fees—Class N		841,937			56,881			99,335			81,183
Dividends and interest on securities sold short (Note 4)		19,555,290			425,541			—			1,037,015
Registration fees		207,683			62,105			57,689			56,602
Pricing fee		343,214			22,045			40,641			24,400
Other expenses		207,188			18,195			8,706			34,554
Total Expenses		39,969,394			1,489,371			1,309,270			3,676,996
Less fee waivers and/or reimbursements		(364,207	)		(191,780	)		(198,491	)		(98,562	)
Net Expenses		39,605,187			1,297,591			1,110,779			3,578,434
Net Investment Income (Loss)		10,123,129			(956,286	)		(1,077,510	)		(2,581,503	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(33,161,251	)		(513,067	)		(28,811	)		(1,148,140	)
Foreign currency and foreign currency transactions		(123,231	)		(49,511	)		(37,888	)		(138,699	)
Forward foreign currency exchange contracts		14,688,702			183,996			2,362,397			(2,242,959	)
Futures contracts		(11,342,833	)		172,181			371,148			(1,896,816	)
Securities sold short		(48,040,305	)		399,981			—			271,826
Swap contracts		21,486,113			3,165,894			(1,278,467	)		32,625,929
Written options		854,357			—			—			—
Net realized gain (loss)		(55,638,448	)		3,359,474			1,388,379			27,471,141
Net change in unrealized appreciation (depreciation) on:
Investments in securities		(106,849,272	)		235,429			(31	)		(2,267,205	)
Foreign currency and foreign currency translations		(18,906	)		(49,428	)		(14,878	)		(49,192	)
Forward foreign currency exchange contracts		(5,362,743	)		(76,949	)		271,754			410,684
Futures contracts		11,906,666			7,134			(397,478	)		2,366,022
Securities sold short		99,571,995			2,283,578			—			10,312,997
Swap contracts		(20,508,082	)		5,370,356			220,697			(3,123,427	)
Written options		588,688			—			—			—
Net change in unrealized appreciation (depreciation)		(20,671,654	)		7,770,120			80,064			7,649,879
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(76,310,102	)		11,129,594			1,468,443			35,121,020
Net increase (decrease) in net assets resulting from operations		$(66,186,973	)		$10,173,308			$390,933			$32,539,517
†  Net of foreign taxes withheld of		$51,975			$42,822			$—			$132,899

** 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.

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319

Statements of Operations December 31, 2015

	AQR MANAGED FUTURES STRATEGY FUND**			AQR MANAGED FUTURES STRATEGY HV FUND**			AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK- BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015
INVESTMENT INCOME:
Dividend income†		$124,012			$5,461			$7,953,397			$4,568
Interest income		8,075,995			333,125			10,920,077			43,446
Total Income		8,200,007			338,586			18,873,474			48,014
EXPENSES:
Investment advisory fees		90,939,668			5,082,624			35,092,728			730,109
Custody fees		954,878			24,457			122,069			14,861
Administration & accounting fees		3,138,272			125,437			702,112			32,724
Legal fees		376,204			5,266			90,005			5,722
Audit & tax fees		114,561			118,114			260,602			111,135
Shareholder reporting fees		1,056,007			66,038			185,983			10,622
Transfer agent fees		6,813,829			208,397			1,574,721			46,073
Trustee fees		344,746			12,620			77,106			3,496
Distribution fees—Class N		3,692,900			169,319			220,860			7,985
Dividends and interest on securities sold short (Note 4)		—			—			8,627,210			—
Recoupment of waiver		15,571			—			—			—
Registration fees		330,372			58,612			111,926			69,994
Pricing fee		—			—			26,983			—
Other expenses		661,135			43,870			127,045			13,386
Total Expenses		108,438,143			5,914,754			47,219,350			1,046,107
Less fee waivers and/or reimbursements		—			(123,348	)		(171,586	)		(188,168	)
Net Expenses		108,438,143			5,791,406			47,047,764			857,939
Net Investment Income (Loss)		(100,238,136	)		(5,452,820	)		(28,174,290	)		(809,925	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		44,532			1,057			58,706,668			40,891
Foreign currency and foreign currency transactions		8,252,256			704,502			(5,919,886	)		(144	)
Forward foreign currency exchange contracts		71,394,607			1,411,097			(538,403	)		—
Futures contracts		603,319,327			27,896,482			(8,775,695	)		(10,569,395	)
Securities sold short		—			—			(51,285,970	)		—
Swap contracts		(185,944,737	)		(7,709,393	)		130,061,230			(11,644,594	)
Written options		—			—			103,616			—
Net realized gain (loss)		497,065,985			22,303,745			122,351,560			(22,173,242	)
Net change in unrealized appreciation (depreciation) on:
Investments in securities		957,025			30,575			(55,084,825	)		3,001
Foreign currency and foreign currency translations		976,333			65,038			(1,916,823	)		—
Forward foreign currency exchange contracts		(108,211,860	)		(6,025,948	)		8,637,965			—
Futures contracts		(213,038,005	)		(8,210,433	)		4,163,436			(2,632,951	)
Securities sold short		—			—			70,384,102			—
Swap contracts		4,165,241			(1,428,549	)		57,534,641			5,127,621
Written options		—			—			135,144			—
Net change in unrealized appreciation (depreciation)		(315,151,266	)		(15,569,317	)		83,853,640			2,497,671
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		181,914,719			6,734,428			206,205,200			(19,675,571	)
Net increase (decrease) in net assets resulting from operations		$81,676,583			$1,281,608			$178,030,910			$(20,485,496	)
†  Net of foreign taxes withheld of		$5,430			$—			$31,894			$—

** 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.

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320

Statements of Operations December 31, 2015

	AQR RISK PARITY FUND**			AQR RISK PARITY II HV FUND**			AQR RISK PARITY II MV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2015
INVESTMENT INCOME:
Dividend income†		$22,429			$1,475			$2,679			$8,194,413
Interest income		1,336,145			194,491			135,440			236,996
Total Income		1,358,574			195,966			138,119			8,431,409
EXPENSES:
Investment advisory fees		4,688,773			545,967			770,489			13,486,209
Custody fees		77,826			22,800			21,164			34,556
Administration & accounting fees		228,807			21,034			37,597			354,689
Legal fees		35,545			4,599			9,051			25,596
Audit & tax fees		115,588			113,362			113,362			121,760
Shareholder reporting fees		49,124			6,760			10,885			112,576
Transfer agent fees		502,912			30,706			97,627			626,527
Trustee fees		27,500			2,487			4,543			34,930
Distribution fees—Class N		84,916			22,286			18,260			105,500
Dividends and interest on securities sold short and reverse repurchase agreements (Note 4)		—			29,902			—			7,661,515
Registration fees		96,426			47,613			58,107			85,733
Pricing fee		6,835			—			—			28,447
Other expenses		49,610			6,465			11,682			81,520
Total Expenses		5,963,862			853,981			1,152,767			22,759,558
Less fee waivers and/or reimbursements		(74,070	)		(175,338	)		(177,754	)		(383,801	)
Net Expenses		5,889,792			678,643			975,013			22,375,757
Net Investment Income (Loss)		(4,531,218	)		(482,677	)		(836,894	)		(13,944,348	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(11,991,155	)		(1,658,490	)		(2,100,238	)		(10,086,510	)
Foreign currency and foreign currency transactions		(174,161	)		45,070			(152,552	)		(2,092,753	)
Forward foreign currency exchange contracts		(5,018	)		964,687			1,586,462			(1,982,878	)
Futures contracts		(21,342,362	)		(5,124,475	)		(3,690,753	)		21,491,048
Securities sold short		—			—			—			(5,127,011	)
Swap contracts		(11,686,126	)		(2,023,753	)		(3,127,541	)		142,825,033
Net realized gain (loss)		(45,198,822	)		(7,796,961	)		(7,484,622	)		145,026,929
Net change in unrealized appreciation (depreciation) on:
Investments in securities		2,249,761			503,843			690,178			24,529,994
Foreign currency and foreign currency translations		644,719			63,093			157,758			(43,130	)
Forward foreign currency exchange contracts		(2,037,144	)		(254,631	)		(357,840	)		5,169,539
Futures contracts		(9,986,653	)		(1,417,178	)		(2,184,580	)		(16,873,925	)
Securities sold short		—			—			—			11,289,053
Swap contracts		7,963,686			1,463,160			2,182,645			(39,304,760	)
Net change in unrealized appreciation (depreciation)		(1,165,631	)		358,287			488,161			(15,233,229	)
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		(46,364,453	)		(7,438,674	)		(6,996,461	)		129,793,700
Net increase (decrease) in net assets resulting from operations		$(50,895,671	)		$(7,921,351	)		$(7,833,355	)		$115,849,352
†  Net of foreign taxes withheld of		$1,235			$44			$59			$1,227,516

** 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.

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321

Statements of Operations December 31, 2015

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015
INVESTMENT INCOME:
Dividend income†		$268,730
Interest income		26,805
Total Income		295,535
EXPENSES:
Investment advisory fees		495,593
Custody fees		6,669
Administration & accounting fees		24,226
Legal fees		59,914
Audit & tax fees		108,571
Shareholder reporting fees		19,299
Transfer agent fees		43,353
Trustee fees		2,476
Offering costs		37,969
Distribution fees—Class N		25,482
Dividends and interest on securities sold short (Note 4)		245,988
Registration fees		59,207
Pricing fee		21,221
Other expenses		23,118
Total Expenses		1,173,086
Less fee waivers and/or reimbursements		(300,473	)
Net Expenses		872,613
Net Investment Income (Loss)		(577,078	)
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION):
Net realized gain (loss) from:
Investments in securities		(120,173	)
Foreign currency and foreign currency transactions		(40,948	)
Forward foreign currency exchange contracts		(447,375	)
Futures contracts		364,604
Securities sold short		(534,828	)
Swap contracts		2,582,481
Net realized gain (loss)		1,803,761
Net change in unrealized appreciation (depreciation) on:
Investments in securities		1,375,946
Foreign currency and foreign currency translations		(5,255	)
Forward foreign currency exchange contracts		293,841
Futures contracts		(890,724	)
Securities sold short		103,941
Swap contracts		963,663
Net change in unrealized appreciation (depreciation)		1,841,412
Net realized gain (loss) and net change in unrealized appreciation (depreciation)		3,645,173
Net increase (decrease) in net assets resulting from operations		$3,068,095
†  Net of foreign taxes withheld of		$42,094

** 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.

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322

Statements of Changes in Net Assets December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE PERIOD 10/07/14*- 12/31/14
OPERATIONS:
Net investment income (loss)		$10,123,129			$55,467,850			$(956,286	)		$(13,080	)
Net realized gain (loss)		(55,638,448	)		(75,174,297	)		3,359,474			(14,861	)
Net change in unrealized appreciation (depreciation)		(20,671,654	)		(126,353,990	)		7,770,120			336,862
Net increase (decrease) in net assets resulting from operations		(66,186,973	)		(146,060,437	)		10,173,308			308,921
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(40,065,363	)		(30,805,978	)		(3,278,442	)		(84,782	)
Class N		(7,997,308	)		(11,376,648	)		(1,906,094	)		(66,536	)
Class R6		(37,869	)		(1,920	)		(3,572	)		(176,241	)
Total		(48,100,540	)		(42,184,546	)		(5,188,108	)		(327,559	)
Net realized gain:
Class I		—			—			(142,370	)		—
Class N		—			—			(85,124	)		—
Class R6		—			—			(154	)		—
Total		—			—			(227,648	)		—
Return of capital:
Class I		—			—			—			(708	)
Class N		—			—			—			(613	)
Class R6		—			—			—			(1,779	)
Total		—			—			—			(3,100	)
Total distributions		(48,100,540	)		(42,184,546	)		(5,415,756	)		(330,659	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		411,629,572			761,610,218			181,517,201			1,787,490
Reinvestment of distributions		32,791,578			23,069,874			3,185,521			85,490
Cost of shares redeemed		(1,125,689,923	)		(978,469,368	)		(9,905,135	)		(412,526	)
Net increase (decrease) from capital transactions		(681,268,773	)		(193,789,276	)		174,797,587			1,460,454
CLASS N
Proceeds from shares sold		61,092,221			197,396,546			104,772,329			1,175,276
Reinvestment of distributions		7,939,623			10,346,737			1,973,213			67,149
Cost of shares redeemed		(543,339,575	)		(313,338,405	)		(19,614,748	)		(530	)
Net increase (decrease) from capital transactions		(474,307,731	)		(105,595,122	)		87,130,794			1,241,895
CLASS R6
Proceeds from shares sold		1,113,193			100,000	(a)		—			3,030,000
Reinvestment of distributions		37,869			1,920			3,726			178,020
Cost of shares redeemed		(305,690	)		—			(3,363,015	)		—
Net increase (decrease) from capital transactions		845,372			101,920			(3,359,289	)		3,208,020
Net increase (decrease) in net assets resulting from capital transactions		(1,154,731,132	)		(299,282,478	)		258,569,092			5,910,369
Total increase (decrease) in net assets		(1,269,018,645	)		(487,527,461	)		263,326,644			5,888,631
NET ASSETS:
Beginning of period		2,225,307,890			2,712,835,351			5,888,631			—
End of period		$956,289,245			$2,225,307,890			$269,215,275			$5,888,631
Undistributed accumulated net investment income (loss)		$10,112,228			$(8,055,847	)		$(3,291,781	)		$(332,715	)

The accompanying notes are an integral part of these financial statements. (continued on p. 324)

AQR Funds Annual Report December 2015

323

Statements of Changes in Net Assets December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND						AQR EQUITY MARKET NEUTRAL FUND
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE PERIOD 10/07/14*- 12/31/14
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		152,568,773			172,057,279			144,471			—
Shares sold		41,096,650			69,963,023			16,108,285			177,332
Shares issued on reinvestment of distributions		3,575,962			2,279,632			274,141			8,506
Shares redeemed		(113,412,770	)		(91,731,161	)		(913,746	)		(41,367	)
Shares outstanding, end of period		83,828,615			152,568,773			15,613,151			144,471
CLASS N
Shares outstanding, beginning of period		67,172,038			76,969,086			123,239			—
Shares sold		6,110,275			18,245,229			9,253,007			116,610
Shares issued on reinvestment of distributions		866,771			1,025,444			169,958			6,682
Shares redeemed		(54,267,753	)		(29,067,721	)		(1,719,216	)		(53	)
Shares outstanding, end of period		19,881,331			67,172,038			7,826,988			123,239
CLASS R6
Shares outstanding, beginning of period		9,281			—	(a)		320,778			—
Shares sold		111,175			9,091			—			303,065
Shares issued on reinvestment of distributions		4,139			190			320			17,713
Shares redeemed		(30,391	)		—			(308,239	)		—
Shares outstanding, end of period		94,204			9,281			12,859			320,778

*  Commencement of operations.

(a) Commencement of offering class of shares effective September 2, 2014.

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

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324

Statements of Changes in Net Assets December 31, 2015

	AQR GLOBAL MACRO FUND**						AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE PERIOD 4/08/14*- 12/31/14			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
OPERATIONS:
Net investment income (loss)		$(1,077,510	)		$(328,106	)		$(2,581,503	)		$(258,798	)
Net realized gain (loss)		1,388,379			(295,608	)		27,471,141			(18,912	)
Net change in unrealized appreciation (depreciation)		80,064			791,980			7,649,879			3,842,313
Net increase (decrease) in net assets resulting from operations		390,933			168,266			32,539,517			3,564,603
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			—			(17,673,255	)		(2,729,179	)
Class N		—			—			(3,926,547	)		(654,639	)
Class R6		—			—			(740,867	)		(27,208	)
Total		—			—			(22,340,669	)		(3,411,026	)
Net realized gain:
Class I		(1,495,562	)		(63,628	)		(606,302	)		(354,882	)
Class N		(1,247,409	)		(1,903	)		(137,481	)		(84,612	)
Class R6		(5,243	)		(187	)		(25,262	)		(3,512	)
Total		(2,748,214	)		(65,718	)		(769,045	)		(443,006	)
Return of capital:
Class I		—			—			—			(117,680	)
Class N		—			—			—			(18,740	)
Class R6		—			—			—			(1,022	)
Total		—			—			—			(137,442	)
Total distributions		(2,748,214	)		(65,718	)		(23,109,714	)		(3,991,474	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		14,970,480			48,818,406			424,856,199			43,091,168
Reinvestment of distributions		1,453,010			62,389			18,090,946			3,161,208
Cost of shares redeemed		(19,541,806	)		(13,522,273	)		(42,029,793	)		(7,568,381	)
Net increase (decrease) from capital transactions		(3,118,316	)		35,358,522			400,917,352			38,683,995
CLASS N
Proceeds from shares sold		92,106,568			1,083,274			94,735,102			11,177,580
Reinvestment of distributions		1,247,361			1,903			4,042,317			749,097
Cost of shares redeemed		(72,106,801	)		(27,865	)		(20,804,635	)		(2,007,478	)
Net increase (decrease) from capital transactions		21,247,128			1,057,312			77,972,784			9,919,199
CLASS R6
Proceeds from shares sold		—			100,000	(a)		15,455,318			417,885	(a)
Reinvestment of distributions		5,243			187			766,129			31,742
Cost of shares redeemed		—			—			(315,394	)		—
Net increase (decrease) from capital transactions		5,243			100,187			15,906,053			449,627
Net increase (decrease) in net assets resulting from capital transactions		18,134,055			36,516,021			494,796,189			49,052,821
Total increase (decrease) in net assets		15,776,774			36,618,569			504,225,992			48,625,950
NET ASSETS:
Beginning of period		36,618,569			—			54,782,147			6,156,197
End of period		$52,395,343			$36,618,569			$559,008,139			$54,782,147
Undistributed accumulated net investment income (loss)		$74,854			$(1,356,611	)		$4,505,240			$(3,498,829	)

The accompanying notes are an integral part of these financial statements. (continued on p. 326)

AQR Funds Annual Report December 2015

325

Statements of Changes in Net Assets December 31, 2015

	AQR GLOBAL MACRO FUND**						AQR LONG-SHORT EQUITY FUND
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE PERIOD 4/08/14*- 12/31/14			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		3,569,196			—			4,018,314			513,771
Shares sold		1,496,068			4,933,146			35,398,027			3,887,179
Shares issued on reinvestment of distributions		151,830			6,308			1,487,742			288,168
Shares redeemed		(1,941,078	)		(1,370,258	)		(3,551,403	)		(670,804	)
Shares outstanding, end of period		3,276,016			3,569,196			37,352,680			4,018,314
CLASS N
Shares outstanding, beginning of period		105,875			—			985,542			89,144
Shares sold		9,137,851			108,567			7,884,421			1,003,577
Shares issued on reinvestment of distributions		131,025			193			333,800			68,411
Shares redeemed		(7,193,373	)		(2,885	)		(1,735,633	)		(175,590	)
Shares outstanding, end of period		2,181,378			105,875			7,468,130			985,542
CLASS R6
Shares outstanding, beginning of period		10,307			—	(a)		39,315			—	(a)
Shares sold		—			10,288			1,260,159			36,421
Shares issued on reinvestment of distributions		548			19			62,953			2,894
Shares redeemed		—			—			(26,947	)		—
Shares outstanding, end of period		10,855			10,307			1,335,480			39,315

*  Commencement of operations.

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

(a) Commencement of offering class of shares effective September 2, 2014.

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

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326

Statements of Changes in Net Assets December 31, 2015

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
OPERATIONS:
Net investment income (loss)		$(100,238,136	)		$(78,263,966	)		$(5,452,820	)		$(2,137,166	)
Net realized gain (loss)		497,065,985			682,159,727			22,303,745			27,982,546
Net change in unrealized appreciation (depreciation)		(315,151,266	)		25,849,767			(15,569,317	)		10,799,494
Net increase (decrease) in net assets resulting from operations		81,676,583			629,745,528			1,281,608			36,644,874
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(333,412,139	)		(220,437,134	)		(10,861,577	)		(13,390,213	)
Class N		(62,161,470	)		(46,941,973	)		(5,846,098	)		(636,578	)
Class R6		(9,756,818	)		(4,374	)		(5,368,164	)		(8,393	)
Total		(405,330,427	)		(267,383,481	)		(22,075,839	)		(14,035,184	)
Net realized gain:
Class I		(150,600,543	)		(263,407,986	)		(6,374,127	)		(4,057,424	)
Class N		(29,875,741	)		(60,693,546	)		(3,527,619	)		(198,548	)
Class R6		(4,339,168	)		(5,125	)		(3,115,965	)		(2,529	)
Total		(184,815,452	)		(324,106,657	)		(13,017,711	)		(4,258,501	)
Total distributions		(590,145,879	)		(591,490,138	)		(35,093,550	)		(18,293,685	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		4,675,004,433			2,628,023,103			260,007,721			186,205,825
Reinvestment of distributions		364,985,185			376,407,901			15,296,145			12,480,048
Cost of shares redeemed		(2,479,666,459	)		(1,916,986,986	)		(146,144,807	)		(106,972,499	)
Net increase (decrease) from capital transactions		2,560,323,159			1,087,444,018			129,159,059			91,713,374
CLASS N
Proceeds from shares sold		757,841,192			501,774,445			165,922,423			9,131,352
Reinvestment of distributions		91,102,480			106,513,303			9,373,717			835,126
Cost of shares redeemed		(498,673,872	)		(703,673,411	)		(38,822,595	)		(2,754,447	)
Net increase (decrease) from capital transactions		350,269,800			(95,385,663	)		136,473,545			7,212,031
CLASS R6
Proceeds from shares sold		272,280,313			100,000	(a)		107,102,117			45,055,679	(a)
Reinvestment of distributions		11,617,386			9,499			5,273,052			10,922
Cost of shares redeemed		(24,442,841	)		—			(15,732,433	)		—
Net increase (decrease) from capital transactions		259,454,858			109,499			96,642,736			45,066,601
Net increase (decrease) in net assets resulting from capital transactions		3,170,047,817			992,167,854			362,275,340			143,992,006
Total increase (decrease) in net assets		2,661,578,521			1,030,423,244			328,463,398			162,343,195
NET ASSETS:
Beginning of period		6,944,689,553			5,914,266,309			201,064,600			38,721,405
End of period		$9,606,268,074			$6,944,689,553			$529,527,998			$201,064,600
Undistributed accumulated net investment income (loss)		$71,429,074			$(353,785,167	)		$6,500,488			$(13,004,528	)

The accompanying notes are an integral part of these financial statements. (continued on p. 328)

AQR Funds Annual Report December 2015

327

Statements of Changes in Net Assets December 31, 2015

	AQR MANAGED FUTURES STRATEGY FUND**						AQR MANAGED FUTURES STRATEGY HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		530,096,760			425,328,151			13,022,456			3,432,251
Shares sold		425,915,818			256,868,757			22,257,187			18,621,473
Shares issued on reinvestment of distributions		35,817,977			36,088,959			1,426,879			1,142,862
Shares redeemed		(227,881,350	)		(188,189,107	)		(12,540,829	)		(10,174,130	)
Shares outstanding, end of period		763,949,205			530,096,760			24,165,693			13,022,456
CLASS N
Shares outstanding, beginning of period		124,354,461			133,922,115			835,483			152,311
Shares sold		69,839,741			49,711,170			14,517,195			867,382
Shares issued on reinvestment of distributions		9,020,048			10,291,143			877,689			76,617
Shares redeemed		(45,874,726	)		(69,569,967	)		(3,370,699	)		(260,827	)
Shares outstanding, end of period		157,339,524			124,354,461			12,859,668			835,483
CLASS R6
Shares outstanding, beginning of period		10,639			—	(a)		4,047,305			—	(a)
Shares sold		24,725,163			9,728			9,320,019			4,046,305
Shares issued on reinvestment of distributions		1,140,077			911			492,349			1,000
Shares redeemed		(2,278,193	)		—			(1,365,383	)		—
Shares outstanding, end of period		23,597,686			10,639			12,494,290			4,047,305

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

(a) Commencement of offering class of shares effective September 2, 2014.

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

AQR Funds Annual Report December 2015

328

Statements of Changes in Net Assets December 31, 2015

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
OPERATIONS:
Net investment income (loss)		$(28,174,290	)		$(22,634,499	)		$(809,925	)		$(546,638	)
Net realized gain (loss)		122,351,560			152,291,322			(22,173,242	)		(8,047,811	)
Net change in unrealized appreciation (depreciation)		83,853,640			(21,553,831	)		2,497,671			(5,345,941	)
Net increase (decrease) in net assets resulting from operations		178,030,910			108,102,992			(20,485,496	)		(13,940,390	)
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(157,002,548	)		(103,622,431	)		—			—
Class N		(6,675,209	)		(5,415,268	)		—			—
Class R6		(5,408,560	)		(7,433	)		—			—
Total		(169,086,317	)		(109,045,132	)		—			—
Net realized gain:
Class I		(33,179,441	)		—			—			—
Class N		(1,461,342	)		—			—			—
Class R6		(1,132,757	)		—			—			—
Total		(35,773,540	)		—			—			—
Total distributions		(204,859,857	)		(109,045,132	)		—			—
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		1,169,866,016			590,215,635			80,849,012			69,600,700
Reinvestment of distributions		156,410,369			88,204,896			—			—
Cost of shares redeemed		(460,959,852	)		(687,354,210	)		(40,454,118	)		(40,288,267	)
Net increase (decrease) from capital transactions		865,316,533			(8,933,679	)		40,394,894			29,312,433
CLASS N
Proceeds from shares sold		46,717,322			47,448,202			1,419,312			12,707,985
Reinvestment of distributions		8,127,028			5,370,558			—			—
Cost of shares redeemed		(35,225,745	)		(43,303,801	)		(3,390,548	)		(9,284,044	)
Net increase (decrease) from capital transactions		19,618,605			9,514,959			(1,971,236	)		3,423,941
CLASS R6
Proceeds from shares sold		72,737,226			35,242,596	(a)		20,111,252			15,656,186	(a)
Reinvestment of distributions		3,351,013			7,433			—			—
Cost of shares redeemed		(8,953,831	)		—			(2,211,786	)		—
Net increase (decrease) from capital transactions		67,134,408			35,250,029			17,899,466			15,656,186
Net increase (decrease) in net assets resulting from capital transactions		952,069,546			35,831,309			56,323,124			48,392,560
Total increase (decrease) in net assets		925,240,599			34,889,169			35,837,628			34,452,170
NET ASSETS:
Beginning of period		1,563,507,135			1,528,617,966			66,688,760			32,236,590
End of period		$2,488,747,734			$1,563,507,135			$102,526,388			$66,688,760
Undistributed accumulated net investment income (loss)		$(135,227,340	)		$(118,003,854	)		$(8,630,097	)		$(2,974,242	)

The accompanying notes are an integral part of these financial statements. (continued on p. 330)

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329

Statements of Changes in Net Assets December 31, 2015

	AQR MULTI-STRATEGY ALTERNATIVE FUND**						AQR RISK-BALANCED COMMODITIES STRATEGY FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		147,968,675			148,651,004			6,649,535			3,422,135
Shares sold		116,000,850			60,196,339			12,903,642			8,654,189
Shares issued on reinvestment of distributions		16,042,089			9,130,942			—			—
Shares redeemed		(45,967,523	)		(70,009,610	)		(6,862,625	)		(5,426,789	)
Shares outstanding, end of period		234,044,091			147,968,675			12,690,552			6,649,535
CLASS N
Shares outstanding, beginning of period		8,674,153			7,646,878			686,315			467,151
Shares sold		4,641,085			4,877,478			220,408			1,401,956
Shares issued on reinvestment of distributions		836,114			557,112			—			—
Shares redeemed		(3,522,409	)		(4,407,315	)		(532,696	)		(1,182,792	)
Shares outstanding, end of period		10,628,943			8,674,153			374,027			686,315
CLASS R6
Shares outstanding, beginning of period		3,611,564			—	(a)		2,214,833			—	(a)
Shares sold		7,257,387			3,610,795			3,321,846			2,214,833
Shares issued on reinvestment of distributions		344,047			769			—			—
Shares redeemed		(867,834	)		—			(361,280	)		—
Shares outstanding, end of period		10,345,164			3,611,564			5,175,399			2,214,833

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

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2015

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
OPERATIONS:
Net investment income (loss)		$(4,531,218	)		$(2,906,307	)		$(482,677	)		$(130,646	)
Net realized gain (loss)		(45,198,822	)		86,083,279			(7,796,961	)		5,493,583
Net change in unrealized appreciation (depreciation)		(1,165,631	)		(23,418,545	)		358,287			(1,961,715	)
Net increase (decrease) in net assets resulting from operations		(50,895,671	)		59,758,427			(7,921,351	)		3,401,222
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		—			(15,918,499	)		(137,937	)		(210,221	)
Class N		—			(829,910	)		—			(9,382	)
Class R6		—			(2,479	)		(9,369	)		(567	)
Total		—			(16,750,888	)		(147,306	)		(220,170	)
Net realized gain:
Class I		(12,535,697	)		(60,212,532	)		(2,013,017	)		(4,493,162	)
Class N		(576,410	)		(3,765,221	)		(314,049	)		(889,329	)
Class R6		(68,124	)		(9,157	)		(131,274	)		(10,388	)
Total		(13,180,231	)		(63,986,910	)		(2,458,340	)		(5,392,879	)
Total distributions		(13,180,231	)		(80,737,798	)		(2,605,646	)		(5,613,049	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		163,806,681			152,916,166			31,920,624			36,625,458
Reinvestment of distributions		12,321,075			73,481,484			2,110,673			4,581,805
Cost of shares redeemed		(206,762,569	)		(476,525,839	)		(27,142,112	)		(14,267,310	)
Net increase (decrease) from capital transactions		(30,634,813	)		(250,128,189	)		6,889,185			26,939,953
CLASS N
Proceeds from shares sold		6,056,561			11,002,195			4,174,086			2,602,504
Reinvestment of distributions		573,734			4,401,999			314,049			898,711
Cost of shares redeemed		(17,543,068	)		(58,203,755	)		(5,237,521	)		(4,362,269	)
Net increase (decrease) from capital transactions		(10,912,773	)		(42,799,561	)		(749,386	)		(861,054	)
CLASS R6
Proceeds from shares sold		3,728,681			100,000	(a)		3,295,675			100,000	(a)
Reinvestment of distributions		68,124			11,636			140,643			10,955
Cost of shares redeemed		(650,157	)		—			(460,254	)		—
Net increase (decrease) from capital transactions		3,146,648			111,636			2,976,064			110,955
Net increase (decrease) in net assets resulting from capital transactions		(38,400,938	)		(292,816,114	)		9,115,863			26,189,854
Total increase (decrease) in net assets		(102,476,840	)		(313,795,485	)		(1,411,134	)		23,978,027
NET ASSETS:
Beginning of period		620,254,806			934,050,291			50,207,065			26,229,038
End of period		$517,777,966			$620,254,806			$48,795,931			$50,207,065
Undistributed accumulated net investment income (loss)		$(11,483,741	)		$1,562,779			$(2,528,445	)		$678,142

The accompanying notes are an integral part of these financial statements. (continued on p. 332)

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331

Statements of Changes in Net Assets December 31, 2015

	AQR RISK PARITY FUND**						AQR RISK PARITY II HV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		57,585,796			79,392,512			4,427,252			1,780,470
Shares sold		16,155,868			13,463,455			3,429,710			3,475,987
Shares issued on reinvestment of distributions		1,356,946			7,232,430			270,252			477,769
Shares redeemed		(20,895,206	)		(42,502,601	)		(2,876,404	)		(1,306,974	)
Shares outstanding, end of period		54,203,404			57,585,796			5,250,810			4,427,252
CLASS N
Shares outstanding, beginning of period		3,571,499			7,343,876			819,606			877,168
Shares sold		595,100			966,513			417,890			249,127
Shares issued on reinvestment of distributions		63,326			433,268			40,160			93,616
Shares redeemed		(1,805,632	)		(5,172,158	)		(573,262	)		(400,305	)
Shares outstanding, end of period		2,424,293			3,571,499			704,394			819,606
CLASS R6
Shares outstanding, beginning of period		9,472			—	(a)		9,937			—	(a)
Shares sold		354,328			8,327			330,887			8,795
Shares issued on reinvestment of distributions		7,503			1,145			18,031			1,142
Shares redeemed		(63,933	)		—			(48,768	)		—
Shares outstanding, end of period		307,370			9,472			310,087			9,937

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

(a) Commencement of offering class of shares effective September 2, 2014.

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

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Statements of Changes in Net Assets December 31, 2015

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
OPERATIONS:
Net investment income (loss)		$(836,894	)		$(294,310	)		$(13,944,348	)		$(4,735,914	)
Net realized gain (loss)		(7,484,622	)		6,194,745			145,026,929			49,452,901
Net change in unrealized appreciation (depreciation)		488,161			(2,721,264	)		(15,233,229	)		14,840,794
Net increase (decrease) in net assets resulting from operations		(7,833,355	)		3,179,171			115,849,352			59,557,781
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(226,926	)		(165,150	)		(63,874,268	)		(44,246,577	)
Class N		—			—			(3,935,997	)		(2,622,452	)
Class R6		(323	)		(232	)		(20,714,913	)		(3,291,780	)
Total		(227,249	)		(165,382	)		(88,525,178	)		(50,160,809	)
Net realized gain:
Class I		(4,531,332	)		(6,594,470	)		(2,856,032	)		(14,958,495	)
Class N		(232,047	)		(477,309	)		(180,968	)		(680,314	)
Class R6		(4,866	)		(6,436	)		(918,104	)		(300,202	)
Total		(4,768,245	)		(7,078,215	)		(3,955,104	)		(15,939,011	)
Total distributions		(4,995,494	)		(7,243,597	)		(92,480,282	)		(66,099,820	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		57,846,534			89,277,763			1,212,906,493			576,188,151
Reinvestment of distributions		4,373,088			5,960,913			61,353,974			52,644,301
Cost of shares redeemed		(70,812,276	)		(22,497,423	)		(335,771,223	)		(589,197,151	)
Cost of shares redeemed on in kind (See Note 15)		—			—			—			(52,771,157	)
Net increase (decrease) from capital transactions		(8,592,654	)		72,741,253			938,489,244			(13,135,856	)
CLASS N
Proceeds from shares sold		1,827,231			6,316,708			76,216,175			19,158,791
Reinvestment of distributions		232,047			477,309			4,116,723			3,302,766
Cost of shares redeemed		(4,760,078	)		(8,457,919	)		(14,178,162	)		(11,013,561	)
Net increase (decrease) from capital transactions		(2,700,800	)		(1,663,902	)		66,154,736			11,447,996
CLASS R6
Proceeds from shares sold		11,115			100,000	(a)		300,087,686			74,748,363	(a)
Reinvestment of distributions		5,189			6,668			18,986,659			3,591,982
Cost of shares redeemed		—			—			(7,472,854	)		(192,537	)
Net increase (decrease) from capital transactions		16,304			106,668			311,601,491			78,147,808
Net increase (decrease) in net assets resulting from capital transactions		(11,277,150	)		71,184,019			1,316,245,471			76,459,948
Total increase (decrease) in net assets		(24,105,999	)		67,119,593			1,339,614,541			69,917,909
NET ASSETS:
Beginning of period		114,364,716			47,245,123			489,132,878			419,214,969
End of period		$90,258,717			$114,364,716			$1,828,747,419			$489,132,878
Undistributed accumulated net investment income (loss)		$(2,860,613	)		$1,024,360			$36,181,849			$(27,093,370	)

The accompanying notes are an integral part of these financial statements. (continued on p. 334)

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333

Statements of Changes in Net Assets December 31, 2015

	AQR RISK PARITY II MV FUND**						AQR STYLE PREMIA ALTERNATIVE FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014			FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE YEAR ENDED DECEMBER 31, 2014
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		10,758,104			3,779,116			39,308,249			39,620,574
Shares sold		6,110,780			8,554,703			120,523,767			56,129,013
Shares issued on reinvestment of distributions		512,672			600,898			5,974,097			5,292,887
Shares redeemed		(7,290,896	)		(2,176,613	)		(33,583,150	)		(56,706,868	)
Shares redeemed in kind (See Note 15)		—			—			—			(5,027,357	)
Shares outstanding, end of period		10,090,660			10,758,104			132,222,963			39,308,249
CLASS N
Shares outstanding, beginning of period		790,138			940,172			2,694,354			1,568,834
Shares sold		184,037			606,458			7,463,692			1,868,292
Shares issued on reinvestment of distributions		27,300			48,262			401,240			333,070
Shares redeemed		(501,610	)		(804,754	)		(1,391,241	)		(1,075,842	)
Shares outstanding, end of period		499,865			790,138			9,168,045			2,694,354
CLASS R6
Shares outstanding, beginning of period		9,763			—	(a)		7,587,508			—	(a)
Shares sold		1,300			9,091			30,135,455			7,239,589
Shares issued on reinvestment of distributions		608			672			1,846,951			365,410
Shares redeemed		—			—			(708,843	)		(17,491	)
Shares outstanding, end of period		11,671			9,763			38,861,071			7,587,508

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

(a) Commencement of offering class of shares effective September 2, 2014.

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

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334

Statements of Changes in Net Assets December 31, 2015

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE PERIOD 9/17/14*- 12/31/14
OPERATIONS:
Net investment income (loss)		$(577,078	)		$(37,387	)
Net realized gain (loss)		1,803,761			482,110
Net change in unrealized appreciation (depreciation)		1,841,412			326,575
Net increase (decrease) in net assets resulting from operations		3,068,095			771,298
DISTRIBUTIONS TO SHAREHOLDERS:
Net investment income:
Class I		(2,291,598	)		(38,445	)
Class N		(161,010	)		(75,553	)
Class R6		(350,210	)		(218,868	)
Total		(2,802,818	)		(332,866	)
Net realized gain:
Class I		(467,704	)		(13,618	)
Class N		(39,469	)		(27,510	)
Class R6		(70,896	)		(76,360	)
Total		(578,069	)		(117,488	)
Total distributions		(3,380,887	)		(450,354	)
CAPITAL TRANSACTIONS:
CLASS I
Proceeds from shares sold		158,309,029			28,178,979
Reinvestment of distributions		2,746,926			52,063
Cost of shares redeemed		(36,778,993	)		(140,561	)
Net increase (decrease) from capital transactions		124,276,962			28,090,481
CLASS N
Proceeds from shares sold		6,450,074			8,671,505
Reinvestment of distributions		199,845			103,063
Cost of shares redeemed		(1,965,686	)		(115,319	)
Net increase (decrease) from capital transactions		4,684,233			8,659,249
CLASS R6
Proceeds from shares sold		22,000,001			23,000,000
Reinvestment of distributions		421,106			295,228
Cost of shares redeemed		(23,642,959	)		—
Net increase (decrease) from capital transactions		(1,221,852	)		23,295,228
Net increase (decrease) in net assets resulting from capital transactions		127,739,343			60,044,958
Total increase (decrease) in net assets		127,426,551			60,365,902
NET ASSETS:
Beginning of period		60,365,902			—
End of period		$187,792,453			$60,365,902
Undistributed accumulated net investment income (loss)		$(822,566	)		$(795,466	)

The accompanying notes are an integral part of these financial statements. (continued on p. 336)

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335

Statements of Changes in Net Assets December 31, 2015

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
	FOR THE YEAR ENDED DECEMBER 31, 2015			FOR THE PERIOD 9/17/14*- 12/31/14
CHANGES IN SHARES OUTSTANDING:
CLASS I
Shares outstanding, beginning of period		2,760,295			—
Shares sold		15,255,549			2,768,876
Shares issued on reinvestment of distributions		263,115			5,114
Shares redeemed		(3,633,549	)		(13,695	)
Shares outstanding, end of period		14,645,410			2,760,295
CLASS N
Shares outstanding, beginning of period		843,532			—
Shares sold		624,669			844,737
Shares issued on reinvestment of distributions		19,161			10,134
Shares redeemed		(192,814	)		(11,339	)
Shares outstanding, end of period		1,294,548			843,532
CLASS R6
Shares outstanding, beginning of period		2,329,001			—
Shares sold		2,091,933			2,300,000
Shares issued on reinvestment of distributions		40,297			29,001
Shares redeemed		(2,329,001	)		—
Shares outstanding, end of period		2,132,230			2,329,001

* 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.

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336

Statements of Cash Flows December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND			AQR EQUITY MARKET NEUTRAL FUND			AQR LONG-SHORT EQUITY FUND
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	(66,186,973	)	$	10,173,308		$	32,539,517
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(2,672,110,634	)		(78,350,020	)		(169,460,971	)
Payments to cover short securities		(1,736,115,808	)		(16,062,082	)		(30,407,588	)
Proceeds from sale of securities		3,820,400,354			4,416,957			11,191,209
Proceeds from securities sold short		1,278,879,125			80,488,190			164,224,048
Proceeds from written options		1,047,339			—			—
Payments to close written options		(150,509	)		—			—
(Purchases) sales of short-term investments, net		193,651,893			(225,327,491	)		(428,285,450	)
Realized (gain) loss on investments in securities		33,161,251			513,067			1,148,140
Realized (gain) loss on securities sold short		48,040,305			(399,981	)		(271,826	)
Realized (gain) loss on written options		(854,357	)		—			—
Realized (gain) loss on paydowns		(81,462	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		106,849,272			(235,429	)		2,267,205
Change in unrealized (appreciation) depreciation on securities sold short		(99,571,995	)		(2,283,578	)		(10,312,997	)
Change in unrealized (appreciation) depreciation on written options		(588,688	)		—			—
Amortization (accretion) of bond premium (discount)		(1,142,030	)		(22,797	)		(90,663	)
(Increases) decreases in operating assets:
Due from brokers		261,972,388			(8,711,739	)		(28,018,909	)
Due from custodian		2,320,125			—			—
Unrealized appreciation on forward foreign currency exchange contracts		4,998,355			(47,130	)		(964,654	)
OTC swaps, at value		19,176,280			(5,746,693	)		(2,331,625	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		(7,159,146	)		(803	)		(14,664,915	)
Variation margin on exchange-traded and centrally cleared derivatives		(377,552	)		—			—
Receivable for securities sold		111,584			(10,913,743	)		(26,959,547	)
Foreign tax reclaim		39,891			(9,398	)		(32,324	)
Dividends and interest		8,876,764			(18,475	)		(35,325	)
Due from Investment Adviser		—			22,189			—
Prepaid expenses		183,188			14,801			(27,851	)
Increases (decreases) in operating liabilities
Due to custodian		—			(34,336	)		—
Due to brokers		9,925,234			—			290,000
Unrealized depreciation on forward foreign currency exchange contracts		364,388			124,079			553,970
OTC swaps, at value		(10,425,098	)		376,337			5,455,052
Deposits from brokers for exchange-traded and centrally cleared derivatives		(12,413,572	)		(7,134	)		—
Variation margin on exchange-traded and centrally cleared derivatives		45,775			—			2,159,684
Payable for securities purchased		768,079			10,407,840			22,331,683
Accrued investment advisory fees		(1,271,914	)		162,237			366,452
Accrued distribution fees—Class N		(106,548	)		16,599			15,924
Accrued Trustees fees		848			104			259
Dividends and Interest payable on securities sold short and reverse repurchase agreements		(164,187	)		87,241			149,062
Other accrued expenses and liabilities		(457,406	)		55,494			102,123
Net cash provided by (used in) operating activities	$	1,181,634,559		$	(241,312,386	)	$	(469,070,317	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		475,617,829			282,639,323			525,980,446
Payments on shares redeemed		(1,673,629,667	)		(32,862,502	)		(62,302,323	)
Cash distributions paid		(7,331,470	)		(253,296	)		(210,322	)
Due to custodian		2,330,779			—			7,104,454
Net cash provided by (used in) financing activities	$	(1,203,012,529	)	$	249,523,525		$	470,572,255
Net change in cash and foreign currency		(21,377,970	)		8,211,139			1,501,938
Cash, beginning of period		35,429,912			24,630			137,472
Cash, end of period	$	14,051,942		$	8,235,769		$	1,639,410

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $10,161,121, $109,356 and $235,945.

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

AQR Funds Annual Report December 2015

337

Statements of Cash Flows December 31, 2015

	AQR MULTI- STRATEGY ALTERNATIVE FUND**			AQR RISK PARITY II HV FUND**			AQR STYLE PREMIA ALTERNATIVE FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	178,030,910		$	(7,921,351	)	$	115,849,352
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(1,060,122,868	)		(52,568,586	)		(560,099,796	)
Payments to cover short securities		(533,501,432	)		—			(170,161,349	)
Proceeds from sale of securities		828,530,161			55,219,203			91,134,577
Proceeds from securities sold short		716,298,435			—			503,099,838
(Purchases) sales of short-term investments, net		(704,367,135	)		(7,028,161	)		(1,091,416,690	)
Realized (gain) loss on investments in securities		(58,706,668	)		1,658,490			10,086,510
Realized (gain) loss on securities sold short		51,285,970			—			5,127,011
Realized (gain) loss on written options		(103,616	)		—			—
Change in unrealized (appreciation) depreciation on investments in securities		55,084,825			(503,843	)		(24,529,994	)
Change in unrealized (appreciation) depreciation on securities sold short		(70,384,102	)		—			(11,289,053	)
Change in unrealized (appreciation) depreciation on written options		(135,144	)
Amortization (accretion) of bond premium (discount)		(296,237	)		29,911			(238,304	)
(Increases) decreases in operating assets:
Due from brokers		(13,081,475	)		1,653,587			32,134,786
Repurchase Agreements		—			(2,525,961	)		—
Unrealized appreciation on forward foreign currency exchange contracts		(31,174,135	)		96,612			(17,005,734	)
OTC swaps, at value		(66,245,321	)		540,711			14,675,562
Deposits with brokers for exchange-traded and centrally cleared derivatives		(73,685,309	)		(1,394,881	)		(133,298,215	)
Variation margin on exchange-traded and centrally cleared derivatives		(10,452,406	)		(137,468	)		(4,265,113	)
Receivable for securities sold		(20,658,379	)		(4,367	)		790,658
Foreign tax reclaim		47,943			—			(265,617	)
Dividends and interest		(1,524,672	)		18,301			(349,802	)
Due from Investment Adviser		—			(5,604	)		—
Prepaid expenses		10,455			1,329			(46,546	)
Increases (decreases) in operating liabilities
Due to brokers		(1,854,383	)		(245,610	)		(899,341	)
Unrealized depreciation on forward foreign currency exchange contracts		22,536,170			158,019			11,836,195
OTC swaps, at value		11,574,672			(2,003,871	)		24,629,198
Deposits from brokers for exchange-traded and centrally cleared derivatives		(9,022,946	)		(362,458	)		(5,395,985	)
Variation margin on exchange-traded and centrally cleared derivatives		1,077,575			—			3,477,149
Payable for securities purchased		25,834,637			4,364			(106,696	)
Accrued investment advisory fees		1,176,436			(21,503	)		1,193,614
Accrued distribution fees—Class N		3,286			(504	)		11,140
Accrued Trustees fees		265			31			524
Dividends on securities sold short		—			—			360,717
Dividends and Interest payable on securities sold short and reverse repurchase agreements		118,501			5,562			—
Other accrued expenses and liabilities		247,075			(22,792	)		327,859
Net cash provided by (used in) operating activities	$	(763,458,912	)	$	(15,360,840	)	$	(1,204,633,545	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		1,257,935,203			38,943,909			1,612,429,490
Net change in reverse repurchase agreements		—			9,233,035			—
Payments on shares redeemed		(503,523,581	)		(32,800,433	)		(394,245,937	)
Cash distributions paid		(36,971,447	)		(40,281	)		(8,022,926	)
Due to custodian		68,691,851			13,813			—
Net cash provided by (used in) financing activities	$	786,132,026		$	15,350,043		$	1,210,160,627
Net change in cash and foreign currency		22,673,114			(10,797	)		5,527,082
Cash, beginning of period		21,326,798			44,021			695,980
Cash, end of period	$	43,999,912		$	33,224		$	6,223,062

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $1,850,926, $29,902 and $2,369,679.

** 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.

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Statements of Cash Flows December 31, 2015

	AQR STYLE PREMIA ALTERNATIVE LV FUND**
CASH FLOWS FROM OPERATING ACTIVITIES:
Net increase (decrease) in net assets resulting from operations	$	3,068,095
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided (used) in operating activities:
Payments to purchase securities		(31,554,658	)
Payments to cover short securities		(11,340,188	)
Proceeds from sale of securities		8,511,965
Proceeds from securities sold short		27,946,856
(Purchases) sales of short-term investments, net		(113,393,105	)
Realized (gain) loss on investments in securities		120,173
Realized (gain) loss on securities sold short		534,828
Change in unrealized (appreciation) depreciation on investments in securities		(1,375,946	)
Change in unrealized (appreciation) depreciation on securities sold short		(103,941	)
Amortization (accretion) of bond premium (discount)		(26,817	)
(Increases) decreases in operating assets:
Due from brokers		4,627,131
Unrealized appreciation on forward foreign currency exchange contracts		(973,358	)
OTC swaps, at value		(1,330,649	)
Deposits with brokers for exchange-traded and centrally cleared derivatives		(7,197,554	)
Variation margin on exchange-traded and centrally cleared derivatives		(249,243	)
Receivable for securities sold		(359,138	)
Foreign tax reclaim		(6,131	)
Dividends and interest		(30,432	)
Due from Investment Adviser		16,780
Prepaid expenses		27,687
Increases (decreases) in operating liabilities
Due to brokers		87,491
Unrealized depreciation on forward foreign currency exchange contracts		679,517
OTC swaps, at value		366,986
Deposits from brokers for exchange-traded and centrally cleared derivatives		(266,727	)
Variation margin on exchange-traded and centrally cleared derivatives		141,289
Payable for securities purchased		(73,423	)
Accrued investment advisory fees		43,277
Accrued distribution fees—Class N		848
Accrued Trustees fees		31
Dividends on securities sold short		22,236
Other accrued expenses and liabilities		10,348
Net cash provided by (used in) operating activities	$	(122,075,772	)
CASH FLOWS FROM FINANCING ACTIVITIES
Proceeds from shares sold		186,190,840
Payments on shares redeemed		(62,411,368	)
Cash distributions paid		(13,010	)
Due to custodian		(1,462,673	)
Net cash provided by (used in) financing activities	$	122,303,789
Net change in cash and foreign currency		228,017
Cash, beginning of period		—
Cash, end of period	$	228,017

Supplemental disclosure of cash flow information:

Cash paid during the period for interest in the amount of $85,188.

** 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.

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Financial Highlights December 31, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									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
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		0.07			(0.55	)		(0.48	)		(0.45	)		—			—			(0.45	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.91		0.23			(0.80	)		(0.57	)		(0.20	)		—			—			(0.20	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.05		0.17			0.02			0.19			(0.18	)		(0.06	)		(0.09	)		(0.33	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.89		0.10	6		0.24			0.34			(0.13	)		(0.05	)		—			(0.18	)
FOR THE YEAR ENDED DECEMBER 31, 2011		$11.15		0.13			(0.02	)		0.11			(0.09	)		(0.28	)		—			(0.37	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.10		0.03			(0.51	)		(0.48	)		(0.41	)		—			—			(0.41	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.87		0.21			(0.81	)		(0.60	)		(0.17	)		—			—			(0.17	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.01		0.13			0.04			0.17			(0.16	)		(0.06	)		(0.09	)		(0.31	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.85		0.06	6		0.24			0.30			(0.09	)		(0.05	)		—			(0.14	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$11.12		0.10			(0.02	)		0.08			(0.07	)		(0.28	)		—			(0.35	)
AQR DIVERSIFIED ARBITRAGE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.13		0.09			(0.55	)		(0.46	)		(0.47	)		—			—			(0.47	)
FOR THE PERIOD 9/02/147—12/31/14		$11.00		0.16			(0.82	)		(0.66	)		(0.21	)		—			—			(0.21	)
AQR EQUITY MARKET NEUTRAL FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.15	)		1.91			1.76			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/149—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)10		(0.59	)
AQR EQUITY MARKET NEUTRAL FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.19	)		1.94			1.75			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/149—12/31/14		$10.00		(0.03	)		0.62			0.59			(0.58	)		—			(0.00	)10		(0.58	)
AQR EQUITY MARKET NEUTRAL FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.01		(0.13	)		1.90			1.77			(0.28	)		(0.01	)		—			(0.29	)
FOR THE PERIOD 10/07/149—12/31/14		$10.00		(0.02	)		0.62			0.60			(0.59	)		—			(0.00	)10		(0.59	)
AQR GLOBAL MACRO FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.15	)		0.32			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/149—12/31/14		$10.00		(0.10	)		0.06			(0.04	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.92		(0.16	)		0.30			0.14			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 4/08/149—12/31/14		$10.00		(0.12	)		0.06			(0.06	)		—			(0.02	)		—			(0.02	)
AQR GLOBAL MACRO FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.94		(0.14	)		0.31			0.17			—			(0.51	)		—			(0.51	)
FOR THE PERIOD 9/02/147—12/31/14		$9.72		(0.04	)		0.28			0.24			—			(0.02	)		—			(0.02	)
AQR LONG-SHORT EQUITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.00			1.85			(0.58	)		(0.02	)		—			(0.60	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.14	)		1.67			1.53			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/139—12/31/13		$10.00		(0.06	)		1.17			1.11			(0.67	)		(0.23	)		—			(0.90	)
AQR LONG-SHORT EQUITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.84		(0.19	)		2.01			1.82			(0.57	)		(0.02	)		—			(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.21		(0.20	)		1.70			1.50			(0.74	)		(0.10	)		(0.03	)		(0.87	)
FOR THE PERIOD 7/16/139—12/31/13		$10.00		(0.07	)		1.17			1.10			(0.66	)		(0.23	)		—			(0.89	)
AQR LONG-SHORT EQUITY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.87		(0.15	)		2.02			1.87			(0.59	)		(0.02	)		—			(0.61	)
FOR THE PERIOD 9/02/147—12/31/14		$11.05		(0.08	)		0.78			0.70			(0.75	)		(0.10	)		(0.03	)		(0.88	)

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

AQR Funds Annual Report December 2015

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Financial Highlights December 31, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$9.21		(4.67	)%		$772,394		2.42	%		1.19	%		2.44	%		0.71	%		249	%
	$10.14		(5.25	)%		$1,546,685		1.88	%		1.20	%		1.88	%		2.07	%		380	%
	$10.91		1.75	%		$1,876,481		1.64	%		1.20	%		1.64	%		1.52	%		349	%
	$11.05		3.13	%		$1,752,724		2.30	%		1.21	%		2.32	%		0.88	%6		312	%
	$10.89		0.99	%		$1,456,748		2.75	%		1.20	%		2.84	%		1.18	%		298	%
	$9.21		(4.75	)%		$183,029		2.67	%		1.45	%		2.69	%		0.32	%		249	%
	$10.10		(5.51	)%		$678,528		2.12	%		1.44	%		2.12	%		1.99	%		380	%
	$10.87		1.51	%		$836,355		1.88	%		1.44	%		1.88	%		1.21	%		349	%
	$11.01		2.83	%		$761,371		2.62	%		1.52	%		2.62	%		0.57	%6		312	%
	$10.85		0.68	%		$651,791		3.05	%		1.50	%		3.08	%		0.89	%		298	%
	$9.20		(4.55	)%		$866		2.33	%		1.10	%		2.36	%		0.92	%		249	%
	$10.13		(5.99	)%		$94		1.94	%		1.10	%		1.94	%		4.69	%		380	%
	$11.48		17.60	%		$179,312		1.90	%		1.25	%		2.17	%8		(1.36	)%		383	%
	$10.01		5.93	%		$1,445		1.63	%		1.30	%		4.57	%8		(1.04	)%		152	%
	$11.47		17.43	%		$89,755		2.16	%		1.51	%		2.41	%8		(1.69	)%		383	%
	$10.01		5.88	%		$1,233		1.88	%		1.55	%		4.83	%8		(1.29	)%		152	%
	$11.49		17.72	%		$148		1.85	%		1.20	%		3.05	%8		(1.26	)%		383	%
	$10.01		5.95	%		$3,210		1.53	%		1.20	%		4.49	%8		(0.95	)%		152	%
	$9.60		1.71	%		$31,453		1.38	%		1.38	%		1.78	%8		(1.45	)%		0	%
	$9.94		(0.42	)%		$35,466		1.45	%		1.45	%		2.24	%8		(1.44	)%		0	%
	$9.55		1.41	%		$20,838		1.70	%		1.70	%		1.88	%8		(1.56	)%		0	%
	$9.92		(0.62	)%		$1,050		1.70	%		1.70	%		2.49	%8		(1.69	)%		0	%
	$9.60		1.71	%		$104		1.35	%		1.35	%		1.72	%8		(1.41	)%		0	%
	$9.94		2.45	%		$102		1.35	%		1.35	%		2.02	%8		(1.37	)%		0	%
	$12.12		17.04	%		$452,667		1.81	%		1.27	%		1.86	%		(1.28	)%		303	%
	$10.87		14.91	%		$43,667		1.30	%		1.30	%		2.34	%		(1.26	)%		0	%
	$10.21		11.17	%		$5,246		1.30	%		1.30	%		3.56	%8		(1.29	)%		0	%
	$12.07		16.79	%		$90,141		2.07	%		1.53	%		2.12	%		(1.58	)%		303	%
	$10.84		14.55	%		$10,688		1.55	%		1.55	%		2.46	%		(1.81	)%		0	%
	$10.21		11.04	%		$910		1.55	%		1.55	%		5.49	%8		(1.54	)%		0	%
	$12.13		17.16	%		$16,200		1.74	%		1.20	%		1.77	%		(1.21	)%		303	%
	$10.87		6.19	%		$427		1.20	%		1.20	%		1.99	%		(2.21	)%		0	%

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

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341

Financial Highlights December 31, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									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			Total Distributions
AQR MANAGED FUTURES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.63		(0.12	)		0.34			0.22			(0.46	)		(0.21	)		(0.67	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.59		(0.12	)		1.13			1.01			(0.44	)		(0.53	)		(0.97	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.78		(0.12	)		1.04			0.92			—			(0.11	)		(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.57		(0.12	)		0.40			0.28			(0.07	)		—			(0.07	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.30		(0.12	)		(0.53	)		(0.65	)		(0.04	)		(0.04	)		(0.08	)
AQR MANAGED FUTURES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.54		(0.15	)		0.34			0.19			(0.43	)		(0.21	)		(0.64	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.51		(0.15	)		1.11			0.96			(0.40	)		(0.53	)		(0.93	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.73		(0.15	)		1.04			0.89			—			(0.11	)		(0.11	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.55		(0.14	)		0.39			0.25			(0.07	)		—			(0.07	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.28		(0.15	)		(0.52	)		(0.67	)		(0.02	)		(0.04	)		(0.06	)
AQR MANAGED FUTURES STRATEGY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.62		(0.11	)		0.34			0.23			(0.46	)		(0.21	)		(0.67	)
FOR THE PERIOD 9/02/147—12/31/14		$10.28		(0.04	)		1.36			1.32			(0.45	)		(0.53	)		(0.98	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.18	)		0.46			0.28			(0.51	)		(0.30	)		(0.81	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.80		(0.17	)		1.72			1.55			(0.86	)		(0.26	)		(1.12	)
FOR THE PERIOD 7/16/139—12/31/13		$10.00		(0.08	)		0.89			0.81			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.21		(0.21	)		0.46			0.25			(0.50	)		(0.30	)		(0.80	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.79		(0.19	)		1.71			1.52			(0.84	)		(0.26	)		(1.10	)
FOR THE PERIOD 7/16/139—12/31/13		$10.00		(0.09	)		0.89			0.80			—			(0.01	)		(0.01	)
AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$11.23		(0.17	)		0.46			0.29			(0.52	)		(0.30	)		(0.82	)
FOR THE PERIOD 9/02/147—12/31/14		$10.33		(0.06	)		2.09			2.03			(0.87	)		(0.26	)		(1.13	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.76		(0.15	)		1.05			0.90			(0.74	)		(0.16	)		(0.90	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.78		(0.14	)		0.85			0.71			(0.73	)		—			(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.90		(0.17	)		0.61			0.44			(0.44	)		(0.12	)		(0.56	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.70		(0.17	)		0.40			0.23			(0.01	)		(0.02	)		(0.03	)
FOR THE PERIOD 7/18/119—12/31/11		$10.00		(0.05	)		(0.21	)		(0.26	)		(0.04	)		—			(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$ 9.74		(0.17	)		1.05			0.88			(0.72	)		(0.16	)		(0.88	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.76		(0.17	)		0.85			0.68			(0.70	)		—			(0.70	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.89		(0.20	)		0.61			0.41			(0.42	)		(0.12	)		(0.54	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$9.69		(0.23	)		0.45			0.22			—			(0.02	)		(0.02	)
FOR THE PERIOD 7/18/119—12/31/11		$10.00		(0.06	)		(0.21	)		(0.27	)		(0.04	)		—			(0.04	)
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.75		(0.13	)		1.05			0.92			(0.75	)		(0.16	)		(0.91	)
FOR THE PERIOD 9/02/147—12/31/14		$9.88		(0.11	)		0.71			0.60			(0.73	)		—			(0.73	)

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

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Financial Highlights December 31, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$10.18		2.00	%		$7,778,072		1.21	%		1.21	%		1.21	%		(1.11	)%		0	%
	$10.63		9.69	%		$5,633,607		1.23	%		1.23	%		1.23	%		(1.20	)%		0	%
	$10.59		9.40	%		$4,506,181		1.23	%		1.23	%		1.23	%		(1.22	)%		0	%
	$9.78		2.99	%		$2,136,959		1.25	%		1.25	%		1.25	%		(1.24	)%		0	%
	$9.57		(6.37	)%		$1,078,662		1.25	%		1.25	%		1.30	%		(1.22	)%		0	%
	$10.09		1.75	%		$1,588,011		1.47	%		1.47	%		1.47	%		(1.38	)%		0	%
	$10.54		9.34	%		$1,310,969		1.50	%		1.50	%		1.50	%		(1.47	)%		0	%
	$10.51		9.14	%		$1,408,085		1.50	%		1.50	%		1.50	%		(1.48	)%		0	%
	$9.73		2.68	%		$527,318		1.50	%		1.50	%		1.52	%		(1.48	)%		0	%
	$9.55		(6.59	)%		$476,854		1.50	%		1.50	%		1.57	%		(1.47	)%		0	%
	$10.18		2.16	%		$240,185		1.13	%		1.13	%		1.13	%		(1.01	)%		0	%
	$10.62		12.99	%		$113		1.15	%		1.15	%		1.16	%		(1.11	)%		0	%
	$10.70		2.48	%		$258,691		1.61	%		1.61	%		1.65	%		(1.52	)%		0	%
	$11.23		14.68	%		$146,261		1.65	%		1.65	%		1.76	%8		(1.62	)%		0	%
	$10.80		8.14	%		$37,078		1.68	%		1.65	%		2.51	%8		(1.66	)%		0	%
	$10.66		2.19	%		$137,115		1.89	%		1.89	%		1.92	%		(1.78	)%		0	%
	$11.21		14.37	%		$9,367		1.90	%		1.90	%		2.12	%8		(1.88	)%		0	%
	$10.79		8.04	%		$1,644		1.93	%		1.90	%		4.03	%8		(1.92	)%		0	%
	$10.70		2.54	%		$133,722		1.55	%		1.55	%		1.59	%		(1.45	)%		0	%
	$11.23		19.94	%		$45,436		1.55	%		1.55	%		1.68	%8		(1.52	)%		0	%
	$9.76		9.25	%		$2,284,285		2.41	%		1.97	%		2.41	%		(1.44	)%		208	%
	$9.76		7.31	%		$1,443,799		3.65	%		1.98	%		3.67	%		(1.46	)%		204	%
	$9.78		4.46	%		$1,453,977		3.34	%		1.98	%		3.37	%		(1.67	)%		137	%
	$9.90		2.36	%		$808,262		3.52	%		1.98	%		3.60	%		(1.73	)%		208	%
	$9.70		(2.57	)%11		$257,168		2.23	%		1.98	%		2.59	%		(1.09	)%		133	%
	$9.74		9.02	%		$103,504		2.67	%		2.23	%		2.68	%		(1.66	)%		208	%
	$9.74		7.03	%		$84,480		3.91	%		2.23	%		3.96	%		(1.75	)%		204	%
	$9.76		4.16	%		$74,641		3.59	%		2.23	%		3.66	%		(1.95	)%		137	%
	$9.89		2.22	%		$43,104		3.76	%		2.23	%		3.93	%		(2.32	)%		208	%
	$9.69		(2.73	)%11		$44,676		2.48	%		2.23	%		2.85	%		(1.37	)%		133	%
	$9.76		9.44	%		$100,959		2.32	%		1.88	%		2.33	%		(1.29	)%		208	%
	$9.75		6.19	%		$35,228		3.14	%		1.88	%		3.21	%		(3.41	)%		204	%

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

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Financial Highlights December 31, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									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			Total Distributions
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.98		(0.05	)		(1.31	)		(1.36	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.29		(0.08	)		(1.23	)		(1.31	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.87		(0.09	)		(1.49	)		(1.58	)		—			—			—
FOR THE PERIOD 7/09/129—12/31/12		$10.00		(0.05	)		(0.08	)		(0.13	)		—			—			—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.94		(0.08	)		(1.29	)		(1.37	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2014		$8.27		(0.11	)		(1.22	)		(1.33	)		—			—			—
FOR THE YEAR ENDED DECEMBER 31, 2013		$9.86		(0.11	)		(1.48	)		(1.59	)		—			—			—
FOR THE PERIOD 7/09/129—12/31/12		$10.00		(0.06	)		(0.08	)		(0.14	)		—			—			—
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$6.99		(0.05	)		(1.31	)		(1.36	)		—			—			—
FOR THE PERIOD 9/02/147—12/31/14		$8.60		(0.02	)		(1.59	)		(1.61	)		—			—			—
AQR RISK PARITY FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.07	)		(0.75	)		(0.82	)		—			(0.23	)		(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.77		(0.04	)		0.81			0.77			(0.30	)		(1.10	)		(1.40	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.49		(0.07	)		0.08	12		0.01			(0.27	)		(0.46	)		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.62		—			1.49			1.49			(0.14	)		(0.48	)		(0.62	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.28		0.04			0.51			0.55			(0.21	)		(0.00	)10		(0.21	)
AQR RISK PARITY FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.10	)		(0.73	)		(0.83	)		—			(0.23	)		(0.23	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.76		(0.07	)		0.80			0.73			(0.25	)		(1.10	)		(1.35	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$11.47		(0.11	)		0.08	12		(0.03	)		(0.22	)		(0.46	)		(0.68	)
FOR THE YEAR ENDED DECEMBER 31, 2012		$10.59		(0.03	)		1.50			1.47			(0.11	)		(0.48	)		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2011†		$10.27		0.03			0.49			0.52			(0.20	)		(0.00	)10		(0.20	)
AQR RISK PARITY FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.14		(0.04	)		(0.77	)		(0.81	)		—			(0.23	)		(0.23	)
FOR THE PERIOD 9/02/147—12/31/14		$12.01		(0.04	)		(0.43	)12		(0.47	)		(0.30	)		(1.10	)		(1.40	)
AQR RISK PARITY II HV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.08	)		(1.19	)		(1.27	)		(0.03	)		(0.46	)		(0.49	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.87		(0.03	)		0.95			0.92			(0.06	)		(1.18	)		(1.24	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.21		(0.06	)		(0.23	)		(0.29	)		(0.03	)		(0.02	)		(0.05	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		0.01			0.23			0.24			(0.03	)		—			(0.03	)
AQR RISK PARITY II HV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.56		(0.10	)		(1.20	)		(1.30	)		—			(0.46	)		(0.46	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.86		(0.04	)		0.93			0.89			(0.01	)		(1.18	)		(1.19	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.23		(0.09	)		(0.23	)		(0.32	)		(0.03	)		(0.02	)		(0.05	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		(0.01	)		0.25			0.24			(0.01	)		—			(0.01	)
AQR RISK PARITY II HV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.55		(0.03	)		(1.25	)		(1.28	)		(0.03	)		(0.46	)		(0.49	)
FOR THE PERIOD 9/02/147—12/31/14		$11.37		(0.05	)		(0.53	)12		(0.58	)		(0.06	)		(1.18	)		(1.24	)

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

AQR Funds Annual Report December 2015

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Financial Highlights December 31, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$5.62		(19.48	)%		$71,321		0.94	%		0.94	%		1.14	%		(0.88	)%		0	%
	$6.98		(15.80	)%		$46,443		1.01	%		1.01	%		1.34	%		(1.00	)%		0	%
	$8.29		(16.01	)%		$28,375		1.05	%		1.05	%		1.32	%		(1.05	)%		0	%
	$9.87		(1.30	)%		$63,331		1.05	%		1.05	%		1.72	%		(1.04	)%		0	%
	$5.57		(19.74	)%		$2,083		1.25	%		1.25	%		1.48	%		(1.21	)%		0	%
	$6.94		(16.08	)%		$4,764		1.26	%		1.26	%		1.59	%		(1.25	)%		0	%
	$8.27		(16.13	)%		$3,861		1.30	%		1.30	%		1.70	%		(1.28	)%		0	%
	$9.86		(1.40	)%		$2,206		1.30	%		1.30	%		4.00	%		(1.30	)%		0	%
	$5.63		(19.46	)%		$29,122		0.90	%		0.90	%		1.11	%		(0.85	)%		0	%
	$6.99		(18.72	)%		$15,482		0.90	%		0.90	%		1.31	%		(0.89	)%		0	%
	$9.09		(8.10	)%		$492,977		0.93	%		0.93	%		0.94	%		(0.71	)%		157	%
	$10.14		7.04	%		$583,927		0.90	%		0.90	%		0.90	%		(0.34	)%		94	%
	$10.77		0.12	%		$855,024		0.89	%		0.88	%		0.89	%		(0.64	)%		167	%
	$11.49		14.05	%		$868,661		0.95	%		0.95	%		0.95	%		(0.03	)%		72	%
	$10.62		5.45	%13		$337,526		0.95	%		0.95	%		1.06	%		0.41	%		66	%
	$9.08		(8.20	)%		$22,005		1.18	%		1.18	%		1.19	%		(0.96	)%		157	%
	$10.14		6.69	%		$36,232		1.20	%		1.20	%		1.20	%		(0.65	)%		94	%
	$10.76		(0.23	)%		$79,026		1.20	%		1.20	%		1.20	%		(0.92	)%		167	%
	$11.47		13.89	%		$170,953		1.20	%		1.20	%		1.23	%		(0.26	)%		72	%
	$10.59		5.12	%13		$51,560		1.20	%		1.20	%		1.42	%		0.30	%		66	%
	$9.10		(8.00	)%		$2,796		0.85	%		0.85	%		0.86	%		(0.37	)%		157	%
	$10.14		(3.96	)%		$96		0.85	%		0.85	%		0.86	%		(0.99	)%		94	%
	$7.79		(13.33	)%		$40,890		1.13	%		1.08	%		1.43	%		(0.83	)%		184	%
	$9.55		9.23	%		$42,279		1.20	%		1.15	%		1.54	%		(0.28	)%		108	%
	$9.87		(2.83	)%		$17,577		1.23	%		1.15	%		1.85	%		(0.62	)%		257	%
	$10.21		2.44	%		$16,254		1.28	%		1.15	%		2.26	%		0.53	%		0	%
	$7.80		(13.64	)%		$5,493		1.45	%		1.40	%		1.77	%		(1.04	)%		184	%
	$9.56		9.02	%		$7,834		1.45	%		1.40	%		1.86	%		(0.37	)%		108	%
	$9.86		(3.12	)%		$8,652		1.48	%		1.40	%		2.22	%		(0.84	)%		257	%
	$10.23		2.38	%		$5,805		1.53	%		1.40	%		3.44	%		(0.62	)%		0	%
	$7.78		(13.42	)%		$2,413		1.11	%		1.05	%		1.43	%		(0.36	)%		184	%
	$9.55		(5.10	)%		$95		1.10	%		1.05	%		1.47	%		(1.49	)%		108	%

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

AQR Funds Annual Report December 2015

345

Financial Highlights December 31, 2015

	PER SHARE OPERATING PERFORMANCE
			Change in Net Assets Resulting from Operations1									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			Total Distributions
AQR RISK PARITY II MV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.90		(0.08	)		(0.79	)		(0.87	)		(0.02	)		(0.50	)		(0.52	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.02		(0.04	)		0.65			0.61			(0.02	)		(0.71	)		(0.73	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.17		(0.06	)		(0.08	)		(0.14	)		(0.01	)		(0.00	)10		(0.01	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		—			0.19			0.19			(0.02	)		—			(0.02	)
AQR RISK PARITY II MV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.10	)		(0.78	)		(0.88	)		—			(0.50	)		(0.50	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$9.99		(0.06	)		0.65			0.59			—			(0.71	)		(0.71	)
FOR THE YEAR ENDED DECEMBER 31, 2013		$10.18		(0.07	)		(0.11	)		(0.18	)		(0.01	)		(0.00	)10		(0.01	)
FOR THE PERIOD 11/05/129—12/31/12		$10.00		—			0.18			0.18			—			—			—
AQR RISK PARITY II MV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.89		(0.07	)		(0.78	)		(0.85	)		(0.03	)		(0.50	)		(0.53	)
FOR THE PERIOD 9/02/147—12/31/14		$11.00		(0.04	)		(0.33	)12		(0.37	)		(0.03	)		(0.71	)		(0.74	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.86		(0.14	)		1.01			0.87			(0.56	)		(0.03	)		(0.59	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.10	)		1.24			1.14			(1.16	)		(0.30	)		(1.46	)
FOR THE PERIOD 10/30/139—12/31/13		$10.00		(0.03	)		0.44			0.41			(0.20	)		(0.03	)		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.17	)		1.02			0.85			(0.55	)		(0.03	)		(0.58	)
FOR THE YEAR ENDED DECEMBER 31, 2014		$10.18		(0.16	)		1.28			1.12			(1.13	)		(0.30	)		(1.43	)
FOR THE PERIOD 10/30/139—12/31/13		$10.00		(0.04	)		0.45			0.41			(0.20	)		(0.03	)		(0.23	)
AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$9.87		(0.14	)		1.02			0.88			(0.57	)		(0.03	)		(0.60	)
FOR THE PERIOD 9/02/147—12/31/14		$10.35		(0.07	)		0.86			0.79			(1.16	)		(0.11	)		(1.27	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.18		(0.08	)		0.49			0.41			(0.17	)		(0.03	)		(0.20	)
FOR THE PERIOD 9/17/149—12/31/14		$10.00		(0.02	)		0.32			0.30			(0.09	)		(0.03	)		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.09	)		0.48			0.39			(0.14	)		(0.03	)		(0.17	)
FOR THE PERIOD 9/17/149—12/31/14		$10.00		(0.03	)		0.32			0.29			(0.09	)		(0.03	)		(0.12	)
AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6
FOR THE YEAR ENDED DECEMBER 31, 2015		$10.17		(0.05	)		0.48			0.43			(0.17	)		(0.03	)		(0.20	)
FOR THE PERIOD 9/17/149—12/31/14		$10.00		(0.01	)		0.31			0.30			(0.10	)		(0.03	)		(0.13	)

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

AQR Funds Annual Report December 2015

346

Financial Highlights December 31, 2015

					RATIOS/SUPPLEMENTAL DATA
							Ratios to Average Net Assets of:*
Net Asset Value, End of Period		Total Return2,3			Net Assets, End of Period (000’s)		Expenses, Net of Reimbursements and/or Waivers4			Expenses, Net of Reimbursements and/or Waivers (Excluding Dividend Short Expense & Interest Expense)4			Expenses, Before Reimbursements and/or Waivers4			Net Investment Income (Loss)			Portfolio Turnover Rate5
	$8.51		(8.77	)%		$85,918		0.93	%		0.93	%		1.10	%		(0.80	)%		159	%
	$9.90		6.04	%		$106,473		0.95	%		0.95	%		1.12	%		(0.34	)%		128	%
	$10.02		(1.32	)%		$37,848		0.95	%		0.95	%		1.18	%		(0.61	)%		234	%
	$10.17		1.87	%		$29,993		0.95	%		0.95	%		2.07	%		0.18	%		0	%
	$8.49		(8.94	)%		$4,242		1.20	%		1.20	%		1.38	%		(0.99	)%		159	%
	$9.87		5.87	%		$7,795		1.20	%		1.20	%		1.44	%		(0.54	)%		128	%
	$9.99		(1.71	)%		$9,397		1.20	%		1.20	%		1.59	%		(0.71	)%		234	%
	$10.18		1.80	%		$2,259		1.20	%		1.20	%		2.81	%		(0.29	)%		0	%
	$8.51		(8.59	)%		$99		0.85	%		0.85	%		1.03	%		(0.68	)%		159	%
	$9.89		(3.44	)%		$97		0.85	%		0.85	%		1.03	%		(1.13	)%		128	%
	$10.14		8.76	%		$1,341,232		2.25	%		1.48	%		2.29	%		(1.39	)%		138	%
	$9.86		11.30	%		$387,666		2.56	%		1.50	%		2.56	%		(0.95	)%		145	%
	$10.18		4.08	%		$403,243		2.07	%		1.50	%		2.11	%8		(1.77	)%		133	%
	$10.14		8.50	%		$92,947		2.52	%		1.75	%		2.56	%		(1.65	)%		138	%
	$9.87		11.08	%		$26,594		2.81	%		1.75	%		2.92	%		(1.50	)%		145	%
	$10.18		4.05	%		$15,972		2.44	%		1.75	%		2.70	%8		(2.05	)%		133	%
	$10.15		8.80	%		$394,568		2.17	%		1.40	%		2.21	%		(1.37	)%		138	%
	$9.87		7.67	%		$74,872		2.46	%		1.40	%		2.57	%		(1.94	)%		145	%
	$10.39		4.02	%		$152,172		1.11	%		0.79	%		1.46	%		(0.80	)%		213	%
	$10.18		3.07	%		$28,094		1.01	%		0.85	%		1.49	%8		(0.68	)%		191	%
	$10.39		3.85	%		$13,444		1.41	%		1.09	%		1.90	%		(0.91	)%		213	%
	$10.17		2.94	%		$8,577		1.32	%		1.10	%		1.92	%8		(0.91	)%		191	%
	$10.40		4.23	%		$22,176		1.08	%		0.75	%		1.57	%		(0.50	)%		213	%
	$10.17		2.98	%		$23,695		1.00	%		0.75	%		1.75	%8		(0.32	)%		191	%

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

AQR Funds Annual Report December 2015

347

Financial Highlights December 31, 2015

  * Annualized for periods less than one year.

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

  ¹ Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding.

  ² 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.

  ³ 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.

  ⁴ Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests.

  ⁵ Portfolio turnover is not annualized.

  ⁶ For the period 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 Commencement of offering of shares.

  ⁸ Certain expenses incurred by the Fund were not annualized for the period.

  ⁹ Commencement of operations.

¹⁰  Amount is less than $.005 per share.

¹¹  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%.

¹²  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.

¹³  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%.

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

AQR Funds Annual Report December 2015

348

Notes to Financial Statements December 31, 2015

1. Organization

AQR Funds (the “Trust”), was organized as a Delaware statutory trust on September 4, 2008. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2015, the Trust consists of thirty-three active series, thirteen of which are presented in this book (collectively, the “Funds“ and each individually a “Fund”): AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series, which have a fiscal year-end of September 30th, are reported in a separate book. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.

The investment objective of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral 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, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV 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 HV Fund and the AQR Risk Parity II MV 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, Class N, and Class R6 shares.

On January 22, 2016 the Board of Trustees approved the closure of the AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund to new investors, effective March 31, 2016, subject to certain exceptions.

2. Consolidation of Subsidiaries

The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated 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 Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.

Each consolidated Fund 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 affect certain investment strategies consistent with the Funds’ investment objectives and policies. The 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 Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.

	INCEPTION DATE OF SUBSIDIARY	SUBSIDIARY NET ASSETS AT DECEMBER 31, 2015		% OF TOTAL NET ASSETS AT DECEMBER 31, 2015			NET REALIZED GAIN(LOSS) ON INVESTMENTS HELD IN SUBSIDIARY
AQR Global Macro Offshore Fund Ltd.	April 8, 2014	$	12,210,047		23.3	%	$	2,669,504
AQR Managed Futures Strategy Offshore Fund Ltd.	January 5, 2010		2,175,788,011		22.6	%		530,026,473
AQR Managed Futures Strategy HV Offshore Fund Ltd.	July 16, 2013		120,287,443		22.7	%		31,626,156
AQR Multi-Strategy Alternative Offshore Fund Ltd.	July 18, 2011		384,521,988		15.5	%		27,493,196
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd.	July 9, 2012		22,716,221		22.2	%		(20,791,502	)
AQR Risk Parity Offshore Fund Ltd.	September 29, 2010		105,801,550		20.4	%		(39,564,550	)
AQR Risk Parity II HV Offshore Fund Ltd.	November 5, 2012		11,295,646		23.1	%		(6,651,656	)
AQR Risk Parity II MV Offshore Fund Ltd.	November 5, 2012		13,320,475		14.8	%		(7,803,962	)
AQR Style Premia Alternative Offshore Fund Ltd.	October 30, 2013		412,330,607		22.5	%		25,001,108
AQR Style Premia Alternative LV Offshore Fund Ltd.	September 17, 2014		42,221,963		22.5	%		482,826

AQR Funds Annual Report December 2015

349

Notes to Financial Statements December 31, 2015

3. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, 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 reporting period. Actual results could differ from those estimates and such differences could be material.

Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.

Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) 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 Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, 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.

Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.

The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) on investments in securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.

Realized gains (losses) on foreign currency and foreign currency transactions reported on the Statements of Operations arise from the disposition of foreign currency and a change between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books on the transaction date and the U.S. Dollar equivalent of the amounts actually received or paid. Changes in unrealized appreciation (depreciation) on foreign currency and foreign currency translation reported on the Statements of Operations 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.

Investment Transactions and Related 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) net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when the Fund first learns of the ex-date dividend notification. Interest purchased and interest sold on bonds is included in interest receivable and interest payable, respectively, in the Statements of Assets and Liabilities. For inflation-linked bonds, interest income (expense) is earned on the principal amount and adjusted for the changes in the relevant consumer price index.

Multi-class Operations: Each class of shares offered by the Trust has equal rights as to earnings, assets and voting privileges, except that each class may bear different sub-transfer agency and distribution fees and shareholders of a class have exclusive voting rights regarding any matter relating solely to that class of shares. 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. 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.

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350

Notes to Financial Statements December 31, 2015

Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.

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. Accordingly no provision for Federal income tax is necessary.

The Adviser 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 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 not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of December 31, 2015, the Funds had no examinations in progress.

For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Internal Revenue Code of 1986 (“the Code”) and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.

Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. 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. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gains (losses) reported on the Funds’ financial statements presented under GAAP.

Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.

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. Securities and Other Investments

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 they 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. The premiums attributable to the conversion feature are not amortized.

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.

Inflation-Indexed Bonds: Certain Funds may invest in Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.

AQR Funds Annual Report December 2015

351

Notes to Financial Statements December 31, 2015

Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When one of the Funds 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 one of the Funds 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 Funds 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 unfunded loan commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. 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. There were no unfunded commitments as of December 31, 2015.

Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.

Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security (short sale). When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker 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 are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price. The Fund is 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 Statements of Operations.

The Funds are required to pledge cash or securities to the broker as collateral for securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with the 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	$	5,892,981
AQR Equity Market Neutral Fund		73,617
AQR Long-Short Equity Fund		168,757
AQR Multi-Strategy Alternative Fund		1,141,001
AQR Style Premia Alternative Fund		1,321,768
AQR Style Premia Alternative LV Fund		46,956

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Futures Contracts: Certain Funds invest in futures contracts as part of their primary investment strategy and to equitize its cash flows. 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 the entire margin owed to the Funds, potentially resulting in a loss. A change in market value of an open futures contract is recorded in the Statements of Operations as change in unrealized appreciation (depreciation) on futures contracts. A realized gain (loss) represents 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 is reported in the Statements of Operations. The use of long futures contracts subjects the Funds to risk of loss in excess of the variation margin on the Statements of Assets and Liabilities. 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 that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. 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 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 Funds are 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 may be privately negotiated in the over-the-counter (“OTC”) market where 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 (paid) by a Fund are recorded as realized gains (losses) on swap contracts in the Statements of Operations.

The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly, including: market risk related to unfavorable changes in interest rates or in the price(s) of the underlying security(ies); 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 Funds to close out their position(s).

Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, 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 and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject 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 subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) on swap contracts in the Statements of Operations. 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. The Funds have 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 realized gains (losses) on positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds 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 Funds 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 Funds and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation

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(depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gains (losses) on swap contracts 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.

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 and the change, if any, is recorded as an unrealized gain or loss. 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 on swap contracts in the Statements of Operations.

Implied credit spreads are used to determine the value of credit default 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 indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. 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.

Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A 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 specific 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 each Fund’s Schedule of Investments.

Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their 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 be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.

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. 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. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A 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. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.

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The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $6,778,074 for AQR Risk Parity II HV Fund.

Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a 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 a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.

Transactions in call and put options written during the period for the 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, 2014		(5,716	)	$	(2,340,132	)
Options written		(22,405	)		(875,288	)
Options terminated		2,288			165,402
Options expired		16,981			455,108
Options exercised		4,056			378,530
Options outstanding, December 31, 2015		(4,796	)	$	(2,216,380	)
	PUT OPTIONS
AQR DIVERSIFIED ARBITRAGE FUND	NUMBER OF CONTRACTS SUBJECT TO PUT			PREMIUM
Options outstanding, December 31, 2014		—		$	—
Options written		(67	)		(172,051	)
Options terminated		—			—
Options expired		—			—
Options exercised		—			—
Options outstanding, December 31, 2015		(67	)	$	(172,051	)
	CALL OPTIONS
AQR MULTI-STRATEGY ALTERNATIVE FUND	NUMBER OF CONTRACTS SUBJECT TO CALL			PREMIUM
Options outstanding, December 31, 2014		(829	)	$	(104,437	)
Options written		—			—
Options terminated		—			—
Options expired		—			—
Options exercised		829			104,437
Options outstanding, December 31, 2015		—		$	—

Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of

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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. As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty.

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 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 options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms 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 payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.

Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on derivative instruments. Variation margin is determined separately for exchange-traded futures and centrally cleared swaps and cannot be netted.

International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. 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. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC 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 be material to the financial statements and impact a Fund’s future derivative activity.

Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place 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 a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements 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. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.

5. Investment Valuation and Fair Value Measurements

Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board.

The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser has established a Valuation Committee (the “VC”) whose function is to monitor the valuation of portfolio securities

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and other financial derivative instruments and determine in good faith the fair value of portfolio holdings after consideration of all relevant factors. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.

Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could 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.

Fair Value Hierarchy: Various inputs are utilized 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 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.

Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.

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.

Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.

Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market in which each security trades and are therefore considered Level 1.

An equity for which no sales are reported, as in the case of a security that is traded in the over-the-counter market or a less liquid listed equity, is valued at its last bid price (in the case of short sales, at the ask price) and is therefore considered Level 2. In addition, equities traded outside of the Western Hemisphere are also considered Level 2 because they are fair valued daily based on the application of a fair value factor (unless the Adviser determines that use of another valuation methodology is appropriate). The Funds apply daily fair value factors, furnished by an independent pricing service, to account for the market movement between the close of the foreign market and the close of the NYSE. 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, American Depository Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time the Funds calculate their net asset value.

Fixed income securities and other investments that trade in markets that are not considered to be active, are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs and 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 using the latest bid prices or evaluated quotes furnished by independent pricing services, as well as quotations from counterparties and other market participants. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices for identical or similar assets, yields, maturities and ratings and are not necessarily reliant on quoted prices. Short-term debt investments of sufficient credit quality maturing in less than 60 days are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 of the fair value hierarchy.

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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 may use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach), including proprietary models 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 estimated future cash flows discounted to calculate fair value. Discounts may also be applied due to the nature or durations of any restrictions on the disposition of the investment or adjusted as appropriate for 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, changes in financial ratios or cash flows, benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Adviser in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the fair value of the investment.

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 or, if no sales occurred on such date, at the bid price on such exchange at the close of business on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.

OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.

The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price 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 U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.

Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.

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. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of 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.

The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).

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Notes to Financial Statements December 31, 2015

Quantitative Information

The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.

AQR DIVERSIFIED ARBITRAGE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks	$	183,598,838		$	105,147,397		$	11,396,171		$	300,142,406
Convertible Preferred Stocks		104,794,294			54,996,014			27,393,124			187,183,432
Corporate Bonds		—			11,866,958			4,726,199			16,593,157
Convertible Bonds		—			253,227,651			574,719			253,802,370
Securities In Litigation		—			—			90,995			90,995
Closed End Funds		103,582,307			—			—			103,582,307
Loan Participations		—			809,397			2,224,524			3,033,921
Open End Fund		295,133			—			—			295,133
Preferred Stocks		—			1,708,378			817,262			2,525,640
Rights		894,855			530,105			715,900			2,140,860
U.S. Treasury Bill		—			82,704,332			—			82,704,332
Warrants		10,479,812			6,296,975			1,573,200			18,349,987
Money Market Funds		—			329,945,407			—			329,945,407
Purchased Options		15,276			—			—			15,276
Futures Contracts*		182,399			—			—			182,399
Forward Foreign Currency Exchange Contracts*		—			1,467,728			—			1,467,728
Total Return Basket Swaps Contracts*		—			4,438,467			—			4,438,467
Total Assets	$	403,842,914		$	853,138,809		$	49,512,094		$	1,306,493,817
LIABILITIES
Common Stocks (Sold Short)	$	(316,088,820	)	$	(978,044	)	$	(453	)	$	(317,067,317	)
Convertible Bonds (Sold Short)		—			(28,297,234	)		—			(28,297,234	)
Exchange-Traded Fund (Sold Short)		(679,769	)		—			—			(679,769	)
Written Options (Sold Short)*		(201,436	)		—			—			(201,436	)
Futures Contracts*		(379,502	)		—			—			(379,502	)
Forward Foreign Currency Exchange Contracts*		—			(364,388	)		—			(364,388	)
Credit Default Swap Contracts*		—			(1,247,858	)		—			(1,247,858	)
Total Return Basket Swaps Contracts*		—			(3,110,613	)		—			(3,110,613	)
Total Liabilities	$	(317,349,527	)	$	(33,998,137	)	$	(453	)	$	(351,348,117	)
AQR EQUITY MARKET NEUTRAL FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	15,372,993		$	60,338,736		$	—		$	75,711,729
U.S.Treasury Bill		—			50,522,368			—			50,522,368
Money Market Funds		—			178,161,947			—			178,161,947
Forward Foreign Currency Exchange Contracts*		—			54,341			—			54,341
Total Return Basket Swaps Contracts*		—			6,076,500			—			6,076,500
Total Assets	$	15,372,993		$	295,153,892		$	—		$	310,526,885
LIABILITIES
Common Stocks (Sold Short)†	$	(17,290,825	)	$	(45,127,862	)	$	—		$	(62,418,687	)
Preferred Stocks (Sold Short)†		—			(1,185,918	)		—			(1,185,918	)
Forward Foreign Currency Exchange Contracts*		—			(124,079	)		—			(124,079	)
Total Return Basket Swaps Contracts*		—			(376,337	)		—			(376,337	)
Total Liabilities	$	(17,290,825	)	$	(46,814,196	)	$	—		$	(64,105,021	)

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359

Notes to Financial Statements December 31, 2015

AQR GLOBAL MACRO FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
U.S.Treasury Bill	$	—		$	29,876,219		$	—	$	29,876,219
Money Market Funds		—			16,924,871			—		16,924,871
Futures Contracts*		366,082			—			—		366,082
Forward Foreign Currency Exchange Contracts*		—			816,404			—		816,404
Interest Rate Swap Contracts*		—			682,904			—		682,904
Total Return Swap Contracts*		—			124,582			—		124,582
Total Assets	$	366,082		$	48,424,980		$	—	$	48,791,062
LIABILITIES
Futures Contracts*	$	(370,618	)	$	—		$	—	$	(370,618	)
Forward Foreign Currency Exchange Contracts*		—			(306,582	)		—		(306,582	)
Interest Rate Swap Contracts*		—			(94,031	)		—		(94,031	)
Total Return Swap Contracts*		—			(18,100	)		—		(18,100	)
Total Liabilities	$	(370,618	)	$	(418,713	)	$	—	$	(789,331	)
AQR LONG-SHORT EQUITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	30,498,265		$	124,355,767		$	—	$	154,854,032
U.S.Treasury Bill		—			165,428,283			—		165,428,283
Money Market Funds		—			312,775,294			—		312,775,294
Futures Contracts*		3,296,263			—			—		3,296,263
Forward Foreign Currency Exchange Contracts*		—			964,654			—		964,654
Total Return Basket Swaps Contracts*		—			5,408,354			—		5,408,354
Total Return Swap Contracts*		—			414,386			—		414,386
Total Assets	$	33,794,528		$	609,346,738		$	—	$	643,141,266
LIABILITIES
Common Stocks (Sold Short)†	$	(34,354,984	)	$	(87,118,924	)	$	—	$	(121,473,908	)
Preferred Stocks (Sold Short)†		—			(1,757,728	)		—		(1,757,728	)
Forward Foreign Currency Exchange Contracts*		—			(699,605	)		—		(699,605	)
Total Return Basket Swaps Contracts*		—			(5,455,052	)		—		(5,455,052	)
Total Liabilities	$	(34,354,984	)	$	(95,031,309	)	$	—	$	(129,386,293	)
AQR MANAGED FUTURES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
U.S. Treasury Bill	$	—		$	8,021,262,203		$	—	$	8,021,262,203
Money Market Funds		—			1,412,495,198			—		1,412,495,198
Futures Contracts*		47,402,114			—			—		47,402,114
Forward Foreign Currency Exchange Contracts*		—			154,800,955			—		154,800,955
Total Return Swap Contracts*		—			19,080,592			—		19,080,592
Total Assets	$	47,402,114		$	9,607,638,948		$	—	$	9,655,041,062
LIABILITIES
Futures Contracts*	$	(50,976,303	)	$	—		$	—	$	(50,976,303	)
Forward Foreign Currency Exchange Contracts*		—			(196,445,264	)		—		(196,445,264	)
Total Return Swap Contracts*		—			(9,008,678	)		—		(9,008,678	)
Total Liabilities	$	(50,976,303	)	$	(205,453,942	)	$	—	$	(256,430,245	)

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360

Notes to Financial Statements December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
U.S.Treasury Bill	$	—		$	390,109,789		$	—	$	390,109,789
Money Market Funds		—			108,289,490			—		108,289,490
Futures Contracts*		3,812,342			—			—		3,812,342
Forward Foreign Currency Exchange Contracts*		—			12,115,744			—		12,115,744
Total Return Swap Contracts*		—			1,421,210			—		1,421,210
Total Assets	$	3,812,342		$	511,936,233		$	—	$	515,748,575
LIABILITIES
Futures Contracts*	$	(3,987,785	)	$	—		$	—	$	(3,987,785	)
Forward Foreign Currency Exchange Contracts*		—			(15,402,116	)		—		(15,402,116	)
Total Return Swap Contracts*		—			(732,814	)		—		(732,814	)
Total Liabilities	$	(3,987,785	)	$	(16,134,930	)	$	—	$	(20,122,715	)
AQR MULTI-STRATEGY ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Common Stocks†	$	106,474,358		$	—		$	408,524	$	106,882,882
Convertible Preferred Stocks†		201,579,310			72,572,993			—		274,152,303
Corporate Bonds†		—			246,875			—		246,875
Convertible Bonds†		—			550,569,539			416,739		550,986,278
U.S.Treasury Bill		—			106,806,095			—		106,806,095
Money Market Funds		—			1,250,165,700			—		1,250,165,700
Futures Contracts*		2,140,906			—			—		2,140,906
Forward Foreign Currency Exchange Contracts*		—			36,246,359			—		36,246,359
Credit Default Swap Contracts*		—			194,065			—		194,065
Total Return Basket Swaps Contracts*		—			148,068,820			—		148,068,820
Total Return Swap Contracts*		—			2,570,600			—		2,570,600
Total Assets	$	310,194,574		$	2,167,441,046		$	825,263	$	2,478,460,883
LIABILITIES
Common Stocks (Sold Short)†	$	(588,406,560	)	$	—		$	—	$	(588,406,560	)
Futures Contracts*		(4,710,738	)		—			—		(4,710,738	)
Forward Foreign Currency Exchange Contracts*		—			(22,536,170	)		—		(22,536,170	)
Total Return Basket Swaps Contracts*		—			(5,703,338	)		—		(5,703,338	)
Total Return Swap Contracts*		—			(8,205,880	)		—		(8,205,880	)
Total Liabilities	$	(593,117,298	)	$	(36,445,388	)	$	—	$	(629,562,686	)
AQR RISK-BALANCED COMMODITIES STRATEGY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
U.S.Treasury Bill	$	—		$	52,583,037		$	—	$	52,583,037
Money Market Funds		—			39,904,434			—		39,904,434
Total Return Swap Contracts*		—			323,845			—		323,845
Total Assets	$	—		$	92,811,316		$	—	$	92,811,316
LIABILITIES
Futures Contracts*	$	(3,355,122	)	$	—		$	—	$	(3,355,122	)
Total Return Swap Contracts*		—			(557,767	)		—		(557,767	)
Total Liabilities	$	(3,355,122	)	$	(557,767	)	$	—	$	(3,912,889	)

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361

Notes to Financial Statements December 31, 2015

AQR RISK PARITY FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Government Related Obligations	$	—		$	62,301,527		$	—	$	62,301,527
U.S. Treasury Bill		—			107,355,380			—		107,355,380
U.S. Treasury Obligations		—			94,207,063			—		94,207,063
Money Market Funds		—			225,690,996			—		225,690,996
Futures Contracts*		1,111,618			—			—		1,111,618
Forward Foreign Currency Exchange Contracts*		—			991,423			—		991,423
Interest Rate Swap Contracts*		—			254,057			—		254,057
Credit Default Swap Contracts*		—			5,114,137			—		5,114,137
Total Return Swap Contracts*		—			184,650			—		184,650
Total Assets	$	1,111,618		$	496,099,233		$	—	$	497,210,851
LIABILITIES
Futures Contracts*	$	(6,287,318	)	$	—		$	—	$	(6,287,318	)
Forward Foreign Currency Exchange Contracts*		—			(4,912,113	)		—		(4,912,113	)
Interest Rate Swap Contracts*		—			(451,155	)		—		(451,155	)
Total Return Swap Contracts*		—			(884,195	)		—		(884,195	)
Total Liabilities	$	(6,287,318	)	$	(6,247,463	)	$	—	$	(12,534,781	)
AQR RISK PARITY II HV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Government Related Obligations	$	—		$	6,797,727		$	—	$	6,797,727
Repurchase Agreements		—			2,525,961			—		2,525,961
U.S. Treasury Bill		—			10,186,263			—		10,186,263
U.S. Treasury Obligations		—			10,335,368			—		10,335,368
Money Market Funds		—			25,334,185			—		25,334,185
Futures Contracts*		186,810			—			—		186,810
Forward Foreign Currency Exchange Contracts*		—			41,152			—		41,152
Total Return Swap Contracts*		—			36,390			—		36,390
Total Assets	$	186,810		$	55,257,046		$	—	$	55,443,856
LIABILITIES
Reverse Repurchase Agreements (Sold Short)	$	—		$	(9,233,035	)	$	—	$	(9,233,035	)
Futures Contracts*		(897,444	)		—			—		(897,444	)
Forward Foreign Currency Exchange Contracts*		—			(158,019	)		—		(158,019	)
Total Return Swap Contracts*		—			(140,718	)		—		(140,718	)
Total Liabilities	$	(897,444	)	$	(9,531,772	)	$	—	$	(10,429,216	)
AQR RISK PARITY II MV FUND	LEVEL 1			LEVEL 2			LEVEL 3		TOTALS
ASSETS
Government Related Obligations	$	—		$	10,252,599		$	—	$	10,252,599
U.S. Treasury Bill		—			18,869,617			—		18,869,617
U.S. Treasury Obligations		—			15,343,245			—		15,343,245
Money Market Funds		—			43,025,454			—		43,025,454
Futures Contracts*		279,038			—			—		279,038
Forward Foreign Currency Exchange Contracts*		—			55,018			—		55,018
Total Return Swap Contracts*		—			121,247			—		121,247
Total Assets	$	279,038		$	87,667,180		$	—	$	87,946,218
LIABILITIES
Futures Contracts*	$	(1,293,475	)	$	—		$	—	$	(1,293,475	)
Forward Foreign Currency Exchange Contracts*		—			(209,065	)		—		(209,065	)
Total Return Swap Contracts*		—			(355,699	)		—		(355,699	)
Total Liabilities	$	(1,293,475	)	$	(564,764	)	$	—	$	(1,858,239	)

AQR Funds Annual Report December 2015

362

Notes to Financial Statements December 31, 2015

AQR STYLE PREMIA ALTERNATIVE FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	671,441,026		$	—		$	671,441,026
Preferred Stocks†		—			7,283,817			—			7,283,817
U.S.Treasury Bill		—			369,724,615			—			369,724,615
Money Market Funds		—			1,111,259,579			—			1,111,259,579
Futures Contracts*		7,418,990			—			—			7,418,990
Forward Foreign Currency Exchange Contracts*		—			19,468,488			—			19,468,488
Total Return Swap Contracts*		—			2,392,364			—			2,392,364
Total Assets	$	7,418,990		$	2,181,569,889		$	—		$	2,188,988,879
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(485,078,866	)	$	(2	)	$	(485,078,868	)
Preferred Stocks (Sold Short)†		—			(3,260,520	)		—			(3,260,520	)
Futures Contracts*		(27,450,618	)		—			—			(27,450,618	)
Forward Foreign Currency Exchange Contracts*		—			(11,836,195	)		—			(11,836,195	)
Total Return Basket Swaps Contracts*		—			(18,170,268	)		—			(18,170,268	)
Total Return Swap Contracts*		—			(7,145,945	)		—			(7,145,945	)
Total Liabilities	$	(27,450,618	)	$	(525,491,794	)	$	(2	)	$	(552,942,414	)
AQR STYLE PREMIA ALTERNATIVE LV FUND	LEVEL 1			LEVEL 2			LEVEL 3			TOTALS
ASSETS
Common Stocks†	$	—		$	37,096,219		$	—		$	37,096,219
Preferred Stocks†		—			201,636			—			201,636
U.S.Treasury Bill		—			51,073,338			—			51,073,338
Money Market Funds		—			116,829,809			—			116,829,809
Futures Contracts*		417,848			—			—			417,848
Forward Foreign Currency Exchange Contracts*		—			1,069,551			—			1,069,551
Total Return Basket Swaps Contracts*		—			1,528,900			—			1,528,900
Total Return Swap Contracts*		—			147,827			—			147,827
Total Assets	$	417,848		$	207,947,280		$	—		$	208,365,128
LIABILITIES
Common Stocks (Sold Short)†	$	—		$	(27,481,412	)	$	—		$	(27,481,412	)
Preferred Stocks (Sold Short)†		—			(256,418	)		—			(256,418	)
Futures Contracts*		(1,438,152	)		—			—			(1,438,152	)
Forward Foreign Currency Exchange Contracts*		—			(679,517	)		—			(679,517	)
Total Return Swap Contracts*		—			(366,986	)		—			(366,986	)
Total Liabilities	$	(1,438,152	)	$	(28,784,333	)	$	—		$	(30,222,485	)

* Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives.

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

The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. 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. During the year ended December 31, 2015, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund and AQR Multi-Strategy Alternative Fund was $21,014,246, $242,650 and $29,061,398, respectively, and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund and AQR Equity Market Neutral Fund was $13,416,565 and $532,930, respectively. There were no transfers of investments between levels for any of the remaining 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. Securities classified as Level 3 in the Schedule of Investments are considered quantitatively insignificant in the aggregate for AQR Style Premia Alternative Fund.

AQR Funds Annual Report December 2015

363

Notes to Financial Statements December 31, 2015

The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:

AQR DIVERSIFIED ARBITRAGE FUND	COMMON STOCK			CONVERTIBLE PREFERRED STOCK		LOAN PARTI- CIPATIONS/ CORPORATE BONDS			CONVER- TIBLE BOND			PREFERRED STOCK			RIGHTS			WARRANT			SECURITIES IN LITGATION			SHORT COMMON STOCKS
Balance as of December 31, 2014	$	70,433,999		$	24,872,000	$	79,673,833		$	291,618		$	853,511		$	3,286,022		$	1,270,739		$	93,245		$	(453	)
Accrued discounts/(premiums)		—			—		459,659			1,219			—			—			—			59			—
Realized gain/(loss)		(968,426	)		—		(15,686,939	)		(622,500	)		—			2,513,980			365,322			—			—
Change in unrealized appreciation/ (depreciation)		(3,971,390	)		2,521,124		2,522,928			(2,283,927	)		(36,249	)		(2,519,904	)		(609,417	)		(2,309	)		—
Purchases1		7,316,457			—		17,686,890			2,275,000			—			—			1,322,280			—			—	(a)
Sales2		(31,971,322	)		—		(90,495,157	)		(877,500	)		—			(2,513,980	)		(392,925	)		—			—
Transfers in to Level 3		—			—		15,800,377			1,790,809			—			—			305,832			—			—
Transfers out of Level 3		(29,443,147	)		—		(3,010,868	)		—			—			(50,218	)		(688,631	)		—			—
Balance as of December 31, 2015	$	11,396,171		$	27,393,124	$	6,950,723		$	574,719		$	817,262		$	715,900		$	1,573,200		$	90,995		$	(453	)
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2015	$	(4,624,300	)	$	2,521,124	$	(16,533,181	)	$	(2,955,832	)	$	(36,249	)	$	(2,519,904	)	$	(98,772	)	$	(2,250	)	$	—

AQR MULTI-STRATEGY ALTERNATIVE FUND	COMMON STOCK			CONVERTIBLE BOND			RIGHTS
Balance as of December 31, 2014	$	—		$	—		$	—	(a)
Accrued discounts/(premiums)		—			8,042			—
Realized gain/(loss)		114,365			—			—
Change in unrealized appreciation/(depreciation)		(343,182	)		(21,074	)		—
Purchases1		—			—			—
Sales2		(412,279	)		—			—	(a)
Transfers in to Level 3		1,049,620			429,771			—
Transfers out of Level 3		—			—			—
Balance as of December 31, 2015	$	408,524		$	416,739		$	—
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2015	$	(134,246	)	$	(13,031	)	$	—

 ¹ Purchases include all purchases of securities and securities received in corporate actions.

 ² Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action.

(a) Security has zero value.

The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’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 a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples 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 discounts, theoretical values, 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.

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364

Notes to Financial Statements December 31, 2015

At December 31, 2015, all of the investments classified within Level 3 of the fair value hierarchy held by the AQR Multi-Strategy Alternative Fund are valued by vendor pricing or brokers. The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended December 31, 2015 for the AQR Diversified Arbitrage Fund:

Quantitative Information about Level 3 Fair Value Measurements*

INVESTMENT TYPE	FAIR VALUE AT 12/31/2015		VALUATION METHODOLOGY	UNOBSERVABLE INPUT(S)	INPUT VALUE/RANGE	WEIGHTED AVERAGE
Common Stock		$1,798,965	Enterprise Value Waterfall Analysis	EBITDA Multiple	7.5x	N/A
				Discount for Lack of Marketability**	20.1%—29.9%	28.4%
				Volatility	38.3%—58.6%	55.3%
				Revenue Multiple	1.10x—1.15x	1.13%
		$1,766,446	Options Pricing Model	Discount for Lack of Marketability**	2.8%	N/A
				Volatility	54.6%	N/A
		$1,473,413	Probability Weighted Expected Return	Discount for Lack of Marketability**	43.0%	N/A
				Equity Cost of Capital	33.1%	N/A
				Volatility	83.6%	N/A
				Scenario Probability	45.0%—55.0%	N/A
		$2,548,055	Public Price Adjusted for Lack of Marketability	Discount for Lack of Marketability**	8.6%—51.2%	8.8%
				Volatility	61.7%—147.5%	62.0%
Convertible Bond		$4,552	Liquidation Analysis	Expected Remaining Distributions	6.5%	N/A
				Discount for Lack of Marketability**	1.5%	N/A
				Volatility	31.3%	N/A
Convertible Preferred Stock		$27,392,207	Discounted Cash Flows Analysis	Discount Rate	7.6%	N/A
Preferred Stock		$817,262	Discounted Cash Flows Analysis	Equity Cost of Capital	14.2%	N/A
Right		$197,135	Options Pricing Model	Discount for Lack of Marketability**	26.7%	N/A
				Volatility	75.0%	N/A
		$515,927	Probability Weighted Expected Return	Discount for Lack of Marketability**	21.4%—38.1%	31.4%
				Equity Cost of Capital	15.7%—20.5%	19.3%
				Scenario Probability	22.5%—70.0%	57.4%
				Volatility	51.5%—58.4%	56.6%
Securities in Litigation		$90,996	Liquidation Analysis	Recovery Probability	2.5%	N/A
				Liquidation Cost (% of capital)	28.1%	N/A
Warrant		$98,840	Options Pricing Model	Discount for Lack of Marketability**	10.0%—15.0%	N/A
				Volatility	41.4%	N/A

* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2015, the value of these securities was $12,807,842. The inputs for these securities are not readily available or cannot be reasonably estimated and are

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365

Notes to Financial Statements December 31, 2015

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.

6. Federal Income Tax Matters

At December 31, 2015, 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	$	1,534,733,677	$	55,089,980	$	(289,418,434	)	$	(234,328,454	)
AQR Equity Market Neutral Fund		304,256,119		2,601,950		(2,462,025	)		139,925
AQR Global Macro Fund		46,801,121		—		(31	)		(31	)
AQR Long-Short Equity Fund		635,516,954		4,588,240		(7,047,585	)		(2,459,345	)
AQR Managed Futures Strategy Fund		9,432,505,947		1,496,738		(245,284	)		1,251,454
AQR Managed Futures Strategy HV Fund		498,365,340		39,356		(5,417	)		33,939
AQR Multi-Strategy Alternative Fund		2,280,706,295		75,561,318		(67,027,480	)		8,533,838
AQR Risk Balanced Commodities Strategy Fund		92,484,468		3,486		(483	)		3,003
AQR Risk Parity Fund		495,016,371		8,758		(5,470,163	)		(5,461,405	)
AQR Risk Parity II HV Fund		55,826,765		95		(647,356	)		(647,261	)
AQR Risk Parity II MV Fund		88,411,894		857		(921,836	)		(920,979	)
AQR Style Premia Alternative Fund		2,145,571,006		41,102,674		(26,964,643	)		14,138,031
AQR Style Premia Alternative LV Fund		204,365,400		1,865,554		(1,029,952	)		835,602

The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of passive foreign investment companies (“PFIC”), investments in partnerships, convertible securities, contingent payment debt instruments (“CPDI”) and investments in inflation protected securities.

As of December 31, 2015, the components of net assets (excluding paid-in capital) on a tax basis were as follows:

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR (TAX BASIS CAPITAL LOSS CARRYFORWARDS)			NET UNREALIZED APPRECIATION (DEPRECIATION)			POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Diversified Arbitrage Fund	$	23,629,111	$	(132,212,805	)	$	(182,546,156	)	$	(34,225,955	)	$	284,068		$	(325,071,737	)
AQR Equity Market Neutral Fund		2,415,816		85,515			2,211,434			(7,900	)		96,473			4,801,338
AQR Global Macro Fund		—		2,770			152,452			(735,598	)		593,573			13,197
AQR Long-Short Equity Fund		4,474,128		—			8,317,211			(3,363,537	)		132,687			9,560,489
AQR Managed Futures Strategy Fund		2,204,303		—			(98,131,710	)		(281,401,377	)		197,634,901			(179,693,883	)
AQR Managed Futures Strategy HV Fund		98,316		—			(6,789,714	)		(22,053,898	)		15,491,014			(13,254,282	)
AQR Multi-Strategy Alternative Fund		30,790,530		(6,568,303	)		(78,105,400	)		—			7,342,092			(46,541,081	)
AQR Risk Balanced Commodities Strategy Fund		—		(12,630	)		(8,420,932	)		—			(3,795,206	)		(12,228,768	)
AQR Risk Parity Fund		—		208,396			(10,880,806	)		(13,695,172	)		(7,544,359	)		(31,911,941	)
AQR Risk Parity II HV Fund		—		—			(1,813,968	)		(2,269,683	)		(1,406,105	)		(5,489,756	)

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366

Notes to Financial Statements December 31, 2015

FUND	CURRENT DISTRIBUTABLE ORDINARY INCOME		CURRENT DISTRIBUTABLE LONG TERM CAPITAL GAIN OR (TAX BASIS CAPITAL LOSS CARRYFORWARDS)			NET UNREALIZED APPRECIATION (DEPRECIATION)			POST OCTOBER CAPITAL OR LATE YEAR ORDINARY LOSS DEFERRALS			OTHER TEMPORARY DIFFERENCES			TOTAL ACCUMULATED EARNINGS
AQR Risk Parity II MV Fund	$	—	$	—		$	(2,386,046	)	$	(3,016,862	)	$	(1,598,156	)	$	(7,001,064	)
AQR Style Premia Alternative Fund		64,252,620		(31,783,961	)		(34,031,889	)		—			6,179,408			4,616,178
AQR Style Premia Alternative LV Fund		1,163,993		(1,282,395	)		84,071			—			89,561			55,230

The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including, mark to market on PFICs, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, mark to market and income on certain swaps, late year ordinary loss deferrals, straddle loss deferrals, loss deferrals on unsettled short sales, investments in partnerships, investments in inflation protected securities, post-October capital loss deferrals, deemed dividends from convertible securities, Cayman subsidiary taxable income, CPDI accrued income, capital loss carryforwards and finance charges on basket swaps.

As of December 31, 2015, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:

FUND	UNDISTRIBUTED NET INVESTMENT INCOME			ACCUMULATED NET REALIZED GAIN(LOSS) ON INVESTMENTS			PAID-IN CAPITAL
AQR Diversified Arbitrage Fund	$	56,145,486		$	(56,145,586	)	$	100
AQR Equity Market Neutral Fund		3,185,328			(3,150,806	)		(34,522	)
AQR Global Macro Fund		2,508,975			(133,698	)		(2,375,277	)
AQR Long-Short Equity Fund		32,926,241			(32,926,122	)		(119	)
AQR Managed Futures Strategy Fund		930,782,804			(512,981,176	)		(417,801,628	)
AQR Managed Futures Strategy HV Fund		47,033,675			(32,100,360	)		(14,933,315	)
AQR Multi-Strategy Alternative Fund		180,037,121			(146,602,195	)		(33,434,926	)
AQR Risk Balanced Commodities Strategy Fund		(4,845,930	)		22,173,242			(17,327,312	)
AQR Risk Parity Fund		(8,515,302	)		46,376,798			(37,861,496	)
AQR Risk Parity II HV Fund		(2,576,604	)		7,993,988			(5,417,384	)
AQR Risk Parity II MV Fund		(2,820,830	)		9,348,959			(6,528,129	)
AQR Style Premia Alternative Fund		165,744,745			(165,806,409	)		61,664
AQR Style Premia Alternative LV Fund		3,352,796			(3,064,282	)		(288,514	)

For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of foreign currency gain/loss, dividend expense for securities sold short, investments in PFICs, investments in certain swap contracts, distribution reclassifications, net operating losses, finance charges and monthly reset on basket swaps, CPDI accrual income, and the tax treatment of income from investments in the Cayman subsidiary. The result of operations and net assets were not affected by the reclassifications.

The tax character of distributions paid during the fiscal year-ends December 31, 2015 and December 31, 2014 were as follows:

	DECEMBER 31, 2015						DECEMBER 31, 2014
FUND	ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL
AQR Diversified Arbitrage Fund	$	48,100,540	$	—	$	—	$	42,184,546	$	—	$	—
AQR Equity Market Neutral Fund		5,313,037		102,719		—		327,559		—		3,100
AQR Global Macro Fund		982,330		1,765,884		—		—		65,718		—
AQR Long-Short Equity Fund		22,341,353		768,361		—		3,695,245		158,787		137,442
AQR Managed Futures Strategy Fund		457,793,882		132,351,997		—		397,007,505		194,482,633		—
AQR Managed Futures Strategy HV Fund		25,876,162		9,217,388		—		15,283,006		3,010,679		—

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367

Notes to Financial Statements December 31, 2015

	DECEMBER 31, 2015						DECEMBER 31, 2014
FUND	ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL		ORDINARY INCOME		CAPITAL GAINS		RETURN OF CAPITAL
AQR Multi-Strategy Alternative Fund	$	204,859,857	$	—	$	—	$	108,646,645	$	398,487	$	—
AQR Risk Parity Fund		7,941,558		5,238,673		—		65,645,098		15,092,700		—
AQR Risk Parity II HV Fund		1,670,028		935,618		—		3,324,717		2,288,332		—
AQR Risk Parity II MV Fund		2,477,291		2,518,203		—		3,714,288		3,529,309		—
AQR Style Premia Alternative Fund		92,480,282		—		—		61,067,637		5,032,183		—
AQR Style Premia Alternative LV Fund		3,352,540		28,347		—		380,534		69,820		—

During the year ended December 31, 2015, the Funds utilized capital loss carryforwards in the amounts listed below:

FUND	SHORT-TERM		LONG-TERM
AQR Equity Market Neutral Fund	$	1,143	$	2,606

As of December 31, 2015, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:

FUND	SHORT-TERM		LONG-TERM
AQR Diversified Arbitrage Fund	$	84,405,717	$	47,807,088
AQR Multi-Strategy Alternative Fund		6,568,303		—
AQR Risk Balanced Commodities Strategy Fund		12,630		—
AQR Style Premia Alternative Fund		22,115,573		9,668,388
AQR Style Premia Alternative LV Fund		674,702		607,693

7. Investment Transactions

During the year ended December 31, 2015, 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	$	2,636,940,344	$	3,729,132,026	$	1,275,766,742	$	1,726,855,351
AQR Equity Market Neutral Fund		78,326,060		4,391,238		80,473,252		16,040,866
AQR Long-Short Equity Fund		169,391,253		11,118,891		164,176,695		30,341,274
AQR Multi-Strategy Alternative Fund		1,043,862,256		816,386,437		716,298,435		532,919,116
AQR Risk Parity Fund		339,238,988		381,190,826		—		—
AQR Risk Parity II HV Fund		52,258,036		54,981,653		—		—
AQR Risk Parity II MV Fund		55,337,593		58,376,403		—		—
AQR Style Premia Alternative Fund		559,904,911		90,808,538		502,989,840		169,676,112
AQR Style Premia Alternative LV Fund		31,547,668		8,502,229		27,940,063		11,317,456

During the year ended December 31, 2015, the Funds had purchases and sales of long-term U.S. Government obligations as follows:

FUND	PURCHASES		SALES
AQR Diversified Arbitrage Fund	$	4,625,903	$	4,622,109
AQR Risk Parity Fund		184,259,370		205,827,772
AQR Risk Parity II HV Fund		29,126,080		30,410,912
AQR Risk Parity II MV Fund		29,920,166		31,444,212

8. Derivative Instruments and Activities

Certain funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts held at December 31, 2015, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.

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368

Notes to Financial Statements December 31, 2015

The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at December 31, 2015.

	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	$	—	$	4,248,128	$	—	$	534,979	$	3,110,613	$	—	$	201,436
AQR Equity Market Neutral Fund		—		6,076,500		—		—		376,337		—		—
AQR Global Macro Fund		488,551		111,154		—		310,329		18,100		—		—
AQR Long-Short Equity Fund		3,739,853		5,822,740		—		443,590		5,455,052		—		—
AQR Managed Futures Strategy Fund		12,491,809		9,387,294		—		30,109,698		4,330,887		—		—
AQR Managed Futures Strategy HV Fund		1,019,704		676,133		—		2,413,103		338,187		—		—
AQR Multi-Strategy Alternative Fund		2,967,139		149,771,815		—		6,437,557		11,854,202		—		—
AQR Risk Parity Fund		1,228,399		90,080		—		166,789		232,054		—		—
AQR Risk Parity II HV Fund		207,585		23,619		—		29,558		34,391		—		—
AQR Risk Parity II MV Fund		300,427		27,681		—		33,319		54,106		—		—
AQR Style Premia Alternative Fund		2,621,029		2,368,266		—		14,232,962		21,907,166		—		—
AQR Style Premia Alternative LV Fund		112,673		1,668,281		—		783,058		192,291		—		—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		1,467,728		—		—		364,388		—
AQR Equity Market Neutral Fund		—		—		54,341		—		—		124,079		—
AQR Global Macro Fund		—		—		816,404		—		—		306,582		—
AQR Long-Short Equity Fund		—		—		964,654		—		—		699,605		—
AQR Managed Futures Strategy Fund		—		—		154,800,955		—		—		196,445,264		—
AQR Managed Futures Strategy HV Fund		—		—		12,115,744		—		—		15,402,116		—
AQR Multi-Strategy Alternative Fund		—		—		36,246,359		—		—		22,536,170		—
AQR Risk Parity Fund		—		—		991,423		—		—		4,912,113		—
AQR Risk Parity II HV Fund		—		—		41,152		—		—		158,019		—
AQR Risk Parity II MV Fund		—		—		55,018		—		—		209,065		—
AQR Style Premia Alternative Fund		—		—		19,468,488		—		—		11,836,195		—
AQR Style Premia Alternative LV Fund		—		—		1,069,551		—		—		679,517		—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		337,876		561,243		—		—		370,904		—		—
AQR Global Macro Fund		275,966		4,460,229		—		620,415		3,871,356		—		—
AQR Managed Futures Strategy Fund		6,674,688		—		—		31,054,671		—		—		—
AQR Managed Futures Strategy HV Fund		524,300		—		—		2,424,402		—		—		—
AQR Multi-Strategy Alternative Fund		3,013,301		164,019		—		3,992,446		—		—		—
AQR Risk Parity Fund		304,903		1,817,546		—		2,092,199		2,014,644		—		—
AQR Risk Parity II HV Fund		45,171		—		—		315,194		—		—		—
AQR Risk Parity II MV Fund		76,031		—		—		476,570		—		—		—
AQR Style Premia Alternative Fund		9,185,834		—		—		12,311,636		—		—		—
AQR Style Premia Alternative LV Fund		573,022		—		—		796,272		—		—		—
Credit Risk Exposure:
AQR Diversified Arbitrage Fund		—		—		—		—		1,247,858		—		—
AQR Multi-Strategy Alternative Fund		—		194,065		—		—		—		—		—
AQR Risk Parity Fund		—		7,345,564		—		—		2,231,427		—		—

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369

Notes to Financial Statements December 31, 2015

	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
Commodity Risk Exposure:
AQR Global Macro Fund	$	304,867		$	13,428		$	—		$	143,176		$	—		$	—		$	—
AQR Managed Futures Strategy Fund		76,118,720			9,693,298			—			37,695,037			4,677,791			—			—
AQR Managed Futures Strategy HV Fund		5,941,533			745,077			—			2,823,475			394,627			—			—
AQR Multi-Strategy Alternative Fund		5,372,941			703,586			—			3,493,210			2,055,016			—			—
AQR Risk-Balanced Commodities Strategy Fund		2,301,510			323,845			—			5,656,632			557,767			—			—
AQR Risk Parity Fund		1,611,720			94,570			—			6,061,734			652,141			—			—
AQR Risk Parity II HV Fund		232,816			12,771			—			851,454			106,327			—			—
AQR Risk Parity II MV Fund		342,386			93,566			—			1,223,392			301,593			—			—
AQR Style Premia Alternative Fund		4,215,663			24,098			—			9,509,556			3,409,047			—			—
AQR Style Premia Alternative LV Fund		295,034			8,446			—			421,703			174,695			—			—
Netting:
AQR Diversified Arbitrage Fund		(337,876	)		(4,729,375	)		(364,388	)		(337,876	)		(4,729,375	)		(364,388	)		—
AQR Equity Market Neutral Fund		—			(376,337	)		(54,341	)		—			(376,337	)		(54,341	)		—
AQR Global Macro Fund		(1,069,384	)		(3,889,456	)		(306,582	)		(1,069,384	)		(3,889,456	)		(306,582	)		—
AQR Long-Short Equity Fund		(443,590	)		(5,455,052	)		(699,605	)		(443,590	)		(5,455,052	)		(699,605	)		—
AQR Managed Futures Strategy Fund		(95,285,217	)		(9,008,678	)		(154,800,955	)		(95,285,217	)		(9,008,678	)		(154,800,955	)		—
AQR Managed Futures Strategy HV Fund		(7,485,537	)		(732,814	)		(12,115,744	)		(7,485,537	)		(732,814	)		(12,115,744	)		—
AQR Multi-Strategy Alternative Fund		(11,353,381	)		(13,909,218	)		(22,536,170	)		(11,353,381	)		(13,909,218	)		(22,536,170	)		—
AQR Risk-Balanced Commodities Strategy Fund		(2,301,510	)		(323,845	)		—			(2,301,510	)		(323,845	)		—			—
AQR Risk Parity Fund		(3,145,022	)		(5,130,266	)		(991,423	)		(3,145,022	)		(5,130,266	)		(991,423	)		—
AQR Risk Parity II HV Fund		(485,572	)		(36,390	)		(41,152	)		(485,572	)		(36,390	)		(41,152	)		—
AQR Risk Parity II MV Fund		(718,844	)		(121,247	)		(55,018	)		(718,844	)		(121,247	)		(55,018	)		—
AQR Style Premia Alternative Fund		(16,022,526	)		(2,392,364	)		(11,836,195	)		(16,022,526	)		(2,392,364	)		(11,836,195	)		—
AQR Style Premia Alternative LV Fund		(980,729	)		(366,986	)		(679,517	)		(980,729	)		(366,986	)		(679,517	)		—
Net Fair Value of Derivative Contracts:
AQR Diversified Arbitrage Fund		—			79,996			1,103,340			197,103			—			—			201,436
AQR Equity Market Neutral Fund		—			5,700,163			—			—			—			69,738			—
AQR Global Macro Fund		—			695,355			509,822			4,536			—			—			—
AQR Long-Short Equity Fund		3,296,263			367,688			265,049			—			—			—			—
AQR Managed Futures Strategy Fund		—			10,071,914			—			3,574,189			—			41,644,309			—
AQR Managed Futures Strategy HV Fund		—			688,396			—			175,443			—			3,286,372			—
AQR Multi-Strategy Alternative Fund		—			136,924,267			13,710,189			2,569,832			—			—			—
AQR Risk-Balanced Commodities Strategy Fund		—			—			—			3,355,122			233,922			—			—
AQR Risk Parity Fund		—			4,217,494			—			5,175,700			—			3,920,690			—
AQR Risk Parity II HV Fund		—			—			—			710,634			104,328			116,867			—
AQR Risk Parity II MV Fund		—			—			—			1,014,437			234,452			154,047			—
AQR Style Premia Alternative Fund		—			—			7,632,293			20,031,628			22,923,849			—			—
AQR Style Premia Alternative LV Fund		—			1,309,741			390,034			1,020,304			—			—			—

* May include cumulative appreciation (depreciation) of exchange-traded and centrally cleared derivatives as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange traded derivatives.

AQR Funds Annual Report December 2015

370

Notes to Financial Statements December 31, 2015

The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended December 31, 2015:

	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	$	(9,126,737	)	$	27,187,587		$	—		$	854,357	$	11,642,869		$	(22,507,896	)	$	—		$	588,688
AQR Equity Market Neutral Fund		172,181			3,165,894			—			—		7,134			5,370,356			—			—
AQR Global Macro Fund		(2,643,180	)		(331,830	)		—			—		15,533			87,024			—			—
AQR Long-Short Equity Fund		(1,896,816	)		32,625,929			—			—		2,366,022			(3,123,427	)		—			—
AQR Managed Futures Strategy Fund		(96,989,797	)		(87,737,201	)		—			—		(39,941,613	)		(1,642,887	)		—			—
AQR Managed Futures Strategy HV Fund		(10,202,806	)		(5,222,277	)		—			—		(2,342,473	)		50,714			—			—
AQR Multi-Strategy Alternative Fund		(30,028,416	)		119,146,728			—			103,616		4,657,889			76,468,157			—			135,144
AQR Risk Parity Fund		(1,427,918	)		(4,175,487	)		—			—		(3,588,240	)		(730,160	)		—			—
AQR Risk Parity II HV Fund		(573,459	)		(733,812	)		—			—		(569,003	)		(104,572	)		—			—
AQR Risk Parity II MV Fund		69			(903,166	)		—			—		(810,880	)		(166,631	)		—			—
AQR Style Premia Alternative Fund		11,140,153			145,847,255			—			—		(7,863,725	)		(35,917,738	)		—			—
AQR Style Premia Alternative LV Fund		732,461			2,661,574			—			—		(562,828	)		1,149,948			—			—
Foreign Exchange Rate Risk Exposure:
AQR Diversified Arbitrage Fund		—			—			14,688,702			—		—			—			(5,362,743	)		—
AQR Equity Market Neutral Fund		—			—			183,996			—		—			—			(76,949	)		—
AQR Global Macro Fund		—			—			2,362,397			—		—			—			271,754			—
AQR Long-Short Equity Fund		—			—			(2,242,959	)		—		—			—			410,684			—
AQR Managed Futures Strategy Fund		—			—			71,394,607			—		—			—			(108,211,860	)		—
AQR Managed Futures Strategy HV Fund		—			—			1,411,097			—		—			—			(6,025,948	)		—
AQR Multi-Strategy Alternative Fund		—			—			(538,403	)		—		—			—			8,637,965			—
AQR Risk Parity Fund		—			—			(5,018	)		—		—			—			(2,037,144	)		—
AQR Risk Parity II HV Fund		—			—			964,687			—		—			—			(254,631	)		—
AQR Risk Parity II MV Fund		—			—			1,586,462			—		—			—			(357,840	)		—
AQR Style Premia Alternative Fund		—			—			(1,982,878	)		—		—			—			5,169,539			—
AQR Style Premia Alternative LV Fund		—			—			(447,375	)		—		—			—			293,841			—
Interest Rate Risk Exposure:
AQR Diversified Arbitrage Fund		(2,250,561	)		(1,089,885	)		—			—		263,797			190,339			—			—
AQR Global Macro Fund		73,317			(722,779	)		—			—		(368,209	)		208,113			—			—
AQR Managed Futures Strategy Fund		94,257,089			12,616,292			—			—		(109,466,270	)		(2,864,195	)		—			—
AQR Managed Futures Strategy HV Fund		3,816,422			610,603			—			—		(5,591,023	)		(1,513	)		—			—
AQR Multi-Strategy Alternative Fund		(5,892,573	)		5,956,025			—			—		(132,253	)		(4,680,751	)		—			—
AQR Risk Parity Fund		1,765,860			17,492,510			—			—		(1,972,021	)		(11,213,661	)		—			—
AQR Risk Parity II HV Fund		750,910			1,200,333			—			—		(721,775	)		(483,301	)		—			—
AQR Risk Parity II MV Fund		2,214,551			1,346,117			—			—		(1,228,606	)		(457,135	)		—			—
AQR Style Premia Alternative Fund		(16,721,709	)		(741,583	)		—			—		(1,839,497	)		147,948			—			—
AQR Style Premia Alternative LV Fund		(1,008,317	)		90,088			—			—		(82,230	)		(19,252	)		—			—

AQR Funds Annual Report December 2015

371

Notes to Financial Statements December 31, 2015

	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
Credit Risk Exposure:
AQR Diversified Arbitrage Fund	$	—		$	(4,611,589	)	$	—	$	—	$	—		$	1,809,475		$	—	$	—
AQR Multi-Strategy Alternative Fund		—			909,829			—		—		—			(683,712	)		—		—
AQR Risk Parity Fund		—			2,141,907			—		—		—			(13,703	)		—		—
Commodity Risk Exposure:
AQR Diversified Arbitrage Fund		34,465			—			—		—		—			—			—		—
AQR Global Macro Fund		2,941,011			(223,858	)		—		—		(44,802	)		(74,440	)		—		—
AQR Managed Futures Strategy Fund		606,052,035			(110,823,828	)		—		—		(63,630,122	)		8,672,323			—		—
AQR Managed Futures Strategy HV Fund		34,282,866			(3,097,719	)		—		—		(276,937	)		(1,477,750	)		—		—
AQR Multi-Strategy Alternative Fund		27,145,294			4,048,648			—		—		(362,200	)		(13,569,053	)		—		—
AQR Risk-Balanced Commodities Strategy Fund		(10,569,395	)		(11,644,594	)		—		—		(2,632,951	)		5,127,621			—		—
AQR Risk Parity Fund		(21,680,304	)		(27,145,056	)		—		—		(4,426,392	)		19,921,210			—		—
AQR Risk Parity II HV Fund		(5,301,926	)		(2,490,274	)		—		—		(126,400	)		2,051,033			—		—
AQR Risk Parity II MV Fund		(5,905,373	)		(3,570,492	)		—		—		(145,094	)		2,806,411			—		—
AQR Style Premia Alternative Fund		27,072,604			(2,280,639	)		—		—		(7,170,703	)		(3,534,970	)		—		—
AQR Style Premia Alternative LV Fund		640,460			(169,181	)		—		—		(245,666	)		(167,033	)		—		—

The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of December 31, 2015.

AQR DIVERSIFIED ARBITRAGE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Basket Swaps Contracts	$	126,482	$	—		$	126,482	$	—	$	—		$	126,482
CitiBank	Forward Foreign Currency Exchange Contracts		745,460		(138,457	)		607,003		—		—			607,003
Credit Suisse International	Forward Foreign Currency Exchange Contracts		722,268		(225,931	)		496,337		—		(430,000	)		66,337
Deutsche Bank	Total Return Basket Swaps Contracts		3,750,742		(3,110,613	)		640,129		—		—			640,129
J.P.Morgan	Total Return Basket Swaps Contracts		561,243		—			561,243		—		—			561,243
Total financial instruments subject to a master netting arrangement or similar arrangement			5,906,195		(3,475,001	)		2,431,194		—		(430,000	)		2,001,194

AQR Funds Annual Report December 2015

372

Notes to Financial Statements December 31, 2015

AQR DIVERSIFIED ARBITRAGE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)		NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	138,457	$	(138,457	)	$	—	$	—	$	—	$	—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		225,931		(225,931	)		—		—		—		—
Deutsche Bank	Total Return Basket Swaps Contracts		3,110,613		(3,110,613	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,475,001		(3,475,001	)		—		—		—		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $49,486,873.

AQR EQUITY MARKET NEUTRAL FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	54,341	$	(54,341	)	$	—	$	—	$	—	$	—
Morgan Stanley Capital Services, Inc.	Total Return Basket Swaps Contracts		6,076,500		(376,337	)		5,700,163		—		—		5,700,163
Total financial instruments subject to a master netting arrangement or similar arrangement			6,130,841		(430,678	)		5,700,163		—		—		5,700,163

AQR Funds Annual Report December 2015

373

Notes to Financial Statements December 31, 2015

AQR EQUITY MARKET NEUTRAL FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	59,026	$	(54,341	)	$	4,685	$	—	$	(4,685	)	$	—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		65,053		—			65,053		—		—			65,053
Morgan Stanley Capital Services, Inc.	Total Return Basket Swaps Contracts		376,337		(376,337	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			500,416		(430,678	)		69,738		—		(4,685	)		65,053

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $44,895,315.

AQR GLOBAL MACRO FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	111,154	$	(17,137	)	$	94,017	$	—	$	(94,017	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		409,767		(155,528	)		254,239		—		—			254,239
Credit Suisse International	Forward Foreign Currency Exchange Contracts		406,637		(151,054	)		255,583		—		(230,000	)		25,583
Total financial instruments subject to a master netting arrangement or similar arrangement			927,558		(323,719	)		603,839		—		(324,017	)		279,822

AQR Funds Annual Report December 2015

374

Notes to Financial Statements December 31, 2015

AQR GLOBAL MACRO FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	17,137	$	(17,137	)	$	—	$	—	$	—	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		155,528		(155,528	)		—		—		—		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		151,054		(151,054	)		—		—		—		—
Goldman Sachs	Total Return Swap Contracts		963		—			963		—		—		963
Total financial instruments subject to a master netting arrangement or similar arrangement			324,682		(323,719	)		963		—		—		963

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $15,983.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $30,001.

AQR GLOBAL MACRO OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET		NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	8,108	$	—	$	8,108	$	—	$	—	$	8,108
Deutsche Bank	Total Return Swap Contracts		3,844		—		3,844		—		—		3,844
Macquarie Capital	Total Return Swap Contracts		1,476		—		1,476		—		—		1,476
Total financial instruments subject to a master netting arrangement or similar arrangement			13,428		—		13,428		—		—		13,428

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $60,001.

AQR Funds Annual Report December 2015

375

Notes to Financial Statements December 31, 2015

AQR LONG-SHORT EQUITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED (a)			NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	437,051	$	(349,534	)	$	87,517	$	—	$	—		$	87,517
Credit Suisse International	Forward Foreign Currency Exchange Contracts		527,603		(350,071	)		177,532		—		(177,532	)		—
Goldman Sachs	Total Return Swap Contracts		414,386		—			414,386		—		—			414,386
Deutsche Bank	Total Return Basket Swaps Contracts		5,408,354		—			5,408,354		—		—			5,408,354
Total financial instruments subject to a master netting arrangement or similar arrangement			6,787,394		(699,605	)		6,087,789		—		(177,532	)		5,910,257

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (b)			NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	349,534	$	(349,534	)	$	—	$	—	$	—		$	—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		350,071		(350,071	)		—		—		—			—
Goldman Sachs	Total Return Basket Swaps Contracts		5,455,052		—			5,455,052		—		(5,455,052	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			6,154,657		(699,605	)		5,455,052		—		(5,455,052	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $112,468.

(b) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $124,955,017.

AQR Funds Annual Report December 2015

376

Notes to Financial Statements December 31, 2015

AQR MANAGED FUTURES STRATEGY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
Bank of America	Total Return Swaps Contracts	$	7,860,024	$	(3,664,820	)	$	4,195,204	$	—	$	—	$	4,195,204
CitiBank	Forward Foreign Currency Exchange Contracts		77,378,599		(77,378,599	)		—		—		—		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		77,422,356		(77,422,356	)		—		—		—		—
Morgan Stanley and Co., International PLC	Total Return Swaps Contracts		1,527,270		(666,067	)		861,203		—		—		861,203
Total financial instruments subject to a master netting arrangement or similar arrangement			164,188,249		(159,131,842	)		5,056,407		—		—		5,056,407

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swaps Contracts	$	3,664,820	$	(3,664,820	)	$	—	$	—	$	—		$	—
CitiBank	Forward Foreign Currency Exchange Contracts		98,171,355		(77,378,599	)		20,792,756		—		(20,792,756	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		98,273,909		(77,422,356	)		20,851,553		—		(20,851,553	)		—
Morgan Stanley and Co., International PLC	Total Return Swaps Contracts		666,067		(666,067	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			200,776,151		(159,131,842	)		41,644,309		—		(41,644,309	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $117,296,902.

AQR Funds Annual Report December 2015

377

Notes to Financial Statements December 31, 2015

AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swaps Contracts	$	5,459,617	$	(1,665,026	)	$	3,794,591	$	—	$	—	$	3,794,591
Deutsche Bank	Total Return Swap Contracts		2,422,632		—			2,422,632		—		—		2,422,632
Macquarie Capital	Total Return Swap Contracts		431,652		(431,652	)		—		—		—		—
Societe Generale	Total Return Swap Contracts		1,379,397		(708,674	)		670,723		—		—		670,723
Total financial instruments subject to a master netting arrangement or similar arrangement			9,693,298		(2,805,352	)		6,887,946		—		—		6,887,946

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	1,665,026	$	(1,665,026	)	$	—	$	—	$	—		$	—
Macquarie Capital	Total Return Swap Contracts		1,997,101		(431,652	)		1,565,449		—		(1,565,449	)		—
Merrill Lynch	Total Return Swap Contracts		306,990		—			306,990		—		(306,990	)		—
Societe Generale	Total Return Swap Contracts		708,674		(708,674	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			4,677,791		(2,805,352	)		1,872,439		—		(1,872,439	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $15,439,085.

AQR Funds Annual Report December 2015

378

Notes to Financial Statements December 31, 2015

AQR MANAGED FUTURES STRATEGY HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	676,133	$	(285,574	)	$	390,559	$	—	$	—	$	390,559
CitiBank	Forward Foreign Currency Exchange Contracts		6,056,283		(6,056,283	)		—		—		—		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		6,059,461		(6,059,461	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			12,791,877		(12,401,318	)		390,559		—		—		390,559

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	285,574	$	(285,574	)	$	—	$	—	$	—		$	—
CitiBank	Forward Foreign Currency Exchange Contracts		7,697,030		(6,056,283	)		1,640,747		—		(1,640,747	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		7,705,086		(6,059,461	)		1,645,625		—		(1,645,625	)		—
Goldman Sachs	Total Return Swap Contracts		52,613		—			52,613		—		(52,613	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			15,740,303		(12,401,318	)		3,338,985		—		(3,338,985	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $7,541,050.

AQR Funds Annual Report December 2015

379

Notes to Financial Statements December 31, 2015

AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	420,351	$	(131,635	)	$	288,716	$	—	$	—	$	288,716
Deutsche Bank	Total Return Swap Contracts		190,597		(19,655	)		170,942		—		—		170,942
Macquarie Capital	Total Return Swap Contracts		40,703		(40,703	)		—		—		—		—
Societe Generale	Total Return Swap Contracts		93,426		(65,368	)		28,058		—		—		28,058
Total financial instruments subject to a master netting arrangement or similar arrangement			745,077		(257,361	)		487,716		—		—		487,716

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	131,635	$	(131,635	)	$	—	$	—	$	—		$	—
Deutsche Bank	Total Return Swap Contracts		19,655		(19,655	)		—		—		—			—
Macquarie Capital	Total Return Swap Contracts		177,969		(40,703	)		137,266		—		(137,266	)		—
Societe Generale	Total Return Swap Contracts		65,368		(65,368	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			394,627		(257,361	)		137,266		—		(137,266	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,402,765.

AQR Funds Annual Report December 2015

380

Notes to Financial Statements December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swaps Contracts	$	236,510
	Total Return Basket Swaps Contracts		25,733
	Total Bank of America		262,243	$	(262,243	)	$	—	$	—	$	—		$	—
CitiBank	Forward Foreign Currency Exchange Contracts		18,122,403		(11,221,808	)		6,900,595		—		—			6,900,595
Credit Suisse International	Forward Foreign Currency Exchange Contracts		18,123,956		(11,314,362	)		6,809,594		—		(4,170,000	)		2,639,594
Deutsche Bank	Total Return Basket Swaps Contracts		60,433,672		—			60,433,672		—		(600,000	)		59,833,672
Goldman Sachs	Total Return Basket Swaps Contracts		2,346,798		(2,346,798	)		—		—		—			—
J.P. Morgan	Total Return Basket Swaps Contracts		3,754,173		(2,515,124	)		1,239,049		—		—			1,239,049
Morgan Stanley Capital Services Inc.	Total Return Basket Swaps Contracts		81,508,444		—			81,508,444		—		—			81,508,444
Morgan Stanley and Co., International PLC	Total Return Swaps Contracts		1,630,504		(1,630,504	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			186,182,193		(29,290,839	)		156,891,354		—		(4,770,000	)		152,121,354

AQR Funds Annual Report December 2015

381

Notes to Financial Statements December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	555,470	$	(262,243	)	$	293,227	$	—	$	(293,227	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		11,221,808		(11,221,808	)		—		—		—			—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		11,314,362		(11,314,362	)		—		—		—			—
Goldman Sachs	Total Return Swap Contracts		185,180
	Total Return Basket Swaps Contracts		3,188,214
	Total Goldman Sachs		3,373,394		(2,346,798	)		1,026,596		—		(1,026,596	)		—
J.P. Morgan	Total Return Basket Swaps Contracts		2,515,124		(2,515,124	)		—		—		—			—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		5,410,214		(1,630,504	)		3,779,710		—		(3,779,710	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			34,390,372		(29,290,839	)		5,099,533		—		(5,099,533	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $468,964,489.

AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	229,537	$	(229,537	)	$	—	$	—	$	—	$	—
Deutsche Bank	Total Return Swap Contracts		343,170		(343,170	)		—		—		—		—
Societe Generale	Total Return Swap Contracts		130,879		(130,879	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			703,586		(703,586	)		—		—		—		—

AQR Funds Annual Report December 2015

382

Notes to Financial Statements December 31, 2015

AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	818,451	$	(229,537	)	$	588,914	$	—	$	(588,914	)	$	—
Deutsche Bank	Total Return Swap Contracts		812,337		(343,170	)		469,167		—		(469,167	)		—
Macquarie Capital	Total Return Swap Contracts		127,909		—			127,909		—		(127,909	)		—
Merrill Lynch	Total Return Swap Contracts		19,190		—			19,190		—		—			19,190
Societe Generale	Total Return Swap Contracts		277,129		(130,879	)		146,250		—		(146,250	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,055,016		(703,586	)		1,351,430		—		(1,332,240	)		19,190

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,277,815.

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swaps Contracts	$	92,052	$	(92,052	)	$	—	$	—	$	—	$	—
Deutsche Bank	Total Return Swaps Contracts		87,008		(87,008	)		—		—		—		—
Macquarie Capital	Total Return Swaps Contracts		11,982		(11,982	)		—		—		—		—
Societe Generale	Total Return Swaps Contracts		132,803		(90,906	)		41,897		—		—		41,897
Total financial instruments subject to a master netting arrangement or similar arrangement			323,845		(281,948	)		41,897		—		—		41,897

AQR Funds Annual Report December 2015

383

Notes to Financial Statements December 31, 2015

AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swaps Contracts	$	140,257	$	(92,052	)	$	48,205	$	—	$	(48,205	)	$	—
Deutsche Bank	Total Return Swaps Contracts		312,686		(87,008	)		225,678		—		(225,678	)		—
Macquarie Capital	Total Return Swaps Contracts		13,918		(11,982	)		1,936		—		(1,936	)		—
Societe Generale	Total Return Swaps Contracts		90,906		(90,906	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			557,767		(281,948	)		275,819		—		(275,819	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,684,309.

AQR RISK PARITY FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Forward Foreign Currency Exchange Contracts	$	490,044	$	(490,044	)	$	—	$	—	$	—	$	—
	Interest Rate Swap Contracts		254,057		(126,296	)		127,761		—		—		127,761
	Total CitiBank		744,101		(616,340	)		127,761		—		—		127,761
Credit Suisse International	Forward Foreign Currency Exchange Contracts		501,379		(501,379	)		—		—		—		—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		90,080		(63,067	)		27,013		—		—		27,013
Total financial instruments subject to a master netting arrangement or similar arrangement			1,335,560		(1,180,786	)		154,774		—		—		154,774

AQR Funds Annual Report December 2015

384

Notes to Financial Statements December 31, 2015

AQR RISK PARITY FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	159,950	$	—		$	159,950	$	—	$	(159,950	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		2,407,238		(490,044	)		1,917,194		—		(1,917,194	)		—
	Interest Rate Swap Contracts		126,296		(126,296	)		—		—		—			—
	Total CitiBank		2,533,534		(616,340	)		1,917,194		—		(1,917,194	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		2,504,875		(501,379	)		2,003,496		—		(2,003,496	)		—
Goldman Sachs	Total Return Swap Contracts		9,037		—			9,037		—		(9,037	)		—
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		63,067		(63,067	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			5,270,463		(1,180,786	)		4,089,677		—		(4,089,677	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,964,087.

AQR RISK PARITY OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	71,006	$	(71,006	)	$	—	$	—	$	—	$	—
Deutsche Bank	Total Return Swap Contracts		1,823		(1,823	)		—		—		—		—
Macquarie Capital	Total Return Swap Contracts		4,285		(4,285	)		—		—		—		—
Merrill Lynch	Total Return Swap Contracts		14,688		(14,688	)		—		—		—		—
Societe Generale	Total Return Swap Contracts		2,768		(2,768	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			94,570		(94,570	)		—		—		—		—

AQR Funds Annual Report December 2015

385

Notes to Financial Statements December 31, 2015

AQR RISK PARITY OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	113,928	$	(71,006	)	$	42,922	$	—	$	(42,922	)	$	—
Deutsche Bank	Total Return Swap Contracts		447,624		(1,823	)		445,801		—		(445,801	)		—
Macquarie Capital	Total Return Swap Contracts		48,600		(4,285	)		44,315		—		(44,315	)		—
Merrill Lynch	Total Return Swap Contracts		38,398		(14,688	)		23,710		—		(23,710	)		—
Societe Generale	Total Return Swap Contracts		3,591		(2,768	)		823		—		(823	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			652,141		(94,570	)		557,571		—		(557,571	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,162,969.

AQR RISK PARITY II HV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	1,143	$	(1,143	)	$	—	$	—	$	—	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		19,549		(19,549	)		—		—		—		—
	Repurchase Agreements		1,303,461		(1,303,461	)		—		—		—		—
	Total CitiBank		1,323,010		(1,323,010	)		—		—		—		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		21,603		(21,603	)		—		—		—		—
Goldman Sachs	Total Return Swap Contracts		22,476		(10,570	)		11,906		—		—		11,906
J.P. Morgan	Repurchase Agreements		1,222,500		(1,222,500	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			2,590,732		(2,578,826	)		11,906		—		—		11,906

AQR Funds Annual Report December 2015

386

Notes to Financial Statements December 31, 2015

AQR RISK PARITY II HV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS			COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	23,821	$	(1,143	)	$	22,678	$	—		$	(22,678	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		72,260		(19,549	)		52,711		—			(52,711	)		—
	Reverse Repurchase Agreements		4,893,410		(1,303,461	)		3,589,949		(3,589,949	)		—			—
	Total CitiBank		4,965,670		(1,323,010	)		3,642,660		(3,589,949	)		(52,711	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		85,759		(21,603	)		64,156		—			(64,156	)		—
Goldman Sachs	Total Return Swap Contracts		10,570		(10,570	)		—		—			—			—
J.P.Morgan	Reverse Repurchase Agreements		4,339,625		(1,222,500	)		3,117,125		(3,117,125	)		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			9,425,445		(2,578,826	)		6,846,619		(6,707,074	)		(139,545	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $591,458.

AQR RISK PARITY II HV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	11,198	$	(11,198	)	$	—	$	—	$	—	$	—
Deutsche Bank	Total Return Swap Contracts		505		(505	)		—		—		—		—
Macquarie Capital	Total Return Swap Contracts		973		(973	)		—		—		—		—
Societe Generale	Total Return Swap Contracts		95		—			95		—		—		95
Total financial instruments subject to a master netting arrangement or similar arrangement			12,771		(12,676	)		95		—		—		95

AQR Funds Annual Report December 2015

387

Notes to Financial Statements December 31, 2015

AQR RISK PARITY II HV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	16,897	$	(11,198	)	$	5,699	$	—	$	(5,699	)	$	—
Deutsche Bank	Total Return Swap Contracts		81,864		(505	)		81,359		—		(81,359	)		—
Macquarie Capital	Total Return Swap Contracts		7,566		(973	)		6,593		—		—			6,593
Total financial instruments subject to a master netting arrangement or similar arrangement			106,327		(12,676	)		93,651		—		(87,058	)		6,593

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $272,970.

AQR RISK PARITY II MV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	2,612	$	(2,612	)	$	—	$	—	$	—	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		27,267		(27,267	)		—		—		—		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		27,751		(27,751	)		—		—		—		—
Goldman Sachs	Total Return Swap Contracts		25,069		(25,069	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			82,699		(82,699	)		—		—		—		—

AQR Funds Annual Report December 2015

388

Notes to Financial Statements December 31, 2015

AQR RISK PARITY II MV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	27,359	$	(2,612	)	$	24,747	$	—	$	(24,747	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		98,553		(27,267	)		71,286		—		(71,286	)		—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		110,512		(27,751	)		82,761		—		(82,761	)		—
Goldman Sachs	Total Return Swap Contracts		26,747		(25,069	)		1,678		—		(1,678	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			263,171		(82,699	)		180,472		—		(180,472	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $719,528.

AQR RISK PARITY II MV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	17,788	$	(17,788	)	$	—	$	—	$	—	$	—
Deutsche Bank	Total Return Swap Contracts		2,448		(2,448	)		—		—		—		—
Macquarie Capital	Total Return Swap Contracts		73,070		(73,070	)		—		—		—		—
Societe Generale	Total Return Swap Contracts		260		(260	)		—		—		—		—
Total financial instruments subject to a master netting arrangement or similar arrangement			93,566		(93,566	)		—		—		—		—

AQR Funds Annual Report December 2015

389

Notes to Financial Statements December 31, 2015

AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	28,901	$	(17,788	)	$	11,113	$	—	$	(11,113	)	$	—
Deutsche Bank	Total Return Swap Contracts		108,185		(2,448	)		105,737		—		(105,737	)		—
Macquarie Capital	Total Return Swap Contracts		153,653		(73,070	)		80,583		—		(80,583	)		—
Societe Generale	Total Return Swap Contracts		10,854		(260	)		10,594		—		—			10,594
Total financial instruments subject to a master netting arrangement or similar arrangement			301,593		(93,566	)		208,027		—		(197,433	)		10,594

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $272,606.

AQR STYLE PREMIA ALTERNATIVE FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED			NET AMOUNT
Bank of America	Total Return Swaps Contracts	$	2,310,886	$	(2,310,886	)	$	—	$	—	$	—		$	—
CitiBank	Forward Foreign Currency Exchange Contracts		9,813,454		(5,956,773	)		3,856,681		—		—			3,856,681
Credit Suisse International	Forward Foreign Currency Exchange Contracts		9,655,034		(5,879,422	)		3,775,612		—		(1,120,000	)		2,655,612
Goldman Sachs	Total Return Swaps Contracts		57,380		(57,380	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			21,836,754		(14,204,461	)		7,632,293		—		(1,120,000	)		6,512,293

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swaps Contracts	$	3,691,802	$	(2,310,886	)	$	1,380,916	$	—	$	(1,380,916	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		5,956,773		(5,956,773	)		—		—		—			—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		5,879,422		(5,879,422	)		—		—		—			—
Goldman Sachs	Total Return Swaps Contracts		45,096
	Total Return Basket Swaps Contracts		18,170,268
	Total Goldman Sachs		18,215,364		(57,380	)		18,157,984		—		(18,157,984	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			33,743,361		(14,204,461	)		19,538,900		—		(19,538,900	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $273,971,168.

AQR Funds Annual Report December 2015

390

Notes to Financial Statements December 31, 2015

AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
Deutsche Bank	Total Return Swap Contracts	$	24,098	$	(24,098	)	$	—	$	—	$	—	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			24,098		(24,098	)		—		—		—		—

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	418,205	$	—		$	418,205	$	—	$	(418,205	)	$	—
Deutsche Bank	Total Return Swap Contracts		1,559,236		(24,098	)		1,535,138		—		—			1,535,138
Macquarie Capital	Total Return Swap Contracts		535,842		—			535,842		—		(535,842	)		—
Societe Generale	Total Return Swap Contracts		895,764		—			895,764		—		(895,764	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			3,409,047		(24,098	)		3,384,949		—		(1,849,811	)		1,535,138

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,370,193.

AQR STYLE PREMIA ALTERNATIVE LV FUND

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
Bank of America	Total Return Swap Contracts	$	118,802	$	(118,802	)	$	—	$	—	$	—	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		535,034		(336,351	)		198,683		—		—		198,683
Credit Suisse International	Forward Foreign Currency Exchange Contracts		534,517		(343,166	)		191,351		—		—		191,351
Goldman Sachs	Total Return Swap Contracts		2,049
	Total Return Basket Swap Contracts		1,528,900
	Total Goldman Sachs		1,530,949		(2,312	)		1,528,637		—		—		1,528,637
Morgan Stanley and Co., International PLC	Total Return Swap Contracts		18,530		—			18,530		—		—		18,530
Total financial instruments subject to a master netting arrangement or similar arrangement			2,737,832		(800,631	)		1,937,201		—		—		1,937,201

AQR Funds Annual Report December 2015

391

Notes to Financial Statements December 31, 2015

AQR STYLE PREMIA ALTERNATIVE LV FUND (continued)

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
Bank of America	Total Return Swap Contracts	$	189,979	$	(118,802	)	$	71,177	$	—	$	(71,177	)	$	—
CitiBank	Forward Foreign Currency Exchange Contracts		336,351		(336,351	)		—		—		—			—
Credit Suisse International	Forward Foreign Currency Exchange Contracts		343,166		(343,166	)		—		—		—			—
Goldman Sachs	Total Return Swap Contracts		2,312		(2,312	)		—		—		—			—
Total financial instruments subject to a master netting arrangement or similar arrangement			871,808		(800,631	)		71,177		—		(71,177	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $14,508,825.

AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF ASSETS		FINANCIAL INSTRUMENTS		COLLATERAL RECEIVED		NET AMOUNT
CitiBank	Total Return Swap Contracts	$	8,446	$	(8,446	)	$	—	$	—	$	—	$	—
Total financial instruments subject to a master netting arrangement or similar arrangement			8,446		(8,446	)		—		—		—		—

				GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES
COUNTERPARTY	INVESTMENT TYPE	GROSS AMOUNTS OF RECOGNIZED LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES		GROSS AMOUNTS OFFSET			NET AMOUNTS OF LIABILITIES		FINANCIAL INSTRUMENTS		COLLATERAL PLEDGED (a)			NET AMOUNT
CitiBank	Total Return Swap Contracts	$	30,566	$	(8,446	)	$	22,120	$	—	$	(22,120	)	$	—
Macquarie Capital	Total Return Swap Contracts		88,817		—			88,817		—		(88,817	)		—
Societe Generale	Total Return Swap Contracts		55,312		—			55,312		—		(55,312	)		—
Total financial instruments subject to a master netting arrangement or similar arrangement			174,695		(8,446	)		166,249		—		(166,249	)		—

(a) Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $313,751.

AQR Funds Annual Report December 2015

392

Notes to Financial Statements December 31, 2015

For the year ended December 31, 2015, the quarterly average notional values of the derivatives held by the Funds were as follows:

Derivatives Volume Disclosure*

	AQR DIVERSIFIED ARBITRAGE FUND		AQR GLOBAL MACRO FUND		AQR LONG- SHORT EQUITY FUND		AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND
Futures Contracts:
Average Notional Balance—Long	$	—	$	384,987,419	$	120,298,540	$	30,941,821,900	$	1,792,283,397	$	2,801,709,526	$	65,839,641
Average Notional Balance—Short		384,899,483		462,202,938		2,386,059		7,550,327,881		467,401,036		2,070,132,153		27,303,750
Ending Notional Balance—Long		—		416,608,185		300,706,088		19,393,263,891		1,546,190,417		2,584,532,900		107,661,488
Ending Notional Balance—Short		211,581,100		375,192,576		—		15,561,698,403		1,247,537,135		2,702,237,263		33,987,328
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		29,157,893		44,381,946		41,820,152		9,627,194,579		539,707,576		1,285,226,997		—
Average Settlement Value—Sold		93,310,486		45,685,166		10,787,436		13,015,351,883		733,397,289		1,546,558,431		—
Ending Value—Purchased		12,900,767		39,498,090		106,242,313		9,599,925,714		754,583,095		1,667,222,554		—
Ending Value—Sold		55,988,012		37,737,265		27,524,588		13,213,738,145		1,034,763,643		1,960,393,346		—
Exchange-Traded Options:
Average Number of Contracts—Written		7,820		—		—		—		—		829		—
Ending Number of Contracts—Written		4,863		—		—		—		—		—		—
Credit Default Swaps:
Average Notional Balance—Buy Protection		143,580,000		—		—		—		—		12,800,000		—
Average Notional Balance—Sell Protection		25,525,000		—		—		—		—		49,443,750		—
Ending Notional Balance—Buy Protection		97,575,000		—		—		—		—		—		—
Ending Notional Balance—Sell Protection		—		—		—		—		—		15,125,000		—
Total Return Swaps:
Average Notional Balance—Long		—		5,327,721		4,460,451		2,904,308,812		147,825,281		366,223,396		115,920,589
Average Notional Balance—Short		—		3,619,182		—		1,215,703,846		76,608,460		410,363,839		79,587,678
Ending Notional Balance—Long		—		3,531,011		11,024,572		251,318,826		20,186,125		116,253,433		19,838,674
Ending Notional Balance—Short		—		1,424,736		—		945,632,752		74,410,248		398,566,539		6,006,337
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		—		464,848,310		—		—		—		—		—
Average Notional Balance—Receives Fixed rate		—		473,068,439		—		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		—		604,906,616		—		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		—		602,591,761		—		—		—		—		—

AQR Funds Annual Report December 2015

393

Notes to Financial Statements December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND		AQR GLOBAL MACRO FUND		AQR LONG- SHORT EQUITY FUND		AQR MANAGED FUTURES STRATEGY FUND		AQR MANAGED FUTURES STRATEGY HV FUND		AQR MULTI- STRATEGY ALTERNATIVE FUND		AQR RISK- BALANCED COMMODITIES STRATEGY FUND
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long	$	644,074,452	$	—	$	356,792,236	$	—	$	—	$	3,684,441,730	$	—
Average Notional of Underlying Positions—Short		226,105,630		—		336,353,578		—		—		3,066,423,213		—
Ending Notional Balance—Long		271,257,361		—		868,465,025		—		—		4,487,815,872		—
Ending Notional Balance—Short		101,127,954		—		809,874,332		—		—		3,739,635,941		—

	AQR RISK PARITY FUND		AQR RISK PARITY II HV FUND		AQR RISK PARITY II MV FUND		AQR STYLE PREMIA ALTERNATIVE FUND		AQR STYLE PREMIA ALTERNATIVE LV FUND		AQR EQUITY MARKET NEUTRAL FUND
Futures Contracts:
Average Notional Balance—Long	$	424,963,404	$	106,678,862	$	146,198,523	$	3,638,668,889	$	158,417,892	$	1,378,881
Average Notional Balance—Short		25,239,320		7,102,206		8,417,619		3,029,282,121		125,138,329		831,146
Ending Notional Balance—Long		545,012,889		87,734,683		129,073,084		6,648,393,478		390,207,076		—
Ending Notional Balance—Short		19,124,548		2,827,084		3,894,523		4,989,569,223		295,772,442		—
Forward Foreign Currency Exchange Contracts:
Average Settlement Value—Purchased		177,452,930		1,523,217		1,269,454		512,895,821		21,946,656		2,706,174
Average Settlement Value—Sold		219,869,757		13,076,867		15,991,641		603,265,390		25,455,617		5,515,831
Ending Value—Purchased		161,741,748		2,706,029		1,835,786		865,665,248		48,458,194		6,465,974
Ending Value—Sold		189,560,568		9,592,138		12,323,834		1,030,312,793		56,370,602		17,655,942
Credit Default Swaps:
Average Notional Balance—Buy Protection		—		—		—		—		—		—
Average Notional Balance—Sell Protection		463,974,533		—		—		—		—		—
Ending Notional Balance—Buy Protection		—		—		—		—		—		—
Ending Notional Balance—Sell Protection		376,993,515		—		—		—		—		—
Total Return Swaps:
Average Notional Balance—Long		407,615,714		40,626,588		41,239,070		221,221,918		8,987,633		—
Average Notional Balance—Short		88,429,412		7,168,376		9,264,828		383,217,030		14,511,292		—
Ending Notional Balance—Long		35,865,132		5,325,899		8,996,512		224,034,819		11,310,108		—
Ending Notional Balance—Short		929,835		294,937		813,212		165,857,425		8,522,870		—
Interest Rate-Related Swaps (Interest Rate Swaps):
Average Notional Balance—Pays Fixed rate		74,095,826		—		—		—		—		—
Average Notional Balance—Receives Fixed rate		269,046,971		—		—		—		—		—
Ending Notional Balance—Pays Fixed Rate		65,569,899		—		—		—		—		—
Ending Notional Balance—Receives Fixed Rate		224,973,381		—		—		—		—		—
Total Return Basket Swaps:
Average Notional of Underlying Positions—Long		—		—		—		1,084,866,593		45,000,483		136,400,528
Average Notional of Underlying Positions—Short		—		—		—		902,253,215		37,801,084		128,856,276
Ending Notional Balance—Long		—		—		—		1,869,848,660		106,445,897		411,783,042
Ending Notional Balance—Short		—		—		—		1,545,412,048		91,958,987		390,658,782

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

AQR Funds Annual Report December 2015

394

Notes to Financial Statements December 31, 2015

9. Investment Advisory and Other Agreements

The Adviser serves as the investment adviser to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, entered into by the Trust, on behalf of the Funds (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.

Pursuant to the Advisory Agreement, the Funds currently pay the Investment 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 Equity Market Neutral Fund		1.10
AQR Global Macro Fund		1.25
AQR Long-Short Equity Fund		1.10
AQR Managed Futures Strategy Fund		1.05
AQR Managed Futures Strategy HV Fund		1.45
AQR Multi-Strategy Alternative Fund		1.80
AQR Risk-Balanced Commodities Strategy Fund		0.80
AQR Risk Parity Fund		0.75	(a)
AQR Risk Parity II HV Fund		0.95	(b)
AQR Risk Parity II MV Fund		0.75	(c)
AQR Style Premia Alternative Fund		1.35
AQR Style Premia Alternative LV Fund		0.65

(a) 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.

(b) The AQR Risk Parity II HV Fund Advisory Fee is based on the following 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.

(c) 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 Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2016 for Class I, N and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:

FUND	CLASS I			CLASS N			CLASS R6
AQR Diversified Arbitrage Fund		1.20	%		1.45	%		1.10	%
AQR Equity Market Neutral Fund		1.30			1.55			1.20
AQR Global Macro Fund		1.45			1.70			1.35
AQR Long-Short Equity Fund		1.30			1.55			1.20
AQR Managed Futures Strategy Fund		1.25			1.50			1.15
AQR Managed Futures Strategy HV Fund		1.65			1.90			1.55
AQR Multi-Strategy Alternative Fund		1.98			2.23			1.88
AQR Risk-Balanced Commodities Strategy Fund		1.00			1.25			0.90
AQR Risk Parity Fund		0.95			1.20			0.85
AQR Risk Parity II HV Fund		1.15			1.40			1.05
AQR Risk Parity II MV Fund		0.95			1.20			0.85
AQR Style Premia Alternative Fund		1.50			1.75			1.40
AQR Style Premia Alternative LV Fund		0.85			1.10			0.75

Prior to May 1, 2015, the Fee Waiver and Expense Reimbursement Agreement for the AQR Diversified Arbitrage Fund was as follows:

FUND	CLASS I			CLASS N			CLASS R6
AQR Diversified Arbitrage Fund		1.20	%		1.50	%		1.10	%

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395

Notes to Financial Statements December 31, 2015

For the year ended December 31, 2015 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:

	INVESTMENT ADVISORY FEES WAIVED		EXPENSE REIMBURSEMENTS		TOTAL
AQR Diversified Arbitrage Fund	$	337,328	$	26,879	$	364,207
AQR Equity Market Neutral Fund		163,655		28,125		191,780
AQR Global Macro Fund		128,925		69,566		198,491
AQR Long-Short Equity Fund		63,904		34,658		98,562
AQR Managed Futures Strategy HV Fund		98,152		25,196		123,348
AQR Multi Strategy Alternative Fund		170,817		769		171,586
AQR Risk-Balanced Commodity Fund		186,105		2,063		188,168
AQR Risk Parity Fund		73,453		617		74,070
AQR Risk Parity II HV Fund		173,742		1,596		175,338
AQR Risk Parity II MV Fund		177,570		184		177,754
AQR Style Premia Alternative Fund		383,412		389		383,801
AQR Style Premia Alternative LV Fund		263,746		36,727		300,473

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

For the year ended December 31, 2015, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at December 31, 2015 are as follows:

	FEES WAIVED/ REIMBURSED FOR THE YEAR ENDED DECEMBER 31, 2015		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2015		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2016		2017		2018
AQR DIVERSIFIED ARBITRAGE FUND
Class I	$	292,915	$	299,674	$	—	$	6,759	$	292,915
Class N		71,086		71,086		—		—		71,086
Class R6		206		207		—		1		206
Totals	$	364,207	$	370,967	$	—	$	6,760	$	364,207
AQR EQUITY MARKET NEUTRAL FUND
Class I	$	108,152	$	125,369	$	—	$	17,217	$	108,152
Class N		57,280		72,209		—		14,929		57,280
Class R6		26,348		69,800		—		43,452		26,348
Totals	$	191,780	$	267,378	$	—	$	75,598	$	191,780
AQR GLOBAL MACRO FUND
Class I	$	126,341	$	337,762	$	—	$	211,421	$	126,341
Class N		71,767		78,778		—		7,011		71,767
Class R6		383		748		—		365		383
Totals	$	198,491	$	417,288	$	—	$	218,797	$	198,491
AQR LONG-SHORT EQUITY FUND
Class I	$	80,605	$	335,535	$	81,653	$	173,277	$	80,605
Class N		16,675		62,537		21,781		24,081		16,675
Class R6		1,282		1,659		—		377		1,282
Totals	$	98,562	$	399,731	$	103,434	$	197,735	$	98,562

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396

Notes to Financial Statements December 31, 2015

	FEES WAIVED/ REIMBURSED FOR THE YEAR ENDED DECEMBER 31, 2015		TOTAL POTENTIAL RECOUPMENT AMOUNT DECEMBER 31, 2015		POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31
					2016		2017		2018
AQR MANAGED FUTURES STRATEGY HV FUND
Class I	$	73,821	$	386,255	$	180,370	$	132,064	$	73,821
Class N		18,956		49,480		16,709		13,815		18,956
Class R6		30,571		30,758		—		187		30,571
Totals	$	123,348	$	466,493	$	197,079	$	146,066	$	123,348
AQR MULTI-STRATEGY ALTERNATIVE FUND
Class I	$	158,246	$	616,174	$	263,977	$	193,951	$	158,246
Class N		8,721		88,286		39,810		39,755		8,721
Class R6		4,619		4,708		—		89		4,619
Totals	$	171,586	$	709,168	$	303,787	$	233,795	$	171,586
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
Class I	$	138,642	$	435,309	$	150,384	$	146,283	$	138,642
Class N		7,371		51,829		17,595		26,863		7,371
Class R6		42,155		42,521		—		366		42,155
Totals	$	188,168	$	529,659	$	167,979	$	173,512	$	188,168
AQR RISK PARITY FUND
Class I	$	69,118	$	69,118	$	—	$	—	$	69,118
Class N		4,693		4,693		—		—		4,693
Class R6		259		260		—		1		259
Totals	$	74,070	$	74,071	$	—	$	1	$	74,070
AQR RISK PARITY II HV FUND
Class I	$	139,839	$	399,641	$	141,678	$	118,124	$	139,839
Class N		28,164		162,579		95,743		38,672		28,164
Class R6		7,335		7,457		—		122		7,335
Totals	$	175,338	$	569,677	$	237,421	$	156,918	$	175,338
AQR RISK PARITY II MV FUND
Class I	$	164,768	$	421,785	$	130,853	$	126,164	$	164,768
Class N		12,819		87,424		58,403		16,202		12,819
Class R6		167		224		—		57		167
Totals	$	177,754	$	509,433	$	189,256	$	142,423	$	177,754
AQR STYLE PREMIA ALTERNATIVE FUND
Class I	$	288,940	$	399,965	$	111,025	$	—	$	288,940
Class N		16,848		50,052		9,672		23,532		16,848
Class R6		78,013		81,738		—		3,725		78,013
Totals	$	383,801	$	531,755	$	120,697	$	27,257	$	383,801
AQR STYLE PREMIA ALTERNATIVE LV FUND
Class I	$	177,184	$	189,624	$	—	$	12,440	$	177,184
Class N		50,106		62,874		—		12,768		50,106
Class R6		73,183		186,287		—		113,104		73,183
Totals	$	300,473	$	438,785	$	—	$	138,312	$	300,473

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397

Notes to Financial Statements December 31, 2015

During the year ended December 31, 2015, the Funds recouped amounts as follows:

FUND	CLASS I		CLASS N		CLASS R6
AQR Managed Futures Strategy Fund	$	—	$	15,567	$	4

Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.

JPMorgan 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, the AQR Equity Market Neutral Fund, the AQR Long-Short Equity Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.

ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.

During the year ended December 31, 2015, the Adviser contributed $39,831 and $118,388 into the AQR Risk-Balanced Commodities Strategy Fund and AQR Style Premia Alternative Fund, respectively, for losses incurred due to trade processing errors. The impact of the Adviser’s contributions on the Funds’ total return was immaterial. These amounts have been included in Net realized gain (loss) in the Statements of Operations.

10. 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. 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.

11. Principal Risks and Concentrations

In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.

Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. 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).

Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.

The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. 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. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.

Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.

In addition to market risk, the Funds may be exposed to 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 (credit risk). Credit risk is

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398

Notes to Financial Statements December 31, 2015

measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. 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. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.

Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to 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 counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. 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.

In the normal course of business, the Funds may enter into agreements with certain counterparties for derivative transactions. A number of each Fund’s Master Agreements contain provisions that require each Fund to maintain a predetermined level of net assets, and/or provide limits regarding the decline of a Fund’s net asset value over specified time periods. If a Fund was to violate such provisions, the counterparties to the derivative instruments could request immediate payment or demand immediate collateralization on derivative instruments in net liability positions. If such events are not cured by the Fund or waived by the counterparties, they may decide to curtail or limit extension of credit, and the Fund may be forced to unwind its derivative positions which may result in material losses.

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 reverse repurchase transactions and entering into other forms of direct and indirect borrowings. 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, limit 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 in the Funds’ best interest to do so.

The Adviser relies heavily on quantitative models and information and data supplied by third parties. When models and data prove to be incorrect or incomplete, any decisions made in reliance thereon may expose the Fund to potential risks. Such models may produce unexpected results, which can result in losses for a Fund.

Periodically, the Funds may be a party to legal actions arising in the ordinary course of business. The Funds are currently not subject to any actions that either individually or in the aggregate are expected to have a material impact on their results of operations, cash flows or financial condition.

12. Holdings of 5% Voting Securities

The 1940 Act defines affiliates as companies in which the Fund owns at least 5% of the outstanding voting securities. The following is a summary of transactions with each affiliated company during the year ended December 31, 2015:

	AQR DIVERSIFIED ARBITRAGE FUND
NAME OF ISSUER	NUMBER OF SHARES/UNITS AT 12/31/14		GROSS ADDITIONS		GROSS REDUCTIONS		NUMBER OF SHARES/UNITS HELD AT END OF YEAR 12/31/15		VALUE AT END OF YEAR 12/31/15		INVESTMENT INCOME		REALIZED GAIN (LOSS)
1347 Capital Corp. (Common Stock)		420,504		—		—		420,504	$	4,141,964	$	—	$	—
Arowana, Inc. (Common Stock)		—		787,920		—		787,920		7,737,374		—		—
Barington/Hilco Acquisition Corp. (Common Stock)		—		487,260		—		487,260		4,775,148		—		—
CB Pharma Acquisition Corp. (Common Stock)		325,500		—		—		325,500		3,238,725		—		—
Dundee Acquisition Ltd., Class A (Common Stock)		—		1,260,000		—		1,260,000		8,769,097		—		—

AQR Funds Annual Report December 2015

399

Notes to Financial Statements December 31, 2015

	AQR DIVERSIFIED ARBITRAGE FUND
NAME OF ISSUER	NUMBER OF SHARES/UNITS AT 12/31/14		GROSS ADDITIONS		GROSS REDUCTIONS			NUMBER OF SHARES/UNITS HELD AT END OF YEAR 12/31/15		VALUE AT END OF YEAR 12/31/15		INVESTMENT INCOME		REALIZED GAIN (LOSS)
FinTech Acquisition Corp. (Common Stock)		—		810,000		—			810,000	$	7,703,100	$	—	$	—
Garnero Group Acquisition Co. (Common Stock)		1,900,200		—		(100,000	)		1,800,200		17,659,962		—		(23,018	)
Gibraltar Growth Corp., Class A (Common Stock)		—		1,274,000		—			1,274,000		8,756,045		—		—
GP Investments Acquisition Corp. (Common Stock)		—		2,475,000		(345,000	)		2,130,000		20,448,000		—		(144,261	)
HarmonyMerger Corp. (Common Stock)		—		1,475,100		(100,000	)		1,375,100		13,407,225		—		(26,018	)
Hydra Industries Acquisition Corp. (Common Stock)		1,720,000		—		(100,000	)		1,620,000		15,649,200		—		(33,018	)
1347 Capital Corp. (Rights)		420,504		—		—			420,504		12,615		—		—
Arowana, Inc. (Rights)		—		720,000		—			720,000		144,000		—		—
Barington/Hilco Acquisition Corp. (Rights)		—		487,260		—			487,260		97,745		—		—
CB Pharma Acquisition Corp. (Rights)		—		325,500		—			325,500		41,501		—		—
Garnero Group Acquisition Co. (Rights)		2,430,200		—		—			2,430,200		583,248		—		—
Hydra Industries Acquisition Corp. (Rights)		—		1,720,000		—			1,720,000		399,040		—		—
1347 Capital Corp. (Warrants)		420,504		—		—			420,504		59,291		—		—
Arowana, Inc. (Warrants)		—				—			720,000		61,200		—		—
Barington/Hilco Acquisition Corp. (Warrants)		—		487,260		—			487,260		60,908		—		—
CB Pharma Acquisition Corp. (Warrants)		—		325,500		—			325,500		48,825		—		—
Dundee Acquisition Ltd. (Warrants)		—		630,000		—			630,000		97,890		—		—
FinTech Acquisition Corp. (Warrants)		—		810,000		—			810,000		202,500		—		—
Garnero Group Acquisition Co. (Warrants)		2,430,200		—		—			2,430,200		291,624		—		—
Gibraltar Growth Corp. (Warrants)		—		1,274,000		—			1,274,000		119,694		—		—
GP Investments Acquisition Corp. (Warrants)		—		1,237,500		—			1,237,500		495,000		—		—
HarmonyMerger Corp. (Warrants)		—		1,475,100		—			1,475,100		516,285		—		—
Hydra Industries Acquisition Corp. (Warrants)		—		1,720,000		—			1,720,000		321,640		—		—
										$	115,838,846	$	—	$	(226,315	)

13. Line of Credit

Effective February 27, 2015 and terminating on February 26, 2016, the Trust renewed a committed syndicated line of credit (the “Agreement”) with Bank of America, N.A., as the Administrative Agent. Borrowing, if any, under this arrangement bears 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, which is paid as incurred. For the year ended December 31, 2015, 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 any borrowings by a Fund to drop below the required amount under the Agreement (between 300-500% per Fund). 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, liquid assets of the borrowing 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. The line of credit is in the amount of $225,000,000. On February 11, 2016 the Trustees have approved a renewal of the line of credit effective February 29, 2016 through February 28, 2017 up to $275,000,000 subject to substantially similar terms. The Funds did not have any borrowings for the year ended December 31, 2015.

AQR Funds Annual Report December 2015

400

Notes to Financial Statements December 31, 2015

14. Principal Ownership

As of December 31, 2015, the Funds had individual shareholder and/or omnibus accounts owning more than 5% of the total shares outstanding of the Fund as follows:

FUND	NUMBER OF INDIVIDUAL SHAREHOLDERS AND/OR OMNIBUS ACCOUNTS		TOTAL PERCENTAGE INTEREST HELD
AQR Diversified Arbitrage Fund		5		82.06	%
AQR Equity Market Neutral Fund		4		88.56	%
AQR Global Macro Fund*		4		81.88	%
AQR Long-Short Equity Fund		5		89.91	%
AQR Managed Futures Strategy Fund		8		77.22	%
AQR Managed Futures Strategy HV Fund		5		85.50	%
AQR Multi-Strategy Alternative Fund		4		75.71	%
AQR Risk-Balanced Commodities Strategy Fund		6		93.24	%
AQR Risk Parity Fund		5		81.64	%
AQR Risk Parity II HV Fund*		7		86.50	%
AQR Risk Parity II MV Fund		7		87.59	%
AQR Style Premia Alternative Fund		5		77.08	%
AQR Style Premia Alternative LV Fund		4		87.82	%

* The percentage held by the Adviser and/or affiliates is 14.91% and 18.90% respectively.

Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.

15. Redemption in Kind

On July 25, 2014, one shareholder redeemed their investment in the AQR Style Premia Alternative Fund. The redemption represented 70.1% 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.

16. New Accounting Pronouncements

In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820)—Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent) (“ASU 2015-07”). The amendment removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the Net Asset Value per Share practical expedient. The Funds are required to apply ASU 2015-07 for fiscal years beginning after December 15, 2015 and interim periods within those fiscal years. Management is currently evaluating the impact of ASU 2015-07.

In September 2015, the FASB issued ASU No. 2015-15, Interest-Imputation of Interest (Subtopic 835-30)—Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements. The amendment clarifies that the SEC would not object to an entity deferring and presenting debt issuance costs as an asset and subsequently amortizing the deferred debt issuance costs ratably over the term of the line-of-credit arrangement.

17. Subsequent Events

The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events other than those noted above.

AQR Funds Annual Report December 2015

401

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Shareholders of AQR Funds:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations, of changes in net assets and of cash flows and the financial highlights as well as the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, and the related consolidated statements of operations, of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of each of the thirteen portfolios that are included in AQR Funds (as listed in Note 1 to the financial statements and collectively referred to as the “Funds”) at December 31, 2015, and the results of each of their operations, the changes in each of their net assets, the cash flows of AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long Short Equity Fund, AQR Multi- Strategy Alternative Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund, AQR Style Premia Alternative LV Fund and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2015 by correspondence with the custodian, brokers, and transfer agents and the application of alternative auditing procedures where confirmation of securities purchased had not been received, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

New York, New York

February 25, 2016

AQR Funds Annual Report December 2015

402

Other Federal Tax Information (Unaudited)

For the fiscal year ended December 31, 2015, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:

FUND	PERCENTAGE
AQR Diversified Arbitrage Fund		2.21	%
AQR Equity Market Neutral Fund		6.11	%
AQR Long-Short Equity Fund		4.07	%
AQR Multi-Strategy Alternative Fund		0.44	%
AQR Style Premia Alternative Fund		9.44	%
AQR Style Premia Alternative LV Fund		8.75	%

The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended December 31, 2015:

FUND	TOTAL
AQR Equity Market Neutral Fund	$	102,719
AQR Global Macro Fund	$	1,765,884
AQR Long-Short Equity Fund	$	768,361
AQR Managed Futures Strategy Fund	$	132,351,997
AQR Managed Futures Strategy HV Fund	$	9,217,388
AQR Risk Parity Fund	$	5,238,673
AQR Risk Parity II HV Fund	$	935,618
AQR Risk Parity II MV Fund	$	2,518,203
AQR Style Premia Alternative LV Fund	$	28,347

AQR Funds Annual Report December 2015

403

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 12/31/15” 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 12/31/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/15
AQR Diversified Arbitrage Fund
Class I
Actual Return		$1,000.00		$954.20		2.56	%		$12.61
Hypothetical Return		$1,000.00		$1,012.30		2.56	%		$12.98
Class N
Actual Return		$1,000.00		$953.40		2.86	%		$14.08
Hypothetical Return		$1,000.00		$1,010.79		2.86	%		$14.50
Class R6
Actual Return		$1,000.00		$954.50		2.43	%		$11.97
Hypothetical Return		$1,000.00		$1,012.96		2.43	%		$12.33
AQR Equity Market Neutral Fund
Class I
Actual Return		$1,000.00		$1,126.50		1.76	%		$9.43
Hypothetical Return		$1,000.00		$1,016.33		1.76	%		$8.94
Class N
Actual Return		$1,000.00		$1,125.90		2.02	%		$10.82
Hypothetical Return		$1,000.00		$1,015.02		2.02	%		$10.26
Class R6
Actual Return		$1,000.00		$1,126.50		1.72	%		$9.22
Hypothetical Return		$1,000.00		$1,016.53		1.72	%		$8.74

AQR Funds Annual Report December 2015

404

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/15
AQR Global Macro Fund
Class I
Actual Return		$1,000.00		$1,019.20		1.29	%		$6.57
Hypothetical Return		$1,000.00		$1,018.70		1.29	%		$6.56
Class N
Actual Return		$1,000.00		$1,017.20		1.70	%		$8.64
Hypothetical Return		$1,000.00		$1,016.64		1.70	%		$8.64
Class R6
Actual Return		$1,000.00		$1,019.20		1.35	%		$6.87
Hypothetical Return		$1,000.00		$1,018.40		1.35	%		$6.87
AQR Long-Short Equity Fund
Class I
Actual Return		$1,000.00		$1,120.90		1.73	%		$9.25
Hypothetical Return		$1,000.00		$1,016.48		1.73	%		$8.79
Class N
Actual Return		$1,000.00		$1,119.40		1.99	%		$10.63
Hypothetical Return		$1,000.00		$1,015.17		1.99	%		$10.11
Class R6
Actual Return		$1,000.00		$1,121.10		1.72	%		$9.20
Hypothetical Return		$1,000.00		$1,016.53		1.72	%		$8.74
AQR Managed Futures Strategy Fund
Class I
Actual Return		$1,000.00		$1,023.80		1.19	%		$6.07
Hypothetical Return		$1,000.00		$1,019.21		1.19	%		$6.06
Class N
Actual Return		$1,000.00		$1,022.40		1.46	%		$7.44
Hypothetical Return		$1,000.00		$1,017.85		1.46	%		$7.43
Class R6
Actual Return		$1,000.00		$1,025.50		1.13	%		$5.77
Hypothetical Return		$1,000.00		$1,019.51		1.13	%		$5.75
AQR Managed Futures Strategy HV Fund
Class I
Actual Return		$1,000.00		$1,032.20		1.58	%		$8.09
Hypothetical Return		$1,000.00		$1,017.24		1.58	%		$8.03
Class N
Actual Return		$1,000.00		$1,031.10		1.89	%		$9.68
Hypothetical Return		$1,000.00		$1,015.68		1.89	%		$9.60
Class R6
Actual Return		$1,000.00		$1,032.80		1.55	%		$7.94
Hypothetical Return		$1,000.00		$1,017.39		1.55	%		$7.88

AQR Funds Annual Report December 2015

405

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/15
AQR Multi-Strategy Alternative Fund
Class I
Actual Return		$1,000.00		$1,090.30		2.40	%		$12.64
Hypothetical Return		$1,000.00		$1,013.11		2.40	%		$12.18
Class N
Actual Return		$1,000.00		$1,089.00		2.67	%		$14.06
Hypothetical Return		$1,000.00		$1,011.75		2.67	%		$13.54
Class R6
Actual Return		$1,000.00		$1,090.00		2.33	%		$12.27
Hypothetical Return		$1,000.00		$1,013.46		2.33	%		$11.82
AQR Risk-Balanced Commodities Strategy Fund
Class I
Actual Return		$1,000.00		$880.90		0.90	%		$4.27
Hypothetical Return		$1,000.00		$1,020.67		0.90	%		$4.58
Class N
Actual Return		$1,000.00		$879.90		1.24	%		$5.88
Hypothetical Return		$1,000.00		$1,018.95		1.24	%		$6.31
Class R6
Actual Return		$1,000.00		$881.10		0.90	%		$4.27
Hypothetical Return		$1,000.00		$1,020.67		0.90	%		$4.58
AQR Risk Parity Fund
Class I
Actual Return		$1,000.00		$905.60		0.92	%		$4.42
Hypothetical Return		$1,000.00		$1,020.57		0.92	%		$4.69
Class N
Actual Return		$1,000.00		$905.50		1.15	%		$5.52
Hypothetical Return		$1,000.00		$1,019.41		1.15	%		$5.85
Class R6
Actual Return		$1,000.00		$906.60		0.85	%		$4.08
Hypothetical Return		$1,000.00		$1,020.92		0.85	%		$4.33
AQR Risk Parity II HV Fund
Class I
Actual Return		$1,000.00		$850.70		1.07	%		$4.99
Hypothetical Return		$1,000.00		$1,019.81		1.07	%		$5.45
Class N
Actual Return		$1,000.00		$848.50		1.48	%		$6.90
Hypothetical Return		$1,000.00		$1,017.74		1.48	%		$7.53
Class R6
Actual Return		$1,000.00		$849.80		1.14	%		$5.32
Hypothetical Return		$1,000.00		$1,019.46		1.14	%		$5.80

AQR Funds Annual Report December 2015

406

Fund Expense Examples (Unaudited)

	BEGINNING ACCOUNT DATE VALUE		ENDING ACCOUNT VALUE 12/31/15		ANNUALIZED EXPENSE RATIO FOR THE PERIOD			EXPENSES PAID FOR THE PERIOD ENDING 12/31/15
AQR Risk Parity II MV Fund
Class I
Actual Return		$1,000.00		$900.50		0.91	%		$4.36
Hypothetical Return		$1,000.00		$1,020.62		0.91	%		$4.63
Class N
Actual Return		$1,000.00		$900.60		1.20	%		$5.75
Hypothetical Return		$1,000.00		$1,019.16		1.20	%		$6.11
Class R6
Actual Return		$1,000.00		$901.30		0.85	%		$4.07
Hypothetical Return		$1,000.00		$1,020.92		0.85	%		$4.33
AQR Style Premia Alternative Fund
Class I
Actual Return		$1,000.00		$1,103.30		2.00	%		$10.60
Hypothetical Return		$1,000.00		$1,015.12		2.00	%		$10.16
Class N
Actual Return		$1,000.00		$1,102.90		2.26	%		$11.98
Hypothetical Return		$1,000.00		$1,013.81		2.26	%		$11.47
Class R6
Actual Return		$1,000.00		$1,103.70		2.01	%		$10.66
Hypothetical Return		$1,000.00		$1,015.07		2.01	%		$10.21
AQR Style Premia Alternative LV Fund
Class I
Actual Return		$1,000.00		$1,046.30		1.01	%		$5.21
Hypothetical Return		$1,000.00		$1,020.11		1.01	%		$5.14
Class N
Actual Return		$1,000.00		$1,045.70		1.31	%		$6.75
Hypothetical Return		$1,000.00		$1,018.60		1.31	%		$6.67
Class R6
Actual Return		$1,000.00		$1,047.50		0.99	%		$5.11
Hypothetical Return		$1,000.00		$1,020.21		0.99	%		$5.04

Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period unless stated otherwise).

AQR Funds Annual Report December 2015

407

Trustees and Officers (Unaudited) December 31, 2015

Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 3rd Floor, Greenwich CT 06830.

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Disinterested Trustees2
Timothy K. Armour, M.B.A., 1948	Chairman of the Board, since 2010 and Trustee, since 2008	Interim Chief Executive Officer of Janus Capital Group (retired) (2009 to 2010) (financial services)	42	Janus Capital Group (since 2008); ETF Securities (2010- 2013)
L. Joe Moravy, M.B.A., CPA, 1950	Trustee, since 2008	Independent Consultant (since 2014); Managing Director, Finance Scholars Group (2010 to 2014) (consulting)	42	Nuveen Exchange Traded Commodities Funds (since 2012)
William L. Atwell, M.B.A., 1950	Trustee, since 2011	Managing Director, Atwell Partners LLC (since 2012) (consulting); President (CIGNA International), CIGNA (2008 to 2012) (insurance)	42	Webster Financial Corporation (since 2014)
Gregg D. Behrens, M.M., 1952	Trustee, since 2011	Retired from Northern Trust Company (since 2009) banking)	42	None
Brian Posner, M.B.A., 1961	Trustee, since 2011	President, Point Rider Group LLC (since 2008) (consulting)	42	Biogen (since 2008); Arch Capital Group (since 2010); BG Medicine (2012- 2015); RiverPark Funds Trust (2010 to 2012)
Mark. A. Zurack, M.B.A., CFA 1957	Trustee, since 2014	Adjunct Professor and Executive-in- Residence, Columbia Business School (since 2002)	42	Exchange Traded Concepts Trust (since 2011); Source ETF Trust (since 2014)
Interested Trustees3
David Kabiller, CFA, 1963	Trustee, since 2010	Founding Principal, AQR Capital Management, LLC (since 1998)	42	None
Marco Hanig, Ph.D., 1958	Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008	Principal, AQR Capital Management, LLC (since 2008)	42	None
Officers
H.J. Willcox, J.D., 1966	Chief Compliance Officer, since 2013	Managing Director and Chief Compliance Officer, AQR Capital Management, LLC (since 2013); Global Head of Compliance and Counsel KKR & Co., L.P. (2008-2013)	N/A	N/A
Heather Bonner, CPA, 1977	Chief Financial Officer, since 2014	Vice President, AQR Capital Management, LLC (since 2013); Senior Manager, PricewaterhouseCoopers, LLP (2007- 2013)	N/A	N/A

AQR Funds Annual Report December 2015

408

Trustees and Officers (Unaudited) December 31, 2015

NAME AND YEAR OF BIRTH	CURRENT POSITION WITH THE TRUST, TERM OF OFFICE1 AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER PRESENT OR PAST DIRECTORSHIPS HELD BY TRUSTEE (DURING THE PAST 5 YEARS)
Gregory McNeil, M.S./M.B.A., CPA, 1975	Vice President and Treasurer, since 2015	Vice President, AQR Capital Management, LLC (since 2015); Assistant Treasurer at Franklin Templeton Investments (2010-2015)	N/A	N/A
Bradley Asness, J.D., M.B.A. 1969	Vice President, since 2009	Principal and Chief Legal Officer, AQR Capital Management, LLC (since 1998)	N/A	N/A
Brendan R. Kalb, J.D. 1975	Executive Vice President, since 2009; Secretary, since 2008	Managing Director and General Counsel, AQR Capital Management, LLC (since 2004)	N/A	N/A
Nicole DonVito, J.D. 1979	Chief Legal Officer, since 2014; Vice President, since 2009	Senior Counsel & Head of Registered Products, AQR Capital Management, LLC (since 2007)	N/A	N/A

(1) Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust.

(2) A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act.

(3) An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser.

AQR Funds Annual Report December 2015

409

Board Approval of Investment Advisory Agreements (Unaudited)

The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 12-13, 2015 to consider the continuation of the: (i) Second Amended and Restated Investment Management Agreement between the Trust, on behalf of the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund, and AQR Capital Management, LLC (“AQR”) (the “Investment Management Agreement”); (ii) Second Amended and Restated Investment Sub-Advisory Agreement between AQR and CNH Partners, LLC ( “CNH” or the “Sub-Adviser”) with respect to the AQR Diversified Arbitrage Fund; and (iii) the Investment Sub-Advisory Agreement between AQR and CNH with respect to the AQR Multi-Strategy Alternative Fund (collectively, the “Sub-Advisory Agreements”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” 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 telephonic meeting in advance of the in-person meeting held on November 12-13, 2015 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 12-13, 2015, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Investment Management Agreement and the Sub-Advisory Agreements. These materials included: (i) memoranda and materials provided by AQR, describing the personnel and services provided to the Funds; (ii) memoranda and materials provided by AQR, describing the personnel and services provided by CNH to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Investment Management Agreement and Sub-Advisory Agreements; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (v) a discussion of the financial information and profitability of AQR and CNH; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Adviser,” as applicable. The Investment Management Agreement and the Sub-Advisory Agreements are referred to collectively herein as the “Advisory Agreement,” as applicable and as the context suggests.

At the in-person meeting held on November 12-13, 2015, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for an additional one-year period. In approving the continuation of the Advisory Agreement, the Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.

The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds 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.

In considering the renewal of the Advisory Agreement, the Board did not view the Advisory Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Advisory Agreement.

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

The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Advisory Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ 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 provided to the Funds, the Board Members took into account discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.

In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, provides oversight of Fund accounting, provides marketing services, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Advisory Agreement. The Board also reviewed a wide range of services provided to the Funds pursuant to the Investment Management Agreement, which include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.

Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Advisory Agreement were of a high quality and benefit the Funds.

AQR Funds Annual Report December 2015

410

Board Approval of Investment Advisory Agreements (Unaudited)

Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that AQR is an appropriate investment adviser for the Funds.

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

To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises mutual funds.

The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities and the profitability of CNH with respect to its sub-advisory services for two of the Funds. 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, taxes, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.

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 Funds and attract and retain high quality employees.

Based on their review of the materials presented at the Meeting, the Board concluded that the management fees under the Advisory Agreement are reasonable.

Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the Advisory Agreement, none of the Funds, except for the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund, would have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, to show that economies are being shared, the Adviser presented information regarding each Fund’s advisory fees relative to comparable funds of larger sizes. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and 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 Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the 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 investment 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 management fee rates under the Advisory Agreement and total expense ratios are reasonable in relation to the services provided by the Adviser (including CNH, when applicable) to the Funds, as well as the costs incurred and benefits to be gained by the Adviser (including CNH, when applicable) in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory and management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Advisory Agreement with respect to the Funds. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.

AQR Funds Annual Report December 2015

411

Investment Adviser

AQR Capital Management, LLC

Two Greenwich Plaza, 4th Floor

Greenwich, CT 06830

Sub-Adviser

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

JPMorgan Chase Bank, N.A.

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 https://funds.aqr.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 202-551-8090.

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: https://funds.aqr.com

Item 2. Code of Ethics.

a). As of the end of the period, December 31, 2015, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1).

b). Not Applicable.

c). There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 2015 (“Reporting Period”).

d). Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period.

e). Not Applicable.

f). Attached.

Item 3. Audit Committee Financial Expert.

a). The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Messrs. L. Joe Moravy and Brian Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the years ended December 31, 2014 and December 31, 2015 were:

	2014		2015
Audit Fees (a)	$	1,295,470	$	1,297,220
Audit Related Fees (b)	$	42,500	$	8,000
Tax Fees (c)	$	194,700	$	246,719
All Other Fees (d)	$	0	$	0
Total:	$	1,532,670	$	1,551,939

(a) Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC.

(b) Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s December 31, 2014 and December 31, 2015 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2014 and December 31, 2015 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement as well as review of the in-kind transaction for the AQR Style Premia Alternative Fund during the year-ended December 31, 2014.

(c) Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review.

(d) All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

(e) Audit Committee Pre-approval Policies and Procedures:

(i) Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust.

(ii) 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X.

(f) Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended December 31, 2014 and December 31, 2015: $336,340 and $416,799, respectively.

(h) Not Applicable.

Item 5. Audit Committee of Listed Registrants.

(a) The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark A. Zurack, are members of the Audit Committee.

(b) Not Applicable.

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 last 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) The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto.

(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

/s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

March 2, 2016

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.

/s/ Marco Hanig

Marco Hanig,

Principal Executive Officer

March 2, 2016

/s/ Heather Bonner

Heather Bonner,

Principal Financial Officer

March 2, 2016